Is it possible there are tens of billions of dollars of "embedded" losses hidden on the balance sheet? These are the questions Bank of America analysts have to ask, even though Bank of America is not providing enough information to determine definitive answers. As of June 30, per Bank of America's financial statements, here's what Bank of America's residential whole loan portfolio looked like: In other words, Bank of America has classified 5% of its loan portfolio as "non-performing" and reserved $21 billion to cover the expected losses from these and other loans that go bad.