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BANK OF AMERICA CORP /DE/

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BANK OF AMERICA CORP /DE/

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1.0.0.3 false Securitizations false 1 $ false false iso4217_USD Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 iso4217_USD_per_shares Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares 0 shares Standard http://www.xbrl.org/2003/instance shares 0 5 Securitizations 3 us-gaap_TransfersAndServicingOfFinancialAssetsTextBlock us-gaap true na duration string No definition available. false false false false false false false false false 1 false false 0 0 <div> NOTE 8 – Securitizations The Corporation routinely securitizes loans and debt securities. These securitizations are a source of funding for the Corporation in addition to transferring the economic risk of the loans or debt securities to third parties. In a securitization, various classes of debt securities may be issued and are generally collateralized by a single class of transferred assets which most often consist of residential mortgages, but may also include commercial mortgages, credit card receivables, home equity loans, automobile loans or MBS. The securitized loans may be serviced by the Corporation or by third parties. With each securitization, the Corporation may retain a portion of the securities, subordinated tranches, interest-only strips, subordinated interests in accrued interest and fees on the securitized receivables or, in some cases, overcollateralization and cash reserve accounts, all of which are referred to as retained interests. These retained interests are recorded in other assets, AFS debt securities, or trading account assets and are generally carried at fair value or amounts that approximate fair value with changes recorded in income or accumulated OCI, or are recorded as HTM debt securities and carried at amortized cost. Changes in the fair value of credit card related interest- only strips are recorded in card income. In addition, the Corporation may enter into derivatives with the securitization trust to mitigate the trust’s interest rate or foreign currency risk. These derivatives are entered into at market terms and are generally senior in payment. The Corporation also may serve as the underwriter and distributor of the securitization, serve as the administrator of the trust, and from time to time, make markets in securities issued by the securitization trusts. First Lien Mortgage-related Securitizations As part of its mortgage banking activities, the Corporation securitizes a portion of the residential mortgage loans it originates or purchases from third parties in conjunction with or shortly after loan closing or purchase. In addition, the Corporation may, from time to time, securitize commercial mortgages and first lien residential mortgages that it originates or purchases from other entities. The following table summarizes selected information related to mortgage securitizations at and for the years ended December 31, 2009 and 2008.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="44%"></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="26"></td> <td height="8" colspan="2"></td> <td height="8" colspan="3"></td> <td height="8" colspan="3"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="25" align="center">Residential Mortgage</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="2"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="2"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" rowspan="2" colspan="5" align="center">Agency</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="11" align="center">Non-Agency</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="2"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="2"> </td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Prime</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Subprime</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Alt-A</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Commercial Mortgage    </td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> </tr> <tr> <td valign="top"> For the Year Ended December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Cash proceeds from new securitizations (1) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">346,448</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">123,653</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,038</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,377</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">313</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,557</td> </tr> <tr> <td valign="top"> Gains on securitizations (2,3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">73</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">24</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">29</td> </tr> <tr> <td valign="top"> Cash flows received on residual interests </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">71</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">33</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">23</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> </tr> <tr> <td valign="top"> At December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Principal balance outstanding (4) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,255,650</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,123,916</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">81,012</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">111,683</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">83,065</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">57,933</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">147,072</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">136,027</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">65,397</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">55,403</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Residual interests held </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">9</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">48</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">7</td> </tr> <tr> <td valign="top"> Senior securities held (5, 6): </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Trading account assets </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,295</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,308</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">201</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">367</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">12</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">431</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">278</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">469</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">168</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Available-for-sale debt securities </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13,786</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">12,507</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">3,845</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,559</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">188</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">121</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">561</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">569</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,215</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">16</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total senior securities held </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">16,081</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13,815</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,046</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,926</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">200</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">121</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">992</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">847</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,684</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">184</td> </tr> <tr> <td valign="top"> Subordinated securities held (5, 7): </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Trading account assets </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">23</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">122</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">136</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Available-for-sale debt securities </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">20</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">22</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">17</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">23</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total subordinated securities held </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">43</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">22</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">18</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">145</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">136</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS in exchange which may then be sold into the market to third party investors for cash proceeds. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Net of hedges </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> Substantially all of the residential mortgages securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. During 2009 and 2008, the Corporation recognized $5.5 billion and $1.6 billion of gains on these LHFS. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(4)</td> <td valign="top" align="left"> Generally, the Corporation as transferor will service the sold loans and thus recognize a MSR upon securitization. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(5)</td> <td valign="top" align="left"> As a holder of these securities, the Corporation receives scheduled interest and principal payments. During 2009 and 2008, there were no significant other-than-temporary impairment losses recorded on those securities classified as AFS debt securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(6)</td> <td valign="top" align="left"> At December 31, 2009 and 2008, substantially all of the residential mortgage held senior securities were valued using quoted market prices. At December 31, 2009, substantially all of the commercial mortgage held senior securities were valued using quoted market prices while at December 31, 2008 substantially all were valued using model valuations. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(7)</td> <td valign="top" align="left"> At December 31, 2009, substantially all of the residential mortgage held subordinated securities and all of the commercial mortgage held subordinated securities were valued using quoted market prices while at December 31, 2008 substantially all were valued using model valuations. </td> </tr> </table>   In addition to the amounts included in the table above, during 2009, the Corporation purchased $49.2 billion of MBS from third parties and resecuritized them compared to $12.2 billion during 2008. Net gains, which include net interest income earned during the holding period, totaled $213 million and $80 million in 2009 and 2008. At December 31, 2009 and 2008, the Corporation retained $543 million and $1.0 billion of the senior securities issued in these transactions which were valued using quoted market prices and recorded in trading account assets. The Corporation has consumer MSRs from the sale or securitization of mortgage loans. Servicing fee and ancillary fee income on consumer mortgage loans serviced, including securitizations where the Corporation has continuing involvement, were $6.2 billion and $3.5 billion in 2009 and 2008. Servicing advances on consumer mortgage loans, including securitizations where the Corporation has continuing involvement, were $19.3 billion and $8.8 billion at December 31, 2009 and 2008. In addition, the Corporation has retained commercial MSRs from the sale or securitization of commercial mortgage loans. Servicing fee and ancillary fee income on commercial mortgage loans serviced, including securitizations where the Corporation has continuing involvement, were $49 million and $40 million in 2009 and 2008. Servicing advances on commercial mortgage loans, including securitizations where the Corporation has continuing involvement, were $109 million and $14 million at December 31, 2009 and 2008. For more information on MSRs, see Note 22 – Mortgage Servicing Rights. The Corporation sells mortgage loans and, in the past sold home equity loans, with various representations and warranties related to, among other things, the ownership of the loan, validity of the lien securing the loan, absence of delinquent taxes or liens against the property securing the loan, the process used in selecting the loans for inclusion in a transaction, the loan’s compliance with any applicable loan criteria established by the buyer, and the loan’s compliance with applicable local, state and federal laws. Under the Corporation’s representations and warranties, the Corporation may be required to repurchase the mortgage loans with the identified defects, indemnify or provide other recourse to the investor or insurer. In such cases, the Corporation bears any subsequent credit loss on the mortgage loans. The Corporation’s representations and warranties are generally not subject to stated limits and extend over the life of the loan. However, the Corporation’s contractual liability arises only if there is a breach of the representations and warranties that materially and adversely affects the interest of the investor or pursuant to such other standard established by the terms of the related selling agreement. The Corporation attempts to limit its risk of incurring these losses by structuring its operations to ensure consistent production of quality mortgages and servicing those mortgages at levels that meet secondary mortgage market standards. In addition, certain of the Corporation’s securitizations include corporate guarantees that are contracts written to protect purchasers of the loans from credit losses up to a specified amount. The estimated losses to be absorbed under the guarantees are recorded when the Corporation sells the loans with guarantees. The methodology