Bank of America 2015 Annual Report Download - page 231

Bank of America 2015 229
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 (4) 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 (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 MSRs retained following securitizations or whole-loan sales.
(5) Other assets is primarily comprised of certain long-term fixed-rate margin loans that are accounted for under the fair value option and certain private equity investments.
Significant transfers into Level 3, primarily due to decreased
price observability, during 2014 included:
$1.5 billion of trading account assets
$399 million of AFS debt securities
$1.6 billion of long-term debt. 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.
Significant transfers out of Level 3, primarily due to increased
price observability unless otherwise noted, during 2014 included:
$4.4 billion of trading account assets, primarily the result
of increased market liquidity
$160 million of net derivative assets
$1.2 billion of AFS debt securities
$273 million of loans and leases
$1.1 billion of long-term debt