Bank of America 2011 Annual Report Download - page 177

Bank of America 2011 175
The amortized cost and fair value of the Corporation’s investment in AFS and held-to-maturity debt securities from FNMA, the
Government National Mortgage Association (GNMA), FHLMC and U.S. Treasury securities where the investment exceeded 10 percent
of consolidated shareholders’ equity at December 31, 2011 and 2010 are presented in the table below.
Selected Securities Exceeding 10 Percent of Shareholders’ Equity
(Dollars in millions)
Fannie Mae
Government National Mortgage Association
Freddie Mac
U.S. Treasury securities
December 31
2011
Amortized
Cost
$ 87,898
102,960
26,617
39,946
Fair Value
$ 89,243
106,200
27,129
39,164
2010
Amortized
Cost
$123,662
72,863
30,523
46,576
Fair Value
$ 123,107
74,305
30,822
46,081
The expected maturity distribution of the Corporation’s MBS and the contractual maturity distribution of the Corporation’s other AFS
debt securities, and the yields on the Corporation’s AFS debt securities portfolio at December 31, 2011 are summarized in the table
below. Actual maturities may differ from the contractual or expected maturities since borrowers may have the right to prepay obligations
with or without prepayment penalties.
Debt Securities Maturities
(Dollars in millions)
Amortized cost of AFS debt securities
U.S. Treasury and agency securities
Mortgage-backed securities:
Agency
Agency-collateralized mortgage obligations
Non-agency residential
Non-agency commercial
Non-U.S. securities
Corporate bonds
Other taxable securities
Total taxable securities
Tax-exempt securities
Total amortized cost of AFS debt securities
Total amortized cost of held-to-maturity debt securities (2)
Fair value of AFS debt securities
U.S. Treasury and agency securities
Mortgage-backed securities:
Agency
Agency-collateralized mortgage obligations
Non-agency residential
Non-agency commercial
Non-U.S. securities
Corporate bonds
Other taxable securities
Total taxable securities
Tax-exempt securities
Total fair value of AFS debt securities
Total fair value of held-to-maturity debt securities (2)
December 31, 2011
Due in One
Year or Less
Amount
$ 556
24
57
2,758
227
2,271
586
2,228
8,707
54
$ 8,761
$9
$ 558
25
58
2,736
229
2,270
590
2,228
8,694
54
$ 8,748
$9
Yield (1)
4.90%
4.40
0.70
4.30
4.90
0.50
1.70
1.20
2.37
2.40
2.37
3.00
Due after One Year
through Five Years
Amount
$ 767
54,675
35,709
9,900
4,484
2,429
1,353
7,364
116,681
1,046
$ 117,727
$60
$ 794
56,084
36,057
9,851
5,079
2,476
1,354
7,373
119,068
1,040
$ 120,108
$60
Yield (1)
5.40%
3.30
2.50
5.10
6.80
4.80
2.10
1.30
3.25
1.80
3.23
2.90
Due after Five Years
through Ten Years
Amount
$ 2,377
58,686
8,606
1,775
64
172
901
1,811
74,392
857
$ 75,249
$ 9,199
$ 2,580
61,170
8,864
1,698
72
174
945
1,796
77,299
853
$ 78,152
$ 9,243
Yield (1)
5.30%
3.60
3.80
4.70
6.80
2.50
2.40
1.90
3.65
2.40
3.63
2.90
Due after Ten Years
Amount
$39,733
24,688
20
515
119
—
153
1,486
66,714
2,721
$ 69,435
$ 25,997
$38,932
25,284
20
482
142
—
146
1,481
66,487
2,656
$ 69,143
$ 26,130
Yield (1)
2.70%
3.40
1.10
3.30
7.60
—
1.20
1.10
2.93
0.30
2.83
3.00
Total
Amount
$43,433
138,073
44,392
14,948
4,894
4,872
2,993
12,889
266,494
4,678
$ 271,172
$ 35,265
$42,864
142,563
44,999
14,767
5,522
4,920
3,035
12,878
271,548
4,603
$ 276,151
$ 35,442
Yield (1)
2.80%
3.50
2.70
4.80
6.80
4.70
2.10
1.40
3.29
1.04
3.25
3.00
(1) Average yield is computed using the effective yield of each security at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual
coupon, amortization of premiums and accretion of discounts and excludes the effect of related hedging derivatives.
(2) Substantially all U.S. agency securities.