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)

6 Months Ended

Jun. 30, 2011

Securitizations and Other Variable Interest Entities [Abstract]


	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
							Three Months Ended June 30
(Dollars in millions)	2011			2010			2011		2010		2011		2010		2011		2010		2011		2010

Cash proceeds from new securitizations ⁽¹⁾	$	36,222		$	61,301		$	-	$	-	$	-	$	-	$	-	$	-	$	1,802	$	1,362
Gain (loss) on securitizations, net of hedges ⁽²⁾		(227	)		(402	)		-		-		-		-		-		-		-		2
Cash flows received on residual interests		-			-			1		4		10		14		-		1		4		-


	Six Months Ended June 30, 2011
	2011			2010			2011		2010		2011		2010		2011		2010		2011		2010

Cash proceeds from new securitizations ⁽¹⁾	$	96,976		$	131,209		$	-	$	-	$	-	$	-	$	-	$	3	$	1,802	$	2,383
Gain (loss) on securitizations, net of hedges ⁽²⁾		(55	)		(451	)		-		-		-		-		-		-		-		20
Cash flows received on residual interests		-			-			2		9		22		33		1		2		7		1


⁽¹⁾		The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS in exchange which may then be sold into the market to third-party investors for cash proceeds.

⁽²⁾		Substantially all of the first-lien residential mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. During the three and six months ended June 30, 2011, the Corporation recognized $765 million and $1.8 billion of gains on these LHFS compared to $1.2 billion and $2.5 billion for the same periods in 2010, net of hedges.

Selected information related to first-lien mortgage securitization trusts in which Corporation holds variable interest


	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
	June 30			December 31			June 30		December 31		June 30		December 31		June 30		December 31		June 30		December 31
(Dollars in millions)	2011			2010			2011		2010		2011		2010		2011		2010		2011		2010

Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	42,139		$	46,093		$	2,477	$	2,794	$	439	$	416	$	593	$	651	$	1,258	$	1,199

On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	8,536		$	10,693		$	118	$	147	$	73	$	126	$	399	$	645	$	93	$	146
AFS debt securities		33,596			35,400			2,265		2,593		204		234		190		-		976		984
Subordinate securities held ⁽²⁾:
Trading account assets		-			-			-		-		6		12		-		-		11		8
AFS debt securities		-			-			35		39		33		35		4		6		-		-
Residual interests held		7			-			6		6		8		9		-		-		123		61
All other assets		-			-			-		9		-		-		-		-		-		-

Total retained positions	$	42,139		$	46,093		$	2,424	$	2,794	$	324	$	416	$	593	$	651	$	1,203	$	1,199

Principal balance outstanding ⁽³⁾	$	1,311,478		$	1,297,159		$	67,316	$	75,762	$	82,730	$	92,710	$	108,697	$	116,233	$	72,765	$	73,597


Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	46,446		$	32,746		$	901	$	46	$	310	$	42	$	-	$	-	$	-	$	-

On-balance sheet assets
Loans and leases	$	46,232		$	32,563		$	4,172	$	-	$	1,022	$	-	$	-	$	-	$	-	$	-
Allowance for loan and lease losses		(38	)		(37	)		-		-		-		-		-		-		-		-
Loans held-for-sale		-			-			-		-		749		732		-		-		-		-
All other assets		252			220			224		46		40		16		-		-		-		-

Total assets	$	46,446		$	32,746		$	4,396	$	46	$	1,811	$	748	$	-	$	-	$	-	$	-

On-balance sheet liabilities
Long-term debt	$	-		$	-		$	4,364	$	-	$	1,033	$	-	$	-	$	-	$	-	$	-
All other liabilities		3			3			-		9		811		768		-		-		-		-

Total liabilities	$	3		$	3		$	4,364	$	9	$	1,844	$	768	$	-	$	-	$	-	$	-


⁽¹⁾		Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances. For more information, see Note 9 – Representations and Warranties Obligations and Corporate Guarantees.

⁽²⁾		As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities.

⁽³⁾		Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.


