Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2011

Securitizations and Other Variable Interest Entities [Abstract]

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2011 and 2010.



	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
							Three Months Ended September 30
(Dollars in millions)	2011			2010			2011		2010		2011		2010		2011		2010		2011		2010
Cash proceeds from new securitizations ⁽¹⁾	$	31,481		$	61,727		$	—	$	—	$	—	$	—	$	36	$	—	$	1,667	$	934
Loss on securitizations, net of hedges ⁽²⁾	(281		)	(336		)	—		—		—		—		—		—		—		(22		)
Cash flows received on residual interests	—			—			1		4		10		13		5		—		4		5

	Nine Months Ended September 30
	2011			2010			2011		2010		2011		2010		2011		2010		2011		2010
Cash proceeds from new securitizations ⁽¹⁾	$	128,457		$	192,936		$	—	$	—	$	—	$	—	$	36	$	3	$	3,468	$	3,317
Loss on securitizations, net of hedges ⁽²⁾	(336		)	(787		)	—		—		—		—		—		—		—		—
Cash flows received on residual interests	—			—			2		15		32		45		6		2		11		15


⁽¹⁾	The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS 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 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. During the three and nine months ended September 30, 2011, the Corporation recognized $636 million and $2.5 billion of gains on these LHFS compared to $1.3 billion and $3.8 billion for the same periods in 2010, net of hedges.

Selected information related to first-lien mortgage securitization trusts in which Corporation holds variable interest

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2011			December 31 2010			September 30 2011		December 31 2010		September 30 2011		December 31 2010		September 30 2011		December 31 2010		September 30 2011		December 31 2010
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	41,855		$	46,093		$	2,342	$	2,794	$	442	$	416	$	533	$	651	$	1,210	$	1,199
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	9,220		$	10,693		$	106	$	147	$	91	$	126	$	357	$	645	$	104	$	146
AFS debt securities	32,623			35,400			2,138		2,593		187		234		176		—		958		984
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		4		12		—		—		9		8
AFS debt securities	—			—			28		39		31		35		—		6		—		—
Residual interests held	12			—			16		6		16		9		—		—		67		61
All other assets	—			—			—		9		—		—		—		—		—		—
Total retained positions	$	41,855		$	46,093		$	2,288	$	2,794	$	329	$	416	$	533	$	651	$	1,138	$	1,199
Principal balance outstanding ⁽³⁾	$	1,281,647		$	1,297,159		$	64,291	$	75,762	$	79,983	$	92,710	$	105,345	$	116,233	$	74,647	$	73,597

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	50,152		$	32,746		$	616	$	46	$	420	$	42	$	—	$	—	$	—	$	—
On-balance sheet assets
Loans and leases	$	49,826		$	32,563		$	3,790	$	—	$	951	$	—	$	—	$	—	$	—	$	—
Allowance for loan and lease losses	(32		)	(37		)	—		—		—		—		—		—		—		—
Loans held-for-sale	—			—			—		—		655		732		—		—		—		—
All other assets	358			220			348		46		31		16		—		—		—		—
Total assets	$	50,152		$	32,746		$	4,138	$	46	$	1,637	$	748	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	—		$	—		$	4,137	$	—	$	961	$	—	$	—	$	—	$	—	$	—
All other liabilities	—			3			—		9		736		768		—		—		—		—
Total liabilities	$	—		$	3		$	4,137	$	9	$	1,697	$	768	$	—	$	—	$	—	$	—


⁽¹⁾	Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For more information, see Note 9 – Representations and Warranties Obligations and Corporate Guarantees and Note 19 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽³⁾	Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.

Other asset-backed securitizations include resecuritization trusts, municipal bond trusts, and automobile and other securitization trusts. The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	September 30 2011		December 31 2010		September 30 2011		December 31 2010		September 30 2011			December 31 2010
Unconsolidated VIEs
Maximum loss exposure	$	36,233	$	20,320	$	3,779	$	4,261	$	109		$	141
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	185	$	1,219	$	341	$	255	$	—		$	—
AFS debt securities	34,864		17,989		—		—		81			109
Subordinate securities held ^{(1, 2)}:
Trading account assets	1		2		—		—		—			—
AFS debt securities	965		1,036		—		—		—			—
Residual interests held ⁽³⁾	218		74		—		—		—			—
All other assets	—		—		—		—		13			17
Total retained positions	$	36,233	$	20,320	$	341	$	255	$	94		$	126
Total assets of VIEs	$	65,375	$	39,830	$	5,697	$	6,108	$	693		$	774

Consolidated VIEs
Maximum loss exposure	$	—	$	—	$	4,587	$	4,716	$	1,071		$	2,061
On-balance sheet assets
Trading account assets	$	—	$	68	$	4,587	$	4,716	$	—		$	—
Loans and leases	—		—		—		—		5,654			9,583
Allowance for loan and lease losses	—		—		—		—		(8		)	(29		)
All other assets	—		—		—		—		185			196
Total assets	$	—	$	68	$	4,587	$	4,716	$	5,831		$	9,750
On-balance sheet liabilities
Commercial paper and other short-term borrowings	$	—	$	—	$	5,501	$	4,921	$	—		$	—
Long-term debt	—		68		—		—		4,755			7,681
All other liabilities	—		—		—		—		125			101
Total liabilities	$	—	$	68	$	5,501	$	4,921	$	4,880		$	7,782


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2011 and 2010, 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).

