Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v2.4.1.9
Securitizations and Other Variable Interest Entities (Tables)
3 Months Ended
Mar. 31, 2015
Variable Interest Entity [Line Items]  
Mortgage Related Securitizations
The table below summarizes select information related to first-lien mortgage securitizations for the three months ended March 31, 2015 and 2014.

First-lien Mortgage Securitizations
 
 
 
Three Months Ended March 31
 
Residential Mortgage
 
 
Agency
 
Commercial Mortgage
(Dollars in millions)
2015
2014
 
2015
2014
Cash proceeds from new securitizations (1)
$
7,571

$
7,466

 
$
2,156

$
704

Gain (loss) on securitizations (2)
173

(11
)
 
(7
)
27

(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 and commercial 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 $169 million and $198 million, net of hedges, during the three months ended March 31, 2015 and 2014, are not included in the table above.
First Lien Mortgages  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.

First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
Residential Mortgage
 
 
 
 
 
 
Non-agency
 
 
 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
(Dollars in millions)
March 31
2015
December 31
2014
 
March 31
2015
December 31
2014
 
March 31
2015
December 31
2014
 
March 31
2015
December 31
2014
 
March 31
2015
December 31
2014
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
19,523

$
14,918

 
$
1,223

$
1,288

 
$
3,089

$
3,167

 
$
654

$
710

 
$
324

$
352

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
526

$
584

 
$
3

$
3

 
$
25

$
14

 
$
49

$
81

 
$
79

$
54

Debt securities carried at fair value
18,178

13,473

 
755

816

 
2,716

2,811

 
378

383

 
14

76

Held-to-maturity securities
796

837

 


 


 


 
37

42

Subordinate securities held (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets


 


 
18


 
2

1

 
39

58

Debt securities carried at fair value


 
11

12

 
4

5

 


 
55

58

Held-to-maturity securities


 


 


 


 
13

15

Residual interests held


 
12

10

 


 


 
41

22

All other assets (3)
23

24

 
51

56

 
1

1

 
225

245

 


Total retained positions
$
19,523

$
14,918

 
$
832

$
897

 
$
2,764

$
2,831

 
$
654

$
710

 
$
278

$
325

Principal balance outstanding (4)
$
386,169

$
397,055

 
$
19,304

$
20,167

 
$
31,601

$
32,592

 
$
48,208

$
50,054

 
$
25,034

$
20,593

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure (1)
$
36,644

$
38,345

 
$
76

$
77

 
$
197

$
206

 
$

$

 
$

$

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,099

$
1,538

 
$

$

 
$
29

$
30

 
$

$

 
$

$

Loans and leases
34,734

36,187

 
128

130

 
767

768

 


 


Allowance for loan and lease losses
(2
)
(2
)
 


 


 


 


All other assets
815

623

 
6

6

 
14

15

 


 


Total assets
$
36,646

$
38,346

 
$
134

$
136

 
$
810

$
813

 
$

$

 
$

$

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
2

$
1

 
$
55

$
56

 
$
770

$
770

 
$

$

 
$

$

All other liabilities
1


 
3

3

 
11

13

 


 


Total liabilities
$
3

$
1

 
$
58

$
59

 
$
781

$
783

 
$

$

 
$

$

(1) 
Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 17 – Mortgage Servicing Rights.
(2) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three months ended March 31, 2015 and 2014, 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 $365 million and $635 million, 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 $365 million and $635 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at March 31, 2015 and December 31, 2014.
(4) 
Principal balance outstanding includes loans the Corporation transferred with which it has continuing involvement, which may include servicing the loans.
Home equity  
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 March 31, 2015 and December 31, 2014.

Home Equity Loan VIEs
 
 
 
 
 
March 31, 2015
 
December 31, 2014
(Dollars in millions)
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
 
Consolidated
VIEs
 
Unconsolidated
VIEs
 
Total
Maximum loss exposure (1)
$
942

 
$
5,061

 
$
6,003

 
$
991

 
$
5,224

 
$
6,215

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$

 
$
47

 
$
47

 
$

 
$
14

 
$
14

Debt securities carried at fair value

 
44

 
44

 

 
39

 
39

Loans and leases
954

 

 
954

 
1,014

 

 
1,014

Allowance for loan and lease losses
(52
)
 

 
(52
)
 
(56
)
 

 
(56
)
All other assets
40

 

 
40

 
33

 

 
33

Total
$
942

 
$
91

 
$
1,033

 
$
991

 
$
53

 
$
1,044

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt
$
995

 
$

 
$
995

 
$
1,076

 
$

 
$
1,076

Total
$
995

 
$

 
$
995

 
$
1,076

 
$

 
$
1,076

Principal balance outstanding
$
954

 
$
6,133

 
$
7,087

 
$
1,014

 
$
6,362

 
$
7,376

(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  
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 March 31, 2015 and December 31, 2014.

