Bank of America 2014 Annual Report Download - page 196

194 Bank of America 2014
The Corporation’s liquidity commitments to unconsolidated
municipal bond trusts, including those for which the Corporation
was transferor, totaled $2.1 billion at both December 31, 2014
and 2013. The weighted-average remaining life of bonds held in
the trusts at December 31, 2014 was 7.2 years. There were no
material write-downs or downgrades of assets or issuers during
2014 and 2013.
Automobile and Other Securitization Trusts
The Corporation transfers automobile and other loans into
securitization trusts, typically to improve liquidity or manage credit
risk. At December 31, 2014 and 2013, the Corporation serviced
assets or otherwise had continuing involvement with automobile
and other securitization trusts with outstanding balances of $1.9
billion and $2.5 billion, including trusts collateralized by
automobile loans of $400 million and $877 million, student loans
of $609 million and $741 million, and other loans of $876 million
and $911 million.
Other Variable Interest Entities
The table below summarizes select information related to other
VIEs in which the Corporation held a variable interest at
December 31, 2014 and 2013.
Other VIEs
December 31
2014 2013
(Dollars in millions) Consolidated Unconsolidated Total Consolidated Unconsolidated Total
Maximum loss exposure $ 7,981 $ 12,391 $ 20,372 $ 9,716 $ 12,523 $ 22,239
On-balance sheet assets
Trading account assets $ 1,575 $ 355 $ 1,930 $ 3,769 $ 1,420 $ 5,189
Derivative assets 5 284 289 3 739 742
Debt securities carried at fair value — 483 483 — 1,944 1,944
Loans and leases 4,020 2,693 6,713 4,609 270 4,879
Allowance for loan and lease losses (6) — (6) (6)— (6)
Loans held-for-sale 1,267 814 2,081 998 85 1,083
All other assets 1,641 6,374 8,015 1,734 6,167 7,901
Total $ 8,502 $ 11,003 $ 19,505 $ 11,107 $ 10,625 $ 21,732
On-balance sheet liabilities
Short-term borrowings $—$—$— $77$ —$77
Long-term debt (1) 1,834 — 1,834 4,487 — 4,487
All other liabilities 105 2,643 2,748 93 2,538 2,631
Total $ 1,939 $ 2,643 $ 4,582 $ 4,657 $ 2,538 $ 7,195
Total assets of VIEs $ 8,502 $ 41,467 $ 49,969 $ 11,107 $ 38,505 $ 49,612
(1) Includes $584 million, $0 and $780 million of long-term debt at December 31, 2014 and $1.2 billion, $1.3 billion and $780 million of long-term debt at December 31, 2013 issued by consolidated
customer vehicles, CDO vehicles and investment vehicles, respectively, which has recourse to the general credit of the Corporation.
Customer Vehicles
Customer vehicles include credit-linked, equity-linked and
commodity-linked note vehicles, repackaging vehicles, and asset
acquisition vehicles, which are typically created on behalf of
customers who wish to obtain market or credit exposure to a
specific company, index, commodity or financial instrument. The
Corporation may transfer assets to and invest in securities issued
by these vehicles. The Corporation typically enters into credit,
equity, interest rate, commodity or foreign currency derivatives to
synthetically create or alter the investment profile of the issued
securities.
The Corporation’s maximum loss exposure to consolidated and
unconsolidated customer vehicles totaled $4.7 billion and $5.9
billion at December 31, 2014 and 2013, including the notional
amount of derivatives to which the Corporation is a counterparty,
net of losses previously recorded, and the Corporation’s
investment, if any, in securities issued by the vehicles. The
maximum loss exposure has not been reduced to reflect the benefit
of offsetting swaps with the customers or collateral arrangements.
The Corporation also had liquidity commitments, including written
put options and collateral value guarantees, with certain
unconsolidated vehicles of $658 million and $748 million at
December 31, 2014 and 2013, that are included in the table
above.
Collateralized Debt Obligation Vehicles
The Corporation receives fees for structuring CDO vehicles, which
hold diversified pools of fixed-income securities, typically corporate
debt or ABS, which they fund by issuing multiple tranches of debt
and equity securities. Synthetic CDOs enter into a portfolio of CDS
to synthetically create exposure to fixed-income securities. CLOs,
which are a subset of CDOs, hold pools of loans, typically corporate
loans. CDOs are typically managed by third-party portfolio
managers. The Corporation typically transfers assets to these
CDOs, holds securities issued by the CDOs and may be a derivative
counterparty to the CDOs, including a CDS counterparty for
synthetic CDOs. The Corporation has also entered into total return
swaps with certain CDOs whereby the Corporation absorbs the
economic returns generated by specified assets held by the CDO.