Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

Securities (Tables)

6 Months Ended

Jun. 30, 2011

Trading Account Assets and Liabilities [Abstract]

Amortized cost, gross unrealized gains and losses in accumulated OCI and fair value of AFS debt and marketable equity securities


			Gross		Gross
	Amortized		Unrealized		Unrealized
(Dollars in millions)	Cost		Gains		Losses			Fair Value

Available-for-sale debt securities, June 30, 2011
U.S. Treasury and agency securities	$	49,874	$	684	$	(1,289	)	$	49,269
Mortgage-backed securities:
Agency		180,151		3,128		(1,663	)		181,616
Agency collateralized mortgage obligations		48,212		930		(31	)		49,111
Non-agency residential ⁽¹⁾		19,564		568		(557	)		19,575
Non-agency commercial		6,018		702		(2	)		6,718
Non-U.S. securities		4,314		62		(16	)		4,360
Corporate bonds		4,388		154		(4	)		4,538
Other taxable securities, substantially all asset-backed securities		12,010		79		(66	)		12,023

Total taxable securities		324,531		6,307		(3,628	)		327,210
Tax-exempt securities		3,808		18		(165	)		3,661

Total available-for-sale debt securities	$	328,339	$	6,325	$	(3,793	)	$	330,871

Available-for-sale marketable equity securities, June 30, 2011 ⁽²⁾	$	8,536	$	10,445	$	(19	)	$	18,962


Available-for-sale debt securities, December 31, 2010
U.S. Treasury and agency securities	$	49,413	$	604	$	(912	)	$	49,105
Mortgage-backed securities:
Agency		190,409		3,048		(2,240	)		191,217
Agency collateralized mortgage obligations		36,639		401		(23	)		37,017
Non-agency residential ⁽¹⁾		23,458		588		(929	)		23,117
Non-agency commercial		6,167		686		(1	)		6,852
Non-U.S. securities		4,054		92		(7	)		4,139
Corporate bonds		5,157		144		(10	)		5,291
Other taxable securities, substantially all asset-backed securities		15,514		39		(161	)		15,392

Total taxable securities		330,811		5,602		(4,283	)		332,130
Tax-exempt securities		5,687		32		(222	)		5,497

Total available-for-sale debt securities	$	336,498	$	5,634	$	(4,505	)	$	337,627

Available-for-sale marketable equity securities, December 31, 2010 ⁽²⁾	$	8,650	$	10,628	$	(13	)	$	19,265


⁽¹⁾		At June 30, 2011, includes approximately 90 percent prime bonds, nine percent Alt-A bonds and one percent subprime bonds. At December 31, 2010, includes approximately 90 percent prime bonds, eight percent Alt-A bonds and two percent subprime bonds.

⁽²⁾		Classified in other assets on the Corporation’s Consolidated Balance Sheet.

Corporation recorded other-than-temporary impairment losses on AFS debt securities


	Three Months Ended June 30, 2011
	Non-agency			Non-agency									Other
	Residential			Commercial			Non-U.S.			Corporate			Taxable
(Dollars in millions)	MBS			MBS			Securities			Bonds			Securities			Total

Total OTTI losses	$	(48	)	$	-		$	(12	)	$	-		$	(3	)	$	(63	)
OTTI losses recognized in accumulated OCI		17			-			-			-			1			18

Net impairment losses recognized in earnings	$	(31	)	$	-		$	(12	)	$	-		$	(2	)	$	(45	)


				Three Months Ended June 30, 2010

Total OTTI losses	$	(145	)	$	(1	)	$	(285	)	$	-		$	(31	)	$	(462	)
OTTI losses recognized in accumulated OCI		74			-			261			-			1			336

Net impairment losses recognized in earnings	$	(71	)	$	(1	)	$	(24	)	$	-		$	(30	)	$	(126	)


	Six months Ended June 30, 2011

Total OTTI losses	$	(142	)	$	-		$	(12	)	$	-		$	(3	)	$	(157	)
OTTI losses recognized in accumulated OCI		23			-			-			-			1			24

Net impairment losses recognized in earnings	$	(119	)	$	-		$	(12	)	$	-		$	(2	)	$	(133	)


	Six months Ended June 30, 2010

Total OTTI losses	$	(463	)	$	(1	)	$	(975	)	$	(2	)	$	(342	)	$	(1,783	)
OTTI losses recognized in accumulated OCI		119			-			780			-			157			1,056

Net impairment losses recognized in earnings	$	(344	)	$	(1	)	$	(195	)	$	(2	)	$	(185	)	$	(727	)

Credit component recognized in earnings on debt securities for which a portion of the other than temporary impairment loss remains in OCI


