| Outstanding Loans and Leases |
|
|
NOTE 6 – Outstanding Loans and Leases |
The tables below present total outstanding loans and leases and an aging analysis at September 30, 2011 and December 31, 2010.
The Legacy Asset Servicing portfolio, as shown in the table below, is a separately managed legacy mortgage portfolio. Legacy Asset Servicing, which was created on January 1, 2011 in connection with the re-alignment of the CRES business segment, is responsible for servicing loans on its balance sheet and for others including loans held in other business segments and All Other. This includes servicing and managing the runoff and exposures related to selected residential mortgages and home equity loans, including discontinued real estate products, Countrywide PCI loans and certain loans that met a pre-defined delinquency status or probability of default threshold as of January 1, 2011. Since making the determination of the pool of loans to be included in the Legacy Asset Servicing portfolio, the criteria have not changed for this portfolio; however, the criteria will continue to be evaluated over time.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2011 |
(Dollars in millions) |
30-59 Days
Past Due (1)
|
60-89 Days
Past Due (1)
|
90 Days or
More Past Due (2)
|
Total Past
Due 30 Days
or More |
Total Current
or Less Than 30
Days Past Due (3)
|
Purchased
Credit -
impaired (4)
|
Loans
Accounted for
Under the Fair
Value Option |
Total
Outstandings |
Home loans |
|
|
|
|
|
|
|
|
Core portfolio |
|
|
|
|
|
|
|
|
Residential mortgage (5)
|
$ |
1,833 |
|
$ |
736 |
|
$ |
2,398 |
|
$ |
4,967 |
|
$ |
174,154 |
|
$ |
— |
|
|
$ |
179,121 |
|
Home equity |
271 |
|
152 |
|
324 |
|
747 |
|
67,509 |
|
— |
|
|
68,256 |
|
Legacy Asset Servicing portfolio |
|
|
|
|
|
|
|
|
Residential mortgage |
3,632 |
|
2,358 |
|
32,504 |
|
38,494 |
|
38,636 |
|
10,265 |
|
|
87,395 |
|
Home equity |
877 |
|
529 |
|
1,703 |
|
3,109 |
|
44,229 |
|
12,142 |
|
|
59,480 |
|
Discontinued real estate (6)
|
51 |
|
27 |
|
378 |
|
456 |
|
844 |
|
10,241 |
|
|
11,541 |
|
Credit card and other consumer |
|
|
|
|
|
|
|
|
U.S. credit card |
1,079 |
|
813 |
|
2,128 |
|
4,020 |
|
98,783 |
|
— |
|
|
102,803 |
|
Non-U.S. credit card |
215 |
|
177 |
|
416 |
|
808 |
|
15,278 |
|
— |
|
|
16,086 |
|
Direct/Indirect consumer (7)
|
770 |
|
374 |
|
775 |
|
1,919 |
|
88,555 |
|
— |
|
|
90,474 |
|
Other consumer (8)
|
56 |
|
19 |
|
26 |
|
101 |
|
2,709 |
|
— |
|
|
2,810 |
|
Total consumer loans |
8,784 |
|
5,185 |
|
40,652 |
|
54,621 |
|
530,697 |
|
32,648 |
|
|
617,966 |
|
Consumer loans accounted for under the fair value option (9)
|
|
|
|
|
|
|
$ |
4,741 |
|
4,741 |
|
Total consumer |
8,784 |
|
5,185 |
|
40,652 |
|
54,621 |
|
530,697 |
|
32,648 |
|
4,741 |
|
622,707 |
|
Commercial |
|
|
|
|
|
|
|
|
U.S. commercial |
269 |
|
204 |
|
1,056 |
|
1,529 |
|
177,477 |
|
— |
|
|
179,006 |
|
Commercial real estate (10)
|
102 |
|
275 |
|
2,204 |
|
2,581 |
|
38,307 |
|
— |
|
|
40,888 |
|
Commercial lease financing |
44 |
|
41 |
|
22 |
|
107 |
|
21,243 |
|
— |
|
|
21,350 |
|
Non-U.S. commercial |
— |
|
— |
|
1 |
|
1 |
|
48,460 |
|
— |
|
|
48,461 |
|
U.S. small business commercial |
129 |
|
107 |
|
291 |
|
527 |
|
13,109 |
|
— |
|
|
13,636 |
|
Total commercial loans |
544 |
|
627 |
|
3,574 |
|
4,745 |
|
298,596 |
|
— |
|
|
303,341 |
|
Commercial loans accounted for under the fair value option (9)
|
|
|
|
|
|
|
6,483 |
|
6,483 |
|
Total commercial |
544 |
|
627 |
|
3,574 |
|
4,745 |
|
298,596 |
|
— |
|
6,483 |
|
309,824 |
|
Total loans and leases |
$ |
9,328 |
|
$ |
5,812 |
|
$ |
44,226 |
|
$ |
59,366 |
|
$ |
829,293 |
|
$ |
32,648 |
|
$ |
11,224 |
|
$ |
932,531 |
|
Percentage of outstandings |
1.00 |
% |
0.62 |
% |
4.74 |
% |
6.36 |
% |
88.94 |
% |
3.50 |
% |
1.20 |
% |
|
|
|
(1) |
Home loans includes $3.8 billion of fully-insured loans, $737 million of nonperforming loans and $118 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010.
|
|
|
(2) |
Home loans includes $20.3 billion of fully-insured loans and $387 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010.
|
|
|
(3) |
Home loans includes $1.7 billion of nonperforming loans as all principal and interest are not current or the loans are TDRs that have not demonstrated sustained repayment performance.
|
|
|
(4) |
PCI loan amounts are shown gross of the valuation allowance. |
|
|
(5) |
Total outstandings includes non-U.S. residential mortgages of $86 million at September 30, 2011.
|
|
|
(6) |
Total outstandings includes $10.3 billion of pay option loans and $1.2 billion of subprime loans at September 30, 2011. The Corporation no longer originates these products.
|
|
|
(7) |
Total outstandings includes dealer financial services loans of $43.6 billion, consumer lending of $8.9 billion, U.S. securities-based lending margin loans of $22.3 billion, student loans of $6.1 billion, non-U.S. consumer loans of $7.8 billion and other consumer loans of $1.8 billion at September 30, 2011.
|
|
|
(8) |
Total outstandings includes consumer finance loans of $1.7 billion, other non-U.S. consumer loans of $992 million and consumer overdrafts of $94 million at September 30, 2011.
|
|
|
(9) |
Certain consumer loans are accounted for under the fair value option and include residential mortgage loans of $1.3 billion and discontinued real estate loans of $3.4 billion at September 30, 2011. Certain commercial loans are accounted for under the fair value option and include U.S. commercial loans of $1.9 billion, non-U.S. commercial loans of $4.5 billion and commercial real estate loans of $75 million at September 30, 2011. See Note 16 – Fair Value Measurements and Note 17 – Fair Value Option for additional information.
|
|
|
(10) |
Total outstandings includes U.S. commercial real estate loans of $39.3 billion and non-U.S. commercial real estate loans of $1.6 billion at September 30, 2011.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
(Dollars in millions) |
30-59 Days
Past Due (1)
|
60-89 Days
Past Due (1)
|
90 Days or
More Past Due (2)
|
Total Past
Due 30 Days
or More |
Total Current
or Less Than 30
Days Past Due (3)
|
Purchased
Credit -
impaired (4)
|
Loans
Accounted for
Under the Fair
Value Option |
Total
Outstandings |
Home loans |
|
|
|
|
|
|
|
|
Core portfolio |
|
|
|
|
|
|
|
|
Residential mortgage (5)
|
$ |
1,160 |
|
$ |
236 |
|
$ |
1,255 |
|
$ |
2,651 |
|
$ |
164,276 |
|
$ |
— |
|
|
$ |
166,927 |
|
Home equity |
186 |
|
12 |
|
105 |
|
303 |
|
71,216 |
|
— |
|
|
71,519 |
|
Legacy Asset Servicing portfolio |
|
|
|
|
|
|
|
|
Residential mortgage |
3,999 |
|
2,879 |
|
31,985 |
|
38,863 |
|
41,591 |
|
10,592 |
|
|
91,046 |
|
Home equity |
1,096 |
|
792 |
|
2,186 |
|
4,074 |
|
49,798 |
|
12,590 |
|
|
66,462 |
|
Discontinued real estate (6)
|
68 |
|
39 |
|
419 |
|
526 |
|
930 |
|
11,652 |
|
|
13,108 |
|
Credit card and other consumer |
|
|
|
|
|
|
|
|
U.S. credit card |
1,398 |
|
1,195 |
|
3,320 |
|
5,913 |
|
107,872 |
|
— |
|
|
113,785 |
|
Non-U.S. credit card |
439 |
|
316 |
|
599 |
|
1,354 |
|
26,111 |
|
— |
|
|
27,465 |
|
Direct/Indirect consumer (7)
|
1,086 |
|
522 |
|
1,104 |
|
2,712 |
|
87,596 |
|
— |
|
|
90,308 |
|
Other consumer (8)
|
65 |
|
25 |
|
50 |
|
140 |
|
2,690 |
|
— |
|
|
2,830 |
|
Total consumer |
9,497 |
|
6,016 |
|
41,023 |
|
56,536 |
|
552,080 |
|
34,834 |
|
|
643,450 |
|
Commercial |
|
|
|
|
|
|
|
|
U.S. commercial |
605 |
|
341 |
|
1,453 |
|
2,399 |
|
173,185 |
|
2 |
|
|
175,586 |
|
Commercial real estate (9)
|
535 |
|
186 |
|
3,554 |
|
4,275 |
|
44,957 |
|
161 |
|
|
49,393 |
|
Commercial lease financing |
95 |
|
23 |
|
31 |
|
149 |
|
21,793 |
|
— |
|
|
21,942 |
|
Non-U.S. commercial |
25 |
|
2 |
|
6 |
|
33 |
|
31,955 |
|
41 |
|
|
32,029 |
|
U.S. small business commercial |
195 |
|
165 |
|
438 |
|
798 |
|
13,921 |
|
— |
|
|
14,719 |
|
Total commercial loans |
1,455 |
|
717 |
|
5,482 |
|
7,654 |
|
285,811 |
|
204 |
|
|
293,669 |
|
Commercial loans accounted for under the fair value option (10)
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,321 |
|
3,321 |
|
Total commercial |
1,455 |
|
717 |
|
5,482 |
|
7,654 |
|
285,811 |
|
204 |
|
3,321 |
|
296,990 |
|
Total loans and leases |
$ |
10,952 |
|
$ |
6,733 |
|
$ |
46,505 |
|
$ |
64,190 |
|
$ |
837,891 |
|
$ |
35,038 |
|
$ |
3,321 |
|
$ |
940,440 |
|
Percentage of outstandings |
1.16 |
% |
0.72 |
% |
4.95 |
% |
6.83 |
% |
89.10 |
% |
3.72 |
% |
0.35 |
% |
|
|
|
(1) |
Home loans includes $2.4 billion of fully-insured loans, $818 million of nonperforming loans and $156 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010.
