XML 58 R39.htm IDEA: XBRL DOCUMENT v3.5.0.2
Securitizations and Other Variable Interest Entities (Tables)
12 Months Ended
Dec. 31, 2015
Variable Interest Entity [Line Items]  
Mortgage Related Securitizations
The table below summarizes select information related to first-lien mortgage securitizations for 2015 and 2014.
 
 
 
 
 
 
 
 
 
First-lien Mortgage Securitizations
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 
 
Agency
 
Non-agency - Subprime
 
Commercial Mortgage
(Dollars in millions)
2015
2014
 
2015
2014
 
2015
2014
Cash proceeds from new securitizations (1)
$
27,164

$
36,905

 
$

$
809

 
$
7,945

$
5,710

Gain on securitizations (2)
894

371

 

49

 
49

68

(1) 
The Corporation transfers residential mortgage loans to securitizations sponsored by the GSEs or GNMA in the normal course of business and receives RMBS in exchange which may then be sold into the market to third-party investors for cash proceeds.
(2) 
A majority of the first-lien residential and commercial 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 $750 million and $715 million, net of hedges, during 2015 and 2014, are not included in the table above.
Schedule of Variable Interest Entities
The table below summarizes select information related to home equity loan, credit card and other asset-backed VIEs in which the Corporation held a variable interest at December 31, 2015 and 2014.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Home Equity Loan, Credit Card and Other Asset-backed VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Home Equity Loan (1)
 
Credit Card (2, 3)
 
Resecuritization Trusts
 
Municipal Bond Trusts
 
Automobile and Other Securitization Trusts
 
December 31
(Dollars in millions)
2015
2014
 
2015
2014
 
2015
2014
 
2015
2014
 
2015
2014
Unconsolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Maximum loss exposure
$
3,988

$
4,801

 
$

$

 
$
13,046

$
8,574

 
$
1,572

$
2,100

 
$
63

$
77

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Senior securities held (4, 5):
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Trading account assets
$

$
12

 
$

$

 
$
1,248

$
767

 
$
2

$
25

 
$

$
6

Debt securities carried at fair value


 


 
4,341

6,945

 


 
53

61

Held-to-maturity securities


 


 
7,370

745

 


 


Subordinate securities held (4, 5):
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Trading account assets

2

 


 
17

44

 


 


Debt securities carried at fair value
57

39

 


 
70

73

 


 


All other assets


 


 


 


 
10

10

Total retained positions
$
57

$
53

 
$

$

 
$
13,046

$
8,574

 
$
2

$
25

 
$
63

$
77

Total assets of VIEs (6)
$
5,883

$
6,362

 
$

$

 
$
35,362

$
28,065

 
$
2,518

$
3,314

 
$
314

$
1,276

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Maximum loss exposure
$
231

$
991

 
$
32,678

$
43,139

 
$
354

$
654

 
$
1,973

$
2,440

 
$

$
92

On-balance sheet assets
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Trading account assets
$

$

 
$

$

 
$
771

$
1,295

 
$
1,984

$
2,452

 
$

$

Loans and leases
321

1,014

 
43,194

53,068

 


 


 


Allowance for loan and lease losses
(18
)
(56
)
 
(1,293
)
(1,904
)
 


 


 


Loans held-for-sale


 


 


 


 

555

All other assets
20

33

 
342

392

 


 
1


 

54

Total assets
$
323

$
991

 
$
42,243

$
51,556

 
$
771

$
1,295

 
$
1,985

$
2,452

 
$

$
609

On-balance sheet liabilities
 

 

 
 
 
 
 

 

 
 

 

 
 

 

Short-term borrowings
$

$

 
$

$

 
$

$

 
$
681

$
1,032

 
$

$

Long-term debt
183

1,076

 
9,550

8,401

 
417

641

 
12

12

 

516

All other liabilities


 
15

16

 


 


 

1

Total liabilities
$
183

$
1,076

 
$
9,565

$
8,417

 
$
417

$
641

 
$
693

$
1,044

 
$

$
517

(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 liability for representations and warranties obligations and corporate guarantees. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees.
(2) 
At December 31, 2015 and 2014, loans and leases in the consolidated credit card trust included $24.7 billion and $36.9 billion of seller’s interest.
(3) 
At December 31, 2015 and 2014, all other assets in the consolidated credit card trust included restricted cash, certain short-term investments, and unbilled accrued interest and fees.
(4) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2015 and 2014, there were no OTTI losses recorded on those securities classified as AFS or HTM 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) 
Total assets include loans the Corporation transferred with which it has continuing involvement, which may include servicing the loan.
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 December 31, 2015 and 2014.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
First-lien Mortgage VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential Mortgage
 
 

 

 
 

 

 
Non-agency
 
 

 

