The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at March 31, 2013 and Dec. 31, 2012.



Securities at March 31, 2013	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	17,480	$	348	$	36	$	17,792
U.S. Government agencies	1,034		26		—		1,060
State and political subdivisions	6,162		116		28		6,250
Agency RMBS	35,763		720		30		36,453
Alt-A RMBS	249		49		13		285
Prime RMBS	613		10		7		616
Subprime RMBS	472		5		41		436
Other RMBS	2,672		57		94		2,635
Commercial MBS	2,856		123		39		2,940
Asset-backed CLOs	1,449		12		5		1,456
Other asset-backed securities	2,019		10		3		2,026
Foreign covered bonds	3,349		41		—		3,390
Corporate bonds	1,517		60		5		1,572
Other debt securities	12,154		245		—		12,399		(a)
Equity securities	22		6		—		28
Money market funds	2,457		—		—		2,457
Alt-A RMBS (b)	1,514		457		3		1,968
Prime RMBS (b)	791		190		—		981
Subprime RMBS (b)	114		20		—		134
Total securities available-for-sale	92,687		2,495		304		94,878
Held-to-maturity:
U.S. Treasury	2,206		71		—		2,277
State and political subdivisions	53		2		—		55
Agency RMBS	8,246		107		2		8,351
Alt-A RMBS	102		10		6		106
Prime RMBS	91		1		—		92
Subprime RMBS	28		—		—		28
Other RMBS	804		29		45		788
Commercial MBS	21		—		1		20
Other securities	127		1		—		128
Total securities held-to-maturity	11,678		221		54		11,845
Total securities	$	104,365	$	2,716	$	358	$	106,723


(a)	Includes $10.2 billion, at fair value, of government-sponsored and guaranteed entities, and sovereign debt.


(b)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.



Securities at Dec. 31, 2012	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	17,539	$	467	$	3	$	18,003
U.S. Government agencies	1,044		30		—		1,074
State and political subdivisions	6,039		112		29		6,122
Agency RMBS	33,355		846		8		34,193
Alt-A RMBS	255		40		16		279
Prime RMBS	728		9		9		728
Subprime RMBS	508		6		62		452
Other RMBS	2,850		53		109		2,794
Commercial MBS	3,031		153		45		3,139
Asset-backed CLOs	1,285		7		10		1,282
Other asset-backed securities	2,123		11		3		2,131
Foreign covered bonds	3,596		122		—		3,718
Corporate bonds	1,525		63		3		1,585
Other debt securities	11,516		276		—		11,792		(a)
Equity securities	23		4		—		27
Money market funds	2,190		—		—		2,190
Alt-A RMBS (b)	1,574		400		4		1,970
Prime RMBS (b)	833		177		—		1,010
Subprime RMBS (b)	113		17		—		130
Total securities available-for-sale	90,127		2,793		301		92,619
Held-to-maturity:
U.S. Treasury	1,011		59		—		1,070
State and political subdivisions	67		2		—		69
Agency RMBS	5,879		139		1		6,017
Alt-A RMBS	111		9		6		114
Prime RMBS	97		1		1		97
Subprime RMBS	28		—		1		27
Other RMBS	983		36		52		967
Commercial MBS	26		—		1		25
Other securities	3		—		—		3
Total securities held-to-maturity	8,205		246		62		8,389
Total securities	$	98,332	$	3,039	$	363	$	101,008


(a)	Includes $9.4 billion, at fair value, of government-sponsored and guaranteed entities, and sovereign debt.


(b)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.



Net securities gains (losses)
(in millions)	1Q13			4Q12			1Q12
Realized gross gains	$	57		$	80		$	62
Realized gross losses	(5		)	(1		)	—
Recognized gross impairments	(4		)	(29		)	(22		)
Total net securities gains (losses)	$	48		$	50		$	40

Temporarily impaired securities

At March 31, 2013, substantially all of the unrealized losses on the investment securities portfolio were attributable to credit spreads widening since purchase, and interest rate movements. We do not intend to sell these securities and it is not more likely than not that we will have to sell.