|
|
|
(2) |
Home loans includes $16.8 billion of fully-insured loans and $372 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010.
|
|
|
(3) |
Home loans includes $1.1 billion of nonperforming loans as all principal and interest are not current or the loans are TDRs that have not demonstrated sustained repayment performance.
|
|
|
(4) |
PCI loan amounts are shown gross of the valuation allowance and exclude $1.6 billion of PCI home loans from the Merrill Lynch acquisition which are included in their appropriate aging categories.
|
|
|
(5) |
Total outstandings includes non-U.S. residential mortgages of $90 million at December 31, 2010.
|
|
|
(6) |
Total outstandings includes $11.8 billion of pay option loans and $1.3 billion of subprime loans at December 31, 2010. The Corporation no longer originates these products.
|
|
|
(7) |
Total outstandings includes dealer financial services loans of $43.3 billion, consumer lending of $12.4 billion, U.S. securities-based lending margin loans of $16.6 billion, student loans of $6.8 billion, non-U.S. consumer loans of $8.0 billion and other consumer loans of $3.2 billion at December 31, 2010.
|
|
|
(8) |
Total outstandings includes consumer finance loans of $1.9 billion, other non-U.S. consumer loans of $803 million and consumer overdrafts of $88 million at December 31, 2010.
|
|
|
(9) |
Total outstandings includes U.S. commercial real estate loans of $46.9 billion and non-U.S. commercial real estate loans of $2.5 billion at December 31, 2010.
|
|
|
(10) |
Certain commercial loans are accounted for under the fair value option and include U.S. commercial loans of $1.6 billion, non-U.S. commercial loans of $1.7 billion and commercial real estate loans of $79 million at December 31, 2010. See Note 16 – Fair Value Measurements and Note 17 – Fair Value Option for additional information.
|
The Corporation mitigates a portion of its credit risk on the residential mortgage portfolio through the use of synthetic securitization vehicles. These vehicles issue long-term notes to investors, the proceeds of which are held as cash collateral. The Corporation pays a premium to the vehicles to purchase mezzanine loss protection on a portfolio of residential mortgages owned by the Corporation. Cash held in the vehicles is used to reimburse the Corporation in the event that losses on the mortgage portfolio exceed 10 basis points (bps) of the original pool balance, up to the remaining amount of purchased loss protection of $866 million and $1.1 billion at September 30, 2011 and December 31, 2010. The vehicles are VIEs from which the Corporation purchases credit protection and in which the Corporation does not have a variable interest; and accordingly, these vehicles are not consolidated by the Corporation. Amounts due from the vehicles are recorded in other income (loss) when the Corporation recognizes a reimbursable loss, as described above. Amounts are collected when reimbursable losses are realized through the sale of the underlying collateral. At September 30, 2011 and December 31, 2010, the Corporation had a receivable of $390 million and $722 million from these vehicles for reimbursement of losses, and $35.5 billion and $53.9 billion of residential mortgage loans were referenced under these agreements. The Corporation records an allowance for credit losses on these loans without regard to the existence of the purchased loss protection as the protection does not represent a guarantee of individual loans.
In addition, the Corporation has entered into long-term credit protection agreements with FNMA and FHLMC on loans totaling $21.4 billion and $12.9 billion at September 30, 2011 and December 31, 2010, providing full protection on residential mortgage loans that become severely delinquent. All of these loans are individually insured and therefore the Corporation does not record an allowance for credit losses related to these loans.
|
|
Nonperforming Loans and Leases |
The table below presents the Corporation’s nonperforming loans and leases including nonperforming TDRs and loans accruing past due 90 days or more at September 30, 2011 and December 31, 2010. Nonperforming loans and leases exclude performing TDRs and loans accounted for under the fair value option. Nonperforming loans held-for-sale (LHFS) are excluded from nonperforming loans and leases as they are recorded at either fair value or the lower of cost or fair value. In addition, PCI loans, consumer credit card loans, business card loans and in general consumer loans not secured by real estate, including renegotiated loans, are not considered nonperforming and are therefore excluded from nonperforming loans and leases in the table below. Real estate-secured past due consumer fully-insured loans are reported as performing since the principal repayment is insured. See Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2010 Annual Report on Form 10-K for further information on the criteria for classification as nonperforming.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nonperforming Loans and Leases |
|
Accruing Past Due 90 Days or More |
(Dollars in millions) |
September 30
2011 |
|
December 31
2010 |
|
September 30
2011 |
|
December 31
2010 |
Home loans |
|
|
|
|
|
|
|
Core portfolio |
|
|
|
|
|
|
|
Residential mortgage (1)
|
$ |
2,075 |
|
|
$ |
1,510 |
|
|
$ |
618 |
|
|
$ |
16 |
|
Home equity |
336 |
|
|
107 |
|
|
— |
|
|
— |
|
Legacy Asset Servicing portfolio |
|
|
|
|
|
|
|
Residential mortgage (1)
|
14,355 |
|
|
16,181 |
|
|
19,681 |
|
|
16,752 |
|
Home equity |
1,997 |
|
|
2,587 |
|
|
— |
|
|
— |
|
Discontinued real estate |
308 |
|
|
331 |
|
|
— |
|
|
— |
|
Credit card and other consumer |
|
|
|
|
|
|
|
U.S. credit card |
n/a |
|
|
n/a |
|
|
2,128 |
|
|
3,320 |
|
Non-U.S. credit card |
n/a |
|
|
n/a |
|
|
416 |
|
|
599 |
|
Direct/Indirect consumer |
52 |
|
|
90 |
|
|
734 |
|
|
1,058 |
|
Other consumer |
24 |
|
|
48 |
|
|
2 |
|
|
2 |
|
Total consumer |
19,147 |
|
|
20,854 |
|
|
23,579 |
|
|
21,747 |
|
Commercial |
|
|
|
|
|
|
|
U.S. commercial |
2,518 |
|
|
3,453 |
|
|
97 |
|
|
236 |
|
Commercial real estate |
4,474 |
|
|
5,829 |
|
|
88 |
|
|
47 |
|
Commercial lease financing |
23 |
|
|
117 |
|
|
18 |
|
|
18 |
|
Non-U.S. commercial |
145 |
|
|
233 |
|
|
1 |
|
|
6 |
|
U.S. small business commercial |
139 |
|
|
204 |
|
|
223 |
|
|
325 |
|
Total commercial |
7,299 |
|
|
9,836 |
|
|
427 |
|
|
632 |
|
Total consumer and commercial |
$ |
26,446 |
|
|
$ |
30,690 |
|
|
$ |
24,006 |
|
|
$ |
22,379 |
|
|
|
(1) |
Residential mortgage loans accruing past due 90 days or more are fully-insured loans. At September 30, 2011 and December 31, 2010, residential mortgage includes $15.4 billion and $8.3 billion of loans on which interest has been curtailed by the Federal Housing Administration, and therefore are no longer accruing interest, although principal is still insured, and $4.9 billion and $8.5 billion of loans on which interest is still accruing.
