Securities (Tables)

9 Months Ended

Sep. 30, 2013

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Fair Value of Securities

The following tables present the amortized cost, the gross unrealized gains and losses and the fair value of securities at Sept. 30, 2013 and Dec. 31, 2012.

Securities at Sept. 30, 2013	Amortized cost		Gross unrealized				Fair value
(in millions)			Gains		Losses
Available-for-sale:
U.S. Treasury	$	10,730	$	135	$	434	$	10,431
U.S. Government agencies	1,067		18		4		1,081
State and political subdivisions	6,737		70		87		6,720
Agency RMBS	26,817		334		480		26,671
Alt-A RMBS	231		37		10		258
Prime RMBS	533		5		12		526
Subprime RMBS	440		7		39		408
Other RMBS	2,306		41		79		2,268
Commercial MBS	2,524		70		31		2,563
Agency commercial MBS	1,307		3		21		1,289
Asset-backed CLOs	1,521		10		3		1,528
Other asset-backed securities	2,501		5		10		2,496
Foreign covered bonds	2,779		152		76		2,855
Corporate bonds	1,484		37		17		1,504
Other debt securities	12,638		141		11		12,768		(a)
Equity securities	17		6		—		23
Money market funds	941		—		—		941
Alt-A RMBS (b)	1,406		388		2		1,792
Prime RMBS (b)	697		154		1		850
Subprime RMBS (b)	111		16		—		127
Total securities available-for-sale	76,787		1,629		1,317		77,099
Held-to-maturity:
U.S. Treasury	3,324		35		52		3,307
U.S. Government agencies	419		—		10		409
State and political subdivisions	54		1		—		55
Agency RMBS	15,011		118		137		14,992
Alt-A RMBS	91		10		3		98
Prime RMBS	77		1		1		77
Subprime RMBS	28		—		—		28
Other RMBS	627		23		39		611
Commercial MBS	21		—		1		20
Other securities	706		—		3		703
Total securities held-to-maturity	20,358		188		246		20,300
Total securities	$	97,145	$	1,817	$	1,563	$	97,399

(a) Includes $10.6 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)

Net securities gains (losses)
(in millions)	3Q13			2Q13			3Q12			YTD13			YTD12
Realized gross gains	$	29		$	51		$	32		$	137		$	216
Realized gross losses	(4		)	(1		)	(4		)	(10		)	(9		)
Recognized gross impairments	(3		)	(18		)	(6		)	(25		)	(95		)
Total net securities gains	$	22		$	32		$	22		$	102		$	112

Aggregate Fair Value of Investments with Continuous Unrealized Loss Position

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 Sept. 30, 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	$	4,849	$	434	$	—	$	—	$	4,849	$	434
U.S. Government agencies	97		4		—		—		97		4
State and political subdivisions	2,883		81		139		6		3,022		87
Agency RMBS	11,898		475		84		5		11,982		480
Alt-A RMBS	16		9		34		1		50		10
Prime RMBS	113		3		180		9		293		12
Subprime RMBS	—		—		384		39		384		39
Other RMBS	102		28		630		51		732		79
Commercial MBS	512		21		167		10		679		31
Agency commercial MBS	1,096		21		—		—		1,096		21
Asset-backed CLOs	488		1		109		2		597		3
Other asset-backed securities	1,579		9		6		1		1,585		10
Foreign covered bonds	1,164		76		—		—		1,164		76
Corporate bonds	285		17		—		—		285		17
Other debt securities	2,514		11		—		—		2,514		11
Alt-A RMBS (a)	33		1		22		1		55		2
Prime RMBS (a)	30		1		6		—		36		1
Total securities available-for-sale	$	27,659	$	1,192	$	1,761	$	125	$	29,420	$	1,317
Held-to-maturity:
U.S. Treasury	$	1,920	$	45	$	490	$	7	2,410		52
U.S. Government agencies	408		10		—		—		408		10
Agency RMBS	13,653		137		—		—		13,653		137
Alt-A RMBS	17		—		21		3		38		3
Prime RMBS	—		—		47		1		47		1
Other RMBS	145		—		439		39		584		39
Commercial MBS	—		—		20		1		20		1
Other securities	633		3		—		—		633		3
Total securities held-to-maturity	$	16,776	$	195	$	1,017	$	51	$	17,793	$	246
Total temporarily impaired securities	$	44,435	$	1,387	$	2,778	$	176	$	47,213	$	1,563

(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.

