Bank of America Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2014

Variable Interest Entity [Line Items]

The table below summarizes select information related to first-lien mortgage securitizations for 2014 and 2013.




First-lien Mortgage Securitizations

	Residential Mortgage
	Agency				Non-agency - Subprime				Commercial Mortgage
(Dollars in millions)	2014		2013		2014		2013		2014		2013
Cash proceeds from new securitizations⁽¹⁾	$	36,905	$	49,888	$	809	$	—	$	5,710	$	5,326
Gain on securitizations ⁽²⁾	371		81		49		—		68		119


⁽¹⁾	The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or GNMA in the normal course of business and receives RMBS in exchange which may then be sold into the market to third-party investors for cash proceeds.


⁽²⁾	Substantially all of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. The Corporation recognized $715 million and $2.0 billion of gains, net of hedges, on loans securitized during 2014 and 2013.

First Lien Mortgages

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at December 31, 2014 and 2013.




First-lien Mortgage VIEs

	Residential Mortgage
							Non-agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
	December 31						December 31												December 31
(Dollars in millions)	2014			2013			2014		2013		2014		2013		2014		2013		2014		2013
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	14,918		$	21,140		$	1,288	$	1,527	$	3,167	$	591	$	710	$	437	$	352	$	432
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	584		$	650		$	3	$	—	$	14	$	1	$	81	$	3	$	54	$	14
Debt securities carried at fair value	13,473			19,451			816		988		2,811		220		383		109		76		306
Held-to-maturity securities	837			1,012			—		—		—		—		—		—		42		—
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		—		8		1		—		58		13
Debt securities carried at fair value	—			—			12		15		5		6		—		—		58		53
Held-to-maturity securities	—			—			—		—		—		—		—		—		15		—
Residual interests held	—			—			10		13		—		—		—		—		22		16
All other assets ⁽³⁾	24			27			56		71		1		1		245		325		—		—
Total retained positions	$	14,918		$	21,140		$	897	$	1,087	$	2,831	$	236	$	710	$	437	$	325	$	402
Principal balance outstanding ⁽⁴⁾	$	397,055		$	437,765		$	20,167	$	25,104	$	32,592	$	36,854	$	50,054	$	56,454	$	20,593	$	19,730

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	38,345		$	42,420		$	77	$	79	$	206	$	183	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,538		$	1,640		$	—	$	—	$	30	$	—	$	—	$	—	$	—	$	—
Loans and leases	36,187			40,316			130		140		768		803		—		—		—		—
Allowance for loan and lease losses	(2		)	(3		)	—		—		—		—		—		—		—		—
All other assets	623			474			6		—		15		7		—		—		—		—
Total assets	$	38,346		$	42,427		$	136	$	140	$	813	$	810	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	1		$	7		$	56	$	61	$	770	$	803	$	—	$	—	$	—	$	—
All other liabilities	—			—			3		—		13		7		—		—		—		—
Total liabilities	$	1		$	7		$	59	$	61	$	783	$	810	$	—	$	—	$	—	$	—


⁽¹⁾	Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 23 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2014 and 2013, there were no OTTI losses recorded on those securities classified as AFS debt securities.

⁽³⁾

Not included in the table above are all other assets of $635 million and $1.6 billion, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of $635 million and $1.6 billion, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at December 31, 2014 and 2013.


⁽⁴⁾	Principal balance outstanding includes loans the Corporation transferred with which it has continuing involvement, which may include servicing the loans.

Home equity lines of credit

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at December 31, 2014 and 2013.




Home Equity Loan VIEs

	December 31
	2014								2013
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	991		$	5,224	$	6,215		$	1,269		$	6,217	$	7,486
On-balance sheet assets
Trading account assets	$	—		$	14	$	14		$	—		$	12	$	12
Debt securities carried at fair value	—			39		39			—			25		25
Loans and leases	1,014			—		1,014			1,329			—		1,329
Allowance for loan and lease losses	(56		)	—		(56		)	(80		)	—		(80		)
All other assets	33			—		33			20			—		20
Total	$	991		$	53	$	1,044		$	1,269		$	37	$	1,306
On-balance sheet liabilities
Long-term debt	$	1,076		$	—	$	1,076		$	1,450		$	—	$	1,450
All other liabilities	—			—		—			90			—		90
Total	$	1,076		$	—	$	1,076		$	1,540		$	—	$	1,540
Principal balance outstanding	$	1,014		$	6,362	$	7,376		$	1,329		$	7,542	$	8,871


⁽¹⁾	For unconsolidated VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves, and excludes the liability for representations and warranties obligations and corporate guarantees.

