Bank of America 2012 Annual Report Download - page 261

Bank of America 2012 259
Level 3 – Fair Value Measurements (1)
2010
(Dollars in millions)
Balance
January 1
2010
Consolidation
of VIEs
Gains
(Losses)
in Earnings
Gains
(Losses)
in OCI
Purchases,
Issuances
and
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
2010
Trading account assets:
Corporate securities, trading loans and other $ 11,080 $ 117 $ 848 $ — $ (4,852) $ 2,599 $ (2,041) $ 7,751
Equity securities 1,084 — (81) — (342) 131 (169) 623
Non-U.S. sovereign debt 1,143 — (138) — (157) 115 (720) 243
Mortgage trading loans and ABS 7,770 175 653 — (1,659) 396 (427) 6,908
Total trading account assets 21,077 292 1,282 — (7,010) 3,241 (3,357) 15,525
Net derivative assets (2) 7,863 — 8,118 — (8,778) 1,067 (525) 7,745
AFS debt securities:
Mortgage-backed securities:
Agency ———— 4 —— 4
Non-agency residential 7,216 113 (646) (169) (6,767) 1,909 (188) 1,468
Non-agency commercial 258 — (13) (31) (178) 71 (88) 19
Non-U.S. securities 468 — (125) (75) (321) 56 — 3
Corporate/Agency bonds 927 — (3) 47 (847) 32 (19) 137
Other taxable securities 9,854 5,603 (296) 44 (3,263) 1,119 (43) 13,018
Tax-exempt securities 1,623 — (25) (9) (574) 316 (107) 1,224
Total AFS debt securities 20,346 5,716 (1,108) (193) (11,946) 3,503 (445) 15,873
Loans and leases (3) 4,936 — (89) — (1,526) — — 3,321
Mortgage servicing rights 19,465 — (4,321) — (244) — — 14,900
Loans held-for-sale (3) 6,942 — 482 — (3,714) 624 (194) 4,140
Other assets (4) 7,821 — 1,946 — (2,612) — (299) 6,856
Trading account liabilities:
Non-U.S. sovereign debt (386) — 23 — (17) — 380 —
Corporate securities and other (10) — (5) — 11 (52) 49 (7)
Total trading account liabilities (396) — 18 — (6) (52) 429 (7)
Other short-term borrowings (3) (707) — (95) — 96 — — (706)
Accrued expenses and other liabilities (3) (891) — 146 — (83) — — (828)
Long-term debt (3) (4,660) — 697 — 1,074 (1,881) 1,784 (2,986)
(1) Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
(2) Net derivatives include derivative assets of $18.8 billion and derivative liabilities of $11.0 billion.
(3) Amounts represent instruments that are accounted for under the fair value option.
(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 assets and $1.9 billion of long-term debt.
Transfers into Level 3 for trading account assets were due to
reduced price transparency as a result of lower levels of trading
activity for certain municipal ARS 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. Transfers occur
on a regular basis for these long-term debt instruments due to
changes in the impact of unobservable inputs on the value of the
embedded derivative in relation to the instrument as a whole.
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 due to
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.