	Three Months Ended June 30						Six Months Ended June 30
(Dollars in millions)	2011			2010			2011			2010

Balance, beginning of period	$	378		$	1,084		$	326		$	706
Additions for the credit component on debt securities on which OTTI losses were not previously recognized		14			47			47			271
Additions for the credit component on debt securities on which OTTI losses were previously recognized		31			79			86			456
Reductions for debt securities sold on which OTTI losses were previously recognized		(5	)		(510	)		(41	)		(733	)

Balance, June 30	$	418		$	700		$	418		$	700

Significant assumptions used in the valuation of non-agency residential MBS

Range ⁽¹⁾

10^th

90^th

Weighted-average

Percentile ⁽²⁾

Prepayment speed

8.2

3.0

16.0

Loss severity

49.6

17.3

62.1

Life default rate

51.8

2.2

99.1


⁽¹⁾		Represents the range of inputs/assumptions based upon the underlying collateral.

⁽²⁾		The value of a variable below which the indicated percentile of observations will fall.

Current fair value and associated gross unrealized losses on investments


	Less than					Twelve Months
	Twelve Months					or Longer					Total
			Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
(Dollars in millions)	Value		Losses			Value		Losses			Value		Losses

Temporarily-impaired available-for-sale debt securities at June 30, 2011
U.S. Treasury and agency securities	$	-	$	-		$	29,514	$	(1,289	)	$	29,514	$	(1,289	)
Mortgage-backed securities:
Agency		75,586		(1,622	)		1,378		(41	)		76,964		(1,663	)
Agency collateralized mortgage obligations		2,042		(7	)		1,072		(24	)		3,114		(31	)
Non-agency residential		4,165		(204	)		2,354		(235	)		6,519		(439	)
Non-agency commercial		57		(1	)		8		(1	)		65		(2	)
Non-U.S. securities		-		-			61		(16	)		61		(16	)
Corporate bonds		-		-			100		(4	)		100		(4	)
Other taxable securities		-		-			3,962		(50	)		3,962		(50	)

Total taxable securities		81,850		(1,834	)		38,449		(1,660	)		120,299		(3,494	)
Tax-exempt securities		1,612		(78	)		1,487		(86	)		3,099		(164	)

Total temporarily-impaired available-for-sale debt securities		83,462		(1,912	)		39,936		(1,746	)		123,398		(3,658	)
Temporarily-impaired available-for-sale marketable equity securities		12		(7	)		22		(12	)		34		(19	)

Total temporarily-impaired available-for-sale securities		83,474		(1,919	)		39,958		(1,758	)		123,432		(3,677	)

Other-than-temporarily impaired available-for-sale debt securities ⁽¹⁾
Mortgage-backed securities:
Non-agency residential		175		(16	)		598		(102	)		773		(118	)
Other taxable securities		-		-			124		(16	)		124		(16	)
Tax-exempt securities		-		-			7		(1	)		7		(1	)

Total temporarily-impaired and other-than-temporarily impaired available-for-sale securities ⁽²⁾	$	83,649	$	(1,935	)	$	40,687	$	(1,877	)	$	124,336	$	(3,812	)


Temporarily-impaired available-for-sale debt securities at December 31, 2010
U.S. Treasury and agency securities	$	27,384	$	(763	)	$	2,382	$	(149	)	$	29,766	$	(912	)
Mortgage-backed securities:
Agency		85,517		(2,240	)		-		-			85,517		(2,240	)
Agency collateralized mortgage obligations		3,220		(23	)		-		-			3,220		(23	)
Non-agency residential		6,385		(205	)		2,245		(274	)		8,630		(479	)
Non-agency commercial		47		(1	)		-		-			47		(1	)
Non-U.S. securities		-		-			70		(7	)		70		(7	)
Corporate bonds		465		(9	)		22		(1	)		487		(10	)
Other taxable securities		3,414		(38	)		46		(7	)		3,460		(45	)

Total taxable securities		126,432		(3,279	)		4,765		(438	)		131,197		(3,717	)
Tax-exempt securities		2,325		(95	)		568		(119	)		2,893		(214	)

Total temporarily-impaired available-for-sale debt securities		128,757		(3,374	)		5,333		(557	)		134,090		(3,931	)
Temporarily-impaired available-for-sale marketable equity securities		7		(2	)		19		(11	)		26		(13	)

Total temporarily-impaired available-for-sale securities		128,764		(3,376	)		5,352		(568	)		134,116		(3,944	)

Other-than-temporarily impaired available-for-sale debt securities ⁽¹⁾
Mortgage-backed securities:
Non-agency residential		128		(11	)		530		(439	)		658		(450	)
Other taxable securities		-		-			223		(116	)		223		(116	)
Tax-exempt securities		68		(8	)		-		-			68		(8	)

Total temporarily-impaired and other-than-temporarily impaired available-for-sale securities ⁽²⁾	$	128,960	$	(3,395	)	$	6,105	$	(1,123	)	$	135,065	$	(4,518	)


⁽¹⁾		Includes AFS debt securities on which OTTI losses were recognized and a portion of the OTTI loss was recorded as a credit loss in earnings and a portion as an unrealized loss in OCI.

