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, 2013

Variable Interest Entity [Line Items]

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2013 and 2012.



First-lien Mortgage Securitizations
	Three Months Ended September 30
	Residential Mortgage - Agency					Commercial Mortgage
(Dollars in millions)	2013		2012			2013		2012
Cash proceeds from new securitizations ⁽¹⁾	$	14,068	$	12,461		$	—	$	335
Gain (loss) on securitizations ⁽²⁾	36		(89		)	—		—

	Nine Months Ended September 30
	2013		2012			2013		2012
Cash proceeds from new securitizations ⁽¹⁾	$	41,444	$	27,688		$	208	$	660
Gain (loss) on securitizations ⁽²⁾	92		(151		)	—		—


⁽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 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 $379 million and $1.7 billion of gains, net of hedges, on loans securitized during the three and nine months ended September 30, 2013 compared to $563 million and $1.3 billion for the same periods in 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 September 30, 2013 and December 31, 2012.



First-lien Mortgage VIEs
	Residential Mortgage
							Non-agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2013			December 31 2012			September 30 2013		December 31 2012		September 30 2013		December 31 2012		September 30 2013		December 31 2012		September 30 2013		December 31 2012
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	21,362		$	28,591		$	1,623	$	2,038	$	407	$	410	$	448	$	367	$	607	$	702
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	976		$	619		$	—	$	16	$	8	$	14	$	1	$	—	$	18	$	12
Debt securities carried at fair value	19,825			26,421			1,088		1,388		219		210		119		128		359		581
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		7		3		—		—		18		13
Debt securities carried at fair value	—			—			17		21		7		9		—		—		—		—
Residual interests held	—			—			13		18		—		9		—		—		177		40
All other assets ⁽³⁾	561			1,551			75		64		1		1		328		239		—		—
Total retained positions	$	21,362		$	28,591		$	1,193	$	1,507	$	242	$	246	$	448	$	367	$	572	$	646
Principal balance outstanding ⁽⁴⁾	$	479,193		$	797,315		$	29,592	$	45,819	$	34,084	$	53,822	$	54,045	$	71,990	$	21,883	$	56,733

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	42,509		$	46,959		$	102	$	104	$	389	$	390	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	927		$	—		$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Loans and leases	41,114			45,991			247		283		811		722		—		—		—		—
Allowance for loan and lease losses	(3		)	(4		)	—		—		—		—		—		—		—		—
Loans held-for-sale	—			—			—		—		760		914		—		—		—		—
All other assets	478			972			—		10		4		91		—		—		—		—
Total assets	$	42,516		$	46,959		$	247	$	293	$	1,575	$	1,727	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—	$	—	$	762	$	741	$	—	$	—	$	—	$	—
Long-term debt	7			—			168		212		804		941		—		—		—		—
Total liabilities	$	7		$	—		$	168	$	212	$	1,566	$	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 8 – Representations and Warranties Obligations and Corporate Guarantees and Note 19 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 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 $2.3 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 $2.3 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 September 30, 2013 and December 31, 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 [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 September 30, 2013 and December 31, 2012.



Home Equity Loan VIEs
	September 30, 2013								December 31, 2012
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	1,317		$	6,440	$	7,757		$	2,004		$	6,707	$	8,711
On-balance sheet assets
Trading account assets	$	—		$	23	$	23		$	—		$	8	$	8
Debt securities carried at fair value	—			19		19			—			14		14
Loans and leases	1,406			—		1,406			2,197			—		2,197
Allowance for loan and lease losses	(89		)	—		(89		)	(193		)	—		(193		)
Total	$	1,317		$	42	$	1,359		$	2,004		$	22	$	2,026
On-balance sheet liabilities
Long-term debt	$	1,503		$	—	$	1,503		$	2,331		$	—	$	2,331
All other liabilities	88			—		88			92			—		92
Total	$	1,591		$	—	$	1,591		$	2,423		$	—	$	2,423
Principal balance outstanding	$	1,406		$	6,829	$	8,235		$	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 September 30, 2013 and December 31, 2012.



Credit Card VIEs
(Dollars in millions)	September 30 2013			December 31 2012
Consolidated VIEs
Maximum loss exposure	$	44,412		$	42,487
On-balance sheet assets
Derivative assets	$	199		$	323
Loans and leases ⁽¹⁾	60,740			66,427
Allowance for loan and lease losses	(2,865		)	(3,445		)
All other assets ⁽²⁾	1,971			1,567
Total	$	60,045		$	64,872
On-balance sheet liabilities
Long-term debt	$	15,569		$	22,291
All other liabilities	64			94
Total	$	15,633		$	22,385


⁽¹⁾	At September 30, 2013 and December 31, 2012, loans and leases included $36.0 billion and $33.5 billion of seller's interest and $24 million and $124 million of discount receivables.


⁽²⁾	At September 30, 2013 and December 31, 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

Other asset-backed securitizations include resecuritization trusts, municipal bond trusts, and automobile and other securitization trusts. The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at September 30, 2013 and December 31, 2012.



