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, 2023

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, 2023 and December 31, 2022.



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, 2023								December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	23,621	$	1	$	(1,469)	$	22,153	$	25,204	$	5	$	(1,767)	$	23,442
Agency-collateralized mortgage obligations	2,033		—		(230)		1,803		2,452		—		(231)		2,221
Commercial	6,966		26		(511)		6,481		6,894		28		(515)		6,407
Non-agency residential (1)	455		3		(59)		399		461		15		(90)		386
Total mortgage-backed securities	33,075		30		(2,269)		30,836		35,011		48		(2,603)		32,456
U.S. Treasury and government agencies	72,422		1		(1,065)		71,358		160,773		18		(1,769)		159,022
Non-U.S. securities	15,445		33		(70)		15,408		13,455		4		(52)		13,407

Other taxable securities	3,858		1		(86)		3,773		4,728		1		(84)		4,645

Tax-exempt securities	10,884		14		(268)		10,630		11,518		19		(279)		11,258
Total available-for-sale debt securities	135,684		79		(3,758)		132,005		225,485		90		(4,787)		220,788
Other debt securities carried at fair value (2)	10,008		122		(95)		10,035		8,986		376		(156)		9,206
Total debt securities carried at fair value	145,692		201		(3,853)		142,040		234,471		466		(4,943)		229,994
Held-to-maturity debt securities

Agency mortgage-backed securities	484,753		—		(85,005)		399,748		503,233		—		(87,319)		415,914




U.S. Treasury and government agencies	121,621		—		(19,788)		101,833		121,597		—		(20,259)		101,338


Other taxable securities	7,775		—		(1,005)		6,770		8,033		—		(1,018)		7,015


Total held-to-maturity debt securities	614,149		—		(105,798)		508,351		632,863		—		(108,596)		524,267
Total debt securities (3,4)	$	759,841	$	201	$	(109,651)	$	650,391	$	867,334	$	466	$	(113,539)	$	754,261

(1)At both June 30, 2023 and December 31, 2022, the underlying collateral type included approximately 17 percent prime and 83 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 $138.6 billion and $104.5 billion at June 30, 2023 and December 31, 2022.

(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 $279.8 billion and $170.8 billion, and a fair value of $230.3 billion and $139.6 billion at June 30, 2023, and 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.

Gross Realized Gains (Losses) on Sales of Available For Sale Debt

The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2023 and 2022 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities

	Three Months Ended June 30				Six Months Ended June 30

(Dollars in millions)	2023		2022		2023		2022
Gross gains	$	8	$	666	$	104	$	702
Gross losses	(202)		(650)		(508)		(680)
Net gains (losses) on sales of AFS debt securities	$	(194)	$	16	$	(404)	$	22
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities	$	(48)	$	4	$	(101)	$	6

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, 2023 and December 31, 2022.



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, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	7,176	$	(256)	$	14,675	$	(1,213)	$	21,851	$	(1,469)
Agency-collateralized mortgage obligations	92		(9)		1,709		(221)		1,801		(230)
Commercial	1,073		(29)		4,287		(482)		5,360		(511)
Non-agency residential	—		—		387		(59)		387		(59)
Total mortgage-backed securities	8,341		(294)		21,058		(1,975)		29,399		(2,269)
U.S. Treasury and government agencies	2,047		(96)		66,308		(969)		68,355		(1,065)
Non-U.S. securities	6,906		(40)		1,319		(30)		8,225		(70)

Other taxable securities	2,312		(27)		1,205		(59)		3,517		(86)

Tax-exempt securities	671		(6)		2,899		(262)		3,570		(268)



Total AFS debt securities in a continuous unrealized loss position	$	20,277	$	(463)	$	92,789	$	(3,295)	$	113,066	$	(3,758)

	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)

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, 2023 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	$	—	—	%	$	3	4.67	%	$	53	4.85	%	$	23,565	3.41	%	$	23,621	3.41	%
Agency-collateralized mortgage obligations	—		—		2		2.00		—		—		2,031		2.79		2,033		2.79
Commercial	13		1.85		790		2.99		4,587		2.37		1,588		2.33		6,978		2.43
Non-agency residential	—		—		—		—		—		—		736		10.62		736		10.62
Total mortgage-backed securities	13		1.85		795		2.99		4,640		2.40		27,920		3.49		33,368		3.33
U.S. Treasury and government agencies	4,012		4.35		38,478		3.12		30,720		2.43		37		3.79		73,247		2.90
Non-U.S. securities	16,323		1.69		4,093		2.20		3,371		5.07		548		5.14		24,335		2.32

Other taxable securities	477		5.58		2,865		4.66		309		3.03		207		4.47		3,858		4.64

Tax-exempt securities	961		3.66		4,019		3.79		2,104		3.82		3,800		4.23		10,884		3.94
Total amortized cost of debt securities carried at fair value	$	21,786	2.35		$	50,250	3.18		$	41,144	2.72		$	32,512	3.61		$	145,692	3.02
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	13	2.62	%	$	484,740	2.12	%	$	484,753	2.12	%




U.S. Treasury and government agencies	—		—		4,553		1.80		117,068		1.37		—		—		121,621		1.39


Other taxable securities	41		9.33		1,275		2.43		278		3.24		6,181		2.48		7,775		2.53


Total amortized cost of HTM debt securities	$	41	9.33		$	5,828	1.94		$	117,359	1.37		$	490,921	2.12		$	614,149	1.97

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	3			$	53			$	22,097			$	22,153
Agency-collateralized mortgage obligations	—				2				—				1,801				1,803
Commercial	13				765				4,356				1,358				6,492
Non-agency residential	—				2				—				693				695
Total mortgage-backed securities	13				772				4,409				25,949				31,143
U.S. Treasury and government agencies	4,010				37,941				30,195				36				72,182
Non-U.S. securities	16,307				4,093				3,362				546				24,308

Other taxable securities	474				2,830				276				197				3,777

Tax-exempt securities	960				3,981				2,081				3,608				10,630
Total debt securities carried at fair value	$	21,764			$	49,617			$	40,323			$	30,336			$	142,040
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	12			$	399,736			$	399,748




U.S. Treasury and government agencies	—				4,171				97,662				—				101,833


Other taxable securities	41				1,194				266				5,269				6,770


Total fair value of HTM debt securities	$	41			$	5,365			$	97,940			$	405,005			$	508,351

(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.