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

Annual report pursuant to Section 13 and 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2013

Variable Interest Entity [Line Items]

The table below summarizes select information related to first-lien mortgage securitizations for 2013 and 2012.




First-lien Mortgage Securitizations

	Residential Mortgage - Agency					Commercial Mortgage
(Dollars in millions)	2013		2012			2013		2012
Cash proceeds from new securitizations⁽¹⁾	$	49,888	$	39,526		$	5,326	$	2,664
Gain (loss) on securitizations ⁽²⁾	81		(212		)	119		65


⁽¹⁾	The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS in exchange which may then be sold into the market to third-party investors for cash proceeds.


⁽²⁾	Substantially all of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. The Corporation recognized $2.0 billion of gains, net of hedges, on loans securitized during both 2013 and 2012.

First-Lien Mortgages [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at December 31, 2013 and 2012.




First-lien Mortgage VIEs

	Residential Mortgage
							Non-agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
	December 31						December 31												December 31
(Dollars in millions)	2013			2012			2013		2012		2013		2012		2013		2012		2013		2012
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	21,140		$	28,591		$	1,527	$	2,038	$	406	$	410	$	437	$	367	$	432	$	702
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	650		$	619		$	—	$	16	$	1	$	14	$	3	$	—	$	14	$	12
Debt securities carried at fair value	19,451			26,421			988		1,388		220		210		109		128		306		581
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		8		3		—		—		13		13
Debt securities carried at fair value	—			—			15		21		6		9		—		—		53		—
Residual interests held	—			—			13		18		—		9		—		—		16		40
All other assets ⁽³⁾	1,039			1,551			71		64		1		1		325		239		—		—
Total retained positions	$	21,140		$	28,591		$	1,087	$	1,507	$	236	$	246	$	437	$	367	$	402	$	646
Principal balance outstanding ⁽⁴⁾	$	437,765		$	780,202		$	25,104	$	47,348	$	36,854	$	63,813	$	56,454	$	80,860	$	19,730	$	56,733

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	42,420		$	46,959		$	79	$	104	$	368	$	390	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,640		$	—		$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Loans and leases	40,316			45,991			140		283		803		722		—		—		—		—
Allowance for loan and lease losses	(3		)	(4		)	—		—		—		—		—		—		—		—
Loans held-for-sale	—			—			—		—		—		914		—		—		—		—
All other assets	474			972			—		10		7		91		—		—		—		—
Total assets	$	42,427		$	46,959		$	140	$	293	$	810	$	1,727	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—	$	—	$	—	$	741	$	—	$	—	$	—	$	—
Long-term debt	7			—			61		212		803		941		—		—		—		—
All other liabilities	—			—			—		—		7		—		—		—		—		—
Total liabilities	$	7		$	—		$	61	$	212	$	810	$	1,682	$	—	$	—	$	—	$	—


⁽¹⁾	Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 23 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2013 and 2012, there were no OTTI losses recorded on those securities classified as AFS debt securities.

⁽³⁾

Not included in the table above are all other assets of $1.6 billion and $12.1 billion, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of $1.6 billion and $12.1 billion, representing the principal amount that would be payable to the securitization vehicles if the Corporation were to exercise the repurchase option, at December 31, 2013 and 2012.


⁽⁴⁾	Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.

Home Equity Line of Credit [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at December 31, 2013 and 2012.




Home Equity Loan VIEs

	December 31
	2013								2012
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	1,269		$	6,217	$	7,486		$	2,004		$	6,707	$	8,711
On-balance sheet assets
Trading account assets	$	—		$	12	$	12		$	—		$	8	$	8
Debt securities carried at fair value	—			25		25			—			14		14
Loans and leases	1,329			—		1,329			2,197			—		2,197
Allowance for loan and lease losses	(80		)	—		(80		)	(193		)	—		(193		)
All other assets	20			—		20			—			—		—
Total	$	1,269		$	37	$	1,306		$	2,004		$	22	$	2,026
On-balance sheet liabilities
Long-term debt	$	1,450		$	—	$	1,450		$	2,331		$	—	$	2,331
All other liabilities	90			—		90			92			—		92
Total	$	1,540		$	—	$	1,540		$	2,423		$	—	$	2,423
Principal balance outstanding	$	1,329		$	7,542	$	8,871		$	2,197		$	12,644	$	14,841


⁽¹⁾	For unconsolidated VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves, and excludes the liability for representations and warranties obligations and corporate guarantees.

