Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities

Securitizations and Other Variable Interest Entities

9 Months Ended

Sep. 30, 2012

Securitizations and Other Variable Interest Entities [Abstract]

Securitizations And Other Variable Interest Entities Disclosure

NOTE 7 – Securitizations and Other Variable Interest Entities

The Corporation utilizes VIEs in the ordinary course of business to support its own and its customers’ financing and investing needs. The Corporation routinely securitizes loans and debt securities using VIEs as a source of funding for the Corporation and as a means of transferring the economic risk of the loans or debt securities to third parties. The assets are transferred into a trust or other securitization vehicle such that the assets are legally isolated from the creditors of the Corporation and are not available to satisfy its obligations. These assets can only be used to settle obligations of the trust or other securitization vehicle. The Corporation also administers, structures or invests in other VIEs including CDOs, investment vehicles and other entities. For additional information on the Corporation’s utilization of VIEs, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2011 Annual Report on Form 10-K.

The tables within this Note present the assets and liabilities of consolidated and unconsolidated VIEs at September 30, 2012 and December 31, 2011, in situations where the Corporation has continuing involvement with transferred assets or if the Corporation otherwise has a variable interest in the VIE. The tables also present the Corporation’s maximum loss exposure at September 30, 2012 and December 31, 2011 resulting from its involvement with consolidated VIEs and unconsolidated VIEs in which the Corporation holds a variable interest. The Corporation’s maximum loss exposure is based on the unlikely event that all of the assets in the VIEs become worthless and incorporates not only potential losses associated with assets recorded on the Corporation’s Consolidated Balance Sheet but also potential losses associated with off-balance sheet commitments such as unfunded liquidity commitments and other contractual arrangements. The Corporation’s maximum loss exposure does not include losses previously recognized through write-downs of assets.

The Corporation invests in asset-backed securities (ABS) issued by third-party VIEs with which it has no other form of involvement. These securities are included in Note 2 – Trading Account Assets and Liabilities and Note 4 – Securities. In addition, the Corporation uses VIEs such as trust preferred securities trusts in connection with its funding activities. For additional information, see Note 13 – Long-term Debt to the Consolidated Financial Statements of the Corporation's 2011 Annual Report on Form 10-K. The Corporation also uses VIEs in the form of synthetic securitization vehicles to mitigate a portion of the credit risk on its residential mortgage loan portfolio, as described in Note 5 – Outstanding Loans and Leases. The Corporation uses VIEs, such as cash funds managed within Global Wealth & Investment Management, to provide investment opportunities for clients. These VIEs, which are not consolidated by the Corporation, are not included in the tables within this Note.

Except as described below and in Note 8 – Securitizations and Other Variable Interest Entities to the Consolidated Financial Statements of the Corporation's 2011 Annual Report on Form 10-K, the Corporation did not provide financial support to consolidated or unconsolidated VIEs during the three and nine months ended September 30, 2012 or the year ended December 31, 2011 that it was not previously contractually required to provide, nor does it intend to do so.

Mortgage-related Securitizations

First-lien Mortgages

As part of its mortgage banking activities, the Corporation securitizes a portion of the first-lien residential mortgage loans it originates or purchases from third parties, generally in the form of MBS guaranteed by government-sponsored enterprises, FNMA and FHLMC (collectively the GSEs), or GNMA in the case of Federal Housing Administration (FHA)-insured and U.S. Department of Veterans Affairs (VA)-guaranteed mortgage loans. Securitization usually occurs in conjunction with or shortly after loan closing or purchase. In addition, the Corporation may, from time to time, securitize commercial mortgages it originates or purchases from other entities. The Corporation typically services the loans it securitizes. Further, the Corporation may retain beneficial interests in the securitization trusts including senior and subordinate securities and equity tranches issued by the trusts. Except as described below and in Note 8 – Representations and Warranties Obligations and Corporate Guarantees, the Corporation does not provide guarantees or recourse to the securitization trusts other than standard representations and warranties.

