LOANS AND ALLOWANCE FOR CREDIT LOSSES

6 Months Ended

Jun. 30, 2020

Loans and Leases Receivable Disclosure [Abstract]

LOANS AND ALLOWANCE FOR CREDIT LOSSES

LOANS AND ALLOWANCE FOR CREDIT LOSSES

Overall

The Company's LHFI are generally reported at their outstanding principal balances net of any cumulative charge-offs, unamortized deferred fees and costs and unamortized premiums or discounts. Certain LHFI are accounted for at fair value under the FVO. Certain loans are pledged as collateral for borrowings, securitizations, or SPEs. These loans totaled $56.1 billion at June 30, 2020 and $53.9 billion at December 31, 2019.

Loans that the Company intends to sell are classified as LHFS. The LHFS portfolio balance at June 30, 2020 was $5.4 billion, compared to $1.4 billion at December 31, 2019. At June 30, 2020, LHFS included $2.6 billion of loans associated with BSPR and $1.6 billion of prime performing RICs originated for sale. For a discussion on the valuation of LHFS at fair value, see Note 12 to these Condensed Consolidated Financial Statements. Loans under SC’s personal lending platform have been classified as HFS and adjustments to lower of cost or market are recorded through Miscellaneous income, net on the Condensed Consolidated Statements of Operations. As of June 30, 2020, the carrying value of the personal unsecured held for sale portfolio was $1.0 billion. LHFS in the residential mortgage portfolio that were originated with the intent to sell were $241.3 million as of June 30, 2020 and are reported at either estimated fair value (if the FVO is elected) or the lower of cost or fair value.

Interest on loans is credited to income as it is earned. Loan origination fees and certain direct loan origination costs are deferred and recognized as adjustments to interest income in the Condensed Consolidated Statements of Operations over the contractual life of the loan utilizing the interest method. Loan origination costs and fees and premiums and discounts on RICs are deferred and recognized in interest income over their estimated lives using estimated prepayment speeds, which are updated on a monthly basis. At June 30, 2020 and December 31, 2019, accrued interest receivable on the Company's loans was $711.9 million and $497.7 million, respectively.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

Loan and Lease Portfolio Composition

The following presents the composition of gross loans and leases HFI by portfolio and by rate type:

	June 30, 2020				December 31, 2019
(dollars in thousands)	Amount		Percent		Amount		Percent
Commercial LHFI:
CRE loans	$	7,400,780	8.1	%	$	8,468,023	9.1	%
C&I loans	17,664,463		19.3	%	16,534,694		17.8	%
Multifamily loans	8,562,825		9.4	%	8,641,204		9.3	%
Other commercial(2)	7,191,574		7.9	%	7,390,795		8.2	%
Total commercial LHFI	40,819,642		44.7	%	41,034,716		44.4	%
Consumer loans secured by real estate:
Residential mortgages	7,443,130		8.2	%	8,835,702		9.5	%
Home equity loans and lines of credit	4,514,680		4.9	%	4,770,344		5.1	%
Total consumer loans secured by real estate	11,957,810		13.1	%	13,606,046		14.6	%
Consumer loans not secured by real estate:
RICs and auto loans	37,365,398		40.9	%	36,456,747		39.3	%
Personal unsecured loans	881,244		1.0	%	1,291,547		1.4	%
Other consumer(3)	269,737		0.3	%	316,384		0.3	%
Total consumer loans	50,474,189		55.3	%	51,670,724		55.6	%
Total LHFI(1)	$	91,293,831	100.0	%	$	92,705,440	100.0	%
Total LHFI:
Fixed rate	$	61,109,094	66.9	%	$	61,775,942	66.6	%
Variable rate	30,184,737		33.1	%	30,929,498		33.4	%
Total LHFI(1)	$	91,293,831	100.0	%	$	92,705,440	100.0	%

(1)Total LHFI includes deferred loan fees, net of deferred origination costs and unamortized purchase premiums, net of discounts as well as purchase accounting adjustments. These items resulted in a net increase in the loan balances of $3.1 billion and $3.2 billion as of June 30, 2020 and December 31, 2019, respectively.

(2)Other commercial includes CEVF leveraged leases and loans.

(3)Other consumer primarily includes RV and marine loans.

Portfolio segments and classes

GAAP requires that entities disclose information about the credit quality of their financing receivables at disaggregated levels, specifically defined as “portfolio segments” and “classes,” based on management’s systematic methodology for determining the ACL. The Company utilizes similar categorization compared to the financial statement categorization of loans to model and calculate the ACL and track the credit quality, delinquency and impairment status of the underlying loan populations. In disaggregating its financing receivables portfolio, the Company’s methodology begins with the commercial and consumer segments.

The commercial segmentation reflects line of business distinctions. The CRE line of business includes C&I owner-occupied real estate and specialized lending for investment real estate. The Company's allowance methodology further classifies loans in this line of business into construction and non-construction loans; however, the methodology for development and determination of the allowance is generally consistent between the two portfolios. C&I includes non-real estate-related commercial loans. "Multifamily" represents loans for multifamily residential housing units. “Other commercial” includes loans to global customer relationships in Latin America which are not defined as commercial or consumer for regulatory purposes. The remainder of the portfolio primarily represents the CEVF portfolio.