|
n/a = not applicable
Included in certain loan categories in nonperforming loans and leases in the table above are TDRs that are classified as nonperforming. At September 30, 2011 and December 31, 2010, the Corporation had $3.9 billion and $3.0 billion of residential mortgages, $465 million and $535 million of home equity, $82 million and $75 million of discontinued real estate, $651 million and $175 million of U.S. commercial, $1.3 billion and $770 million of commercial real estate and $39 million and $7 million of non-U.S. commercial loans that were TDRs and classified as nonperforming.
|
|
Credit Quality Indicators |
The Corporation monitors credit quality within its three portfolio segments based on primary credit quality indicators. For more information on the portfolio segments, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2010 Annual Report on Form 10-K. Within the home loans portfolio segment, the primary credit quality indicators are refreshed LTV and refreshed FICO score. Refreshed LTV measures the carrying value of the loan as a percentage of the value of property securing the loan, refreshed quarterly. Home equity loans are evaluated using combined loan-to-value (CLTV) which measures the carrying value of the combined loans that have liens against the property and the available line of credit as a percentage of the appraised value of the property securing the loan, refreshed quarterly. Refreshed FICO score measures the creditworthiness of the borrower based on the financial obligations of the borrower and the borrower’s credit history. At a minimum, FICO scores are refreshed quarterly, and in many cases, more frequently. Refreshed FICO score is also a primary credit quality indicator for the credit card and other consumer portfolio segment and the business card portfolio within U.S. small business commercial. The Corporation’s commercial loans are evaluated using pass rated or reservable criticized as the primary credit quality indicators. The term reservable criticized refers to those commercial loans that are internally classified or listed by the Corporation as special mention, substandard or doubtful, which are asset categories defined by regulatory authorities. These assets have an elevated level of risk and may have a high probability of default or total loss. Pass rated refers to all loans not considered reservable criticized. In addition to these primary credit quality indicators, the Corporation uses other credit quality indicators for certain types of loans.
The tables below present certain credit quality indicators for the Corporation’s home loans, credit card and other consumer loans, and commercial loan portfolio segments, by class of financing receivables, at September 30, 2011 and December 31, 2010.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Loans (1)
|
|
September 30, 2011 |
(Dollars in millions) |
Core Portfolio
Residential
Mortgage (2)
|
Legacy Asset
Servicing
Residential Mortgage (2)
|
Countrywide
Residential
Mortgage PCI |
Core Portfolio
Home
Equity (2)
|
Legacy Asset
Servicing Home
Equity (2)
|
Countrywide
Home Equity PCI |
Legacy Asset
Servicing
Discontinued
Real Estate (2)
|
Countrywide
Discontinued
Real Estate
PCI |
Refreshed LTV (3)
|
|
|
|
|
|
|
|
|
Less than 90 percent |
$ |
82,646 |
|
$ |
20,554 |
|
$ |
3,985 |
|
$ |
46,159 |
|
$ |
17,275 |
|
$ |
2,190 |
|
$ |
919 |
|
$ |
6,210 |
|
Greater than 90 percent but less than 100 percent |
12,062 |
|
6,149 |
|
1,611 |
|
7,094 |
|
4,971 |
|
1,104 |
|
130 |
|
1,248 |
|
Greater than 100 percent |
18,291 |
|
24,671 |
|
4,669 |
|
15,003 |
|
25,092 |
|
8,848 |
|
251 |
|
2,783 |
|
Fully-insured loans (4)
|
66,122 |
|
25,756 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total home loans |
$ |
179,121 |
|
$ |
77,130 |
|
$ |
10,265 |
|
$ |
68,256 |
|
$ |
47,338 |
|
$ |
12,142 |
|
$ |
1,300 |
|
$ |
10,241 |
|
|
|
|
|
|
|
|
|
|
Refreshed FICO score |
|
|
|
|
|
|
|
|
Less than 620 |
$ |
6,962 |
|
$ |
19,818 |
|
$ |
3,869 |
|
$ |
4,048 |
|
$ |
9,298 |
|
$ |
2,964 |
|
$ |
592 |
|
$ |
6,255 |
|
Greater than or equal to 620 |
106,037 |
|
31,556 |
|
6,396 |
|
64,208 |
|
38,040 |
|
9,178 |
|
708 |
|
3,986 |
|
Fully-insured loans (4)
|
66,122 |
|
25,756 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total home loans |
$ |
179,121 |
|
$ |
77,130 |
|
$ |
10,265 |
|
$ |
68,256 |
|
$ |
47,338 |
|
$ |
12,142 |
|
$ |
1,300 |
|
$ |
10,241 |
|
|
|
(1) |
Excludes $4.7 billion of loans accounted for under the fair value option.
|
|
|
(2) |
Excludes Countrywide PCI loans. |
|
|
(3) |
Refreshed LTV percentages for PCI loans were calculated using the carrying value net of the related valuation allowance. |
|
|
(4) |
Credit quality indicators are not reported for fully-insured loans as principal repayment is insured. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card and Other Consumer |
|
September 30, 2011 |
(Dollars in millions) |
U.S. Credit
Card |
|
Non-U.S.
Credit Card |
|
Direct/Indirect
Consumer |
|
Other
Consumer (1)
|
Refreshed FICO score |
|
|
|
|
|
|
|
Less than 620 |
$ |
8,498 |
|
|
$ |
— |
|
|
$ |
4,417 |
|
|
$ |
836 |
|
Greater than or equal to 620 |
94,305 |
|
|
— |
|
|
47,409 |
|
|
889 |
|
Other internal credit metrics (2, 3, 4)
|
— |
|
|
16,086 |
|
|
38,648 |
|
|
1,085 |
|
Total credit card and other consumer |
$ |
102,803 |
|
|
$ |
16,086 |
|
|
$ |
90,474 |
|
|
$ |
2,810 |
|
|
|
(1) |
96 percent of the other consumer portfolio was associated with portfolios from certain consumer finance businesses that the Corporation previously exited.
|
|
|
(2) |
Other internal credit metrics may include delinquency status, geography or other factors. |
|
|
(3) |
Direct/indirect consumer includes $29.9 billion of securities-based lending which is overcollateralized and therefore has minimal credit risk and $6.1 billion of loans the Corporation no longer originates.
|
|
|
(4) |
Non-U.S. credit card represents the select European countries’ credit card portfolios which are evaluated using internal credit metrics, including delinquency status. At September 30, 2011, 95 percent of this portfolio was current or less than 30 days past due, two percent was 30-89 days past due and three percent was 90 days past due or more.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial (1)
|
|
September 30, 2011 |
(Dollars in millions) |
U.S.
Commercial |
|
Commercial Real Estate |
|
Commercial
Lease
Financing |
|
Non-U.S.
Commercial |
|
U.S. Small
Business
Commercial |
Risk Ratings |
|
|
|
|
|
|
|
|
|
Pass rated |
$ |
167,599 |
|
|
$ |
27,932 |
|
|
$ |
20,385 |
|
|
$ |
46,554 |
|
|
$ |
2,558 |
|
Reservable criticized |
11,407 |
|
|
12,956 |
|
|
965 |
|
|
1,907 |
|
|
897 |
|
Refreshed FICO score (2)
|
|
|
|
|
|
|
|
|
|
Less than 620 |
|
|
|
|
|
|
|
|
611 |
|
Greater than or equal to 620 |
|
|
|
|
|
|
|
|
4,872 |
|
Other internal credit metrics (2, 3, 4)
|
|
|
|
|
|
|
|
|
4,698 |
|
Total commercial credit |
$ |
179,006 |
|
|
$ |
40,888 |
|
|
$ |
21,350 |
|
|
$ |
48,461 |
|
|
$ |
13,636 |
|
|
|
(1) |
Excludes $6.5 billion of loans accounted for under the fair value option.
|
|
|
(2) |
Refreshed FICO score and other internal credit metrics are applicable only to the U.S. small business commercial portfolio. |
|
|
(3) |
U.S. small business commercial includes business card and small business loans which are evaluated using internal credit metrics, including delinquency status. At September 30, 2011, 97 percent was current or less than 30 days past due.
