Bank of America 2014 Annual Report Download - page 245

Bank of America 2014 243
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 2014, 2013 and 2012, including net realized and unrealized gains (losses) included in earnings
and accumulated OCI.
Level 3 – Fair Value Measurements (1)
2014
Gross
(Dollars in millions)
Balance
January 1
2014
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
2014
Trading account assets:
U.S. government and agency securities $—$ —$—$87$(87)$ —$ —$ —$—$—
Corporate securities, trading loans and
other 3,559 180 — 1,675 (857) — (938) 1,275 (1,624) 3,270
Equity securities 386 — — 104 (86) — (16) 146 (182) 352
Non-U.S. sovereign debt 468 30 — 120 (34) — (19) 11 (2) 574
Mortgage trading loans and ABS 4,631 199 — 1,643 (1,259) — (585) 39 (2,605) 2,063
Total trading account assets 9,044 409 — 3,629 (2,323)—
(1,558) 1,471 (4,413) 6,259
Net derivative assets (2) (224) 463 — 823 (1,738) — (432) 28 160 (920)
AFS debt securities:
Non-agency residential MBS —(2)—11—— —
270 — 279
Non-U.S. securities 107 (7) (11) 241 — — (147) — (173)10
Corporate/Agency bonds — ————— —93 (93) —
Other taxable securities 3,847 9 (8) 154 ——
(1,381)— (954) 1,667
Tax-exempt securities 806 8 — — (16) — (235) 36 — 599
Total AFS debt securities 4,760 8 (19) 406 (16) — (1,763)399 (1,220) 2,555
Loans and leases (3, 4) 3,057 69 — — (3) 699 (1,591)25 (273) 1,983
Mortgage servicing rights (4) 5,042 (1,231) — — (61) 707 (927) ——
3,530
Loans held-for-sale (3) 929 45 — 59 (725) 23 (216) 83 (25) 173
Other assets (5) 1,669 (98) — — (430) — (245) 39 (24) 911
Trading account liabilities – Corporate
securities and other (35) 1 — 10 (13) — — (9)10 (36)
Accrued expenses and other liabilities (3) (10) 2 — — — (3) — —1(10)
Long-term debt (3) (1,990) 49 — 169 — (615) 540 (1,581) 1,066 (2,362)
(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 $6.9 billion and derivative liabilities of $7.8 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 2014, the transfers into Level 3 included $1.5 billion of
trading account assets, $399 million of AFS debt securities and
$1.6 billion of long-term debt. Transfers into Level 3 for trading
account assets were primarily the result of decreased availability
of third-party prices for certain corporate loans and securities.
Transfers into Level 3 for AFS debt securities were primarily due
to decreased price observability related to municipal auction rate
securities (ARS). 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 2014, the transfers out of Level 3 included $4.4 billion
of trading account assets, $160 million of net derivative assets,
$1.2 billion of AFS debt securities, $273 million of loans and
leases and $1.1 billion of long-term debt. Transfers out of Level
3 for trading account assets were primarily the result of increased
market liquidity and price observability on certain CLOs. Transfers
out of Level 3 for net derivative assets were primarily due to
increased price observability for certain equity derivatives.
Transfers out of Level 3 for AFS debt securities were primarily due
to increased price observability on certain CLOs. Transfers out of
Level 3 for loans and leases were primarily due to increased price
observability. 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.