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)
3 Months Ended
Mar. 31, 2018
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 months ended March 31, 2018 and 2017.
 
 
 
 
 
 
 
 
First-lien Mortgage Securitizations
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage - Agency
 
Commercial Mortgage
 
Three Months Ended March 31
(Dollars in millions)
2018
 
2017
 
2018
 
2017
Cash proceeds from new securitizations (1)
$
1,686

 
$
4,656

 
$
512

 
$
609

Gains on securitizations (2)
18

 
39

 
18

 
18

Repurchases from securitization trusts (3)
501

 
872

 

 

(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 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 $24 million and $90 million, net of hedges, during the three months ended March 31, 2018 and 2017, 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 March 31, 2018 and December 31, 2017.
 
 
 
 
 
 
 
 
 
 
 
 
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)
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
Unconsolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
1,350

$
1,522

 
$

$

 
$
8,680

$
8,204

 
$
1,614

$
1,631

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Senior securities (4):
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
1,660

$
869

 
$

$
33

Debt securities carried at fair value
32

36

 


 
1,557

1,661

 


Held-to-maturity securities


 


 
5,463

5,644

 


Subordinate securities (4)


 


 

30

 


Total retained positions
$
32

$
36

 
$

$

 
$
8,680

$
8,204

 
$

$
33

Total assets of VIEs (5)
$
2,238

$
2,432

 
$

$

 
$
19,073

$
19,281

 
$
2,249

$
2,287

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
104

$
112

 
$
20,873

$
24,337

 
$
457

$
628

 
$
1,436

$
1,453

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
1,053

$
1,557

 
$
1,447

$
1,452

Loans and leases
165

177

 
30,764

32,554

 


 


Allowance for loan and lease losses
(9
)
(9
)
 
(968
)
(988
)
 


 


All other assets
6

6

 
137

1,385

 


 
1

1

Total assets
$
162

$
174

 
$
29,933

$
32,951

 
$
1,053

$
1,557

 
$
1,448

$
1,453

On-balance sheet liabilities
 

 

 
 
 
 
 

 

 
 

 

Short-term borrowings
$

$

 
$

$

 
$

$

 
$
286

$
312

Long-term debt
70

76

 
9,043

8,598

 
596

929

 
12


All other liabilities


 
17

16

 


 


Total liabilities
$
70

$
76

 
$
9,060

$
8,614

 
$
596

$
929

 
$
298

$
312

(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 more information, see Note 10 – Commitments and Contingencies.
(2) 
At March 31, 2018 and December 31, 2017, loans and leases in the consolidated credit card trust included $13.3 billion and $15.6 billion of seller’s interest.
(3) 
At March 31, 2018 and December 31, 2017, 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 March 31, 2018 and December 31, 2017.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 

 

 
 

 

 
Non-agency
 
 

 

 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
 
March 31
2018
December 31
2017
Unconsolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
18,120

$
19,110

 
$
652

$
689

 
$
2,659

$
2,643

 
$
419

$
403

 
$
565

$
585

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Senior securities:
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
658

$
716

 
$
7

$
6

 
$
15

$
10

 
$
74

$
50

 
$
77

$
108

Debt securities carried at fair value
14,214

15,036

 
447

477

 
2,204

2,221

 
343

351

 


Held-to-maturity securities
3,248

3,348

 


 


 


 
298

274

Subordinate securities


 
6

5

 
64

38

 
2

2

 
64

69

Residual interests


 


 


 


 
24

19

All other assets (2)

10

 


 


 


 


Total retained positions
$
18,120

$
19,110

 
$
460

$
488

 
$
2,283

$
2,269

 
$
419

$
403

 
$
463

$
470

Principal balance outstanding (3)
$
216,493

$
232,761

 
$
10,305

$
10,549

 
$
10,118

$
10,254

 
$
26,865

$
28,129

 
$
26,092

$
26,504

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
13,872

$
14,502

 
$
662

$
571

 
$

$

 
$

$

 
$

$

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
203

$
232

 
$
683

$
571

 
$

$

 
$

$

 
$

$

Loans and leases, net
13,476

14,030

 


 


 


 


All other assets
194

240

 


 


 


 


Total assets
$
13,873

$
14,502

 
$
683

$
571

 
$

$

 
$

$

 
$

$

On-balance sheet liabilities
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Long-term debt
$
1

$

 
$
21

$

 
$

$

 
$

$

 
$

$

All other liabilities
3

3

 


 


 


 


Total liabilities
$
4

$
3

 
$
21

$

 
$

$

 
$

$

 
$

$

(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 more information, see Note 10 – Commitments and Contingencies and Note 14 – Fair Value Measurements.
(2) 
Not included in the table above are all other assets of $65 million and $148 million, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization VIEs, principally guaranteed by GNMA, and all other liabilities of $65 million and $148 million, representing the principal amount that would be payable to the securitization VIEs if the Corporation was to exercise the repurchase option, at March 31, 2018 and December 31, 2017.
(3) 
Principal balance outstanding includes loans where the Corporation was the transferor to securitization VIEs 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 March 31, 2018 and December 31, 2017.
 
 
 
 
 
 
 
 
 
 
 
 
Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
(Dollars in millions)
March 31, 2018
 
December 31, 2017
Maximum loss exposure
$
4,606

 
$
20,998

 
$
25,604

 
$
4,660

 
$
19,785

 
$
24,445

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading account assets
$
2,679

 
$
376

 
$
3,055

 
$
2,709

 
$
346

 
$
3,055

Debt securities carried at fair value

 
130

 
130

 

 
160

 
160

Loans and leases
2,180

 
4,255

 
6,435

 
2,152

 
3,596

 
5,748

Allowance for loan and lease losses
(2
)
 
(32
)
 
(34
)
 
(3
)
 
(32
)
 
(35
)
Loans held-for-sale
13

 
1,258

 
1,271

 
27

 
940

 
967

All other assets
61

 
14,379

 
14,440

 
62

 
14,276

 
14,338

Total
$
4,931

 
$
20,366

 
$
25,297

 
$
4,947

 
$
19,286

 
$
24,233

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term debt (1)
$
308

 
$

 
$
308

 
$
270

 
$

 
$
270

All other liabilities
18

 
3,508

 
3,526

 
18

 
3,417

 
3,435

Total
$
326

 
$
3,508

 
$
3,834

 
$
288

 
$
3,417

 
$
3,705

Total assets of VIEs
$
4,931

 
$
75,401

 
$
80,332

 
$
4,947

 
$
69,746

 
$
74,693


(1) 
Includes $1 million of long-term debt at both March 31, 2018 and December 31, 2017 issued by other consolidated VIEs, which has recourse to the general credit of the Corporation.