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

Securitizations and Other Variable Interest Entities

3 Months Ended

Mar. 31, 2015

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Securitizations and Other Variable Interest Entities

NOTE 6 – Securitizations and Other Variable Interest Entities

The Corporation utilizes variable interest entities (VIEs) in the ordinary course of business to support its own and its customers' financing and investing needs. The Corporation routinely securitizes loans and debt securities using VIEs as a source of funding for the Corporation and as a means of transferring the economic risk of the loans or debt securities to third parties. The assets are transferred into a trust or other securitization vehicle such that the assets are legally isolated from the creditors of the Corporation and are not available to satisfy its obligations. These assets can only be used to settle obligations of the trust or other securitization vehicle. The Corporation also administers, structures or invests in other VIEs including CDOs, investment vehicles and other entities. For more information on the Corporation's utilization of VIEs, see Note 1 – Summary of Significant Accounting Principles and Note 6 – Securitizations and Other Variable Interest Entities to the Consolidated Financial Statements of the Corporation's 2014 Annual Report on Form 10-K.

The tables in this Note present the assets and liabilities of consolidated and unconsolidated VIEs at March 31, 2015 and December 31, 2014, in situations where the Corporation has continuing involvement with transferred assets or if the Corporation otherwise has a variable interest in the VIE. The tables also present the Corporation's maximum loss exposure at March 31, 2015 and December 31, 2014 resulting from its involvement with consolidated VIEs and unconsolidated VIEs in which the Corporation holds a variable interest. The Corporation's maximum loss exposure is based on the unlikely event that all of the assets in the VIEs become worthless and incorporates not only potential losses associated with assets recorded on the Consolidated Balance Sheet but also potential losses associated with off-balance sheet commitments such as unfunded liquidity commitments and other contractual arrangements. The Corporation's maximum loss exposure does not include losses previously recognized through write-downs of assets.

The Corporation invests in asset-backed securities (ABS) issued by third-party VIEs with which it has no other form of involvement. These securities are included in Note 3 – Securities and Note 14 – Fair Value Measurements. In addition, the Corporation uses VIEs such as trust preferred securities trusts in connection with its funding activities. For additional information, see Note 11 – Long-term Debt to the Consolidated Financial Statements of the Corporation's 2014 Annual Report on Form 10-K. The Corporation uses VIEs, such as cash funds managed within Global Wealth & Investment Management (GWIM), to provide investment opportunities for clients. These VIEs, which are not consolidated by the Corporation, are not included in the tables in this Note.

Except as described below and in Note 6 – Securitizations and Other Variable Interest Entities to the Consolidated Financial Statements of the Corporation's 2014 Annual Report on Form 10-K, the Corporation did not provide financial support to consolidated or unconsolidated VIEs during the three months ended March 31, 2015 or the year ended December 31, 2014 that it was not previously contractually required to provide, nor does it intend to do so.

Mortgage-related Securitizations

First-lien Mortgages

As part of its mortgage banking activities, the Corporation securitizes a portion of the first-lien residential mortgage loans it originates or purchases from third parties, generally in the form of RMBS guaranteed by government-sponsored enterprises, FNMA and FHLMC (collectively the GSEs), or GNMA primarily in the case of FHA-insured and U.S. Department of Veterans Affairs (VA)-guaranteed mortgage loans. Securitization usually occurs in conjunction with or shortly after origination or purchase and the Corporation may also securitize loans held in its residential mortgage portfolio. In addition, the Corporation may, from time to time, securitize commercial mortgages it originates or purchases from other entities. The Corporation typically services the loans it securitizes. Further, the Corporation may retain beneficial interests in the securitization trusts including senior and subordinate securities and equity tranches issued by the trusts. Except as described below and in Note 7 – Representations and Warranties Obligations and Corporate Guarantees, the Corporation does not provide guarantees or recourse to the securitization trusts other than standard representations and warranties.

The table below summarizes select information related to first-lien mortgage securitizations for the three months ended March 31, 2015 and 2014.



First-lien Mortgage Securitizations
	Three Months Ended March 31
	Residential Mortgage
	Agency					Commercial Mortgage
(Dollars in millions)	2015		2014			2015			2014
Cash proceeds from new securitizations ⁽¹⁾	$	7,571	$	7,466		$	2,156		$	704
Gain (loss) on securitizations ⁽²⁾	173		(11		)	(7		)	27


⁽¹⁾	The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or GNMA in the normal course of business and receives RMBS in exchange which may then be sold into the market to third-party investors for cash proceeds.


⁽²⁾	A majority of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled $169 million and $198 million, net of hedges, during the three months ended March 31, 2015 and 2014, are not included in the table above.

