Investment Securities (Tables)

9 Months Ended

Sep. 30, 2011

Investment Securities held to maturity and Available for sale


	September 30, 2011											December 31, 2010
					Unrealized Losses											Unrealized Losses
	Amortized		Unrealized		Other-than-					Fair		Amortized		Unrealized		Other-than-					Fair
(Dollars in Millions)	Cost		Gains		Temporary (d)		Other (e)			Value		Cost		Gains		Temporary (d)		Other (e)			Value
Held-to-maturity (a)
U.S. Treasury and agencies	$	2,623	$	36	$	–	$	–		$	2,659	$	165	$	–	$	–	$	(1	)	$	164
Mortgage-backed securities
Residential
Agency		13,400		339		–		(4	)		13,735		847		–		–		(4	)		843
Non-agency non-prime		2		–		–		(1	)		1		3		–		–		–			3
Commercial non-agency		5		–		–		(2	)		3		10		–		–		(5	)		5
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		60		13		–		(3	)		70		157		13		–		(18	)		152
Other		24		1		–		(7	)		18		127		–		(1)		(7	)		119
Obligations of state and political subdivisions		24		1		–		(1	)		24		27		1		–		(1	)		27
Obligations of foreign governments		7		–		–		–			7		7		–		–		–			7
Other debt securities		124		–		–		(28	)		96		126		–		–		(27	)		99

Total held-to-maturity	$	16,269	$	390	$	–	$	(46	)	$	16,613	$	1,469	$	14	$	(1)	$	(63	)	$	1,419

Available-for-sale (b)
U.S. Treasury and agencies	$	1,477	$	12	$	–	$	–		$	1,489	$	2,559	$	6	$	–	$	(28	)	$	2,537
Mortgage-backed securities
Residential
Agency		38,767		992		–		(21	)		39,738		37,144		718		–		(159	)		37,703
Non-agency
Prime (c)		950		6		(48)		(49	)		859		1,216		12		(86)		(39	)		1,103
Non-prime		1,076		17		(224)		(12	)		857		1,193		15		(243)		(18	)		947
Commercial
Agency		140		7		–		–			147		194		5		–		(2	)		197
Non-agency		43		2		–		–			45		47		3		–		–			50
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		189		34		(2)		(3	)		218		204		23		(2)		(1	)		224
Other		693		19		(3)		(23	)		686		709		23		(3)		(9	)		720
Obligations of state and political subdivisions		6,409		130		–		(40	)		6,499		6,835		3		–		(421	)		6,417
Obligations of foreign governments		6		–		–		–			6		6		–		–		–			6
Corporate debt securities		1,109		–		–		(140	)		969		1,109		–		–		(151	)		958
Perpetual preferred securities		455		31		–		(80	)		406		456		41		–		(49	)		448
Other investments		178		13		–		(1	)		190		183		17		–		(1	)		199

Total available-for-sale	$	51,492	$	1,263	$	(277)	$	(369	)	$	52,109	$	51,855	$	866	$	(334)	$	(878	)	$	51,509


(a)		Held-to-maturity securities are carried at historical cost adjusted for amortization of premiums and accretion of discounts and credit-related other-than-temporary impairment.
(b)		Available-for-sale securities are carried at fair value with unrealized net gains or losses reported within accumulated other comprehensive income (loss) in shareholders’ equity.
(c)		Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhancements consistent with securities designated as prime.
(d)		Represents impairment not related to credit for those securities that have been determined to be other-than-temporarily impaired.
(e)		Represents unrealized losses on securities that have not been determined to be other-than-temporarily impaired.