|
|
|
(4) |
Other internal credit metrics may include delinquency status, application scores, geography or other factors. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Loans |
|
December 31, 2010 |
(Dollars in millions) |
Core Portfolio
Residential
Mortgage (1)
|
Legacy Asset
Servicing
Residential Mortgage (1)
|
Countrywide
Residential
Mortgage PCI |
Core Portfolio
Home
Equity (1)
|
Legacy Asset
Servicing Home
Equity (1)
|
Countrywide
Home Equity PCI |
Legacy Asset
Servicing
Discontinued
Real Estate (1)
|
Countrywide
Discontinued
Real Estate PCI (2)
|
Refreshed LTV (2)
|
|
|
|
|
|
|
|
|
Less than 90 percent |
$ |
95,874 |
|
$ |
21,357 |
|
$ |
3,710 |
|
$ |
51,555 |
|
$ |
22,125 |
|
$ |
2,313 |
|
$ |
1,033 |
|
$ |
6,713 |
|
Greater than 90 percent but less than 100 percent |
11,581 |
|
8,234 |
|
1,664 |
|
7,534 |
|
6,504 |
|
1,215 |
|
155 |
|
1,319 |
|
Greater than 100 percent |
14,047 |
|
29,043 |
|
5,218 |
|
12,430 |
|
25,243 |
|
9,062 |
|
268 |
|
3,620 |
|
Fully-insured loans (3)
|
45,425 |
|
21,820 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total home loans |
$ |
166,927 |
|
$ |
80,454 |
|
$ |
10,592 |
|
$ |
71,519 |
|
$ |
53,872 |
|
$ |
12,590 |
|
$ |
1,456 |
|
$ |
11,652 |
|
|
|
|
|
|
|
|
|
|
Refreshed FICO score |
|
|
|
|
|
|
|
|
Less than 620 |
$ |
5,193 |
|
$ |
22,126 |
|
$ |
4,016 |
|
$ |
3,932 |
|
$ |
11,562 |
|
$ |
3,206 |
|
$ |
663 |
|
$ |
7,168 |
|
Greater than or equal to 620 |
116,309 |
|
36,508 |
|
6,576 |
|
67,587 |
|
42,310 |
|
9,384 |
|
793 |
|
4,484 |
|
Fully-insured loans (3)
|
45,425 |
|
21,820 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Total home loans |
$ |
166,927 |
|
$ |
80,454 |
|
$ |
10,592 |
|
$ |
71,519 |
|
$ |
53,872 |
|
$ |
12,590 |
|
$ |
1,456 |
|
$ |
11,652 |
|
|
|
(1) |
Excludes Countrywide PCI loans. |
|
|
(2) |
Refreshed LTV percentages for PCI loans were calculated using the carrying value net of the related valuation allowance. |
|
|
(3) |
Credit quality indicators are not reported for fully-insured loans as principal repayment is insured. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card and Other Consumer |
|
December 31, 2010 |
(Dollars in millions) |
U.S. Credit
Card |
|
Non-U.S.
Credit Card |
|
Direct/Indirect
Consumer |
|
Other
Consumer (1)
|
Refreshed FICO score |
|
|
|
|
|
|
|
Less than 620 |
$ |
14,159 |
|
|
$ |
631 |
|
|
$ |
6,748 |
|
|
$ |
979 |
|
Greater than or equal to 620 |
99,626 |
|
|
7,528 |
|
|
48,209 |
|
|
961 |
|
Other internal credit metrics (2, 3, 4)
|
— |
|
|
19,306 |
|
|
35,351 |
|
|
890 |
|
Total credit card and other consumer |
$ |
113,785 |
|
|
$ |
27,465 |
|
|
$ |
90,308 |
|
|
$ |
2,830 |
|
|
|
(1) |
96 percent of the other consumer portfolio was associated with portfolios from certain consumer finance businesses that the Corporation previously exited.
|
|
|
(2) |
Other internal credit metrics may include delinquency status, geography or other factors. |
|
|
(3) |
Direct/indirect consumer includes $24.0 billion of securities-based lending which is overcollateralized and therefore has minimal credit risk and $7.4 billion of loans the Corporation no longer originates.
|
|
|
(4) |
Non-U.S. credit card represents the select European countries’ credit card portfolios and a portion of the Canadian credit card portfolio which are evaluated using internal credit metrics, including delinquency status. At December 31, 2010, 95 percent of this portfolio was current or less than 30 days past due, three percent was 30-89 days past due and two percent was 90 days past due or more.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial (1)
|
|
December 31, 2010 |
(Dollars in millions) |
U.S.
Commercial |
|
Commercial Real Estate |
|
Commercial
Lease
Financing |
|
Non-U.S.
Commercial |
|
U.S. Small
Business
Commercial |
Risk Ratings |
|
|
|
|
|
|
|
|
|
Pass rated |
$ |
160,154 |
|
|
$ |
29,757 |
|
|
$ |
20,754 |
|
|
$ |
30,180 |
|
|
$ |
3,139 |
|
Reservable criticized |
15,432 |
|
|
19,636 |
|
|
1,188 |
|
|
1,849 |
|
|
988 |
|
Refreshed FICO score (2)
|
|
|
|
|
|
|
|
|
|
Less than 620 |
|
|
|
|
|
|
|
|
888 |
|
Greater than or equal to 620 |
|
|
|
|
|
|
|
|
5,083 |
|
Other internal credit metrics (2, 3, 4)
|
|
|
|
|
|
|
|
|
4,621 |
|
Total commercial credit |
$ |
175,586 |
|
|
$ |
49,393 |
|
|
$ |
21,942 |
|
|
$ |
32,029 |
|
|
$ |
14,719 |
|
|
|
(1) |
Includes $204 million of PCI loans in the commercial portfolio segment and excludes $3.3 billion of loans accounted for under the fair value option.
|
|
|
(2) |
Refreshed FICO score and other internal credit metrics are applicable only to the U.S. small business commercial portfolio. |
|
|
(3) |
U.S. small business commercial includes business card and small business loans which are evaluated using internal credit metrics, including delinquency status. At December 31, 2010, 95 percent was current or less than 30 days past due.
|
|
|
(4) |
Other internal credit metrics may include delinquency status, application scores, geography or other factors. |
|
|
Impaired Loans and Troubled Debt Restructurings |
A loan is considered impaired when, based on current information and events, it is probable that the Corporation will be unable to collect all amounts due from the borrower in accordance with the contractual terms of the loan. Impaired loans include nonperforming commercial loans, all TDRs, and the renegotiated credit card and other consumer portfolio (collectively, the renegotiated portfolio). Impaired loans exclude nonperforming consumer loans and nonperforming commercial leases unless they are classified as TDRs. Loans accounted for under the fair value option are also excluded. PCI loans are excluded and reported separately on page 184.
Home Loans
Impaired home loans within the home loans portfolio segment consist entirely of loans modified as TDRs. Substantially all modifications of home loans meet the definition of TDRs. Modifications of home loans are done in accordance with the government's Making Home Affordable Program (government modifications) or the Corporation's proprietary programs (proprietary modifications). These modifications are considered to be TDRs if concessions have been granted to borrowers experiencing financial difficulties. Concessions may include reductions in interest rates, capitalization of past due amounts, principal and/or interest forbearance, payment extensions, principal and/or interest forgiveness or combinations thereof.
Prior to modification, many of these loans were not considered to be individually impaired as they were less than 180 days past due and were included in homogeneous home loan pools which are collectively evaluated for impairment. Once such a loan has been modified and designated as a TDR, it is individually assessed for impairment. In accordance with applicable accounting guidance specific to impaired loans, home loan TDRs are measured primarily based on the net present value of the estimated cash flows discounted at a loan's original effective interest rate. If the carrying value of a TDR exceeds this amount, a specific allowance for loan losses is established in that amount. Alternatively, home loan TDRs that are considered to be dependent solely on the collateral for repayment (e.g., due to the lack of income verification) are measured based on the estimated fair value of the collateral and a charge-off is recorded if the carrying value exceeds the fair value of the collateral. Home loans that reached 180 days past due prior to modification would have been charged-off to their net realizable value before they were modified as TDRs in accordance with established policy. Therefore, the modification of home loans that are 180 or more days past due as TDRs does not have an impact on the allowance for credit losses nor are additional charge-offs required at the time of modification. Subsequent declines in the fair value of the collateral after a loan has reached 180 days past due are recorded as charge-offs. Fully-insured loans are protected against principal loss, and therefore, the Corporation does not record an allowance for credit losses on the outstanding principal balance, even after they have been modified in a TDR.
The net present value of the estimated cash flows is based on model-driven estimates of projected payments, prepayments, defaults and loss-given-default (LGD). Using statistical modeling methodologies, the Corporation estimates the probability that a loan will default prior to maturity based on the attributes of each loan. The factors that are most relevant to the probability of default are the refreshed LTV or in the case of a subordinated lien, refreshed CLTV, borrower credit score, months since origination (i.e., vintage) and geography. Each of these factors is further broken down by present collection status (whether the loan is current, delinquent, in default or in bankruptcy). Severity (or LGD) is estimated based on the refreshed LTV for the first mortgages or CLTV for subordinated liens. The estimates are based on the Corporation's historical experience, but are adjusted to reflect an assessment of environmental factors that may not be reflected in the historical data, such as changes in real estate values, local and national economies, underwriting standards and the regulatory environment. The probability of default models also incorporate recent experience with modification programs, a loan's default history prior to modification and the change in borrower payments post-modification.
At September 30, 2011 and December 31, 2010, remaining commitments to lend additional funds to debtors whose terms have been modified in a home loan TDR were immaterial. Home loan foreclosed properties totaled $1.9 billion and $1.2 billion at September 30, 2011 and December 31, 2010.
