XML 202 R38.htm IDEA: XBRL DOCUMENT v2.4.0.6
Investment Securities (Tables)
12 Months Ended
Dec. 31, 2011
Investment Securities Disclosure [Abstract]  
Investment Securities Summary
Note 7 Investment Securities  
                
Investment Securities Summary  
                
    AmortizedUnrealized Fair 
In millions CostGainsLosses Value 
December 31, 2011             
                
Securities Available for Sale             
Debt securities             
 US Treasury and government agencies $ 3,369 $ 348    $ 3,717 
 Residential mortgage-backed             
  Agency   26,081   772 $ (61)   26,792 
  Non-agency   6,673   152   (1,268)   5,557 
 Commercial mortgage-backed             
  Agency   1,101   39      1,140 
  Non-agency   2,693   80   (17)   2,756 
 Asset-backed   3,854   31   (216)   3,669 
 State and municipal   1,779   75   (47)   1,807 
 Other debt   2,691   83   (12)   2,762 
  Total debt securities   48,241   1,580   (1,621)   48,200 
Corporate stocks and other   368         368 
 Total securities available for sale $ 48,609 $ 1,580 $ (1,621) $ 48,568 
Securities Held to Maturity             
Debt securities             
 US Treasury and government agencies $ 221 $ 40    $ 261 
 Residential mortgage-backed (agency)   4,761   131 $ (1)   4,891 
 Commercial mortgage-backed              
  Agency   1,332   50      1,382 
  Non-agency   3,467   108   (2)   3,573 
 Asset-backed   1,251   14   (3)   1,262 
 State and municipal   671   31      702 
 Other debt   363   16      379 
 Total securities held to maturity $ 12,066 $ 390 $ (6) $ 12,450 
                
December 31, 2010             
                
Securities Available for Sale             
Debt securities             
 US Treasury and government agencies $ 5,575 $ 157 $ (22) $ 5,710 
 Residential mortgage-backed             
  Agency   31,697   443   (420)   31,720 
  Non-agency   8,193   230   (1,190)   7,233 
 Commercial mortgage-backed             
  Agency   1,763   40   (6)   1,797 
  Non-agency   1,794   73   (11)   1,856 
 Asset-backed   2,780   40   (238)   2,582 
 State and municipal   1,999   30   (72)   1,957 
 Other debt   3,992   102   (17)   4,077 
  Total debt securities   57,793   1,115   (1,976)   56,932 
Corporate stocks and other   378         378 
 Total securities available for sale $ 58,171 $ 1,115 $ (1,976) $ 57,310 
Securities Held to Maturity             
Debt securities             
 Commercial mortgage-backed (non-agency) $ 4,316 $ 178 $ (4) $ 4,490 
 Asset-backed   2,626   51   (1)   2,676 
 Other debt   10   1      11 
 Total securities held to maturity $ 6,952 $ 230 $ (5) $ 7,177 
                
                
December 31, 2009             
                
Securities Available for Sale             
Debt securities             
 US Treasury and government agencies $ 7,548 $ 20 $ (48) $ 7,520 
 Residential mortgage-backed             
  Agency   24,076   439   (77)   24,438 
  Non-agency   10,419   236   (2,353)   8,302 
 Commercial mortgage-backed             
  Agency   1,299   10   (12)   1,297 
  Non-agency   4,028   42   (222)   3,848 
 Asset-backed   2,019   30   (381)   1,668 
 State and municipal   1,346   58   (54)   1,350 
 Other debt   1,984   38   (7)   2,015 
  Total debt securities   52,719   873   (3,154)   50,438 
Corporate stocks and other   360         360 
 Total securities available for sale $ 53,079 $ 873 $ (3,154) $ 50,798 
Securities Held to Maturity             
Debt securities             
 Commercial mortgage-backed (non-agency) $ 2,030 $ 195    $ 2,225 
 Asset-backed   3,040   109 $ (13)   3,136 
 Other debt   159   1      160 
 Total securities held to maturity $ 5,229 $ 305 $ (13) $ 5,521 
Gross Unrealized Loss and Fair Value of Securities Available for Sale
Gross Unrealized Loss and Fair Value of Securities Available for Sale  
                       
