Securities (Tables)

3 Months Ended

Mar. 31, 2012

Amortized Cost to Fair Values of Securities Available for Sale

The following tables provide the amortized cost and fair values of securities at March 31, 2012 and December 31, 2011.

Securities Available for Sale

March 31, 2012

Amortized
Cost

Gross Unrealized

Fair
Value

(In Millions)

Gains

Losses

U.S. Government

2,717.9

48.7

0.1

2,766.5

Obligations of States and Political Subdivisions

14.1

0.9

—

15.0

Government Sponsored Agency

17,521.6

96.6

12.9

17,605.3

Corporate Debt

2,831.2

9.8

1.3

2,839.7

Covered Bonds

1,355.9

22.5

2.0

1,376.4

Non-U.S. Government Debt

192.2

—

192.2

Supranational Bonds

909.3

3.4

1.6

911.1

Residential Mortgage-Backed

161.4

0.1

23.9

137.6

Other Asset-Backed

2,035.8

1.9

2.7

2,035.0

Certificates of Deposit

2,448.4

0.8

0.7

2,448.5

Auction Rate

184.7

3.9

12.3

176.3

Other

403.3

0.2

0.3

403.2

Total

30,775.8

188.8

57.8

30,906.8

Securities Held to Maturity

March 31, 2012

Amortized
Cost

Gross Unrealized

Fair
Value

(In Millions)

Gains

Losses

Obligations of States and Political Subdivisions

460.5

22.2

—

482.7

Government Sponsored Agency

150.2

4.1

—

154.3

Other

99.0

0.2

9.0

90.2

Total

709.7

26.5

9.0

727.2


Securities Available for Sale	December 31, 2011
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	3,965.9	$	63.5	$	—	$	4,029.4
Obligations of States and Political Subdivisions		14.9		0.9		—		15.8
Government Sponsored Agency		16,702.6		86.1		17.3		16,771.4
Corporate Debt		2,677.7		4.7		5.7		2,676.7
Covered Bonds		746.1		9.2		0.4		754.9
Non-U.S. Government Debt		173.7		—		—		173.7
Supranational Bonds		971.0		3.0		1.9		972.1
Residential Mortgage-Backed		196.1		—		32.3		163.8
Other Asset-Backed		1,606.8		1.3		3.3		1,604.8
Certificates of Deposit		2,418.2		0.2		0.3		2,418.1
Auction Rate		186.5		4.3		12.5		178.3
Other		433.1		0.6		0.2		433.5

Total	$	30,092.6	$	173.8	$	73.9	$	30,192.5


Securities Held to Maturity	December 31, 2011
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
Obligations of States and Political Subdivisions	$	529.4	$	24.6	$	0.1	$	553.9
Government Sponsored Agency		156.8		4.3		0.1		161.0
Other		113.0		0.1		10.9		102.2

Total	$	799.2	$	29.0	$	11.1	$	817.1

Remaining Maturity of Securities

The following table provides the remaining maturity of securities as of March 31, 2012.


(In Millions)	Amortized Cost		Fair Value
Available for Sale
Due in One Year or Less	$	10,552.9	$	10,554.8
Due After One Year Through Five Years		18,176.5		18,295.8
Due After Five Years Through Ten Years		1,342.1		1,343.6
Due After Ten Years		704.3		712.6

Total		30,775.8		30,906.8

Held to Maturity
Due in One Year or Less		135.4		136.1
Due After One Year Through Five Years		252.6		261.2
Due After Five Years Through Ten Years		172.7		180.8
Due After Ten Years		149.0		149.1

Total	$	709.7	$	727.2

Securities Continuous Unrealized Loss Position

The following tables provide information regarding securities that have been in a continuous unrealized loss position for less than 12 months and for 12 months or longer as of March 31, 2012 and December 31, 2011.


Securities with Unrealized Losses as of March 31, 2012	Less than 12 Months				12 Months or Longer				Total
(In Millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Government	$	749.4	$	0.1	$	—	$	—	$	749.4	$	0.1
Government Sponsored Agency		5,111.9		9.4		528.9		3.5		5,640.8		12.9
Corporate Debt		835.6		1.1		99.8		0.2		935.4		1.3
Covered Bonds		283.5		2.0		—		—		283.5		2.0
Supranational Bonds		262.0		1.4		149.8		0.2		411.8		1.6
Residential Mortgage-Backed		1.0		0.9		131.3		23.0		132.3		23.9
Other Asset-Backed		497.1		1.6		260.1		1.1		757.2		2.7
Certificates of Deposit		1,210.8		0.7		—		—		1,210.8		0.7
Auction Rate		6.3		0.5		106.9		11.8		113.2		12.3
Other		265.9		1.5		45.5		7.8		311.4		9.3