Other Asset-backed VIEs
	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	September 30 2013		December 31 2012		September 30 2013		December 31 2012		September 30 2013			December 31 2012
Unconsolidated VIEs
Maximum loss exposure	$	13,075	$	20,715	$	2,322	$	3,341	$	99		$	122
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	779	$	1,281	$	134	$	12	$	17		$	37
Debt securities carried at fair value	12,174		19,343		—		540		72			74
Subordinate securities held ^{(1, 2)}:
Debt securities carried at fair value	67		75		—		—		—			—
Residual interests held ⁽³⁾	55		16		—		—		—			—
All other assets	—		—		—		—		10			11
Total retained positions	$	13,075	$	20,715	$	134	$	552	$	99		$	122
Total assets of VIEs ⁽⁴⁾	$	39,742	$	42,818	$	3,859	$	4,980	$	1,949		$	1,890

Consolidated VIEs
Maximum loss exposure	$	250	$	126	$	2,987	$	2,505	$	196		$	1,255
On-balance sheet assets
Trading account assets	$	1,169	$	220	$	2,987	$	2,505	$	—		$	—
Loans and leases	—		—		—		—		867			2,523
Allowance for loan and lease losses	—		—		—		—		(1		)	(2		)
All other assets	—		—		—		—		80			250
Total assets	$	1,169	$	220	$	2,987	$	2,505	$	946		$	2,771
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	1,336	$	2,859	$	—		$	—
Long-term debt	919		94		—		—		749			1,513
All other liabilities	—		—		—		—		82			82
Total liabilities	$	919	$	94	$	1,336	$	2,859	$	831		$	1,595


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 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.

Collateralized Debt Obligations [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to CDO vehicles in which the Corporation held a variable interest at September 30, 2013 and December 31, 2012.



CDO Vehicle VIEs
	September 30, 2013						December 31, 2012
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	1,274	$	1,019	$	2,293	$	2,201	$	1,376	$	3,577
On-balance sheet assets
Trading account assets	$	1,280	$	290	$	1,570	$	2,191	$	258	$	2,449
Derivative assets	—		146		146		10		301		311
All other assets	—		57		57		—		76		76
Total	$	1,280	$	493	$	1,773	$	2,201	$	635	$	2,836
On-balance sheet liabilities
Long-term debt	$	1,482	$	—	$	1,482	$	2,806	$	2	$	2,808
All other liabilities	—		7		7		—		9		9
Total	$	1,482	$	7	$	1,489	$	2,806	$	11	$	2,817
Total assets of VIEs	$	1,280	$	19,826	$	21,106	$	2,201	$	26,985	$	29,186

Customer Vehicles [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to customer vehicles in which the Corporation held a variable interest at September 30, 2013 and December 31, 2012.



Customer Vehicle VIEs
	September 30, 2013						December 31, 2012
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	3,575	$	1,258	$	4,833	$	2,994	$	1,401	$	4,395
On-balance sheet assets
Trading account assets	$	2,283	$	87	$	2,370	$	2,882	$	98	$	2,980
Derivative assets	—		335		335		—		516		516
Loans and leases	846		—		846		523		—		523
Loans held-for-sale	1,038		—		1,038		950		—		950
All other assets	793		—		793		763		—		763
Total	$	4,960	$	422	$	5,382	$	5,118	$	614	$	5,732
On-balance sheet liabilities
Short-term borrowings	$	82	$	—	$	82	$	131	$	—	$	131
Long-term debt	2,413		—		2,413		3,179		—		3,179
All other liabilities	75		427		502		29		389		418
Total	$	2,570	$	427	$	2,997	$	3,339	$	389	$	3,728
Total assets of VIEs	$	4,960	$	4,229	$	9,189	$	5,118	$	4,055	$	9,173

Other Variable Interest Entity Investment Vehicle [Member]

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, 2013 and December 31, 2012.



Other VIEs
	September 30, 2013								December 31, 2012
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated		Total
Maximum loss exposure	$	4,975		$	8,805	$	13,780		$	5,608		$	6,492	$	12,100
On-balance sheet assets
Trading account assets	$	97		$	—	$	97		$	108		$	—	$	108
Derivative assets	—			380		380			—			460		460
Debt securities carried at fair value	—			1,687		1,687			—			39		39
Loans and leases	3,965			250		4,215			4,561			67		4,628
Allowance for loan and lease losses	(4		)	—		(4		)	(14		)	—		(14		)
Loans held-for-sale	77			94		171			105			157		262
All other assets	988			6,079		7,067			1,001			5,768		6,769
Total	$	5,123		$	8,490	$	13,613		$	5,761		$	6,491	$	12,252
On-balance sheet liabilities
Long-term debt	$	867		$	—	$	867		$	889		$	—	$	889
All other liabilities	73			2,137		2,210			63			1,692		1,755
Total	$	940		$	2,137	$	3,077		$	952		$	1,692	$	2,644
Total assets of VIEs	$	5,123		$	11,004	$	16,127		$	5,761		$	8,660	$	14,421

- 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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