Bank of America 2012 Annual Report Download - page 205

Bank of America 2012 203
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
consolidated credit card securitization trusts in which the
Corporation held a variable interest at December 31, 2012 and
2011.
Credit Card VIEs
December 31
(Dollars in millions) 2012 2011
Consolidated VIEs
Maximum loss exposure $ 42,487 $ 38,282
On-balance sheet assets
Derivative assets $323 $ 788
Loans and leases (1) 66,427 74,793
Allowance for loan and lease losses (3,445)(4,742)
All other assets (2) 1,567 723
Total $ 64,872 $ 71,562
On-balance sheet liabilities
Long-term debt $22,291 $ 33,076
All other liabilities 94 204
Total $ 22,385 $ 33,280
(1) At December 31, 2012 and 2011, loans and leases included $33.5 billion and $28.7 billion of seller’s interest and $124 million and $1.0 billion of discount receivables.
(2) At December 31, 2012 and 2011, all other assets included restricted cash and short-term investment accounts and unbilled accrued interest and fees.
The Corporation holds subordinate securities with a notional
principal amount of $10.1 billion and $11.9 billion at
December 31, 2012 and 2011 and a stated interest rate of zero
percent issued by certain credit card securitization trusts. In
addition, during 2010 and 2009, 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 subordinated
a portion of its seller’s interest to the investors’ interest. These
actions were taken to address the decline in the excess spread
of the U.S. and U.K. credit card securitization trusts.
During 2012, the Corporation transferred $553 million of credit
card receivables to a third-party sponsored securitization vehicle.
The Corporation no longer services the credit card receivables and
does not consolidate the vehicle. At December 31, 2012, the
Corporation held a senior interest of $309 million in these
receivables, classified as loans on the Corporation’s Consolidated
Balance Sheet, that is not included in the table above.