Securities (Tables)

12 Months Ended

Dec. 31, 2014

Reconciliation of Amortized Cost to Fair Value of Securities Available for Sale

The following tables provide the amortized cost, fair values, and remaining maturities of securities available for sale.

TABLE 46: RECONCILIATION OF AMORTIZED COST TO FAIR VALUE OF SECURITIES AVAILABLE FOR SALE


	DECEMBER 31, 2014
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	4,493.5	$	15.1	$	1.7	$	4,506.9
Obligations of States and Political Subdivisions		4.5		0.1		–		4.6
Government Sponsored Agency		16,326.4		82.3		19.5		16,389.2
Non-U.S. Government		309.5		0.9		–		310.4
Corporate Debt		3,617.5		1.8		41.6		3,577.7
Covered Bonds		1,899.9		7.9		0.3		1,907.5
Supranational and Non-U.S. Agency Bonds		360.0		1.5		0.9		360.6
Residential Mortgage-Backed		6.9		–		0.5		6.4
Other Asset-Backed		2,321.8		0.5		1.0		2,321.3
Auction Rate		18.4		0.5		0.8		18.1
Other		155.7		0.3		0.2		155.8

Total	$	29,514.1	$	110.9	$	66.5	$	29,558.5

	DECEMBER 31, 2013
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	1,896.7	$	22.6	$	1.4	$	1,917.9
Obligations of States and Political Subdivisions		4.5		0.1		–		4.6
Government Sponsored Agency		17,495.2		80.7		47.9		17,528.0
Non-U.S. Government		307.0		3.6		–		310.6
Corporate Debt		3,615.2		10.5		101.2		3,524.5
Covered Bonds		1,898.9		50.9		5.9		1,943.9
Supranational and Non-U.S. Agency Bonds		410.0		1.7		1.7		410.0
Residential Mortgage-Backed		52.4		0.1		4.4		48.1
Other Asset-Backed		2,390.8		1.4		0.4		2,391.8
Auction Rate		97.5		2.2		0.8		98.9
Other		214.1		0.4		–		214.5

Total	$	28,382.3	$	174.2	$	163.7	$	28,392.8

Reconciliation of Amortized Cost to Fair Values of Securities Held to Maturity

The following tables provide the amortized cost, fair values and remaining maturities of securities held to maturity.

TABLE 48: RECONCILIATION OF AMORTIZED COST TO FAIR VALUES OF SECURITIES HELD TO MATURITY


	DECEMBER 31, 2014
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	$	121.9	$	7.4	$	–	$	129.3
Government Sponsored Agency		18.4		1.1		–		19.5
Non-U.S. Government		1,281.6		6.6		0.4		1,287.8
Certificates of Deposit		924.3		0.1		0.1		924.3
Supranational and Non-U.S. Agency Bonds		1,745.8		10.9		0.5		1,756.2
Other		78.8		0.3		20.1		59.0

Total	$	4,170.8	$	26.4	$	21.1	$	4,176.1

	DECEMBER 31, 2013
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	$	225.2	$	10.3	$	–	$	235.5
Government Sponsored Agency		35.9		1.1		–		37.0
Non-U.S. Government		722.0		0.8		1.1		721.7
Certificates of Deposit		698.1		–		0.2		697.9
Supranational and Non-U.S. Agency Bonds		584.7		–		3.2		581.5
Other		59.9		0.1		12.2		47.8

Total	$	2,325.8	$	12.3	$	16.7	$	2,321.4

Securities Continuous Unrealized Loss Position

The following tables provide information regarding securities that had been in a continuous unrealized loss position for less than 12 months and for 12 months or longer as of December 31, 2014, and 2013.

