Bank of America Corporation Annual report [Section 13 and 15(d), not S-K Item 405]

Annual report [Section 13 and 15(d), not S-K Item 405]

Securities

Securities

12 Months Ended

Dec. 31, 2024

Investments, Debt and Equity Securities [Abstract]

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of AFS debt securities, other debt securities carried at fair value and HTM debt securities at December 31, 2024 and 2023.



Debt Securities

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
(Dollars in millions)	December 31, 2024								December 31, 2023
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	32,781	$	35	$	(1,614)	$	31,202	$	39,195	$	37	$	(1,420)	$	37,812
Agency-collateralized mortgage obligations	19,519		17		(218)		19,318		2,739		6		(201)		2,544
Commercial	26,032		73		(503)		25,602		10,909		40		(514)		10,435
Non-agency residential (1)	287		50		(52)		285		449		3		(70)		382
Total mortgage-backed securities	78,619		175		(2,387)		76,407		53,292		86		(2,205)		51,173
U.S. Treasury and government agencies	235,582		150		(1,153)		234,579		179,108		19		(1,461)		177,666
Non-U.S. securities	22,453		20		(42)		22,431		22,868		27		(20)		22,875

Other taxable securities	4,646		2		(45)		4,603		4,910		1		(76)		4,835

Tax-exempt securities	8,628		17		(233)		8,412		10,304		17		(221)		10,100
Total available-for-sale debt securities	349,928		364		(3,860)		346,432		270,482		150		(3,983)		266,649
Other debt securities carried at fair value (2)	12,352		59		(236)		12,175		10,202		56		(55)		10,203
Total debt securities carried at fair value	362,280		423		(4,096)		358,607		280,684		206		(4,038)		276,852
Held-to-maturity debt securities

Agency mortgage-backed securities	430,135		—		(88,458)		341,677		465,456		—		(78,930)		386,526




U.S. Treasury and government agencies	121,696		—		(18,661)		103,035		121,645		—		(17,963)		103,682


Other taxable securities	6,882		1		(1,047)		5,836		7,490		—		(1,101)		6,389


Total held-to-maturity debt securities	558,713		1		(108,166)		450,548		594,591		—		(97,994)		496,597
Total debt securities (3,4)	$	920,993	$	424	$	(112,262)	$	809,155	$	875,275	$	206	$	(102,032)	$	773,449

(1)At December 31, 2024 and 2023, the underlying collateral type included approximately 25 percent and 17 percent prime and 75 percent and 83 percent subprime.

(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 20 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $184.6 billion and $204.9 billion at December 31, 2024 and 2023.

(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $260.9 billion and $169.0 billion, and a fair value of $209.6 billion and $136.5 billion at December 31, 2024, and an amortized cost of $272.5 billion and $171.5 billion, and a fair value of $226.4 billion and $142.3 billion at December 31, 2023.

At December 31, 2024, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $2.6 billion, net of the related income tax benefit of $872 million. At December 31, 2024 and 2023, nonperforming AFS debt securities held by the Corporation were not significant.

At December 31, 2024 and 2023, $871.1 billion and $824.9 billion of AFS and HTM debt securities, which were predominantly U.S. agency and U.S. Treasury securities, have a zero credit loss assumption. For the same periods, the ECL on the remaining $37.5 billion and $40.2 billion of AFS and HTM debt securities were insignificant. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles.

At December 31, 2024 and 2023, the Corporation held equity securities at an aggregate fair value of $247 million and $251 million and other equity securities, as valued under the measurement alternative, at a carrying value of $438 million

and $377 million, both of which are included in other assets. At December 31, 2024 and 2023, the Corporation also held money market investments at a fair value of $1.3 billion and $1.2 billion, which are included in time deposits placed and other short-term investments.

The gross realized gains and losses on sales of AFS debt securities for 2024, 2023 and 2022 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities


(Dollars in millions)	2024		2023		2022
Gross gains	$	20	$	109	$	1,251
Gross losses	(49)		(514)		(1,219)
Net gains (losses) on sales of AFS debt securities	$	(29)	$	(405)	$	32
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities	$	(7)	$	(101)	$	8

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, 2024 and 2023.



