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, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2020 and 2019.



First-lien Mortgage Securitizations

	Residential Mortgage - Agency								Commercial Mortgage

	Three Months Ended September 30				Nine Months Ended September 30					Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2020		2019		2020		2019			2020		2019		2020		2019
Proceeds from loan sales (1)	$	1,698	$	2,718	$	14,625	$	6,020		$	945	$	1,360	$	3,237	$	4,541
Gains (losses) on securitizations (2)	3		8		724		23			17		28		57		73
Repurchases from securitization trusts (3)	68		209		363		695			—		—		—		—

(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the GSEs or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives residential mortgage-backed securities in exchange. Substantially all of these securities are classified as Level 2 within the fair value hierarchy and are typically sold shortly after receipt.

(2)A majority of the first-lien residential 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 $44 million and $105 million, net of hedges, during the three and nine months ended September 30, 2020 compared to $19 million and $38 million for the same periods in 2019, are not included in the table above.

(3)The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. The Corporation may also repurchase loans from securitization trusts to perform modifications. Repurchased loans include FHA-insured mortgages collateralizing GNMA securities.

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The following table summarizes select information related to home equity, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2020 and December 31, 2019.



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

	Home Equity (1)				Credit Card (2)				Resecuritization Trusts				Municipal Bond Trusts


(Dollars in millions)	Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019
Unconsolidated VIEs
Maximum loss exposure	$	329	$	412	$	—	$	—	$	9,201	$	7,526	$	3,320	$	3,701
On-balance sheet assets
Securities (3):
Trading account assets	$	—	$	—	$	—	$	—	$	1,009	$	2,188	$	3	$	—
Debt securities carried at fair value	9		11		—		—		2,990		1,126		—		—
Held-to-maturity securities	—		—		—		—		5,202		4,212		—		—


Total retained positions	$	9	$	11	$	—	$	—	$	9,201	$	7,526	$	3	$	—
Total assets of VIEs	$	804	$	1,023	$	—	$	—	$	18,811	$	21,234	$	3,835	$	4,395

Consolidated VIEs
Maximum loss exposure	$	62	$	64	$	14,770	$	17,915	$	265	$	54	$	1,246	$	2,656
On-balance sheet assets
Trading account assets	$	—	$	—	$	—	$	—	$	265	$	73	$	1,206	$	2,480

Loans and leases	122		122		21,793		26,985		—		—		—		—
Allowance for loan and lease losses	15		(2)		(1,824)		(800)		—		—		—		—

All other assets	3		3		93		119		—		—		40		176
Total assets	$	140	$	123	$	20,062	$	26,304	$	265	$	73	$	1,246	$	2,656
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	—	$	—	$	—	$	—	$	714	$	2,175
Long-term debt	78		64		5,273		8,372		—		19		—		—
All other liabilities	—		—		19		17		—		—		—		—
Total liabilities	$	78	$	64	$	5,292	$	8,389	$	—	$	19	$	714	$	2,175

(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 reserve for representations and warranties obligations and corporate guarantees. For more information, see Note 10 – Commitments and Contingencies.

(2)At September 30, 2020 and December 31, 2019, loans and leases in the consolidated credit card trust included $9.0 billion and $10.5 billion of seller’s interest.

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

First Lien Mortgages

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2020 and December 31, 2019.



First-lien Mortgage VIEs

	Residential Mortgage
					Non-agency
	Agency				Prime				Subprime				Alt-A				Commercial Mortgage

(Dollars in millions)	Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019		Sep 30 2020		December 31 2019
Unconsolidated VIEs
Maximum loss exposure (1)	$	14,199	$	12,554	$	286	$	340	$	1,440	$	1,622	$	167	$	98	$	1,138	$	1,036
On-balance sheet assets
Senior securities:
Trading account assets	$	152	$	627	$	9	$	5	$	8	$	54	$	102	$	24	$	60	$	65
Debt securities carried at fair value	8,337		6,392		156		193		1,071		1,178		64		72		—		—
Held-to-maturity securities	5,710		5,535		—		—		—		—		—		—		887		809
All other assets	—		—		6		2		31		49		1		2		61		38
Total retained positions	$	14,199	$	12,554	$	171	$	200	$	1,110	$	1,281	$	167	$	98	$	1,008	$	912
Principal balance outstanding (2)	$	144,735	$	160,226	$	6,555	$	7,268	$	6,928	$	8,594	$	17,478	$	19,878	$	57,832	$	60,129

Consolidated VIEs
Maximum loss exposure (1)	$	611	$	10,857	$	—	$	5	$	63	$	44	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	611	$	780	$	86	$	116	$	260	$	149	$	—	$	—	$	—	$	—
Loans and leases, net	—		9,917		—		—		—		—		—		—		—		—


All other assets	—		161		—		—		2		—		—		—		—		—
Total assets	$	611	$	10,858	$	86	$	116	$	262	$	149	$	—	$	—	$	—	$	—




Total liabilities	$	—	$	4	$	86	$	111	$	199	$	105	$	—	$	—	$	—	$	—

(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 reserve for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For more information, see Note 10 – Commitments and Contingencies and Note 14 – Fair Value Measurements.

(2)Principal balance outstanding includes loans where the Corporation was the transferor to securitization VIEs 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 September 30, 2020 and December 31, 2019.



Other VIEs


	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total

(Dollars in millions)	September 30, 2020						December 31, 2019
Maximum loss exposure	$	4,162	$	26,192	$	30,354	$	4,055	$	26,326	$	30,381
On-balance sheet assets
Trading account assets	$	2,064	$	601	$	2,665	$	2,213	$	549	$	2,762
Debt securities carried at fair value	—		74		74		—		74		74
Loans and leases	2,179		3,036		5,215		1,810		3,214		5,024
Allowance for loan and lease losses	(3)		(182)		(185)		(2)		(38)		(40)


All other assets	53		21,957		22,010		81		20,547		20,628
Total	$	4,293	$	25,486	$	29,779	$	4,102	$	24,346	$	28,448
On-balance sheet liabilities

Short-term borrowings	$	25	$	—	$	25	$	—	$	—	$	—
Long-term debt	106		—		106		46		—		46
All other liabilities	—		5,383		5,383		2		5,087		5,089
Total	$	131	$	5,383	$	5,514	$	48	$	5,087	$	5,135
Total assets of VIEs	$	4,293	$	105,922	$	110,215	$	4,102	$	98,491	$	102,593

- 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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