Credit Card Receivable [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to consolidated credit card securitization trusts in which the Corporation held a variable interest at December 31, 2013 and 2012.




Credit Card VIEs

	December 31
(Dollars in millions)	2013			2012
Consolidated VIEs
Maximum loss exposure	$	49,621		$	42,487
On-balance sheet assets
Derivative assets	$	182		$	323
Loans and leases ⁽¹⁾	61,241			66,427
Allowance for loan and lease losses	(2,585		)	(3,445		)
Loans held-for-sale	386			—
All other assets ⁽²⁾	2,281			1,567
Total	$	61,505		$	64,872
On-balance sheet liabilities
Long-term debt	$	11,822		$	22,291
All other liabilities	62			94
Total	$	11,884		$	22,385


⁽¹⁾	At December 31, 2013 and 2012, loans and leases included $41.2 billion and $33.5 billion of seller’s interest and $14 million and $124 million of discount receivables.


⁽²⁾	At December 31, 2013 and 2012, all other assets included restricted cash and short-term investment accounts and unbilled accrued interest and fees.

Collateralized Securities, Other [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at December 31, 2013 and 2012.




Other Asset-backed VIEs

	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
	December 31				December 31				December 31
(Dollars in millions)	2013		2012		2013		2012		2013		2012
Unconsolidated VIEs
Maximum loss exposure	$	11,913	$	20,715	$	2,192	$	3,341	$	81	$	122
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	971	$	1,281	$	53	$	12	$	1	$	37
Debt securities carried at fair value	10,866		19,343		—		540		70		74
Subordinate securities held ^{(1, 2)}:
Debt securities carried at fair value	71		75		—		—		—		—
Residual interests held ⁽³⁾	5		16		—		—		—		—
All other assets	—		—		—		—		10		11
Total retained positions	$	11,913	$	20,715	$	53	$	552	$	81	$	122
Total assets of VIEs ⁽⁴⁾	$	40,924	$	42,818	$	3,643	$	4,980	$	1,788	$	1,890

Consolidated VIEs
Maximum loss exposure	$	164	$	126	$	2,667	$	2,505	$	94	$	1,255
On-balance sheet assets
Trading account assets	$	319	$	220	$	2,684	$	2,505	$	—	$	—
Loans and leases	—		—		—		—		680		2,523
Allowance for loan and lease losses	—		—		—		—		—		(2		)
All other assets	—		—		—		—		61		250
Total assets	$	319	$	220	$	2,684	$	2,505	$	741	$	2,771
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	1,073	$	2,859	$	—	$	—
Long-term debt	155		94		17		—		646		1,513
All other liabilities	—		—		—		—		1		82
Total liabilities	$	155	$	94	$	1,090	$	2,859	$	647	$	1,595


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2013 and 2012, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽²⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽³⁾	The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy).


⁽⁴⁾	Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.

Other Variable Interest Entity Investment Vehicle [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities




Other VIEs

	December 31
	2013								2012
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated		Total
Maximum loss exposure	$	9,716		$	12,523	$	22,239		$	10,803		$	9,269	$	20,072
On-balance sheet assets
Trading account assets	$	3,769		$	1,420	$	5,189		$	5,181		$	356	$	5,537
Derivative assets	3			739		742			10			1,277		1,287
Debt securities carried at fair value	—			1,944		1,944			—			39		39
Loans and leases	4,609			270		4,879			5,084			67		5,151
Allowance for loan and lease losses	(6		)	—		(6		)	(14		)	—		(14		)
Loans held-for-sale	998			85		1,083			1,055			157		1,212
All other assets	1,734			6,167		7,901			1,764			5,844		7,608
Total	$	11,107		$	10,625	$	21,732		$	13,080		$	7,740	$	20,820
On-balance sheet liabilities
Short-term borrowings	$	77		$	—	$	77		$	131		$	—	$	131
Long-term debt ⁽¹⁾	4,487			—		4,487			6,874			—		6,874
All other liabilities	93			2,538		2,631			92			2,092		2,184
Total	$	4,657		$	2,538	$	7,195		$	7,097		$	2,092	$	9,189
Total assets of VIEs	$	11,107		$	38,505	$	49,612		$	13,080		$	39,700	$	52,780

- 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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