									Automobile and Other
	Resecuritization Trusts				Municipal Bond Trusts				Securitization Trusts
	June 30		December 31		June 30		December 31		June 30			December 31
(Dollars in millions)	2011		2010		2011		2010		2011			2010

Unconsolidated VIEs
Maximum loss exposure	$	30,821	$	20,320	$	3,736	$	4,261	$	113		$	141

On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	644	$	1,219	$	182	$	255	$	-		$	-
AFS debt securities		29,099		17,989		-		-		84			109
Subordinate securities held ^{(1, 2)}:
Trading account assets		1		2		-		-		-			-
AFS debt securities		973		1,036		-		-		-			-
Residual interests held ⁽³⁾		104		74		-		-		-			-
All other assets		-		-		-		-		14			17

Total retained positions	$	30,821	$	20,320	$	182	$	255	$	98		$	126

Total assets of VIEs	$	53,796	$	39,830	$	5,516	$	6,108	$	718		$	774


Consolidated VIEs
Maximum loss exposure	$	25	$	-	$	4,493	$	4,716	$	1,665		$	2,061

On-balance sheet assets
Trading account assets	$	39	$	68	$	4,493	$	4,716	$	-		$	-
Loans and leases		-		-		-		-		7,187			9,583
Allowance for loan and lease losses		-		-		-		-		(10	)		(29	)
All other assets		-		-		-		-		195			196

Total assets	$	39	$	68	$	4,493	$	4,716	$	7,372		$	9,750

On-balance sheet liabilities
Commercial paper and other short-term borrowings	$	-	$	-	$	4,445	$	4,921	$	-		$	-
Long-term debt		14		68		-		-		5,701			7,681
All other liabilities		-		-		-		-		119			101

Total liabilities	$	14	$	68	$	4,445	$	4,921	$	5,820		$	7,782


⁽¹⁾		As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no significant 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).

Securitizations related to home equity


	June 30, 2011								December 31, 2010
				Retained								Retained
				Interests in								Interests in
	Consolidated			Unconsolidated					Consolidated			Unconsolidated
(Dollars in millions)	VIEs			VIEs		Total			VIEs			VIEs		Total

Maximum loss exposure ⁽¹⁾	$	2,927		$	8,278	$	11,205		$	3,192		$	9,132	$	12,324

On-balance sheet assets
Trading account assets ^{(2, 3)}	$	-		$	141	$	141		$	-		$	209	$	209
AFS debt securities ^{(3, 4)}		-			13		13			-			35		35
Loans and leases		3,219			-		3,219			3,529			-		3,529
Allowance for loan and lease losses		(292	)		-		(292	)		(337	)		-		(337	)

Total	$	2,927		$	154	$	3,081		$	3,192		$	244	$	3,436

On-balance sheet liabilities
Long-term debt	$	3,311		$	-	$	3,311		$	3,635		$	-	$	3,635
All other liabilities		42			-		42			23			-		23

Total	$	3,353		$	-	$	3,353		$	3,658		$	-	$	3,658

Principal balance outstanding	$	3,219		$	17,905	$	21,124		$	3,529		$	20,095	$	23,624


⁽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 and corporate guarantees.

⁽²⁾		At June 30, 2011, $116 million of the debt securities classified as trading account assets were senior securities and $25 million were subordinate securities. At December 31, 2010, $204 million of the debt securities classified as trading account assets were senior securities and $5 million were subordinate securities.

⁽³⁾		As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities.

⁽⁴⁾		At June 30, 2011 and December 31, 2010, $13 million and $35 million represented subordinate debt securities held.

Securitizations related to credit card


	June 30			December 31
(Dollars in millions)	2011			2010

Consolidated VIEs
Maximum loss exposure	$	39,440		$	36,596


On-balance sheet assets
Derivative assets	$	1,445		$	1,778
Loans and leases ⁽¹⁾		82,839			92,104
Allowance for loan and lease losses		(6,004	)		(8,505	)
All other assets ⁽²⁾		3,957			4,259

Total	$	82,237		$	89,636

On-balance sheet liabilities
Long-term debt	$	42,600		$	52,781
All other liabilities		197			259

Total	$	42,797		$	53,040

Trust loans	$	82,839		$	92,104


⁽¹⁾		At June 30, 2011 and December 31, 2010, loans and leases included $24.9 billion and $20.4 billion of seller’s interest and $2.7 billion and $3.8 billion of discount receivables.

