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, 2021

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, 2021 and 2020.



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)	2021		2020		2021		2020		2021		2020		2021		2020
Proceeds from loan sales (1)	$	2,153	$	1,698	$	5,047	$	14,625	$	3,122	$	945	$	5,961	$	3,237
Gains on securitizations (2)	3		3		8		724		41		17		105		57
Repurchases from securitization trusts (3)	156		68		512		363		—		—		—		—

(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the Government-sponsored enterprise (GSEs) or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives RMBS 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 $24 million and $97 million, net of hedges, during the three and nine months ended September 30, 2021 compared to $44 million and $105 million for the same periods in 2020, 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 table below 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, 2021 and December 31, 2020.



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 2021		December 31 2020		Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020
Unconsolidated VIEs
Maximum loss exposure	$	167	$	206	$	—	$	—	$	6,896	$	8,543	$	3,862	$	3,507
On-balance sheet assets
Securities (3):
Trading account assets	$	—	$	—	$	—	$	—	$	1,306	$	948	$	—	$	—
Debt securities carried at fair value	1		2		—		—		2,087		2,727		—		—
Held-to-maturity securities	—		—		—		—		3,503		4,868		—		—


Total retained positions	$	1	$	2	$	—	$	—	$	6,896	$	8,543	$	—	$	—
Total assets of VIEs	$	455	$	609	$	—	$	—	$	16,665	$	17,250	$	4,417	$	4,042

Consolidated VIEs
Maximum loss exposure	$	48	$	58	$	9,944	$	14,606	$	211	$	217	$	301	$	1,030
On-balance sheet assets
Trading account assets	$	—	$	—	$	—	$	—	$	219	$	217	$	261	$	990

Loans and leases	168		218		14,139		21,310		—		—		—		—
Allowance for loan and lease losses	14		14		(1,005)		(1,704)		—		—		—		—

All other assets	3		4		67		1,289		—		—		40		40
Total assets	$	185	$	236	$	13,201	$	20,895	$	219	$	217	$	301	$	1,030
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	—	$	—	$	—	$	—	$	280	$	432
Long-term debt	138		178		3,247		6,273		8		—		—		—
All other liabilities	—		—		10		16		—		—		—		—
Total liabilities	$	138	$	178	$	3,257	$	6,289	$	8	$	—	$	280	$	432

(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, 2021 and December 31, 2020, loans and leases in the consolidated credit card trust included $4.0 billion and $7.6 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, 2021 and December 31, 2020.



First-lien Mortgage VIEs

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

(Dollars in millions)	Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020		Sep 30 2021		December 31 2020
Unconsolidated VIEs
Maximum loss exposure (1)	$	12,308	$	13,477	$	219	$	250	$	992	$	1,031	$	51	$	46	$	1,343	$	1,169
On-balance sheet assets
Senior securities:
Trading account assets	$	230	$	152	$	18	$	2	$	26	$	8	$	20	$	12	$	53	$	60
Debt securities carried at fair value	5,738		7,588		80		103		638		676		30		33		—		—
Held-to-maturity securities	6,340		5,737		—		—		—		—		—		—		1,047		925
All other assets	—		—		6		6		26		26		1		1		68		50
Total retained positions	$	12,308	$	13,477	$	104	$	111	$	690	$	710	$	51	$	46	$	1,168	$	1,035
Principal balance outstanding (2)	$	106,969	$	133,497	$	5,059	$	6,081	$	5,995	$	6,691	$	14,404	$	16,554	$	70,864	$	59,268

Consolidated VIEs
Maximum loss exposure (1)	$	1,174	$	1,328	$	10	$	66	$	23	$	53	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,174	$	1,328	$	38	$	350	$	217	$	260	$	—	$	—	$	—	$	—




Total assets	$	1,174	$	1,328	$	38	$	350	$	217	$	260	$	—	$	—	$	—	$	—




Total liabilities	$	—	$	—	$	28	$	284	$	194	$	207	$	—	$	—	$	—	$	—

(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, 2021 and December 31, 2020.



Other VIEs


	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total

(Dollars in millions)	September 30, 2021						December 31, 2020
Maximum loss exposure	$	4,831	$	25,409	$	30,240	$	4,106	$	23,870	$	27,976
On-balance sheet assets
Trading account assets	$	2,523	$	577	$	3,100	$	2,080	$	623	$	2,703
Debt securities carried at fair value	—		7		7		—		9		9
Loans and leases	2,550		39		2,589		2,108		184		2,292
Allowance for loan and lease losses	(3)		(5)		(8)		(3)		(3)		(6)


All other assets	26		24,302		24,328		54		22,553		22,607
Total	$	5,096	$	24,920	$	30,016	$	4,239	$	23,366	$	27,605
On-balance sheet liabilities

Short-term borrowings	$	50	$	—	$	50	$	22	$	—	$	22
Long-term debt	215		—		215		111		—		111
All other liabilities	—		6,109		6,109		—		5,658		5,658
Total	$	265	$	6,109	$	6,374	$	133	$	5,658	$	5,791
Total assets of VIEs	$	5,096	$	86,035	$	91,131	$	4,239	$	77,984	$	82,223

- 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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