Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v3.22.2
Securitizations and Other Variable Interest Entities (Tables)
6 Months Ended
Jun. 30, 2022
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 six months ended June 30, 2022 and 2021.
First-lien Mortgage Securitizations
 
Residential Mortgage - Agency Commercial Mortgage
Three Months Ended June 30 Six Months Ended June 30 Three Months Ended June 30 Six Months Ended June 30
(Dollars in millions) 2022 2021 2022 2021 2022 2021 2022 2021
Proceeds from loan sales (1)
$ 1,419  $ 1,652  $ 3,741  $ 2,895  $ 1,988  $ 2,175  $ 4,416  $ 2,840 
Gains on securitizations (2)
  8  13  31  26  64 
Repurchases from securitization trusts (3)
9  98  25  178    —    — 
(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the government-sponsored enterprises (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 $10 million and $30 million net of hedges, during the three and six months ended June 30, 2022 and compared to $40 million and $73 million for the same periods in 2021, 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 table below summarizes select information related to home equity, credit card and other asset-backed VIEs in which the Corporation held a variable interest at June 30, 2022 and December 31, 2021.
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
Home Equity (1)
Credit Card (2)
Resecuritization Trusts Municipal Bond Trusts
(Dollars in millions) June 30
2022
December 31
2021
June 30
2022
December 31
2021
June 30
2022
December 31
2021
June 30
2022
December 31
2021
Unconsolidated VIEs            
Maximum loss exposure $ 130  $ 152  $   $ —  $ 5,799  $ 6,089  $ 3,379  $ 4,094 
On-balance sheet assets            
Securities (3):
           
Trading account assets $   $ —  $   $ —  $ 1,599  $ 1,030  $   $ — 
Debt securities carried at fair value
1    —  1,467  1,903    — 
Held-to-maturity securities   —    —  2,733  3,156    — 
Total retained positions $ 1  $ $   $ —  $ 5,799  $ 6,089  $   $ — 
Total assets of VIEs $ 366  $ 430  $   $ —  $ 14,993  $ 18,633  $ 3,907  $ 4,655 
Consolidated VIEs            
Maximum loss exposure $ 38  $ 45  $ 8,937  $ 10,279  $ 149  $ 680  $ 155  $ 210 
On-balance sheet assets            
Trading account assets $   $ —  $   $ —  $ 156  $ 686  $ 63  $ 122 
Loans and leases 116  140  13,981  14,434    —    — 
Allowance for loan and lease losses
13  14  (843) (970)   —    — 
All other assets 2  59  70    —  92  88 
Total assets $ 131  $ 157  $ 13,197  $ 13,534  $ 156  $ 686  $ 155  $ 210 
On-balance sheet liabilities            
Short-term borrowings
$   $ —  $   $ —  $   $ —  $ 133  $ 196 
Long-term debt 94  113  4,248  3,248  7    — 
All other liabilities   —  12    —    — 
Total liabilities $ 94  $ 113  $ 4,260  $ 3,255  $ 7  $ $ 133  $ 196 
(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 June 30, 2022 and December 31, 2021, loans and leases in the consolidated credit card trust included $2.7 billion and $4.3 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 June 30, 2022 and December 31, 2021.
First-lien Mortgage VIEs
Residential Mortgage    
      Non-agency    
  Agency Prime Subprime Alt-A Commercial Mortgage
(Dollars in millions) June 30
2022
December 31
2021
June 30
2022
December 31
2021
June 30
2022
December 31
2021
June 30
2022
December 31
2021
June 30
2022
December 31
2021
Unconsolidated VIEs                    
Maximum loss exposure (1)
$ 9,881  $ 11,600  $ 108  $ 121  $ 807  $ 908  $ 15  $ 14  $ 1,496  $ 1,445 
On-balance sheet assets
                   
Senior securities:
                   
Trading account assets
$ 213  $ 175  $ 3  $ $ 37  $ 44  $ 13  $ 12  $ 25  $ 21 
Debt securities carried at fair value
3,542  5,009    —  455  537    —    — 
Held-to-maturity securities
6,126  6,416    —    —    —  1,268  1,157 
All other assets   —  3  34  29  2  59  93 
Total retained positions
$ 9,881  $ 11,600  $ 6  $ 11  $ 526  $ 610  $ 15  $ 14  $ 1,352  $ 1,271 
Principal balance outstanding (2)
$ 85,819  $ 93,142  $ 4,251  $ 4,710  $ 5,471  $ 6,179  $ 12,279  $ 13,627  $ 84,991  $ 85,540 
Consolidated VIEs                    
Maximum loss exposure (1)
$ 1,648  $ 1,644  $   $ 49  $ 89  $ —  $   $ —  $   $ — 
On-balance sheet assets
                   
Trading account assets
$ 1,648  $ 1,644  $   $ —  $ 89  $ —  $   $ —  $   $ — 
Loans and leases, net   —    58    —    —    — 
Total assets $ 1,648  $ 1,644  $   $ 58  $ 89  $ —  $   $ —  $   $ — 
Total liabilities $   $ —  $   $ $   $ —  $   $ —  $   $ — 
(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 June 30, 2022 and December 31, 2021.
Other VIEs
Consolidated Unconsolidated Total Consolidated Unconsolidated Total
(Dollars in millions) June 30, 2022 December 31, 2021
Maximum loss exposure $ 2,241  $ 29,021  $ 31,262  $ 4,819  $ 27,790  $ 32,609 
On-balance sheet assets            
Trading account assets $ 338  $ 562  $ 900  $ 2,552  $ 626  $ 3,178 
Debt securities carried at fair value   7  7  — 
Loans and leases 2,073  83  2,156  2,503  47  2,550 
Allowance for loan and lease losses (2) (12) (14) (2) (12) (14)
All other assets 24  27,911  27,935  28  26,628  26,656 
Total $ 2,433  $ 28,551  $ 30,984  $ 5,081  $ 27,296  $ 32,377 
On-balance sheet liabilities            
Short-term borrowings $ 32  $   $ 32  $ 51  $ —  $ 51 
Long-term debt 160    160  211  —  211 
All other liabilities   7,132  7,132  —  6,548  6,548 
Total $ 192  $ 7,132  $ 7,324  $ 262  $ 6,548  $ 6,810 
Total assets of VIEs $ 2,433  $ 93,885  $ 96,318  $ 5,081  $ 92,249  $ 97,330