Bank of America 2011 Annual Report Download - page 197

Bank of America 2011 195
Other Asset-backed Securitizations
Other asset-backed securitizations include resecuritization trusts, municipal bond trusts, and automobile and other securitization trusts.
The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable
interest at December 31, 2011 and 2010.
Other Asset-backed VIEs
(Dollars in millions)
Unconsolidated VIEs
Maximum loss exposure
On-balance sheet assets
Senior securities held (1, 2):
Trading account assets
AFS debt securities
Subordinate securities held (1, 2):
Trading account assets
AFS debt securities
Residual interests held (3)
All other assets
Total retained positions
Total assets of VIEs
Consolidated VIEs
Maximum loss exposure
On-balance sheet assets
Trading account assets
Loans and leases
Allowance for loan and lease losses
All other assets
Total assets
On-balance sheet liabilities
Commercial paper and other short-term borrowings
Long-term debt
All other liabilities
Total liabilities
Resecuritization Trusts
December 31
2011
$ 31,140
$ 2,595
27,616
—
544
385
—
$ 31,140
$ 60,459
$—
$—
—
—
—
$—
$—
—
—
$—
2010
$ 20,320
$ 1,219
17,989
2
1,036
74
—
$ 20,320
$ 39,830
$—
$68
—
—
—
$68
$—
68
—
$68
Municipal Bond Trusts
December 31
2011
$ 3,752
$228
—
—
—
—
—
$228
$ 5,964
$ 3,901
$ 3,901
—
—
—
$ 3,901
$ 5,127
—
—
$ 5,127
2010
$ 4,261
$ 255
—
—
—
—
—
$ 255
$ 6,108
$ 4,716
$ 4,716
—
—
—
$ 4,716
$ 4,921
—
—
$ 4,921
Automobile and Other
Securitization Trusts
December 31
2011
$93
$—
81
—
—
—
12
$93
$668
$1,087
$—
4,923
(7)
168
$ 5,084
$—
3,992
90
$ 4,082
2010
$ 141
$—
109
—
—
—
17
$ 126
$ 774
$ 2,061
$—
9,583
(29)
196
$ 9,750
$—
7,681
101
$ 7,782
(1) 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.
(2) The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
(3) The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy).
Resecuritization Trusts
The Corporation transfers existing securities, typically MBS, into
resecuritization vehicles at the request of customers seeking
securities with specific characteristics. The Corporation may also
enter into resecuritizations of securities within its investment
portfolio for purposes of improving liquidity and capital, and
managing credit or interest rate risk. Generally, there are no
significant ongoing activities performed in a resecuritization trust
and no single investor has the unilateral ability to liquidate the
trust.
The Corporation resecuritized $33.6 billion of securities in
2011 compared to $97.7 billion in 2010. Net gains on sales
totaled $909 million in 2011 compared to net losses of $144
million in 2010. The Corporation consolidates a resecuritization
trust if it has sole discretion over the design of the trust, including
the identification of securities to be transferred in and the structure
of securities to be issued, and also retains a variable interest that
could potentially be significant to the trust. If one or a limited
number of third-party investors share responsibility for the design
of the trust and purchase a significant portion of securities,
including subordinate securities issued by non-agency trusts, the
Corporation does not consolidate the trust.
Municipal Bond Trusts
The Corporation administers municipal bond trusts that hold highly-
rated, long-term, fixed-rate municipal bonds. A majority of the
bonds are rated AAA or AA and some benefit from insurance
provided by third parties. The trusts obtain financing by issuing
floating-rate trust certificates that reprice on a weekly or other
basis to third-party investors. The Corporation may serve as
remarketing agent and/or liquidity provider for the trusts. The
floating-rate investors have the right to tender the certificates at
specified dates, often with as little as seven days’ notice. Should
the Corporation be unable to remarket the tendered certificates,
it is generally obligated to purchase them at par under standby
liquidity facilities unless the bond’s credit rating has declined below
investment grade or there has been an event of default or
bankruptcy of the issuer and insurer.
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