Amount of interest income from taxable and nontaxable investment securities


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(Dollars in Millions)	2011		2010		2011		2010
Taxable	$	394	$	323	$	1,127	$	973
Non-taxable		76		77		230		231

Total interest income from investment securities	$	470	$	400	$	1,357	$	1,204

Amount of gross gains and losses realized through sales of available for sale investment securities


	Three Months Ended					Nine Months Ended
	September 30,					September 30,
(Dollars in Millions)	2011			2010		2011			2010
Realized gains	$	4		$	9	$	6		$	21
Realized losses		(4	)		–		(4	)		–

Net realized gains (losses)	$	–		$	9	$	2		$	21

Income tax (benefit) on realized gains (losses)	$	–		$	4	$	1		$	8

Accretable balance of structured investment securities and other investment securities


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in Millions)	2011			2010			2011			2010
Balance at beginning of period	$	117		$	302		$	139		$	292
Additions (a)		–			66			–			66
Disposals (a)		–			(50	)		–			(50	)
Accretion		(4	)		(8	)		(13	)		(23	)
Other (b)		(6	)		(1	)		(19	)		24

Balance at end of period	$	107		$	309		$	107		$	309


(a)		Additions and disposals resulted from the exchange of certain SIV’s for the underlying investment securities.
(b)		Primarily represents changes in projected future cash flows related to variable rates on certain investment securities.

Summary of other than temporary impairment by investment category


	2011									2010
	Losses									Losses
Three Months Ended September 30	Recorded in			Other Gains						Recorded in			Other Gains
(Dollars in Millions)	Earnings			(Losses) (b)			Total			Earnings			(Losses) (b)			Total
Held-to-maturity
Asset-backed securities
Other	$	–		$	–		$	–		$	–		$	–		$	–

Total held-to-maturity	$	–		$	–		$	–		$	–		$	–		$	–

Available-for-sale
Mortgage-backed securities
Non-agency residential
Prime (a)	$	–		$	–		$	–		$	(1	)	$	(1	)	$	(2	)
Non-prime		(6	)		(4	)		(10	)		(13	)		(11	)		(24	)
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		–			–			–			(1	)		–			(1	)
Other		(3	)		2			(1	)		(2	)		2			–
Perpetual preferred securities		–			–			–			(1	)		–			(1	)

Total available-for-sale	$	(9	)	$	(2	)	$	(11	)	$	(18	)	$	(10	)	$	(28	)


(a)		Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhancements consistent with securities designated as prime.
(b)		Represents the non-credit portion of other-than-temporary impairment recorded in other comprehensive income for securities determined to be other-than-temporarily impaired during the period.


	2011									2010
	Losses									Losses
Nine Months Ended September 30	Recorded in			Other Gains						Recorded in			Other Gains
(Dollars in Millions)	Earnings			(Losses) (b)			Total			Earnings			(Losses) (b)			Total
Held-to-maturity
Asset-backed securities
Other	$	–		$	–		$	–		$	(2	)	$	–		$	(2	)

Total held-to-maturity	$	–		$	–		$	–		$	(2	)	$	–		$	(2	)

Available-for-sale
Mortgage-backed securities
Non-agency residential
Prime (a)	$	(2	)	$	(3	)	$	(5	)	$	(4	)	$	(11	)	$	(15	)
Non-prime		(18	)		(16	)		(34	)		(59	)		(54	)		(113	)
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		–			–			–			(6	)		–			(6	)
Other		(4	)		2			(2	)		(12	)		4			(8	)
Perpetual preferred securities		–			–			–			(1	)		–			(1	)
Other debt securities		–			–			–			(1	)		1			–

Total available-for-sale	$	(24	)	$	(17	)	$	(41	)	$	(83	)	$	(60	)	$	(143	)


(a)		Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhancements consistent with securities designated as prime.
(b)		Represents the non-credit portion of other-than-temporary impairment recorded in other comprehensive income for securities determined to be other-than-temporarily impaired during the period.

Summary of ranges used in valuation of non-agency mortgage-backed securities other than temporarily impaired


	Prime									Non-Prime
	Minimum			Maximum			Average			Minimum			Maximum			Average
September 30, 2011
Estimated lifetime prepayment rates		7	%		15	%		13	%		1	%		11	%		6	%
Lifetime probability of default rates		2			7			3			1			19			6
Lifetime loss severity rates		40			55			46			8			70			53
December 31, 2010
Estimated lifetime prepayment rates		4	%		14	%		13	%		1	%		12	%		6	%
Lifetime probability of default rates		3			9			3			1			20			8
Lifetime loss severity rates		40			55			41			37			71			55

