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)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021.



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)	March 31, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	40,166	$	293	$	(965)	$	39,494	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,985		11		(102)		2,894		3,331		74		(25)		3,380
Commercial	19,330		336		(436)		19,230		19,036		647		(79)		19,604
Non-agency residential (1)	502		5		(53)		454		591		25		(33)		583
Total mortgage-backed securities	62,983		645		(1,556)		62,072		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	193,081		1,186		(1,481)		192,786		197,853		1,610		(318)		199,145
Non-U.S. securities	15,192		—		(9)		15,183		11,933		—		—		11,933

Other taxable securities	4,007		12		(29)		3,990		2,725		39		(3)		2,761

Tax-exempt securities	15,325		81		(150)		15,256		15,155		317		(39)		15,433
Total available-for-sale debt securities	290,588		1,924		(3,225)		289,287		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	8,532		91		(210)		8,413		8,873		105		(83)		8,895
Total debt securities carried at fair value	299,120		2,015		(3,435)		297,700		304,765		4,074		(766)		308,073
Held-to-maturity debt securities

Agency mortgage-backed securities	542,601		619		(41,454)		501,766		553,721		3,855		(10,366)		547,210




U.S. Treasury and government agencies	120,863		—		(10,046)		110,817		111,859		254		(2,395)		109,718


Other taxable securities	8,754		5		(466)		8,293		9,011		147		(196)		8,962


Total held-to-maturity debt securities	672,218		624		(51,966)		620,876		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	971,338	$	2,639	$	(55,401)	$	918,576	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At March 31, 2022 and December 31, 2021, the underlying collateral type included approximately 16 percent and 21 percent prime and 84 percent and 79 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 $106.0 billion and $111.9 billion at March 31, 2022 and December 31, 2021.

(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 $334.7 billion and $201.4 billion, and a fair value of $310.5 billion and $185.7 billion at March 31, 2022, and an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021.

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 March 31, 2022 and December 31, 2021.



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)	March 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	20,605	$	(908)	$	929	$	(57)	$	21,534	$	(965)
Agency-collateralized mortgage obligations	2,237		(100)		79		(2)		2,316		(102)
Commercial	7,574		(350)		776		(86)		8,350		(436)
Non-agency residential	268		(35)		110		(18)		378		(53)
Total mortgage-backed securities	30,684		(1,393)		1,894		(163)		32,578		(1,556)
U.S. Treasury and government agencies	141,076		(1,209)		16,011		(272)		157,087		(1,481)
Non-U.S. securities	760		(9)		—		—		760		(9)

Other taxable securities	683		(6)		334		(23)		1,017		(29)

Tax-exempt securities	755		(96)		2,285		(54)		3,040		(150)



Total AFS debt securities in a continuous unrealized loss position	$	173,958	$	(2,713)	$	20,524	$	(512)	$	194,482	$	(3,225)

	December 31, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	11,733	$	(166)	$	815	$	(20)	$	12,548	$	(186)
Agency-collateralized mortgage obligations	1,427		(22)		122		(3)		1,549		(25)
Commercial	3,451		(41)		776		(38)		4,227		(79)
Non-agency residential	241		(13)		174		(20)		415		(33)
Total mortgage-backed securities	16,852		(242)		1,887		(81)		18,739		(323)
U.S. Treasury and government agencies	103,307		(272)		4,850		(46)		108,157		(318)


Other taxable securities	—		—		82		(3)		82		(3)

Tax-exempt securities	502		(16)		109		(23)		611		(39)



Total AFS debt securities in a continuous unrealized loss position	$	120,661	$	(530)	$	6,928	$	(153)	$	127,589	$	(683)

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 March 31, 2022 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (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	4.80	%	$	46	4.67	%	$	40,115	3.12	%	$	40,166	3.12	%
Agency-collateralized mortgage obligations	—		—		—		—		19		2.53		2,966		2.91		2,985		2.91
Commercial	805		2.42		8,880		2.51		7,233		1.80		2,425		2.09		19,343		2.19
Non-agency residential	—		—		—		—		—		—		937		6.06		937		6.06
Total mortgage-backed securities	805		2.42		8,885		2.51		7,298		1.82		46,443		3.11		63,431		2.87
U.S. Treasury and government agencies	8,462		1.39		46,460		1.75		138,653		1.44		32		2.41		193,607		1.51
Non-U.S. securities	21,308		0.29		1,426		4.35		6		2.02		11		9.16		22,751		0.55

Other taxable securities	1,244		1.31		2,181		1.73		296		2.10		286		2.19		4,007		1.66

Tax-exempt securities	2,351		1.39		5,904		1.48		3,771		1.74		3,298		1.76		15,324		1.59
Total amortized cost of debt securities carried at fair value	$	34,170	0.73		$	64,856	1.88		$	150,024	1.47		$	50,070	3.02		$	299,120	1.73
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	4	1.75	%	$	542,597	2.13	%	$	542,601	2.13	%




U.S. Treasury and government agencies	—		—		3,830		1.64		117,033		1.37		—		—		120,863		1.38


Other taxable securities	43		7.20		1,111		2.17		429		2.76		7,171		2.47		8,754		2.47


Total amortized cost of HTM debt securities	$	43	7.20		$	4,941	1.76		$	117,466	1.37		$	549,768	2.13		$	672,218	1.99

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	48			$	39,441			$	39,494
Agency-collateralized mortgage obligations	—				—				19				2,875				2,894
Commercial	809				9,079				7,062				2,292				19,242
Non-agency residential	—				3				—				899				902
Total mortgage-backed securities	809				9,087				7,129				45,507				62,532
U.S. Treasury and government agencies	8,533				47,073				137,674				31				193,311
Non-U.S. securities	21,169				1,423				6				10				22,608

Other taxable securities	1,247				2,188				286				272				3,993

Tax-exempt securities	2,351				5,921				3,780				3,204				15,256
Total debt securities carried at fair value	$	34,109			$	65,692			$	148,875			$	49,024			$	297,700
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	3			$	501,763			$	501,766




U.S. Treasury and government agencies	—				3,687				107,130				—				110,817


Other taxable securities	43				1,086				421				6,743				8,293


Total fair value of HTM debt securities	$	43			$	4,773			$	107,554			$	508,506			$	620,876

(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.