In addition to cash proceeds as reported in the table above, the Corporation received securities with an initial fair value of $5.4 billion and $506 million in connection with first-lien mortgage securitizations for the three months ended March 31, 2015 and 2014. All of these securities were initially classified as Level 2 assets within the fair value hierarchy. During the three months ended March 31, 2015 and 2014, there were no changes to the initial classification.

The Corporation recognizes consumer MSRs from the sale or securitization of first-lien mortgage loans. Servicing fee and ancillary fee income on consumer mortgage loans serviced, including securitizations where the Corporation has continuing involvement, were $389 million and $494 million during the three months ended March 31, 2015 and 2014. Servicing advances on consumer mortgage loans, including securitizations where the Corporation has continuing involvement, were $9.6 billion and $10.4 billion at March 31, 2015 and December 31, 2014. The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. During the three months ended March 31, 2015 and 2014, $1.1 billion and $1.3 billion of loans were repurchased from first-lien securitization trusts primarily as a result of loan delinquencies or to perform modifications. The majority of these loans repurchased were FHA-insured mortgages collateralizing GNMA securities. For more information on MSRs, see Note 17 – Mortgage Servicing Rights.

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.



First-lien Mortgage VIEs
	Residential Mortgage
							Non-agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	March 31 2015			December 31 2014			March 31 2015		December 31 2014		March 31 2015		December 31 2014		March 31 2015		December 31 2014		March 31 2015		December 31 2014
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	19,523		$	14,918		$	1,223	$	1,288	$	3,089	$	3,167	$	654	$	710	$	324	$	352
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	526		$	584		$	3	$	3	$	25	$	14	$	49	$	81	$	79	$	54
Debt securities carried at fair value	18,178			13,473			755		816		2,716		2,811		378		383		14		76
Held-to-maturity securities	796			837			—		—		—		—		—		—		37		42
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		18		—		2		1		39		58
Debt securities carried at fair value	—			—			11		12		4		5		—		—		55		58
Held-to-maturity securities	—			—			—		—		—		—		—		—		13		15
Residual interests held	—			—			12		10		—		—		—		—		41		22
All other assets ⁽³⁾	23			24			51		56		1		1		225		245		—		—
Total retained positions	$	19,523		$	14,918		$	832	$	897	$	2,764	$	2,831	$	654	$	710	$	278	$	325
Principal balance outstanding ⁽⁴⁾	$	386,169		$	397,055		$	19,304	$	20,167	$	31,601	$	32,592	$	48,208	$	50,054	$	25,034	$	20,593

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	36,644		$	38,345		$	76	$	77	$	197	$	206	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,099		$	1,538		$	—	$	—	$	29	$	30	$	—	$	—	$	—	$	—
Loans and leases	34,734			36,187			128		130		767		768		—		—		—		—
Allowance for loan and lease losses	(2		)	(2		)	—		—		—		—		—		—		—		—
All other assets	815			623			6		6		14		15		—		—		—		—
Total assets	$	36,646		$	38,346		$	134	$	136	$	810	$	813	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	2		$	1		$	55	$	56	$	770	$	770	$	—	$	—	$	—	$	—
All other liabilities	1			—			3		3		11		13		—		—		—		—
Total liabilities	$	3		$	1		$	58	$	59	$	781	$	783	$	—	$	—	$	—	$	—


⁽¹⁾	Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 17 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three months ended March 31, 2015 and 2014, 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 $365 million and $635 million, 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 $365 million and $635 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at March 31, 2015 and December 31, 2014.


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

Home Equity Loans

The Corporation retains interests in home equity securitization trusts to which it transferred home equity loans. These retained interests include senior and subordinate securities and residual interests. In addition, the Corporation may be obligated to provide subordinate funding to the trusts during a rapid amortization event. The Corporation typically services the loans in the trusts. Except as described below and in Note 7 – Representations and Warranties Obligations and Corporate Guarantees, the Corporation does not provide guarantees or recourse to the securitization trusts other than standard representations and warranties. There were no securitizations of home equity loans during the three months ended March 31, 2015 and 2014, and all of the home equity trusts that hold revolving home equity lines of credit have entered the rapid amortization phase.

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.