Credit losses on non-agency mortgage backed and other debt securities


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in Millions)	2011			2010			2011			2010
Balance at beginning of period	$	319		$	382		$	358		$	335
Additions to credit losses due to other-than-temporary impairments
Credit losses on securities not previously considered other-than-temporarily impaired		1			3			3			18
Decreases in expected cash flows on securities for which other-than-temporary impairment was previously recognized		8			15			21			67

Total other-than-temporary impairment on debt securities		9			18			24			85
Other changes in credit losses
Increases in expected cash flows		(3	)		(4	)		(20	)		(17	)
Realized losses (a)		(19	)		(19	)		(55	)		(44	)
Credit losses on security sales and securities expected to be sold		–			–			(1	)		–
Other		–			–			–			18

Balance at end of period	$	306		$	377		$	306		$	377


(a)		Primarily represents principal losses allocated to mortgage and asset-backed securities in the Company’s portfolio under the terms of the securitization transaction documents.

Gross unrealized losses and fair value of the Company's investments with unrealized losses


	Less Than 12 Months					12 Months or Greater					Total
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
(Dollars in Millions)	Value		Losses			Value		Losses			Value		Losses
Held-to-maturity
Mortgage-backed securities
Residential
Agency	$	1,769	$	(4	)	$	–	$	–		$	1,769	$	(4	)
Non-agency non-prime (a)		–		–			1		(1	)		1		(1	)
Commercial non-agency		–		–			3		(2	)		3		(2	)
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		–		–			31		(3	)		31		(3	)
Other		–		–			15		(7	)		15		(7	)
Obligations of state and political subdivisions		–		–			9		(1	)		9		(1	)
Other debt securities		–		–			96		(28	)		96		(28	)

Total held-to-maturity	$	1,769	$	(4	)	$	155	$	(42	)	$	1,924	$	(46	)

Available-for-sale
U.S. Treasury and agencies	$	208	$	–		$	–	$	–		$	208	$	–
Mortgage-backed securities
Residential
Agency		10,936		(21	)		141		–			11,077		(21	)
Non-agency (a)
Prime (b)		103		(4	)		689		(93	)		792		(97	)
Non-prime		59		(6	)		699		(230	)		758		(236	)
Commercial non-agency		22		–			–		–			22		–
Asset-backed securities
Collateralized debt obligations/Collaterized loan obligations		16		(3	)		7		(2	)		23		(5	)
Other		460		(12	)		117		(14	)		577		(26	)
Obligations of state and political subdivisions		457		(3	)		1,087		(37	)		1,544		(40	)
Corporate debt securities		186		(4	)		641		(136	)		827		(140	)
Perpetual preferred securities		61		(14	)		231		(66	)		292		(80	)
Other investments		1		–			3		(1	)		4		(1	)

Total available-for-sale	$	12,509	$	(67	)	$	3,615	$	(579	)	$	16,124	$	(646	)


(a)		The Company has $334 million of unrealized losses on residential non-agency mortgage-backed securities. Credit-related other-than-temporary impairment on these securities may occur if there is further deterioration in underlying collateral pool performance. Borrower defaults may increase if current economic conditions persist or worsen. Additionally, further deterioration in home prices may increase the severity of projected losses.
(b)		Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhanacements consistent with securities designated as prime.

Investment Securities


	Available-for-Sale									Held-to-Maturity
					Weighted-									Weighted-
					Average		Weighted-							Average		Weighted-
	Amortized		Fair		Maturity in		Average			Amortized		Fair		Maturity in		Average
September 30, 2011 (Dollars in Millions)	Cost		Value		Years		Yield (e)			Cost		Value		Years		Yield (e)
U.S. Treasury and Agencies
Maturing in one year or less	$	852	$	853		.3		1.73	%	$	–	$	–		–		–	%
Maturing after one year through five years		556		562		2.2		.92			2,501		2,537		2.4		.99
Maturing after five years through ten years		49		53		8.5		4.24			–		–		–		–
Maturing after ten years		20		21		11.8		3.42			122		122		12.0		1.74