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2012 and 2011.



First-lien Mortgage Securitizations
	Residential Mortgage
	Agency						Non-Agency				Commercial Mortgage
	Three Months Ended September 30
(Dollars in millions)	2012			2011			2012		2011		2012		2011
Cash proceeds from new securitizations ⁽¹⁾	$	12,461		$	31,481		$	—	$	36	$	335	$	1,667
Loss on securitizations, net of hedges ⁽²⁾	(89		)	(281		)	—		—		—		—

	Nine Months Ended September 30
	2012			2011			2012		2011		2012		2011
Cash proceeds from new securitizations ⁽¹⁾	$	27,688		$	128,457		$	—	$	36	$	660	$	3,468
Loss on securitizations, net of hedges ⁽²⁾	(151		)	(336		)	—		—		—		—


⁽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. During the three and nine months ended September 30, 2012, the Corporation recognized $563 million and $1.3 billion of gains on these LHFS compared to $636 million and $2.5 billion for the same periods in 2011, net of hedges.

In addition to cash proceeds as reported in the table above, the Corporation received securities with an initial fair value of $1 million and $22 million in connection with first-lien mortgage securitizations, principally residential agency securitizations, for the three and nine months ended September 30, 2012, and $91 million and $546 million for the same periods in 2011. All of these securities were initially classified as Level 2 assets within the fair value hierarchy. During the three and nine months ended September 30, 2012 and 2011, there were no changes to the initial classification.

The Corporation recognizes consumer MSRs from the sale or securitization of first-lien mortgage loans. Servicing fee and ancillary fee income on consumer mortgage loans serviced, including securitizations where the Corporation has continuing involvement, were $1.1 billion and $3.6 billion during the three and nine months ended September 30, 2012 compared to $1.4 billion and $4.5 billion for the same periods in 2011. Servicing advances on consumer mortgage loans, including securitizations where the Corporation has continuing involvement, were $23.7 billion and $26.0 billion at September 30, 2012 and December 31, 2011. The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. During the three and nine months ended September 30, 2012, $2.5 billion and $5.2 billion of loans were repurchased from first-lien securitization trusts as a result of loan delinquencies or in order to perform modifications compared to $447 million and $8.1 billion for the same periods in 2011. The majority of these loans repurchased were FHA-insured mortgages collateralizing GNMA securities. In addition, the Corporation has retained commercial MSRs from the sale or securitization of commercial mortgage loans. Servicing advances on commercial mortgage loans, including securitizations where the Corporation has continuing involvement, were $177 million and $152 million at September 30, 2012 and December 31, 2011. For additional information on MSRs, see Note 18 – Mortgage Servicing Rights.

The table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



First-lien VIEs
	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2012			December 31 2011			September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012		December 31 2011
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	32,493		$	37,519		$	2,141	$	2,375	$	280	$	289	$	395	$	506	$	728	$	981
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	314		$	8,744		$	8	$	94	$	7	$	3	$	2	$	343	$	10	$	21
AFS debt securities	28,271			28,775			1,467		2,001		202		174		130		163		589		846
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		3		30		—		—		25		3
AFS debt securities	—			—			22		26		10		30		—		—		—		—
Residual interests held	—			—			13		8		—		9		—		—		41		43
All other assets	3,908			—			72		—		1		—		263		—		—		—
Total retained positions	$	32,493		$	37,519		$	1,582	$	2,129	$	223	$	246	$	395	$	506	$	665	$	913
Principal balance outstanding ⁽³⁾	$	881,359		$	1,198,766		$	50,297	$	61,207	$	60,870	$	73,949	$	84,342	$	101,622	$	57,718	$	76,645