Home Equity Loan VIEs
	March 31, 2015								December 31, 2014
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	942		$	5,061	$	6,003		$	991		$	5,224	$	6,215
On-balance sheet assets
Trading account assets	$	—		$	47	$	47		$	—		$	14	$	14
Debt securities carried at fair value	—			44		44			—			39		39
Loans and leases	954			—		954			1,014			—		1,014
Allowance for loan and lease losses	(52		)	—		(52		)	(56		)	—		(56		)
All other assets	40			—		40			33			—		33
Total	$	942		$	91	$	1,033		$	991		$	53	$	1,044
On-balance sheet liabilities
Long-term debt	$	995		$	—	$	995		$	1,076		$	—	$	1,076
Total	$	995		$	—	$	995		$	1,076		$	—	$	1,076
Principal balance outstanding	$	954		$	6,133	$	7,087		$	1,014		$	6,362	$	7,376


⁽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.

The maximum loss exposure in the table above includes the Corporation's obligation to provide subordinated funding to the consolidated and unconsolidated home equity loan securitizations that have entered a rapid amortization period. During this period, cash payments from borrowers are accumulated to repay outstanding debt securities and the Corporation continues to make advances to borrowers when they draw on their lines of credit. At March 31, 2015 and December 31, 2014, home equity loan securitizations in rapid amortization for which the Corporation has a subordinated funding obligation, including both consolidated and unconsolidated trusts, had $6.0 billion and $6.3 billion of trust certificates outstanding. This amount is significantly greater than the amount the Corporation expects to fund. The charges that will ultimately be recorded as a result of the rapid amortization events depend on the undrawn available credit on the home equity lines, which totaled $36 million and $39 million at March 31, 2015 and December 31, 2014, as well as performance of the loans, the amount of subsequent draws and the timing of related cash flows.

Credit Card Securitizations

The Corporation securitizes originated and purchased credit card loans. The Corporation's continuing involvement with the securitization trust includes servicing the receivables, retaining an undivided interest (seller's interest) in the receivables, and holding certain retained interests including senior and subordinate securities, subordinate interests in accrued interest and fees on the securitized receivables, and cash reserve accounts. The seller's interest in the trust, which is pari passu to the investors' interest, is classified in loans and leases.

The table below summarizes select information related to consolidated credit card securitization trusts in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.



Credit Card VIEs
(Dollars in millions)	March 31 2015			December 31 2014
Consolidated VIEs
Maximum loss exposure	$	38,996		$	43,139
On-balance sheet assets
Derivative assets	$	—		$	1
Loans and leases ⁽¹⁾	49,927			53,068
Allowance for loan and lease losses	(1,810		)	(1,904		)
All other assets ⁽²⁾	389			391
Total	$	48,506		$	51,556
On-balance sheet liabilities
Long-term debt	$	9,484		$	8,401
All other liabilities	26			16
Total	$	9,510		$	8,417


⁽¹⁾	At March 31, 2015 and December 31, 2014, loans and leases included $31.1 billion and $36.9 billion of seller's interest.


⁽²⁾	At March 31, 2015 and December 31, 2014, all other assets included restricted cash, certain short-term investments, and unbilled accrued interest and fees.

During the three months ended March 31, 2015 and 2014, $1.1 billion and $1.8 billion of new senior debt securities were issued to third-party investors from the credit card securitization trust.

The Corporation held subordinate securities issued by the credit card securitization trust with a notional principal amount of $7.5 billion and $7.4 billion at March 31, 2015 and December 31, 2014. These securities serve as a form of credit enhancement to the senior debt securities and have a stated interest rate of zero percent. There were $178 million and $282 million of these subordinate securities issued during the three months ended March 31, 2015 and 2014.

Other Asset-backed Securitizations

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 March 31, 2015 and December 31, 2014.



Other Asset-backed VIEs
	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	March 31 2015		December 31 2014		March 31 2015		December 31 2014		March 31 2015		December 31 2014
Unconsolidated VIEs
Maximum loss exposure	$	8,051	$	8,569	$	2,045	$	2,100	$	69	$	77
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	941	$	767	$	2	$	25	$	—	$	6
Debt securities carried at fair value	6,246		6,945		—		—		59		61
Held-to-maturity securities	736		740		—		—		—		—
Subordinate securities held ^{(1, 2)}:
Trading account assets	52		37		—		—		—		—
Debt securities carried at fair value	74		73		—		—		—		—
Residual interests held ⁽³⁾	2		7		—		—		—		—
All other assets	—		—		—		—		10		10
Total retained positions	$	8,051	$	8,569	$	2	$	25	$	69	$	77
Total assets of VIEs ⁽⁴⁾	$	30,563	$	28,065	$	3,237	$	3,314	$	522	$	1,276

Consolidated VIEs
Maximum loss exposure	$	200	$	654	$	2,027	$	2,440	$	65	$	92
On-balance sheet assets
Trading account assets	$	496	$	1,295	$	2,038	$	2,452	$	—	$	—
Loans held-for-sale	—		—		—		—		495		555
All other assets	—		—		1		—		54		54
Total assets	$	496	$	1,295	$	2,039	$	2,452	$	549	$	609
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	630	$	1,032	$	—	$	—
Long-term debt	296		641		12		12		483		516
All other liabilities	—		—		—		—		1		1
Total liabilities	$	296	$	641	$	642	$	1,044	$	484	$	517


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three months ended March 31, 2015 and 2014, 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.

