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, 2017

Organization, Consolidation and Presentation of Financial Statements [Abstract]

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2017 and 2016.




First-lien Mortgage Securitizations
	Residential Mortgage - Agency								Commercial Mortgage
	Three Months Ended September 30				Nine Months Ended September 30				Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2017		2016		2017		2016		2017		2016		2017		2016
Cash proceeds from new securitizations⁽¹⁾	$	3,833	$	7,131	$	11,791	$	18,580	$	1,225	$	1,052	$	2,931	$	3,031
Gains on securitizations ⁽²⁾	40		89		140		322		14		27		67		18
Repurchases from securitization trusts ⁽³⁾	609		684		2,083		2,058		—		—		—		—


⁽¹⁾	The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or Government National Mortgage Association (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 $63 million and $195 million, net of hedges, during the three and nine months ended September 30, 2017 compared to $149 million and $349 million for the same periods in 2016, are not included in the table above.


⁽³⁾	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. The Corporation may also repurchase loans from securitization trusts to perform modifications. Repurchased loans include FHA-insured mortgages collateralizing GNMA securities.

Variable Interest Entity [Line Items]

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, 2017 and December 31, 2016.




Home Equity Loan, Credit Card and Other Asset-backed VIEs
	Home Equity Loan ⁽¹⁾						Credit Card ^{(2, 3)}						Resecuritization Trusts				Municipal Bond Trusts
(Dollars in millions)	September 30 2017			December 31 2016			September 30 2017			December 31 2016			September 30 2017		December 31 2016		September 30 2017		December 31 2016
Unconsolidated VIEs
Maximum loss exposure	$	1,632		$	2,732		$	—		$	—		$	9,107	$	9,906	$	1,566	$	1,635
On-balance sheet assets
Senior securities held ⁽⁴⁾:
Trading account assets	$	—		$	—		$	—		$	—		$	1,246	$	902	$	9	$	—
Debt securities carried at fair value	39			46			—			—			1,891		2,338		—		—
Held-to-maturity securities	—			—			—			—			5,866		6,569		—		—
Subordinate securities held ⁽⁴⁾:
Trading account assets	—			—			—			—			30		27		—		—
Debt securities carried at fair value	—			—			—			—			74		70		—		—
Total retained positions	$	39		$	46		$	—		$	—		$	9,107	$	9,906	$	9	$	—
Total assets of VIEs ⁽⁵⁾	$	2,598		$	4,274		$	—		$	—		$	21,822	$	22,155	$	2,250	$	2,406

Consolidated VIEs
Maximum loss exposure	$	119		$	149		$	22,937		$	25,859		$	343	$	420	$	1,215	$	1,442
On-balance sheet assets
Trading account assets	$	—		$	—		$	—		$	—		$	864	$	1,428	$	1,214	$	1,454
Loans and leases	192			244			32,281			35,135			—		—		—		—
Allowance for loan and lease losses	(13		)	(16		)	(1,002		)	(1,007		)	—		—		—		—
All other assets	6			7			276			793			—		—		1		—
Total assets	$	185		$	235		$	31,555		$	34,921		$	864	$	1,428	$	1,215	$	1,454
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—		$	—		$	—	$	—	$	122	$	348
Long-term debt	82			108			8,598			9,049			521		1,008		—		12
All other liabilities	—			—			20			13			—		—		—		—
Total liabilities	$	82		$	108		$	8,618		$	9,062		$	521	$	1,008	$	122	$	360

⁽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 reserve 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, 2017 and December 31, 2016, loans and leases in the consolidated credit card trust included $15.3 billion and $17.6 billion of seller’s interest.


⁽³⁾	At September 30, 2017 and December 31, 2016, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.


⁽⁴⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽⁵⁾	Total assets include loans the Corporation transferred with which it has continuing involvement, which may include servicing the loan.

First Lien Mortgages

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2017 and December 31, 2016.




