Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

Variable Interest Entity [Line Items]

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2012 and 2011.



First-lien Mortgage Securitizations
	Residential Mortgage
	Agency						Non-Agency				Commercial Mortgage
	Three Months Ended September 30
(Dollars in millions)	2012			2011			2012		2011		2012		2011
Cash proceeds from new securitizations ⁽¹⁾	$	12,461		$	31,481		$	—	$	36	$	335	$	1,667
Loss on securitizations, net of hedges ⁽²⁾	(89		)	(281		)	—		—		—		—

	Nine Months Ended September 30
	2012			2011			2012		2011		2012		2011
Cash proceeds from new securitizations ⁽¹⁾	$	27,688		$	128,457		$	—	$	36	$	660	$	3,468
Loss on securitizations, net of hedges ⁽²⁾	(151		)	(336		)	—		—		—		—


⁽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, 2012, the Corporation recognized $563 million and $1.3 billion of gains on these LHFS compared to $636 million and $2.5 billion for the same periods in 2011, net of hedges.

First Lien Mortgages [Member]

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 September 30, 2012 and December 31, 2011.



First-lien VIEs
	Residential Mortgage
							Non-Agency
	Agency						Prime				Subprime				Alt-A				Commercial Mortgage
(Dollars in millions)	September 30 2012			December 31 2011			September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012		December 31 2011
Unconsolidated VIEs
Maximum loss exposure ⁽¹⁾	$	32,493		$	37,519		$	2,141	$	2,375	$	280	$	289	$	395	$	506	$	728	$	981
On-balance sheet assets
Senior securities held ⁽²⁾:
Trading account assets	$	314		$	8,744		$	8	$	94	$	7	$	3	$	2	$	343	$	10	$	21
AFS debt securities	28,271			28,775			1,467		2,001		202		174		130		163		589		846
Subordinate securities held ⁽²⁾:
Trading account assets	—			—			—		—		3		30		—		—		25		3
AFS debt securities	—			—			22		26		10		30		—		—		—		—
Residual interests held	—			—			13		8		—		9		—		—		41		43
All other assets	3,908			—			72		—		1		—		263		—		—		—
Total retained positions	$	32,493		$	37,519		$	1,582	$	2,129	$	223	$	246	$	395	$	506	$	665	$	913
Principal balance outstanding ⁽³⁾	$	881,359		$	1,198,766		$	50,297	$	61,207	$	60,870	$	73,949	$	84,342	$	101,622	$	57,718	$	76,645

Consolidated VIEs
Maximum loss exposure ⁽¹⁾	$	48,065		$	50,648		$	101	$	450	$	406	$	419	$	—	$	—	$	—	$	—
On-balance sheet assets
Loans and leases	$	47,417		$	50,159		$	294	$	1,298	$	907	$	892	$	—	$	—	$	—	$	—
Allowance for loan and lease losses	(4		)	(6		)	—		—		—		—		—		—		—		—
Loans held-for-sale	—			—			—		—		670		622		—		—		—		—
All other assets	652			495			4		63		51		59		—		—		—		—
Total assets	$	48,065		$	50,648		$	298	$	1,361	$	1,628	$	1,573	$	—	$	—	$	—	$	—
On-balance sheet liabilities
Other short-term borrowings	$	—		$	—		$	—	$	—	$	687	$	650	$	—	$	—	$	—	$	—
Long-term debt	—			—			220		1,360		921		911		—		—		—		—
All other liabilities	—			—			—		—		—		57		—		—		—		—
Total liabilities	$	—		$	—		$	220	$	1,360	$	1,608	$	1,618	$	—	$	—	$	—	$	—


⁽¹⁾	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 8 – Representations and Warranties Obligations and Corporate Guarantees and Note 18 – Mortgage Servicing Rights.


⁽²⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2012 and 2011, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽³⁾	Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans.

Home Equity [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to home equity loan securitization trusts in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Home Equity Loan VIEs
	September 30, 2012								December 31, 2011
(Dollars in millions)	Consolidated VIEs			Unconsolidated VIEs		Total			Consolidated VIEs			Unconsolidated VIEs		Total
Maximum loss exposure ⁽¹⁾	$	2,120		$	6,949	$	9,069		$	2,672		$	7,563	$	10,235
On-balance sheet assets
Trading account assets	$	—		$	4	$	4		$	—		$	5	$	5
AFS debt securities	—			14		14			—			13		13
Loans and leases	2,303			—		2,303			2,975			—		2,975
Allowance for loan and lease losses	(183		)	—		(183		)	(303		)	—		(303		)
Total	$	2,120		$	18	$	2,138		$	2,672		$	18	$	2,690
On-balance sheet liabilities
Long-term debt	$	2,476		$	—	$	2,476		$	3,081		$	—	$	3,081
All other liabilities	85			—		85			66			—		66
Total	$	2,561		$	—	$	2,561		$	3,147		$	—	$	3,147
Principal balance outstanding	$	2,303		$	13,148	$	15,451		$	2,975		$	14,422	$	17,397


⁽¹⁾	For unconsolidated VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves, and excludes the liability for representations and warranties obligations and corporate guarantees.