TABLE 50: SECURITIES WITH UNREALIZED LOSSES

AS OF DECEMBER 31, 2014

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

998.2

1.7

–

998.2

1.7

Government Sponsored Agency

2,344.9

6.6

1,730.0

12.9

4,074.9

19.5

Non-U.S. Government

292.9

0.4

–

292.9

0.4

Corporate Debt

1,244.5

3.9

1,338.8

37.7

2,583.3

41.6

Covered Bonds

142.3

0.2

10.0

0.1

152.3

0.3

Supranational and Non-U.S. Agency Bonds

313.2

0.3

175.5

1.1

488.7

1.4

Residential Mortgage-Backed

–

4.5

0.5

4.5

0.5

Other Asset-Backed

1,297.6

1.0

–

1,297.6

1.0

Certificates of Deposit

438.6

0.1

–

438.6

0.1

Auction Rate

2.4

0.2

4.7

0.6

7.1

0.8

Other

27.1

12.1

45.6

8.2

72.7

20.3

Total

7,101.7

26.5

3,309.1

61.1

10,410.8

87.6

AS OF DECEMBER 31, 2013

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

896.4

1.4

–

896.4

1.4

Government Sponsored Agency

4,340.8

42.6

413.7

5.3

4,754.5

47.9

Non-U.S. Government

176.7

1.1

–

176.7

1.1

Corporate Debt

1,759.5

85.4

267.0

15.8

2,026.5

101.2

Covered Bonds

278.8

5.7

9.9

0.2

288.7

5.9

Supranational and Non-U.S. Agency Bonds

612.7

4.9

–

612.7

4.9

Residential Mortgage-Backed

–

42.0

4.4

42.0

4.4

Other Asset-Backed

677.0

0.4

–

677.0

0.4

Certificates of Deposit

684.2

0.2

–

684.2

0.2

Auction Rate

22.1

0.1

14.0

0.7

36.1

0.8

Other

25.7

4.0

29.5

8.2

55.2

12.2

Total

9,473.9

145.8

776.1

34.6

10,250.0

180.4

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

December 31, 2014, amortized cost, weighted average ultimate default rates, and impairment severity rates for the non-agency residential mortgage-backed securities portfolio, by security type, are provided in the following table.

TABLE 51: NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES

DECEMBER 31, 2014

LOSS SEVERITY RATES

($ In Millions)

AMORTIZED
COST

WEIGHTED AVERAGE
ULTIMATE DEFAULT
RATES

LOW

HIGH

WEIGHTED
AVERAGE

Prime

1.9

5.0

32.1

2^nd Lien

5.0

32.2

99.0

Total Non-Agency Residential Mortgage-Backed Securities

6.9

25.3

32.1

99.0

81.1

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 years ended December 31, 2014, 2013, and 2012.


TABLE 52: NET IMPAIRMENT LOSSES RECOGNIZED IN EARNINGS	DECEMBER 31,
(In Millions)	2014			2013		2012
Changes in Other-Than-Temporary Impairment Losses⁽¹⁾	$	(4.9	)	$	–	$	(2.7	)
Noncredit-related Losses Recorded in / (Reclassified from) OCI⁽²⁾		0.7			–		(0.6	)

Net Impairment Losses Recognized in Earnings	$	(4.2	)	$	–	$	(3.3	)

(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.

(2) 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.


TABLE 53: CUMULATIVE CREDIT-RELATED LOSSES ON SECURITIES HELD	YEAR ENDED DECEMBER 31,
(In Millions)	2014			2013
Cumulative Credit-Related Losses on Securities Held – Beginning of Year	$	8.8		$	42.3
Plus: Losses on Newly Identified Impairments		1.8			–
Additional Losses on Previously Identified Impairments		2.4			–
Less: Current and Prior Period Losses on Securities Sold During the Year		(7.8	)		(33.5	)

Cumulative Credit-Related Losses on Securities Held – End of Year	$	5.2		$	8.8

Available for Sale Investment Securities

Remaining Maturity of Securities

TABLE 47: REMAINING MATURITY OF SECURITIES AVAILABLE FOR SALE


	DECEMBER 31, 2014				DECEMBER 31, 2013
(In Millions)	AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE
Due in One Year or Less	$	7,467.4	$	7,487.9	$	9,552.9	$	9,565.7
Due After One Year Through Five Years		17,132.7		17,157.6		15,011.4		15,067.2
Due After Five Years Through Ten Years		3,394.2		3,418.0		2,545.9		2,494.1
Due After Ten Years		1,519.8		1,495.0		1,272.1		1,265.8

Total	$	29,514.1	$	29,558.5	$	28,382.3	$	28,392.8

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

Held-to-maturity Securities

Remaining Maturity of Securities

TABLE 49: REMAINING MATURITY OF SECURITIES HELD TO MATURITY


	DECEMBER 31, 2014				DECEMBER 31, 2013
(In Millions)	AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE
Due in One Year or Less	$	1,503.5	$	1,504.7	$	1,009.9	$	1,011.2
Due After One Year Through Five Years		2,602.8		2,622.3		1,254.9		1,257.0
Due After Five Years Through Ten Years		23.5		21.5		26.1		27.1
Due After Ten Years		41.0		27.6		34.9		26.1

Total	$	4,170.8	$	4,176.1	$	2,325.8	$	2,321.4

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

- Definition

Tabular disclosure of all investments in certain debt and equity securities for which the entity has the positive intent and ability to hold until maturity.

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- 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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