Total	$	1,477	$	1,489		1.4		1.53	%	$	2,623	$	2,659		2.9		1.02	%

Mortgage-Backed Securities (a)
Maturing in one year or less	$	679	$	680		.6		2.53	%	$	200	$	198		.7		1.48	%
Maturing after one year through five years		30,646		31,508		3.4		2.92			10,884		11,168		3.6		2.57
Maturing after five years through ten years		7,863		7,730		6.6		2.02			1,801		1,843		5.5		2.07
Maturing after ten years		1,788		1,728		12.3		1.69			522		530		11.9		1.42

Total	$	40,976	$	41,646		4.4		2.69	%	$	13,407	$	13,739		4.2		2.44	%

Asset-Backed Securities (a)
Maturing in one year or less	$	6	$	15		.5		13.56	%	$	2	$	2		.3		1.01	%
Maturing after one year through five years		179		185		3.5		13.01			44		44		2.9		.95
Maturing after five years through ten years		689		695		8.0		2.81			14		17		6.3		.87
Maturing after ten years		8		9		15.9		7.80			24		25		23.0		.82

Total	$	882	$	904		7.1		5.01	%	$	84	$	88		9.1		.90	%

Obligations of State and Political Subdivisions (b)(c)
Maturing in one year or less	$	16	$	16		.4		6.08	%	$	–	$	–		.5		7.62	%
Maturing after one year through five years		3,083		3,145		4.1		6.59			5		6		3.3		8.38
Maturing after five years through ten years		2,888		2,946		5.7		6.79			4		4		6.0		5.38
Maturing after ten years		422		392		20.4		7.19			15		14		15.4		5.53

Total	$	6,409	$	6,499		5.9		6.72	%	$	24	$	24		11.2		6.17	%

Other Debt Securities
Maturing in one year or less	$	122	$	112		.4		6.24	%	$	1	$	1		.5		.84	%
Maturing after one year through five years		–		–		–		–			12		10		2.0		1.29
Maturing after five years through ten years		31		28		6.0		6.33			118		92		7.0		1.17
Maturing after ten years		1,282		1,091		30.3		4.07			–		–		–		–

Total	$	1,435	$	1,231		27.2		4.30	%	$	131	$	103		6.5		1.18	%

Other Investments	$	313	$	340		17.3		3.99	%	$	–	$	–		–		–	%

Total investment securities (d)	$	51,492	$	52,109		5.3		3.25	%	$	16,269	$	16,613		4.0		2.20	%


(a)		Information related to asset and mortgage-backed securities included above is presented based upon weighted-average maturities anticipating future prepayments.
(b)		Information related to obligations of state and political subdivisions is presented based upon yield to first optional call date if the security is purchased at a premium, yield to maturity if purchased at par or a discount.
(c)		Maturity calculations for obligations of state and politicial subdivisions are based on the first optional call date for securities with a fair value above par and contractual maturity for securities with a fair value equal to or below par.
(d)		The weighted-average maturity of the available-for-sale investment securities was 7.4 years at December 31, 2010, with a corresponding weighted-average yield of 3.41 percent. The weighted-average maturity of the held-to-maturity investment securities was 6.3 years at December 31, 2010, with a corresponding weighted-average yield of 2.07 percent.
(e)		Average yields are presented on a fully-taxable equivalent basis under a tax rate of 35 percent. Yields on available-for-sale and held-to-maturity securities are computed based on historical cost balances. Average yield and maturity calculations exclude equity securities that have no stated yield or maturity.


	September 30, 2011					December 31, 2010
	Amortized		Percent			Amortized		Percent
(Dollars in Millions)	Cost		of Total			Cost		of Total
U.S. Treasury and agencies	$	4,100		6.1	%	$	2,724		5.1	%
Mortgage-backed securities		54,383		80.2			40,654		76.2
Asset-backed securities		966		1.4			1,197		2.3
Obligations of state and political subdivisions		6,433		9.5			6,862		12.9
Other debt securities and investments		1,879		2.8			1,887		3.5

Total investment securities	$	67,761		100.0	%	$	53,324		100.0	%