Credit Card Receivable [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to credit card securitization trusts in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Credit Card VIEs
(Dollars in millions)	September 30 2012			December 31 2011
Consolidated VIEs
Maximum loss exposure	$	40,070		$	38,282
On-balance sheet assets
Derivative assets	$	355		$	788
Loans and leases ⁽¹⁾	66,294			74,793
Allowance for loan and lease losses	(3,616		)	(4,742		)
Loans held-for-sale	550			—
All other assets ⁽²⁾	927			723
Total	$	64,510		$	71,562
On-balance sheet liabilities
Other short-term borrowings	$	232		$	—
Long-term debt	24,125			33,076
All other liabilities	83			204
Total	$	24,440		$	33,280
Trust loans	$	66,844		$	74,793


⁽¹⁾	At September 30, 2012 and December 31, 2011, loans and leases included $31.1 billion and $28.7 billion of seller’s interest and $240 million and $1.0 billion of discount receivables.


⁽²⁾	At September 30, 2012 and December 31, 2011, all other assets included restricted cash and short-term investment accounts and unbilled accrued interest and fees.

Collateralized Securities, Other [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

Other asset-backed securitizations include resecuritization trusts, municipal bond trusts, and automobile and other securitization trusts. The table below summarizes select information related to other asset-backed securitizations in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Other Asset-backed VIEs
	Resecuritization Trusts				Municipal Bond Trusts				Automobile and Other Securitization Trusts
(Dollars in millions)	September 30 2012		December 31 2011		September 30 2012		December 31 2011		September 30 2012			December 31 2011
Unconsolidated VIEs
Maximum loss exposure	$	21,596	$	31,140	$	3,388	$	3,752	$	90		$	93
On-balance sheet assets
Senior securities held ^{(1, 2)}:
Trading account assets	$	1,715	$	2,595	$	72	$	228	$	—		$	—
AFS debt securities	19,707		27,616		—		—		78			81
Subordinate securities held ^{(1, 2)}:
AFS debt securities	77		544		—		—		—			—
Residual interests held ⁽³⁾	97		385		—		—		—			—
All other assets	—		—		—		—		12			12
Total retained positions	$	21,596	$	31,140	$	72	$	228	$	90		$	93
Total assets of VIEs ⁽⁴⁾	$	45,810	$	60,459	$	5,299	$	5,964	$	2,117		$	668

Consolidated VIEs
Maximum loss exposure	$	557	$	—	$	2,867	$	3,901	$	1,268		$	1,087
On-balance sheet assets
Trading account assets	$	1,385	$	—	$	2,867	$	3,901	$	—		$	—
Loans and leases	—		—		—		—		3,007			4,923
Allowance for loan and lease losses	—		—		—		—		(3		)	(7		)
All other assets	—		—		—		—		313			168
Total assets	$	1,385	$	—	$	2,867	$	3,901	$	3,317		$	5,084
On-balance sheet liabilities
Other short-term borrowings	$	—	$	—	$	2,761	$	5,127	$	—		$	—
Long-term debt	828		—		—		—		2,046			3,992
All other liabilities	—		—		—		—		102			90
Total liabilities	$	828	$	—	$	2,761	$	5,127	$	2,148		$	4,082


⁽¹⁾	As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and nine months ended September 30, 2012 and 2011, there were no OTTI losses recorded on those securities classified as AFS debt securities.


⁽²⁾	The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


⁽³⁾	The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy).


⁽⁴⁾	Total assets include loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loan.