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	48,065		$	50,648		$	101	$	450	$	406	$	419	$	—	$	—	$	—	$	—
On-balance sheet assets
Loans and leases	$	47,417		$	50,159		$	294	$	1,298	$	907	$	892	$	—	$	—	$	—	$	—
Allowance for loan and lease losses	(4		)	(6		)	—		—		—		—		—		—		—		—
Loans held-for-sale	—			—			—		—		670		622		—		—		—		—
All other assets	652			495			4		63		51		59		—		—		—		—
Total assets	$	48,065		$	50,648		$	298	$	1,361	$	1,628	$	1,573	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Other short-term borrowings	$	—		$	—		$	—	$	—	$	687	$	650	$	—	$	—	$	—	$	—
Long-term debt	—			—			220		1,360		921		911		—		—		—		—
All other liabilities	—			—			—		—		—		57		—		—		—		—
Total liabilities	$	—		$	—		$	220	$	1,360	$	1,608	$	1,618	$	—	$	—	$	—	$	—


⁽¹⁾	Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and MSRs. For more information, see Note 8 – Representations and Warranties Obligations and Corporate Guarantees and Note 18 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2012 and 2011, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽³⁾	Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.

During the nine months ended September 30, 2012, the Corporation deconsolidated several prime residential mortgage trusts with total assets of $1.2 billion following the transfer of servicing to a third party.

Home Equity Loans

The Corporation retains interests in home equity securitization trusts to which it transferred home equity loans. These retained interests include senior and subordinate securities and residual interests. In addition, the Corporation may be obligated to provide subordinate funding to the trusts during a rapid amortization event. The Corporation also services the loans in the trusts. Except as described below and in Note 8 – Representations and Warranties Obligations and Corporate Guarantees, the Corporation does not provide guarantees or recourse to the securitization trusts other than standard representations and warranties. There were no securitizations of home equity loans during the three and nine months ended September 30, 2012 and 2011. All of the home equity trusts have entered the rapid amortization phase, and accordingly, there were no collections reinvested in revolving period securitizations for the three and nine months ended September 30, 2012 and 2011.

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Home Equity Loan VIEs
	September 30, 2012								December 31, 2011
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	2,120		$	6,949	$	9,069		$	2,672		$	7,563	$	10,235
On-balance sheet assets
Trading account assets	$	—		$	4	$	4		$	—		$	5	$	5
AFS debt securities	—			14		14			—			13		13
Loans and leases	2,303			—		2,303			2,975			—		2,975
Allowance for loan and lease losses	(183		)	—		(183		)	(303		)	—		(303		)
Total	$	2,120		$	18	$	2,138		$	2,672		$	18	$	2,690
On-balance sheet liabilities
Long-term debt	$	2,476		$	—	$	2,476		$	3,081		$	—	$	3,081
All other liabilities	85			—		85			66			—		66
Total	$	2,561		$	—	$	2,561		$	3,147		$	—	$	3,147
Principal balance outstanding	$	2,303		$	13,148	$	15,451		$	2,975		$	14,422	$	17,397


⁽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.

Included in the table above are consolidated and unconsolidated home equity loan securitizations that have entered a rapid amortization period and for which the Corporation is obligated to provide subordinated funding. During this period, cash payments from borrowers are accumulated to repay outstanding debt securities and the Corporation continues to make advances to borrowers when they draw on their lines of credit. For additional information, see Note 8 – Securitizations and Other Variable Interest Entities to the Consolidated Financial Statements of the Corporation's 2011 Annual Report on Form 10-K. At September 30, 2012 and December 31, 2011, home equity loan securitization transactions in rapid amortization for which the Corporation has a subordinated funding obligation, including both consolidated and unconsolidated trusts, had $9.4 billion and $10.7 billion of trust certificates outstanding. This amount is significantly greater than the amount the Corporation expects to fund. The charges that will ultimately be recorded as a result of the rapid amortization events depend on the undrawn available credit on the home equity lines, which totaled $297 million and $460 million at September 30, 2012 and December 31, 2011, as well as performance of the loans, the amount of subsequent draws and the timing of related cash flows. At September 30, 2012 and December 31, 2011, the reserve for losses on expected future draw obligations on the home equity loan securitizations in rapid amortization for which the Corporation has a subordinated funding obligation was $57 million and $69 million.

