Bank of America 2013 Annual Report Download - page 258

256 Bank of America 2013
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant
unobservable inputs (Level 3) during 2013, 2012 and 2011, including net realized and unrealized gains (losses) included in earnings
and accumulated OCI.
Level 3 – Fair Value Measurements (1)
2013
Gross
(Dollars in millions)
Balance
January 1
2013
Gains
(Losses)
in Earnings
Gains
(Losses)
in OCI Purchases Sales Issuances Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
2013
Trading account assets:
Corporate securities, trading loans and
other $ 3,726 $ 242 $ — $ 3,848 $ (3,110) $ 59 $ (651) $ 890 $(1,445) $ 3,559
Equity securities 545 74 — 96 (175) — (100) 70 (124) 386
Non-U.S. sovereign debt 353 50 — 122 (18) — (36) 2 (5) 468
Mortgage trading loans and ABS 4,935 53 — 2,514 (1,993) — (868) 20 (30) 4,631
Total trading account assets 9,559 419 — 6,580 (5,296)59
(1,655)982 (1,604) 9,044
Net derivative assets (2) 1,468 (297) — 824 (1,274)—
(1,362)(10) 627 (24)
AFS debt securities:
Commercial MBS 10 —————(10)—— —
Non-U.S. securities —521(1)——
100 — 107
Corporate/Agency bonds 92 — 4——— — —(96) —
Other taxable securities 3,928 9 15 1,055 — — (1,155)—(5
) 3,847
Tax-exempt securities 1,061 3 19 — — — (109) — (168) 806
Total AFS debt securities 5,091 17 40 1,056 (1) — (1,274)100 (269) 4,760
Loans and leases (3, 4) 2,287 98 — 310 (128) 1,252 (757) 19 (24) 3,057
Mortgage servicing rights (4) 5,716 1,941 — — (2,044)472 (1,043)——
5,042
Loans held-for-sale (3) 2,733 62 — 8 (402) 4 (1,507)34 (3) 929
Other assets (5) 3,129 (288) — 46 (383) — (1,019)239 (55) 1,669
Trading account liabilities – Corporate
securities and other (64) 10 — 43 (54) (5) — (9)44 (35)
Accrued expenses and other liabilities (3) (15) 30 — — — (751) 724 (1)3(10)
Long-term debt (3) (2,301) 13 — 358 (4) (172) 258 (1,331) 1,189 (1,990)
(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 $7.3 billion and derivative liabilities of $7.3 billion.
(3) Amounts represent instruments that are accounted for under the fair value option.
(4) Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.
(5) Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.
During 2013, the transfers into Level 3 included $982 million
of trading account assets, $100 million of AFS debt securities,
$239 million of other assets and $1.3 billion of long-term debt.
Transfers into Level 3 for trading account assets were primarily
the result of decreased third-party prices available for certain
corporate loans and securities. Transfers into Level 3 for AFS debt
securities were primarily due to decreased price observability.
Transfers into Level 3 for other assets were primarily due to a lack
of independent pricing data for certain receivables. 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 2013, the transfers out of Level 3 included $1.6 billion
of trading account assets, $627 million of net derivative assets,
$269 million for AFS debt securities and $1.2 billion of long-term
debt. Transfers out of Level 3 for trading account assets were
primarily the result of increased market liquidity and third-party
prices available for certain corporate loans and securities.
Transfers out of Level 3 for net derivative assets were primarily
due to increased price observability (i.e., market comparables for
the referenced instruments) for certain options. Transfers out of
Level 3 for AFS debt securities were primarily due to increased
market liquidity. 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.