Bank of America 2009 Annual Report Download - page 152

The following table presents the current fair value and the associated
gross unrealized losses on investments in securities with gross unreal-
ized losses at December 31, 2009 and 2008. The table also discloses
whether these securities have had gross unrealized losses for less than
twelve months, or for twelve months or longer.
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 available-for-sale debt securities at
December 31, 2009
U.S. Treasury and agency securities $ 4,655 $ (37) $ – $ – $ 4,655 $ (37)
Mortgage-backed securities:
Agency 53,979 (817) 740 (29) 54,719 (846)
Agency-collateralized mortgage obligations 965 (10) 747 (3) 1,712 (13)
Non-agency residential 6,907 (557) 13,613 (3,370) 20,520 (3,927)
Non-agency commercial 1,263 (35) 1,711 (81) 2,974 (116)
Foreign securities 169 (27) 3,355 (869) 3,524 (896)
Corporate bonds 1,157 (71) 294 (55) 1,451 (126)
Other taxable securities 3,779 (70) 932 (408) 4,711 (478)
Total taxable securities 72,874 (1,624) 21,392 (4,815) 94,266 (6,439)
Tax-exempt securities 4,716 (93) 1,989 (150) 6,705 (243)
Total temporarily-impaired available-for-sale
debt securities 77,590 (1,717) 23,381 (4,965) 100,971 (6,682)
Temporarily-impaired available-for-sale marketable
equity securities 338 (113) 1,554 (394) 1,892 (507)
Total temporarily-impaired available-for-sale securities 77,928 (1,830) 24,935 (5,359) 102,863 (7,189)
Other-than-temporarily impaired available-for-sale
debt securities (1)
Mortgage-backed securities:
Non-agency residential 51 (17) 1,076 (84) 1,127 (101)
Total temporarily-impaired and other-than-temporarily
impaired available-for-sale securities $ 77,979 $ (1,847) $26,011 $(5,443) $103,990 $ (7,290)
Temporarily-impaired available-for-sale debt securities at
December 31, 2008
U.S. Treasury and agency securities $ 306 $ (14) $ – $ – $ 306 $ (14)
Mortgage-backed securities:
Agency 2,282 (12) 7,508 (134) 9,790 (146)
Non-agency residential 19,853 (6,750) 1,783 (2,075) 21,636 (8,825)
Non-agency commercial 215 (26) 2,358 (486) 2,573 (512)
Foreign securities 3,491 (562) 1,126 (116) 4,617 (678)
Corporate bonds 2,573 (934) 666 (88) 3,239 (1,022)
Other taxable securities 12,870 (1,077) 501 (223) 13,371 (1,300)
Total taxable securities 41,590 (9,375) 13,942 (3,122) 55,532 (12,497)
Tax-exempt securities 6,386 (682) 1,540 (299) 7,926 (981)
Total temporarily-impaired available-for-sale
debt securities 47,976 (10,057) 15,482 (3,421) 63,458 (13,478)
Temporarily-impaired available-for-sale marketable
equity securities 3,431 (499) 1,555 (1,038) 4,986 (1,537)
Total temporarily-impaired available-for-sale securities $51,407 $(10,556) $17,037 $(4,459) $ 68,444 $(15,015)
(1) Includes other-than-temporarily impaired available-for-sale debt securities in which a portion of the other-than-temporary impairment loss remains in OCI.
The impairment of AFS debt and marketable equity securities is based
on a variety of factors, including the length of time and extent to which
the market value has been less than cost, the financial condition of the
issuer of the security, and the Corporation’s intent and ability to hold the
security to recovery.
At December 31, 2009, the amortized cost of approximately 12,000
AFS securities exceeded their fair value by $7.3 billion. Included in the
$7.3 billion of gross unrealized losses on AFS securities at December 31,
2009, was $1.9 billion of gross unrealized losses that have existed for
less than twelve months and $5.4 billion of gross unrealized losses that
have existed for a period of twelve months or longer. Of the gross unreal-
ized losses existing for twelve months or longer, $3.6 billion, or 66 per-
cent, of the gross unrealized losses are related to approximately 500
MBS primarily due to continued deterioration in collateralized mortgage
obligation values driven by illiquidity in the markets. In addition, of the
gross unrealized losses existing for twelve months or longer, $394 mil-
lion, or seven percent, is related to approximately 800 AFS marketable
equity securities primarily due to the overall decline in the market during
2008. The Corporation has no intent to sell these securities and it is not
more-likely-than-not that the Corporation will be required to sell these
securities before recovery of amortized cost.
150 Bank of America 2009