Securities

12 Months Ended

Dec. 31, 2011

Securities [Abstract]

Securities

Note 2—Securities

Securities Available for Sale

At December 31, 2011 and 2010, the amortized cost, gross unrealized gains, gross unrealized losses, and fair values of securities are presented below.

	December 31, 2011
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. government sponsored agencies	$	6,943	$	54	$	—	$	6,997
Residential mortgage-backed securities:
U.S. government and government sponsored agencies		13,307		182		4		13,485
Privately issued		800		1		63		738
Commercial mortgage-backed securities		1,032		29		1		1,060
Asset-backed securities		283		1		—		284
Other debt securities		180		10		2		188
Equity securities		81		—		—		81
Total securities available for sale	$	22,626	$	277	$	70	$	22,833

	December 31, 2010
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury	$	150	$	—	$	—	$	150
U.S. government sponsored agencies		6,689		75		—		6,764
Residential mortgage-backed securities:
U.S. government and government sponsored agencies		12,743		138		125		12,756
Privately issued		710		4		32		682
Commercial mortgage-backed securities		3		—		1		2
Asset-backed securities		240		—		—		240
Other debt securities		151		6		—		157
Equity securities		40		1		1		40
Total securities available for sale	$	20,726	$	224	$	159	$	20,791

At December 31, 2011 and 2010, the Company’s securities available for sale with a continuous unrealized loss position are shown below, separately for periods less than 12 months and 12 months or more.

	December 31, 2011
	Less than 12 months				12 months or more				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Residential mortgage-backed securities:
U.S. government and government sponsored agencies	$	1,106	$	4	$	59	$	—	$	1,165	$	4
Privately issued		551		23		99		40		650		63
Commercial mortgage-backed securities		95		1		—		—		95		1
Other debt securities		23		2		3		—		26		2
Total securities available for sale	$	1,775	$	30	$	161	$	40	$	1,936	$	70

	December 31, 2010
	Less than 12 months				12 months or more				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Residential mortgage-backed securities:
U.S. government and government sponsored agencies	$	6,320	$	125	$	35	$	—	$	6,355	$	125
Privately issued		140		1		165		31		305		32
Commercial mortgage-backed securities		—		—		2		1		2		1
Equity securities		5		1		—		—		5		1
Total securities available for sale	$	6,465	$	127	$	202	$	32	$	6,667	$	159

At December 31, 2011, the Company did not have the intent to sell temporarily impaired securities until a recovery of the amortized cost, which may be at maturity. The Company also believes it is more likely than not that it will not have to sell the securities prior to recovery of amortized cost.

Non-agency residential mortgage-backed securities are privately issued by financial institutions with no guarantee from government sponsored entities. These securities are collateralized by residential mortgage loans and may be prepaid at par prior to maturity. The securities are primarily rated investment grade. The unrealized losses on non-agency residential mortgage-backed securities resulted from declining credit quality of underlying collateral and additional credit spread widening since purchase. The Company estimated loss projections for each security by assessing the loans collateralizing each security. The Company estimates the portion of loss attributable to credit based on the expected cash flows of the underlying collateral using industry consensus estimates of current key assumptions, such as default rates, loss severity and prepayment rates. Based on this assessment of expected credit losses of each security, impairment recognized during the year ended December 31, 2011 was not significant. With respect to the remaining portfolio at December 31, 2011, the Company expects to recover the entire amortized cost basis of these securities.

The amortized cost and fair value of securities available for sale by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.

	December 31, 2011
(Dollars in millions)	Amortized Cost		Fair Value
Due in one year or less	$	2,557	$	2,576
Due after one year through five years		4,833		4,878
Due after five years through ten years		610		635
Due after ten years		14,545		14,663
No stated maturity—equity securities		81		81
Total securities available for sale	$	22,626	$	22,833

The proceeds and gross realized gains from sales of securities available for sale for the years ended December 31, 2011, 2010 and 2009 are shown below. There were no gross realized losses from sales for the same periods. The specific identification method is used to calculate realized gains and losses on sales.

	For the Years Ended December 31,
(Dollars in millions)	2011		2010		2009
Proceeds from sales	$	4,556	$	4,407	$	5,295
Gross realized gains		59		113		27

Securities Held to Maturity

At December 31, 2011 and 2010, the amortized cost, gross unrealized gains and losses recognized in other comprehensive income (OCI), carrying amount, gross unrealized gains and losses not recognized in OCI, and fair values of securities held to maturity are presented below.

