Bank of America 2015 Annual Report Download - page 161

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Bank of America 2015 159
The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these
securities have had gross unrealized losses for less than 12 months or for 12 months or longer at December 31, 2015 and 2014.
Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities
December 31, 2015
Less than Twelve Months Twelve Months or Longer Total
(Dollars in millions)
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Temporarily impaired AFS debt securities
Mortgage-backed securities:
Agency $ 131,511 $ (1,245) $ 14,895 $ (443) $ 146,406 $ (1,688)
Agency-collateralized mortgage obligations 1,271 (9) 1,637 (62) 2,908 (71)
Commercial 4,066 (61) — —4,066 (61)
Non-agency residential 553 (5) 723 (32) 1,276 (37)
Total mortgage-backed securities 137,401 (1,320) 17,255 (537) 154,656 (1,857)
U.S. Treasury and agency securities 1,172 (5) 190 (4) 1,362 (9)
Non-U.S. securities — — 134 (3)134 (3)
Corporate/Agency bonds 107 (3) — — 107 (3)
Other taxable securities, substantially all asset-backed securities 5,071 (69) 792 (17) 5,863 (86)
Total taxable securities 143,751 (1,397) 18,371 (561) 162,122 (1,958)
Tax-exempt securities 4,400 (12) 1,877 (21) 6,277 (33)
Total temporarily impaired AFS debt securities 148,151 (1,409) 20,248 (582) 168,399 (1,991)
Other-than-temporarily impaired AFS debt securities (1)
Non-agency residential mortgage-backed securities 481 (19) 98 (14) 579 (33)
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities $ 148,632 $ (1,428) $ 20,346 $ (596) $ 168,978 $ (2,024)
December 31, 2014
Temporarily impaired AFS debt securities
Mortgage-backed securities:
Agency $ 1,366 $ (8) $ 43,118 $ (585) $ 44,484 $ (593)
Agency-collateralized mortgage obligations 2,242 (19) 3,075 (60) 5,317 (79)
Non-agency residential 307 (3) 809 (41) 1,116 (44)
Total mortgage-backed securities 3,915 (30) 47,002 (686) 50,917 (716)
U.S. Treasury and agency securities 10,121 (22) 667 (10) 10,788 (32)
Non-U.S. securities 157 (9) 32 (2) 189 (11)
Corporate/Agency bonds 43 (1) 93 (1) 136 (2)
Other taxable securities, substantially all asset-backed securities 575 (3) 1,080 (19) 1,655 (22)
Total taxable securities 14,811 (65) 48,874 (718) 63,685 (783)
Tax-exempt securities 980 (1) 680 (18) 1,660 (19)
Total temporarily impaired AFS debt securities 15,791 (66) 49,554 (736) 65,345 (802)
Other-than-temporarily impaired AFS debt securities (1)
Non-agency residential mortgage-backed securities 555 (33) — — 555 (33)
Total temporarily impaired and other-than-temporarily impaired
AFS debt securities $ 16,346 $ (99) $ 49,554 $ (736) $ 65,900 $ (835)
(1) Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss, primarily related to changes in interest rates, remains in accumulated OCI.