Bank of America 2014 Annual Report Download - page 195

Bank of America 2014 193
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, 2014 and 2013.
Other Asset-backed VIEs
Resecuritization Trusts Municipal Bond Trusts
Automobile and Other
Securitization Trusts
December 31 December 31 December 31
(Dollars in millions) 2014 2013 2014 2013 2014 2013
Unconsolidated VIEs
Maximum loss exposure $ 8,569 $ 11,913 $ 2,100 $ 2,192 $77 $81
On-balance sheet assets
Senior securities held (1, 2):
Trading account assets $ 767 $ 971 $25 $53
$6
$1
Debt securities carried at fair value 6,945 10,866 ——61 70
Held-to-maturity securities 740 —————
Subordinate securities held (1, 2):
Trading account assets 37 —————
Debt securities carried at fair value 73 71 ————
Residual interests held (3) 75————
All other assets ————10 10
Total retained positions $ 8,569 $ 11,913 $25
$53
$77 $81
Total assets of VIEs (4) $ 28,065 $ 40,924 $ 3,314 $ 3,643 $ 1,276 $ 1,788
Consolidated VIEs
Maximum loss exposure $ 654 $ 164 $ 2,440 $ 2,667 $92 $94
On-balance sheet assets
Trading account assets $ 1,295 $ 319 $ 2,452 $ 2,684 $—$—
Loans and leases —————680
Loans held-for-sale ————555 —
All other assets ————54 61
Total assets $ 1,295 $ 319 $ 2,452 $ 2,684 $609 $ 741
On-balance sheet liabilities
Short-term borrowings $— $—
$ 1,032 $ 1,073 $—$—
Long-term debt 641 155 12 17 516 646
All other liabilities ————11
Total liabilities $ 641 $ 155 $ 1,044 $ 1,090 $517 $ 647
(1) As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2014 and 2013, 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 $14.4 billion and $26.5 billion
of securities in 2014 and 2013. Resecuritizations in 2014
included $1.5 billion of AFS securities, and gains on sale of $71
million were recorded. Other securities transferred into
resecuritization vehicles during 2014 and 2013 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 short-term 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.