Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.20.2
Securitizations and Other Variable Interest Entities (Tables)
9 Months Ended
Sep. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Mortgage Related Securitizations The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2020 and 2019.
First-lien Mortgage Securitizations
 
Residential Mortgage - Agency Commercial Mortgage
Three Months Ended September 30 Nine Months Ended September 30 Three Months Ended September 30 Nine Months Ended September 30
(Dollars in millions) 2020 2019 2020 2019 2020 2019 2020 2019
Proceeds from loan sales (1)
$ 1,698  $ 2,718  $ 14,625  $ 6,020  $ 945  $ 1,360  $ 3,237  $ 4,541 
Gains (losses) on securitizations (2)
3  724  23  17  28  57  73 
Repurchases from securitization trusts (3)
68  209  363  695    —    — 
(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the GSEs or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives residential mortgage-backed securities in exchange. Substantially all of these securities are classified as Level 2 within the fair value hierarchy and are typically sold shortly after receipt.
(2)A majority of the first-lien residential mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled $44 million and $105 million, net of hedges, during the three and nine months ended September 30, 2020 compared to $19 million and $38 million for the same periods in 2019, are not included in the table above.
(3)The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. The Corporation may also repurchase loans from securitization trusts to perform modifications. Repurchased loans include FHA-insured mortgages collateralizing GNMA securities.
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
The following table summarizes select information related to home equity, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2020 and December 31, 2019.
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
Home Equity (1)
Credit Card (2)
Resecuritization Trusts Municipal Bond Trusts
(Dollars in millions) Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Unconsolidated VIEs            
Maximum loss exposure $ 329  $ 412  $   $ —  $ 9,201  $ 7,526  $ 3,320  $ 3,701 
On-balance sheet assets            
Securities (3):
           
Trading account assets $   $ —  $   $ —  $ 1,009  $ 2,188  $ 3  $ — 
Debt securities carried at fair value
9  11    —  2,990  1,126    — 
Held-to-maturity securities   —    —  5,202  4,212    — 
Total retained positions $ 9  $ 11  $   $ —  $ 9,201  $ 7,526  $ 3  $ — 
Total assets of VIEs $ 804  $ 1,023  $   $ —  $ 18,811  $ 21,234  $ 3,835  $ 4,395 
Consolidated VIEs            
Maximum loss exposure $ 62  $ 64  $ 14,770  $ 17,915  $ 265  $ 54  $ 1,246  $ 2,656 
On-balance sheet assets            
Trading account assets $   $ —  $   $ —  $ 265  $ 73  $ 1,206  $ 2,480 
Loans and leases 122  122  21,793  26,985    —    — 
Allowance for loan and lease losses
15  (2) (1,824) (800)   —    — 
All other assets 3  93  119    —  40  176 
Total assets $ 140  $ 123  $ 20,062  $ 26,304  $ 265  $ 73  $ 1,246  $ 2,656 
On-balance sheet liabilities            
Short-term borrowings
$   $ —  $   $ —  $   $ —  $ 714  $ 2,175 
Long-term debt 78  64  5,273  8,372    19    — 
All other liabilities   —  19  17    —    — 
Total liabilities $ 78  $ 64  $ 5,292  $ 8,389  $   $ 19  $ 714  $ 2,175 
(1)For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the reserve for representations and warranties obligations and corporate guarantees. For more information, see Note 10 – Commitments and Contingencies.
(2)At September 30, 2020 and December 31, 2019, loans and leases in the consolidated credit card trust included $9.0 billion and $10.5 billion of seller’s interest.
(3)The retained senior securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
First Lien Mortgages  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities The following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2020 and December 31, 2019.
First-lien Mortgage VIEs
Residential Mortgage    
      Non-agency    
  Agency Prime Subprime Alt-A Commercial Mortgage
(Dollars in millions) Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Sep 30
2020
December 31
2019
Unconsolidated VIEs                    
Maximum loss exposure (1)
$ 14,199  $ 12,554  $ 286  $ 340  $ 1,440  $ 1,622  $ 167  $ 98  $ 1,138  $ 1,036 
On-balance sheet assets
                   
Senior securities:
                   
Trading account assets
$ 152  $ 627  $ 9  $ $ 8  $ 54  $ 102  $ 24  $ 60  $ 65 
Debt securities carried at fair value
8,337  6,392  156  193  1,071  1,178  64  72    — 
Held-to-maturity securities
5,710  5,535    —    —    —  887  809 
All other assets   —  6  31  49  1  61  38 
Total retained positions
$ 14,199  $ 12,554  $ 171  $ 200  $ 1,110  $ 1,281  $ 167  $ 98  $ 1,008  $ 912 
Principal balance outstanding (2)
$ 144,735  $ 160,226  $ 6,555  $ 7,268  $ 6,928  $ 8,594  $ 17,478  $ 19,878  $ 57,832  $ 60,129 
Consolidated VIEs                    
Maximum loss exposure (1)
$ 611  $ 10,857  $   $ $ 63  $ 44  $   $ —  $   $ — 
On-balance sheet assets
                   
Trading account assets
$ 611  $ 780  $ 86  $ 116  $ 260  $ 149  $   $ —  $   $ — 
Loans and leases, net   9,917    —    —    —    — 
All other assets   161    —  2  —    —    — 
Total assets $ 611  $ 10,858  $ 86  $ 116  $ 262  $ 149  $   $ —  $   $ — 
Total liabilities $   $ $ 86  $ 111  $ 199  $ 105  $   $ —  $   $ — 
(1)Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but excludes the reserve for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For more information, see Note 10 – Commitments and Contingencies and Note 14 – Fair Value Measurements.
(2)Principal balance outstanding includes loans where the Corporation was the transferor to securitization VIEs with which it has continuing involvement, which may include servicing the loans.
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 September 30, 2020 and December 31, 2019.
Other VIEs
Consolidated Unconsolidated Total Consolidated Unconsolidated Total
(Dollars in millions) September 30, 2020 December 31, 2019
Maximum loss exposure $ 4,162  $ 26,192  $ 30,354  $ 4,055  $ 26,326  $ 30,381 
On-balance sheet assets            
Trading account assets $ 2,064  $ 601  $ 2,665  $ 2,213  $ 549  $ 2,762 
Debt securities carried at fair value   74  74  —  74  74 
Loans and leases 2,179  3,036  5,215  1,810  3,214  5,024 
Allowance for loan and lease losses (3) (182) (185) (2) (38) (40)
All other assets 53  21,957  22,010  81  20,547  20,628 
Total $ 4,293  $ 25,486  $ 29,779  $ 4,102  $ 24,346  $ 28,448 
On-balance sheet liabilities            
Short-term borrowings $ 25  $   $ 25  $ —  $ —  $ — 
Long-term debt 106    106  46  —  46 
All other liabilities   5,383  5,383  5,087  5,089 
Total $ 131  $ 5,383  $ 5,514  $ 48  $ 5,087  $ 5,135 
Total assets of VIEs $ 4,293  $ 105,922  $ 110,215  $ 4,102  $ 98,491  $ 102,593