Resecuritization Trusts

The Corporation transfers existing securities, typically MBS, into resecuritization vehicles at the request of customers seeking securities with specific characteristics. The Corporation may also resecuritize securities within its investment portfolio for purposes of improving liquidity and capital, and managing credit or interest rate risk. Generally, there are no significant ongoing activities performed in a resecuritization trust and no single investor has the unilateral ability to liquidate the trust.

The Corporation resecuritized $6.1 billion and $2.3 billion of securities during the three months ended March 31, 2015 and 2014. Securities transferred into resecuritization vehicles during the three months ended March 31, 2015 and 2014 were classified as trading account assets. As such, changes in fair value were recorded in trading account profits prior to the resecuritization and no gain or loss on sale was recorded.

Municipal Bond Trusts

The Corporation administers municipal bond trusts that hold highly-rated, long-term, fixed-rate municipal bonds. The trusts obtain financing by issuing floating-rate trust certificates that reprice on a weekly or other short-term basis to third-party investors. The Corporation may transfer assets into the trusts and may also serve as remarketing agent and/or liquidity provider for the trusts. The floating-rate investors have the right to tender the certificates at specified dates. Should the Corporation be unable to remarket the tendered certificates, it may be obligated to purchase them at par under standby liquidity facilities. The Corporation also provides credit enhancement to investors in certain municipal bond trusts whereby the Corporation guarantees the payment of interest and principal on floating-rate certificates issued by these trusts in the event of default by the issuer of the underlying municipal bond.

The Corporation's liquidity commitments to unconsolidated municipal bond trusts, including those for which the Corporation was transferor, totaled $2.0 billion and $2.1 billion at March 31, 2015 and December 31, 2014. The weighted-average remaining life of bonds held in the trusts at March 31, 2015 was seven years. There were no material write-downs or downgrades of assets or issuers during the three months ended March 31, 2015 and 2014.

Automobile and Other Securitization Trusts

The Corporation transfers automobile and other loans into securitization trusts, typically to improve liquidity or manage credit risk. At March 31, 2015 and December 31, 2014, the Corporation serviced assets or otherwise had continuing involvement with automobile and other securitization trusts with outstanding balances of $1.1 billion and $1.9 billion, including trusts collateralized by automobile loans of $313 million and $400 million, student loans of $549 million and $609 million, and other loans of $209 million and $876 million.

Other Variable Interest Entities

The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.



Other VIEs
	March 31, 2015								December 31, 2014
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated		Total
Maximum loss exposure	$	6,731		$	11,392	$	18,123		$	7,981		$	12,391	$	20,372
On-balance sheet assets
Trading account assets	$	1,520		$	376	$	1,896		$	1,575		$	355	$	1,930
Derivative assets	5			298		303			5			284		289
Debt securities carried at fair value	—			188		188			—			483		483
Loans and leases	3,261			2,413		5,674			4,020			2,693		6,713
Allowance for loan and lease losses	(5		)	—		(5		)	(6		)	—		(6		)
Loans held-for-sale	731			667		1,398			1,267			814		2,081
All other assets	1,629			6,239		7,868			1,641			6,374		8,015
Total	$	7,141		$	10,181	$	17,322		$	8,502		$	11,003	$	19,505
On-balance sheet liabilities
Long-term debt ⁽¹⁾	$	1,845		$	—	$	1,845		$	1,834		$	—	$	1,834
All other liabilities	81			2,579		2,660			105			2,643		2,748
Total	$	1,926		$	2,579	$	4,505		$	1,939		$	2,643	$	4,582
Total assets of VIEs	$	7,141		$	36,968	$	44,109		$	8,502		$	41,467	$	49,969


⁽¹⁾	Includes $780 million and $705 million of long-term debt at March 31, 2015 and $780 million and $584 million of long-term debt at December 31, 2014 issued by consolidated investment vehicles and customer vehicles, respectively, which has recourse to the general credit of the Corporation.

