Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v2.4.0.8
Securitizations and Other Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 2013
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, 2013 and 2012.

First-lien Mortgage Securitizations
 
 
 
Three Months Ended June 30
 
Residential
Mortgage - Agency
 
Commercial Mortgage
(Dollars in millions)
2013
2012
 
2013
2012
Cash proceeds from new securitizations (1)
$
15,363

$
8,889

 
$
208

$

Gain (loss) on securitizations (2)
27

(45
)
 


 
 
 
 
 
 
 
Six Months Ended June 30
 
2013
2012
 
2013
2012
Cash proceeds from new securitizations (1)
$
27,376

$
15,227

 
$
208

$
325

Gain (loss) on securitizations (2)
56

(62
)
 


(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. The Corporation recognized $661 million and $1.3 billion of gains, net of hedges, on loans securitized during the three and six months ended June 30, 2013 compared to $395 million and $714 million for the same periods in 2012.
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, 2013 and December 31, 2012.

First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
Residential Mortgage
 
 
 
 
 
 
Non-agency
 
 
 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
June 30
2013
December 31
2012
 
June 30
2013
December 31
2012
 
June 30
2013
December 31
2012
 
June 30
2013
December 31
2012
 
June 30
2013
December 31
2012
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
24,560

$
28,591

 
$
1,774

$
2,038

 
$
416

$
410

 
$
460

$
367

 
$
814

$
702

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,368

$
619

 
$

$
16

 
$
14

$
14

 
$
2

$

 
$
5

$
12

Debt securities carried at fair value
22,598

26,421

 
1,190

1,388

 
223

210

 
128

128

 
565

581

Subordinate securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets


 


 
12

3

 


 
17

13

Debt securities carried at fair value


 
20

21

 
8

9

 


 


Residual interests held


 
14

18

 

9

 


 
191

40

All other assets (3)
594

1,551

 
80

64

 
1

1

 
330

239

 


Total retained positions
$
24,560

$
28,591

 
$
1,304

$
1,507

 
$
258

$
246

 
$
460

$
367

 
$
778

$
646

Principal balance outstanding (4)
$
540,197

$
797,315

 
$
38,685

$
45,819

 
$
47,884

$
53,822

 
$
62,326

$
71,990

 
$
31,600

$
56,733

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
43,562

$
46,959

 
$
102

$
104

 
$
371

$
390

 
$

$

 
$

$

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans and leases
$
42,673

$
45,991

 
$
258

$
283

 
$
794

$
722

 
$

$

 
$

$

Allowance for loan and lease losses
(3
)
(4
)
 


 


 


 


Loans held-for-sale


 


 
752

914

 


 


All other assets
892

972

 
2

10

 
14

91

 


 


Total assets
$
43,562

$
46,959

 
$
260

$
293

 
$
1,560

$
1,727

 
$

$

 
$

$

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Short-term borrowings
$

$

 
$

$

 
$
758

$
741

 
$

$

 
$

$

Long-term debt


 
181

212

 
798

941

 


 


Total liabilities
$

$

 
$
181

$
212

 
$
1,556

$
1,682

 
$

$

 
$

$

(1) 
Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For additional information, see Note 8 – Representations and Warranties Obligations and Corporate Guarantees and Note 19 – 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, 2013 and 2012, there were no OTTI losses recorded on those securities classified as AFS debt securities.
(3) 
Not included in the table above are all other assets of $4.2 billion and $12.1 billion, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of $4.2 billion and $12.1 billion, representing the principal amount that would be payable to the securitization vehicles if the Corporation were to exercise the repurchase option, at June 30, 2013 and December 31, 2012.
(4) 
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, 2013 and December 31, 2012.

Home Equity Loan VIEs
 
 
 
 
 
June 30, 2013
 
December 31, 2012
(Dollars in millions)
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
 
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
Maximum loss exposure (1)
$
1,371

 
$
6,716

 
$
8,087

 
$
2,004

 
$
6,707

 
$
8,711

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$

 
$
6

 
$
6

 
$

 
$
8

 
$
8

Debt securities carried at fair value

 
18

 
18

 

 
14

 
14

Loans and leases
1,481

 

 
1,481

 
2,197

 

 
2,197

Allowance for loan and lease losses
(110
)
 

 
(110
)
 
(193
)
 

 
(193
)
Total
$
1,371

 
$
24

 
$
1,395

 
$
2,004

 
$
22

 
$
2,026

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
1,572

 
$

 
$
1,572

 
$
2,331

 
$

 
$
2,331

All other liabilities
87

 

 
87

 
92

 

 
92

Total
$
1,659

 
$

 
$
1,659

 
$
2,423

 
$

 
$
2,423

Principal balance outstanding
$
1,481

 
$
10,036

 
$
11,517

 
$
2,197

 
$
12,644

 
$
14,841

(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 consolidated credit card securitization trusts in which the Corporation held a variable interest at June 30, 2013 and December 31, 2012.

Credit Card VIEs
 
 
 
(Dollars in millions)
June 30
2013
 
December 31
2012
Consolidated VIEs
 
 
 
Maximum loss exposure
$
42,551

 
$
42,487

On-balance sheet assets
 
 
 
Derivative assets
$
173

 
$
323

Loans and leases (1)
61,562

 
66,427

Allowance for loan and lease losses
(3,039
)
 
(3,445
)
All other assets (2)
1,177

 
1,567

Total
$
59,873

 
$
64,872

On-balance sheet liabilities
 
 
 
Long-term debt
$
17,214

 
$
22,291

All other liabilities
108

 
94

Total
$
17,322

 
$
22,385

(1) 
At June 30, 2013 and December 31, 2012, loans and leases included $34.5 billion and $33.5 billion of seller's interest and $42 million and $124 million of discount receivables.
(2) 
At June 30, 2013 and December 31, 2012, 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, 2013 and December 31, 2012.

