Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.8.0.1
Securitizations and Other Variable Interest Entities (Tables)
9 Months Ended
Sep. 30, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Mortgage Related Securitizations
The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage Securitizations
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage - Agency
 
Commercial Mortgage
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
Three Months Ended September 30
 
Nine Months Ended September 30
(Dollars in millions)
2017
2016
 
2017
2016
 
2017
2016
 
2017
2016
Cash proceeds from new securitizations (1)
$
3,833

$
7,131

 
$
11,791

$
18,580

 
$
1,225

$
1,052

 
$
2,931

$
3,031

Gains on securitizations (2)
40

89

 
140

322

 
14

27

 
67

18

Repurchases from securitization trusts (3)
609

684

 
2,083

2,058

 


 


(1) 
The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or Government National Mortgage Association (GNMA) in the normal course of business and receives RMBS in exchange which may then be sold into the market to third-party investors for cash proceeds.
(2) 
A majority of the first-lien residential and commercial mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled $63 million and $195 million, net of hedges, during the three and nine months ended September 30, 2017 compared to $149 million and $349 million for the same periods in 2016, are not included in the table above.
(3) 
The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. The Corporation may also repurchase loans from securitization trusts to perform modifications. Repurchased loans include FHA-insured mortgages collateralizing GNMA securities.
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The table below summarizes select information related to home equity loan, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2017 and December 31, 2016.
 
 
 
 
 
 
 
 
 
 
 
 
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
 
 
 
 
Home Equity Loan (1)
 
Credit Card (2, 3)
 
Resecuritization Trusts
 
Municipal Bond Trusts
(Dollars in millions)
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
Unconsolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
1,632

$
2,732

 
$

$

 
$
9,107

$
9,906

 
$
1,566

$
1,635

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Senior securities held (4):
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
1,246

$
902

 
$
9

$

Debt securities carried at fair value
39

46

 


 
1,891

2,338

 


Held-to-maturity securities


 


 
5,866

6,569

 


Subordinate securities held (4):
 

 

 
 
 
 
 

 

 
 

 

Trading account assets


 


 
30

27

 


Debt securities carried at fair value


 


 
74

70

 


Total retained positions
$
39

$
46

 
$

$

 
$
9,107

$
9,906

 
$
9

$

Total assets of VIEs (5)
$
2,598

$
4,274

 
$

$

 
$
21,822

$
22,155

 
$
2,250

$
2,406

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
119

$
149

 
$
22,937

$
25,859

 
$
343

$
420

 
$
1,215

$
1,442

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
864

$
1,428

 
$
1,214

$
1,454

Loans and leases
192

244

 
32,281

35,135

 


 


Allowance for loan and lease losses
(13
)
(16
)
 
(1,002
)
(1,007
)
 


 


All other assets
6

7

 
276

793

 


 
1


Total assets
$
185

$
235

 
$
31,555

$
34,921

 
$
864

$
1,428

 
$
1,215

$
1,454

On-balance sheet liabilities
 

 

 
 
 
 
 

 

 
 

 

Short-term borrowings
$

$

 
$

$

 
$

$

 
$
122

$
348

Long-term debt
82

108

 
8,598

9,049

 
521

1,008

 

12

All other liabilities


 
20

13

 


 


Total liabilities
$
82

$
108

 
$
8,618

$
9,062

 
$
521

$
1,008

 
$
122

$
360

(1) 
For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the reserve for representations and warranties obligations and corporate guarantees. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees.
(2) 
At September 30, 2017 and December 31, 2016, loans and leases in the consolidated credit card trust included $15.3 billion and $17.6 billion of seller’s interest.
(3) 
At September 30, 2017 and December 31, 2016, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.
(4) 
The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
(5) 
Total assets include loans the Corporation transferred with which it has continuing involvement, which may include servicing the loan.
First Lien Mortgages  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2017 and December 31, 2016.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 

 

 
 

 

 
Non-agency
 
 

 

 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
 
September 30
2017
December 31
2016
Unconsolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
19,585

$
22,661

 
$
623

$
757

 
$
2,677

$
2,750

 
$
464

$
560

 
$
420

$
344

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Senior securities
    held (2):
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
300

