Bank of America 2010 Annual Report Download - page 185

The Corporation also provides credit enhancement to investors in certain
municipal bond trusts whereby the Corporation guarantees the payment of
interest and principal on floating-rate certificates issued by these trusts in the
event of default by the issuer of the underlying municipal bond. If a customer
holds the residual interest in a trust, that customer typically has the unilateral
ability to liquidate the trust at any time, while the Corporation typically has the
ability to trigger the liquidation of that trust if the market value of the bonds
held in the trust declines below a specified threshold. This arrangement is
designed to limit market losses to an amount that is less than the customer’s
residual interest, effectively preventing the Corporation from absorbing losses
incurred on assets held within that trust. The weighted-average remaining life
of bonds held in the trusts at December 31, 2010 was 13.3 years. There were
no material write-downs or downgrades of assets or issuers during 2010.
During 2010 and 2009, the Corporation was the transferor of assets into
unconsolidated municipal bond trusts and received cash proceeds from new
securitizations of $1.2 billion and $664 million. At December 31, 2010 and
2009, the principal balance outstanding for unconsolidated municipal bond
securitization trusts for which the Corporation was transferor was $2.2 billion
and $6.9 billion.
The Corporation’s liquidity commitments to unconsolidated municipal
bond trusts, including those for which the Corporation was transferor, totaled
$4.0 billion and $9.8 billion at December 31, 2010 and 2009.
Automobile and Other Securitization Trusts
The Corporation transfers automobile and other loans into securitization
trusts, typically to improve liquidity or manage credit risk. At December 31,
2010, the Corporation serviced assets or otherwise had continuing
involvement with automobile and other securitization trusts with outstanding
balances of $10.5 billion, including trusts collateralized by automobile loans
of $8.4 billion, student loans of $1.3 billion, and other loans and receivables
of $774 million. At December 31, 2009, the Corporation serviced assets or
otherwise had continuing involvement with automobile and other securitiza-
tion trusts with outstanding balances of $11.9 billion, including trusts col-
lateralized by automobile loans of $11.0 billion and other loans of $905 mil-
lion. The Corporation transferred $3.0 billion of automobile loans, $1.3 billion
of student loans and $303 million of other receivables to the trusts during
2010 and $9.0 billion of automobile loans during 2009.
Multi-seller Conduits
The Corporation previously administered four multi-seller conduits which
provided a low-cost funding alternative to the conduits’ customers by facili-
tating access to the commercial paper market. These customers sold or
otherwise transferred assets to the conduits, which in turn issued short-term
commercial paper that was rated high-grade and was collateralized by the
underlying assets. The Corporation provided combinations of liquidity and
SBLCs to the conduits for the benefit of third-party investors. These commit-
ments had an aggregate notional amount outstanding of $34.5 billion at
December 31, 2009. The Corporation liquidated the four conduits and ter-
minated all liquidity and other commitments during 2010. Liquidation of the
conduits did not impact the Corporation’s consolidated results of operations.
The table below summarizes select information related to multi-seller
conduits in which the Corporation held a variable interest at December 31,
2009.
(Dollars in millions) Consolidated Unconsolidated Total
December 31, 2009
Maximum loss exposure $9,388 $25,135 $34,523
On-balance sheet assets
Available-for-sale debt securities $3,492 $ – $ 3,492
Held-to-maturity debt securities 2,899 – 2,899
Loans and leases 318 318 636
All other assets 46064
Total $6,713 $ 378 $ 7,091
On-balance sheet liabilities
Commercial paper and other short-term borrowings $6,748 $ – $ 6,748
Total $6,748 $ – $ 6,748
Total assets of VIEs $6,713 $13,893 $20,606
Bank of America 2010 183