Bank of America 2011 Annual Report Download - page 254

252 Bank of America 2011
Level 3 – Fair Value Measurements (1)
(Dollars in millions)
Trading account assets:
Corporate securities, trading loans and other (2)
Equity securities
Non-U.S. sovereign debt
Mortgage trading loans and ABS
Total trading account assets
Net derivative assets (3)
AFS debt securities:
Mortgage-backed securities:
Agency
Non-agency residential
Non-agency commercial
Non-U.S. securities
Corporate/Agency bonds
Other taxable securities
Tax-exempt securities
Total AFS debt securities
Loans and leases (2)
Mortgage servicing rights
Loans held-for-sale (2)
Other assets (4)
Trading account liabilities:
Non-U.S. sovereign debt
Corporate securities and other
Total trading account liabilities
Other short-term borrowings (2)
Accrued expenses and other liabilities (2)
Long-term debt (2)
2010
Balance
January 1
2010
$ 11,080
1,084
1,143
7,770
21,077
7,863
—
7,216
258
468
927
9,854
1,623
20,346
4,936
19,465
6,942
7,821
(386)
(10)
(396)
(707)
(891)
(4,660)
Consolidation
of VIEs
$ 117
—
—
175
292
—
—
113
—
—
—
5,603
—
5,716
—
—
—
—
—
—
—
—
—
—
Gains
(Losses)
in Earnings
$ 848
(81)
(138)
653
1,282
8,118
—
(646)
(13)
(125)
(3)
(296)
(25)
(1,108)
(89)
(4,321)
482
1,946
23
(5)
18
(95)
146
697
Gains
(Losses)
in OCI
$—
—
—
—
—
—
—
(169)
(31)
(75)
47
44
(9)
(193)
—
—
—
—
—
—
—
—
—
—
Purchases,
Issuances
and
Settlements
$ (4,852)
(342)
(157)
(1,659)
(7,010)
(8,778)
4
(6,767)
(178)
(321)
(847)
(3,263)
(574)
(11,946)
(1,526)
(244)
(3,714)
(2,612)
(17)
11
(6)
96
(83)
1,074
Gross
Transfers
into
Level 3
$ 2,599
131
115
396
3,241
1,067
—
1,909
71
56
32
1,119
316
3,503
—
—
624
—
—
(52)
(52)
—
—
(1,881)
Gross
Transfers
out of
Level 3
$ (2,041)
(169)
(720)
(427)
(3,357)
(525)
—
(188)
(88)
—
(19)
(43)
(107)
(445)
—
—
(194)
(299)
380
49
429
—
—
1,784
Balance
December 31
2010
$ 7,751
623
243
6,908
15,525
7,745
4
1,468
19
3
137
13,018
1,224
15,873
3,321
14,900
4,140
6,856
—
(7)
(7)
(706)
(828)
(2,986)
(1) Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
(2) Amounts represent items that are accounted for under the fair value option.
(3) Net derivatives at December 31, 2010 include derivative assets of $18.8 billion and derivative liabilities of $11.0 billion.
(4) Other assets is primarily comprised of AFS marketable equity securities.
During 2010, the transfers into Level 3 included $3.2 billion of
trading account assets, $3.5 billion of AFS debt securities, $1.1
billion of net derivative contracts and $1.9 billion of long-term debt.
Transfers into Level 3 for trading account assets were driven by
reduced price transparency as a result of lower levels of trading
activity for certain municipal auction rate securities and corporate
debt securities as well as a change in valuation methodology for
certain ABS to a discounted cash flow model. Transfers into Level
3 for AFS debt securities were due to an increase in the number
of non-agency RMBS and other taxable securities priced using a
discounted cash flow model. Transfers into Level 3 for net
derivative contracts were primarily related to a lack of price
observability for certain credit default and total return swaps.
Transfers into Level 3 for long-term debt were primarily due to
changes in the impact of unobservable inputs on the value of
certain structured liabilities.
During 2010, the transfers out of Level 3 included $3.4 billion
of trading account assets and $1.8 billion of long-term debt.
Transfers out of Level 3 for trading account assets were driven by
increased price verification of certain MBS, corporate debt and
non-U.S. government and agency securities. Transfers out of Level
3 for long-term debt were primarily due to changes in the impact
of unobservable inputs on the value of certain structured liabilities.