The Company's portfolio classes are substantially the same as its financial statement categorization of loans for consumer loan populations. “Residential mortgages” includes mortgages on residential property, including single family and 1-4 family units. "Home equity loans and lines of credit" include all organic home equity contracts and purchased home equity portfolios. "RICs and auto loans" includes the Company's direct automobile loan portfolios, but excludes RV and marine RICs. "Personal unsecured loans" includes personal revolving loans and credit cards. “Other consumer” includes an acquired portfolio of marine RICs and RV contracts as well as indirect auto loans.

During the six-month periods ended June 30, 2020 and 2019, SC originated $7.3 billion and $5.9 billion, respectively, in Chrysler Capital loans (including the SBNA originations program), which represented 62% and 54%, respectively, of the UPB of SC's total RIC originations (including the SBNA originations program).

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

ACL Rollforward by Portfolio Segment

The ACL is comprised of the ALLL and the reserve for unfunded lending commitments. The activity in the ACL by portfolio segment for the three-month and six-month periods ended June 30, 2020 and 2019 was as follows:

	Three-Month Period Ended June 30, 2020
(in thousands)	Commercial		Consumer		Unallocated		Total
ALLL, beginning of period	$	911,463	$	5,712,273	$	—	$	6,623,736
Credit loss expense on loans	205,488		819,082		—		1,024,570
Charge-offs	(43,446)		(899,773)		—		(943,219)
Recoveries	7,617		400,035		—		407,652
Charge-offs, net of recoveries	(35,829)		(499,738)		—		(535,567)
ALLL, end of period	$	1,081,122	$	6,031,617	$	—	$	7,112,739
Reserve for unfunded lending commitments, beginning of period	$	140,631	$	29,309	$	—	$	169,940
Credit loss expense on unfunded lending commitments	(45,450)		(1,747)		—		(47,197)
Reserve for unfunded lending commitments, end of period	95,181		27,562		—		122,743
Total ACL, end of period	$	1,176,303	$	6,059,179	$	—	$	7,235,482
	Six-Month Period Ended June 30, 2020
(in thousands)	Commercial		Consumer		Unallocated		Total
ALLL, beginning of period	$	399,829	$	3,199,612	$	46,748	$	3,646,189
Day 1: Adjustment to allowance for adoption of ASU 2016-13	151,590		2,431,041		(46,748)		2,535,883
Credit loss expense on loans	608,316		1,534,161		—		2,142,477
Charge-offs	(96,908)		(2,144,486)		—		(2,241,394)
Recoveries	18,295		1,011,289		—		1,029,584
Charge-offs, net of recoveries	(78,613)		(1,133,197)		—		(1,211,810)
ALLL, end of period	$	1,081,122	$	6,031,617	$	—	$	7,112,739
Reserve for unfunded lending commitments, beginning of period	$	85,934	$	5,892	$	—	$	91,826
Day 1: Adjustment to allowance for adoption of ASU 2016-13	10,081		330		—		10,411
Credit loss expense on unfunded lending commitments	(834)		21,340		—		20,506
Reserve for unfunded lending commitments, end of period	95,181		27,562		—		122,743
Total ACL, end of period	$	1,176,303	$	6,059,179	$	—	$	7,235,482

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

	Three-Month Period Ended June 30, 2019
(in thousands)	Commercial		Consumer		Unallocated		Total
ALLL, beginning of period	$	447,991	$	3,348,356	$	46,748	$	3,843,095
Credit loss expense on loans(1)	23,671		439,846		—		463,517
Charge-offs	(36,715)		(1,208,152)		—		(1,244,867)
Recoveries	12,131		709,957		—		722,088
Charge-offs, net of recoveries	(24,584)		(498,195)		—		(522,779)
ALLL, end of period	$	447,078	$	3,290,007	$	46,748	$	3,783,833
Reserve for unfunded lending commitments, beginning of period	$	86,563	$	6,122	$	—	$	92,685
(Recovery of) / Credit loss expense on unfunded lending commitments	(3,218)		(62)		—		(3,280)
Reserve for unfunded lending commitments, end of period	83,345		6,060		—		89,405
Total ACL, end of period	$	530,423	$	3,296,067	$	46,748	$	3,873,238
	Six-Month Period Ended June 30, 2019
(in thousands)	Commercial		Consumer		Unallocated		Total
ALLL, beginning of period	$	441,086	$	3,409,021	$	47,023	$	3,897,130
Credit loss expense on loans(1)	45,644		1,020,899		—		1,066,543
Charge-offs	(60,316)		(2,632,770)		(275)		(2,693,361)
Recoveries	20,664		1,492,857		—		1,513,521
Charge-offs, net of recoveries	(39,652)		(1,139,913)		(275)		(1,179,840)
ALLL, end of period	$	447,078	$	3,290,007	$	46,748	$	3,783,833
Reserve for unfunded lending commitments, beginning of period	$	89,472	$	6,028	$	—	$	95,500
Release of unfunded lending commitments	(6,127)		32		—		(6,095)
Reserve for unfunded lending commitments, end of period	83,345		6,060		—		89,405
Total ACL, end of period	$	530,423	$	3,296,067	$	46,748	$	3,873,238

(1) Credit loss expense includes $20.4 million related to retail installment contracts transferred to held for sale during the three and six months ended June 30, 2019.

The credit risk in the Company’s loan portfolios is driven by credit and collateral quality, and is affected by borrower-specific and economy-wide factors. In general, there is an inverse relationship between the credit quality of loans and projections of impairment losses so that loans with better credit quality require a lower expected loss. The Company manages this risk through its underwriting, pricing strategies, credit policy standards, and servicing guidelines and practices, as well as the application of geographic and other concentration limits.