Maturity Distribution by Carrying Amount and Yield (on Tax Equivalent Basis) of Investment Securities Portfolio

The following table shows the maturity distribution by carrying amount and yield (on a tax equivalent basis) of our investment securities portfolio at Sept. 30, 2013.

Maturity distribution and yield on investment securities at Sept. 30, 2013	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	$	1,664	1.21	%	$	362	1.22	%	$	439	0.86	%	$	4,370	1.18	%	$	—	—	%	$	6,835
Over 1 through 5 years	3,656		0.93		585		1.89		3,177		1.85		10,902		1.04		—		—		18,320
Over 5 through 10 years	1,333		2.86		134		1.65		2,804		3.29		1,855		2.77		—		—		6,126
Over 10 years	3,778		3.12		—		—		300		2.48		—		—		—		—		4,078
Mortgage-backed securities	—		—		—		—		—		—		—		—		36,752		2.60		36,752
Asset-backed securities	—		—		—		—		—		—		—		—		4,024		1.18		4,024
Equity securities (b)	—		—		—		—		—		—		—		—		964		—		964
Total	$	10,431	2.01	%	$	1,081	1.63	%	$	6,720	2.42	%	$	17,127	1.26	%	$	41,740	2.40	%	$	77,099
Securities held-to-maturity:
One year or less	$	—	—	%	$	—	—	%	$	—	—	%	$	3	0.15	%	$	—	—	%	$	3
Over 1 through 5 years	2,379		1.21		308		1.18		—		—		703		0.54		—		—		3,390
Over 5 through 10 years	945		2.22		111		1.61		34		6.74		—		—		—		—		1,090
Over 10 years	—		—		—		—		20		4.48		—		—		—		—		20
Mortgage-backed securities	—		—		—		—		—		—		—		—		15,855		2.67		15,855
Total	$	3,324	1.49	%	$	419	1.29	%	$	54	5.90	%	$	706	0.54	%	$	15,855	2.67	%	$	20,358

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

(b) Includes money market funds.

Projected Weighted-Average Default Rates and Loss Severities

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 Sept. 30, 2013 and Dec. 31, 2012.

Projected weighted-average default rates and loss severities
	Sept. 30, 2013				Dec. 31, 2012
	Default rate		Severity		Default rate		Severity
Alt-A	41	%	57	%	43	%	57	%
Subprime	58	%	71	%	61	%	72	%
Prime	23	%	42	%	24	%	43	%

Pre-Tax Securities Gains (Losses) by Type

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

Net securities gains (losses)
(in millions)	3Q13			2Q13			3Q12			YTD13			YTD12
U.S. Treasury	$	22		$	31		$	—		$	49		$	82
Commercial MBS	—			7			—			15			—
Foreign covered bonds	—			—			—			8			—
Sovereign debt	1			—			15			2			83
Non-agency RMBS	(4		)	(3		)	(3		)	(3		)	(44		)
European floating rate notes	3			(10		)	(6		)	(3		)	(29		)
Corporate bonds	—			—			10			—			19
Other	—			7			6			34			1
Total net securities gains	$	22		$	32		$	22		$	102		$	112

Debt Securities Credit Losses Roll Forward Recorded in Earnings

Debt securities credit loss roll forward
(in millions)	3Q13		3Q12
Beginning balance as of June 30	$	164	$	333
Add: Initial OTTI credit losses	—		2
Subsequent OTTI credit losses	3		4
Less: Realized losses for securities sold	2		77
Ending balance as of Sept. 30	$	165	$	262

Debt securities credit loss roll forward	Year-to-date
(in millions)	2013		2012
Beginning balance as of Jan. 1	$	288	$	253
Add: Initial OTTI credit losses	16		52
Subsequent OTTI credit losses	10		42
Less: Realized losses for securities sold	149		85
Ending balance as of Sept. 30	$	165	$	262