$
1,399

 
$
18

$
20

 
$
51

$
112

 
$
35

$
118

 
$
58

$
51

Debt securities carried at FV
15,827

17,620

 
359

441

 
2,226

2,235

 
318

305

 


Held-to-maturity securities
3,447

3,630

 


 


 


 
160

64

Subordinate securities held (2):
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets


 
1

1

 
22

23

 
1

1

 
11

14

Debt securities carried at FV


 
6

8

 
2

2

 
20

23

 
48

54

Held-to-maturity securities


 


 


 


 

13

Residual interests held


 


 


 


 
25

25

All other assets (3)
11

12

 
23

28

 


 
90

113

 


Total retained positions
$
19,585

$
22,661

 
$
407

$
498

 
$
2,301

$
2,372

 
$
464

$
560

 
$
302

$
221

Principal balance outstanding (4)
$
242,353

$
265,332

 
$
11,152

$
16,280

 
$
10,993

$
19,373

 
$
29,550

$
35,788

 
$
24,945

$
23,826

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
15,040

$
18,084

 
$
337

$

 
$

$

 
$

$
25

 
$

$

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account
assets
$
37

$
434

 
$
330

$

 
$

$

 
$

$
99

 
$

$

Loans and leases
14,762

17,223

 


 


 


 


All other assets
241

427

 
7


 


 


 


Total assets
$
15,040

$
18,084

 
$
337

$

 
$

$

 
$

$
99

 
$

$

On-balance sheet liabilities
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Long-term debt
$

$

 
$

$

 
$

$

 
$

$
74

 
$

$

All other liabilities
2

4

 


 


 


 


Total liabilities
$
2

$
4

 
$

$

 
$

$

 
$

$
74

 
$

$

(1) 
Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but excludes the reserve for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 14 – Fair Value Measurements.
(2) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2017, the Corporation recognized $0 and $16 million compared to $1 million and $5 million for the same periods in 2016 of credit-related impairment losses in earnings on those securities classified as AFS debt securities. During the three and nine months ended September 30, 2017 and 2016, the Corporation recognized no credit-related impairment losses in earnings on those securities classified as HTM.
(3) 
Not included in the table above are all other assets of $147 million and $189 million, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of $147 million and $189 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at September 30, 2017 and December 31, 2016.
(4) 
Principal balance outstanding includes loans where the Corporation was the transferor to securitization vehicles with which it has continuing involvement, which may include servicing the loans.
Other Variable Interest Entities  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at September 30, 2017 and December 31, 2016.
 
 
 
 
 
 
 
 
 
 
 
 
Other VIEs
 
 
 
 
 
 
 
 
 
September 30, 2017
 
December 31, 2016
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
5,398

 
$
19,676

 
$
25,074

 
$
6,114

 
$
17,754

 
$
23,868

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading account assets
$
2,697

 
$
303

 
$
3,000

 
$
2,358

 
$
233

 
$
2,591

Debt securities carried at fair value

 
197

 
197

 

 
122

 
122

Loans and leases
2,787

 
4,200

 
6,987

 
3,399

 
3,249

 
6,648

Allowance for loan and lease losses
(8
)
 
(33
)
 
(41
)
 
(9
)
 
(24
)
 
(33
)
Loans held-for-sale
66

 
843

 
909

 
188

 
464

 
652

All other assets
131

 
13,717

 
13,848

 
369

 
13,156

 
13,525

Total
$
5,673

 
$
19,227

 
$
24,900

 
$
6,305

 
$
17,200

 
$
23,505

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term debt (1)
$
256

 
$

 
$
256

 
$
395

 
$

 
$
395

All other liabilities
32

 
3,146

 
3,178

 
24

 
2,959

 
2,983

Total
$
288

 
$
3,146

 
$
3,434

 
$
419

 
$
2,959

 
$
3,378

Total assets of VIEs
$
5,673

 
$
69,817

 
$
75,490

 
$
6,305

 
$
62,269

 
$
68,574


(1) 
Includes $13 million and $229 million of long-term debt at September 30, 2017 and December 31, 2016 issued by other consolidated VIEs, which has recourse to the general credit of the Corporation.