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)

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at September 30, 2022 and December 31, 2021.



Debt Securities

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
(Dollars in millions)	September 30, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	25,743	$	5	$	(2,144)	$	23,604	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,589		—		(220)		2,369		3,331		74		(25)		3,380
Commercial	6,248		24		(499)		5,773		19,036		647		(79)		19,604
Non-agency residential (1)	467		16		(83)		400		591		25		(33)		583
Total mortgage-backed securities	35,047		45		(2,946)		32,146		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	169,368		42		(1,797)		167,613		197,853		1,610		(318)		199,145
Non-U.S. securities	11,046		1		(44)		11,003		11,933		—		—		11,933

Other taxable securities	3,481		—		(76)		3,405		2,725		39		(3)		2,761

Tax-exempt securities	12,544		—		(372)		12,172		15,155		317		(39)		15,433
Total available-for-sale debt securities	231,486		88		(5,235)		226,339		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	10,223		54		(371)		9,906		8,873		105		(83)		8,895
Total debt securities carried at fair value	241,709		142		(5,606)		236,245		304,765		4,074		(766)		308,073
Held-to-maturity debt securities

Agency mortgage-backed securities	513,977		—		(94,111)		419,866		553,721		3,855		(10,366)		547,210




U.S. Treasury and government agencies	121,585		—		(21,089)		100,496		111,859		254		(2,395)		109,718


Other taxable securities	8,181		—		(990)		7,191		9,011		147		(196)		8,962


Total held-to-maturity debt securities	643,743		—		(116,190)		527,553		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	885,452	$	142	$	(121,796)	$	763,798	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At September 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 percent and 79 percent subprime.

(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $103.1 billion and $111.9 billion at September 30, 2022 and December 31, 2021.

(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $296.5 billion and $179.4 billion, and a fair value of $241.8 billion and $145.1 billion at September 30, 2022, and an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021.

Gross Realized Gains (Losses) on Sales of Available For Sale Debt

The gross realized gains and losses on sales of AFS debt securities for the three and nine months ended September 30, 2022 and 2021 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities
	Three Months Ended September 30			Nine Months Ended September 30

(Dollars in millions)		2022		2021		2022		2021
Gross gains		$	540	$	4	$	1,243	$	19
Gross losses		(526)		—		(1,206)		(15)
Net gains on sales of AFS debt securities		$	14	$	4	$	37	$	4
Income tax expense attributable to realized net gains on sales of AFS debt securities		$	4	$	1	$	9	$	1

Amortized Cost and Fair Value of Corporations Investment

The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at September 30, 2022 and December 31, 2021.



Total AFS Debt Securities in a Continuous Unrealized Loss Position

	Less than Twelve Months				Twelve Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
(Dollars in millions)	September 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	20,518	$	(1,625)	$	2,937	$	(519)	$	23,455	$	(2,144)
Agency-collateralized mortgage obligations	1,342		(87)		989		(133)		2,331		(220)
Commercial	3,831		(264)		1,366		(235)		5,197		(499)
Non-agency residential	272		(60)		101		(23)		373		(83)
Total mortgage-backed securities	25,963		(2,036)		5,393		(910)		31,356		(2,946)
U.S. Treasury and government agencies	125,543		(1,129)		31,867		(668)		157,410		(1,797)
Non-U.S. securities	9,221		(23)		732		(21)		9,953		(44)

Other taxable securities	2,373		(20)		759		(56)		3,132		(76)

Tax-exempt securities	931		(98)		4,297		(274)		5,228		(372)



Total AFS debt securities in a continuous unrealized loss position	$	164,031	$	(3,306)	$	43,048	$	(1,929)	$	207,079	$	(5,235)

	December 31, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	11,733	$	(166)	$	815	$	(20)	$	12,548	$	(186)
Agency-collateralized mortgage obligations	1,427		(22)		122		(3)		1,549		(25)
Commercial	3,451		(41)		776		(38)		4,227		(79)
Non-agency residential	241		(13)		174		(20)		415		(33)
Total mortgage-backed securities	16,852		(242)		1,887		(81)		18,739		(323)
U.S. Treasury and government agencies	103,307		(272)		4,850		(46)		108,157		(318)


Other taxable securities	—		—		82		(3)		82		(3)

Tax-exempt securities	502		(16)		109		(23)		611		(39)



Total AFS debt securities in a continuous unrealized loss position	$	120,661	$	(530)	$	6,928	$	(153)	$	127,589	$	(683)

Expected Maturity Distribution

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2022 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (MBS) or other asset-backed securities (ABS) are passed through to the Corporation.



Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities

	Due in One Year or Less				Due after One Year through Five Years				Due after Five Years through Ten Years				Due after Ten Years				Total
(Dollars in millions)	Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)
Amortized cost of debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—	—	%	$	5	5.20	%	$	40	4.88	%	$	25,698	3.36	%	$	25,743	3.36	%
Agency-collateralized mortgage obligations	—		—		15		2.60		—		—		2,574		2.91		2,589		2.91
Commercial	36		2.22		488		2.79		4,227		1.78		1,509		2.07		6,260		1.93
Non-agency residential	—		—		—		—		—		—		867		8.31		867		8.31
Total mortgage-backed securities	36		2.22		508		2.81		4,267		1.81		30,648		3.40		35,459		3.20
U.S. Treasury and government agencies	7,222		1.40		62,354		1.76		100,285		1.65		28		3.00		169,889		1.68
Non-U.S. securities	17,773		1.67		2,429		4.22		6		4.24		128		5.34		20,336		2.00

Other taxable securities	1,635		3.56		1,241		3.56		469		3.04		136		3.46		3,481		3.49

Tax-exempt securities	939		1.60		5,135		2.45		2,330		2.67		4,140		3.03		12,544		2.62
Total amortized cost of debt securities carried at fair value	$	27,605	1.71		$	71,667	1.93		$	107,357	1.68		$	35,080	3.36		$	241,709	2.01
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	14	2.71	%	$	513,963	2.13	%	$	513,977	2.13	%




U.S. Treasury and government agencies	—		—		4,539		1.80		117,046		1.37		—		—		121,585		1.39


Other taxable securities	37		9.52		1,064		2.13		433		2.93		6,647		2.49		8,181		2.49


Total amortized cost of HTM debt securities	$	37	—		$	5,603	1.86		$	117,493	1.37		$	520,610	2.13		$	643,743	1.99

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	40			$	23,559			$	23,604
Agency-collateralized mortgage obligations	—				15				—				2,354				2,369
Commercial	36				473				3,977				1,297				5,783
Non-agency residential	—				2				—				787				789
Total mortgage-backed securities	36				495				4,017				27,997				32,545
U.S. Treasury and government agencies	7,250				61,839				99,020				25				168,134
Non-U.S. securities	17,466				2,396				6				121				19,989

Other taxable securities	1,631				1,224				428				122				3,405

Tax-exempt securities	937				5,051				2,267				3,917				12,172
Total debt securities carried at fair value	$	27,320			$	71,005			$	105,738			$	32,182			$	236,245
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	13			$	419,853			$	419,866




U.S. Treasury and government agencies	—				4,129				96,367				—				100,496


Other taxable securities	37				993				401				5,760				7,191


Total fair value of HTM debt securities	$	37			$	5,122			$	96,781			$	425,613			$	527,553

(1)The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security. The average yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.