The Company estimates life-time expected losses based on prospective information as well as account-level models based on historical data. Unemployment, HPI, and used vehicle index growth rates, along with loan level characteristics, are the key inputs used in the models for prediction of the likelihood that the borrower will default in the forecasted period (the PD). The used vehicle index is also used to estimate the loss in the event of default. The historic volume of loan deferrals provided to customers impacted by COVID-19 has driven positive trends in delinquencies and severity (charge-offs) in the quarter, however, the inclusion of key loan characteristics as inputs to the models (including number of extensions) and management’s evaluation of qualitative factors ensure the allowance is appropriate.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

The Company has determined the reasonable and supportable period to be three years, at which time the economic forecasts generally tend to revert to historical averages. The Company utilizes qualitative factors to capture any additional risks that may not be captured in either the economic forecasts or in the historical data. The Company generally uses a third party vendor's consensus baseline macroeconomic scenario for the quantitative estimate and additional positive and negative macroeconomic scenarios to make qualitative adjustment for macroeconomic uncertainty. The baseline scenario was based on the latest consensus forecasts available which show a steep decline in key variables in this quarter, including a sharp increase in unemployment rates (which are a key driver to losses), followed by a recovery in the second half of the year, supported by reopening of the economy and government stimulus. The scenarios are periodically updated over a reasonable and supportable time horizon, with weightings assigned by management and approved through established committee governance.

To capture potential additional default risk as well as potential decreases in collateral resulting from COVID-19, for the three-month period ended June 30, 2020, the Company adjusted the ACL as follows:

•For RICs, the Company adjusted the ACL using the latest consensus forecasts available which show a steep decline in key variables in this quarter, including a sharp increase in unemployment rates (which are a key driver to losses), followed by a recovery in the second half of the year, supported by reopening of the economy and government stimulus.

•For other portfolios, in addition to the pandemic-specific economic forecast, the Company considered other specific portfolio characteristics, to determine an appropriate ACL.

The Company’s allowance for loan losses increased $489.0 million and increased $3.5 billion for the three-month and six-month periods ended June 30, 2020, respectively. For the three months ended June 30, 2020, the increase was primarily due to a reserve build associated with a weaker economic outlook related to COVID-19, partially offset by changes in balances. For the six-month period, the primary drivers were an approximately a $2.5 billion increase at CECL adoption on January 1, 2020, driven mainly by the addition of life-time expected credit losses for non-TDR loans, and approximately $542.0 million, net due to business drivers during the first quarter of 2020, including $651.0 million of additional reserves specific to COVID-19 risk, partially offset by balance changes and portfolio mix.

Non-accrual loans by Class of Financing Receivable

The amortized cost basis of financial instruments that are either non-accrual with related expected credit loss or nonaccrual without related expected credit loss disaggregated by class of financing receivables and other non-performing assets is as follows:

	Non-accrual loans as of (1):				Non-accrual loans with no allowance		Interest Income recognized on nonaccrual loans
(in thousands)	June 30, 2020		December 31, 2019		June 30, 2020		June 30, 2020
Non-accrual loans:
Commercial:
CRE	$	110,814	$	83,117	$	62,960	$	—
C&I	92,895		153,428		40,875		—
Multifamily	60,188		5,112		45,460		—
Other commercial	16,440		31,987		5,790		—
Total commercial loans	280,337		273,644		155,085		—
Consumer:
Residential mortgages	147,931		134,957		77,568		—
Home equity loans and lines of credit	110,917		107,289		41,415		—
RICs and auto loans	903,290		1,643,459		187,368		62,572
Personal unsecured loans	2,801		2,212		367		—
Other consumer	10,161		11,491		81		—
Total consumer loans	1,175,100		1,899,408		306,799		62,572
Total non-accrual loans	1,455,437		2,173,052		461,884		62,572
OREO	53,258		66,828		—		—
Repossessed vehicles	131,309		212,966		—		—
Foreclosed and other repossessed assets	2,268		4,218		—		—
Total OREO and other repossessed assets	186,835		284,012		—		—
Total non-performing assets	$	1,642,272	$	2,457,064	$	461,884	$	62,572

(1) The December 31, 2019 table includes balances based on recorded investment. Differences between amortized cost and UPB were not material

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

Age Analysis of Past Due Loans

The Company generally considers an account delinquent when an obligor fails to pay substantially all (defined as 90%) of the scheduled payment by the due date.

The age of amortized cost in past due loans and accruing loans 90 days or greater past due disaggregated by class of financing receivables is summarized as follows:

	As of:
		June 30, 2020
(in thousands)		30-89 Days Past Due		90 Days or Greater		Total Past Due		Current		Total Financing Receivables		Amortized Cost > 90 Days and Accruing
Commercial:
CRE(1)		$	103,448	$	89,702	$	193,150	$	8,311,839	$	8,504,989	$	—
C&I(2)		36,285		62,934		99,219		18,168,280		18,267,499		—
Multifamily(3)		37,575		7,164		44,739		8,564,614		8,609,353		—
Other commercial		56,345		7,763		64,108		7,127,466		7,191,574		107
Consumer:
Residential mortgages(4)		96,234		118,981		215,215		8,258,779		8,473,994		—
Home equity loans and lines of credit		44,406		78,839		123,245		4,391,435		4,514,680		—
RICs and auto loans(5)		1,861,286		277,184		2,138,470		36,864,123		39,002,593		—
Personal unsecured loans(6)		53,540		75,954		129,494		1,769,282		1,898,776		67,045
Other consumer		9,414		8,212		17,626		252,111		269,737		—
Total		$	2,298,533	$	726,733	$	3,025,266	$	93,707,929	$	96,733,195	$	67,152

(1) CRE loans includes $1.1 billion of LHFS at June 30, 2020.