The table below presents impaired loans in the Corporation’s home loans portfolio segment at September 30, 2011, December 31, 2010 and September 30, 2010. The impaired home loans table below includes primarily loans managed by Legacy Asset Servicing. Certain impaired home loans do not have a related allowance as the current valuation of these impaired loans exceeded the carrying value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired Loans - Home Loans |
|
|
|
|
|
|
|
Three Months Ended September 30 |
|
September 30, 2011 |
|
2011 |
|
2010 |
(Dollars in millions) |
Unpaid
Principal
Balance |
|
Carrying
Value |
|
Related
Allowance |
|
Average
Carrying
Value |
|
Interest
Income
Recognized (1)
|
|
Average
Carrying
Value |
|
Interest
Income
Recognized (1)
|
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
9,373 |
|
|
$ |
7,161 |
|
|
n/a |
|
|
$ |
6,280 |
|
|
$ |
54 |
|
|
$ |
5,044 |
|
|
$ |
51 |
|
Home equity |
1,519 |
|
|
418 |
|
|
n/a |
|
|
407 |
|
|
6 |
|
|
506 |
|
|
6 |
|
Discontinued real estate |
397 |
|
|
227 |
|
|
n/a |
|
|
210 |
|
|
2 |
|
|
207 |
|
|
2 |
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
10,577 |
|
|
$ |
9,355 |
|
|
$ |
1,274 |
|
|
$ |
9,547 |
|
|
$ |
88 |
|
|
$ |
5,016 |
|
|
$ |
45 |
|
Home equity |
1,616 |
|
|
1,334 |
|
|
648 |
|
|
1,384 |
|
|
9 |
|
|
1,373 |
|
|
6 |
|
Discontinued real estate |
220 |
|
|
164 |
|
|
32 |
|
|
101 |
|
|
2 |
|
|
188 |
|
|
2 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
19,950 |
|
|
$ |
16,516 |
|
|
$ |
1,274 |
|
|
$ |
15,827 |
|
|
$ |
142 |
|
|
$ |
10,060 |
|
|
$ |
96 |
|
Home equity |
3,135 |
|
|
1,752 |
|
|
648 |
|
|
1,791 |
|
|
15 |
|
|
1,879 |
|
|
12 |
|
Discontinued real estate |
617 |
|
|
391 |
|
|
32 |
|
|
311 |
|
|
4 |
|
|
395 |
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30 |
|
|
|
|
|
|
|
2011 |
|
2010 |
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
|
|
|
|
|
|
$ |
5,778 |
|
|
$ |
170 |
|
|
$ |
4,057 |
|
|
$ |
131 |
|
Home equity |
|
|
|
|
|
|
437 |
|
|
16 |
|
|
472 |
|
|
15 |
|
Discontinued real estate |
|
|
|
|
|
|
218 |
|
|
6 |
|
|
218 |
|
|
6 |
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
|
|
|
|
|
|
$ |
9,042 |
|
|
$ |
235 |
|
|
$ |
5,029 |
|
|
$ |
145 |
|
Home equity |
|
|
|
|
|
|
1,375 |
|
|
24 |
|
|
1,595 |
|
|
18 |
|
Discontinued real estate |
|
|
|
|
|
|
150 |
|
|
5 |
|
|
169 |
|
|
5 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
|
|
|
|
|
|
$ |
14,820 |
|
|
$ |
405 |
|
|
$ |
9,086 |
|
|
$ |
276 |
|
Home equity |
|
|
|
|
|
|
1,812 |
|
|
40 |
|
|
2,067 |
|
|
33 |
|
Discontinued real estate |
|
|
|
|
|
|
368 |
|
|
11 |
|
|
387 |
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
Year Ended December 31, 2010 |
|
|
|
|
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
5,493 |
|
|
$ |
4,382 |
|
|
n/a |
|
|
$ |
4,429 |
|
|
$ |
184 |
|
|
|
|
|
Home equity |
1,411 |
|
|
437 |
|
|
n/a |
|
|
493 |
|
|
21 |
|
|
|
|
|
Discontinued real estate |
361 |
|
|
218 |
|
|
n/a |
|
|
219 |
|
|
8 |
|
|
|
|
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
8,593 |
|
|
$ |
7,406 |
|
|
$ |
1,154 |
|
|
$ |
5,226 |
|
|
$ |
196 |
|
|
|
|
|
Home equity |
1,521 |
|
|
1,284 |
|
|
676 |
|
|
1,509 |
|
|
23 |
|
|
|
|
|
Discontinued real estate |
247 |
|
|
177 |
|
|
41 |
|
|
170 |
|
|
7 |
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential mortgage |
$ |
14,086 |
|
|
$ |
11,788 |
|
|
$ |
1,154 |
|
|
$ |
9,655 |
|
|
$ |
380 |
|
|
|
|
|
Home equity |
2,932 |
|
|
1,721 |
|
|
676 |
|
|
2,002 |
|
|
44 |
|
|
|
|
|
Discontinued real estate |
608 |
|
|
395 |
|
|
41 |
|
|
389 |
|
|
15 |
|
|
|
|
|
|
|
(1) |
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. |
n/a = not applicable
The following tables present the September 30, 2011 unpaid principal balance, carrying value, and average pre- and post-modification interest rates of home loans that were modified in TDRs during the three and nine months ended September 30, 2011, along with charge-offs that were recorded during the period in which the modification occurred. These tables consist primarily of TDRs managed by Legacy Asset Servicing.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Loans |
|
TDRs Entered into During the Three Months Ended September 30, 2011 |
|
September 30, 2011 |
|
Three Months Ended September 30, 2011 |
(Dollars in millions) |
Unpaid Principal Balance |
|
Carrying Value |
|
Pre-Modification Interest Rate |
|
Post-Modification Interest Rate |
|
Net Charge-offs |
Residential mortgage |
$ |
1,931 |
|
|
$ |
1,677 |
|
|
5.92 |
% |
|
4.82 |
% |
|
$ |
19 |
|
Home equity |
144 |
|
|
86 |
|
|
7.90 |
|
|
6.47 |
|
|
15 |
|
Discontinued real estate |
21 |
|
|
13 |
|
|
7.79 |
|
|
6.16 |
|
|
— |
|
Total |
$ |
2,096 |
|
|
$ |
1,776 |
|
|
6.09 |
|
|
4.95 |
|
|
$ |
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TDRs Entered into During the Nine Months Ended September 30, 2011 |
|
September 30, 2011 |
|
Nine Months Ended September 30, 2011 |
Residential mortgage |
$ |
6,670 |
|
|
$ |
5,763 |
|
|
6.04 |
% |
|
4.97 |
% |
|
$ |
113 |
|
Home equity |
616 |
|
|
360 |
|
|
7.50 |
|
|
5.99 |
|
|
131 |
|
Discontinued real estate |
55 |
|
|
37 |
|
|
7.71 |
|
|
5.17 |
|
|
2 |
|
Total |
$ |
7,341 |
|
|
$ |
6,160 |
|
|
6.17 |
|
|
5.06 |
|
|
$ |
246 |
|
The tables below present the September 30, 2011 carrying value by program type for home loans which were modified in a TDR during the three and nine months ended September 30, 2011. These tables consist primarily of TDRs managed by Legacy Asset Servicing.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Loans |
|
TDRs Entered into During the Three Months Ended September 30, 2011 |
(Dollars in millions) |
Residential Mortgage |
|
Home Equity |
|
Discontinued Real Estate |
|
Total |
Government modifications (1)
|
|
|
|
|
|
|
|
Contractual interest rate reduction |
$ |
161 |
|
|
$ |
21 |
|
|
$ |
2 |
|
|
$ |
184 |
|
Principal and/or interest forbearance |
54 |
|
|
8 |
|
|
— |
|
|
62 |
|
Other modifications (2)
|
23 |
|
|
3 |
|
|
1 |
|
|
27 |
|
Total government modifications |
238 |
|
|
32 |
|
|
3 |
|
|
273 |
|
|
|
|
|
|
|
|
|
Proprietary modifications (1)
|
|
|
|
|
|
|
|
Contractual interest rate reduction |
807 |
|
|
29 |
|
|
5 |
|
|
841 |
|
Capitalization of past due amounts |
100 |
|
|
— |
|
|
— |
|
|
100 |
|
Principal and/or interest forbearance |
328 |
|
|
13 |
|
|
2 |
|
|
343 |
|
Other modifications (2)
|
204 |
|
|
12 |
|
|
3 |
|
|
219 |
|
Total proprietary modifications |
1,439 |
|
|
54 |
|
|
10 |
|
|
1,503 |
|
Total modifications |
$ |
1,677 |
|
|
$ |
86 |
|
|
$ |
13 |
|
|
$ |
1,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TDRs Entered into During the Nine Months Ended September 30, 2011 |
Government modifications (1)
|
|
|
|
|
|
|
|
Contractual interest rate reduction |
$ |
942 |
|
|
$ |
175 |
|
|
$ |
8 |
|
|
$ |
1,125 |
|
Principal and/or interest forbearance |
173 |
|
|
35 |
|
|
5 |
|
|
213 |
|
Other modifications (2)
|
86 |
|
|
11 |
|
|
2 |
|
|
99 |
|
Total government modifications |
1,201 |
|
|
221 |
|
|
15 |
|
|
1,437 |
|
|
|
|
|
|
|
|
|
Proprietary modifications (1)
|
|
|
|
|
|
|
|
Contractual interest rate reduction |
3,090 |
|
|
68 |
|
|
16 |
|
|
3,174 |
|
Capitalization of past due amounts |
388 |
|
|
— |
|
|
— |
|
|
388 |
|
Principal and/or interest forbearance |
678 |
|
|
36 |
|
|
5 |
|
|
719 |
|
Other modifications (2)
|
406 |
|
|
35 |
|
|
1 |
|
|
442 |
|
Total proprietary modifications |
4,562 |
|
|
139 |
|
|
22 |
|
|
4,723 |
|
Total modifications |
$ |
5,763 |
|
|
$ |
360 |
|
|
$ |
37 |
|
|
$ |
6,160 |
|
(1) See definition on page 174.