The Corporation has consumer MSRs from the sale or securitization of home equity loans. The Corporation recorded $14 million and $45 million of servicing fee income related to home equity loan securitizations during the three and nine months ended September 30, 2012 compared to $16 million and $49 million for the same periods in 2011. The Corporation repurchased $22 million and $60 million of loans from home equity securitization trusts in order to perform modifications during the three and nine months ended September 30, 2012 compared to $6 million and $11 million for the same periods in 2011.

Credit Card Securitizations

The Corporation securitizes originated and purchased credit card loans. The Corporation’s continuing involvement with the securitization trusts includes servicing the receivables, retaining an undivided interest (seller’s interest) in the receivables, and holding certain retained interests including senior and subordinate securities, discount receivables, subordinate interests in accrued interest and fees on the securitized receivables, and cash reserve accounts. The seller’s interest in the trusts, which is pari passu to the investors’ interest, and the discount receivables are classified in loans and leases.

The table below summarizes select information related to credit card securitization trusts in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Credit Card VIEs
(Dollars in millions)	September 30 2012			December 31 2011
Consolidated VIEs
Maximum loss exposure	$	40,070		$	38,282
On-balance sheet assets
Derivative assets	$	355		$	788
Loans and leases ⁽¹⁾	66,294			74,793
Allowance for loan and lease losses	(3,616		)	(4,742		)
Loans held-for-sale	550			—
All other assets ⁽²⁾	927			723
Total	$	64,510		$	71,562
On-balance sheet liabilities
Other short-term borrowings	$	232		$	—
Long-term debt	24,125			33,076
All other liabilities	83			204
Total	$	24,440		$	33,280
Trust loans	$	66,844		$	74,793


⁽¹⁾	At September 30, 2012 and December 31, 2011, loans and leases included $31.1 billion and $28.7 billion of seller’s interest and $240 million and $1.0 billion of discount receivables.


⁽²⁾	At September 30, 2012 and December 31, 2011, all other assets included restricted cash and short-term investment accounts and unbilled accrued interest and fees.

The Corporation holds subordinate securities with a notional principal amount of $10.4 billion and a stated interest rate of zero percent issued by certain credit card securitization trusts. In addition, during 2010 and 2009, the Corporation elected to designate a specified percentage of new receivables transferred to the trusts as “discount receivables” such that principal collections thereon are added to finance charges which increases the yield in the trust. Through the designation of newly transferred receivables as discount receivables, the Corporation subordinated a portion of its seller's interest to the investors' interest. These actions were taken to address the decline in the excess spread of the U.S. and U.K. credit card securitization trusts.

During the nine months ended September 30, 2012, the Corporation transferred $553 million of credit card receivables to a third- party sponsored securitization vehicle. The Corporation holds the senior interest in the vehicle and services the receivables. Accordingly, the Corporation is the primary beneficiary and consolidates the vehicle.

Other Asset-backed Securitizations

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 September 30, 2012 and December 31, 2011.



Other Asset-backed VIEs
	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012			December 31 2011
Unconsolidated VIEs
Maximum loss exposure	$	21,596	$	31,140	$	3,388	$	3,752	$	90		$	93
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	1,715	$	2,595	$	72	$	228	$	—		$	—
AFS debt securities	19,707		27,616		—		—		78			81
Subordinate securities held ^{(1, 2)}:
AFS debt securities	77		544		—		—		—			—
Residual interests held ⁽³⁾	97		385		—		—		—			—
All other assets	—		—		—		—		12			12
Total retained positions	$	21,596	$	31,140	$	72	$	228	$	90		$	93
Total assets of VIEs ⁽⁴⁾	$	45,810	$	60,459	$	5,299	$	5,964	$	2,117		$	668

