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, 2023

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, 2023 and 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)	December 31, 2023								December 31, 2022
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	39,195	$	37	$	(1,420)	$	37,812	$	25,204	$	5	$	(1,767)	$	23,442
Agency-collateralized mortgage obligations	2,739		6		(201)		2,544		2,452		—		(231)		2,221
Commercial	10,909		40		(514)		10,435		6,894		28		(515)		6,407
Non-agency residential (1)	449		3		(70)		382		461		15		(90)		386
Total mortgage-backed securities	53,292		86		(2,205)		51,173		35,011		48		(2,603)		32,456
U.S. Treasury and government agencies	179,108		19		(1,461)		177,666		160,773		18		(1,769)		159,022
Non-U.S. securities	22,868		27		(20)		22,875		13,455		4		(52)		13,407

Other taxable securities	4,910		1		(76)		4,835		4,728		1		(84)		4,645

Tax-exempt securities	10,304		17		(221)		10,100		11,518		19		(279)		11,258
Total available-for-sale debt securities	270,482		150		(3,983)		266,649		225,485		90		(4,787)		220,788
Other debt securities carried at fair value (2)	10,202		56		(55)		10,203		8,986		376		(156)		9,206
Total debt securities carried at fair value	280,684		206		(4,038)		276,852		234,471		466		(4,943)		229,994
Held-to-maturity debt securities

Agency mortgage-backed securities	465,456		—		(78,930)		386,526		503,233		—		(87,319)		415,914




U.S. Treasury and government agencies	121,645		—		(17,963)		103,682		121,597		—		(20,259)		101,338


Other taxable securities	7,490		—		(1,101)		6,389		8,033		—		(1,018)		7,015


Total held-to-maturity debt securities	594,591		—		(97,994)		496,597		632,863		—		(108,596)		524,267
Total debt securities (3,4)	$	875,275	$	206	$	(102,032)	$	773,449	$	867,334	$	466	$	(113,539)	$	754,261

(1)At both December 31, 2023 and 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 20 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $204.9 billion and $104.5 billion at December 31, 2023 and 2022.

(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $272.5 billion and $171.5 billion, and a fair value of $226.4 billion and $142.3 billion at December 31, 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.

At December 31, 2023, 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 $2.8 billion, net of the related income tax benefit of $960 million. At December 31, 2023 and 2022, nonperforming AFS debt securities held by the Corporation were not significant.

At December 31, 2023 and 2022, $824.9 billion and $826.5 billion of AFS and HTM debt securities, which were predominantly U.S. agency and U.S. Treasury securities, have a zero credit loss assumption. For the same periods, the ECL on the remaining $40.2 billion and $31.8 billion of AFS and HTM debt securities were insignificant. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles.

At December 31, 2023 and 2022, the Corporation held equity securities at an aggregate fair value of $251 million and $581 million and other equity securities, as valued under the

measurement alternative, at a carrying value of $377 million and $340 million, both of which are included in other assets. At December 31, 2023 and 2022, the Corporation also held money market investments at a fair value of $1.2 billion and $868 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 2023, 2022 and 2021 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities


(Dollars in millions)	2023		2022		2021
Gross gains	$	109	$	1,251	$	49
Gross losses	(514)		(1,219)		(27)
Net gains (losses) on sales of AFS debt securities	$	(405)	$	32	$	22
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities	$	(101)	$	8	$	5

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, 2023 and 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)	December 31, 2023
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	8,624	$	(21)	$	20,776	$	(1,399)	$	29,400	$	(1,420)
Agency-collateralized mortgage obligations	—		—		1,701		(201)		1,701		(201)
Commercial	2,363		(27)		4,588		(487)		6,951		(514)
Non-agency residential	—		—		370		(70)		370		(70)
Total mortgage-backed securities	10,987		(48)		27,435		(2,157)		38,422		(2,205)
U.S. Treasury and government agencies	14,907		(12)		69,669		(1,449)		84,576		(1,461)
Non-U.S. securities	7,702		(8)		1,524		(12)		9,226		(20)

Other taxable securities	3,269		(19)		1,437		(57)		4,706		(76)

Tax-exempt securities	466		(5)		2,106		(216)		2,572		(221)



Total AFS debt securities in a continuous unrealized loss position	$	37,331	$	(92)	$	102,171	$	(3,891)	$	139,502	$	(3,983)

	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)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2023 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	$	—	—	%	$	4	4.00	%	$	8	3.38	%	$	39,183	4.66	%	$	39,195	4.66	%
Agency-collateralized mortgage obligations	—		—		—		—		—		—		2,739		3.39		2,739		3.39
Commercial	—		—		1,759		6.18		7,475		4.59		1,688		2.61		10,922		4.54
Non-agency residential	—		—		—		—		—		—		732		10.48		732		10.48
Total mortgage-backed securities	—		—		1,763		6.17		7,483		4.59		44,342		4.60		53,588		4.65
U.S. Treasury and government agencies	79,257		5.29		86,631		3.39		14,868		2.72		42		3.90		180,798		4.17
Non-U.S. securities	19,138		3.96		6,546		1.82		4,203		5.49		1,197		5.07		31,084		3.76

Other taxable securities	422		6.09		3,995		6.14		377		4.30		116		3.27		4,910		5.93

Tax-exempt securities	1,801		4.53		3,698		3.62		873		3.11		3,932		4.17		10,304		3.94
Total amortized cost of debt securities carried at fair value	$	100,618	5.03		$	102,633	3.45		$	27,804	3.68		$	49,629	4.57		$	280,684	4.24
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	12	2.67	%	$	465,444	2.12	%	$	465,456	2.12	%




U.S. Treasury and government agencies	—		—		4,563		1.80		117,082		1.38		—		—		121,645		1.40


Other taxable securities	58		1.85		1,240		2.57		253		3.28		5,939		2.49		7,490		2.52


Total amortized cost of HTM debt securities	$	58	1.85		$	5,803	1.96		$	117,347	1.38		$	471,383	2.12		$	594,591	1.97

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	4			$	8			$	37,800			$	37,812
Agency-collateralized mortgage obligations	—				—				—				2,544				2,544
Commercial	1				1,720				7,260				1,465				10,446
Non-agency residential	—				2				—				660				662
Total mortgage-backed securities	1				1,726				7,268				42,469				51,464
U.S. Treasury and government agencies	79,268				85,674				14,374				40				179,356
Non-U.S. securities	19,138				6,554				4,204				1,198				31,094

Other taxable securities	419				3,966				346				107				4,838

Tax-exempt securities	1,797				3,687				855				3,761				10,100
Total debt securities carried at fair value	$	100,623			$	101,607			$	27,047			$	47,575			$	276,852
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	11			$	386,515			$	386,526




U.S. Treasury and government agencies	—				4,279				99,403				—				103,682


Other taxable securities	57				1,177				194				4,961				6,389


Total fair value of HTM debt securities	$	57			$	5,456			$	99,608			$	391,476			$	496,597

(1)The weighted-average yield is computed based on a constant effective yield over the contractual life of each security. The yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.