(2) Includes other modifications such as term or payment extensions, principal and/or interest forgiveness and other.
In addition to the home loans modified in TDRs presented above, the Corporation also enters into trial modifications with certain borrowers under the government modifications and the proprietary modifications. Trial modifications generally represent a three- to four-month period whereby the borrower makes monthly payments under the anticipated modified payment terms prior to a formal modification. Trial modifications lasting more than four months are considered TDRs. Upon successful completion of a trial modification, the Corporation and the borrower enter into a permanent modification where the terms of the loan are formally modified. Approximately half of all loans that entered into a trial modification during the first six months of 2011 became permanent modifications as of September 30, 2011. Permanent modifications include reductions in interest rates, capitalization of past due amounts, principal and/or interest forbearance, payment extensions, principal and/or interest forgiveness or combinations thereof. Substantially all permanent modifications are considered TDRs and are included in the TDR disclosures herein. As of September 30, 2011, the Corporation had 2,446 loans that were in trial modifications and were not considered TDRs, with an unpaid principal balance of $485 million and a carrying value of $341 million. Home loans in a trial period that are not considered TDRs are measured for impairment as part of homogeneous home loan pools which are collectively evaluated for impairment. The Corporation recognizes that these loans have different risk characteristics than those loans not currently in a trial modification and reflects this increased risk associated with these loans in its allowance for loan losses.
The following tables present the carrying value of loans that entered into payment default during the three months ended September 30, 2011 and during any of the three calendar quarters within the nine months ended September 30, 2011 and that had been modified in a TDR during the 12 months preceding each quarterly period, measured as of the end of each quarterly period. A payment default for home loan TDRs is recognized when a borrower has missed three monthly payments (not necessarily consecutively) since modification.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Loans - TDRs Entering Payment Default That Were Modified During the Preceding Twelve Months |
|
Three Months Ended September 30, 2011 |
(Dollars in millions) |
Residential Mortgage |
|
Home Equity |
|
Discontinued Real Estate |
|
Total |
Government modifications |
$ |
61 |
|
|
$ |
2 |
|
|
$ |
— |
|
|
$ |
63 |
|
Proprietary modifications |
573 |
|
|
7 |
|
|
1 |
|
|
581 |
|
Total modifications |
$ |
634 |
|
|
$ |
9 |
|
|
$ |
1 |
|
|
$ |
644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2011 |
Government modifications |
$ |
163 |
|
|
$ |
2 |
|
|
$ |
1 |
|
|
$ |
166 |
|
Proprietary modifications |
1,483 |
|
|
37 |
|
|
8 |
|
|
1,528 |
|
Total modifications |
$ |
1,646 |
|
|
$ |
39 |
|
|
$ |
9 |
|
|
$ |
1,694 |
|
Credit Card and Other Consumer
The credit card and other consumer portfolio segment includes impaired loans that have been modified as a TDR. The Corporation seeks to assist customers that are experiencing financial difficulty by modifying loans while ensuring compliance with federal laws and guidelines. Substantially all of the Corporation's credit card and other consumer loan modifications involve reducing the cardholder's interest rate on the account and placing the customer on a fixed payment plan not exceeding 60 months, all of which are considered TDRs. In all cases, the customer's available line of credit is canceled. The Corporation makes loan modifications directly with borrowers for debt held only by the Corporation (internal programs). Additionally, the Corporation makes loan modifications for borrowers working with third-party renegotiation agencies which provide solutions to customers' entire unsecured debt structures (external programs).
All credit card and other consumer loans not secured by real estate, including modified loans, remain on accrual status until the loan is either charged-off or paid in full. The allowance for impaired credit card loans is based on the present value of projected cash flows discounted using the portfolio's average contractual interest rate, excluding promotionally priced loans, in effect prior to restructuring. Prior to modification, credit card and other consumer loans are included in homogeneous pools which are collectively evaluated for impairment. For these portfolios, loss forecast models are utilized that consider a variety of factors including but not limited to historical loss experience, delinquencies, economic trends and credit scores.
The tables below provide information on the Corporation's primary modification programs for the renegotiated portfolio. At September 30, 2011, December 31, 2010 and September 30, 2010, all renegotiated credit card and other consumer loans were considered impaired and have a related allowance as shown in the table below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired Loans - Credit Card and Other Consumer - Renegotiated TDRs |
|
|
|
|
|
|
|
Three Months Ended September 30 |
|
September 30, 2011 |
|
2011 |
|
2010 |
(Dollars in millions) |
Unpaid
Principal
Balance |
|
Carrying
Value (1)
|
|
Related
Allowance |
|
Average
Carrying
Value |
|
Interest
Income
Recognized (2)
|
|
Average
Carrying
Value |
|
Interest
Income
Recognized (2)
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. credit card |
$ |
6,066 |
|
|
$ |
6,107 |
|
|
$ |
1,894 |
|
|
$ |
6,727 |
|
|
$ |
102 |
|
|
$ |
10,352 |
|
|
$ |
156 |
|
Non-U.S. credit card |
683 |
|
|
696 |
|
|
533 |
|
|
777 |
|
|
2 |
|
|
709 |
|
|
4 |
|
Direct/Indirect consumer |
1,342 |
|
|
1,348 |
|
|
481 |
|
|
1,502 |
|
|
20 |
|
|
2,108 |
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30 |
|
|
|
|
|
|
|
2011 |
|
2010 |
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. credit card |
|
|
|
|
|
|
$ |
7,637 |
|
|
$ |
344 |
|
|
$ |
10,894 |
|
|
$ |
485 |
|
Non-U.S. credit card |
|
|
|
|
|
|
794 |
|
|
5 |
|
|
1,004 |
|
|
13 |
|
Direct/Indirect consumer |
|
|
|
|
|
|
1,675 |
|
|
67 |
|
|
2,170 |
|
|
84 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
Year Ended December 31, 2010 |
|
|
|
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. credit card |
$ |
8,680 |
|
|
$ |
8,766 |
|
|
$ |
3,458 |
|
|
$ |
10,549 |
|
|
$ |
621 |
|
|
|
|
|
Non-U.S. credit card |
778 |
|
|
797 |
|
|
506 |
|
|
973 |
|
|
21 |
|
|
|
|
|
Direct/Indirect consumer |
1,846 |
|
|
1,858 |
|
|
822 |
|
|
2,126 |
|
|
111 |
|
|
|
|
|
|
|
(1) |
Includes accrued interest and fees. |
|
|
(2) |
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. |
The tables below provide information on the Corporation's primary modification programs for credit cards and other consumer loans, including the unpaid principal balance and carrying value of loans that were modified in TDRs during the three and nine months ended September 30, 2011, along with charge-offs that were recorded during the calendar quarter in which the modification occurred. The table also presents the average pre- and post-modification interest rate.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card and Other Consumer |
|
Renegotiated TDRs Entered into During the Three Months Ended September 30, 2011 |
|
September 30, 2011 |
|
Three Months Ended September 30, 2011 |
(Dollars in millions) |
Unpaid Principal Balance |
|
Carrying Value |
|
Pre-Modification Interest Rate |
|
Post-Modification Interest Rate |
|
Net Charge-offs |
U.S. credit card |
$ |
220 |
|
|
$ |
227 |
|
|
18.84 |
% |
|
6.25 |
% |
|
$ |
2 |
|
Non-U.S. credit card |
153 |
|
|
162 |
|
|
25.92 |
|
|
0.60 |
|
|
7 |
|
Direct/Indirect consumer |
41 |
|
|
42 |
|
|
15.48 |
|
|
4.51 |
|
|
— |
|
Total |
$ |
414 |
|
|
$ |
431 |
|
|
21.17 |
|
|
3.96 |
|
|
$ |
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Renegotiated TDRs Entered into During the Nine Months Ended September 30, 2011 |
|
September 30, 2011 |
|
Nine Months Ended September 30, 2011 |
U.S. credit card |
$ |
798 |
|
|
$ |
812 |
|
|
19.02 |
% |
|
6.20 |
% |
|
$ |
62 |
|
Non-U.S. credit card |
336 |
|
|
354 |
|
|
26.07 |
|
|
0.78 |
|
|
167 |
|
Direct/Indirect consumer |
186 |
|
|
187 |
|
|
15.62 |
|
|
5.43 |
|
|
13 |
|
Total |
$ |
1,320 |
|
|
$ |
1,353 |
|
|
20.40 |
|
|
4.68 |
|
|
$ |
242 |
|
Credit card and other consumer loans are deemed to be in payment default during the quarter in which a borrower misses the second of two consecutive payments. Payment defaults are one of the factors considered when projecting future cash flows in the calculation of the allowance for loan losses for impaired credit card and other consumer loans. Loans that entered into payment default during the three months ended September 30, 2011 and during any of the three calendar quarters within the nine months ended September 30, 2011 and that had been modified in a TDR during the 12 months preceding each quarterly period, measured as of the end of each quarterly period had carrying values as of September 30, 2011 of $150 million and $749 million for U.S. credit card, $113 million and $316 million for non-U.S. credit card and $33 million and $155 million for direct/indirect consumer.