Consolidated VIEs
Maximum loss exposure	$	557	$	—	$	2,867	$	3,901	$	1,268		$	1,087
On-balance sheet assets
Trading account assets	$	1,385	$	—	$	2,867	$	3,901	$	—		$	—
Loans and leases	—		—		—		—		3,007			4,923
Allowance for loan and lease losses	—		—		—		—		(3		)	(7		)
All other assets	—		—		—		—		313			168
Total assets	$	1,385	$	—	$	2,867	$	3,901	$	3,317		$	5,084
On-balance sheet liabilities
Other short-term borrowings	$	—	$	—	$	2,761	$	5,127	$	—		$	—
Long-term debt	828		—		—		—		2,046			3,992
All other liabilities	—		—		—		—		102			90
Total liabilities	$	828	$	—	$	2,761	$	5,127	$	2,148		$	4,082


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2012 and 2011, 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.

Resecuritization Trusts

The Corporation transfers existing securities, typically MBS, into resecuritization vehicles at the request of customers seeking securities with specific characteristics. The Corporation may also resecuritize securities within its investment portfolio for purposes of improving liquidity and capital, and managing credit or interest rate risk. Generally, there are no significant ongoing activities performed in a resecuritization trust and no single investor has the unilateral ability to liquidate the trust.

The Corporation resecuritized $12.2 billion and $36.5 billion of securities during the three and nine months ended September 30, 2012 compared to $4.2 billion and $28.3 billion for the same periods in 2011. All of the securities transferred into resecuritization vehicles during the three and nine months ended September 30, 2012 were classified as trading account assets. As such, changes in fair value were recorded in trading account profits prior to the resecuritization and no gain or loss on sale was recorded. Gains on sale of $173 million and $909 million were recorded during the three and nine months ended September 30, 2011. The Corporation consolidates a resecuritization trust if it has sole discretion over the design of the trust, including the identification of securities to be transferred in and the structure of securities to be issued, and also retains a variable interest that could potentially be significant to the trust. If one or a limited number of third-party investors share responsibility for the design of the trust and purchase a significant portion of securities, including subordinate securities issued by non-agency trusts, the Corporation does not consolidate the trust.

Municipal Bond Trusts

The Corporation administers municipal bond trusts that hold highly-rated, long-term, fixed-rate municipal bonds. A majority of the bonds are rated AAA or AA and some benefit from insurance provided by third parties. The trusts obtain financing by issuing floating-rate trust certificates that reprice on a weekly or other basis to third-party investors. The Corporation may serve as remarketing agent and/or liquidity provider for the trusts. The floating-rate investors have the right to tender the certificates at specified dates, often with as little as seven days’ notice. Should the Corporation be unable to remarket the tendered certificates, it is generally obligated to purchase them at par under standby liquidity facilities unless the bond’s credit rating has declined below investment-grade or there has been an event of default or bankruptcy of the issuer and insurer.

The Corporation also provides credit enhancement to investors in certain municipal bond trusts whereby the Corporation guarantees the payment of interest and principal on floating-rate certificates issued by these trusts in the event of default by the issuer of the underlying municipal bond. If a customer holds the residual interest in a trust, that customer typically has the unilateral ability to liquidate the trust at any time, while the Corporation typically has the ability to trigger the liquidation of that trust if the market value of the bonds held in the trust declines below a specified threshold. This arrangement is designed to limit market losses to an amount that is less than the customer’s residual interest, effectively preventing the Corporation from absorbing losses incurred on assets held within that trust.

During the three and nine months ended September 30, 2012, the Corporation was the transferor of assets into unconsolidated municipal bond trusts and received cash proceeds from new securitizations of $69 million and $268 million compared to $182 million and $597 million for the same periods in 2011. At September 30, 2012 and December 31, 2011, the principal balance outstanding for unconsolidated municipal bond securitization trusts for which the Corporation was transferor was $2.2 billion and $2.5 billion.