Credit Card VIEs
 
 
 
(Dollars in millions)
March 31
2015
 
December 31
2014
Consolidated VIEs
 
 
 
Maximum loss exposure
$
38,996

 
$
43,139

On-balance sheet assets
 
 
 
Derivative assets
$

 
$
1

Loans and leases (1)
49,927

 
53,068

Allowance for loan and lease losses
(1,810
)
 
(1,904
)
All other assets (2)
389

 
391

Total
$
48,506

 
$
51,556

On-balance sheet liabilities
 
 
 
Long-term debt
$
9,484

 
$
8,401

All other liabilities
26

 
16

Total
$
9,510

 
$
8,417


(1) 
At March 31, 2015 and December 31, 2014, loans and leases included $31.1 billion and $36.9 billion of seller's interest.
(2) 
At March 31, 2015 and December 31, 2014, all other assets included restricted cash, certain short-term investments, and unbilled accrued interest and fees.
Other Asset-backed Securitizations  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at March 31, 2015 and December 31, 2014.

Other Asset-backed VIEs
 
 
 
 
 
 
 
 
 
 
 
 
Resecuritization Trusts
 
Municipal Bond Trusts
 
Automobile and Other
Securitization Trusts
(Dollars in millions)
March 31
2015
 
December 31
2014
 
March 31
2015
 
December 31
2014
 
March 31
2015
 
December 31
2014
Unconsolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$
8,051

 
$
8,569

 
$
2,045

 
$
2,100

 
$
69

 
$
77

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Senior securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
941

 
$
767

 
$
2

 
$
25

 
$

 
$
6

Debt securities carried at fair value
6,246

 
6,945

 

 

 
59

 
61

Held-to-maturity securities
736

 
740

 

 

 

 

Subordinate securities held (1, 2):
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
52

 
37

 

 

 

 

Debt securities carried at fair value
74

 
73

 

 

 

 

Residual interests held (3)
2

 
7

 

 

 

 

All other assets

 

 

 

 
10

 
10

Total retained positions
$
8,051

 
$
8,569

 
$
2

 
$
25

 
$
69

 
$
77

Total assets of VIEs (4)
$
30,563

 
$
28,065

 
$
3,237

 
$
3,314

 
$
522

 
$
1,276

 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Maximum loss exposure
$
200

 
$
654

 
$
2,027

 
$
2,440

 
$
65

 
$
92

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
496

 
$
1,295

 
$
2,038

 
$
2,452

 
$

 
$

Loans held-for-sale

 

 

 

 
495

 
555

All other assets

 

 
1

 

 
54

 
54

Total assets
$
496

 
$
1,295

 
$
2,039

 
$
2,452

 
$
549

 
$
609

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Short-term borrowings
$

 
$

 
$
630

 
$
1,032

 
$

 
$

Long-term debt
296

 
641

 
12

 
12

 
483

 
516

All other liabilities

 

 

 

 
1

 
1

Total liabilities
$
296

 
$
641

 
$
642

 
$
1,044

 
$
484

 
$
517

(1) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three months ended March 31, 2015 and 2014, 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.
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 March 31, 2015 and December 31, 2014.

Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2015
 
December 31, 2014
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
6,731

 
$
11,392

 
$
18,123

 
$
7,981

 
$
12,391

 
$
20,372

On-balance sheet assets
 
 
 
 
 
 
 
 
 
 
 
Trading account assets
$
1,520

 
$
376

 
$
1,896

 
$
1,575

 
$
355

 
$
1,930

Derivative assets
5

 
298

 
303

 
5

 
284

 
289

Debt securities carried at fair value

 
188

 
188

 

 
483

 
483

Loans and leases
3,261

 
2,413

 
5,674

 
4,020

 
2,693

 
6,713

Allowance for loan and lease losses
(5
)
 

 
(5
)
 
(6
)
 

 
(6
)
Loans held-for-sale
731

 
667

 
1,398

 
1,267

 
814

 
2,081

All other assets
1,629

 
6,239

 
7,868

 
1,641

 
6,374

 
8,015

Total
$
7,141

 
$
10,181

 
$
17,322

 
$
8,502

 
$
11,003

 
$
19,505

On-balance sheet liabilities
 
 
 
 
 
 
 
 
 
 
 
Long-term debt (1)
$
1,845

 
$

 
$
1,845

 
$
1,834

 
$

 
$
1,834

All other liabilities
81

 
2,579

 
2,660

 
105

 
2,643

 
2,748

Total
$
1,926

 
$
2,579

 
$
4,505

 
$
1,939

 
$
2,643

 
$
4,582

Total assets of VIEs
$
7,141

 
$
36,968

 
$
44,109

 
$
8,502

 
$
41,467

 
$
49,969


(1)
Includes $780 million and $705 million of long-term debt at March 31, 2015 and $780 million and $584 million of long-term debt at December 31, 2014 issued by consolidated investment vehicles and customer vehicles, respectively, which has recourse to the general credit of the Corporation.