The tables below provide information on the Corporation's primary modification programs for the credit card and other consumer renegotiated TDR portfolio at September 30, 2011 and December 31, 2010.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card and Other Consumer - Renegotiated TDR Portfolio by Program Type |
|
Internal Programs |
|
External Programs |
|
Other |
|
Total |
|
Percent of Balances Current or
Less Than 30 Days Past Due |
(Dollars in millions) |
September 30
2011 |
December 31
2010 |
|
September 30
2011 |
December 31
2010 |
|
September 30
2011 |
December 31
2010 |
|
September 30
2011 |
December 31
2010 |
|
September 30
2011 |
December 31
2010 |
U.S. credit card |
$ |
4,412 |
|
$ |
6,592 |
|
|
$ |
1,585 |
|
$ |
1,927 |
|
|
$ |
110 |
|
$ |
247 |
|
|
$ |
6,107 |
|
$ |
8,766 |
|
|
79.19 |
% |
77.66 |
% |
Non-U.S. credit card |
231 |
|
282 |
|
|
133 |
|
176 |
|
|
332 |
|
339 |
|
|
696 |
|
797 |
|
|
52.55 |
|
58.86 |
|
Direct/Indirect consumer |
890 |
|
1,222 |
|
|
431 |
|
531 |
|
|
27 |
|
105 |
|
|
1,348 |
|
1,858 |
|
|
80.28 |
|
78.81 |
|
Total renegotiated TDR loans |
$ |
5,533 |
|
$ |
8,096 |
|
|
$ |
2,149 |
|
$ |
2,634 |
|
|
$ |
469 |
|
$ |
691 |
|
|
$ |
8,151 |
|
$ |
11,421 |
|
|
77.10 |
|
76.51 |
|
At September 30, 2011 and December 31, 2010, the Corporation had a renegotiated TDR portfolio of $8.2 billion and $11.4 billion of which $6.3 billion was current or less than 30 days past due under the modified terms at September 30, 2011. The renegotiated TDR portfolio is excluded from nonperforming loans as the Corporation generally does not classify consumer loans not secured by real estate as nonperforming. Instead, these loans are charged off no later than the end of the month in which the loan becomes 180 days past due.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Card and Other Consumer |
|
Renegotiated TDRs Entered into During the Three Months Ended September 30, 2011 |
|
September 30, 2011 |
(Dollars in millions) |
Internal Programs |
|
External Programs |
|
Other |
|
Total |
U.S. credit card |
$ |
122 |
|
|
$ |
103 |
|
|
$ |
2 |
|
|
$ |
227 |
|
Non-U.S. credit card |
83 |
|
|
79 |
|
|
— |
|
|
162 |
|
Direct/Indirect consumer |
22 |
|
|
20 |
|
|
— |
|
|
42 |
|
Total renegotiated TDR loans |
$ |
227 |
|
|
$ |
202 |
|
|
$ |
2 |
|
|
$ |
431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Renegotiated TDRs Entered into During the Nine Months Ended September 30, 2011 |
|
September 30, 2011 |
U.S. credit card |
$ |
454 |
|
|
$ |
355 |
|
|
$ |
3 |
|
|
$ |
812 |
|
Non-U.S. credit card |
179 |
|
|
174 |
|
|
1 |
|
|
354 |
|
Direct/Indirect consumer |
107 |
|
|
79 |
|
|
1 |
|
|
187 |
|
Total renegotiated TDR loans |
$ |
740 |
|
|
$ |
608 |
|
|
$ |
5 |
|
|
$ |
1,353 |
|
Commercial Loans
Impaired commercial loans, which include nonperforming loans and TDRs (both performing and nonperforming), are primarily measured based on the present value of payments expected to be received, discounted at the loans' original effective interest rate. Commercial impaired loans may also be measured based on observable market prices or, for loans that are solely dependent on the collateral for repayment, the estimated fair value of collateral less estimated costs to sell. If the carrying value of a loan exceeds this amount, a specific allowance is recorded as a component of the allowance for loan and lease losses.
Modifications of loans to commercial borrowers that are experiencing financial difficulty are designed to reduce the Corporation's loss exposure while providing the borrower with an opportunity to work through financial difficulties, often to avoid foreclosure or bankruptcy. Each modification is unique and reflects the individual circumstances of the borrower. Modifications that result in a TDR may include extensions of maturity at a concessionary (below market) rate of interest, payment forbearances, or other actions designed to benefit the customer while mitigating the Corporation's risk exposure. Reductions in interest rates are rare. Instead, the interest rates are typically increased, although the increased rate may not represent a market rate of interest. Concessions may also include principal forgiveness in connection with foreclosure, short sale, or other settlement agreements leading to termination or sale of the loan. Forgiveness of principal is rare.
At the time of restructuring, the loans are remeasured to reflect the impact, if any, on projected cash flows, observable market prices or collateral value resulting from the modified terms. If there was no forgiveness of principal and the interest rate was not decreased, the modification may have little or no impact on the allowance established for the loan. If a portion of the loan is deemed to be uncollectible, a charge-off may be recorded at the time of restructuring. Alternatively, a charge-off may have already been recorded in a previous period such that no charge-off is required at the time of modification.
Nonperforming commercial TDRs may be returned to accrual status when, among other criteria, payment in full of all amounts due under the restructured terms is expected and the borrower has demonstrated a sustained period of repayment performance, typically six months. Commercial TDRs that are on accrual status are reported as performing TDRs through the end of the calendar year in which the restructuring occurred or the year in which they are returned to accrual status. In addition, if accruing TDRs bear less than a market rate of interest at the time of modification, they are reported as performing TDRs and thus impaired loans throughout their remaining lives.
At September 30, 2011 and December 31, 2010, remaining commitments to lend additional funds to debtors whose terms have been modified in a commercial loan TDR were immaterial. Commercial foreclosed properties totaled $721 million and $725 million at September 30, 2011 and December 31, 2010.
The following tables present impaired loans in the Corporation's commercial loan portfolio at September 30, 2011, December 31, 2010 and September 30, 2010. Certain impaired commercial loans do not have a related allowance as the valuation of these impaired loans exceeded the carrying value, which is net of previously recorded charge-offs.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired Loans - Commercial |
|
|
|
|
|
|
|
Three Months Ended September 30 |
|
September 30, 2011 |
|
2011 |
|
2010 |
(Dollars in millions) |
Unpaid
Principal
Balance |
|
Carrying
Value |
|
Related
Allowance |
|
Average
Carrying
Value |
|
Interest
Income
Recognized (1)
|
|
Average
Carrying
Value |
|
Interest
Income
Recognized (1)
|
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
1,465 |
|
|
$ |
1,045 |
|
|
n/a |
|
|
$ |
870 |
|
|
$ |
— |
|
|
$ |
798 |
|
|
$ |
— |
|
Commercial real estate |
2,641 |
|
|
2,092 |
|
|
n/a |
|
|
2,041 |
|
|
1 |
|
|
2,028 |
|
|
1 |
|
Non-U.S. commercial |
221 |
|
|
120 |
|
|
n/a |
|
|
96 |
|
|
— |
|
|
9 |
|
|
— |
|
U.S. small business commercial (2)
|
— |
|
|
— |
|
|
n/a |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
2,931 |
|
|
$ |
2,117 |
|
|
$ |
289 |
|
|
$ |
2,176 |
|
|
$ |
4 |
|
|
$ |
3,385 |
|
|
$ |
9 |
|
Commercial real estate |
4,038 |
|
|
2,911 |
|
|
278 |
|
|
3,013 |
|
|
10 |
|
|
4,502 |
|
|
8 |
|
Non-U.S. commercial |
294 |
|
|
46 |
|
|
8 |
|
|
72 |
|
|
3 |
|
|
204 |
|
|
— |
|
U.S. small business commercial (2)
|
612 |
|
|
590 |
|
|
223 |
|
|
616 |
|
|
5 |
|
|
999 |
|
|
8 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
4,396 |
|
|
$ |
3,162 |
|
|
$ |
289 |
|
|
$ |
3,046 |
|
|
$ |
4 |
|
|
$ |
4,183 |
|
|
$ |
9 |
|
Commercial real estate |
6,679 |
|
|
5,003 |
|
|
278 |
|
|
5,054 |
|
|
11 |
|
|
6,530 |
|
|
9 |
|
Non-U.S. commercial |
515 |
|
|
166 |
|
|
8 |
|
|
168 |
|
|
3 |
|
|
213 |
|
|
— |
|
U.S. small business commercial (2)
|
612 |
|
|
590 |
|
|
223 |
|
|
616 |
|
|
5 |
|
|
999 |
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30 |
|
|
|
|
|
|
|
2011 |
|
2010 |
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
|
|
|
|
|
|
$ |
638 |
|
|
$ |
1 |
|
|
$ |
582 |
|
|
$ |
1 |
|
Commercial real estate |