The Corporation’s liquidity commitments to unconsolidated municipal bond trusts, including those for which the Corporation was transferor, totaled $3.3 billion and $3.5 billion at September 30, 2012 and December 31, 2011. The weighted-average remaining life of bonds held in the trusts at September 30, 2012 was 8.8 years. There were no material write-downs or downgrades of assets or issuers during the three and nine months ended September 30, 2012 and 2011.

Automobile and Other Securitization Trusts

The Corporation transfers automobile and other loans into securitization trusts, typically to improve liquidity or manage credit risk. During the nine months ended September 30, 2012, the Corporation transferred automobile loans into an unconsolidated automobile trust, receiving cash proceeds of $2.4 billion and recording a loss on sale of $7 million. At September 30, 2012, the Corporation serviced assets or otherwise had continuing involvement with automobile and other securitization trusts with outstanding balances of $5.4 billion, including trusts collateralized by automobile loans of $4.1 billion, student loans of $1.0 billion and other loans of $303 million. At December 31, 2011, the Corporation serviced assets or otherwise had continuing involvement with automobile and other securitization trusts with outstanding balances of $5.8 billion, including trusts collateralized by automobile loans of $3.9 billion, student loans of $1.2 billion and other loans of $668 million.

Collateralized Debt Obligation Vehicles

CDO vehicles hold diversified pools of fixed-income securities, typically corporate debt or ABS, which they fund by issuing multiple tranches of debt and equity securities. Synthetic CDOs enter into a portfolio of CDS to synthetically create exposure to fixed-income securities. CLOs, which are a subset of CDOs, hold pools of loans, typically corporate loans or commercial mortgages. CDOs are typically managed by third-party portfolio managers. The Corporation transfers assets to these CDOs, holds securities issued by the CDOs and may be a derivative counterparty to the CDOs, including a CDS counterparty for synthetic CDOs. The Corporation has also entered into total return swaps with certain CDOs whereby the Corporation absorbs the economic returns generated by specified assets held by the CDO. The Corporation receives fees for structuring CDOs and providing liquidity support for super senior tranches of securities issued by certain CDOs. No third parties provide a significant amount of similar commitments to these CDOs.

The table below summarizes select information related to CDO vehicles in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



CDO Vehicle VIEs
	September 30, 2012						December 31, 2011
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	2,212	$	1,563	$	3,775	$	1,695	$	2,272	$	3,967
On-balance sheet assets
Trading account assets	$	2,025	$	312	$	2,337	$	1,392	$	461	$	1,853
Derivative assets	187		380		567		452		678		1,130
All other assets	—		79		79		—		96		96
Total	$	2,212	$	771	$	2,983	$	1,844	$	1,235	$	3,079
On-balance sheet liabilities
Derivative liabilities	$	—	$	7	$	7	$	—	$	11	$	11
Long-term debt	2,839		2		2,841		2,712		2		2,714
Total	$	2,839	$	9	$	2,848	$	2,712	$	13	$	2,725
Total assets of VIEs	$	2,212	$	27,648	$	29,860	$	1,844	$	32,903	$	34,747

The Corporation’s maximum loss exposure of $3.8 billion at September 30, 2012 included $187 million of super senior CDO exposure, $2.2 billion of exposure to CDO financing facilities and $1.4 billion of other non-super senior exposure. This exposure is calculated on a gross basis and does not reflect any benefit from insurance purchased from third parties. The CDO financing facilities, which are consolidated, obtain funding from third parties for CDO positions which are principally classified in trading account assets on the Corporation’s Consolidated Balance Sheet. The CDO financing facilities’ long-term debt at September 30, 2012 totaled $2.8 billion, all of which has recourse to the general credit of the Corporation. For unconsolidated CDO vehicles in the table above, the Corporation’s maximum loss exposure is significantly less than the total assets of the VIEs because the Corporation typically has exposure to only a portion of the total assets.

