Annual report pursuant to Section 13 and 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.10.0.1
Securitizations and Other Variable Interest Entities (Tables)
12 Months Ended
Dec. 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 2018, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage Securitizations
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage - Agency
 
Commercial Mortgage
(Dollars in millions)
2018
 
2017
 
2016
 
2018
 
2017
 
2016
Cash proceeds from new securitizations (1)
$
5,369

 
$
14,467

 
$
24,201

 
$
6,713

 
$
5,641

 
$
3,887

Gains on securitizations (2)
62

 
158

 
370

 
101

 
91

 
38

Repurchases from securitization trusts (3)
1,485

 
2,713

 
3,611

 

 

 

(1) 
The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or 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 $71 million, $243 million and $487 million, net of hedges, during 2018, 2017 and 2016, respectively, 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, credit card and other asset-backed VIEs in which the Corporation held a variable interest at December 31, 2018 and 2017.
 
 
 
 
 
 
 
 
 
 
 
 
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Home Equity (1)
 
Credit Card (2, 3)
 
Resecuritization Trusts
 
Municipal Bond Trusts
 
December 31
2018
(Dollars in millions)
2018
2017
 
2018
2017
 
2018
2017
 
2018
2017
Unconsolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
908

$
1,522

 
$

$

 
$
7,647

$
8,204

 
$
2,150

$
1,631

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Senior securities (4):
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
1,419

$
869

 
$
26

$
33

Debt securities carried at fair value
27

36

 


 
1,337

1,661

 


Held-to-maturity securities


 


 
4,891

5,644

 


All other assets (4)


 


 

30

 


Total retained positions
$
27

$
36

 
$

$

 
$
7,647

$
8,204

 
$
26

$
33

Total assets of VIEs (5)
$
1,813

$
2,432

 
$

$

 
$
16,949

$
19,281

 
$
2,829

$
2,287

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

Maximum loss exposure
$
85

$
112

 
$
18,800

$
24,337

 
$
128

$
628

 
$
1,540

$
1,453

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
366

$
1,557

 
$
1,553

$
1,452

Loans and leases
133

177

 
29,906

32,554

 


 


Allowance for loan and lease losses
(5
)
(9
)
 
(901
)
(988
)
 


 


All other assets
4

6

 
136

1,385

 


 
1

1

Total assets
$
132

$
174

 
$
29,141

$
32,951

 
$
366

$
1,557

 
$
1,554

$
1,453

On-balance sheet liabilities
 

 

 
 
 
 
 

 

 
 

 

Short-term borrowings
$

$

 
$

$

 
$

$

 
$
742

$
312

Long-term debt
55

76

 
10,321

8,598

 
238

929

 
12


All other liabilities


 
20

16

 


 


Total liabilities
$
55

$
76

 
$
10,341

$
8,614

 
$
238

$
929

 
$
754

$
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 additional information, see Note 12 – Commitments and Contingencies.
(2) 
At December 31, 2018 and 2017, loans and leases in the consolidated credit card trust included $11.0 billion and $15.6 billion of seller’s interest.
(3) 
At December 31, 2018 and 2017, all other assets in the consolidated credit card trust included 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 following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at December 31, 2018 and 2017.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 

 

 
 

 

 
Non-agency
 
 

 

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

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
16,011

$
19,110

 
$
448

$
689

 
$
1,897

$
2,643

 
$
217

$
403

 
$
767

$
585

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Senior securities:
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
460

$
716

 
$
30

$
6

 
$
36

$
10

 
$
90

$
50

 
$
97

$
108

Debt securities carried at fair value
9,381

15,036

 
246

477

 
1,470

2,221

 
125

351

 


Held-to-maturity securities
6,170

3,348

 


 


 


 
528

274

All other assets

10

 
3

5

 
37

38

 
2

2

 
40

88

Total retained positions
$
16,011

$
19,110

 
$
279

$
488

 
$
1,543

$
2,269

 
$
217

$
403

 
$
665

$
470

Principal balance outstanding (2)
$
187,512

$
232,761

 
$
8,954

$
10,549

 
$
8,719

$
10,254

 
$
23,467

$
28,129

 
$
43,593

$
26,504

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
13,296

$
14,502

 
$
7

$
571

 
$

$

 
$

$

 
$
76

$

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
1,318

$
232

 
$
150

$
571

 
$

$

 
$

$

 
$
76

$

Loans and leases, net
11,858

14,030

 


 


 


 


All other assets
143

240

 


 


 


 


Total assets
$
13,319

$
14,502

 
$
150

$
571

 
$

$

 
$

$

 
$
76

$

Total liabilities
$
26

$
3

 
$
143

$

 
$

$

 
$

$

 
$

$

(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 12 – Commitments and Contingencies and Note 20 – Fair Value Measurements.
(2) 
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 December 31, 2018 and 2017.
 
 
 
 
 
 
 
 
 
 
 
 
Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
 
December 31
(Dollars in millions)
2018
 
2017
Maximum loss exposure
$
4,177

 
$
24,498

 
$
28,675

 
$
4,660

 
$
19,785

 
$
24,445

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading account assets
$
2,335

 
$
860

 
$
3,195

 
$
2,709

 
$
346

 
$
3,055

Debt securities carried at fair value

 
84

 
84

 

 
160

 
160

Loans and leases
1,949

 
3,940

 
5,889

 
2,152

 
3,596

 
5,748

Allowance for loan and lease losses
(2
)
 
(30
)
 
(32
)
 
(3
)
 
(32
)
 
(35
)
All other assets
53

 
18,885

 
18,938

 
89

 
15,216

 
15,305

Total
$
4,335

 
$
23,739

 
$
28,074

 
$
4,947

 
$
19,286

 
$
24,233

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term debt
$
152

 
$

 
$
152

 
$
270

 
$

 
$
270

All other liabilities
7

 
4,231

 
4,238

 
18

 
3,417

 
3,435

Total
$
159

 
$
4,231

 
$
4,390

 
$
288

 
$
3,417

 
$
3,705

Total assets of VIEs
$
4,335

 
$
94,746

 
$
99,081

 
$
4,947

 
$
69,746

 
$
74,693