    Unrealized loss position lessUnrealized loss position 12      
In millionsthan 12 monthsmonths or moreTotal 
    Unrealized Fair Unrealized Fair Unrealized Fair 
    Loss Value Loss Value Loss Value 
December 31, 2011                   
Debt securities                   
 Residential mortgage-backed                   
  Agency $ (24) $ 2,165 $ (37) $ 408 $ (61) $ 2,573 
  Non-agency   (26)   273   (1,242)   4,378   (1,268)   4,651 
 Commercial mortgage-backed                   
  Agency                   
  Non-agency   (17)   483         (17)   483 
 Asset-backed   (13)   1,355   (203)   764   (216)   2,119 
 State and municipal   (6)   512   (41)   318   (47)   830 
 Other debt   (5)   240   (7)   289   (12)   529 
   Total $ (91) $ 5,028 $ (1,530) $ 6,157 $ (1,621) $ 11,185 
                       
December 31, 2010                   
Debt securities                   
 US Treasury and government agencies $ (22) $ 398       $ (22) $ 398 
 Residential mortgage-backed                   
  Agency   (406)   17,040 $ (14) $ 186   (420)   17,226 
  Non-agency   (17)   345   (1,173)   5,707   (1,190)   6,052 
 Commercial mortgage-backed                   
  Agency   (6)   344         (6)   344 
  Non-agency   (8)   184   (3)   84   (11)   268 
 Asset-backed   (5)   441   (233)   776   (238)   1,217 
 State and municipal   (22)   931   (50)   247   (72)   1,178 
 Other debt   (14)   701   (3)   13   (17)   714 
   Total $ (500) $ 20,384 $ (1,476) $ 7,013 $ (1,976) $ 27,397 
Credit Impairment Assessment Assumptions - Non Agency Residential Mortgage-Backed and Asset-Backed Securities
Credit Impairment Assessment Assumptions – Non-Agency Residential Mortgage-Backed and Asset-Backed Securities (a)
           
   Weighted- 
December 31, 2011Range average (b) 
Long-term prepayment rate (annual CPR)        
 Prime 7-20%  14%
 Alt-A 5-12   6 
 Option ARM 3-6   3 
Remaining collateral expected to default        
 Prime 1-49%  19%
 Alt-A 1-59   34 
 Option ARM 16-81   61 
Loss severity        
 Prime 5-70%  46%
 Alt-A 18-82   57 
 Option ARM 41-69   58 
(a) Collateralized by first and second-lien non-agency residential mortgage loans.
(b) Calculated by weighting the relevant assumption for each individual security by the current outstanding cost basis of the security.
Summary of OTTI Credit Losses Recognized in Earnings
Summary of OTTI Credit Losses Recognized in Earnings
   
Year ended December 31       
In millions20112010 
Available for sale securities:       
 Non-agency residential mortgage-backed $ (130) $ (242) 
 Non-agency commercial mortgage-backed      (5) 
 Asset-backed   (21)   (78) 
 Other debt   (1)    
Total $ (152) $ (325) 
Summary of OTTI Noncredit Losses Recognized in Accumulated Other Comprehensive Loss
Summary of OTTI Noncredit Losses Included in Accumulated Other Comprehensive Loss  
          
    
In millions 2011 2010  
Total $ (268) $ (283)  
Rollforward of Cumulative OTTI Credit Losses Recognized in Earnings
Rollforward of Cumulative OTTI Credit Losses Recognized in Earnings
                         
