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)

6 Months Ended

Jun. 30, 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 June 30, 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)	June 30, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	29,999	$	46	$	(1,320)	$	28,725	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,741		4		(132)		2,613		3,331		74		(25)		3,380
Commercial	13,038		130		(608)		12,560		19,036		647		(79)		19,604
Non-agency residential (1)	477		16		(63)		430		591		25		(33)		583
Total mortgage-backed securities	46,255		196		(2,123)		44,328		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	195,527		540		(2,012)		194,055		197,853		1,610		(318)		199,145
Non-U.S. securities	11,879		—		(43)		11,836		11,933		—		—		11,933

Other taxable securities	3,318		6		(54)		3,270		2,725		39		(3)		2,761

Tax-exempt securities	12,976		44		(255)		12,765		15,155		317		(39)		15,433
Total available-for-sale debt securities	269,955		786		(4,487)		266,254		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	8,645		41		(275)		8,411		8,873		105		(83)		8,895
Total debt securities carried at fair value	278,600		827		(4,762)		274,665		304,765		4,074		(766)		308,073
Held-to-maturity debt securities

Agency mortgage-backed securities	528,297		21		(67,193)		461,125		553,721		3,855		(10,366)		547,210




U.S. Treasury and government agencies	121,574		—		(14,896)		106,678		111,859		254		(2,395)		109,718


Other taxable securities	8,413		1		(675)		7,739		9,011		147		(196)		8,962


Total held-to-maturity debt securities	658,284		22		(82,764)		575,542		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	936,884	$	849	$	(87,526)	$	850,207	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At June 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 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 $97.0 billion and $111.9 billion at June 30, 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 $310.2 billion and $187.8 billion, and a fair value of $270.6 billion and $162.8 billion at June 30, 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 June 30, 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)	June 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	24,891	$	(1,239)	$	859	$	(81)	$	25,750	$	(1,320)
Agency-collateralized mortgage obligations	2,289		(130)		65		(2)		2,354		(132)
Commercial	7,887		(496)		806		(112)		8,693		(608)
Non-agency residential	302		(50)		102		(13)		404		(63)
Total mortgage-backed securities	35,369		(1,915)		1,832		(208)		37,201		(2,123)
U.S. Treasury and government agencies	152,855		(1,674)		15,518		(338)		168,373		(2,012)
Non-U.S. securities	9,949		(25)		742		(18)		10,691		(43)

Other taxable securities	2,024		(16)		499		(38)		2,523		(54)

Tax-exempt securities	868		(147)		2,794		(108)		3,662		(255)



Total AFS debt securities in a continuous unrealized loss position	$	201,065	$	(3,777)	$	21,385	$	(710)	$	222,450	$	(4,487)

	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 June 30, 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	5.40	%	$	47	4.55	%	$	29,947	3.29	%	$	29,999	3.29	%
Agency-collateralized mortgage obligations	—		—		—		—		18		2.56		2,723		2.91		2,741		2.91
Commercial	74		2.38		3,580		2.64		7,509		1.82		1,888		2.12		13,051		2.09
Non-agency residential	—		—		—		—		—		—		887		7.33		887		7.33
Total mortgage-backed securities	74		2.38		3,585		2.64		7,574		1.84		35,445		3.30		46,678		3.01
U.S. Treasury and government agencies	12,918		1.50		61,277		2.02		121,490		1.61		32		2.91		195,717		1.73
Non-U.S. securities	17,748		0.71		2,030		4.28		3		6.03		130		4.03		19,911		1.10

Other taxable securities	899		3.02		1,834		2.61		286		3.22		299		3.01		3,318		2.81

Tax-exempt securities	938		1.21		5,117		1.93		2,800		2.42		4,121		2.01		12,976		2.01
Total amortized cost of debt securities carried at fair value	$	32,577	1.11		$	73,843	2.12		$	132,153	1.64		$	40,027	3.17		$	278,600	1.93
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	15	2.60	%	$	528,282	2.13	%	$	528,297	2.13	%




U.S. Treasury and government agencies	—		—		4,534		1.80		117,040		1.37		—		—		121,574		1.39


Other taxable securities	39		8.65		1,074		2.24		442		2.98		6,858		2.49		8,413		2.51


Total amortized cost of HTM debt securities	$	39	8.65		$	5,608	1.88		$	117,497	1.37		$	535,140	2.13		$	658,284	1.99

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	48			$	28,672			$	28,725
Agency-collateralized mortgage obligations	—				—				18				2,595				2,613
Commercial	74				3,619				7,159				1,720				12,572
Non-agency residential	—				3				—				836				839
Total mortgage-backed securities	74				3,627				7,225				33,823				44,749
U.S. Treasury and government agencies	13,032				61,242				119,940				31				194,245
Non-U.S. securities	17,500				2,000				3				131				19,634

Other taxable securities	896				1,827				282				267				3,272

Tax-exempt securities	940				5,112				2,779				3,934				12,765
Total debt securities carried at fair value	$	32,442			$	73,808			$	130,229			$	38,186			$	274,665
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	14			$	461,111			$	461,125




U.S. Treasury and government agencies	—				4,297				102,381				—				106,678


Other taxable securities	39				1,030				423				6,247				7,739


Total fair value of HTM debt securities	$	39			$	5,327			$	102,818			$	467,358			$	575,542

(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.