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, 2018

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, 2018 and 2017.




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)	2018		2017		2018		2017		2018		2017		2018		2017
Cash proceeds from new securitizations⁽¹⁾	$	1,596	$	3,833	$	4,661	$	11,791	$	1,797	$	1,225	$	3,981	$	2,931
Gains on securitizations ⁽²⁾	13		40		54		140		29		14		68		67
Repurchases from securitization trusts ⁽³⁾	357		609		1,215		2,083		—		—		—		—


⁽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 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 $15 million and $60 million, net of hedges, during the three and nine months ended September 30, 2018, compared to $63 million and $195 million for the same periods in 2017, 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, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2018 and December 31, 2017.




Home Equity Loan, Credit Card and Other Asset-backed VIEs

	Home Equity ⁽¹⁾						Credit Card ^{(2, 3)}						Resecuritization Trusts				Municipal Bond Trusts
(Dollars in millions)	Sept 30 2018			December 31 2017			Sept 30 2018			December 31 2017			Sept 30 2018		December 31 2017		Sept 30 2018		December 31 2017
Unconsolidated VIEs
Maximum loss exposure	$	1,101		$	1,522		$	—		$	—		$	8,185	$	8,204	$	1,837	$	1,631
On-balance sheet assets
Senior securities ⁽⁴⁾:
Trading account assets	$	—		$	—		$	—		$	—		$	1,757	$	869	$	22	$	33
Debt securities carried at fair value	29			36			—			—			1,380		1,661		—		—
Held-to-maturity securities	—			—			—			—			5,048		5,644		—		—
All other assets ⁽⁴⁾	—			—			—			—			—		30		—		—
Total retained positions	$	29		$	36		$	—		$	—		$	8,185	$	8,204	$	22	$	33
Total assets of VIEs ⁽⁵⁾	$	1,944		$	2,432		$	—		$	—		$	18,469	$	19,281	$	2,560	$	2,287

Consolidated VIEs
Maximum loss exposure	$	91		$	112		$	18,600		$	24,337		$	109	$	628	$	1,726	$	1,453
On-balance sheet assets
Trading account assets	$	—		$	—		$	—		$	—		$	376	$	1,557	$	1,740	$	1,452
Loans and leases	143			177			29,726			32,554			—		—		—		—
Allowance for loan and lease losses	(6		)	(9		)	(907		)	(988		)	—		—		—		—
All other assets	4			6			128			1,385			—		—		1		1
Total assets	$	141		$	174		$	28,947		$	32,951		$	376	$	1,557	$	1,741	$	1,453
On-balance sheet liabilities
Short-term borrowings	$	—		$	—		$	—		$	—		$	—	$	—	$	905	$	312
Long-term debt	59			76			10,320			8,598			267		929		12		—
All other liabilities	—			—			27			16			—		—		—		—
Total liabilities	$	59		$	76		$	10,347		$	8,614		$	267	$	929	$	917	$	312

⁽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 more information, see Note 10 – Commitments and Contingencies.


⁽²⁾	At September 30, 2018 and December 31, 2017, loans and leases in the consolidated credit card trust included $10.8 billion and $15.6 billion of seller’s interest.


⁽³⁾	At September 30, 2018 and December 31, 2017, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.


⁽⁴⁾	All other assets includes subordinate securities. 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 of VIEs includes 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 table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2018 and December 31, 2017.




First-lien Mortgage VIEs
	Residential Mortgage
					Non-agency
	Agency				Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	Sept 30 2018		December 31 2017		Sept 30 2018		December 31 2017		Sept 30 2018		December 31 2017		Sept 30 2018		December 31 2017		Sept 30 2018		December 31 2017
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	16,461	$	19,110	$	458	$	689	$	2,063	$	2,643	$	218	$	403	$	659	$	585
On-balance sheet assets
Senior securities:
Trading account assets	$	509	$	716	$	21	$	6	$	47	$	10	$	71	$	50	$	57	$	108
Debt securities carried at fair value	10,232		15,036		262		477		1,592		2,221		145		351		—		—
Held-to-maturity securities	5,720		3,348		—		—		—		—		—		—		419		274
All other assets ⁽²⁾	—		10		3		5		66		38		2		2		44		88
Total retained positions	$	16,461	$	19,110	$	286	$	488	$	1,705	$	2,269	$	218	$	403	$	520	$	470
Principal balance outstanding ⁽³⁾	$	195,110	$	232,761	$	9,448	$	10,549	$	9,156	$	10,254	$	24,439	$	28,129	$	31,251	$	26,504

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	13,206	$	14,502	$	551	$	571	$	—	$	—	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	733	$	232	$	704	$	571	$	—	$	—	$	—	$	—	$	—	$	—
Loans and leases, net	12,312		14,030		—		—		—		—		—		—		—		—
All other assets	162		240		—		—		—		—		—		—		—		—
Total assets	$	13,207	$	14,502	$	704	$	571	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	3	$	3	$	153	$	—	$	—	$	—	$	—	$	—	$	—	$	—

⁽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 more information, see Note 10 – Commitments and Contingencies and Note 14 – Fair Value Measurements.

⁽²⁾

Not included in the table above are all other assets of $12 million and $148 million, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization VIEs, principally guaranteed by GNMA, and all other liabilities of $12 million and $148 million, representing the principal amount that would be payable to the securitization VIEs if the Corporation was to exercise the repurchase option, at September 30, 2018 and December 31, 2017.


⁽³⁾	Principal balance outstanding includes loans where the Corporation was the transferor to securitization VIEs 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, 2018 and December 31, 2017.




Other VIEs

	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated			Total
(Dollars in millions)	September 30, 2018									December 31, 2017
Maximum loss exposure	$	4,407		$	21,188		$	25,595		$	4,660		$	19,785		$	24,445
On-balance sheet assets
Trading account assets	$	2,592		$	331		$	2,923		$	2,709		$	346		$	3,055
Debt securities carried at fair value	—			20			20			—			160			160
Loans and leases	1,977			4,155			6,132			2,152			3,596			5,748
Allowance for loan and lease losses	(2		)	(29		)	(31		)	(3		)	(32		)	(35		)
All other assets	62			15,300			15,362			89			15,216			15,305
Total	$	4,629		$	19,777		$	24,406		$	4,947		$	19,286		$	24,233
On-balance sheet liabilities
Long-term debt	$	213		$	—		$	213		$	270		$	—		$	270
All other liabilities	10			4,067			4,077			18			3,417			3,435
Total	$	223		$	4,067		$	4,290		$	288		$	3,417		$	3,705
Total assets of VIEs	$	4,629		$	79,564		$	84,193		$	4,947		$	69,746		$	74,693

- 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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