(2) C&I loans includes $603.0 million of LHFS at June 30, 2020.

(3) Multifamily loans includes $46.5 million of LHFS at June 30, 2020.

(4) Residential mortgages includes $1.0 billion of LHFS at June 30, 2020.

(5) Personal unsecured loans includes $1.0 billion of LHFS at June 30, 2020.

(6) RICs and auto loans includes $1.6 billion of LHFS at June 30, 2020.

	As of
		December 31, 2019
(in thousands)		30-89 Days Past Due		90 Days or Greater		Total Past Due		Current		Total Financing Receivables		Recorded Investment > 90 Days and Accruing
Commercial:
CRE		$	51,472	$	65,290	$	116,762	$	8,351,261	$	8,468,023	$	—
C&I (1)		55,957		84,640		140,597		16,510,391		16,650,988		—
Multifamily		10,456		3,704		14,160		8,627,044		8,641,204		—
Other commercial		61,973		6,352		68,325		7,322,469		7,390,794		—
Consumer:
Residential mortgages(2)		154,978		128,578		283,556		8,848,971		9,132,527		—
Home equity loans and lines of credit		45,417		75,972		121,389		4,648,955		4,770,344		—
RICs and auto loans		4,364,110		404,723		4,768,833		31,687,914		36,456,747		—
Personal unsecured loans(3)		85,277		102,572		187,849		2,110,803		2,298,652		93,102
Other consumer		11,375		7,479		18,854		297,530		316,384		—
Total		$	4,841,015	$	879,310	$	5,720,325	$	88,405,338	$	94,125,663	$	93,102

(1)C&I loans included $116.3 million of LHFS at December 31, 2019.

(2) Residential mortgages included $296.8 million of LHFS at December 31, 2019.

(3) Personal unsecured loans included $1.0 billion of LHFS at December 31, 2019.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

Commercial Lending Asset Quality Indicators

The Company's Risk Department performs a credit analysis and classifies certain loans over an internal threshold based on the commercial lending classifications described below:

PASS. Asset is well-protected by the current net worth and paying capacity of the obligor or guarantors, if any, or by the fair value less costs to acquire and sell any underlying collateral in a timely manner.

SPECIAL MENTION. Asset has potential weaknesses that deserve management’s close attention, which, if left uncorrected, may result in deterioration of the repayment prospects for an asset at some future date. Special mention assets are not adversely classified.

SUBSTANDARD. Asset is inadequately protected by the current net worth and paying capacity of the obligor or by the collateral pledged, if any. A well-defined weakness or weaknesses exist that jeopardize the liquidation of the debt. The loans are characterized by the distinct possibility that the Company will sustain some loss if deficiencies are not corrected.

DOUBTFUL. Exhibits the inherent weaknesses of a substandard credit. Additional characteristics exist that make collection or liquidation in full highly questionable and improbable, on the basis of currently known facts, conditions and values. Possibility of loss is extremely high, but because of certain important and reasonable specific pending factors which may work to the advantage and strengthening of the credit, an estimated loss cannot yet be determined.

LOSS. Credit is considered uncollectible and of such little value that it does not warrant consideration as an active asset. There may be some recovery or salvage value, but there is doubt as to whether, how much or when the recovery would occur.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

Each commercial loan is evaluated to determine its risk rating at least annually. The indicators represent the rating for loans as of the date presented based on the most recent assessment performed. Amortized cost basis of loans in the commercial portfolio segment by credit quality indicator, class of financing receivable, and year of origination are summarized as follows:

June 30, 2020	Commercial Loan Portfolio (1)
(dollars in thousands)	Amortized Cost by Origination Year
Regulatory Rating:	2020(3)		2019		2018		2017		2016		Prior		Total
Commercial real estate
Pass	$	260,691	$	1,183,498	$	1,746,022	$	1,319,696	$	853,268	$	1,964,698	$	7,327,873
Special mention	1,163		125,290		90,447		146,761		119,398		268,717		751,776
Substandard	—		17,276		30,250		31,879		79,673		262,281		421,359
Doubtful	—		—		—		—		—		306		306
N/A(2)	—		—		—		—		—		3,675		3,675
Total Commercial real estate	$	261,854	$	1,326,064	$	1,866,719	$	1,498,336	$	1,052,339	$	2,499,677	$	8,504,989
C&I
Pass	$	4,554,855	$	3,893,807	$	2,977,262	$	977,492	$	590,003	$	2,814,553	$	15,807,972
Special mention	19,708		125,414		232,373		145,859		123,415		431,816		1,078,585
Substandard	36,413		30,606		161,818		39,673		68,624		245,123		582,257
Doubtful	691		—		1		3,959		404		1,736		6,791
N/A(2)	202,024		370,714		99,650		22,094		28,388		69,024		791,894
Total C&I	$	4,813,691	$	4,420,541	$	3,471,104	$	1,189,077	$	810,834	$	3,562,252	$	18,267,499
Multifamily
Pass	$	596,068	$	2,080,706	$	1,802,434	$	1,283,891	$	583,711	$	1,929,736	$	8,276,546
Special mention	—		16,408		47,855		82,368		21,972		65,259		233,862
Substandard	—		3,788		—		53,514		1,750		39,893		98,945
Doubtful	—		—		—		—		—		—		—
N/A	—		—		—		—		—		—		—
Total Multifamily	$	596,068	$	2,100,902	$	1,850,289	$	1,419,773	$	607,433	$	2,034,888	$	8,609,353
Remaining commercial
Pass	$	1,665,857	$	1,875,752	$	1,010,809	$	663,880	$	677,244	$	940,907	$	6,834,449
Special mention	9,606		2,910		10,553		15,891		13,358		242,899		295,217
Substandard	471		1,021		5,954		11,511		8,856		33,661		61,474
Doubtful	—		—		120		29		214		71		434
N/A	—		—		—		—		—		—		—
Total Remaining commercial	$	1,675,934	$	1,879,683	$	1,027,436	$	691,311	$	699,672	$	1,217,538	$	7,191,574
Total Commercial loans
Pass	$	7,077,471	$	9,033,763	$	7,536,527	$	4,244,959	$	2,704,226	$	7,649,894	$	38,246,840
Special mention	30,477		270,022		381,228		390,879		278,143		1,008,691		2,359,440
Substandard	36,884		52,691		198,022		136,577		158,903		580,958		1,164,035
Doubtful	691		—		121		3,988		618		2,113		7,531
N/A(2)	202,024		370,714		99,650		22,094		28,388		72,699		795,569
Total commercial loans	$	7,347,547	$	9,727,190	$	8,215,548	$	4,798,497	$	3,170,278	$	9,314,355	$	42,573,415