First-lien Mortgage VIEs
	Residential Mortgage
					Non-agency
	Agency				Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2017		December 31 2016		September 30 2017		December 31 2016		September 30 2017		December 31 2016		September 30 2017		December 31 2016		September 30 2017		December 31 2016
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	19,585	$	22,661	$	623	$	757	$	2,677	$	2,750	$	464	$	560	$	420	$	344
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	300	$	1,399	$	18	$	20	$	51	$	112	$	35	$	118	$	58	$	51
Debt securities carried at FV	15,827		17,620		359		441		2,226		2,235		318		305		—		—
Held-to-maturity securities	3,447		3,630		—		—		—		—		—		—		160		64
Subordinate securities held ⁽²⁾:
Trading account assets	—		—		1		1		22		23		1		1		11		14
Debt securities carried at FV	—		—		6		8		2		2		20		23		48		54
Held-to-maturity securities	—		—		—		—		—		—		—		—		—		13
Residual interests held	—		—		—		—		—		—		—		—		25		25
All other assets ⁽³⁾	11		12		23		28		—		—		90		113		—		—
Total retained positions	$	19,585	$	22,661	$	407	$	498	$	2,301	$	2,372	$	464	$	560	$	302	$	221
Principal balance outstanding ⁽⁴⁾	$	242,353	$	265,332	$	11,152	$	16,280	$	10,993	$	19,373	$	29,550	$	35,788	$	24,945	$	23,826

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	15,040	$	18,084	$	337	$	—	$	—	$	—	$	—	$	25	$	—	$	—
On-balance sheet assets
Trading account assets	$	37	$	434	$	330	$	—	$	—	$	—	$	—	$	99	$	—	$	—
Loans and leases	14,762		17,223		—		—		—		—		—		—		—		—
All other assets	241		427		7		—		—		—		—		—		—		—
Total assets	$	15,040	$	18,084	$	337	$	—	$	—	$	—	$	—	$	99	$	—	$	—
On-balance sheet liabilities
Long-term debt	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	74	$	—	$	—
All other liabilities	2		4		—		—		—		—		—		—		—		—
Total liabilities	$	2	$	4	$	—	$	—	$	—	$	—	$	—	$	74	$	—	$	—

⁽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 reserve 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 14 – Fair Value Measurements.

⁽²⁾

As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2017, the Corporation recognized $0 and $16 million compared to $1 million and $5 million for the same periods in 2016 of credit-related impairment losses in earnings on those securities classified as AFS debt securities. During the three and nine months ended September 30, 2017 and 2016, the Corporation recognized no credit-related impairment losses in earnings on those securities classified as HTM.

⁽³⁾

Not included in the table above are all other assets of $147 million and $189 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 $147 million and $189 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, 2017 and December 31, 2016.


⁽⁴⁾	Principal balance outstanding includes loans where the Corporation was the transferor to securitization vehicles with which it has continuing involvement, which may include servicing the loans.

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, 2017 and December 31, 2016.




Other VIEs
	September 30, 2017									December 31, 2016
(Dollars in millions)	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated			Total
Maximum loss exposure	$	5,398		$	19,676		$	25,074		$	6,114		$	17,754		$	23,868
On-balance sheet assets
Trading account assets	$	2,697		$	303		$	3,000		$	2,358		$	233		$	2,591
Debt securities carried at fair value	—			197			197			—			122			122
Loans and leases	2,787			4,200			6,987			3,399			3,249			6,648
Allowance for loan and lease losses	(8		)	(33		)	(41		)	(9		)	(24		)	(33		)
Loans held-for-sale	66			843			909			188			464			652
All other assets	131			13,717			13,848			369			13,156			13,525
Total	$	5,673		$	19,227		$	24,900		$	6,305		$	17,200		$	23,505
On-balance sheet liabilities
Long-term debt ⁽¹⁾	$	256		$	—		$	256		$	395		$	—		$	395
All other liabilities	32			3,146			3,178			24			2,959			2,983
Total	$	288		$	3,146		$	3,434		$	419		$	2,959		$	3,378
Total assets of VIEs	$	5,673		$	69,817		$	75,490		$	6,305		$	62,269		$	68,574


⁽¹⁾	Includes $13 million and $229 million of long-term debt at September 30, 2017 and December 31, 2016 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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