Customer Vehicles

Customer vehicles include credit-linked, equity-linked and commodity-linked note vehicles, repackaging vehicles, and asset acquisition vehicles, which are typically created on behalf of customers who wish to obtain market or credit exposure to a specific company, index, commodity or financial instrument. The Corporation may transfer assets to and invest in securities issued by these vehicles. The Corporation typically enters into credit, equity, interest rate, commodity or foreign currency derivatives to synthetically create or alter the investment profile of the issued securities.

The Corporation's maximum loss exposure to consolidated and unconsolidated customer vehicles totaled $3.6 billion and $4.7 billion at March 31, 2015 and December 31, 2014, including the notional amount of derivatives to which the Corporation is a counterparty, net of losses previously recorded, and the Corporation's investment, if any, in securities issued by the vehicles. The maximum loss exposure has not been reduced to reflect the benefit of offsetting swaps with the customers or collateral arrangements. The Corporation also had liquidity commitments, including written put options and collateral value guarantees, with certain unconsolidated vehicles of $650 million and $658 million at March 31, 2015 and December 31, 2014, that are included in the table above.

Collateralized Debt Obligation Vehicles

The Corporation receives fees for structuring CDO vehicles, which hold diversified pools of fixed-income securities, typically corporate debt or ABS, which they fund by issuing multiple tranches of debt and equity securities. Synthetic CDOs enter into a portfolio of CDS to synthetically create exposure to fixed-income securities. CLOs, which are a subset of CDOs, hold pools of loans, typically corporate loans. CDOs are typically managed by third-party portfolio managers. The Corporation typically transfers assets to these CDOs, holds securities issued by the CDOs and may be a derivative counterparty to the CDOs, including a CDS counterparty for synthetic CDOs. The Corporation has also entered into total return swaps with certain CDOs whereby the Corporation absorbs the economic returns generated by specified assets held by the CDO.

The Corporation's maximum loss exposure to consolidated and unconsolidated CDOs totaled $732 million and $780 million at March 31, 2015 and December 31, 2014. This exposure is calculated on a gross basis and does not reflect any benefit from insurance purchased from third parties.

At March 31, 2015, the Corporation had $1.2 billion of aggregate liquidity exposure, included in the Other VIEs table net of previously recorded losses, to unconsolidated CDOs which hold senior CDO debt securities or other debt securities on the Corporation's behalf. For additional information, see Note 10 – Commitments and Contingencies.

Investment Vehicles

The Corporation sponsors, invests in or provides financing, which may be in connection with the sale of assets, to a variety of investment vehicles that hold loans, real estate, debt securities or other financial instruments and are designed to provide the desired investment profile to investors or the Corporation. At both March 31, 2015 and December 31, 2014, the Corporation's consolidated investment vehicles had total assets of $1.1 billion. The Corporation also held investments in unconsolidated vehicles with total assets of $8.8 billion and $11.2 billion at March 31, 2015 and December 31, 2014. The Corporation's maximum loss exposure associated with both consolidated and unconsolidated investment vehicles totaled $4.3 billion and $5.1 billion at March 31, 2015 and December 31, 2014 comprised primarily of on-balance sheet assets less non-recourse liabilities.

The Corporation transferred servicing advance receivables to independent third parties in connection with the sale of MSRs. Portions of the receivables were transferred into unconsolidated securitization trusts. The Corporation retained senior interests in such receivables with a maximum loss exposure and funding obligation of $250 million and $660 million, including a funded balance of $150 million and $431 million at March 31, 2015 and December 31, 2014, which were classified in other debt securities carried at fair value.

Leveraged Lease Trusts

The Corporation's net investment in consolidated leveraged lease trusts totaled $3.2 billion and $3.3 billion at March 31, 2015 and December 31, 2014. The trusts hold long-lived equipment such as rail cars, power generation and distribution equipment, and commercial aircraft. The Corporation structures the trusts and holds a significant residual interest. The net investment represents the Corporation's maximum loss exposure to the trusts in the unlikely event that the leveraged lease investments become worthless. Debt issued by the leveraged lease trusts is non-recourse to the Corporation.

Real Estate Vehicles

The Corporation held investments in unconsolidated real estate vehicles with total assets of $6.2 billion at both March 31, 2015 and December 31, 2014, which primarily consisted of investments in unconsolidated limited partnerships that finance the construction and rehabilitation of affordable rental housing and commercial real estate. An unrelated third party is typically the general partner and has control over the significant activities of the partnership. The Corporation earns a return primarily through the receipt of tax credits allocated to the real estate projects. The Corporation's risk of loss is mitigated by policies requiring that the project qualify for the expected tax credits prior to making its investment. The Corporation may from time to time be asked to invest additional amounts to support a troubled project. Such additional investments have not been and are not expected to be significant.