Credit Card Receivable

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to consolidated credit card securitization trusts in which the Corporation held a variable interest at December 31, 2014 and 2013.




Credit Card VIEs

	December 31
(Dollars in millions)	2014			2013
Consolidated VIEs
Maximum loss exposure	$	43,139		$	49,621
On-balance sheet assets
Derivative assets	$	1		$	182
Loans and leases ⁽¹⁾	53,068			61,241
Allowance for loan and lease losses	(1,904		)	(2,585		)
Loans held-for-sale	—			386
All other assets ⁽²⁾	391			2,281
Total	$	51,556		$	61,505
On-balance sheet liabilities
Long-term debt	$	8,401		$	11,822
All other liabilities	16			62
Total	$	8,417		$	11,884


⁽¹⁾	At December 31, 2014 and 2013, loans and leases included $36.9 billion and $41.2 billion of seller’s interest.


⁽²⁾	At December 31, 2014 and 2013, all other assets included restricted cash, certain short-term investments, and unbilled accrued interest and fees.

Other Asset-backed Securitizations

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at December 31, 2014 and 2013.




Other Asset-backed VIEs

	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
	December 31				December 31				December 31
(Dollars in millions)	2014		2013		2014		2013		2014		2013
Unconsolidated VIEs
Maximum loss exposure	$	8,569	$	11,913	$	2,100	$	2,192	$	77	$	81
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	767	$	971	$	25	$	53	$	6	$	1
Debt securities carried at fair value	6,945		10,866		—		—		61		70
Held-to-maturity securities	740		—		—		—		—		—
Subordinate securities held ^{(1, 2)}:
Trading account assets	37		—		—		—		—		—
Debt securities carried at fair value	73		71		—		—		—		—
Residual interests held ⁽³⁾	7		5		—		—		—		—
All other assets	—		—		—		—		10		10
Total retained positions	$	8,569	$	11,913	$	25	$	53	$	77	$	81
Total assets of VIEs ⁽⁴⁾	$	28,065	$	40,924	$	3,314	$	3,643	$	1,276	$	1,788

Consolidated VIEs
Maximum loss exposure	$	654	$	164	$	2,440	$	2,667	$	92	$	94
On-balance sheet assets
Trading account assets	$	1,295	$	319	$	2,452	$	2,684	$	—	$	—
Loans and leases	—		—		—		—		—		680
Loans held-for-sale	—		—		—		—		555		—
All other assets	—		—		—		—		54		61
Total assets	$	1,295	$	319	$	2,452	$	2,684	$	609	$	741
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	1,032	$	1,073	$	—	$	—
Long-term debt	641		155		12		17		516		646
All other liabilities	—		—		—		—		1		1
Total liabilities	$	641	$	155	$	1,044	$	1,090	$	517	$	647


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2014 and 2013, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽²⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽³⁾	The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy).


⁽⁴⁾	Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.

Other Variable Interest Entities

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at December 31, 2014 and 2013.




Other VIEs

	December 31
	2014								2013
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated		Total
Maximum loss exposure	$	7,981		$	12,391	$	20,372		$	9,716		$	12,523	$	22,239
On-balance sheet assets
Trading account assets	$	1,575		$	355	$	1,930		$	3,769		$	1,420	$	5,189
Derivative assets	5			284		289			3			739		742
Debt securities carried at fair value	—			483		483			—			1,944		1,944
Loans and leases	4,020			2,693		6,713			4,609			270		4,879
Allowance for loan and lease losses	(6		)	—		(6		)	(6		)	—		(6		)
Loans held-for-sale	1,267			814		2,081			998			85		1,083
All other assets	1,641			6,374		8,015			1,734			6,167		7,901
Total	$	8,502		$	11,003	$	19,505		$	11,107		$	10,625	$	21,732
On-balance sheet liabilities
Short-term borrowings	$	—		$	—	$	—		$	77		$	—	$	77
Long-term debt ⁽¹⁾	1,834			—		1,834			4,487			—		4,487
All other liabilities	105			2,643		2,748			93			2,538		2,631
Total	$	1,939		$	2,643	$	4,582		$	4,657		$	2,538	$	7,195
Total assets of VIEs	$	8,502		$	41,467	$	49,969		$	11,107		$	38,505	$	49,612


⁽¹⁾	Includes $584 million, $0 and $780 million of long-term debt at December 31, 2014 and $1.2 billion, $1.3 billion and $780 million of long-term debt at December 31, 2013 issued by consolidated customer vehicles, CDO vehicles and investment vehicles, respectively, which has recourse to the general credit of the Corporation.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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