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, 2023

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, 2023 and 2022.



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)	2023		2022		2023		2022		2023		2022		2023		2022
Proceeds from loan sales (1)	$	1,220	$	3,259	$	3,475	$	7,000	$	1,167	$	779	$	1,764	$	5,194
Gains on securitizations (2)	(2)		—		(6)		8		33		13		35		39
Repurchases from securitization trusts (3)	10		21		24		46		—		—		—		—

(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the government-sponsored enterprises or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives residential mortgage-backed securities 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 $17 million and $34 million net of hedges, during the three and nine months ended September 30, 2023 compared to $5 million and $35 million for the same periods in 2022, 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, 2023 and December 31, 2022.



Home Equity Loan, Credit Card and Other Asset-backed VIEs

	Home Equity (1)				Credit Card and Automobile (2)				Resecuritization Trusts				Municipal Bond Trusts


(Dollars in millions)	Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022
Unconsolidated VIEs
Maximum loss exposure	$	—	$	119	$	—	$	—	$	4,683	$	4,243	$	2,030	$	2,537
On-balance sheet assets
Securities (3):
Trading account assets	$	—	$	—	$	—	$	—	$	1,465	$	456	$	—	$	—
Debt securities carried at fair value	—		1		—		—		916		1,259		—		—
Held-to-maturity securities	—		—		—		—		2,302		2,528		—		—


Total retained positions	$	—	$	1	$	—	$	—	$	4,683	$	4,243	$	—	$	—
Total assets of VIEs	$	264	$	326	$	—	$	—	$	18,187	$	12,255	$	2,486	$	3,016

Consolidated VIEs
Maximum loss exposure	$	13	$	32	$	8,361	$	9,555	$	119	$	551	$	2,121	$	—
On-balance sheet assets
Trading account assets	$	—	$	—	$	—	$	—	$	291	$	650	$	2,071	$	—
Debt securities carried at fair value	—		—		—		—		—		—		50		—
Loans and leases	34		97		15,233		14,555		—		—		—		—
Allowance for loan and lease losses	7		12		(815)		(808)		—		—		—		—

All other assets	1		2		111		68		—		—		—		—
Total assets	$	42	$	111	$	14,529	$	13,815	$	291	$	650	$	2,121	$	—
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	—	$	—	$	—	$	—	$	2,036	$	—
Long-term debt	29		79		6,156		4,247		172		99		—		—
All other liabilities	—		—		12		13		—		—		—		—
Total liabilities	$	29	$	79	$	6,168	$	4,260	$	172	$	99	$	2,036	$	—

(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, 2023 and December 31, 2022, loans and leases in the consolidated credit card trust included $3.6 billion and $3.3 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, 2023 and December 31, 2022.



First-lien Mortgage VIEs

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

(Dollars in millions)	Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022		Sep 30 2023		Dec 31 2022
Unconsolidated VIEs
Maximum loss exposure (1)	$	8,280	$	9,112	$	83	$	91	$	655	$	735	$	9	$	28	$	1,461	$	1,594
On-balance sheet assets
Senior securities:
Trading account assets	$	284	$	232	$	4	$	3	$	20	$	25	$	7	$	26	$	17	$	91
Debt securities carried at fair value	2,482		3,027		—		—		342		410		—		—		—		—
Held-to-maturity securities	5,514		5,853		—		—		—		—		—		—		1,293		1,268
All other assets	—		—		2		3		22		25		2		2		45		101
Total retained positions	$	8,280	$	9,112	$	6	$	6	$	384	$	460	$	9	$	28	$	1,355	$	1,460
Principal balance outstanding (2)	$	76,572	$	81,644	$	3,589	$	3,973	$	4,600	$	5,034	$	10,650	$	11,568	$	81,080	$	85,101

Consolidated VIEs
Maximum loss exposure (1)	$	1,914	$	1,735	$	—	$	—	$	—	$	78	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,914	$	1,735	$	—	$	—	$	—	$	78	$	—	$	—	$	—	$	—
Loans and leases, net	—		—		—		—		—		—		—		—		—		—



Total assets	$	1,914	$	1,735	$	—	$	—	$	—	$	78	$	—	$	—	$	—	$	—




Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

(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, 2023 and December 31, 2022.



Other VIEs


	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated (1)		Total (1)

(Dollars in millions)	September 30, 2023						December 31, 2022
Maximum loss exposure	$	1,840	$	47,375	$	49,215	$	2,286	$	47,477	$	49,763
On-balance sheet assets
Trading account assets	$	378	$	2,183	$	2,561	$	353	$	2,187	$	2,540
Debt securities carried at fair value	—		125		125		—		473		473
Loans and leases	1,635		14,447		16,082		2,086		14,243		16,329
Allowance for loan and lease losses	(1)		(71)		(72)		(1)		(99)		(100)


All other assets	60		30,164		30,224		46		30,221		30,267
Total	$	2,072	$	46,848	$	48,920	$	2,484	$	47,025	$	49,509
On-balance sheet liabilities

Short-term borrowings	$	23	$	—	$	23	$	42	$	—	$	42
Long-term debt	209		—		209		156		—		156
All other liabilities	—		7,104		7,104		—		7,318		7,318
Total	$	232	$	7,104	$	7,336	$	198	$	7,318	$	7,516

(1)Prior period has been revised to include unconsolidated CLOs.

- 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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- Definition

Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table.

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