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, 2016

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, 2016 and 2015.



First-lien Mortgage Securitizations
	Three Months Ended September 30
	Residential Mortgage
	Agency				Commercial Mortgage
(Dollars in millions)	2016		2015		2016		2015
Cash proceeds from new securitizations ⁽¹⁾	$	7,131	$	7,632	$	1,052	$	807
Gain on securitizations ⁽²⁾	89		118		27		14

	Nine Months Ended September 30
	2016		2015		2016		2015
Cash proceeds from new securitizations ⁽¹⁾	$	18,580	$	22,304	$	3,031	$	5,695
Gain on securitizations ⁽²⁾	322		475		18		46


⁽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 $149 million and $349 million, net of hedges, during the three and nine months ended September 30, 2016 compared to $192 million and $623 million for the same periods in 2015, are not included in the table above.

Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2016 and December 31, 2015.



Home Equity Loan, Credit Card and Other Asset-backed VIEs
	Home Equity Loan ⁽¹⁾						Credit Card ^{(2, 3)}						Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	September 30 2016			December 31 2015			September 30 2016			December 31 2015			September 30 2016		December 31 2015		September 30 2016		December 31 2015		September 30 2016		December 31 2015
Unconsolidated VIEs
Maximum loss exposure	$	3,338		$	3,988		$	—		$	—		$	10,200	$	13,046	$	1,760	$	1,572	$	49	$	63
On-balance sheet assets
Senior securities held ^{(4, 5)}:
Trading account assets	$	—		$	—		$	—		$	—		$	670	$	1,248	$	26	$	2	$	—	$	—
Debt securities carried at fair value	48			57			—			—			2,585		4,341		—		—		49		53
Held-to-maturity securities	—			—			—			—			6,820		7,370		—		—		—		—
Subordinate securities held ^{(4, 5)}:
Trading account assets	—			—			—			—			55		17		—		—		—		—
Debt securities carried at fair value	—			—			—			—			71		70		—		—		—		—
All other assets	—			—			—			—			—		—		—		—		—		10
Total retained positions	$	48		$	57		$	—		$	—		$	10,201	$	13,046	$	26	$	2	$	49	$	63
Total assets of VIEs ⁽⁶⁾	$	4,999		$	5,883		$	—		$	—		$	24,489	$	35,362	$	2,626	$	2,518	$	179	$	314

Consolidated VIEs
Maximum loss exposure	$	163		$	231		$	25,101		$	32,678		$	180	$	354	$	1,770	$	1,973	$	—	$	—
On-balance sheet assets
Trading account assets	$	—		$	—		$	—		$	—		$	456	$	771	$	1,797	$	1,984	$	—	$	—
Loans and leases	263			321			34,872			43,194			—		—		—		—		—		—
Allowance for loan and lease losses	(16		)	(18		)	(1,060		)	(1,293		)	—		—		—		—		—		—
All other assets	6			20			283			342			—		—		—		1		—		—
Total assets	$	253		$	323		$	34,095		$	42,243		$	456	$	771	$	1,797	$	1,985	$	—	$	—
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—		$	—		$	—	$	—	$	546	$	681	$	—	$	—
Long-term debt	123			183			8,977			9,550			276		417		12		12		—		—
All other liabilities	—			—			17			15			—		—		15		—		—		—
Total liabilities	$	123		$	183		$	8,994		$	9,565		$	276	$	417	$	573	$	693	$	—	$	—

⁽¹⁾

For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees.


⁽²⁾	At September 30, 2016 and December 31, 2015, loans and leases in the consolidated credit card trust included $17.3 billion and $24.7 billion of seller's interest.


⁽³⁾	At September 30, 2016 and December 31, 2015, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.


⁽⁴⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2016 and 2015, there were no OTTI losses recorded on those securities classified as AFS or HTM debt securities.


⁽⁵⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽⁶⁾	Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.

First Lien Mortgages

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, 2016 and December 31, 2015.