used to estimate the liability for representations and warranties considers a variety of factors and is a function of the representations and warranties given, estimated defaults, historical loss experience and probability that the Corporation will be required to repurchase the loan. The Corporation records its liability for representations and warranties, and corporate guarantees in accrued expenses and other liabilities and records the related expense in mortgage banking income. During 2009 and 2008, the Corporation recorded representations and warranties expense of $1.9 billion and $246 million. During 2009 and 2008, the Corporation repurchased $1.5 billion and $448 million of loans from first lien securitization trusts under the Corporation’s representations and warranties and corporate guarantees and paid $730 million and $77 million to indemnify the investors or insurers. In addition, during 2009, the Corporation repurchased $13.1 billion of loans from first lien securitization trusts as a result of modifications, loan delinquencies or optional clean-up calls. Credit Card Securitizations The Corporation securitizes originated and purchased credit card loans. The Corporation’s continuing involvement includes servicing the receivables, retaining an undivided interest (the “seller’s interest”) in the receivables, and holding certain retained interests in credit card securitization trusts including senior and subordinated securities, interest-only strips, discount receivables, subordinated interests in accrued interest and fees on the securitized receivables and cash reserve accounts. The securitization trusts’ legal documents require the Corporation to maintain a minimum seller’s interest of four to five percent, and at December 31, 2009, the Corporation is in compliance with this requirement. The seller’s interest in the trusts represents the Corporation’s undivided interest in the receivables transferred to the trust and is pari passu to the investors’ interest. The seller’s interest is not represented by security certificates, is carried at historical cost, and is classified in loans on the Corporation’s Consolidated Balance Sheet. At December 31, 2009 and 2008, the Corporation had $10.8 billion and $14.8 billion of seller’s interest. As specifically permitted by the terms of the transaction documents, and in an effort to address the recent decline in the excess spread due to the performance of the underlying credit card receivables in the U.S. Credit Card Securitization Trust, an additional subordinated security with a stated interest rate of zero percent was issued by the trust to the Corporation during 2009 (the Class D security). As the issuance was not treated as a sale, the Class D security was recorded at $7.8 billion representing the carry-over basis of the seller’s interest which is comprised of the $8.5 billion book value of the loans exchanged less the associated $750 million allowance for loan and lease losses, and was classified as HTM. Future principal and interest cash flows on the loans exchanged for the Class D security will be returned to the Corporation through its ownership of the Class D security and the U.S. Credit Card Securitization Trust’s residual interest. Income on this residual interest is presently recognized in card income as cash is received. The Class D security is subject to review for impairment at least on a quarterly basis. As the Corporation expects to receive all of the contractually due cash flows on the Class D security, there was no other-than-temporary impairment at December 31, 2009. In addition, as permitted by the transaction documents, the Corporation specified that from March 1, 2009 through September 30, 2009 a percentage of new receivables transferred to the trust will be deemed “discount receivables” and collections thereon will be added to finance charges which have increased the yield in the trust. Through the designation of these newly transferred receivables as discount receivables, the Corporation has subordinated a portion of its seller’s interest to the investors’ interest. The discount receivables were initially accounted for at the carry-over basis of the seller’s interest and are subject to impairment review at least on a quarterly basis. No impairment on the discount receivables has been recognized as of December 31, 2009. During 2009, the Corporation extended this agreement through March 31, 2010. The carrying amount and fair value of the discount receivables were both $3.6 billion, and the carrying amount and fair value of the retained Class D security was $6.6 billion and $6.4 billion at December 31, 2009. These actions did not have a significant impact on the Corporation’s results of operations.     The following table summarizes selected information related to credit card securitizations at and for the year ended December 31, 2009 and 2008.       <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="82%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Credit Card</td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> </tr> <tr> <td valign="top"> For the Year Ended December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Cash proceeds from new securitizations </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">650</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">20,148</td> </tr> <tr> <td valign="top"> Gains on securitizations </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">81</td> </tr> <tr> <td valign="top"> Collections reinvested in revolving period securitizations </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">133,771</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">162,332</td> </tr> <tr> <td valign="top"> Cash flows received on residual interests </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,512</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,771</td> </tr> <tr> <td valign="top"> At December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Principal balance outstanding (1) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">103,309</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">114,141</td> </tr> <tr> <td valign="top"> Senior securities held (2) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,162</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,965</td> </tr> <tr> <td valign="top"> Subordinated securities held (3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,993</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,837</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Other subordinated or residual interests held (4) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">5,195</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,233</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Principal balance outstanding represents the principal balance of credit card receivables that have been legally isolated from the Corporation including those loans represented by the seller’s interest that are still held on the Corporation’s Consolidated Balance Sheet. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> At December 31, 2009 and 2008, held senior securities issued by credit card securitization trusts were valued using quoted market prices and substantially all were classified as AFS debt securities and there were no other-than-temporary impairment losses recorded on those securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> At December 31, 2009, the $6.6 billion Class D security was carried at amortized cost and classified as HTM debt securities and $1.4 billion of other held subordinated securities were valued using quoted market prices and were classified as AFS debt securities. At December 31, 2008, all of the held subordinated securities were valued using quoted market prices and classified as AFS debt securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(4)</td> <td valign="top" align="left"> Other subordinated and residual interests include discount receivables, subordinated interests in accrued interest and fees on the securitized receivables, and cash reserve accounts and interest-only strips which are carried at fair value or amounts that approximate fair value. The residual interests were valued using model valuations. Residual interests associated with the Class D and discount receivables transactions have not been recognized. </td> </tr> </table>   Economic assumptions are used in measuring the fair value of certain residual interests that continue to be held by the Corporation. The expected loss rate assumption used to measure the discount receivables at December 31, 2009 was 13 percent. A 10 percent and 20 percent adverse change to the expected loss rate would have caused a decrease of $280 million and $1.2 billion to the fair value of the discount receivables at December 31, 2009. The discount rate assumption used to measure the Class D security at December 31, 2009 was six percent. A 100 bps and 200 bps increase in the discount rate would have caused a decrease of $116 million and $228 million to the fair value of the Class D security. Conversely, a 100 bps and 200 bps decrease in the discount rate would have caused an increase of $120 million and $245 million to the fair value of the Class D security. These sensitivities are hypothetical and should be used with caution. As the amounts indicate, changes in fair value based on variations in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. At December 31, 2009 and 2008, there were no recognized servicing assets or liabilities associated with any of the credit card securitization transactions. The Corporation recorded $2.0 billion and $2.1 billion in servicing fees related to credit card securitizations during 2009 and 2008. During 2008, the Corporation became one of the liquidity support providers for the Corporation’s commercial paper program that obtains financing by issuing tranches of commercial paper backed by credit card receivables to third-party investors from a trust sponsored by the Corporation. During 2009, the Corporation became the sole liquidity support provider for the program and increased its liquidity commitment from $946 million to $2.3 billion. The maximum amount of commercial paper that can be issued under this program given the current level of liquidity support is $8.8 billion, all of which was outstanding at December 31, 2009 and 2008. If certain conditions set forth in the legal documents governing the trust are not met, such as not being able to reissue the commercial paper due to market illiquidity, the commercial paper maturity dates will be extended to 390 days from the original issuance date. This extension would cause the outstanding commercial paper to convert to an interest-bearing note and subsequent credit card receivable collections would be applied to the outstanding note balance. If these notes are still outstanding at the end of the extended maturity period, the liquidity commitment obligates the Corporation and other liquidity support providers, if any, to purchase maturity notes from the trust in order to retire the interest-bearing notes held by investors. As a maturity note holder, the Corporation would be entitled to the remaining cash flows from the collateralizing credit card receivables. At December 31, 2009 and 2008, none of the commercial paper had been extended and there were no maturity notes outstanding. Due to illiquidity in the marketplace, the Corporation held $7.1 billion and $5.0 billion of the outstanding commercial paper as of December 31, 2009 and 2008, which is classified in AFS debt securities on the Corporation’s Consolidated Balance Sheet. Other Securitizations The Corporation also maintains interests in other securitization trusts to which the Corporation transferred assets including municipal bonds, automobile loans and home equity loans. These retained interests include senior and subordinated securities and residual interests. During 2009, the Corporation had cash proceeds from new securitizations of municipal bonds of $664 million as well as cash flows received on residual interests of $316 million. At December 31, 2009, the principal balance outstanding for municipal bonds securitization trusts was $6.9 billion, senior securities held were $122 million and residual interests held were $203 million. The residual interests were valued using model valuations and substantially all are classified as derivative assets. At December 31, 2009, all of the held senior securities issued by municipal bond securitization trusts were valued using quoted market prices and classified as trading account assets. During 2009, the Corporation securitized $9.0 billion of automobile loans in a transaction that was structured as a secured borrowing under applicable accounting guidance and the loans are therefore recorded on the Corporation’s Consolidated Balance Sheet and excluded from the following table.     There were no new securitizations of home equity loans during 2009 and 2008. The following table summarizes selected information related to home equity and automobile loan securitizations at and for the year ended December 31, 2009 and 2008.       <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="67%"></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Home Equity</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Automobile</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> For the Year Ended December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Cash proceeds from new securitizations </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">741</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Losses on securitizations (1) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(31</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Collections reinvested in revolving period securitizations </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">177</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">235</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Repurchases of loans from trust (2) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">268</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">128</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">298</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">184</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Cash flows received on residual interests </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">35</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> At December 31 </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Principal