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192 Bank of America 2011

Corporation has continuing involvement, were a loss of $12 million

and a gain of $21 million in 2011 and 2010. Servicing advances

on commercial mortgage loans, including securitizations where

the Corporation has continuing involvement, were $152 million

and $156 million at December 31, 2011 and 2010. For additional

information on MSRs, see Note 25 – Mortgage Servicing Rights.

The table below summarizes select information related to first-

lien mortgage securitization trusts in which the Corporation held

a variable interest at December 31, 2011 and 2010.

First-lien VIEs

(Dollars in millions)

Unconsolidated VIEs

Maximum loss exposure (1)

On-balance sheet assets

Senior securities held (2):

Trading account assets

AFS debt securities

Subordinate securities held (2):

Trading account assets

AFS debt securities

Residual interests held

All other assets

Total retained positions

Principal balance outstanding (3)

Consolidated VIEs

Maximum loss exposure (1)

On-balance sheet assets

Loans and leases

Allowance for loan and lease losses

Loans held-for-sale

All other assets

Total assets

On-balance sheet liabilities

Commercial paper and other short-

term borrowings

Long-term debt

All other liabilities

Total liabilities

Residential Mortgage

Agency

December 31

2011

$ 37,519

$ 8,744

28,775

—

$ 37,519

$ 1,198,766

$ 50,648

$ 50,159

(6)

—

495

$ 50,648

$—

—

$—

2010

$ 46,093

$ 10,693

35,400

—

$ 46,093

$ 1,297,159

$ 32,746

$ 32,563

(37)

—

220

$ 32,746

$—

—

Non-Agency

Prime

December 31

2011

$ 2,375

$94

2,001

—

$ 2,129

$ 61,207

$ 450

$ 1,298

—

$ 1,361

$—

1,360

—

$ 1,360

2010

$ 2,794

$ 147

2,593

—

$ 2,794

$ 75,762

$46

$—

—

$46

$—

—

Subprime

2011

$289

174

—

$246

$73,949

$419

$892

—

622

$ 1,573

$650

911

$ 1,618

2010

$ 416

$ 126

234

—

$ 416

$ 92,710

$42

$—

—

732

$ 748

$ 706

—

$ 768

Alt-A

2011

$506

$343

163

—

$506

$101,622

$—

—

$—

—

$—

2010

$ 651

$ 645

—

$ 651

$116,233

$—

—

$—

—

$—

Commercial

Mortgage

December 31

2011

$981

$21

846

—

$913

$76,645

$—

—

$—

—

$—

2010

$1,199

$ 146

984

—

$ 1,199

$ 73,597

$—

—

$—

—

$—

(1) Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For more information, see

Note 9 – Representations and Warranties Obligations and Corporate Guarantees and Note 25 – Mortgage Servicing Rights.

(2) As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 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.

As a result of a settlement agreement with Assured Guaranty

Ltd. and its subsidiaries (Assured Guaranty) in 2011, the

Corporation entered into a loss-sharing reinsurance arrangement

involving 21 first-lien RMBS trusts. This obligation is a variable

interest that could potentially be significant to the trusts. To the

extent that the Corporation services all or a majority of the loans

in any of the 21 trusts, the Corporation is the primary beneficiary.

At December 31, 2011, 12 of these trusts were consolidated.

Assets and liabilities of the consolidated trusts and the

Corporation’s maximum loss exposure to consolidated and

unconsolidated trusts are included in the table above as non-

agency prime and subprime trusts. For additional information, see

Note 9 – Representations and Warranties Obligations and Corporate

Guarantees.

Home Equity Loans

The Corporation retains interests in home equity securitization

trusts to which it transferred home equity loans. These retained

interests include senior and subordinate securities and residual

interests. In addition, the Corporation may be obligated to provide

subordinate funding to the trusts during a rapid amortization event.

The Corporation also services the loans in the trusts. Except as

described below and in Note 9 – Representations and Warranties

Obligations and Corporate Guarantees, the Corporation does not

provide guarantees or recourse to the securitization trusts other

than standard representations and warranties. There were no

securitizations of home equity loans during 2011 and 2010. All

of the home equity trusts have entered the amortization phase

and, accordingly, there were no collections reinvested in revolving

period securitizations in 2011. Collections reinvested in revolving

period securitizations were $21 million in 2010.