The following tables show the aggregate related fair value of investments with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for 12 months or more.



Temporarily impaired securities at March 31, 2013	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
U.S. Treasury	$	2,190	$	36	$	—	$	—	$	2,190	$	36
State and political subdivisions	612		5		306		23		918		28
Agency RMBS	6,061		30		96		—		6,157		30
Alt-A RMBS	13		3		37		10		50		13
Prime RMBS	66		1		219		6		285		7
Subprime RMBS	—		—		413		41		413		41
Other RMBS	144		1		635		93		779		94
Commercial MBS	285		2		301		37		586		39
Asset-backed CLOs	141		1		297		4		438		5
Other asset-backed securities	832		2		9		1		841		3
Corporate bonds	198		5		—		—		198		5
Alt-A RMBS (a)	4		—		25		3		29		3
Total securities available-for-sale	$	10,546	$	86	$	2,338	$	218	$	12,884	$	304
Held-to-maturity:
Agency RMBS	$	839	$	2	$	—	$	—	$	839	$	2
Alt-A RMBS	—		—		20		6		20		6
Other RMBS	—		—		430		45		430		45
Commercial MBS	—		—		20		1		20		1
Total securities held-to-maturity	$	839	$	2	$	470	$	52	$	1,309	$	54
Total temporarily impaired securities	$	11,385	$	88	$	2,808	$	270	$	14,193	$	358


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.



Temporarily impaired securities at Dec. 31, 2012	Less than 12 months				12 months or more				Total
(in millions)	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Available-for-sale:
U.S. Treasury	$	956	$	3	$	—	$	—	$	956	$	3
State and political subdivisions	1,139		7		173		22		1,312		29
Agency RMBS	1,336		8		96		—		1,432		8
Alt-A RMBS	31		13		39		3		70		16
Prime RMBS	110		2		253		7		363		9
Subprime RMBS	13		3		397		59		410		62
Other RMBS	64		19		670		90		734		109
Commercial MBS	131		1		310		44		441		45
Asset-backed CLOs	314		1		321		9		635		10
Other asset-backed securities	779		2		7		1		786		3
Corporate bonds	178		3		—		—		178		3
Alt-A RMBS (a)	22		—		30		4		52		4
Total securities available-for-sale	$	5,073	$	62	$	2,296	$	239	$	7,369	$	301
Held-to-maturity:
Agency RMBS	$	234	$	1	$	—	$	—	$	234	$	1
Alt-A RMBS	38		—		24		6		62		6
Prime RMBS	—		—		56		1		56		1
Subprime RMBS	—		—		24		1		24		1
Other RMBS	413		—		373		52		786		52
Commercial MBS	—		—		25		1		25		1
Total securities held-to-maturity	$	685	$	1	$	502	$	61	$	1,187	$	62
Total temporarily impaired securities	$	5,758	$	63	$	2,798	$	300	$	8,556	$	363


(a)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.

The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our investment securities portfolio at March 31, 2013.