(1)Includes $1.8 billion of LHFS at June 30, 2020.

(2)Consists of loans that have not been assigned a regulatory rating.

(3)Loans originated during the six-months ended June 30, 2020.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

December 31, 2019	CRE		C&I		Multifamily		Remaining commercial		Total(1)
At Recorded Investment	(in thousands)
Regulatory Rating:
Pass	$	7,513,567	$	14,816,669	$	8,356,377	$	7,072,083	$	37,758,696
Special Mention	508,133		743,462		260,764		260,051		1,772,410
Substandard	379,199		321,842		24,063		44,919		770,023
Doubtful	24,378		47,010		—		13,741		85,129
N/A(2)	42,746		722,005		—		—		764,751
Total commercial loans	$	8,468,023	$	16,650,988	$	8,641,204	$	7,390,794	$	41,151,009

(1)Includes $116.3 million of LHFS at December 31, 2019.

(2)Consists of loans that have not been assigned a regulatory rating.

Consumer Lending Asset Quality Indicators-Credit Score

Consumer financing receivables for which either an internal or external credit score is a core component of the allowance model are summarized by credit score determined at origination as follows:

As of June 30, 2020	RICs and auto loans
(dollars in thousands)	Amortized Cost by Origination Year(3)
Credit Score Range	2020(2)		2019		2018		2017		2016		Prior		Total		Percent
No FICO(1)	$	885,580	$	1,458,569	$	683,611	$	683,924	$	364,506	$	282,890	$	4,359,080	11.7	%
<600	3,031,459		5,184,779		3,226,089		1,415,247		898,892		941,407		14,697,873		39.3	%
600-639	1,292,685		2,309,243		1,239,841		426,809		307,914		275,111		5,851,603		15.7	%
>=640	3,824,732		5,974,506		1,752,702		346,591		284,108		274,203		12,456,842		33.3	%
Total	$	9,034,456	$	14,927,097	$	6,902,243	$	2,872,571	$	1,855,420	$	1,773,611	$	37,365,398	100.0	%

(1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model.

(2)  Loans originated during the six-months ended June 30, 2020.

(3) Excludes LHFS.

December 31, 2019	RICs and auto loans
Credit Score Range	Recorded Investment (in thousands)		Percent
No FICO(1)	$	3,178,459	8.7	%
<600	15,013,670		41.2	%
600-639	5,957,970		16.3	%
>=640	12,306,648		33.8	%
Total	$	36,456,747	100.0	%

(1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model.

Consumer Lending Asset Quality Indicators-FICO and LTV Ratio

For both residential and home equity loans, loss severity assumptions are incorporated in the loan and lease loss reserve models to estimate loan balances that will ultimately charge off. These assumptions are based on recent loss experience within various current LTV bands within these portfolios. LTVs are refreshed quarterly by applying Federal Housing Finance Agency Home price index changes at a state-by-state level to the last known appraised value of the property to estimate the current LTV. The Company's ALLL incorporates the refreshed LTV information to update the distribution of defaulted loans by LTV as well as the associated loss given default for each LTV band. Reappraisals on a recurring basis at the individual property level are not considered cost-effective or necessary; however, reappraisals are performed on certain higher risk accounts to support line management activities, default servicing decisions, or when other situations arise for which the Company believes the additional expense is warranted.

FICO scores are refreshed quarterly, where possible. The indicators disclosed represent the credit scores for loans as of the date presented based on the most recent assessment performed.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

Residential mortgage and home equity financing receivables by LTV and FICO range are summarized as follows:

As of June 30, 2020	Residential Mortgages(1)(3)
(dollars in thousands)	Amortized Cost by Origination Year
FICO Score	2020(4)		2019		2018		2017		2016		Prior		Grand Total
N/A(2)
LTV <= 70%	$	—	$	—	$	527	$	508	$	—	$	23,846	$	24,881
70.01-80%	—		—		—		—		456		21,153		21,609
80.01-90%	—		—		—		—		—		1,888		1,888
90.01-100%	—		—		—		—		—		1,285		1,285
100.01-110%	—		—		—		—		—		205		205
LTV>110%	—		—		—		—		—		423		423
LTV - N/A(2)	4,105		13,129		7,694		9,885		8,797		21,246		64,856
<600
LTV <= 70%	$	844	$	2,469	$	2,631	$	17,153	$	13,278	$	131,518	$	167,893
70.01-80%	824		5,175		5,104		5,562		5,112		12,978		34,755
80.01-90%	—		5,273		12,828		5,073		252		2,080		25,506
90.01-100%	—		8,130		—		—		219		936		9,285
100.01-110%	—		—		—		—		—		727		727
LTV>110%	—		—		—		—		—		1,621		1,621
LTV - N/A(2)	—		—		—		—		—		63		63
600-639
LTV <= 70%	$	2,686	$	8,518	$	10,572	$	11,914	$	14,745	$	90,769	$	139,204
70.01-80%	2,345		3,979		2,864		3,992		2,756		9,381		25,317
80.01-90%	459		6,397		8,444		3,680		—		1,277		20,257
90.01-100%	882		5,980		177		—		—		719		7,758
100.01-110%	—		—		—		—		—		785		785
LTV>110%	—		—		—		—		—		1,228		1,228
LTV - N/A(2)	—		—		—		—		—		—		—
640-679
LTV <= 70%	$	2,747	$	18,935	$	20,470	$	31,462	$	29,651	$	131,277	$	234,542
70.01-80%	4,467		22,995		11,654		7,759		3,952		7,114		57,941
80.01-90%	1,243		8,453		18,079		6,358		—		1,731		35,864
90.01-100%	2,512		14,658		194		—		—		1,213		18,577
100.01-110%	—		—		—		—		—		570		570
LTV>110%	—		—		—		—		—		441		441
LTV - N/A(2)	—		—		—		—		—		38		38
680-719
LTV <= 70%	$	19,353	$	47,345	$	40,864	$	77,285	$	61,120	$	226,123	$	472,090
70.01-80%	19,074		56,309		28,699		16,310		9,506		6,846		136,744
80.01-90%	2,520		19,942		28,010		6,190		137		3,349		60,148
90.01-100%	12,423		36,127		325		—		—		1,487		50,362
100.01-110%	—		—		—		—		—		566		566
LTV>110%	—		—		—		—		—		492		492
LTV - N/A(2)	231		—		—		—		—		80		311
720-759
LTV <= 70%	$	53,791	$	97,325	$	89,547	$	173,393	$	139,901	$	344,344	$	898,301
70.01-80%	41,227		100,520		60,188		21,464		12,614		8,215		244,228
80.01-90%	6,824		48,682		52,732		13,132		224		2,124		123,718
90.01-100%	21,757		52,828		—		13		—		538		75,136
100.01-110%	—		—		—		—		—		592		592
LTV>110%	—		—		—		—		—		820		820
LTV - N/A(2)	499		—		—		—		—		237		736
>=760
LTV <= 70%	$	147,498	$	377,193	$	249,148	$	624,069	$	682,579	$	1,324,440	$	3,404,927
70.01-80%	89,572		356,464		148,998		79,307		28,609		16,725		719,675
80.01-90%	12,902		129,572		87,007		24,838		158		5,011		259,488
90.01-100%	22,395		65,665		—		—		95		4,371		92,526
100.01-110%	—		—		—		—		77		276		353
LTV>110%	—		—		—		—		93		2,727		2,820
LTV - N/A(2)	156		1,102		—		—		—		320		1,578
Total - All FICO Bands
LTV <= 70%	$	226,919	$	551,785	$	413,759	$	935,784	$	941,274	$	2,272,317	$	5,341,838
70.01-80%	157,509		545,442		257,507		134,394		63,005		82,412		1,240,269
80.01-90%	23,948		218,319		207,100		59,271		771		17,460		526,869
90.01-100%	59,969		183,388		696		13		314		10,549		254,929
100.01-110%	—		—		—		—		77		3,721		3,798
LTV>110%	—		—		—		—		93		7,752		7,845
LTV - N/A(2)	4,991		14,231		7,694		9,885		8,797		21,984		67,582
Grand Total	$	473,336	$	1,513,165	$	886,756	$	1,139,347	$	1,014,331	$	2,416,195	$	7,443,130

(1) Excludes LHFS.

(2) Balances in the "N/A" range for LTV or FICO score primarily represent loans serviced by others, in run-off portfolios or for which a current LTV or FICO score is unavailable.

(3) The ALLL model considers LTV for financing receivables in first lien position and CLTV for financing receivables in second lien position for the Company.

(4) Loans originated during the six-months ended June 30, 2020.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