  Non-agency Non-agency             
  residential commercial             
In millionsmortgage-backed mortgage-backed Asset-backed Other debt Total 
December 31, 2009 (a) $ (479)   $ (6)   $ (145)   $ (12)  $ (642) 
Loss where impairment was not previously recognized   (44)    (3)     (17)         (64) 
Additional loss where credit impairment was previously recognized   (198)    (2)     (61)         (261) 
Reduction due to credit impaired securities sold   12                   12 
December 31, 2010   (709)    (11)     (223)     (12)    (955) 
Loss where impairment was not previously recognized   (18)          (3)     (1)    (22) 
Additional loss where credit impairment was previously recognized   (112)          (18)         (130) 
Reduction due to credit impaired securities sold   11    5              16 
December 31, 2011 $ (828)   $ (6)   $ (244)   $ (13)  $ (1,091) 
(a) Excludes OTTI credit losses related to equity securities totaling $4 million. 
Gains (Losses) on Sales Of Securities Available for Sale
Gains (Losses) on Sales of Securities Available for Sale                 
                 
     Gross Gross Net Tax 
In millions Proceeds Gains Losses Gains Expense 
For the year ended December 31                
2011 $ 21,039 $ 406 $ 157 $ 249 $ 87 
2010   23,783   490   64   426   149 
2009   18,901   570   20   550   192 
Contractual Maturity of Debt Securities
Contractual Maturity of Debt Securities
                      
December 31, 2011   After 1 Year After 5 Years After 10    
Dollars in millions 1 Year or Less through 5 Years through 10 Years Years Total 
Securities Available for Sale                    
US Treasury and government agencies     $ 2,134  $ 835  $ 400  $ 3,369 
Residential mortgage-backed                    
 Agency       29    840    25,212    26,081 
 Non-agency           28    6,645    6,673 
Commercial mortgage-backed                    
 Agency       740    361        1,101 
 Non-agency $ 27    183    49    2,434    2,693 
Asset-backed   68    772    627    2,387    3,854 
State and municipal   17    68    293    1,401    1,779 
Other debt   292    1,322    601    476    2,691 
 Total debt securities available for sale $ 404  $ 5,248  $ 3,634  $ 38,955  $ 48,241 
Fair value $ 407  $ 5,401  $ 3,860  $ 38,532  $ 48,200 
Weighted-average yield, GAAP basis   2.62%   2.83%   3.35%   3.69%   3.56%
Securities Held to Maturity                    
US Treasury and government agencies             $221  $ 221 
Residential mortgage-backed (agency)               4,761    4,761 
Commercial mortgage-backed                    
 Agency     $162  $ 1,164    6    1,332 
 Non-agency      89        3,378    3,467 
Asset-backed $ 7    794    98    352    1,251 
State and municipal   8    46    127    490    671 
Other debt       2    361        363 
Total debt securities held to maturity $ 15  $ 1,093  $ 1,750  $ 9,208  $ 12,066 
Fair value $ 15  $ 1,109  $ 1,820  $ 9,506  $ 12,450 
Weighted-average yield, GAAP basis   2.86%   2.49%   3.29%   4.44%   4.09%
Weighted-Average Expected Maturity of Mortgage and Other Asset-Backed Debt Securities
Weighted-Average Expected Maturity of Mortgage and Other Asset-Backed Debt Securities
    
 December 31
 2011
Agency residential mortgage-backed securities  3.3years
Non-agency residential mortgage-backed securities  4.7years
Agency commercial mortgage-backed securities  5.4years
Non-agency commercial mortgage-backed securities  2.6years
Asset-backed securities  3.2years
Fair Value of Securities Pledged and Accepted as Collateral
Fair Value of Securities Pledged and Accepted as Collateral      
           
   December 31 December 31 
In millions 2011 2010 
Pledged to others  $ 20,109  $ 27,985 
Accepted from others:         
 Permitted by contract or custom to sell or repledge    1,796    3,529 
 Permitted amount repledged to others    892    1,971