Total AFS Debt Securities in a Continuous Unrealized Loss Position

	Less than Twelve Months				Twelve Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
(Dollars in millions)	December 31, 2024
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	2,908	$	(22)	$	20,085	$	(1,592)	$	22,993	$	(1,614)
Agency-collateralized mortgage obligations	9,597		(21)		1,493		(197)		11,090		(218)
Commercial	11,486		(57)		4,667		(446)		16,153		(503)
Non-agency residential	—		—		160		(52)		160		(52)
Total mortgage-backed securities	23,991		(100)		26,405		(2,287)		50,396		(2,387)
U.S. Treasury and government agencies	75,753		(135)		69,027		(1,018)		144,780		(1,153)
Non-U.S. securities	3,367		(26)		4,906		(16)		8,273		(42)

Other taxable securities	3,192		(5)		814		(40)		4,006		(45)

Tax-exempt securities	1,025		(20)		2,194		(213)		3,219		(233)



Total AFS debt securities in a continuous unrealized loss position	$	107,328	$	(286)	$	103,346	$	(3,574)	$	210,674	$	(3,860)

	December 31, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	8,624	$	(21)	$	20,776	$	(1,399)	$	29,400	$	(1,420)
Agency-collateralized mortgage obligations	—		—		1,701		(201)		1,701		(201)
Commercial	2,363		(27)		4,588		(487)		6,951		(514)
Non-agency residential	—		—		370		(70)		370		(70)
Total mortgage-backed securities	10,987		(48)		27,435		(2,157)		38,422		(2,205)
U.S. Treasury and government agencies	14,907		(12)		69,669		(1,449)		84,576		(1,461)
Non-U.S. securities	7,702		(8)		1,524		(12)		9,226		(20)

Other taxable securities	3,269		(19)		1,437		(57)		4,706		(76)

Tax-exempt securities	466		(5)		2,106		(216)		2,572		(221)



Total AFS debt securities in a continuous unrealized loss position	$	37,331	$	(92)	$	102,171	$	(3,891)	$	139,502	$	(3,983)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2024 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS or other ABS are passed through to the Corporation.



Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities

	Due in One Year or Less				Due after One Year through Five Years				Due after Five Years through Ten Years				Due after Ten Years				Total
(Dollars in millions)	Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)
Amortized cost of debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—	—	%	$	6	2.83	%	$	5	4.00	%	$	32,770	4.56	%	$	32,781	4.56	%
Agency-collateralized mortgage obligations	—		—		—		—		1		1.00		19,518		5.90		19,519		5.90
Commercial	142		3.80		9,630		4.20		13,722		4.26		2,551		2.77		26,045		4.09
Non-agency residential	—		—		—		—		—		—		552		11.48		552		11.48
Total mortgage-backed securities	142		3.80		9,636		4.20		13,728		4.26		55,391		5.02		78,897		4.79
U.S. Treasury and government agencies	24,484		4.58		202,038		3.82		12,910		2.78		34		3.99		239,466		3.85
Non-U.S. securities	19,865		3.20		4,391		2.25		3,861		4.56		2,526		3.77		30,643		3.29

Other taxable securities	947		5.67		3,160		5.34		397		3.52		142		4.55		4,646		5.22

Tax-exempt securities	758		2.83		3,588		3.75		982		3.27		3,300		4.10		8,628		3.75
Total amortized cost of debt securities carried at fair value	$	46,196	3.98		$	222,813	3.83		$	31,878	3.65		$	61,393	4.92		$	362,280	4.02
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	10	2.60	%	$	430,125	2.12	%	$	430,135	2.12	%




U.S. Treasury and government agencies	493		2.71		24,731		1.84		96,472		1.27		—		—		121,696		1.39


Other taxable securities	174		2.15		1,007		2.28		100		3.53		5,601		2.53		6,882		2.50


Total amortized cost of HTM debt securities	$	667	2.56		$	25,738	1.86		$	96,582	1.27		$	435,726	2.12		$	558,713	1.96

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	5			$	31,192			$	31,202
Agency-collateralized mortgage obligations	—				—				1				19,317				19,318
Commercial	141				9,572				13,564				2,336				25,613
Non-agency residential	—				2				—				533				535
Total mortgage-backed securities	141				9,579				13,570				53,378				76,668
U.S. Treasury and government agencies	24,556				201,280				12,597				31				238,464
Non-U.S. securities	19,682				4,391				3,892				2,492				30,457

Other taxable securities	944				3,149				378				135				4,606

Tax-exempt securities	754				3,569				963				3,126				8,412
Total debt securities carried at fair value	$	46,077			$	221,968			$	31,400			$	59,162			$	358,607
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	9			$	341,668			$	341,677




U.S. Treasury and government agencies	490				21,791				80,754				—				103,035


Other taxable securities	170				973				69				4,624				5,836


Total fair value of HTM debt securities	$	660			$	22,764			$	80,832			$	346,292			$	450,548

(1)The weighted-average yield is computed based on a constant effective yield over the contractual life of each security. The yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related open hedging derivatives.