Variable Interest Entities and Securitization Activities (Tables)

3 Months Ended

Mar. 31, 2016

Securitization Activities and Variable Interest Entities [Abstract]

		At March 31, 2016				At December 31, 2015
		VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
		(dollars in millions)
Credit-linked notes	$	901	$	—	$	900	$	—
Other structured financings		791		13		787		13
Asset-backed securitizations(1)		651		417		668		423
Other(2)		1,069		27		245		—
Total	$	3,412	$	457	$	2,600	$	436

_________

The value of assets is determined based on the fair value of the liabilities of and the interests owned by the Company in such VIEs, because the fair values for the liabilities and interests owned are more observable.
Other primarily includes certain operating entities, investment funds and structured transactions.

Assets and Liabilities by Balance Sheet Caption.

	At March 31,		At December 31,
	2016		2015
Assets	(dollars in millions)
Cash and due from banks	$	38	$	14
Trading assets, at fair value		2,109		1,842
Customer and other receivables		13		3
Goodwill		18		—
Intangible assets		143		—
Other assets		1,091		741
Total assets	$	3,412	$	2,600
Liabilities
Other secured financings, at fair value	$	426	$	431
Other liabilities and accrued expenses		31		5
Total liabilities	$	457	$	436

Non-Consolidated VIEs

Non-Consolidated VIE Assets and Liabilities, Maximum and Carrying Value of Exposure to Loss.

			At March 31, 2016
			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)		$	124,025	$	10,058	$	4,878	$	5,023	$	42,052
Maximum exposure to loss:
	Debt and equity interests		$	13,470	$	1,319	$	65	$	1,756	$	4,481
	Derivative and other contracts			—		—		2,908		—		132
	Commitments, guarantees and other			646		588		—		365		319
		Total maximum exposure to loss	$	14,116	$	1,907	$	2,973	$	2,121	$	4,932

Carrying value of exposure to loss—Assets:
	Debt and equity interests		$	13,470	$	1,319	$	65	$	1,370	$	4,481
	Derivative and other contracts			—		—		5		—		41
		Total carrying value of exposure to loss—Assets	$	13,470	$	1,319	$	70	$	1,370	$	4,522

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	—	$	—	$	—	$	—	$	49
	Commitments, guarantees and other			—		—		—		3		11
		Total carrying value of exposure to loss—Liabilities	$	—	$	—	$	—	$	3	$	60

			At December 31, 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)		$	126,872	$	8,805	$	4,654	$	2,201	$	20,775
Maximum exposure to loss:
	Debt and equity interests		$	13,361	$	1,259	$	1	$	1,129	$	3,854
	Derivative and other contracts			—		—		2,834		—		67
	Commitments, guarantees and other			494		231		—		361		222
		Total maximum exposure to loss	$	13,855	$	1,490	$	2,835	$	1,490	$	4,143

Carrying value of exposure to loss—Assets:
	Debt and equity interests		$	13,361	$	1,259	$	1	$	685	$	3,854
	Derivative and other contracts			—		—		5		—		13
		Total carrying value of exposure to loss—Assets	$	13,361	$	1,259	$	6	$	685	$	3,867

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	—	$	—	$	—	$	—	$	15
	Commitments, guarantees and other			—		—		—		3		—
		Total carrying value of exposure to loss—Liabilities	$	—	$	—	$	—	$	3	$	15

Non-Consolidated VIE Mortgage- and Asset-Backed Securitization Assets.
			At March 31, 2016				At December 31, 2015
			Unpaid Principal Balance		Debt and Equity Interests		Unpaid Principal Balance		Debt and Equity Interests


			(dollars in millions)
Residential mortgages		$	16,359	$	1,006	$	13,787	$	1,012
Commercial mortgages			52,151		2,515		57,313		2,871
U.S. agency collateralized mortgage obligations			17,331		3,503		13,236		2,763
Other consumer or commercial loans			38,184		6,446		42,536		6,715
	Total mortgage- and asset-backed securitization assets	$	124,025	$	13,470	$	126,872	$	13,361

Information Regarding SPEs

				At March 31, 2016
				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)			$	21,705	$	55,403	$	14,631	$	12,061
Retained interests (fair value):
	Investment grade		$	—	$	85	$	539	$	—
	Non-investment grade			82		96		—		1,137
		Total retained interests (fair value)	$	82	$	181	$	539	$	1,137
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	34	$	63	$	—
	Non-investment grade			47		52		—		5
		Total interests purchased in the secondary market (fair value)	$	47	$	86	$	63	$	5
Derivative assets (fair value)			$	—	$	316	$	—	$	231
Derivative liabilities (fair value)				—		—		—		465


				At December 31, 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)			$	22,440	$	72,760	$	17,978	$	12,235
Retained interests (fair value):
	Investment grade		$	—	$	238	$	649	$	—
	Non-investment grade			160		63		—		1,136
		Total retained interests (fair value)	$	160	$	301	$	649	$	1,136
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	88	$	99	$	—
	Non-investment grade			60		63		—		10
		Total interests purchased in the secondary market (fair value)	$	60	$	151	$	99	$	10
Derivative assets (fair value)			$	—	$	343	$	—	$	151
Derivative liabilities (fair value)				—		—		—		449

_____________

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

(2) Amounts include assets transferred by unrelated transferors.

				At March 31, 2016
				Level 1		Level 2		Level 3		Total
				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	624	$	—	$	624
	Non-investment grade			—		16		1,299		1,315
		Total retained interests (fair value)	$	—	$	640	$	1,299	$	1,939
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	97	$	—	$	97
	Non-investment grade			—		84		20		104
		Total interests purchased in the secondary market (fair value)	$	—	$	181	$	20	$	201
Derivative assets (fair value)			$	—	$	508	$	39	$	547
Derivative liabilities (fair value)				—		76		389		465


				At December 31, 2015
				Level 1		Level 2		Level 3		Total
				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	886	$	1	$	887
	Non-investment grade			—		17		1,342		1,359
		Total retained interests (fair value)	$	—	$	903	$	1,343	$	2,246
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	187	$	—	$	187
	Non-investment grade			—		112		21		133
		Total interests purchased in the secondary market (fair value)	$	—	$	299	$	21	$	320
Derivative assets (fair value)			$	—	$	466	$	28	$	494
Derivative liabilities (fair value)				—		110		339		449

Schedule of proceeds from securitization transactions

Proceeds from New Securitization Transactions and Retained Interests in Securitization Transactions.

			Three Months Ended
			March 31,
			2016		2015
			(dollars in millions)
Proceeds received from new securitization
	transactions	$	2,713	$	4,891
Proceeds from retained interests
	in securitization transactions		631		948

Proceeds from Sales to CLO Entities Sponsored by Non-Affiliates.

			Three Months Ended
			March 31,
			2016		2015
			(dollars in millions)
Proceeds from sale of corporate loans
	sold to those SPEs	$	31	$	345

Schedule of exposure of securities enter into bilateral OTC equity derivatives

		At March 31, 2016		At December 31, 2015
		(dollars in millions)
Carrying value of assets derecognized at the time of sale and gross cash proceeds	$	9,020	$	7,878
Fair value of assets sold		9,248		7,935
Fair value of derivative assets recognized in the condensed consolidated
balance sheet		235		97
Fair value of derivative liabilities recognized in the condensed consolidated
balance sheet		8		40

Transfers of Assets Treated as Secured Financings

		At March 31, 2016				At December 31, 2015
		Assets		Liabilities		Assets		Liabilities
		(dollars in millions)
Failed sales	$	392	$	392	$	400	$	400

- 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 + Details

- 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