⁽²⁾		At June 30, 2011 and December 31, 2010, all other assets included restricted cash accounts and unbilled accrued interest and fees.

Information related to CDO vehicles


	June 30, 2011						December 31, 2010
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total

Maximum loss exposure	$	2,714	$	2,678	$	5,392	$	2,971	$	3,828	$	6,799

On-balance sheet assets
Trading account assets	$	2,178	$	554	$	2,732	$	2,485	$	884	$	3,369
Derivative assets		469		744		1,213		207		890		1,097
AFS debt securities		251		-		251		769		338		1,107
All other assets		74		146		220		24		123		147

Total	$	2,972	$	1,444	$	4,416	$	3,485	$	2,235	$	5,720

On-balance sheet liabilities
Derivative liabilities	$	-	$	17	$	17	$	-	$	58	$	58
Long-term debt		3,169		2		3,171		3,162		-		3,162

Total	$	3,169	$	19	$	3,188	$	3,162	$	58	$	3,220

Total assets of VIEs	$	2,972	$	36,427	$	39,399	$	3,485	$	43,476	$	46,961


	June 30, 2011						December 31, 2010
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total

Maximum loss exposure	$	4,634	$	2,112	$	6,746	$	4,449	$	2,735	$	7,184

On-balance sheet assets
Trading account assets	$	3,932	$	225	$	4,157	$	3,458	$	876	$	4,334
Derivative assets		-		747		747		1		722		723
Loans held-for-sale		672		-		672		959		-		959
All other assets		1,980		-		1,980		1,429		-		1,429

Total	$	6,584	$	972	$	7,556	$	5,847	$	1,598	$	7,445

On-balance sheet liabilities
Derivative liabilities	$	1	$	59	$	60	$	1	$	23	$	24
Commercial paper and other short-term borrowings		232		-		232		-		-		-
Long-term debt		4,379		-		4,379		3,457		-		3,457
All other liabilities		1		477		478		-		140		140

Total	$	4,613	$	536	$	5,149	$	3,458	$	163	$	3,621

Total assets of VIEs	$	6,584	$	5,878	$	12,462	$	5,847	$	6,090	$	11,937

Information related to other VIEs


	June 30, 2011									December 31, 2010
(Dollars in millions)	Consolidated			Unconsolidated			Total			Consolidated			Unconsolidated			Total

Maximum loss exposure	$	8,026		$	7,268		$	15,294		$	19,248		$	8,796		$	28,044

On-balance sheet assets
Trading account assets	$	104		$	-		$	104		$	8,900		$	-		$	8,900
Derivative assets		353			197			550			-			228			228
AFS debt securities		-			61			61			1,832			73			1,905
Loans and leases		7,257			557			7,814			7,690			1,122			8,812
Allowance for loan and lease losses		(23	)		(7	)		(30	)		(27	)		(22	)		(49	)
Loans held-for-sale		144			870			1,014			262			949			1,211
All other assets		415			5,585			6,000			937			6,440			7,377

Total	$	8,250		$	7,263		$	15,513		$	19,594		$	8,790		$	28,384

On-balance sheet liabilities
Commercial paper and other short-term borrowings	$	-		$	-		$	-		$	1,115		$	-		$	1,115
Long-term debt		174			-			174			229			-			229
All other liabilities		697			1,451			2,148			8,683			1,666			10,349

Total	$	871		$	1,451		$	2,322		$	10,027		$	1,666		$	11,693

Total assets of VIEs	$	8,250		$	11,594		$	19,844		$	19,594		$	13,416		$	33,010

- Definition

Tabular disclosure of amounts pertaining to the excess over or deficiency from the carrying amounts of financial assets which are recognized upon the sale of financial assets.

+ References + Details