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, 2021

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, 2021 and 2020.



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, 2021								December 31, 2020
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	45,268	$	1,257	$	(186)	$	46,339	$	59,518	$	2,370	$	(39)	$	61,849
Agency-collateralized mortgage obligations	3,331		74		(25)		3,380		5,112		161		(13)		5,260
Commercial	19,036		647		(79)		19,604		15,470		1,025		(4)		16,491
Non-agency residential (1)	591		25		(33)		583		899		127		(17)		1,009
Total mortgage-backed securities	68,226		2,003		(323)		69,906		80,999		3,683		(73)		84,609
U.S. Treasury and government agencies	197,853		1,610		(318)		199,145		114,157		2,236		(13)		116,380
Non-U.S. securities	11,933		—		—		11,933		14,009		15		(7)		14,017

Other taxable securities	2,725		39		(3)		2,761		2,656		61		(6)		2,711

Tax-exempt securities	15,155		317		(39)		15,433		16,417		389		(32)		16,774
Total available-for-sale debt securities	295,892		3,969		(683)		299,178		228,238		6,384		(131)		234,491
Other debt securities carried at fair value (2)	8,873		105		(83)		8,895		11,720		429		(39)		12,110
Total debt securities carried at fair value	304,765		4,074		(766)		308,073		239,958		6,813		(170)		246,601
Held-to-maturity debt securities

Agency mortgage-backed securities	553,721		3,855		(10,366)		547,210		414,289		9,768		(36)		424,021




U.S. Treasury and government agencies	111,859		254		(2,395)		109,718		16,084		—		(71)		16,013


Other taxable securities	9,011		147		(196)		8,962		7,906		327		(87)		8,146


Total held-to-maturity debt securities	674,591		4,256		(12,957)		665,890		438,279		10,095		(194)		448,180
Total debt securities (3,4)	$	979,356	$	8,330	$	(13,723)	$	973,963	$	678,237	$	16,908	$	(364)	$	694,781

(1)At December 31, 2021 and 2020, the underlying collateral type included approximately 21 percent and 37 percent prime, 0 percent and 2 percent Alt-A and 79 percent and 61 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 $111.9 billion and $65.5 billion at December 31, 2021 and 2020.

(4)The Corporation held debt securities from FNMA and FHLMC that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021, and an amortized cost of $260.1 billion and $118.1 billion, and a fair value of $267.5 billion and $120.7 billion at December 31, 2020.

At December 31, 2021, the accumulated net unrealized gain on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $2.5 billion, net of the related income tax expense of $817 million. At December 31, 2021 and 2020, nonperforming AFS debt securities held by the Corporation were insignificant.

At December 31, 2021 and 2020, the Corporation had $268.5 billion and $200.0 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For the remaining $30.7 billion and $34.5 billion in AFS debt securities at December 31, 2021 and 2020, the amount of ECL was insignificant. Substantially all of the Corporation's HTM debt securities consist of U.S. agency and U.S. Treasury securities and have a zero credit loss assumption.

At December 31, 2021 and 2020, the Corporation held equity securities at an aggregate fair value of $513 million and $769 million and other equity securities, as valued under the

measurement alternative, at a carrying value of $266 million and $240 million, both of which are included in other assets. At December 31, 2021 and 2020, the Corporation also held money market investments at a fair value of $707 million and $1.6 billion, 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 2021, 2020 and 2019 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities


(Dollars in millions)	2021		2020		2019
Gross gains	$	49	$	423	$	336
Gross losses	(27)		(12)		(119)
Net gains on sales of AFS debt securities	$	22	$	411	$	217
Income tax expense attributable to realized net gains on sales of AFS debt securities	$	5	$	103	$	54

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, 2021 and 2020.



