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, 2015

Variable Interest Entity [Line Items]

The table below summarizes select information related to first-lien mortgage securitizations for 2015 and 2014.




First-lien Mortgage Securitizations

	Residential Mortgage
	Agency				Non-agency - Subprime				Commercial Mortgage
(Dollars in millions)	2015		2014		2015		2014		2015		2014
Cash proceeds from new securitizations⁽¹⁾	$	27,164	$	36,905	$	—	$	809	$	7,945	$	5,710
Gain on securitizations ⁽²⁾	894		371		—		49		49		68


⁽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⁾	A majority of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled $750 million and $715 million, net of hedges, during 2015 and 2014, are not included in the table above.

Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan, credit card and other asset-backed VIEs in which the Corporation held a variable interest at December 31, 2015 and 2014.




Home Equity Loan, Credit Card and Other Asset-backed VIEs

	Home Equity Loan ⁽¹⁾						Credit Card ^{(2, 3)}						Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
	December 31
(Dollars in millions)	2015			2014			2015			2014			2015		2014		2015		2014		2015		2014
Unconsolidated VIEs
Maximum loss exposure	$	3,988		$	4,801		$	—		$	—		$	13,043	$	8,569	$	1,572	$	2,100	$	63	$	77
On-balance sheet assets
Senior securities held ^{(4, 5)}:
Trading account assets	$	—		$	12		$	—		$	—		$	1,248	$	767	$	2	$	25	$	—	$	6
Debt securities carried at fair value	—			—			—			—			4,341		6,945		—		—		53		61
Held-to-maturity securities	—			—			—			—			7,367		740		—		—		—		—
Subordinate securities held ^{(4, 5)}:
Trading account assets	—			2			—			—			17		44		—		—		—		—
Debt securities carried at fair value	57			39			—			—			70		73		—		—		—		—
All other assets	—			—			—			—			—		—		—		—		10		10
Total retained positions	$	57		$	53		$	—		$	—		$	13,043	$	8,569	$	2	$	25	$	63	$	77
Total assets of VIEs ⁽⁶⁾	$	5,883		$	6,362		$	—		$	—		$	35,362	$	28,065	$	2,518	$	3,314	$	314	$	1,276

Consolidated VIEs
Maximum loss exposure	$	231		$	991		$	32,678		$	43,139		$	354	$	654	$	1,973	$	2,440	$	—	$	92
On-balance sheet assets
Trading account assets	$	—		$	—		$	—		$	—		$	771	$	1,295	$	1,984	$	2,452	$	—	$	—
Loans and leases	321			1,014			43,194			53,068			—		—		—		—		—		—
Allowance for loan and lease losses	(18		)	(56		)	(1,293		)	(1,904		)	—		—		—		—		—		—
Loans held-for-sale	—			—			—			—			—		—		—		—		—		555
All other assets	20			33			342			392			—		—		1		—		—		54
Total assets	$	323		$	991		$	42,243		$	51,556		$	771	$	1,295	$	1,985	$	2,452	$	—	$	609
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—		$	—		$	—	$	—	$	681	$	1,032	$	—	$	—
Long-term debt	183			1,076			9,550			8,401			417		641		12		12		—		516
All other liabilities	—			—			15			16			—		—		—		—		—		1
Total liabilities	$	183		$	1,076		$	9,565		$	8,417		$	417	$	641	$	693	$	1,044	$	—	$	517

⁽¹⁾

For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees.


⁽²⁾	At December 31, 2015 and 2014, loans and leases in the consolidated credit card trust included $24.7 billion and $36.9 billion of seller’s interest.


⁽³⁾	At December 31, 2015 and 2014, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.


⁽⁴⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2015 and 2014, there were no OTTI losses recorded on those securities classified as AFS or HTM debt securities.


⁽⁵⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽⁶⁾	Total assets include loans the Corporation transferred with which it has continuing involvement, which may include servicing the loan.