|
|
|
|
|
|
1,913 |
|
|
3 |
|
|
1,724 |
|
|
3 |
|
Non-U.S. commercial |
|
|
|
|
|
|
83 |
|
|
— |
|
|
3 |
|
|
— |
|
U.S. small business commercial (2)
|
|
|
|
|
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
|
|
|
|
|
|
$ |
2,543 |
|
|
$ |
7 |
|
|
$ |
3,799 |
|
|
$ |
21 |
|
Commercial real estate |
|
|
|
|
|
|
3,505 |
|
|
14 |
|
|
5,154 |
|
|
18 |
|
Non-U.S. commercial |
|
|
|
|
|
|
97 |
|
|
3 |
|
|
191 |
|
|
— |
|
U.S. small business commercial (2)
|
|
|
|
|
|
|
713 |
|
|
18 |
|
|
1,052 |
|
|
26 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
|
|
|
|
|
|
$ |
3,181 |
|
|
$ |
8 |
|
|
$ |
4,381 |
|
|
$ |
22 |
|
Commercial real estate |
|
|
|
|
|
|
5,418 |
|
|
17 |
|
|
6,878 |
|
|
21 |
|
Non-U.S. commercial |
|
|
|
|
|
|
180 |
|
|
3 |
|
|
194 |
|
|
— |
|
U.S. small business commercial (2)
|
|
|
|
|
|
|
713 |
|
|
18 |
|
|
1,052 |
|
|
26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
Year Ended December 31, 2010 |
|
|
|
|
With no recorded allowance |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
968 |
|
|
$ |
441 |
|
|
n/a |
|
|
$ |
547 |
|
|
$ |
3 |
|
|
|
|
|
Commercial real estate |
2,655 |
|
|
1,771 |
|
|
n/a |
|
|
1,736 |
|
|
8 |
|
|
|
|
|
Non-U.S. commercial |
46 |
|
|
28 |
|
|
n/a |
|
|
9 |
|
|
— |
|
|
|
|
|
U.S. small business commercial (2)
|
— |
|
|
— |
|
|
n/a |
|
|
— |
|
|
— |
|
|
|
|
|
With an allowance recorded |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
3,891 |
|
|
$ |
3,193 |
|
|
$ |
336 |
|
|
$ |
3,389 |
|
|
$ |
36 |
|
|
|
|
|
Commercial real estate |
5,682 |
|
|
4,103 |
|
|
208 |
|
|
4,813 |
|
|
29 |
|
|
|
|
|
Non-U.S. commercial |
572 |
|
|
217 |
|
|
91 |
|
|
190 |
|
|
— |
|
|
|
|
|
U.S. small business commercial (2)
|
935 |
|
|
892 |
|
|
445 |
|
|
1,028 |
|
|
34 |
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. commercial |
$ |
4,859 |
|
|
$ |
3,634 |
|
|
$ |
336 |
|
|
$ |
3,936 |
|
|
$ |
39 |
|
|
|
|
|
Commercial real estate |
8,337 |
|
|
5,874 |
|
|
208 |
|
|
6,549 |
|
|
37 |
|
|
|
|
|
Non-U.S. commercial |
618 |
|
|
245 |
|
|
91 |
|
|
199 |
|
|
— |
|
|
|
|
|
U.S. small business commercial (2)
|
935 |
|
|
892 |
|
|
445 |
|
|
1,028 |
|
|
34 |
|
|
|
|
|
|
|
(1) |
Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. |
|
|
(2) |
Includes U.S. small business commercial TDR loans and related allowance. |
n/a = not applicable
The following tables present the September 30, 2011 unpaid principal balance and carrying value of commercial loans that were modified as TDRs during the three and nine months ended September 30, 2011, along with charge-offs that were recorded during the calendar quarter in which the modification occurred. As a result of the retrospective application of new accounting guidance on TDRs, the Corporation recorded $1.1 billion of commercial loan modifications as of September 30, 2011, of which $552 million were nonperforming TDRs. These newly identified TDRs did not have a significant impact on the Corporation's allowance for credit losses or provision expense. See Note 1 – Summary of Significant Accounting Principles for additional information.
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial |
|
TDRs Entered into During the
Three Months Ended September 30, 2011
|
|
September 30, 2011 |
|
Three Months Ended September 30, 2011 |
(Dollars in millions) |
Unpaid Principal Balance |
|
Carrying Value |
|
Net Charge-offs |
U.S commercial |
$ |
417 |
|
|
$ |
320 |
|
|
$ |
19 |
|
Commercial real estate |
652 |
|
|
525 |
|
|
58 |
|
Non-U.S. commercial |
— |
|
|
— |
|
|
— |
|
U.S. small business commercial |
14 |
|
|
14 |
|
|
— |
|
Total |
$ |
1,083 |
|
|
$ |
859 |
|
|
$ |
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TDRs Entered into During the
Nine Months Ended September 30, 2011
|
|
September 30, 2011 |
|
Nine Months Ended September 30, 2011 |
U.S commercial |
$ |
1,250 |
|
|
$ |
1,087 |
|
|
$ |
49 |
|
Commercial real estate |
1,760 |
|
|
1,444 |
|
|
129 |
|
Non-U.S. commercial |
49 |
|
|
49 |
|
|
— |
|
U.S. small business commercial |
53 |
|
|
55 |
|
|
11 |
|
Total |
$ |
3,112 |
|
|
$ |
2,635 |
|
|
$ |
189 |
|
A commercial TDR is generally deemed to be in payment default when the loan is 90 or more days past due, including delinquencies that were not resolved as part of the modification. U.S. small business commercial TDRs are deemed to be in payment default during the quarter in which a borrower misses the second of two consecutive payments. Payment defaults are one of the factors considered when projecting future cash flows, along with observable market prices or fair value of collateral when measuring the allowance for loan losses. Loans that were in payment default during the three- and nine-month periods ended September 30, 2011 and that had been modified in a TDR during the period or the preceding 12 months had a carrying value of $132 million and $145 million for U.S. commercial, $611 million and $627 million for commercial real estate and $17 million and $58 million for U.S. small business commercial.
|
|
Purchased Credit-impaired Loans |
PCI loans are acquired loans with evidence of credit quality deterioration since origination for which it is probable at purchase date that the Corporation will be unable to collect all contractually required payments. PCI loans are pooled based on similar characteristics and evaluated for impairment on a pool basis. The Corporation estimates impairment on its PCI loan portfolio in accordance with applicable accounting guidance on contingencies which involves estimating the expected cash flows of each pool using internal credit risk, interest rate and prepayment risk models. The key assumptions used in the models include the Corporation’s estimate of default rates, loss severity and prepayment speeds.
The table below presents the remaining unpaid principal balance and carrying amount, excluding the valuation allowance, for Countrywide consumer PCI loans at September 30, 2011, June 30, 2011 and December 31, 2010. The valuation allowance for Countrywide consumer PCI loans is presented together with the allowance for loan and lease losses. See Note 7 – Allowance for Credit Losses for additional information.
Beginning September 30, 2011, PCI loans that were acquired as part of the Merrill Lynch acquisition are excluded from the tables below as these loan balances and related accretable yield, nonaccretable difference and valuation allowance are insignificant.
|
|
|
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
September 30
2011 |
|
June 30
2011 |
|
December 31
2010 |
Unpaid principal balance |
$ |
36,617 |
|
|
$ |
38,488 |
|
|
$ |
41,446 |
|
Carrying value excluding valuation allowance |
32,648 |
|
|
33,416 |
|
|
34,834 |
|
Allowance for loan and lease losses |
8,239 |
|
|
8,239 |
|
|
6,334 |
|
The table below shows activity for the accretable yield on Countrywide consumer PCI loans. The $839 million reclassification from nonaccretable difference for the nine months ended September 30, 2011 primarily reflects an increase in estimated interest payments due to estimated slower prepayment speeds.
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
Three Months Ended September 30, 2011 |
|
Nine Months Ended September 30, 2011 |
Accretable yield, beginning of period |
$ |
5,567 |
|
|
$ |
5,481 |
|
Accretion |
(305 |
) |
|
(986 |
) |
Disposals/transfers |
(25 |
) |
|
(90 |
) |
Reclassifications from nonaccretable difference |
7 |
|
|
839 |
|
Accretable yield, September 30, 2011 |
$ |
5,244 |
|
|
$ |
5,244 |
|
The Corporation had LHFS of $23.1 billion and $35.1 billion at September 30, 2011 and December 31, 2010. Proceeds from sales, securitizations and paydowns of LHFS were $127.6 billion and $221.4 billion for the nine months ended September 30, 2011 and 2010. Proceeds used for originations and purchases of LHFS were $103.6 billion and $200.4 billion for the nine months ended September 30, 2011 and 2010. During the three months ended September 30, 2011, $8.1 billion of non-U.S. credit card loans related to the Canadian credit card portfolio were transferred to LHFS as a result of the announced sale of the Canadian consumer card business.
|