First-lien Mortgage VIEs
	Residential Mortgage
					Non-agency
	Agency				Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2016		December 31 2015		September 30 2016		December 31 2015		September 30 2016		December 31 2015		September 30 2016		December 31 2015		September 30 2016		December 31 2015
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	24,492	$	28,192	$	778	$	1,027	$	2,626	$	2,905	$	539	$	622	$	332	$	326
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	1,345	$	1,297	$	14	$	42	$	54	$	94	$	84	$	99	$	29	$	59
Debt securities carried at fair value	19,322		24,369		478		613		2,274		2,479		315		340		—		—
Held-to-maturity securities	3,812		2,511		—		—		—		—		—		—		55		37
Subordinate securities held ⁽²⁾:
Trading account assets	—		—		1		1		29		37		1		2		16		22
Debt securities carried at fair value	—		—		9		12		2		3		25		28		54		54
Held-to-maturity securities	—		—		—		—		—		—		—		—		13		13
Residual interests held	—		—		—		—		—		—		—		—		32		48
All other assets ⁽³⁾	13		15		29		40		—		—		114		153		—		—
Total retained positions	$	24,492	$	28,192	$	531	$	708	$	2,359	$	2,613	$	539	$	622	$	199	$	233
Principal balance outstanding ⁽⁴⁾	$	284,246	$	313,613	$	13,767	$	16,087	$	24,396	$	27,854	$	35,969	$	40,848	$	21,032	$	34,243

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	19,384	$	26,878	$	52	$	65	$	153	$	232	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	383	$	1,101	$	—	$	—	$	—	$	188	$	—	$	—	$	—	$	—
Loans and leases ⁽⁵⁾	18,562		25,328		83		111		572		675		—		—		—		—
All other assets	441		449		3		—		70		54		—		—		—		—
Total assets	$	19,386	$	26,878	$	86	$	111	$	642	$	917	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	2	$	—	$	34	$	46	$	613	$	840	$	—	$	—	$	—	$	—
All other liabilities	3		1		—		—		—		—		—		—		—		—
Total liabilities	$	5	$	1	$	34	$	46	$	613	$	840	$	—	$	—	$	—	$	—

⁽¹⁾

Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but 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 and nine months ended September 30, 2016 and 2015, 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 $326 million and $222 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 $326 million and $222 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at September 30, 2016 and December 31, 2015.


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


⁽⁵⁾	Balance at September 30, 2016 includes $655 million from consolidated collateralized financing entities (CFE) that were measured using the fair value of the financial liabilities of those entities as the measurement basis.

Other Variable Interest Entities

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, 2016 and December 31, 2015.



Other VIEs
	September 30, 2016									December 31, 2015
(Dollars in millions)	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated			Total
Maximum loss exposure	$	6,904		$	17,058		$	23,962		$	6,295		$	12,916		$	19,211
On-balance sheet assets
Trading account assets	$	3,063		$	438		$	3,501		$	2,300		$	366		$	2,666
Debt securities carried at fair value	—			84			84			—			126			126
Loans and leases	3,474			3,522			6,996			3,317			3,389			6,706
Allowance for loan and lease losses	(9		)	(29		)	(38		)	(9		)	(23		)	(32		)
Loans held-for-sale	209			921			1,130			284			1,025			1,309
All other assets	664			11,250			11,914			664			6,925			7,589
Total	$	7,401		$	16,186		$	23,587		$	6,556		$	11,808		$	18,364
On-balance sheet liabilities
Long-term debt ⁽¹⁾	$	1,172		$	—		$	1,172		$	3,025		$	—		$	3,025
All other liabilities	3			2,746			2,749			5			2,697			2,702
Total	$	1,175		$	2,746		$	3,921		$	3,030		$	2,697		$	5,727
Total assets of VIEs	$	7,401		$	62,353		$	69,754		$	6,556		$	49,190		$	55,746


⁽¹⁾	Includes $678 million and $2.8 billion of long-term debt at September 30, 2016 and December 31, 2015 issued by other consolidated VIEs, which has recourse to the general credit of the Corporation.

- 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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