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)

3 Months Ended

Mar. 31, 2024

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 March 31, 2024 and December 31, 2023.



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)	March 31, 2024								December 31, 2023
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	37,971	$	28	$	(1,487)	$	36,512	$	39,195	$	37	$	(1,420)	$	37,812
Agency-collateralized mortgage obligations	2,661		8		(219)		2,450		2,739		6		(201)		2,544
Commercial	10,978		66		(469)		10,575		10,909		40		(514)		10,435
Non-agency residential (1)	310		46		(58)		298		449		3		(70)		382
Total mortgage-backed securities	51,920		148		(2,233)		49,835		53,292		86		(2,205)		51,173
U.S. Treasury and government agencies	229,830		81		(1,072)		228,839		179,108		19		(1,461)		177,666
Non-U.S. securities	21,249		23		(21)		21,251		22,868		27		(20)		22,875

Other taxable securities	3,285		2		(49)		3,238		4,910		1		(76)		4,835

Tax-exempt securities	10,134		11		(235)		9,910		10,304		17		(221)		10,100
Total available-for-sale debt securities	316,418		265		(3,610)		313,073		270,482		150		(3,983)		266,649
Other debt securities carried at fair value (2)	10,035		90		(79)		10,046		10,202		56		(55)		10,203
Total debt securities carried at fair value	326,453		355		(3,689)		323,119		280,684		206		(4,038)		276,852
Held-to-maturity debt securities

Agency mortgage-backed securities	457,841		—		(88,505)		369,336		465,456		—		(78,930)		386,526




U.S. Treasury and government agencies	121,658		—		(19,526)		102,132		121,645		—		(17,963)		103,682


Other taxable securities	7,400		—		(1,120)		6,280		7,490		—		(1,101)		6,389


Total held-to-maturity debt securities	586,899		—		(109,151)		477,748		594,591		—		(97,994)		496,597
Total debt securities (3,4)	$	913,352	$	355	$	(112,840)	$	800,867	$	875,275	$	206	$	(102,032)	$	773,449

(1)At March 31, 2024 and December 31, 2023, the underlying collateral type included approximately 24 percent and 17 percent prime and 76 percent 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 $188.3 billion and $204.9 billion at March 31, 2024 and December 31, 2023.

(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 $268.0 billion and $169.0 billion, and a fair value of $216.4 billion and $136.6 billion at March 31, 2024, and 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.

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 months ended March 31, 2024 and 2023 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities

	Three Months Ended March 31
(Dollars in millions)		2024		2023
Gross gains		$	11	$	96
Gross losses		(1)		(306)
Net gains (losses) on sales of AFS debt securities		$	10	$	(210)
Income tax expense (benefit) attributable to realized net gains (losses) on sales of AFS debt securities		$	2	$	(53)

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 March 31, 2024 and December 31, 2023.



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)	March 31, 2024
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	9,729	$	(31)	$	20,061	$	(1,456)	$	29,790	$	(1,487)
Agency-collateralized mortgage obligations	—		—		1,630		(219)		1,630		(219)
Commercial	770		(13)		4,700		(456)		5,470		(469)
Non-agency residential	—		—		158		(58)		158		(58)
Total mortgage-backed securities	10,499		(44)		26,549		(2,189)		37,048		(2,233)
U.S. Treasury and government agencies	5,793		(3)		68,837		(1,069)		74,630		(1,072)
Non-U.S. securities	9,661		(11)		1,996		(10)		11,657		(21)

Other taxable securities	608		(3)		2,450		(46)		3,058		(49)

Tax-exempt securities	154		(1)		3,244		(234)		3,398		(235)



Total AFS debt securities in a continuous unrealized loss position	$	26,715	$	(62)	$	103,076	$	(3,548)	$	129,791	$	(3,610)

	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)

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 March 31, 2024 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	$	—	—	%	$	4	4.00	%	$	8	3.13	%	$	37,959	4.70	%	$	37,971	4.70	%
Agency-collateralized mortgage obligations	—		—		—		—		—		—		2,661		3.38		2,661		3.38
Commercial	32		3.03		1,940		5.88		7,449		3.92		1,570		2.74		10,991		4.09
Non-agency residential	—		—		—		—		—		—		576		10.15		576		10.15
Total mortgage-backed securities	32		3.03		1,944		5.88		7,457		3.92		42,766		4.62		52,199		4.57
U.S. Treasury and government agencies	82,297		5.29		135,534		3.72		13,857		2.75		37		3.92		231,725		4.21
Non-U.S. securities	18,124		3.91		6,087		1.49		3,751		5.34		1,148		5.09		29,110		3.63

Other taxable securities	733		6.55		2,233		6.11		244		4.36		75		2.82		3,285		6.01

Tax-exempt securities	1,066		4.18		3,881		3.65		996		3.29		4,191		4.02		10,134		3.82
Total amortized cost of debt securities carried at fair value	$	102,252	5.04		$	149,679	3.69		$	26,305	3.49		$	48,217	4.57		$	326,453	4.23
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	11	2.73	%	$	457,830	2.16	%	$	457,841	2.16	%




U.S. Treasury and government agencies	—		—		13,043		1.93		108,615		1.32		—		—		121,658		1.39


Other taxable securities	76		1.73		1,219		2.58		279		3.46		5,826		2.49		7,400		2.54


Total amortized cost of HTM debt securities	$	76	1.73		$	14,262	1.98		$	108,905	1.33		$	463,656	2.16		$	586,899	2.00

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	4			$	7			$	36,501			$	36,512
Agency-collateralized mortgage obligations	—				—				—				2,450				2,450
Commercial	32				1,899				7,291				1,364				10,586
Non-agency residential	—				2				—				559				561
Total mortgage-backed securities	32				1,905				7,298				40,874				50,109
U.S. Treasury and government agencies	82,294				134,902				13,502				36				230,734
Non-U.S. securities	18,136				6,089				3,750				1,149				29,124

Other taxable securities	730				2,222				222				68				3,242

Tax-exempt securities	1,065				3,847				971				4,027				9,910
Total debt securities carried at fair value	$	102,257			$	148,965			$	25,743			$	46,154			$	323,119
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	10			$	369,326			$	369,336




U.S. Treasury and government agencies	—				11,695				90,437				—				102,132


Other taxable securities	75				1,156				225				4,824				6,280


Total fair value of HTM debt securities	$	75			$	12,851			$	90,672			$	374,150			$	477,748

(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.