Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.24.2
Securitizations and Other Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 2024
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, 2024 and 2023.
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) 2024 2023 2024 2023 2024 2023 2024 2023
Proceeds from loan sales (1)
$ 964  $ 908  $ 2,173  $ 2,255  $ 5,723  $ 455  $ 7,032  $ 597 
Gains (losses) on securitizations (2)
(2) (2) (4) 69  (1) 88 
Repurchases from securitization trusts (3)
8  16  14    —    — 
(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the GSEs or GNMA in the normal course of business and primarily receives residential mortgage-backed securities in exchange. Substantially all of these securities are classified as Level 2 within the fair value hierarchy and are typically sold shortly after receipt.
(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 $8 million and $13 million, net of hedges, during the three and six months ended June 30, 2024 compared to $7 million and $17 million for the same periods in 2023, 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 the maximum loss exposure and assets held by the Corporation that related to other asset-backed VIEs at June 30, 2024 and December 31, 2023.
Other Asset-backed VIEs
 
Credit Card and
 Automobile (1)
Resecuritization Trusts and Customer VIEs Municipal Bond Trusts
and CDOs
Investment VIEs and Leveraged Lease Trusts
(Dollars in millions) June 30
2024
December 31
2023
June 30
2024
December 31
2023
June 30
2024
December 31
2023
June 30
2024
December 31
2023
Unconsolidated VIEs        
Maximum loss exposure $   $ —  $ 5,037  $ 4,494  $ 1,874  $ 1,787  $ 2,160  $ 2,197 
On-balance sheet assets        
Securities (2):
       
Trading account assets $   $ —  $ 1,301  $ 626  $ 25  $ 23  $ 298  $ 469 
Debt securities carried at fair value
  —  852  920    —  4 
Held-to-maturity securities   —  2,110  2,237    —    — 
Loans and leases   —    —      68  90 
Allowance for loan and lease losses   —    —    —  (4) (12)
All other assets   —  774  711  6  1,299  1,168 
Total retained positions $   $ —  $ 5,037  $ 4,494  $ 31  $ 30  $ 1,665  $ 1,719 
Total assets of VIEs $   $ —  $ 16,727  $ 15,862  $ 7,531  $ 9,279  $ 20,708  $ 18,398 
Consolidated VIEs        
Maximum loss exposure $ 9,433  $ 8,127  $ 497  $ 1,240  $ 3,539  $ 3,136  $ 1,084  $ 1,596 
On-balance sheet assets        
Trading account assets $   $ —  $ 1,018  $ 1,798  $ 3,512  $ 3,084  $ 2  $
Debt securities carried at fair value   —    —  27  52    — 
Loans and leases 18,729  16,640    —    —  1,071  1,605 
Allowance for loan and lease losses
(922) (832)   —    —  (1) (1)
All other assets 200  163  39  38    —  14  15 
Total assets $ 18,007  $ 15,971  $ 1,057  $ 1,836  $ 3,539  $ 3,136  $ 1,086  $ 1,620 
On-balance sheet liabilities        
Short-term borrowings
$   $ —  $   $ —  $ 3,343  $ 2,934  $   $ 23 
Long-term debt 8,552  7,825  560  596    —  2 
All other liabilities 22  19    —    —    — 
Total liabilities $ 8,574  $ 7,844  $ 560  $ 596  $ 3,343  $ 2,934  $ 2  $ 24 
(1)At June 30, 2024 and December 31, 2023 loans and leases in the consolidated credit card trust included $4.4 billion and $3.2 billion of seller’s interest.
(2)The retained senior securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
Mortgage And Home Equity Securitizations  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The following table summarizes select information related to mortgage and home equity securitization trusts in which the Corporation held a variable interest and had continuing involvement at June 30, 2024 and December 31, 2023.
Mortgage and Home Equity Securitizations
Residential Mortgage    
      Non-agency    
  Agency Prime and Alt-A Subprime
Home Equity (3)
Commercial Mortgage
(Dollars in millions) June 30
2024
December 31
2023
June 30
2024
December 31
2023
June 30
2024
December 31
2023
June 30
2024
December 31
2023
June 30
2024
December 31
2023
Unconsolidated VIEs                    
Maximum loss exposure (1)
$ 7,836  $ 8,190  $ 86  $ 92  $ 602  $ 657  $   $ —  $ 1,622  $ 1,558 
On-balance sheet assets
                   
Senior securities:
                   
Trading account assets
$ 275  $ 235  $ 10  $ 13  $ 20  $ 20  $   $ —  $ 238  $ 70 
Debt securities carried at fair value
2,345  2,541    —  290  341    —    — 
Held-to-maturity securities
5,216  5,414    —    —    —  1,262  1,287 
All other assets   —  2  22  23    —  32  79 
Total retained positions
$ 7,836  $ 8,190  $ 12  $ 17  $ 332  $ 384  $   $ —  $ 1,532  $ 1,436 
Principal balance outstanding (2)
$ 72,470  $ 76,134  $ 13,336  $ 13,963  $ 4,454  $ 4,508  $ 208  $ 252  $ 88,813  $ 80,078 
Consolidated VIEs                    
Maximum loss exposure (1)
$ 1,115  $ 1,164  $   $ —  $   $ —  $ 11  $ 12  $   $ — 
On-balance sheet assets
                   
Trading account assets
$ 1,115  $ 1,171  $   $ —  $   $ —  $   $ —  $   $ — 
Loans and leases   —    —    —  27  31    — 
Allowance for loan and lease
   losses
  —    —    —  6    — 
All other assets   —    —    —  1    — 
Total assets $ 1,115  $ 1,171  $   $ —  $   $ —  $ 34  $ 39  $   $ — 
Total liabilities $   $ $   $ —  $   $ —  $ 23  $ 27  $   $ — 
(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)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.
(3)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.
Tax Credit Vehicles  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The following table summarizes select information related to unconsolidated tax credit VIEs in which the Corporation held a variable interest at June 30, 2024 and December 31, 2023.
Unconsolidated Tax Credit VIEs
(Dollars in millions) June 30
2024
December 31
2023
Maximum loss exposure $ 29,594  $ 30,040 
On-balance sheet assets    
All other assets $ 29,594  $ 30,040 
Total $ 29,594  $ 30,040 
On-balance sheet liabilities    
All other liabilities $ 7,396  $ 7,254 
Total $ 7,396  $ 7,254 
Total assets of VIEs $ 83,334  $ 84,148