Maturity distribution and yield on investment securities	U.S. Treasury				U.S. Government agencies				State and political subdivisions				Other bonds, notes and debentures				Mortgage/ asset-backed and equity securities
(dollars in millions)	Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Amount		Yield (a)		Total
Securities available-for-sale:
One year or less	$	4,332	0.66	%	$	328	1.14	%	$	151	1.18	%	$	3,333	1.11	%	$	—	—	%	$	8,144
Over 1 through 5 years	7,204		1.03		677		1.85		3,064		1.79		11,567		1.04		—		—		22,512
Over 5 through 10 years	2,041		2.70		55		2.06		2,737		3.24		2,449		2.54		—		—		7,282
Over 10 years	4,215		3.12		—		—		298		2.72		12		—		—		—		4,525
Mortgage-backed securities	—		—		—		—		—		—		—		—		46,448		2.65		46,448
Asset-backed securities	—		—		—		—		—		—		—		—		3,482		1.28		3,482
Equity securities (b)	—		—		—		—		—		—		—		—		2,485		—		2,485
Total	$	17,792	1.63	%	$	1,060	1.64	%	$	6,250	2.46	%	$	17,361	1.27	%	$	52,415	2.43	%	$	94,878
Securities held-to-maturity:
One year or less	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%	$	—	—	%	$	—
Over 1 through 5 years	1,180		1.24		—		—	%	—		—		127		0.53		—		—		1,307
Over 5 through 10 years	1,026		2.25		—		—	%	38		6.78		—		—		—		—		1,064
Over 10 years	—		—		—		—	%	15		5.81		—		—		—		—		15
Mortgage-backed securities	—		—		—		—		—		—		—		—		9,292		2.76	%	9,292
Total	$	2,206	1.71	%	$	—	—	%	$	53	6.51	%	$	127	0.53	%	$	9,292	2.76	%	$	11,678


(a)	Yields are based upon the amortized cost of securities.


(b)	Includes money market funds.

Other-than-temporary impairment

We routinely conduct periodic reviews of all securities using economic models to identify and evaluate each investment security to determine whether OTTI has occurred. Various inputs to the economic models are used to determine if an unrealized loss on securities is other-than-temporary. For example, the most significant inputs related to non-agency RMBS are:


•	Default rate - the number of mortgage loans expected to go into default over the life of the transaction, which is driven by the roll rate of loans in each performance bucket that will ultimately migrate to default; and


•	Severity - the loss expected to be realized when a loan defaults.

To determine if an unrealized loss is other-than-temporary, we project total estimated defaults of the underlying assets (mortgages) and multiply that calculated amount by an estimate of realizable value upon sale of these assets in the marketplace (severity) in order to determine the projected collateral loss. We also evaluate the current credit enhancement underlying the bond to determine the impact on cash flows. If we determine that a given security will be subject to a write-down or loss, we record the expected credit loss as a charge to earnings.

In addition, we have estimated the expected loss by taking into account observed performance of the underlying securities, industry studies, market forecasts, as well as our view of the economic outlook affecting collateral.

The table below shows the projected weighted-average default rates and loss severities for the 2007, 2006 and late 2005 non-agency RMBS and the securities previously held in the Grantor Trust we established in connection with the restructuring of our investment securities portfolio in 2009, at March 31, 2013 and Dec. 31, 2012.



Projected weighted-average default rates and loss severities
	March 31, 2013				Dec. 31, 2012
	Default rate		Severity		Default rate		Severity
Alt-A	42	%	57	%	43	%	57	%
Subprime	60	%	72	%	61	%	72	%
Prime	24	%	43	%	24	%	43	%

The following table provides net pre-tax securities gains (losses) by type.



Net securities gains (losses)
(in millions)	1Q13			4Q12			1Q12
Foreign covered bonds	$	8		$	—		$	—
Commercial MBS	8			—			—
European floating rate notes	4			(5		)	(1		)
Non-agency RMBS	4			(24		)	(14		)
Sovereign Debt	1			13			7
Agency RMBS	—			43			—
Corporate bonds	—			10			2
FDIC-insured debt	—			—			10
U.S. Treasury	(4		)	1			38
Other	27			12			(2		)
Total net securities gains	$	48		$	50		$	40

The following table reflects investment securities credit losses recorded in earnings. The beginning balance represents the credit loss component for which OTTI occurred on debt securities in prior periods. The additions represent the first time a debt security was credit impaired or when subsequent credit impairments have occurred. The deductions represent credit losses on securities that have been sold, are required to be sold, or for which it is our intention to sell.



Debt securities credit loss roll forward
(in millions)	1Q13		1Q12
Beginning balance as of Jan. 1	$	288	$	253
Add: Initial OTTI credit losses	—		9
Subsequent OTTI credit losses	4		12
Less: Realized losses for securities sold	118		8
Ending balance as of March 31	$	174	$	266