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, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	11,733	$	(166)	$	815	$	(20)	$	12,548	$	(186)
Agency-collateralized mortgage obligations	1,427		(22)		122		(3)		1,549		(25)
Commercial	3,451		(41)		776		(38)		4,227		(79)
Non-agency residential	241		(13)		174		(20)		415		(33)
Total mortgage-backed securities	16,852		(242)		1,887		(81)		18,739		(323)
U.S. Treasury and government agencies	103,307		(272)		4,850		(46)		108,157		(318)


Other taxable securities	—		—		82		(3)		82		(3)

Tax-exempt securities	502		(16)		109		(23)		611		(39)



Total AFS debt securities in a continuous unrealized loss position	$	120,661	$	(530)	$	6,928	$	(153)	$	127,589	$	(683)

	December 31, 2020
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	2,841	$	(39)	$	2	$	—	$	2,843	$	(39)
Agency-collateralized mortgage obligations	187		(2)		364		(11)		551		(13)
Commercial	566		(4)		9		—		575		(4)
Non-agency residential	342		(9)		56		(8)		398		(17)
Total mortgage-backed securities	3,936		(54)		431		(19)		4,367		(73)
U.S. Treasury and government agencies	8,282		(9)		498		(4)		8,780		(13)
Non-U.S. securities	1,861		(6)		135		(1)		1,996		(7)

Other taxable securities	576		(2)		396		(4)		972		(6)

Tax-exempt securities	4,108		(29)		617		(3)		4,725		(32)



Total AFS debt securities in a continuous unrealized loss position	$	18,763	$	(100)	$	2,077	$	(31)	$	20,840	$	(131)

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at December 31, 2021 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	$	—	—	%	$	5	5.00	%	$	49	4.63	%	$	45,214	3.11	%	$	45,268	3.11	%
Agency-collateralized mortgage obligations	—		—		—		—		20		2.50		3,311		2.91		3,331		2.91
Commercial	363		2.30		10,123		2.48		6,285		1.79		2,278		1.87		19,049		2.18
Non-agency residential	—		—		—		—		—		—		1,112		6.43		1,112		6.43
Total mortgage-backed securities	363		2.30		10,128		2.48		6,354		1.81		51,915		3.11		68,760		2.89
U.S. Treasury and government agencies	6,564		1.22		39,875		1.80		151,962		1.20		27		2.61		198,428		1.32
Non-U.S. securities	18,645		0.20		1,045		3.61		—		—		7		9.15		19,697		0.38

Other taxable securities	562		1.49		1,646		1.97		308		2.04		209		1.76		2,725		1.86

Tax-exempt securities	2,485		1.06		6,520		1.42		3,105		1.81		3,045		1.46		15,155		1.45
Total amortized cost of debt securities carried at fair value	$	28,619	0.56		$	59,214	1.89		$	161,729	1.23		$	55,203	3.02		$	304,765	1.62
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	4	2.00	%	$	553,717	2.13	%	$	553,721	2.13	%




U.S. Treasury and government agencies	—		—		—		—		111,859		1.35		—		—		111,859		1.35


Other taxable securities	37		5.31		1,035		2.21		473		2.66		7,466		2.51		9,011		2.50


Total amortized cost of HTM debt securities	$	37	5.31		$	1,035	2.21		$	112,336	1.35		$	561,183	2.13		$	674,591	2.00

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	53			$	46,281			$	46,339
Agency-collateralized mortgage obligations	—				—				20				3,360				3,380
Commercial	366				10,562				6,379				2,310				19,617
Non-agency residential	—				4				—				1,164				1,168
Total mortgage-backed securities	366				10,571				6,452				53,115				70,504
U.S. Treasury and government agencies	6,614				40,912				152,168				26				199,720
Non-U.S. securities	18,599				1,046				—				7				19,652

Other taxable securities	566				1,676				310				212				2,764

Tax-exempt securities	2,489				6,660				3,223				3,061				15,433
Total debt securities carried at fair value	$	28,634			$	60,865			$	162,153			$	56,421			$	308,073
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	4			$	547,206			$	547,210




U.S. Treasury and government agencies	—				—				109,718				—				109,718


Other taxable securities	37				1,060				483				7,382				8,962


Total fair value of HTM debt securities	$	37			$	1,060			$	110,205			$	554,588			$	665,890

(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.