balance outstanding </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">46,282</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">34,169</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,656</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,385</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Senior securities held (3, 4) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,119</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,102</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Subordinated securities held (5) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">48</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">195</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">383</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Residual interests held (6) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">100</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">93</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">83</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">84</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Net of hedges </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Repurchases of loans from the trust for home equity loans are typically a result of the Corporation’s representations and warranties, modifications or the exercise of an optional clean-up call. In addition, during 2009 and 2008, the Corporation paid $141 million and $34 million to indemnify the investor or insurer under the representations and warranties, and corporate guarantees. For further information regarding representations and warranties, and corporate guarantees, see the First Lien Mortgage-related Securitizations discussion. Repurchases of automobile loans during 2009 and 2008 were due to the exercise of an optional clean-up call. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> As a holder of these securities, the Corporation receives scheduled interest and principal payments. During 2009, there were no other-than-temporary impairment losses recorded on those securities classified as AFS debt securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(4)</td> <td valign="top" align="left"> At December 31, 2009, all of the held senior securities issued by the home equity securitization trusts were valued using quoted market prices and classified as trading account assets. At December 31, 2009 and 2008, substantially all of the held senior securities issued by the automobile securitization trusts were valued using quoted market prices and classified as AFS debt securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(5)</td> <td valign="top" align="left"> At December 31, 2009 and 2008, substantially all of the held subordinated securities issued by the home equity securitization trusts were valued using model valuations and classified as AFS debt securities. At December 31, 2009 and 2008, substantially all of the held subordinated securities issued by the automobile securitization trusts were valued using quoted market prices and classified as AFS debt securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(6)</td> <td valign="top" align="left"> Residual interests include the residual asset, overcollateralization and cash reserve accounts, which are carried at fair value or amounts that approximate fair value. The residual interests were derived using model valuations and substantially all are classified in other assets. </td> </tr> </table>   Under the terms of the Corporation’s home equity securitizations, advances are made to borrowers when they draw on their lines of credit and the Corporation is reimbursed for those advances from the cash flows in the securitization. During the revolving period of the securitization, this reimbursement normally occurs within a short period after the advance. However, when the securitization transaction has begun a rapid amortization period, reimbursement of the Corporation’s advance occurs only after other parties in the securitization have received all of the cash flows to which they are entitled. This has the effect of extending the time period for which the Corporation’s advances are outstanding. In particular, if loan losses requiring draws on monoline insurers’ policies, which protect the bondholders in the securitization, exceed a specified threshold or duration, the Corporation may not receive reimbursement for all of the funds advanced to borrowers, as the senior bondholders and the monoline insurers have priority for repayment. The Corporation evaluates all of its home equity securitizations for their potential to experience a rapid amortization event by estimating the amount and timing of future losses on the underlying loans, the excess spread available to cover such losses and by evaluating any estimated shortfalls in relation to contractually defined triggers. A maximum funding obligation attributable to rapid amortization cannot be calculated as a home equity borrower has the ability to pay down and redraw balances. At December 31, 2009 and 2008, home equity securitization transactions in rapid amortization had $14.1 billion and $13.1 billion of trust certificates outstanding. This amount is significantly greater than the amount the Corporation expects to fund. At December 31, 2009, an additional $1.1 billion of trust certificates outstanding pertain to home equity securitization transactions that are expected to enter rapid amortization during the next 24 months. The charges that will ultimately be recorded as a result of the rapid amortization events are dependent on the performance of the loans, the amount of subsequent draws, and the timing of related cash flows. At December 31, 2009 and 2008, the reserve for losses on expected future draw obligations on the home equity securitizations in or expected to be in rapid amortization was $178 million and $345 million. The Corporation has consumer MSRs from the sale or securitization of home equity loans. The Corporation recorded $128 million and $78 million of servicing fee income related to home equity securitizations during 2009 and 2008. For more information on MSRs, see Note 22 – Mortgage Servicing Rights. At December 31, 2009 and 2008, there were no recognized servicing assets or liabilities associated with any of the automobile securitization transactions. The Corporation recorded $43 million and $30 million in servicing fees related to automobile securitizations during 2009 and 2008. The Corporation provides financing to certain entities under asset-backed financing arrangements. These entities are controlled and consolidated by third parties. At December 31, 2009, the principal balance outstanding for these asset-backed financing arrangements was $10.4 billion, the maximum loss exposure was $6.8 billion, and on-balance sheet assets were $6.7 billion which are primarily recorded in loans and leases. The total cash flows for 2009 were $491 million and are primarily related to principal and interest payments received. </div> NOTE 8 – Securitizations The Corporation routinely securitizes loans and debt securities. These securitizations are a source of funding for the false false No definition available. No authoritative reference available. false false 1 1 false UnKnown UnKnown UnKnown false true