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Variable Interest Entities and Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2015

Securitization Activities and Variable Interest Entities [Abstract]

		At September 30, 2015				At December 31, 2014
		VIE assets		VIE liabilities		VIE assets		VIE liabilities
		(dollars in millions)
Mortgage- and asset-backed securitizations	$	437	$	254	$	563	$	337
Managed real estate partnerships(1)		60		1		288		4
Other structured financings		830		13		928		80
Credit linked notes and Other		1,635		192		1,199		—

_________

During the second quarter of 2015, the Company deconsolidated approximately $191 million in net assets previously attributable to nonredeemable noncontrolling interests that were related to a real estate fund sponsored by the Company.

Non-Consolidated VIEs

			At September 30, 2015
			Mortgage- and Asset-Backed Securitizations			Collateralized Debt Obligations		Municipal Tender Option Bonds		Other Structured Financings		Other
			(dollars in millions)
VIE assets that the Company does not consolidate
	(unpaid principal balance)(1)		$	161,547	$	15,046	$	4,343	$	1,696	$	20,012
Maximum exposure to loss:
	Debt and equity interests(2)		$	15,121	$	1,704	$	12	$	1,078	$	3,559
	Derivative and other contracts			13		—		2,597		—		66
	Commitments, guarantees and other			956		1,120		—		609		268
		Total maximum exposure to loss	$	16,090	$	2,824	$	2,609	$	1,687	$	3,893

Carrying value of exposure to loss—Assets:
	Debt and equity interests(2)		$	15,121	$	1,704	$	12	$	644	$	3,560
	Derivative and other contracts			13		—		21		—		30
		Total carrying value of exposure to loss—Assets	$	15,134	$	1,704	$	33	$	644	$	3,590

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	—	$	—	$	17	$	—	$	2
	Commitments, guarantees and other			—		—		—		5		—
		Total carrying value of exposure to loss—Liabilities	$	—	$	—	$	17	$	5	$	2

			At December 31, 2014
			Mortgage- and Asset-Backed Securitizations			Collateralized Debt Obligations		Municipal Tender Option Bonds		Other Structured Financings		Other
			(dollars in millions)
VIE assets that the Company does not consolidate
	(unpaid principal balance)(3)		$	174,548	$	26,567	$	3,449	$	2,040	$	19,237
Maximum exposure to loss:
	Debt and equity interests(4)		$	15,028	$	3,062	$	13	$	1,158	$	3,884
	Derivative and other contracts			15		2		2,212		—		164
	Commitments, guarantees and other			1,054		432		—		617		429
		Total maximum exposure to loss	$	16,097	$	3,496	$	2,225	$	1,775	$	4,477

Carrying value of exposure to loss—Assets:
	Debt and equity interests(4)		$	15,028	$	3,062	$	13	$	741	$	3,884
	Derivative and other contracts			15		2		4		—		74
		Total carrying value of exposure to loss—Assets	$	15,043	$	3,064	$	17	$	741	$	3,958

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	—	$	—	$	—	$	—	$	57
	Commitments, guarantees and other			—		—		—		5		—
		Total carrying value of exposure to loss—Liabilities	$	—	$	—	$	—	$	5	$	57

(1) Mortgage- and asset-backed securitizations include VIE assets as follows: $14.5 billion of residential mortgages; $77.3 billion of commercial mortgages; $17.3 billion of U.S. agency collateralized mortgage obligations; and $52.4 billion of other consumer or commercial loans.

(2) Mortgage- and asset-backed securitizations include VIE debt and equity interests as follows: $1.2 billion of residential mortgages; $3.1 billion of commercial mortgages; $3.8 billion of U.S. agency collateralized mortgage obligations; and $7.0 billion of other consumer or commercial loans.

(3) Mortgage- and asset-backed securitizations include VIE assets as follows: $30.8 billion of residential mortgages; $71.9 billion of commercial mortgages; $20.6 billion of U.S. agency collateralized mortgage obligations; and $51.2 billion of other consumer or commercial loans.

(4) Mortgage- and asset-backed securitizations include VIE debt and equity interests as follows: $1.9 billion of residential mortgages; $2.4 billion of commercial mortgages; $4.0 billion of U.S. agency collateralized mortgage obligations; and $6.8 billion of other consumer or commercial loans.