 
Agency
 
Prime
 
Subprime
 
Alt-A
 
Commercial Mortgage
 
December 31
 
December 31
 
December 31
(Dollars in millions)
2015
2014
 
2015
2014
 
2015
2014
 
2015
2014
 
2015
2014
Unconsolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
28,192

$
14,921

 
$
1,027

$
1,288

 
$
2,905

$
3,167

 
$
622

$
710

 
$
326

$
352

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Senior securities held (2):
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
1,297

$
584

 
$
42

$
3

 
$
94

$
14

 
$
99

$
81

 
$
59

$
54

Debt securities carried at fair value
24,369

13,473

 
613

816

 
2,479

2,811

 
340

383

 

76

Held-to-maturity securities
2,511

840

 


 


 


 
37

42

Subordinate securities held (2):
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets


 
1


 
37


 
2

1

 
22

58

Debt securities carried at fair value


 
12

12

 
3

5

 
28


 
54

58

Held-to-maturity securities


 


 


 


 
13

15

Residual interests held


 

10

 


 


 
48

22

All other assets (3)
15

24

 
40

56

 

1

 
153

245

 


Total retained positions
$
28,192

$
14,921

 
$
708

$
897

 
$
2,613

$
2,831

 
$
622

$
710

 
$
233

$
325

Principal balance outstanding (4)
$
313,613

$
397,055

 
$
16,087

$
20,167

 
$
27,854

$
32,592

 
$
40,848

$
50,054

 
$
34,243

$
20,593

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Maximum loss exposure (1)
$
26,878

$
38,345

 
$
65

$
77

 
$
232

$
206

 
$

$

 
$

$

On-balance sheet assets
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Trading account assets
$
1,101

$
1,538

 
$

$

 
$
188

$
30

 
$

$

 
$

$

Loans and leases
25,328

36,187

 
111

130

 
675

768

 


 


Allowance for loan and lease losses

(2
)
 


 


 


 


All other assets
449

623

 

6

 
54

15

 


 


Total assets
$
26,878

$
38,346

 
$
111

$
136

 
$
917

$
813

 
$

$

 
$

$

On-balance sheet liabilities
 

 

 
 

 

 
 

 

 
 

 

 
 

 

Long-term debt
$

$
1

 
$
46

$
56

 
$
840

$
770

 
$

$

 
$

$

All other liabilities
1


 

3

 

13

 


 


Total liabilities
$
1

$
1

 
$
46

$
59

 
$
840

$
783

 
$

$

 
$

$

(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 liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For additional information, see Note 7 – Representations and Warranties Obligations and Corporate Guarantees and Note 23 – Mortgage Servicing Rights.
(2) 
As a holder of these securities, the Corporation receives scheduled principal and interest payments. During 2015 and 2014, there were no OTTI losses recorded on those securities classified as AFS debt securities.
(3) 
Not included in the table above are all other assets of $222 million and $635 million, representing the unpaid principal balance of mortgage loans eligible for repurchase from unconsolidated residential mortgage securitization vehicles, principally guaranteed by GNMA, and all other liabilities of $222 million and $635 million, representing the principal amount that would be payable to the securitization vehicles if the Corporation was to exercise the repurchase option, at December 31, 2015 and 2014.
(4) 
Principal balance outstanding includes loans the Corporation transferred 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 December 31, 2015 and 2014.
 
 
 
 
 
 
 
 
 
 
 
 
Other VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31
 
2015
 
2014
(Dollars in millions)
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum loss exposure
$
6,295

 
$
12,916

 
$
19,211

 
$
7,981

 
$
12,391

 
$
20,372

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading account assets
$
2,300

 
$
366

 
$
2,666

 
$
1,575

 
$
355

 
$
1,930

Debt securities carried at fair value

 
126

 
126

 

 
483

 
483

Loans and leases
3,317

 
3,389

 
6,706

 
4,020

 
2,693

 
6,713

Allowance for loan and lease losses
(9
)
 
(23
)
 
(32
)
 
(6
)
 

 
(6
)
Loans held-for-sale
284

 
1,025

 
1,309

 
1,267

 
814

 
2,081

All other assets
664

 
6,925

 
7,589

 
1,646

 
6,658

 
8,304

Total
$
6,556

 
$
11,808

 
$
18,364

 
$
8,502

 
$
11,003

 
$
19,505

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term debt (1)
$
3,025

 
$

 
$
3,025

 
$
1,834

 
$

 
$
1,834

All other liabilities
5

 
2,697

 
2,702

 
105

 
2,643

 
2,748

Total
$
3,030

 
$
2,697

 
$
5,727

 
$
1,939

 
$
2,643

 
$
4,582

Total assets of VIEs
$
6,556

 
$
49,190

 
$
55,746

 
$
8,502

 
$
50,366

 
$
58,868


(1) 
Includes $2.8 billion and $1.4 billion of long-term debt at December 31, 2015 and 2014 issued by other consolidated VIEs, which has recourse to the general credit of the Corporation.