Other Asset-backed VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Resecuritization Trusts
 
Municipal Bond Trusts
 
Automobile and Other
Securitization Trusts
(Dollars in millions)
June 30
2013
 
December 31
2012
 
June 30
2013
 
December 31
2012
 
June 30
2013
 
December 31
2012
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$
16,581

 
$
20,715

 
$
3,133

 
$
3,341

 
$
85

 
$
122

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,500

 
$
1,281

 
$
82

 
$
12

 
$

 
$
37

Debt securities carried at fair value
15,008

 
19,343

 
540

 
540

 
75

 
74

Subordinate securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
Debt securities carried at fair value
67

 
75

 

 

 

 

Residual interests held (3)
6

 
16

 

 

 

 

All other assets

 

 

 

 
10

 
11

Total retained positions
$
16,581

 
$
20,715

 
$
622

 
$
552

 
$
85

 
$
122

Total assets of VIEs (4)
$
42,935

 
$
42,818

 
$
4,779

 
$
4,980

 
$
1,476

 
$
1,890

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$
371

 
$
126

 
$
1,934

 
$
2,505

 
$
382

 
$
1,255

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
616

 
$
220

 
$
1,934

 
$
2,505

 
$

 
$

Loans and leases

 

 

 

 
1,153

 
2,523

Allowance for loan and lease losses

 

 

 

 
(1
)
 
(2
)
All other assets

 

 

 

 
107

 
250

Total assets
$
616

 
$
220

 
$
1,934

 
$
2,505

 
$
1,259

 
$
2,771

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Short-term borrowings
$

 
$

 
$
582

 
$
2,859

 
$

 
$

Long-term debt
245

 
94

 

 

 
876

 
1,513

All other liabilities

 

 

 

 
84

 
82

Total liabilities
$
245

 
$
94

 
$
582

 
$
2,859

 
$
960

 
$
1,595

(1) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2013 and 2012, 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, 2013 and December 31, 2012.

CDO Vehicle VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2013
 
December 31, 2012
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
1,304

 
$
1,199

 
$
2,503

 
$
2,201

 
$
1,376

 
$
3,577

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,310

 
$
289

 
$
1,599

 
$
2,191

 
$
258

 
$
2,449

Derivative assets

 
190

 
190

 
10

 
301

 
311

All other assets

 
68

 
68

 

 
76

 
76

Total
$
1,310

 
$
547

 
$
1,857

 
$
2,201

 
$
635

 
$
2,836

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
1,548

 
$

 
$
1,548

 
$
2,806

 
$
2

 
$
2,808

All other liabilities

 
7

 
7

 

 
9

 
9

Total
$
1,548

 
$
7

 
$
1,555

 
$
2,806

 
$
11

 
$
2,817

Total assets of VIEs
$
1,310

 
$
24,926

 
$
26,236

 
$
2,201

 
$
26,985

 
$
29,186

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, 2013 and December 31, 2012.

Customer Vehicle VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2013
 
December 31, 2012
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
3,568

 
$
1,165

 
$
4,733

 
$
2,994

 
$
1,401

 
$
4,395

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
2,546

 
$
50

 
$
2,596

 
$
2,882

 
$
98

 
$
2,980

Derivative assets

 
286

 
286

 

 
516

 
516

Loans and leases
831

 

 
831

 
523

 

 
523

Loans held-for-sale
1,047

 

 
1,047

 
950

 

 
950

All other assets
745

 

 
745

 
763

 

 
763

Total
$
5,169

 
$
336

 
$
5,505

 
$
5,118

 
$
614

 
$
5,732

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Short-term borrowings
$
81

 
$

 
$
81

 
$
131

 
$

 
$
131

Long-term debt
2,641

 

 
2,641

 
3,179

 

 
3,179

All other liabilities
56

 
403

 
459

 
29

 
389

 
418

Total
$
2,778

 
$
403

 
$
3,181

 
$
3,339

 
$
389

 
$
3,728

Total assets of VIEs
$
5,169

 
$
3,857

 
$
9,026

 
$
5,118

 
$
4,055

 
$
9,173

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, 2013 and December 31, 2012.

Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2013
 
December 31, 2012
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
5,321

 
$
6,567

 
$
11,888

 
$
5,608

 
$
6,492

 
$
12,100

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
101

 
$

 
$
101

 
$
108

 
$

 
$
108

Derivative assets

 
406

 
406

 

 
460

 
460

Debt securities carried at fair value

 

 

 

 
39

 
39

Loans and leases
4,293

 
53

 
4,346

 
4,561

 
67

 
4,628

Allowance for loan and lease losses
(4
)
 

 
(4
)
 
(14
)
 

 
(14
)
Loans held-for-sale
77

 
81

 
158

 
105

 
157

 
262

All other assets
990

 
6,027

 
7,017

 
1,001

 
5,768

 
6,769

Total
$
5,457

 
$
6,567

 
$
12,024

 
$
5,761

 
$
6,491

 
$
12,252

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
871

 
$

 
$
871

 
$
889

 
$

 
$
889

All other liabilities
55

 
2,035

 
2,090

 
63

 
1,692

 
1,755

Total
$
926

 
$
2,035

 
$
2,961

 
$
952

 
$
1,692

 
$
2,644

Total assets of VIEs
$
5,457

 
$
8,481

 
$
13,938

 
$
5,761

 
$
8,660

 
$
14,421