Bank of America Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Securities

Securities

12 Months Ended

Dec. 31, 2022

Investments, Debt and Equity Securities [Abstract]

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of AFS debt securities, other debt securities carried at fair value and HTM debt securities at December 31, 2022 and 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)	December 31, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	25,204	$	5	$	(1,767)	$	23,442	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,452		—		(231)		2,221		3,331		74		(25)		3,380
Commercial	6,894		28		(515)		6,407		19,036		647		(79)		19,604
Non-agency residential (1)	461		15		(90)		386		591		25		(33)		583
Total mortgage-backed securities	35,011		48		(2,603)		32,456		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	160,773		18		(1,769)		159,022		197,853		1,610		(318)		199,145
Non-U.S. securities	13,455		4		(52)		13,407		11,933		—		—		11,933

Other taxable securities	4,728		1		(84)		4,645		2,725		39		(3)		2,761

Tax-exempt securities	11,518		19		(279)		11,258		15,155		317		(39)		15,433
Total available-for-sale debt securities	225,485		90		(4,787)		220,788		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	8,986		376		(156)		9,206		8,873		105		(83)		8,895
Total debt securities carried at fair value	234,471		466		(4,943)		229,994		304,765		4,074		(766)		308,073
Held-to-maturity debt securities

Agency mortgage-backed securities	503,233		—		(87,319)		415,914		553,721		3,855		(10,366)		547,210




U.S. Treasury and government agencies	121,597		—		(20,259)		101,338		111,859		254		(2,395)		109,718


Other taxable securities	8,033		—		(1,018)		7,015		9,011		147		(196)		8,962


Total held-to-maturity debt securities	632,863		—		(108,596)		524,267		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	867,334	$	466	$	(113,539)	$	754,261	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At December 31, 2022 and 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 20 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $104.5 billion and $111.9 billion at December 31, 2022 and 2021.

(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $290.5 billion and $176.7 billion, and a fair value of $239.6 billion and $144.6 billion at December 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.

At December 31, 2022, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.5 billion, net of the related income tax benefit of $1.2 billion. At December 31, 2022 and 2021, nonperforming AFS debt securities held by the Corporation were not significant.

At December 31, 2022 and 2021, the Corporation had $191.1 billion and $268.5 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles. For the remaining $29.7 billion and $30.7 billion in AFS debt securities at December 31, 2022 and 2021, the amount of ECL was not significant. At December 31, 2022 and 2021, the Corporation had $524.3 billion and $665.9 billion in HTM debt securities, which were substantially all U.S agency and U.S. Treasury securities that have a zero credit loss assumption.

At December 31, 2022 and 2021, the Corporation held equity securities at an aggregate fair value of $581 million

and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $340 million and $266 million, both of which are included in other assets. At December 31, 2022 and 2021, the Corporation also held money market investments at a fair value of $868 million and $707 million, which are included in time deposits placed and other short-term investments.

The gross realized gains and losses on sales of AFS debt securities for 2022, 2021 and 2020 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities


(Dollars in millions)	2022		2021		2020
Gross gains	$	1,251	$	49	$	423
Gross losses	(1,219)		(27)		(12)
Net gains on sales of AFS debt securities	$	32	$	22	$	411
Income tax expense attributable to realized net gains on sales of AFS debt securities	$	8	$	5	$	103

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 December 31, 2022 and 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)	December 31, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	18,759	$	(1,118)	$	4,437	$	(649)	$	23,196	$	(1,767)
Agency-collateralized mortgage obligations	1,165		(96)		1,022		(135)		2,187		(231)
Commercial	3,273		(150)		2,258		(365)		5,531		(515)
Non-agency residential	264		(65)		97		(25)		361		(90)
Total mortgage-backed securities	23,461		(1,429)		7,814		(1,174)		31,275		(2,603)
U.S. Treasury and government agencies	36,730		(308)		118,636		(1,461)		155,366		(1,769)
Non-U.S. securities	9,399		(34)		756		(18)		10,155		(52)

Other taxable securities	2,036		(16)		1,580		(68)		3,616		(84)

Tax-exempt securities	607		(28)		2,849		(251)		3,456		(279)



Total AFS debt securities in a continuous unrealized loss position	$	72,233	$	(1,815)	$	131,635	$	(2,972)	$	203,868	$	(4,787)

	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)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2022 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the MBS or other 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	$	—	—	%	$	3	5.67	%	$	56	4.39	%	$	25,145	3.37	%	$	25,204	3.37	%
Agency-collateralized mortgage obligations	—		—		10		2.60		—		—		2,442		2.89		2,452		2.89
Commercial	22		2.09		670		3.07		4,591		2.03		1,624		2.31		6,907		2.20
Non-agency residential	—		—		—		—		—		—		825		9.54		825		9.54
Total mortgage-backed securities	22		2.09		683		3.08		4,647		2.06		30,036		3.44		35,388		3.25
U.S. Treasury and government agencies	3,306		1.59		79,618		1.68		78,378		1.64		32		3.38		161,334		1.66
Non-U.S. securities	17,499		2.41		3,002		4.58		723		3.93		279		6.87		21,503		2.82

Other taxable securities	2,034		4.77		2,102		4.85		455		3.46		137		3.35		4,728		4.64

Tax-exempt securities	890		3.36		4,765		3.55		2,022		3.73		3,841		3.88		11,518		3.68
Total amortized cost of debt securities carried at fair value	$	23,751	2.53		$	90,170	1.96		$	86,225	1.74		$	34,325	3.52		$	234,471	2.16
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	14	2.64	%	$	503,219	2.13	%	$	503,233	2.13	%




U.S. Treasury and government agencies	—		—		4,544		1.80		117,053		1.37		—		—		121,597		1.39


Other taxable securities	38		9.06		1,251		2.23		313		3.00		6,431		2.45		8,033		2.47


Total amortized cost of HTM debt securities	$	38	9.06		$	5,795	1.89		$	117,380	1.37		$	509,650	2.13		$	632,863	1.99

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	3			$	56			$	23,383			$	23,442
Agency-collateralized mortgage obligations	—				10				—				2,211				2,221
Commercial	22				650				4,342				1,404				6,418
Non-agency residential	—				2				—				751				753
Total mortgage-backed securities	22				665				4,398				27,749				32,834
U.S. Treasury and government agencies	3,312				79,013				77,228				30				159,583
Non-U.S. securities	17,709				2,960				723				279				21,671

Other taxable securities	2,028				2,085				413				122				4,648

Tax-exempt securities	887				4,729				1,997				3,645				11,258
Total debt securities carried at fair value	$	23,958			$	89,452			$	84,759			$	31,825			$	229,994
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	13			$	415,901			$	415,914




U.S. Treasury and government agencies	—				4,164				97,174				—				101,338


Other taxable securities	38				1,170				295				5,512				7,015


Total fair value of HTM debt securities	$	38			$	5,334			$	97,482			$	421,413			$	524,267

(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.