At September 30, 2012, the Corporation had $1.6 billion of aggregate liquidity exposure to CDOs. This amount includes $116 million of commitments to CDOs to provide funding for super senior exposures and $1.5 billion notional amount of derivative contracts with unconsolidated VIEs, principally CDO vehicles, which hold non-super senior CDO debt securities or other debt securities on the Corporation’s behalf. See Note 10 – Commitments and Contingencies for additional information. The Corporation's liquidity exposure to CDOs at September 30, 2012 is included in the table above to the extent that the Corporation sponsored the CDO vehicle or the liquidity exposure is more than insignificant compared to total assets of the CDO vehicle. Liquidity exposure included in the table is reported net of previously recorded losses.

Customer Vehicles

Customer vehicles include credit-linked and equity-linked note vehicles, repackaging vehicles and asset acquisition vehicles, which are typically created on behalf of customers who wish to obtain market or credit exposure to a specific company or financial instrument.

The table below summarizes select information related to customer vehicles in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Customer Vehicle VIEs
	September 30, 2012						December 31, 2011
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	2,632	$	1,960	$	4,592	$	3,264	$	2,116	$	5,380
On-balance sheet assets
Trading account assets	$	3,666	$	283	$	3,949	$	3,302	$	211	$	3,513
Derivative assets	—		659		659		—		905		905
Loans and leases	176		—		176		—		—		—
Loans held-for-sale	838		—		838		907		—		907
All other assets	798		—		798		1,452		—		1,452
Total	$	5,478	$	942	$	6,420	$	5,661	$	1,116	$	6,777
On-balance sheet liabilities
Derivative liabilities	$	24	$	51	$	75	$	4	$	42	$	46
Other short-term borrowings	192		—		192		—		—		—
Long-term debt	3,796		—		3,796		3,912		—		3,912
All other liabilities	1		431		432		1		448		449
Total	$	4,013	$	482	$	4,495	$	3,917	$	490	$	4,407
Total assets of VIEs	$	5,478	$	4,571	$	10,049	$	5,661	$	5,302	$	10,963

Credit-linked and equity-linked note vehicles issue notes which pay a return that is linked to the credit or equity risk of a specified company or debt instrument. The vehicles purchase high-grade assets as collateral and enter into CDS or equity derivatives to synthetically create the credit or equity risk to pay the specified return on the notes. The Corporation is typically the counterparty for some or all of the credit and equity derivatives and, to a lesser extent, it may invest in securities issued by the vehicles. The Corporation may also enter into interest rate or foreign currency derivatives with the vehicles. The Corporation also had other liquidity commitments, including written put options and collateral value guarantees, with unconsolidated credit-linked and equity-linked note vehicles of $745 million and $824 million at September 30, 2012 and December 31, 2011.

Repackaging vehicles issue notes that are designed to incorporate risk characteristics desired by customers. The vehicles hold debt instruments such as corporate bonds, convertible bonds or ABS with the desired credit risk profile. The Corporation enters into derivatives with the vehicles to change the interest rate or foreign currency profile of the debt instruments. If a vehicle holds convertible bonds and the Corporation retains the conversion option, the Corporation is deemed to have a controlling financial interest and consolidates the vehicle.

Asset acquisition vehicles acquire financial instruments, typically loans, at the direction of a single customer and obtain funding through the issuance of structured liabilities to the Corporation. At the time the vehicle acquires an asset, the Corporation enters into total return swaps with the customer such that the economic returns of the asset are passed through to the customer. The Corporation is exposed to counterparty credit risk if the asset declines in value and the customer defaults on its obligation to the Corporation under the total return swaps. The Corporation’s risk may be mitigated by collateral or other arrangements. The Corporation consolidates these vehicles because it has the power to manage the assets in the vehicles and holds all of the structured liabilities issued by the vehicles.

The Corporation’s maximum loss exposure from customer vehicles includes the notional amount of credit or equity derivatives to which the Corporation is a counterparty, net of losses previously recorded, and the Corporation’s investment, if any, in securities issued by the vehicles. It has not been reduced to reflect the benefit of offsetting swaps with the customers or collateral arrangements.

