Quarterly report pursuant to Section 13 or 15(d)

Securitization of Financial Assets

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Securitization of Financial Assets
 9 Months Ended
Sep. 30, 2024
Transfers and Servicing [Abstract]  
Securitization of Financial Assets Securitization of Financial Assets
The following summarizes certain transactions with securitization trusts: 
  For the Three Months Ended September 30, For the Nine Months Ended September 30,
  2024 2023 2024 2023
  (in millions)
Gains on securitizations $ 8  $ 22  $ 63  $ 53 
Cost of financial assets securitized 106  23  864  424 
Proceeds from securitizations 114  45  927  477 
Cash received from residual and servicing assets 7  4  13  15 
In connection with securitization transactions, we typically retain servicing responsibilities and residual assets. We generally receive annual servicing fees that are typically up to 0.25% of the outstanding balance. We may periodically make servicer advances that are subject to credit risk. Included in securitization assets in our consolidated balance sheets are our servicing assets at amortized cost and our residual assets at fair value. Our residual assets are subordinate to investors’ interests, and their values are subject to credit, prepayment and interest rate risks on the transferred financial assets. Other than our securitization assets representing these residual interests in the trusts’ assets, the investors and the securitization trusts have no recourse to our other assets for failure of debtors to pay when due. In computing gains and losses on securitizations, we use discount rates based on a review of comparable market transactions including Level 3 unobservable inputs, which consist of base interest rates and spreads over these base rates. Depending on the nature of the transaction risks, the all-in discount rate ranged from 5% to 9% for the nine months ended September 30, 2024.
As of September 30, 2024 and December 31, 2023, our managed assets totaled $13.1 billion and $12.3 billion, respectively, of which $6.8 billion and $6.1 billion, respectively, were securitized assets held in unconsolidated securitization trusts or other investors’ portions of assets held in co-investment structures. As of September 30, 2024 and December 31, 2023, trusts holding transferred financial assets held $6.2 billion and $5.6 billion, respectively, of notes due to investors.
We have an allowance for losses on securitization residual assets related to assets secured by property assessed clean energy liens, as a result of our estimates of cash flows due to prepayments on certain of these assets. There has been no change in the underlying credit quality of the securitized assets since origination. The following table reconciles our beginning and ending allowance for loss on securitization residual assets:
Three months ended September 30, 2024 Three months ended September 30, 2023
Government Commercial Government Commercial
(in millions)
Beginning balance $ —  $ 3  $ —  $ — 
Provision for loss on securitization assets —  —  —  3 
Ending balance $ —  $ 3  $ —  $ 3 
Nine months ended September 30, 2024 Nine months ended September 30, 2023
Government Commercial Government Commercial
(in millions)
Beginning balance $ —  $ 3  $ —  $ — 
Provision for loss on securitization assets —  —  —  3 
Ending balance $ —  $ 3  $ —  $ 3 
As of September 30, 2024, there were no material payments from debtors to the securitization trusts that were greater than 90 days past due.
Receivables from contracts for the installation of energy efficiency and other technologies are the source of cash flows of $122 million of our securitization residual assets. These technologies are installed in facilities owned by, or operated for or by, federal, state or local government entities where the ultimate obligor for the receivable is a governmental entity. The contracts may have guarantees of energy savings from third-party service providers, which typically are entities rated investment grade by an independent rating agency. The remainder of our securitization residual assets are related to contracts where the underlying cash flows are secured by an interest in real estate which are typically senior in terms of repayment to other financings.