As of June 30, 2020	Home Equity Loans and Lines of Credit(2)
(in thousands)	Amortized Cost by Origination Year
FICO Score	2020(4)		2019		2018		2017		2016		Prior		Total		Revolving
N/A(2)
LTV <= 70%	$	3	$	6	$	128	$	32	$	1,779	$	39,684	$	41,632	$	8,382
70.01-90%	—		20		—		180		698		12,795		13,693		203
90.01-110%	—		—		—		—		—		1,890		1,890		—
LTV>110%	—		—		—		—		—		110		110		—
LTV - N/A(2)	5,641		14,130		17,593		16,764		12,846		81,025		147,999		—
<600
LTV <= 70%	$	75	$	1,286	$	6,233	$	12,651	$	15,838	$	136,418	$	172,501	$	160,821
70.01-90%	241		1,278		5,542		4,257		1,891		14,164		27,373		25,973
90.01-110%	—		—		—		—		—		3,242		3,242		2,898
LTV>110%	—		—		—		—		—		3,529		3,529		3,354
LTV - N/A(2)	—		—		—		15		—		531		546		—
600-639
LTV <= 70%	$	456	$	3,750	$	9,002	$	11,382	$	11,945	$	108,247	$	144,782	$	141,223
70.01-90%	282		3,405		4,205		4,563		930		13,831		27,216		26,716
90.01-110%	—		—		—		—		—		2,735		2,735		2,572
LTV>110%	—		—		—		—		—		1,322		1,322		1,268
LTV - N/A(2)	—		—		—		—		—		41		41		—
640-679
LTV <= 70%	$	3,161	$	14,182	$	21,111	$	24,409	$	22,616	$	162,386	$	247,865	$	244,981
70.01-90%	2,964		11,209		15,972		8,636		4,137		20,601		63,519		63,621
90.01-110%	—		49		—		—		—		6,038		6,087		5,593
LTV>110%	49		—		—		—		—		2,871		2,920		2,864
LTV - N/A(2)	—		96		—		—		—		108		204		—
680-719
LTV <= 70%	$	16,884	$	30,602	$	45,671	$	50,892	$	52,600	$	275,868	$	472,517	$	465,016
70.01-90%	7,604		25,255		28,220		23,606		5,556		31,641		121,882		122,310
90.01-110%	145		—		—		—		—		11,398		11,543		11,211
LTV>110%	—		—		228		—		—		4,956		5,184		4,863
LTV - N/A(2)	41		—		—		—		—		81		122		—
720-759
LTV <= 70%	$	23,514	$	51,429	$	69,467	$	75,952	$	70,675	$	376,303	$	667,340	$	658,903
70.01-90%	13,548		33,229		40,610		31,839		7,607		38,422		165,255		164,950
90.01-110%	—		133		4		—		—		12,751		12,888		11,664
LTV>110%	—		—		—		—		—		10,310		10,310		9,922
LTV - N/A(2)	311		72		—		65		—		157		605		—
>=760
LTV <= 70%	$	64,081	$	145,116	$	185,988	$	183,811	$	164,397	$	988,605	$	1,731,998	$	1,706,323
70.01-90%	29,373		76,230		81,349		54,257		17,771		104,747		363,727		365,233
90.01-110%	289		85		—		—		—		25,698		26,072		25,224
LTV>110%	426		79		—		—		—		14,287		14,792		14,209
LTV - N/A(2)	333		264		132		70		—		440		1,239		—
Total - All FICO Bands
LTV <= 70%	$	108,174	$	246,371	$	337,600	$	359,129	$	339,850	$	2,087,511	$	3,478,635	$	3,385,649
LTV 70.01 - 90%	54,012		150,626		175,898		127,338		38,590		236,201		782,665		769,006
LTV 90.01 - 110%	434		267		4		—		—		63,752		64,457		59,162
LTV>110%	475		79		228		—		—		37,385		38,167		36,480
LTV - N/A(2)	6,326		14,562		17,725		16,914		12,846		82,383		150,756		—
Grand Total	$	169,421	$	411,905	$	531,455	$	503,381	$	391,286	$	2,507,232	$	4,514,680	$	4,250,297

(1) - (4) Refer to corresponding notes above.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

	Residential Mortgages(1)(3)
December 31, 2019	N/A(2)		LTV<=70%		70.01-80%		80.01-90%		90.01-100%		100.01-110%		LTV>110%		Grand Total
FICO Score	(dollars in thousands)
N/A(2)	$	92,052	$	4,654	$	534	$	—	$	—	$	—	$	—	$	97,240
<600	33		180,465		48,344		36,401		27,262		1,518		2,325		296,348
600-639	31		122,675		45,189		34,690		37,358		636		1,108		241,687
640-679	1,176		263,781		89,179		78,215		87,067		946		1,089		521,453
680-719	7,557		511,018		219,766		132,076		155,857		1,583		2,508		1,030,365
720-759	14,427		960,290		413,532		195,335		191,850		1,959		3,334		1,780,727
>=760	36,621		3,324,285		938,368		353,989		203,665		3,673		7,281		4,867,882
Grand Total	$	151,897	$	5,367,168	$	1,754,912	$	830,706	$	703,059	$	10,315	$	17,645	$	8,835,702

(1) Excludes LHFS.

(2) Residential mortgages in the "N/A" range for LTV or FICO score primarily represent the balance on loans serviced by others, in run-off portfolios or for which a current LTV or FICO score is unavailable.

(3) The ALLL model considers LTV for financing receivables in first lien position for the Company and CLTV for financing receivables in second lien position for the Company.

	Home Equity Loans and Lines of Credit(2)
December 31, 2019	N/A(1)		LTV<=70%		70.01-90%		90.01-110%		LTV>110%		Grand Total
FICO Score
N/A(1)	$	176,138	$	189	$	153	$	—	$	—	$	176,480
<600	824		215,977		66,675		11,467		4,459		299,402
600-639	1,602		147,089		34,624		4,306		3,926		191,547
640-679	9,964		264,021		78,645		8,079		3,626		364,335
680-719	17,120		478,817		146,529		12,558		9,425		664,449
720-759	25,547		665,647		204,104		12,606		10,857		918,761
>=760	61,411		1,639,702		408,812		30,259		15,186		2,155,370
Grand Total	$	292,606	$	3,411,442	$	939,542	$	79,275	$	47,479	$	4,770,344

(1) Excludes LHFS.