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, 2015 and 2014.




First-lien Mortgage VIEs

	Residential Mortgage
						Non-agency
	Agency					Prime				Subprime				Alt-A				Commercial Mortgage
	December 31					December 31												December 31
(Dollars in millions)	2015		2014			2015		2014		2015		2014		2015		2014		2015		2014
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	28,188	$	14,918		$	1,027	$	1,288	$	2,905	$	3,167	$	622	$	710	$	326	$	352
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	1,297	$	584		$	42	$	3	$	94	$	14	$	99	$	81	$	59	$	54
Debt securities carried at fair value	24,369		13,473			613		816		2,479		2,811		340		383		—		76
Held-to-maturity securities	2,507		837			—		—		—		—		—		—		37		42
Subordinate securities held ⁽²⁾:
Trading account assets	—		—			1		—		37		—		2		1		22		58
Debt securities carried at fair value	—		—			12		12		3		5		28		—		54		58
Held-to-maturity securities	—		—			—		—		—		—		—		—		13		15
Residual interests held	—		—			—		10		—		—		—		—		48		22
All other assets ⁽³⁾	15		24			40		56		—		1		153		245		—		—
Total retained positions	$	28,188	$	14,918		$	708	$	897	$	2,613	$	2,831	$	622	$	710	$	233	$	325
Principal balance outstanding ⁽⁴⁾	$	313,613	$	397,055		$	16,087	$	20,167	$	27,854	$	32,592	$	40,848	$	50,054	$	34,243	$	20,593

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	26,878	$	38,345		$	65	$	77	$	232	$	206	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,101	$	1,538		$	—	$	—	$	188	$	30	$	—	$	—	$	—	$	—
Loans and leases	25,328		36,187			111		130		675		768		—		—		—		—
Allowance for loan and lease losses	—		(2		)	—		—		—		—		—		—		—		—
All other assets	449		623			—		6		54		15		—		—		—		—
Total assets	$	26,878	$	38,346		$	111	$	136	$	917	$	813	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	—	$	1		$	46	$	56	$	840	$	770	$	—	$	—	$	—	$	—
All other liabilities	1		—			—		3		—		13		—		—		—		—
Total liabilities	$	1	$	1		$	46	$	59	$	840	$	783	$	—	$	—	$	—	$	—

⁽¹⁾

Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but 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 2015 and 2014, 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 $222 million and $635 million, 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 $222 million and $635 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at December 31, 2015 and 2014.


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

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, 2015 and 2014.




Other VIEs

	December 31
	2015									2014
(Dollars in millions)	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated		Total
Maximum loss exposure	$	6,295		$	12,916		$	19,211		$	7,981		$	12,391	$	20,372
On-balance sheet assets
Trading account assets	$	2,300		$	366		$	2,666		$	1,575		$	355	$	1,930
Debt securities carried at fair value	—			126			126			—			483		483
Loans and leases	3,317			3,389			6,706			4,020			2,693		6,713
Allowance for loan and lease losses	(9		)	(23		)	(32		)	(6		)	—		(6		)
Loans held-for-sale	284			1,025			1,309			1,267			814		2,081
All other assets	664			6,925			7,589			1,646			6,658		8,304
Total	$	6,556		$	11,808		$	18,364		$	8,502		$	11,003	$	19,505
On-balance sheet liabilities
Long-term debt ⁽¹⁾	$	3,025		$	—		$	3,025		$	1,834		$	—	$	1,834
All other liabilities	5			2,697			2,702			105			2,643		2,748
Total	$	3,030		$	2,697		$	5,727		$	1,939		$	2,643	$	4,582
Total assets of VIEs	$	6,556		$	40,894		$	47,450		$	8,502		$	41,467	$	49,969


⁽¹⁾	Includes $2.8 billion and $1.4 billion of long-term debt at December 31, 2015 and 2014 issued by other consolidated VIEs, 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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