Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v2.4.0.6
Securitizations and Other Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 2012
Variable Interest Entity [Line Items]  
Mortgage Related Securitizations

The table below summarizes select information related to first-lien mortgage securitizations for the three and six months ended June 30, 2012 and 2011.

First-lien Mortgage Securitizations
 
 
 
 
Residential Mortgage - Agency
 
Commercial Mortgage
 
Three Months Ended June 30
(Dollars in millions)
2012
2011
 
2012
2011
Cash proceeds from new securitizations (1)
$
8,889

$
36,222

 
$

$
1,802

Loss on securitizations, net of hedges (2)
(45
)
(227
)
 


 
 
 
 
 
 
 
Six Months Ended June 30
 
2012
2011
 
2012
2011
Cash proceeds from new securitizations (1)
$
15,227

$
96,976

 
$
325

$
1,802

Loss on securitizations, net of hedges (2)
(62
)
(55
)
 


(1) 
The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS in exchange which may then be sold into the market to third-party investors for cash proceeds.
(2) 
Substantially all of the first-lien residential mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. During the three and six months ended June 30, 2012, the Corporation recognized $395 million and $714 million of gains on these LHFS compared to $765 million and $1.8 billion for the same periods in 2011, net of hedges.
First Lien Mortgages [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at June 30, 2012 and December 31, 2011.

First-lien VIEs
 
 
 
 
 
 
 
 
Residential Mortgage
 
 
 
 
 
 
Non-Agency
 
 
 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
June 30
2012
December 31
2011
 
June 30
2012
December 31
2011
 
June 30
2012
December 31
2011
 
June 30
2012
December 31
2011
 
June 30
2012
December 31
2011
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
34,200

$
37,519

 
$
2,246

$
2,375

 
$
262

$
289

 
$
411

$
506

 
$
708

$
981

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
8,558

$
8,744

 
$
87

$
94

 
$
9

$
3

 
$
281

$
343

 
$
12

$
21

AFS debt securities
25,642

28,775

 
1,539

2,001

 
185

174

 
129

163

 
585

846

Subordinate securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets


 


 
2

30

 


 
23

3

AFS debt securities


 
22

26

 
11

30

 


 


Residual interests held


 
12

8

 

9

 
1


 
24

43

Total retained positions
$
34,200

$
37,519

 
$
1,660

$
2,129

 
$
207

$
246

 
$
411

$
506

 
$
644

$
913

Principal balance outstanding (3)
$
975,420

$
1,198,766

 
$
54,882

$
61,207

 
$
67,804

$
73,949

 
$
93,254

$
101,622

 
$
68,174

$
76,645

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
48,942

$
50,648

 
$
100

$
450

 
$
404

$
419

 
$

$

 
$

$

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans and leases
$
48,413

$
50,159

 
$
307

$
1,298

 
$
865

$
892

 
$

$

 
$

$

Allowance for loan and lease losses
(7
)
(6
)
 


 


 


 


Loans held-for-sale


 


 
627

622

 


 


All other assets
536

495

 
1

63

 
46

59

 


 


Total assets
$
48,942

$
50,648

 
$
308

$
1,361

 
$
1,538

$
1,573

 
$

$

 
$

$

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other short-term borrowings
$

$

 
$

$

 
$
652

$
650

 
$

$

 
$

$

Long-term debt


 
231

1,360

 
875

911

 


 


All other liabilities


 


 

57

 


 


Total liabilities
$

$

 
$
231

$
1,360

 
$
1,527

$
1,618

 
$

$

 
$

$

(1) 
Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For more information, see Note 8 – Representations and Warranties Obligations and Corporate Guarantees and Note 18 – Mortgage Servicing Rights.
(2) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2012 and 2011, there were no OTTI losses recorded on those securities classified as AFS debt securities.
(3) 
Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.

Home Equity [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at June 30, 2012 and December 31, 2011.