	December 31, 2011
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Collateralized loan obligations (CLOs)	$	1,653	$	—	$	380	$	1,273	$	159	$	3	$	1,429
	December 31, 2010
			Recognized in OCI						Not Recognized in OCI
(Dollars in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Amount		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
CLOs	$	1,778	$	—	$	455	$	1,323	$	238	$	1	$	1,560

For securities held to maturity, the amount recognized in OCI reflects the unrealized loss at date of transfer to the held to maturity classification, net of amortization, while the amount not recognized in OCI reflects the incremental change in value after such transfer. Amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of a purchase discount or premium, less principal payments and any impairment previously recognized in earnings.

At December 31, 2011 and 2010, the Company’s securities held to maturity with a continuous unrealized loss position are shown below, separately for periods less than 12 months and 12 months or more.

	December 31, 2011
	Less than 12 months						12 months or more						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
CLOs	$	—	$	—	$	—	$	1,420	$	380	$	3	$	1,420	$	380	$	3
	December 31, 2010
	Less than 12 months						12 months or more						Total
			Unrealized Losses						Unrealized Losses						Unrealized Losses
(Dollars in millions)	Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI		Fair Value		Recognized in OCI		Not Recognized in OCI
CLOs	$	—	$	—	$	—	$	1,558	$	455	$	1	$	1,558	$	455	$	1

At December 31, 2011, the Company did not have the intent to sell temporarily impaired securities until a recovery of the amortized cost, which may be at maturity. The Company also believes it is more likely than not that it will not have to sell the securities prior to recovery of amortized cost.

The Company’s CLOs consist of Cash Flow CLOs. A Cash Flow CLO is a structured finance product that securitizes a diversified pool of loan assets into multiple classes of notes. Cash Flow CLOs pay the note holders through the receipt of interest and principal repayments from the underlying loans unlike other types of CLOs that pay note holders through the trading and sale of underlying collateral. Certain of these CLOs are illiquid securities for which fair values are difficult to obtain. Unrealized losses arise from widening credit spreads, credit quality of the underlying collateral, uncertainty regarding the valuation of such securities and the market’s opinion of the performance of the fund managers. Cash flow analysis of the underlying collateral provides an estimate of other-than-temporary impairment, which is performed quarterly when the fair value of a security is lower than its amortized cost. Based on the analysis performed as of December 31, 2011, no other-than-temporary impairment was recorded.

The amortized cost, fair value and carrying amount of securities held to maturity by contractual maturity are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties.

	December 31, 2011
(Dollars in millions)	Amortized Cost		Carrying Amount		Fair Value
Due after one year through five years	$	423	$	356	$	401
Due after five years through ten years		1,171		876		984
Due after ten years		59		41		44
Total securities held to maturity	$	1,653	$	1,273	$	1,429

Securities Pledged as Collateral

Transactions involving purchases of securities under agreements to resell (reverse repurchase agreements or reverse repos) or sales of securities under agreements to repurchase (repurchase agreements or repos) are accounted for as collateralized financings except where the Company does not have an agreement to sell (or purchase) the same or substantially the same securities before maturity at a fixed or determinable price. The Company’s policy is to obtain possession of collateral with a market value equal to or in excess of the principal amount loaned under resale agreements. Collateral is valued daily, and the Company may require counterparties to deposit additional collateral or return collateral pledged, when appropriate.

The Company separately identifies in the consolidated balance sheets, securities pledged as collateral in secured borrowings and other arrangements when the secured party can sell or repledge the securities. If the secured party cannot resell or repledge the securities that have been placed as collateral, those securities are not separately identified. At December 31, 2011, the Company had $4.9 billion of securities available for sale pledged as collateral where the secured party cannot resell or repledge such securities. These available for sale securities have been pledged to secure borrowings ($1.0 billion), to support unrealized losses on derivative transactions reported in trading liabilities ($0.6 billion) and to secure public and trust department deposits ($3.3 billion).

At December 31, 2011 and 2010, the Company accepted securities as collateral that it is permitted by contract to sell or repledge of $12 million ($12 million of which has been repledged to cover secured borrowings and short sales) and $12 million ($1 million of which has been repledged to secure public agency or bankruptcy deposits and to cover short sales), respectively. These securities were received as collateral for secured lending and to obtain qualified securities to meet the Company’s collateral needs.