Coinbase offers both custodial and non-custodial wallets to its customers.
The exchange's custodial wallet is the wallet that the exchange provides to you automatically when you purchase digital assets via the Coinbase exchange.
Coinbase's non-custodial wallet is a browser extension product called Coinbase Wallet.
Unlike when you use its exchange service, Coinbase Wallet will prompt you to write down a 12- to 24-word seed phrase.