Collateralized Debt Obligations [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to CDO vehicles in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



CDO Vehicle VIEs
	September 30, 2012						December 31, 2011
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	2,212	$	1,563	$	3,775	$	1,695	$	2,272	$	3,967
On-balance sheet assets
Trading account assets	$	2,025	$	312	$	2,337	$	1,392	$	461	$	1,853
Derivative assets	187		380		567		452		678		1,130
All other assets	—		79		79		—		96		96
Total	$	2,212	$	771	$	2,983	$	1,844	$	1,235	$	3,079
On-balance sheet liabilities
Derivative liabilities	$	—	$	7	$	7	$	—	$	11	$	11
Long-term debt	2,839		2		2,841		2,712		2		2,714
Total	$	2,839	$	9	$	2,848	$	2,712	$	13	$	2,725
Total assets of VIEs	$	2,212	$	27,648	$	29,860	$	1,844	$	32,903	$	34,747

Customer Vehicles [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities

The table below summarizes select information related to customer vehicles in which the Corporation held a variable interest at September 30, 2012 and December 31, 2011.



Customer Vehicle VIEs
	September 30, 2012						December 31, 2011
(Dollars in millions)	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum loss exposure	$	2,632	$	1,960	$	4,592	$	3,264	$	2,116	$	5,380
On-balance sheet assets
Trading account assets	$	3,666	$	283	$	3,949	$	3,302	$	211	$	3,513
Derivative assets	—		659		659		—		905		905
Loans and leases	176		—		176		—		—		—
Loans held-for-sale	838		—		838		907		—		907
All other assets	798		—		798		1,452		—		1,452
Total	$	5,478	$	942	$	6,420	$	5,661	$	1,116	$	6,777
On-balance sheet liabilities
Derivative liabilities	$	24	$	51	$	75	$	4	$	42	$	46
Other short-term borrowings	192		—		192		—		—		—
Long-term debt	3,796		—		3,796		3,912		—		3,912
All other liabilities	1		431		432		1		448		449
Total	$	4,013	$	482	$	4,495	$	3,917	$	490	$	4,407
Total assets of VIEs	$	5,478	$	4,571	$	10,049	$	5,661	$	5,302	$	10,963

Other Variable Interest Entity Investment Vehicle [Member]

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, 2012 and December 31, 2011.



Other VIEs
	September 30, 2012								December 31, 2011
(Dollars in millions)	Consolidated			Unconsolidated		Total			Consolidated			Unconsolidated			Total
Maximum loss exposure	$	5,704		$	6,933	$	12,637		$	7,429		$	7,286		$	14,715
On-balance sheet assets
Trading account assets	$	16		$	—	$	16		$	—		$	—		$	—
Derivative assets	4			432		436			394			440			834
AFS debt securities	—			43		43			—			62			62
Loans and leases	4,645			215		4,860			5,154			357			5,511
Allowance for loan and lease losses	(5		)	—		(5		)	(8		)	(1		)	(9		)
Loans held-for-sale	107			426		533			106			598			704
All other assets	1,009			5,813		6,822			1,809			5,823			7,632
Total	$	5,776		$	6,929	$	12,705		$	7,455		$	7,279		$	14,734
On-balance sheet liabilities
Derivative liabilities	$	—		$	9	$	9		$	—		$	—		$	—
Long-term debt	804			—		804			10			—			10
All other liabilities	330			1,818		2,148			694			1,705			2,399
Total	$	1,134		$	1,827	$	2,961		$	704		$	1,705		$	2,409
Total assets of VIEs	$	5,776		$	10,451	$	16,227		$	7,455		$	11,055		$	18,510

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 810

-SubTopic 10

-Section 50

-Paragraph 9

-URI http://asc.fasb.org/extlink&oid=6970148&loc=SL6228884-111685

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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-URI http://asc.fasb.org/extlink&oid=6528138

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 167

-Appendix D

-Paragraph 23A

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name FASB Interpretation (FIN)

-Number 46R

-Paragraph 2, 14, 15, 16, 23, 24, 25, 26

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 167

-Appendix D

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Reference 6: http://www.xbrl.org/2003/role/presentationRef

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-Name Accounting Standards Codification

-Topic 810

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Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 167

-Appendix D

-Paragraph 22B

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name FASB Interpretation (FIN)

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-Paragraph 4

-Subparagraph g

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name FASB Staff Position (FSP)

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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Reference 12: http://www.xbrl.org/2003/role/presentationRef

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-Name Accounting Standards Codification

-Topic 810

-SubTopic 10

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-Paragraph 3

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Reference 13: http://www.xbrl.org/2003/role/presentationRef

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-Publisher FASB

-Name Accounting Standards Codification

-Topic 810

-SubTopic 10

-Section 50

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-URI http://asc.fasb.org/extlink&oid=6970148&loc=d3e5747-111685

+ Details