(2) Home equity loans and lines of credit in the "N/A" range for LTV or FICO score primarily represent the balance on loans serviced by others, in run-off portfolios or for which a current LTV or FICO score is unavailable.

(3) The ALLL model considers LTV for financing receivables in first lien position for the Company and CLTV for financing receivables in second lien position for the Company.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

TDR Loans

The following table summarizes the Company’s performing and non-performing TDRs at the dates indicated:

(in thousands)	June 30, 2020		December 31, 2019
Performing	$	3,850,850	$	3,646,354
Non-performing	449,245		673,777
Total (1)	$	4,300,095	$	4,320,131

(1) Excludes LHFS.

TDR Activity by Class of Financing Receivable

The Company's modifications consist primarily of term extensions. The following tables detail the activity of TDRs for the three-month and six-month periods ended June 30, 2020 and 2019:

	Three-Month Period Ended June 30, 2020
	Number of Contracts	Pre-TDR Amortized Cost(1)		Post-TDR Amortized Cost(2)
	(dollars in thousands)
Commercial:
CRE	9	$	13,047	$	13,047
C&I	354	27,130		27,226
Multi-family	5	51,466		51,466
Other commercial	4	72		72
Consumer:
Residential mortgages(3)	15	1,811		1,809
Home equity loans and lines of credit	22	2,693		2,939
RICs and auto loans	45,060	896,193		911,804
Personal unsecured loans	1	—		—
Other consumer	765	27,383		27,726
Total	46,235	$	1,019,795	$	1,036,089
	Six-Month Period Ended June 30, 2020
	Number of Contracts	Pre-TDR Recorded Investment(1)		Post-TDR Recorded Investment(2)
	(dollars in thousands)
Commercial:
CRE	11	$	14,974	$	14,974
C&I	389	27,965		28,063
Multi-family	5	51,466		51,466
Other commercial	5	117		117
Consumer:
Residential mortgages(3)	28	3,672		3,814
Home equity loans and lines of credit	50	4,767		5,034
RICs and auto loans	54,855	1,072,573		1,088,570
Personal unsecured loans	2	—		—
Other consumer	798	28,575		28,908
Total	56,143	$	1,204,109	$	1,220,946

(1) Pre-TDR modification amount is the month-end balance prior to the month in which the modification occurred.

(2) Post-TDR modification amount is the month-end balance for the month in which the modification occurred.

(3) The post-TDR modification amounts for residential mortgages exclude interest reserves.

NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued)

	Three-Month Period Ended June 30, 2019
	Number of Contracts	Pre-TDR Recorded Investment(1)		Post-TDR Recorded Investment(2)
	(dollars in thousands)
Commercial:
CRE	8	$	423	$	416
C&I	14	318		317
Consumer:
Residential mortgages(3)	22	4,011		4,088
Home equity loans and lines of credit	35	2,863		3,181
RICs and auto loans	17,322	294,796		295,513
Personal unsecured loans	74	736		745
Other consumer	13	442		439
Total	17,488	$	303,589	$	304,699
	Six-Month Period Ended June 30, 2019
	Number of Contracts	Pre-TDR Recorded Investment(1)		Post-TDR Recorded Investment(2)
	(dollars in thousands)
Commercial:
CRE	25	$	45,131	$	46,230
C&I	38	938		938
Consumer:
Residential mortgages(3)	48	7,524		7,758
Home equity loans and lines of credit	75	7,858		8,597
RICs and auto loans	37,171	624,938		626,273
Personal unsecured loans	125	1,307		1,313
Other consumer	19	625		621
Total	37,501	$	688,321	$	691,730

(1) Pre-TDR modification outstanding recorded investment amount is the month-end balance prior to the month in which the modification occurred.

(2)Post-TDR modification outstanding recorded investment amount is the month-end balance for the month in which the modification occurred.

(3)The post-TDR modification outstanding recorded investment amounts for residential mortgages exclude interest reserves.

TDRs Which Have Subsequently Defaulted

A TDR is generally considered to have subsequently defaulted if, after modification, the loan becomes 90 DPD. For RICs, a TDR is considered to have subsequently defaulted after modification at the earlier of the date of repossession or 120 DPD. The following table details period-end amortized cost balances of TDRs that became TDRs during the past twelve-month period and have subsequently defaulted during the three-month and six-month periods ended June 30, 2020 and 2019, respectively.

	Three-Month Period Ended June 30,						Six-Month Period Ended June 30,
	2020			2019			2020			2019
	Number of Contracts	Recorded Investment(1)		Number of Contracts	Recorded Investment(1)		Number of Contracts	Recorded Investment(1)		Number of Contracts	Recorded Investment(1)
	(dollars in thousands)						(dollars in thousands)
Commercial
CRE	14	$	2,909	1	$	93	32	$	5,114	2	$	223
C&I	5	1,045		10	254		16	8,260		25	845
Other commercial	—	—		—	—		1	45		—	—
Consumer:
Residential mortgages	22	3,640		26	2,826		30	4,880		79	7,628
Home equity loans and lines of credit	10	1,142		9	641		22	3,104		15	1,066
RICs and auto loans	2,000	31,441		5,326	89,749		6,076	100,437		12,885	215,071
Personal unsecured loans	—	—		57	646		—	—		117	1,180
Other consumer	35	1,519		—	—		46	1,807		—	—
Total	2,086	$	41,696	5,429	$	94,209	6,223	$	123,647	13,123	$	226,013

(1)Represents the period-end balance. Does not include Chapter 7 bankruptcy TDRs.