Bank of America 2013 Annual Report Download - page 203

Bank of America 2013 201
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, 2013 and 2012.
Other Asset-backed VIEs
Resecuritization Trusts Municipal Bond Trusts
Automobile and Other
Securitization Trusts
December 31 December 31 December 31
(Dollars in millions) 2013 2012 2013 2012 2013 2012
Unconsolidated VIEs
Maximum loss exposure $ 11,913 $ 20,715 $ 2,192 $ 3,341 $81 $ 122
On-balance sheet assets
Senior securities held (1, 2):
Trading account assets $ 971 $ 1,281 $53 $12
$1
$37
Debt securities carried at fair value 10,866 19,343 —540 70 74
Subordinate securities held (1, 2):
Debt securities carried at fair value 71 75 ————
Residual interests held (3) 516 ————
All other assets ————10 11
Total retained positions $ 11,913 $ 20,715 $53
$ 552 $81 $ 122
Total assets of VIEs (4) $ 40,924 $ 42,818 $ 3,643 $ 4,980 $ 1,788 $ 1,890
Consolidated VIEs
Maximum loss exposure $ 164 $ 126 $ 2,667 $ 2,505 $94 $ 1,255
On-balance sheet assets
Trading account assets $ 319 $ 220 $ 2,684 $ 2,505 $—$—
Loans and leases ————680 2,523
Allowance for loan and lease losses —————(2)
All other assets ————61 250
Total assets $ 319 $ 220 $ 2,684 $ 2,505 $741 $ 2,771
On-balance sheet liabilities
Short-term borrowings $— $—
$ 1,073 $ 2,859 $—$—
Long-term debt 155 94 17 —646 1,513
All other liabilities ————182
Total liabilities $ 155 $94 $ 1,090 $ 2,859 $647 $ 1,595
(1) As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2013 and 2012, 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).
(4) Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.
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
resecuritize 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 $22.2 billion of securities in
2013 and $37.4 billion in 2012. All of the securities transferred
into resecuritization vehicles during 2013 and 2012 were
classified as trading account assets. As such, changes in fair value
were recorded in trading account profits prior to the resecuritization
and no gain or loss on sale was recorded.
Municipal Bond Trusts
The Corporation administers municipal bond trusts that hold highly-
rated, long-term, fixed-rate municipal bonds. 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 transfer assets into the trusts and may also 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. Should the Corporation be unable to remarket the
tendered certificates, it may be obligated to purchase them at par
under standby liquidity facilities. 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.
During 2013 and 2012, the Corporation was the transferor of
assets into unconsolidated municipal bond trusts and received
cash proceeds from new securitizations of $188 million and $879
million. The securities transferred into municipal bond trusts
during 2013 and 2012 were primarily classified as trading account
assets. As such, changes in fair value were recorded in trading
account profits prior to the transfer and no gain or loss on sale
was recorded.