Total	$	9,223.5	$	19.2	$	1,322.3	$	47.6	$	10,545.8	$	66.8


Securities with Unrealized Losses as of December 31, 2011	Less than 12 Months				12 Months or Longer				Total
(In Millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Obligations of States and Political Subdivisions	$	2.7	$	0.1	$	—	$	—	$	2.7	$	0.1
Government Sponsored Agency		5,492.5		14.1		470.1		3.3		5,962.6		17.4
Corporate Debt		1,027.5		4.1		123.6		1.6		1,151.1		5.7
Covered Bonds		50.4		0.4		—		—		50.4		0.4
Supranational Bonds		438.2		1.8		99.9		0.1		538.1		1.9
Residential Mortgage-Backed		4.7		0.9		158.8		31.4		163.5		32.3
Other Asset-Backed		824.6		2.3		205.7		1.0		1,030.3		3.3
Certificates of Deposit		1,019.9		0.3		—		—		1,019.9		0.3
Auction Rate		61.0		7.3		52.6		5.2		113.6		12.5
Other		146.3		2.1		45.0		9.0		191.3		11.1

Total	$	9,067.8	$	33.4	$	1,155.7	$	51.6	$	10,223.5	$	85.0

Book Values, Ultimate Default Rates, and Loss Severity Rates for Non-Agency Residential Mortgage-Backed Securities Portfolio, by Security Type

March 31, 2012 amortized cost, weighted average ultimate default rates, and loss severity rates for the non-agency residential mortgage-backed securities portfolio, by security type, are provided in the following table.

($ In Millions)

March 31, 2012

Loss Severity Rates

Security Type

Amortized
Cost

Weighted Average
Ultimate Default
Rates

Low

High

Weighted
Average

Prime

23.6

16.5

37.7

66.0

50.4

Alt-A

16.0

42.8

69.3

69.4

Subprime

91.0

51.0

65.7

84.9

71.8

2nd Lien

30.8

33.7

98.7

100.0

99.4

Total Non-Agency Residential Mortgage-Backed Securities

161.4

41.6

37.7

100.0

73.7

The table below provides information regarding total other-than-temporarily impaired securities, including noncredit-related amounts recognized in other comprehensive income and net impairment losses recognized in earnings, for the three months ended March 31, 2012 and 2011.


	Three Months Ended March 31,
(In Millions)	2012			2011
Changes in OTTI Losses*	$	(3.1	)	$	0.1
Noncredit-related Losses Recorded in / (Reclassified from) OCI**		—			(5.2	)

Net Impairment Losses Recognized in Earnings	$	(3.1	)	$	(5.1	)

For initial other-than-temporary impairments in the respective period, the balance includes the excess of the amortized cost over the fair value of the impaired securities. For subsequent impairments of the same security, the balance includes any additional changes in fair value of the security subsequent to its most recently recorded OTTI.

For initial other-than-temporary impairments in the respective period, the balance includes the portion of the excess of amortized cost over the fair value of the impaired securities that was recorded in OCI. For subsequent impairments of the same security, the balance includes additional changes in OCI for that security subsequent to its most recently recorded OTTI.

Cumulative Credit-Related Losses Recognized in Earnings on Debt Securities Other-Than-Temporarily Impaired

Provided in the table below are the cumulative credit-related losses recognized in earnings on debt securities other-than-temporarily impaired.


	Three Months Ended March 31,
(In Millions)	2012			2011
Cumulative Credit-Related Losses on Securities Held – Beginning of Period	$	68.2		$	94.2
Plus: Losses on Newly Identified Impairments		1.6			—
Additional Losses on Previously Identified Impairments		1.5			5.1
Less: Current and Prior Period Losses on Securities Sold During the Period		(26.5	)		—

Cumulative Credit-Related Losses on Securities Held – End of Period	$	44.8		$	99.3

Debt Securities Held for which Other-Than-Temporary Impairment Loss has been Recognized in Current Period or Previously

The table below provides information regarding debt securities held as of March 31, 2012 and December 31, 2011, for which an OTTI loss has been recognized in the current period or previously.


(In Millions)	March 31, 2012			December 31, 2011
Fair Value	$	84.6		$	73.6
Amortized Cost Basis		102.0			96.8

Noncredit-related Losses Recognized in OCI	$	(17.4	)	$	(23.2	)
Tax Effect		6.5			8.6

Amount Recorded in OCI	$	(10.9	)	$	(14.6	)

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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