⁽²⁾		At June 30, 2011, the amortized cost of approximately 5,300 AFS securities exceeded their fair value by $3.8 billion. At December 31, 2010, the amortized cost of approximately 8,500 AFS securities exceeded their fair value by $4.5 billion.

Amortized cost and fair value of the Corporation's investment

June 30, 2011

December 31, 2010

Amortized

Fair

Amortized

Fair

(Dollars in millions)

Cost

Value

Cost

Value

Fannie Mae

133,053

132,917

123,662

123,107

Government National Mortgage Association

27,833

27,894

72,863

74,305

Freddie Mac

67,477

69,916

30,523

30,822

U.S Treasury Securities

46,961

46,174

46,576

46,081

Expected maturity distribution


	June 30, 2011
						Due after One					Due after Five
	Due in One					Year through					Years through					Due after
	Year or Less					Five Years					Ten Years					Ten Years					Total
(Dollars in millions)	Amount		Yield ⁽¹⁾			Amount		Yield ⁽¹⁾			Amount		Yield ⁽¹⁾			Amount		Yield ⁽¹⁾			Amount		Yield ⁽¹⁾

Amortized cost of AFS debt securities
U.S. Treasury and agency securities	$	492		4.80	%	$	1,633		2.00	%	$	12,290		3.30	%	$	35,459		4.10	%	$	49,874		3.90	%
Mortgage-backed securities:
Agency		25		4.40			67,665		4.00			43,235		4.00			69,226		3.70			180,151		3.90
Agency-collateralized mortgage obligations		62		0.60			17,650		3.00			13,115		4.20			17,385		3.50			48,212		3.50
Non-agency residential		188		7.00			3,205		5.90			1,236		5.90			14,935		4.20			19,564		4.60
Non-agency commercial		486		4.40			5,135		6.60			131		6.80			266		6.80			6,018		6.50
Non-U.S. securities		2,058		0.60			2,087		4.90			169		3.70			-		-			4,314		4.90
Corporate bonds		241		3.60			2,859		2.10			1,127		3.50			161		0.80			4,388		2.40
Other taxable securities		1,344		1.40			5,329		1.40			1,136		1.90			4,201		0.50			12,010		1.10

Total taxable securities		4,896		2.03			105,563		3.82			72,439		3.91			141,633		3.74			324,531		3.82
Tax-exempt securities		89		4.30			746		4.40			856		4.50			2,117		4.60			3,808		4.50

Total amortized cost of AFS debt securities	$	4,985		2.07		$	106,309		3.83		$	73,295		3.92		$	143,750		3.75		$	328,339		3.83


Fair value of AFS debt securities
U.S. Treasury and agency securities	$	493				$	1,676				$	12,694				$	34,406				$	49,269
Mortgage-backed securities:
Agency		27					69,599					43,866					68,124					181,616
Agency-collateralized mortgage obligations		62					17,959					13,614					17,476					49,111
Non-agency residential		152					3,188					1,263					14,972					19,575
Non-agency commercial		490					5,782					147					299					6,718
Non-U.S. securities		2,055					2,132					173					-					4,360
Corporate bonds		245					2,951					1,181					161					4,538
Other taxable securities		1,346					5,374					1,153					4,150					12,023

Total taxable securities		4,870					108,661					74,091					139,588					327,210
Tax-exempt securities		90					739					828					2,004					3,661

Total fair value of AFS debt securities	$	4,960				$	109,400				$	74,919				$	141,592				$	330,871


⁽¹⁾		Yields are calculated based on the amortized cost of the securities and exclude the impact of hedging activities.

Components of realized gains and losses on sales of debt securities


	Three Months Ended June 30						Six Months Ended June 30
(Dollars in millions)	2011			2010			2011			2010

Gross gains	$	901		$	942		$	1,455		$	1,848
Gross losses		(2	)		(905	)		(10	)		(1,077	)

Net gains on sales of debt securities	$	899		$	37		$	1,445		$	771

Income tax expense attributable to realized net gains on sales of debt securities	$	333		$	14		$	535		$	285

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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