Home Equity Loan VIEs
 
 
 
 
 
June 30, 2012
 
December 31, 2011
(Dollars in millions)
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
 
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
Maximum loss exposure (1)
$
2,256

 
$
7,203

 
$
9,459

 
$
2,672

 
$
7,563

 
$
10,235

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$

 
$
6

 
$
6

 
$

 
$
5

 
$
5

AFS debt securities

 
13

 
13

 

 
13

 
13

Loans and leases
2,467

 

 
2,467

 
2,975

 

 
2,975

Allowance for loan and lease losses
(211
)
 

 
(211
)
 
(303
)
 

 
(303
)
Total
$
2,256

 
$
19

 
$
2,275

 
$
2,672

 
$
18

 
$
2,690

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
2,573

 
$

 
$
2,573

 
$
3,081

 
$

 
$
3,081

All other liabilities
78

 

 
78

 
66

 

 
66

Total
$
2,651

 
$

 
$
2,651

 
$
3,147

 
$

 
$
3,147

Principal balance outstanding
$
2,467

 
$
13,523

 
$
15,990

 
$
2,975

 
$
14,422

 
$
17,397

(1) 
For unconsolidated VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves, and excludes the liability for representations and warranties obligations and corporate guarantees.
Credit Card Receivable [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities

The table below summarizes select information related to credit card securitization trusts in which the Corporation held a variable interest at June 30, 2012 and December 31, 2011.

Credit Card VIEs
 
 
 
(Dollars in millions)
June 30
2012
 
December 31
2011
Consolidated VIEs
 
 
 
Maximum loss exposure
$
41,029

 
$
38,282

On-balance sheet assets
 
 
 
Derivative assets
$
337

 
$
788

Loans and leases (1)
67,799

 
74,793

Allowance for loan and lease losses
(3,848
)
 
(4,742
)
Loans held-for-sale
553

 

All other assets (2)
2,069

 
723

Total
$
66,910

 
$
71,562

On-balance sheet liabilities
 
 
 
Other short-term borrowings
$
553

 
$

Long-term debt
25,218

 
33,076

All other liabilities
110

 
204

Total
$
25,881

 
$
33,280

Trust loans
$
68,352

 
$
74,793

(1) 
At June 30, 2012 and December 31, 2011, loans and leases included $31.2 billion and $28.7 billion of seller’s interest and $383 million and $1.0 billion of discount receivables.
(2) 
At June 30, 2012 and December 31, 2011, all other assets included restricted cash and short-term investment accounts and unbilled accrued interest and fees.
Collateralized Securities, Other [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities


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 June 30, 2012 and December 31, 2011.

Other Asset-backed VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Resecuritization Trusts
 
Municipal Bond Trusts
 
Automobile and Other
Securitization Trusts
(Dollars in millions)
June 30
2012
 
December 31
2011
 
June 30
2012
 
December 31
2011
 
June 30
2012
 
December 31
2011
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$
22,957

 
$
31,140

 
$
3,410

 
$
3,752

 
$
90

 
$
93

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
895

 
$
2,595

 
$
135

 
$
228

 
$

 
$

AFS debt securities
21,892

 
27,616

 

 

 
78

 
81

Subordinate securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
AFS debt securities
76

 
544

 

 

 

 

Residual interests held (3)
94

 
385

 

 

 

 

All other assets

 

 

 

 
12

 
12

Total retained positions
$
22,957

 
$
31,140

 
$
135

 
$
228

 
$
90

 
$
93

Total assets of VIEs (4)
$
43,919

 
$
60,459

 
$
5,307

 
$
5,964

 
$
2,358

 
$
668

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$

 
$

 
$
2,743

 
$
3,901

 
$
1,282

 
$
1,087

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$

 
$

 
$
2,743

 
$
3,901

 
$

 
$

Loans and leases

 

 

 

 
3,595

 
4,923

Allowance for loan and lease losses

 

 

 

 
(3
)
 
(7
)
All other assets

 

 

 

 
314

 
168

Total assets
$

 
$

 
$
2,743

 
$
3,901

 
$
3,906

 
$
5,084

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Other short-term borrowings
$

 
$

 
$
3,041

 
$
5,127

 
$

 
$

Long-term debt

 

 

 

 
2,620

 
3,992

All other liabilities

 

 

 

 
104

 
90

Total liabilities
$

 
$

 
$
3,041

 
$
5,127

 
$
2,724

 
$
4,082

(1) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2012 and 2011, 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.
Collateralized Debt Obligations [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities

The table below summarizes select information related to CDO vehicles in which the Corporation held a variable interest at June 30, 2012 and December 31, 2011.

