Variable Interest Entities and Securitizations (Tables)

3 Months Ended

Mar. 31, 2017

Variable Interest Entities and Securitization [Abstract]

Carrying Amount of Assets and Liabilities of Variable Interest Entities

The table below presents a summary of certain VIEs in which we had continuing involvement or held a variable interest, aggregated based on VIEs with similar characteristics as of March 31, 2017 and December 31, 2016. We separately present information for consolidated and unconsolidated VIEs.

Table 6.1: Carrying Amount of Consolidated and Unconsolidated VIEs



	March 31, 2017
	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⁾	$	29,257	$	18,699	$	0	$	0	$	0
Home loan securitizations⁽²⁾	0		0		195		67		1,262
Total securitization-related VIEs	29,257		18,699		195		67		1,262
Other VIEs:⁽³⁾
Affordable housing entities	175		9		3,896		1,109		3,896
Entities that provide capital to low-income and rural communities	955		127		0		0		0
Other	0		0		219		0		219
Total other VIEs	1,130		136		4,115		1,109		4,115
Total VIEs	$	30,387	$	18,835	$	4,310	$	1,176	$	5,377



	December 31, 2016
	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⁾	$	33,550	$	19,662	$	0	$	0	$	0
Home loan securitizations⁽²⁾	0		0		201		27		1,276
Total securitization-related VIEs	33,550		19,662		201		27		1,276
Other VIEs:⁽³⁾
Affordable housing entities	174		9		3,862		1,093		3,862
Entities that provide capital to low-income and rural communities	927		127		0		0		0
Other	0		0		187		0		187
Total other VIEs	1,101		136		4,049		1,093		4,049
Total VIEs	$	34,651	$	19,798	$	4,250	$	1,120	$	5,325

__________


⁽¹⁾	Represents the carrying amount of assets and liabilities owned by the VIE, which includes the seller’s interest 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 (“option-ARM”) loans and letters of credit related to manufactured housing securitizations. These are reported on our consolidated balance sheets within other assets. The carrying amount of liabilities of unconsolidated securitization-related VIEs is comprised of obligations on certain swap agreements associated with the securitizations of manufactured housing loans and other obligations. These are reported on our consolidated balance sheets within other liabilities.

⁽³⁾

In certain investment structures, we consolidate a VIE which in turn holds as its primary asset an investment in an unconsolidated VIE. In these instances, we disclose the carrying amount of assets and liabilities on our consolidated balance sheets in the unconsolidated VIEs to avoid duplicating our exposure, as the unconsolidated VIEs are generally the operating entities generating the exposure. The carrying amount of assets and liabilities included in the unconsolidated VIE columns above related to these investment structures were $1.9 billion of assets and $642 million of liabilities as of March 31, 2017 and $1.9 billion of assets and $618 million of liabilities as of December 31, 2016.

External Debt and Receivable Balances of Securitization Programs

The table below presents our continuing involvement in certain securitization-related VIEs as of March 31, 2017 and December 31, 2016.

Table 6.2: Continuing Involvement in Securitization-Related VIEs

Mortgage

(Dollars in millions)

Credit

Card

Option-

ARM

GreenPoint

HELOCs

GreenPoint

Manufactured

Housing

March 31, 2017:

Securities held by third-party investors

18,528

1,437

674

Receivables in the trust

29,550

1,485

679

Cash balance of spread or reserve accounts

N/A

127

Retained interests

Yes

Servicing retained

Yes

⁽¹⁾

⁽²⁾

Amortization event⁽³⁾

December 31, 2016:

Securities held by third-party investors

18,826

1,499

697

Receivables in the trust

31,762

1,549

702

Cash balance of spread or reserve accounts

N/A

130

Retained interests

Yes

Servicing retained

Yes

⁽¹⁾

⁽²⁾

Amortization event⁽³⁾

__________


⁽¹⁾	We continue to service only certain option-ARM securitizations.


⁽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 of the underlying assets, such as net charge-off rates or delinquency rates, beyond certain predetermined thresholds. Generally, the occurrence of an amortization event changes the sequencing and amount of trust-related cash flows to the benefit of more senior interest holders.

- 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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