Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Details)

v2.3.0.15
Securitizations and Other Variable Interest Entities (Details) (USD $)
In Millions
 3 Months Ended 9 Months Ended 3 Months Ended 9 Months Ended 3 Months Ended 9 Months Ended 3 Months Ended 9 Months Ended 3 Months Ended 9 Months Ended 3 Months Ended 9 Months Ended
Sep. 30, 2011
Jun. 30, 2011
Dec. 31, 2010
Sep. 30, 2010
Jun. 30, 2010
Dec. 31, 2009
Sep. 30, 2011
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Senior securities held [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Senior securities held [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Subordinate securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Subordinate securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Subordinate securities held [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Subordinate securities held [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Total Consolidated VIEs [Member]
Dec. 31, 2010
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Total Consolidated VIEs [Member]
Sep. 30, 2011
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Other Asset-backed Securitizations [Member]
Municipal Bonds [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Municipal Bonds [Member]
Sep. 30, 2010
Municipal Bonds [Member]
Sep. 30, 2011
Municipal Bonds [Member]
Sep. 30, 2010
Municipal Bonds [Member]
Sep. 30, 2011
Senior securities held [Member]
Agency [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Senior securities held [Member]
Agency [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Senior securities held [Member]
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Senior securities held [Member]
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Senior securities held [Member]
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Senior securities held [Member]
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Senior securities held [Member]
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Senior securities held [Member]
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Senior securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Senior securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subordinate securities held [Member]
Agency [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subordinate securities held [Member]
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Subordinate securities held [Member]
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subordinate securities held [Member]
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Subordinate securities held [Member]
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subordinate securities held [Member]
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Subordinate securities held [Member]
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subordinate securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Subordinate securities held [Member]
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Agency [Member]
Sep. 30, 2010
Agency [Member]
Sep. 30, 2011
Agency [Member]
Sep. 30, 2010
Agency [Member]
Dec. 31, 2010
Agency [Member]
Sep. 30, 2011
Agency [Member]
Total Consolidated VIEs [Member]
Dec. 31, 2010
Agency [Member]
Total Consolidated VIEs [Member]
Sep. 30, 2011
Agency [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Agency [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Prime Loan [Member]
Sep. 30, 2010
Prime Loan [Member]
Sep. 30, 2011
Prime Loan [Member]
Sep. 30, 2010
Prime Loan [Member]
Dec. 31, 2010
Prime Loan [Member]
Sep. 30, 2011
Prime Loan [Member]
Total Consolidated VIEs [Member]
Dec. 31, 2010
Prime Loan [Member]
Total Consolidated VIEs [Member]
Sep. 30, 2011
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Prime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Subprime Loan [Member]
Sep. 30, 2010
Subprime Loan [Member]
Sep. 30, 2011
Subprime Loan [Member]
Sep. 30, 2010
Subprime Loan [Member]
Dec. 31, 2010
Subprime Loan [Member]
Sep. 30, 2011
Subprime Loan [Member]
Total Consolidated VIEs [Member]
Dec. 31, 2010
Subprime Loan [Member]
Total Consolidated VIEs [Member]
Sep. 30, 2011
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Subprime Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Alternative Loan [Member]
Sep. 30, 2011
Alternative Loan [Member]
Sep. 30, 2010
Alternative Loan [Member]
Dec. 31, 2010
Alternative Loan [Member]
Sep. 30, 2011
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Alternative Loan [Member]
Total Unconsolidated VIEs [Member]
Sep. 30, 2011
Non-agency commercial [Member]
Sep. 30, 2010
Non-agency commercial [Member]
Sep. 30, 2011
Non-agency commercial [Member]
Sep. 30, 2010
Non-agency commercial [Member]
Sep. 30, 2011
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Dec. 31, 2010
Non-agency commercial [Member]
Total Unconsolidated VIEs [Member]
Mortgage-related Securitizations                                                                                                                                                            
Cash proceeds from new securitizations                                 $ 182 $ 226 $ 597 $ 1,000                                       $ 31,481 [1] $ 61,727 [1] $ 128,457 [1] $ 192,936 [1]                                               $ 36 $ 36 $ 3 [1]       $ 1,667 $ 934 [1] $ 3,468 $ 3,317 [1]    