CDO Vehicle VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2012
 
December 31, 2011
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
2,178

 
$
2,191

 
$
4,369

 
$
1,695

 
$
2,272

 
$
3,967

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,964

 
$
636

 
$
2,600

 
$
1,392

 
$
461

 
$
1,853

Derivative assets
214

 
500

 
714

 
452

 
678

 
1,130

All other assets

 
83

 
83

 

 
96

 
96

Total
$
2,178

 
$
1,219

 
$
3,397

 
$
1,844

 
$
1,235

 
$
3,079

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
$

 
$
6

 
$
6

 
$

 
$
11

 
$
11

Long-term debt
2,867

 
2

 
2,869

 
2,712

 
2

 
2,714

Total
$
2,867

 
$
8

 
$
2,875

 
$
2,712

 
$
13

 
$
2,725

Total assets of VIEs
$
2,178

 
$
30,504

 
$
32,682

 
$
1,844

 
$
32,903

 
$
34,747

Customer Vehicles [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The table below summarizes select information related to customer vehicles in which the Corporation held a variable interest at June 30, 2012 and December 31, 2011.

Customer Vehicle VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2012
 
December 31, 2011
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
2,687

 
$
1,886

 
$
4,573

 
$
3,264

 
$
2,116

 
$
5,380

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
3,682

 
$
157

 
$
3,839

 
$
3,302

 
$
211

 
$
3,513

Derivative assets
4

 
757

 
761

 

 
905

 
905

Loans and leases
175

 

 
175

 

 

 

Loans held-for-sale
888

 

 
888

 
907

 

 
907

All other assets
923

 

 
923

 
1,452

 

 
1,452

Total
$
5,672

 
$
914

 
$
6,586

 
$
5,661

 
$
1,116

 
$
6,777

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
$
16

 
$
41

 
$
57

 
$
4

 
$
42

 
$
46

Other short-term borrowings
203

 

 
203

 

 

 

Long-term debt
3,952

 

 
3,952

 
3,912

 

 
3,912

All other liabilities
82

 
397

 
479

 
1

 
448

 
449

Total
$
4,253

 
$
438

 
$
4,691

 
$
3,917

 
$
490

 
$
4,407

Total assets of VIEs
$
5,672

 
$
3,673

 
$
9,345

 
$
5,661

 
$
5,302

 
$
10,963

Other Variable Interest Entity Investment Vehicle [Member]
 
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 June 30, 2012 and December 31, 2011.

Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2012
 
December 31, 2011
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
5,473

 
$
6,765

 
$
12,238

 
$
7,429

 
$
7,286

 
$
14,715

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
110

 
$

 
$
110

 
$

 
$

 
$

Derivative assets
452

 
444

 
896

 
394

 
440

 
834

AFS debt securities

 
56

 
56

 

 
62

 
62

Loans and leases
4,765

 
221

 
4,986

 
5,154

 
357

 
5,511

Allowance for loan and lease losses
(5
)
 

 
(5
)
 
(8
)
 
(1
)
 
(9
)
Loans held-for-sale
95

 
435

 
530

 
106

 
598

 
704

All other assets
224

 
5,610

 
5,834

 
1,809

 
5,823

 
7,632

Total
$
5,641

 
$
6,766

 
$
12,407

 
$
7,455

 
$
7,279

 
$
14,734

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
$
4

 
$
10

 
$
14

 
$

 
$

 
$

Long-term debt
120

 

 
120

 
10

 

 
10

All other liabilities
767

 
1,593

 
2,360

 
694

 
1,705

 
2,399

Total
$
891

 
$
1,603

 
$
2,494

 
$
704

 
$
1,705

 
$
2,409

Total assets of VIEs
$
5,641

 
$
10,302

 
$
15,943

 
$
7,455

 
$
11,055

 
$
18,510