Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.21.1
Securitizations and Other Variable Interest Entities (Tables)
3 Months Ended
Mar. 31, 2021
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 months ended March 31, 2021 and 2020.
First-lien Mortgage Securitizations
 
Residential Mortgage - Agency Commercial Mortgage
Three Months Ended March 31
(Dollars in millions) 2021 2020 2021 2020
Proceeds from loan sales (1)
$ 1,243  $ 1,552  $ 665  $ 2,072 
Gains on securitizations (2)
2  33  41 
Repurchases from securitization trusts (3)
80  128    — 
(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the Government-sponsored enterprise (GSEs) or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives RMBS 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 $33 million and $27 million net of hedges, during the three months ended March 31, 2021 and 2020, respectively, 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 March 31, 2021 and December 31, 2020.
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
Home Equity (1)
Credit Card (2)
Resecuritization Trusts Municipal Bond Trusts
(Dollars in millions) March 31
2021
December 31
2020
March 31
2021
December 31
2020
March 31
2021
December 31
2020
March 31
2021
December 31
2020
Unconsolidated VIEs            
Maximum loss exposure $ 193  $ 206  $   $ —  $ 7,532  $ 8,543  $ 3,569  $ 3,507 
On-balance sheet assets            
Securities (3):
           
Trading account assets $   $ —  $   $ —  $ 638  $ 948  $   $ — 
Debt securities carried at fair value
2    —  2,500  2,727    — 
Held-to-maturity securities   —    —  4,394  4,868    — 
Total retained positions $ 2  $ $   $ —  $ 7,532  $ 8,543  $   $ — 
Total assets of VIEs $ 557  $ 609  $   $ —  $ 16,056  $ 17,250  $ 4,115  $ 4,042 
Consolidated VIEs            
Maximum loss exposure $ 55  $ 58  $ 12,111  $ 14,606  $ 377  $ 217  $ 565  $ 1,030 
On-balance sheet assets            
Trading account assets $   $ —  $   $ —  $ 381  $ 217  $ 525  $ 990 
Loans and leases 201  218  16,798  21,310    —    — 
Allowance for loan and lease losses
15  14  (1,273) (1,704)   —    — 
All other assets 4  1,295  1,289    —  40  40 
Total assets $ 220  $ 236  $ 16,820  $ 20,895  $ 381  $ 217  $ 565  $ 1,030 
On-balance sheet liabilities            
Short-term borrowings
$   $ —  $   $ —  $   $ —  $ 301  $ 432 
Long-term debt 165  178  4,698  6,273  4  —    — 
All other liabilities   —  11  16    —    — 
Total liabilities $ 165  $ 178  $ 4,709  $ 6,289  $ 4  $ —  $ 301  $ 432 
(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 March 31, 2021 and December 31, 2020, loans and leases in the consolidated credit card trust included $5.0 billion and $7.6 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 table below summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at March 31, 2021 and December 31, 2020.
First-lien Mortgage VIEs
Residential Mortgage    
      Non-agency    
  Agency Prime Subprime Alt-A Commercial Mortgage
(Dollars in millions) March 31
2021
December 31
2020
March 31
2021
December 31
2020
March 31
2021
December 31
2020
March 31
2021
December 31
2020
March 31
2021
December 31
2020
Unconsolidated VIEs                    
Maximum loss exposure (1)
$ 12,823  $ 13,477  $ 230  $ 250  $ 1,021  $ 1,031  $ 54  $ 46  $ 1,210  $ 1,169 
On-balance sheet assets
                   
Senior securities:
                   
Trading account assets
$ 193  $ 152  $ 2  $ $ 20  $ $ 21  $ 12  $ 6  $ 60 
Debt securities carried at fair value
6,925  7,588  95  103  658  676  32  33    — 
Held-to-maturity securities
5,705  5,737    —    —    —  981  925 
All other assets   —  6  27  26  1  77  50 
Total retained positions
$ 12,823  $ 13,477  $ 103  $ 111  $ 705  $ 710  $ 54  $ 46  $ 1,064  $ 1,035 
Principal balance outstanding (2)
$ 123,941  $ 133,497  $ 5,723  $ 6,081  $ 6,369  $ 6,691  $ 15,884  $ 16,554  $ 71,605  $ 59,268 
Consolidated VIEs                    
Maximum loss exposure (1)
$ 1,018  $ 1,328  $ 6  $ 66  $ 53  $ 53  $   $ —  $   $ — 
On-balance sheet assets
                   
Trading account assets
$ 1,018  $ 1,328  $ 88  $ 350  $ 253  $ 260  $   $ —  $   $ — 
All other assets   —    —  1  —    —    — 
Total assets $ 1,018  $ 1,328  $ 88  $ 350  $ 254  $ 260  $   $ —  $   $ — 
Total liabilities $   $ —  $ 82  $ 284  $ 201  $ 207  $   $ —  $   $ — 
(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 March 31, 2021 and December 31, 2020.
Other VIEs
Consolidated Unconsolidated Total Consolidated Unconsolidated Total
(Dollars in millions) March 31, 2021 December 31, 2020
Maximum loss exposure $ 4,483  $ 24,276  $ 28,759  $ 4,106  $ 23,870  $ 27,976 
On-balance sheet assets            
Trading account assets $ 2,265  $ 611  $ 2,876  $ 2,080  $ 623  $ 2,703 
Debt securities carried at fair value   9  9  — 
Loans and leases 2,347  225  2,572  2,108  184  2,292 
Allowance for loan and lease losses (3) (10) (13) (3) (3) (6)
All other assets 47  22,948  22,995  54  22,553  22,607 
Total $ 4,656  $ 23,783  $ 28,439  $ 4,239  $ 23,366  $ 27,605 
On-balance sheet liabilities            
Short-term borrowings $ 37  $   $ 37  $ 22  $ —  $ 22 
Long-term debt 136    136  111  —  111 
All other liabilities   5,616  5,616  —  5,658  5,658 
Total $ 173  $ 5,616  $ 5,789  $ 133  $ 5,658  $ 5,791 
Total assets of VIEs $ 4,656  $ 80,929  $ 85,585  $ 4,239  $ 77,984  $ 82,223