Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.10.0.1
Securitizations and Other Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 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 and six months ended June 30, 2018 and 2017.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage Securitizations
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage - Agency
 
Commercial Mortgage
 
Three Months Ended June 30
 
Six Months Ended June 30
 
Three Months Ended June 30
 
Six Months Ended June 30
(Dollars in millions)
2018
 
2017
 
2018
 
2017
 
2018
 
2017
 
2018
 
2017
Cash proceeds from new securitizations (1)
$
1,379

 
$
3,302

 
$
3,065

 
$
7,958

 
$
1,672

 
$
1,097

 
$
2,184

 
$
1,706

Gains on securitizations (2)
23

 
61

 
41

 
100

 
21

 
35

 
39

 
53

Repurchases from securitization trusts (3)
357

 
602

 
858

 
1,474

 

 

 

 

(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 $21 million and $45 million, net of hedges, during the three and six months ended June 30, 2018, compared to $42 million and $132 million for the same periods in 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 June 30, 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)
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
Unconsolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
1,238

$
1,522

 
$

$

 
$
8,025

$
8,204

 
$
1,726

$
1,631

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Senior securities (4):
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
1,297

$
869

 
$

$
33

Debt securities carried at fair value
31

36

 


 
1,471

1,661

 


Held-to-maturity securities


 


 
5,257

5,644

 


All other assets (4)


 


 

30

 


Total retained positions
$
31

$
36

 
$

$

 
$
8,025

$
8,204

 
$

$
33

Total assets of VIEs (5)
$
2,085

$
2,432

 
$

$

 
$
19,975

$
19,281

 
$
2,378

$
2,287

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
97

$
112

 
$
20,518

$
24,337

 
$
264

$
628

 
$
1,480

$
1,453

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
622

$
1,557

 
$
1,492

$
1,452

Loans and leases
154

177

 
30,433

32,554

 


 


Allowance for loan and lease losses
(7
)
(9
)
 
(944
)
(988
)
 


 


All other assets
5

6

 
128

1,385

 


 
1

1

Total assets
$
152

$
174

 
$
29,617

$
32,951

 
$
622

$
1,557

 
$
1,493

$
1,453

On-balance sheet liabilities
 

 

 
 
 
 
 

 

 
 

 

Short-term borrowings
$

$

 
$

$

 
$

$

 
$
396

$
312

Long-term debt
65

76

 
9,071

8,598

 
358

929

 
12


All other liabilities


 
28

16

 


 


Total liabilities
$
65

$
76

 
$
9,099

$
8,614

 
$
358

$
929

 
$
408

$
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 June 30, 2018 and December 31, 2017, loans and leases in the consolidated credit card trust included $13.0 billion and $15.6 billion of seller’s interest.
(3) 
At June 30, 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) 
All other assets includes subordinate securities. 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 of VIEs includes 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 table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at June 30, 2018 and December 31, 2017.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 

 

 
 

 

 
Non-agency
 
 

 

 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
 
June 30
2018
December 31
2017
Unconsolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
17,336

$
19,110

 
$
655

$
689

 
$
2,483

$
2,643

 
$
399

$
403

 
$
615

$
585

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Senior securities:
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
636

$
716

 
$
50

$
6

 
$
36

$
10

 
$
62

$
50

 
$
58

$
108

Debt securities carried at fair value
13,075

15,036

 
420

477

 
2,021

2,221

 
335

351

 


Held-to-maturity securities
3,625

3,348

 


 


 


 
362

274

All other assets (2)

10

 
5

5

 
60

38

 
2

2

 
80

88

Total retained positions
$
17,336

$
19,110

 
$
475

$
488

 
$
2,117

$
2,269

 
$
399

$
403

 
$
500

$
470

Principal balance outstanding (3)
$
208,265

$
232,761

 
$
10,083

$
10,549

 
$
9,436

$
10,254

 
$
25,640

$
28,129

 
$
26,487

$
26,504

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
13,342

$
14,502

 
$
653

$
571

 
$

$

 
$

$

 
$

$

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
269

$
232

 
$
837

$
571

 
$

$

 
$

$

 
$

$

Loans and leases, net
12,867

14,030

 


 


 


 


All other assets
207

240

 


 


 


 


Total assets
$
13,343

$
14,502

 
$
837

$
571

 
$

$

 
$

$

 
$

$

Total liabilities
$
3

$
3

 
$
184

$

 
$

$

 
$

$

 
$

$

(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 $61 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 $61 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 June 30, 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 June 30, 2018 and December 31, 2017.
 
 
 
 
 
 
 
 
 
 
 
 
Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
(Dollars in millions)
June 30, 2018
 
December 31, 2017
Maximum loss exposure
$
4,369

 
$
21,209

 
$
25,578

 
$
4,660

 
$
19,785

 
$
24,445

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading account assets
$
2,472

 
$
656

 
$
3,128

 
$
2,709

 
$
346

 
$
3,055

Debt securities carried at fair value

 
61

 
61

 

 
160

 
160

Loans and leases
2,024

 
4,667

 
6,691

 
2,152

 
3,596

 
5,748

Allowance for loan and lease losses
(3
)
 
(29
)
 
(32
)
 
(3
)
 
(32
)
 
(35
)
Loans held-for-sale
3

 
388

 
391

 
27

 
940

 
967

All other assets
55

 
15,018

 
15,073

 
62

 
14,276

 
14,338

Total
$
4,551

 
$
20,761

 
$
25,312

 
$
4,947

 
$
19,286

 
$
24,233

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term debt
$
174

 
$

 
$
174

 
$
270

 
$

 
$
270

All other liabilities
9

 
3,982

 
3,991

 
18

 
3,417

 
3,435

Total
$
183

 
$
3,982

 
$
4,165

 
$
288

 
$
3,417

 
$
3,705

Total assets of VIEs
$
4,551

 
$
86,070

 
$
90,621

 
$
4,947

 
$
69,746

 
$
74,693