Information Regarding SPEs

				At September 30, 2015
				Residential Mortgage Loans		Commercial Mortgage Loans		U.S. Agency Collateralized Mortgage Obligations		Credit-Linked Notes and Other(1)


				(dollars in millions)
SPE assets (unpaid principal balance)(2)			$	24,523	$	58,983	$	19,020	$	20,296
Retained interests (fair value):
	Investment grade		$	—	$	150	$	1,290	$	—
	Non-investment grade			203		69		—		1,194
		Total retained interests (fair value)	$	203	$	219	$	1,290	$	1,194
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	231	$	204	$	2
	Non-investment grade			92		81		—		31
		Total interests purchased in the secondary market (fair value)	$	92	$	312	$	204	$	33
Derivative assets (fair value)			$	—	$	376	$	—	$	117
Derivative liabilities (fair value)				—		—		—		780

_____________

(1) Amounts include CLO transactions managed by unrelated third parties.

(2) Amounts include assets transferred by unrelated transferors.

				At September 30, 2015
				Level 1		Level 2		Level 3		Total
				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	1,437	$	3	$	1,440
	Non-investment grade			—		28		1,438		1,466
		Total retained interests (fair value)	$	—	$	1,465	$	1,441	$	2,906
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	437	$	—	$	437
	Non-investment grade			—		168		36		204
		Total interests purchased in the secondary market (fair value)	$	—	$	605	$	36	$	641
Derivative assets (fair value)			$	—	$	456	$	37	$	493
Derivative liabilities (fair value)				—		764		16		780


				At December 31, 2014
				Residential Mortgage Loans		Commercial Mortgage Loans		U.S. Agency Collateralized Mortgage Obligations		Credit-Linked Notes and Other(1)


				(dollars in millions)
SPE assets (unpaid principal balance)(2)			$	26,549	$	58,660	$	20,826	$	24,011
Retained interests (fair value):
	Investment grade		$	10	$	117	$	1,019	$	57
	Non-investment grade			98		120		—		1,264
		Total retained interests (fair value)	$	108	$	237	$	1,019	$	1,321
Interests purchased in the secondary market (fair value):
	Investment grade		$	32	$	129	$	61	$	423
	Non-investment grade			32		72		—		59
		Total interests purchased in the secondary market (fair value)	$	64	$	201	$	61	$	482
Derivative assets (fair value)			$	—	$	495	$	—	$	138
Derivative liabilities (fair value)				—		—		—		86

_____________

(1) Amounts include CLO transactions managed by unrelated third parties.

(2) Amounts include assets transferred by unrelated transferors.

				At December 31, 2014
				Level 1		Level 2		Level 3		Total
				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	1,166	$	37	$	1,203
	Non-investment grade			—		123		1,359		1,482
		Total retained interests (fair value)	$	—	$	1,289	$	1,396	$	2,685
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	644	$	1	$	645
	Non-investment grade			—		129		34		163
		Total interests purchased in the secondary market (fair value)	$	—	$	773	$	35	$	808
Derivative assets (fair value)			$	—	$	559	$	74	$	633
Derivative liabilities (fair value)				—		82		4		86

Schedule of proceeds from securitization transactions

			For the Three Months Ended September 30,				For the Nine Months Ended September 30,
			2015		2014		2015		2014
			(dollars in millions)
Proceeds received from new securitization
	transactions	$	6,105	$	7,662	$	17,270	$	17,310
Proceeds from retained interests
	in securitization transactions		476		714		2,082		2,186

			For the Three Months Ended September 30,				For the Nine Months Ended September 30,
			2015		2014		2015		2014
			(dollars in millions)
Proceeds from sale of corporate loans
	sold to those SPEs	$	121	$	447	$	1,086	$	1,572

Transfers of Assets Treated as Secured Financings

		At September 30, 2015				At December 31, 2014
		Carrying Value of				Carrying Value of
		Assets		Liabilities		Assets		Liabilities
		(dollars in millions)
Failed sales	$	342	$	342	$	352	$	344

- Definition

The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows.

+ References + Details