Ally Bank 2012 Annual Report Download - page 183

181
Level 3 recurring fair value measurements
Fair value
at
Jan. 1,
2011
Net realized/unrealized
gains (losses)
Purchases Sales Issuances Settlements
Transfers
out of level
3
Fair value
at Dec. 31,
2011
Net
unrealized
gains (losses)
included in
earnings still
held at
Dec. 31,
2011
($ in millions)
included
in
earnings included in OCI
Assets
Trading assets
(excluding
derivatives)
Mortgage-backed
residential
securities $ 44 $ 5 (a) $ — $ — $ — $ — $ (16) $ — $ 33 $ 14 (a)
Asset-backed
securities 94 — — — (94) — — — — —
Total trading assets 138 5 — — (94) — (16) — 33 14
Investment securities
Available-for-sale
debt securities
Mortgage-
backed
residential 1 — — — (1) — — — — —
Asset-backed — 18 (b) 14 94 (64) — — — 62 —
Total debt
securities 1 18 14 94 (65) — — — 62 —
Mortgage loans held-
for-sale, net (c) 4 (1) (c) — 46 (1) — (18) — 30 (2) (c)
Consumer mortgage
finance receivables
and loans, net (c) 1,015 352 (c) 1 — — — (533) — 835 136 (c)
Mortgage servicing
rights 3,738 (1,606) (d) — 31 (266) (e) 622 — — 2,519 (1,605) (d)
Other assets
Interests retained in
financial asset
sales 568 180 (f) — — — 3 (520) — 231 (15) (f)
Derivative contracts,
net (g)
Interest rate (13) 148 (h) — — — — (41)(23) (i) 71 145 (h)
Foreign currency — 16 (h) — — — — — — 16 16 (h)
Total derivative
contracts in a (payable)
receivable position, net (13) 164 — — — — (41)(23) 87 161
Total assets $ 5,451 $ (888) $ 15 $ 171 $ (426) $ 625 $ (1,128) $ (23) $ 3,797 $ (1,311)
Liabilities
Long-term debt
On-balance sheet
securitization
debt (c) $ (972) $ (371) (c) $ 1 $ — $ — $ — $ 512 $ — $ (830) $ (184) (c)
Accrued expenses and
other liabilities
Loan repurchase
liabilities (c) — 2 (c) — (46) — — 15 — (29) 2 (c)
Total liabilities $ (972) $ (369) $ 1 $ (46) $ — $ — $ 527 $ — $ (859) $ (182)
(a) The fair value adjustment was reported as other income, net of losses, and the related interest was reported as interest on trading assets in the Consolidated Statement of Income.
(b) The fair value adjustment was reported as other income, net of losses, and the related interest was reported as interest and dividends on available-for-sale investment securities
in the Consolidated Statement of Income.
(c) Carried at fair value due to fair value option elections. Refer to the next section of this note titled Fair Value Option for Financial Assets and Liabilities for the location of the
gains and losses in the Consolidated Statement of Income.
(d) Fair value adjustment was reported as servicing-asset valuation and hedge activities, net, in the Consolidated Statement of Income.
(e) Represents excess mortgage servicing rights transferred to an agency-controlled trust in exchange for trading securities. These securities were then sold instantaneously to third-
party investors for $266 million.
(f) Reported as other income, net of losses, in the Consolidated Statement of Income.
(g) Includes derivatives classified as trading.
(h) Refer to Note 22 for information related to the location of the gains and losses on derivative instruments in the Consolidated Statement of Income.
(i) The in-house valuations of some derivative contracts classified as Level 3 was replaced with third-party-developed valuation models that are widely accepted in the market to
value these over-the-counter derivative contracts. The specific terms of the contract and market observable inputs are entered into the model. We reclassified these over-the-
counter derivative contracts as Level 2 because all significant inputs into these models were market observable.
Table of Contents
Notes to Consolidated Financial Statements
Ally Financial Inc. • Form 10-K