Gain (loss) on securitizations, net of hedges                                                                               (281) [2] (336) [2] (336) [2] (787) [2]                                                             (22) [2]   0 [2]    
Cash flows received on residual interests                                                                                                 1 4 2 15           10 13 32 45           5 6 2       4 5 11 15    
Selected information related to first-lien mortgage securitization trusts in which Corporation holds variable interest                                                                                                                                                            
Maximum loss exposure                         4,587 4,716 3,779 4,261                                                         50,152 [3] 32,746 [3] 41,855 [3] 46,093 [3]           616 [3] 46 [3] 2,342 [3] 2,794 [3]           420 [3] 42 [3] 442 [3] 416 [3]         533 [3] 651 [3]         1,210 [3] 1,199 [3]
On-balance sheet assets                                                                                                                                                            
Trading account assets 176,398   194,671       341 [4],[5] 255 [4],[5]     0 [4],[5] 0 [4],[5] 4,587 4,716             9,220 [4] 10,693 [4] 106 [4] 147 [4] 91 [4] 126 [4] 357 [4] 645 [4] 104 [4] 146 [4]       4 [4] 12 [4]     9 [4] 8 [4]                                                                              
AFS debt securities 324,267   337,627       0 [4],[5] 0 [4],[5]     0 [4],[5] 0 [4],[5]                 32,623 [4] 35,400 [4] 2,138 [4] 2,593 [4] 187 [4] 234 [4] 176 [4]   958 [4] 984 [4]   28 [4] 39 [4] 31 [4] 35 [4] 0 [4] 6 [4]                                                                                  
Loans and leases 932,531   940,440                   0 0                                                             49,826 32,563               3,790                 951                              
Allowance for loan and lease losses (35,082) (37,312) (41,885) (43,581) (45,255) (47,988)             0 0                                                             (32) (37)                                                                
Residual interests held                             0 [6] 0 [6]                             12 16 6 16 9     67 61                                                                              
Loans held-for-sale                                                                                                                             655 732                            
All other assets 151,247   182,124           0 0     0 0 0 0                                 9                       358 220               348 46               31 16                            
Total retained positions                             341 255                                                             41,855 46,093               2,288 2,794               329 416         533 651         1,138 1,199
Total assets 2,219,628 [7]   2,264,909 2,339,660 [7]                 4,587 4,716                                                             50,152 32,746               4,138 46               1,637 748                            
Principal balance outstanding                                                                               1,281,647 [8]   1,281,647 [8]   1,297,159 [8]         64,291 [8]   64,291 [8]   75,762 [8]         79,983 [8]   79,983 [8]   92,710 [8]         105,345 [8] 105,345 [8]   116,233 [8]             74,647 [8] 73,597 [8]
On-balance sheet liabilities                                                                                                                                                            
Long-term debt 398,965   448,431                   0 0                                                                               4,137                 961                              
All other liabilities                         0 0                                                             0 3                 9               736 768                            
Total liabilities $ 1,989,376   $ 2,036,661                   $ 5,501 $ 4,921                                                             $ 0 $ 3               $ 4,137 $ 9               $ 1,697 $ 768                            
[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, 2011, the Corporation recognized $636 million and $2.5 billion of gains on these LHFS compared to $1.3 billion and $3.8 billion for the same periods in 2010, net of hedges.
[3] 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 9 – Representations and Warranties Obligations and Corporate Guarantees and Note 19 – Mortgage Servicing Rights.
[4] As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities.
[5] The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).
[6] The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy).
[7] There were no material intersegment revenues.
[8] Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.