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

Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

Securities (Tables)

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at September 30, 2021 and December 31, 2020.



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)	September 30, 2021								December 31, 2020
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	50,756	$	1,631	$	(90)	$	52,297	$	59,518	$	2,370	$	(39)	$	61,849
Agency-collateralized mortgage obligations	3,684		103		(11)		3,776		5,112		161		(13)		5,260
Commercial	18,091		778		(50)		18,819		15,470		1,025		(4)		16,491
Non-agency residential (1)	799		39		(35)		803		899		127		(17)		1,009
Total mortgage-backed securities	73,330		2,551		(186)		75,695		80,999		3,683		(73)		84,609
U.S. Treasury and government agencies	167,419		1,869		(163)		169,125		114,157		2,236		(13)		116,380
Non-U.S. securities	12,289		4		—		12,293		14,009		15		(7)		14,017

Other taxable securities	2,589		45		(1)		2,633		2,656		61		(6)		2,711

Tax-exempt securities	15,312		321		(21)		15,612		16,417		389		(32)		16,774
Total available-for-sale debt securities	270,939		4,790		(371)		275,358		228,238		6,384		(131)		234,491
Other debt securities carried at fair value (2)	10,076		101		(158)		10,019		11,720		429		(39)		12,110
Total debt securities carried at fair value	281,015		4,891		(529)		285,377		239,958		6,813		(170)		246,601
Held-to-maturity debt securities

Agency mortgage-backed securities	562,124		5,497		(8,031)		559,590		414,289		9,768		(36)		424,021




U.S. Treasury and government agencies	111,855		167		(2,614)		109,408		16,084		—		(71)		16,013


Other taxable securities	9,295		197		(157)		9,335		7,906		327		(87)		8,146


Total held-to-maturity debt securities	683,274		5,861		(10,802)		678,333		438,279		10,095		(194)		448,180
Total debt securities (3,4)	$	964,289	$	10,752	$	(11,331)	$	963,710	$	678,237	$	16,908	$	(364)	$	694,781

(1)At both September 30, 2021 and December 31, 2020, the underlying collateral type included approximately 37 percent prime, 2 percent Alt-A and 61 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 14 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $76.4 billion and $65.5 billion at September 30, 2021 and December 31, 2020.

(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $348.6 billion and $205.7 billion, and a fair value of $348.4 billion and $204.1 billion at September 30, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.

Amortized Cost and Fair Value of Corporations Investment

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 September 30, 2021 and December 31, 2020.



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)	September 30, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	10,421	$	(72)	$	1,037	$	(18)	$	11,458	$	(90)
Agency-collateralized mortgage obligations	1,528		(6)		192		(5)		1,720		(11)
Commercial	2,517		(35)		322		(15)		2,839		(50)
Non-agency residential	479		(25)		113		(10)		592		(35)
Total mortgage-backed securities	14,945		(138)		1,664		(48)		16,609		(186)
U.S. Treasury and government agencies	45,297		(151)		944		(12)		46,241		(163)


Other taxable securities	336		(1)		—		—		336		(1)

Tax-exempt securities	373		(9)		422		(12)		795		(21)



Total AFS debt securities in a continuous unrealized loss position	$	60,951	$	(299)	$	3,030	$	(72)	$	63,981	$	(371)

	December 31, 2020
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	2,841	$	(39)	$	2	$	—	$	2,843	$	(39)
Agency-collateralized mortgage obligations	187		(2)		364		(11)		551		(13)
Commercial	566		(4)		9		—		575		(4)
Non-agency residential	342		(9)		56		(8)		398		(17)
Total mortgage-backed securities	3,936		(54)		431		(19)		4,367		(73)
U.S. Treasury and government agencies	8,282		(9)		498		(4)		8,780		(13)
Non-U.S. securities	1,861		(6)		135		(1)		1,996		(7)

Other taxable securities	576		(2)		396		(4)		972		(6)

Tax-exempt securities	4,108		(29)		617		(3)		4,725		(32)



Total AFS debt securities in a continuous unrealized loss position	$	18,763	$	(100)	$	2,077	$	(31)	$	20,840	$	(131)

Expected Maturity Distribution

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2021 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS or other asset-backed securities (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	$	—	—	%	$	5	4.73	%	$	53	4.51	%	$	50,698	3.12	%	$	50,756	3.12	%
Agency-collateralized mortgage obligations	—		—		—		—		21		2.52		3,663		2.91		3,684		2.91
Commercial	354		2.32		10,257		2.48		5,857		1.75		1,636		2.18		18,104		2.21
Non-agency residential	—		—		—		—		—		—		1,442		6.59		1,442		6.59
Total mortgage-backed securities	354		2.32		10,262		2.48		5,931		1.78		57,439		3.17		73,986		2.96
U.S. Treasury and government agencies	4,988		1.25		33,785		1.65		128,893		1.07		29		2.57		167,695		1.20
Non-U.S. securities	20,658		0.30		370		3.01		344		1.03		61		51.33		21,433		0.51

Other taxable securities	666		1.53		1,336		2.27		341		2.44		246		1.63		2,589		2.04

Tax-exempt securities	1,542		1.07		7,539		1.35		3,445		1.65		2,786		1.40		15,312		1.40
Total amortized cost of debt securities carried at fair value	$	28,208	0.57		$	53,292	1.79		$	138,954	1.12		$	60,561	3.13		$	281,015	1.62
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	4	2.33	%	$	562,120	2.15	%	$	562,124	2.15	%




U.S. Treasury and government agencies	—		—		—		—		111,855		1.35		—		—		111,855		1.35


Other taxable securities	234		6.51		824		2.36		314		3.05		7,923		2.52		9,295		2.63


Total amortized cost of HTM debt securities	$	234	6.51		$	824	2.36		$	112,173	1.35		$	570,043	2.16		$	683,274	2.03

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	57			$	52,235			$	52,297
Agency-collateralized mortgage obligations	—				—				21				3,755				3,776
Commercial	358				10,798				5,998				1,678				18,832
Non-agency residential	—				—				4				1,506				1,510
Total mortgage-backed securities	358				10,803				6,080				59,174				76,415
U.S. Treasury and government agencies	5,024				34,884				129,463				30				169,401
Non-U.S. securities	20,534				373				347				59				21,313

Other taxable securities	671				1,368				346				251				2,636

Tax-exempt securities	1,544				7,681				3,577				2,810				15,612
Total debt securities carried at fair value	$	28,131			$	55,109			$	139,813			$	62,324			$	285,377
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	4			$	559,586			$	559,590




U.S. Treasury and government agencies	—				—				109,408				—				109,408


Other taxable securities	234				863				326				7,912				9,335


Total fair value of HTM debt securities	$	234			$	863			$	109,738			$	567,498			$	678,333

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