Variable Interest Entities and Securitizations (Tables)

9 Months Ended

Sep. 30, 2015

Variable Interest Entities and Securitization [Abstract]

Carrying Amount of Assets and Liabilities of Variable Interest Entities

The table below presents a summary of VIEs, aggregated based on VIEs with similar characteristics, in which we had continuing involvement or held a variable interest as of September 30, 2015 and December 31, 2014. We separately present information for consolidated and unconsolidated VIEs.

For consolidated VIEs, we present the carrying amount of assets and liabilities reflected on our consolidated balance sheets. The assets of consolidated VIEs primarily consist of cash and loans, which we report on our consolidated balance sheets under restricted cash and restricted loans, respectively. The assets of a particular VIE are the primary source of funds to settle its obligations. The creditors of the VIEs typically do not have recourse to the general credit of the Company. The liabilities primarily consist of debt securities issued by the VIEs, which we report under securitized debt obligations. For unconsolidated VIEs, we present the carrying amount of assets and liabilities reflected on our consolidated balance sheets and our maximum exposure to loss. Our maximum exposure to loss is estimated based on the unlikely event that all of the assets in the VIEs become worthless and we are required to meet our maximum remaining funding obligations.

Table 6.1: Carrying Amount of Consolidated and Unconsolidated VIEs



	September 30, 2015
	Consolidated				Unconsolidated
(Dollars in millions)	Carrying Amount of Assets		Carrying Amount of Liabilities		Carrying Amount of Assets		Carrying Amount of Liabilities		Maximum Exposure to Loss
Securitization-Related VIEs:
Credit card loan securitizations⁽¹⁾	$	34,167	$	16,325	$	0	$	0	$	0
Home loan securitizations⁽²⁾	0		0		214		29		876
Total securitization-related VIEs	34,167		16,325		214		29		876
Other VIEs:
Affordable housing entities	0		0		3,744		506		3,744
Entities that provide capital to low-income and rural communities	370		100		0		0		0
Other	0		0		61		0		61
Total other VIEs	370		100		3,805		506		3,805
Total VIEs	$	34,537	$	16,425	$	4,019	$	535	$	4,681



	December 31, 2014
	Consolidated				Unconsolidated
(Dollars in millions)	Carrying Amount of Assets		Carrying Amount of Liabilities		Carrying Amount of Assets		Carrying Amount of Liabilities		Maximum Exposure to Loss
Securitization-Related VIEs:
Credit card loan securitizations⁽¹⁾	$	36,779	$	12,350	$	0	$	0	$	0
Home loan securitizations⁽²⁾	0		0		221		31		876
Total securitization-related VIEs	36,779		12,350		221		31		876
Other VIEs:
Affordable housing entities	0		0		3,500		488		3,500
Entities that provide capital to low-income and rural communities	374		99		1		0		1
Other	4		0		74		0		74
Total other VIEs	378		99		3,575		488		3,575
Total VIEs	$	37,157	$	12,449	$	3,796	$	519	$	4,451

__________


⁽¹⁾	Represents the gross amount of assets and liabilities owned by the VIE, which includes the seller’s interest and retained and repurchased notes held by other related parties.

⁽²⁾

The carrying amount of assets of unconsolidated securitization-related VIEs consists of retained interests associated with the securitization of option-adjustable rate mortgage loans (“option-ARM”) and letters of credit related to manufactured housing securitizations. These are reported on our consolidated balance sheets under other assets. The carrying amount of liabilities of unconsolidated securitization-related VIEs is comprised of obligations on certain swap agreements associated with the securitization of manufactured housing loans and other obligations. These are reported on our consolidated balance sheets under other liabilities.

External Debt and Receivable Balances of Securitization Programs

The table below presents the securitization-related VIEs in which we had continuing involvement as of September 30, 2015 and December 31, 2014.

Table 6.2: Continuing Involvement in Securitization-Related VIEs

Non-Mortgage

Mortgage

(Dollars in millions)

Credit

Card

Option-

ARM

GreenPoint

HELOCs

GreenPoint

Manufactured

Housing

September 30, 2015:

Securities held by third-party investors

15,656

1,813

812

Receivables in the trust

33,581

1,874

817

Cash balance of spread or reserve accounts

N/A

137

Retained interests

Yes

Servicing retained

Yes

⁽¹⁾

⁽²⁾

Amortization event⁽³⁾

December 31, 2014:

Securities held by third-party investors

11,624

2,026

887

Receivables in the trust

36,545

2,094

893

Cash balance of spread or reserve accounts

N/A

143

Retained interests

Yes

Servicing retained

Yes

⁽¹⁾

⁽²⁾

Amortization event⁽³⁾

__________


⁽¹⁾	We retained servicing of the outstanding balance for a portion of securitized mortgage receivables.


⁽²⁾	The core servicing activities for the manufactured housing securitizations are completed by a third party.


⁽³⁾	Amortization events vary according to each specific trust agreement but generally are triggered by declines in performance or credit metrics, such as net charge-off rates or delinquency rates below certain predetermined thresholds. Generally, the occurrence of an amortization event changes the sequencing and amount of trust-related cash flows to the benefit of senior noteholders.

- 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.

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