Bank of America 2011 Annual Report Download - page 196

194 Bank of America 2011
Credit Card Securitizations
The Corporation securitizes originated and purchased credit card
loans. The Corporation’s continuing involvement with the
securitization trusts includes servicing the receivables, retaining
an undivided interest (seller’s interest) in the receivables, and
holding certain retained interests including senior and subordinate
securities, discount receivables, subordinate interests in accrued
interest and fees on the securitized receivables, and cash reserve
accounts. The seller’s interest in the trusts, which is pari passu
to the investors’ interest, and the discount receivables are
classified in loans and leases.
The table below summarizes select information related to credit
card securitization trusts in which the Corporation held a variable
interest at December 31, 2011 and 2010.
Credit Card VIEs
(Dollars in millions)
Consolidated VIEs
Maximum loss exposure
On-balance sheet assets
Derivative assets
Loans and leases (1)
Allowance for loan and lease losses
All other assets (2)
Total
On-balance sheet liabilities
Long-term debt
All other liabilities
Total
Trust loans
December 31
2011
$38,282
$788
74,793
(4,742)
723
$71,562
$33,076
204
$33,280
$74,793
2010
$ 36,596
$ 1,778
92,104
(8,505)
4,259
$ 89,636
$ 52,781
259
$ 53,040
$ 92,104
(1) At December 31, 2011 and 2010, loans and leases included $28.7 billion and $20.4 billion of seller’s interest and $1.0 billion and $3.8 billion of discount receivables.
(2) At December 31, 2011 and 2010, all other assets included restricted cash accounts and unbilled accrued interest and fees.
During 2010, $2.9 billion of new senior debt securities were
issued to third-party investors from the credit card securitization
trusts and none were issued in 2011.
During 2010, subordinate securities with a notional principal
amount of $11.5 billion and a stated interest rate of zero percent
were issued by certain credit card securitization trusts to the
Corporation. In addition, the Corporation elected to designate a
specified percentage of new receivables transferred to the trusts
as “discount receivables” such that principal collections thereon
are added to finance charges which increases the yield in the trust.
Through the designation of newly transferred receivables as
discount receivables, the Corporation has subordinated a portion
of its seller’s interest to the investors’ interest. These actions,
which were specifically permitted by the terms of the trust
documents, were taken in an effort to address the decline in the
excess spread of the U.S. and U.K. credit card securitization trusts.
The U.S. election expired June 30, 2011. The issuance of
subordinate securities and the discount receivables election had
no impact on the Corporation’s results of operations in 2011 and
2010.