Securitizations related to home equity

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	September 30, 2011								December 31, 2010
(Dollars in millions)	Consolidated VIEs			Retained Interests in Unconsolidated VIEs		Total			Consolidated VIEs			Retained Interests in Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	2,793		$	7,920	$	10,713		$	3,192		$	9,132	$	12,324
On-balance sheet assets
Trading account assets ^{(2, 3)}	$	—		$	111	$	111		$	—		$	209	$	209
AFS debt securities ^{(3, 4)}	—			12		12			—			35		35
Loans and leases	3,095			—		3,095			3,529			—		3,529
Allowance for loan and lease losses	(302		)	—		(302		)	(337		)	—		(337		)
Total	$	2,793		$	123	$	2,916		$	3,192		$	244	$	3,436
On-balance sheet liabilities
Long-term debt	$	3,193		$	—	$	3,193		$	3,635		$	—	$	3,635
All other liabilities	55			—		55			23			—		23
Total	$	3,248		$	—	$	3,248		$	3,658		$	—	$	3,658
Principal balance outstanding	$	3,095		$	17,046	$	20,141		$	3,529		$	20,095	$	23,624


⁽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 and corporate guarantees.


⁽²⁾	At September 30, 2011 and December 31, 2010, $109 million and $204 million of the debt securities classified as trading account assets were senior securities and $2 million and $5 million were subordinate securities.


⁽³⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽⁴⁾	At September 30, 2011 and December 31, 2010, $12 million and $35 million represented subordinate debt securities held.

Securitizations related to credit card

The table below summarizes select information related to credit card securitization trusts in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



(Dollars in millions)	September 30 2011			December 31 2010
Consolidated VIEs
Maximum loss exposure	$	40,318		$	36,596
On-balance sheet assets
Derivative assets	$	1,047		$	1,778
Loans and leases ⁽¹⁾	77,412			92,104
Allowance for loan and lease losses	(5,312		)	(8,505		)
Loans held-for-sale ⁽²⁾	2,385			—
All other assets ⁽³⁾	2,634			4,259
Total	$	78,166		$	89,636
On-balance sheet liabilities
Long-term debt	$	37,653		$	52,781
All other liabilities	195			259
Total	$	37,848		$	53,040
Trust loans	$	79,797		$	92,104


⁽¹⁾	At September 30, 2011 and December 31, 2010, loans and leases included $27.0 billion and $20.4 billion of seller’s interest and $1.7 billion and $3.8 billion of discount receivables.


⁽²⁾	At September 30, 2011, LHFS included $1.2 billion of seller's interest.


⁽³⁾	At September 30, 2011 and December 31, 2010, all other assets included restricted cash accounts and unbilled accrued interest and fees.

Information related to CDO vehicles

The table below summarizes select information related to CDO vehicles in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	September 30, 2011						December 31, 2010
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	1,972	$	2,564	$	4,536	$	2,971	$	3,828	$	6,799
On-balance sheet assets
Trading account assets	$	1,636	$	502	$	2,138	$	2,485	$	884	$	3,369
Derivative assets	195		771		966		207		890		1,097
AFS debt securities	256		—		256		769		338		1,107
All other assets	15		130		145		24		123		147
Total	$	2,102	$	1,403	$	3,505	$	3,485	$	2,235	$	5,720
On-balance sheet liabilities
Derivative liabilities	$	—	$	13	$	13	$	—	$	58	$	58
Long-term debt	2,437		2		2,439		3,162		—		3,162
Total	$	2,437	$	15	$	2,452	$	3,162	$	58	$	3,220
Total assets of VIEs	$	2,102	$	34,164	$	36,266	$	3,485	$	43,476	$	46,961

he table below summarizes select information related to customer vehicles in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	September 30, 2011						December 31, 2010
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	2,722	$	2,340	$	5,062	$	4,449	$	2,735	$	7,184
On-balance sheet assets
Trading account assets	$	2,657	$	245	$	2,902	$	3,458	$	876	$	4,334
Derivative assets	—		1,183		1,183		1		722		723
Loans held-for-sale	736		—		736		959		—		959
All other assets	1,441		—		1,441		1,429		—		1,429
Total	$	4,834	$	1,428	$	6,262	$	5,847	$	1,598	$	7,445
On-balance sheet liabilities
Derivative liabilities	$	3	$	45	$	48	$	1	$	23	$	24
Commercial paper and other short-term borrowings	40		—		40		—		—		—
Long-term debt	3,215		—		3,215		3,457		—		3,457
All other liabilities	—		456		456		—		140		140
Total	$	3,258	$	501	$	3,759	$	3,458	$	163	$	3,621
Total assets of VIEs	$	4,834	$	5,154	$	9,988	$	5,847	$	6,090	$	11,937

Information related to other VIEs

The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at September 30, 2011 and December 31, 2010.



	September 30, 2011									December 31, 2010
(Dollars in millions)	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated			Total
Maximum loss exposure	$	6,193		$	7,161		$	13,354		$	19,248		$	8,796		$	28,044
On-balance sheet assets
Trading account assets	$	31		$	13		$	44		$	8,900		$	—		$	8,900
Derivative assets	369			337			706			—			228			228
AFS debt securities	—			63			63			1,832			73			1,905
Loans and leases	5,295			432			5,727			7,690			1,122			8,812
Allowance for loan and lease losses	(7		)	(8		)	(15		)	(27		)	(22		)	(49		)
Loans held-for-sale	128			741			869			262			949			1,211
All other assets	402			5,580			5,982			937			6,440			7,377
Total	$	6,218		$	7,158		$	13,376		$	19,594		$	8,790		$	28,384
On-balance sheet liabilities
Commercial paper and other short-term borrowings	$	—		$	—		$	—		$	1,115		$	—		$	1,115
Long-term debt	10			—			10			229			—			229
All other liabilities	668			1,488			2,156			8,683			1,666			10,349
Total	$	678		$	1,488		$	2,166		$	10,027		$	1,666		$	11,693
Total assets of VIEs	$	6,218		$	10,850		$	17,068		$	19,594		$	13,416		$	33,010