Other Variable Interest Entities

Other consolidated VIEs primarily include investment vehicles and leveraged lease trusts. Other unconsolidated VIEs primarily include investment vehicles and real estate vehicles.

The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Other VIEs
	September 30, 2012								December 31, 2011
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated			Total
Maximum loss exposure	$	5,704		$	6,933	$	12,637		$	7,429		$	7,286		$	14,715
On-balance sheet assets
Trading account assets	$	16		$	—	$	16		$	—		$	—		$	—
Derivative assets	4			432		436			394			440			834
AFS debt securities	—			43		43			—			62			62
Loans and leases	4,645			215		4,860			5,154			357			5,511
Allowance for loan and lease losses	(5		)	—		(5		)	(8		)	(1		)	(9		)
Loans held-for-sale	107			426		533			106			598			704
All other assets	1,009			5,813		6,822			1,809			5,823			7,632
Total	$	5,776		$	6,929	$	12,705		$	7,455		$	7,279		$	14,734
On-balance sheet liabilities
Derivative liabilities	$	—		$	9	$	9		$	—		$	—		$	—
Long-term debt	804			—		804			10			—			10
All other liabilities	330			1,818		2,148			694			1,705			2,399
Total	$	1,134		$	1,827	$	2,961		$	704		$	1,705		$	2,409
Total assets of VIEs	$	5,776		$	10,451	$	16,227		$	7,455		$	11,055		$	18,510

Investment Vehicles

The Corporation sponsors, invests in or provides financing to a variety of investment vehicles that hold loans, real estate, debt securities or other financial instruments and are designed to provide the desired investment profile to investors or the Corporation. At September 30, 2012 and December 31, 2011, the Corporation’s consolidated investment vehicles had total assets of $1.2 billion and $2.6 billion. The Corporation also held investments in unconsolidated vehicles with total assets of $4.8 billion and $5.5 billion at September 30, 2012 and December 31, 2011. The Corporation’s maximum loss exposure associated with both consolidated and unconsolidated investment vehicles totaled $2.5 billion and $4.4 billion at September 30, 2012 and December 31, 2011 comprised primarily of on-balance sheet assets less non-recourse liabilities.

Leveraged Lease Trusts

The Corporation’s net investment in consolidated leveraged lease trusts totaled $4.5 billion and $4.8 billion at September 30, 2012 and December 31, 2011. The trusts hold long-lived equipment such as rail cars, power generation and distribution equipment, and commercial aircraft. The Corporation structures the trusts and holds a significant residual interest. The net investment represents the Corporation’s maximum loss exposure to the trusts in the unlikely event that the leveraged lease investments become worthless. Debt issued by the leveraged lease trusts is non-recourse to the Corporation. The Corporation has no liquidity exposure to these leveraged lease trusts.

Real Estate Vehicles

The Corporation held investments in unconsolidated real estate vehicles of $5.5 billion and $5.4 billion at September 30, 2012 and December 31, 2011, which primarily consisted of investments in unconsolidated limited partnerships that finance the construction and rehabilitation of affordable rental housing and commercial real estate. An unrelated third party is typically the general partner and has control over the significant activities of the partnership. The Corporation earns a return primarily through the receipt of tax credits allocated to the real estate projects. The Corporation’s risk of loss is mitigated by policies requiring that the project qualify for the expected tax credits prior to making its investment. The Corporation may from time to time be asked to invest additional amounts to support a troubled project. Such additional investments have not been and are not expected to be significant.

Other Asset-backed Financing Arrangements

The Corporation transferred pools of securities to certain independent third parties and provided financing for up to 75 percent of the purchase price under asset-backed financing arrangements. At September 30, 2012 and December 31, 2011, the Corporation’s maximum loss exposure under these financing arrangements was $3.9 billion and $4.7 billion, substantially all of which were classified as loans on the Corporation’s Consolidated Balance Sheet. All principal and interest payments have been received when due in accordance with their contractual terms. These arrangements are not included in the Other VIEs table because the purchasers are not VIEs.