NOTE 2 – SECURITIES AVAILABLE FOR SALE

Securities Portfolio Composition



	September 30, 2011
(Dollars in millions)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities		$374		$12		$—		$386
Federal agency securities	2,527		118		—		2,645
U.S. states and political subdivisions	471		21		2		490
MBS - agency	19,302		728		—		20,030
MBS - private	319		1		33		287
CDO/CLO securities	337		—		5		332
ABS	534		13		7		540
Corporate and other debt securities	53		2		1		54
Coke common stock	—		2,027		—		2,027
Other equity securities¹	710		1		—		711
Total securities AFS		$24,627		$2,923		$48		$27,502

	December 31, 2010
(Dollars in millions)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities		$5,446		$115		$45		$5,516
Federal agency securities	1,883		19		7		1,895
U.S. states and political subdivisions	565		17		3		579
MBS - agency	14,014		372		28		14,358
MBS - private	378		3		34		347
CDO/CLO securities	50		—		—		50
ABS	798		15		5		808
Corporate and other debt securities	464		19		1		482
Coke common stock	—		1,973		—		1,973
Other equity securities¹	886		1		—		887
Total securities AFS		$24,484		$2,534		$123		$26,895

¹At September 30, 2011, other equity securities included the following securities at cost: $171 million in FHLB of Atlanta stock, $391 million in Federal Reserve Bank stock, and $148 million in mutual fund investments. At December 31, 2010, other equity securities included the following securities at cost: $298 million in FHLB of Atlanta stock, $391 million in Federal Reserve Bank stock, and $197 million in mutual fund investments.

Securities AFS that were pledged to secure public deposits, repurchase agreements, trusts, and other funds had a fair value of $7.9 billion and $6.9 billion as of September 30, 2011 and December 31, 2010, respectively. Further, under The Agreements, the Company pledged its shares of Coke common stock, which is hedged with derivative instruments, as discussed in Note 11, “Derivative Financial Instruments.” The Company has also pledged $1.1 billion and $823 million of certain trading assets and cash equivalents to secure $1.0 billion and $793 million of repurchase agreements as of September 30, 2011 and December 31, 2010, respectively.

The amortized cost and fair value of investments in debt securities at September 30, 2011 by estimated average life are shown below. Actual cash flows may differ from estimated average lives and contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.



(Dollars in millions)	1 Year or Less		1-5 Years		5-10 Years		After 10 Years		Total
Distribution of Maturities:
Amortized Cost
U.S. Treasury securities		$9		$213		$152		$—		$374
Federal agency securities	73		2,209		189		56		2,527
U.S. states and political subdivisions	136		245		26		64		471
MBS - agency	1,101		11,236		4,050		2,915		19,302
MBS - private	31		141		130		17		319
CDO/CLO securities	—		237		100		—		337
ABS	328		204		2		—		534
Corporate and other debt securities	7		4		17		25		53
Total debt securities		$1,685		$14,489		$4,666		$3,077		$23,917
Fair Value
U.S. Treasury securities		$9		$224		$153		$—		$386
Federal agency securities	74		2,309		204		58		2,645
U.S. states and political subdivisions	139		260		27		64		490
MBS - agency	1,138		11,644		4,246		3,002		20,030
MBS - private	28		129		114		16		287
CDO/CLO securities	—		234		98		—		332
ABS	335		203		2		—		540
Corporate and other debt securities	7		4		18		25		54
Total debt securities		$1,730		$15,007		$4,862		$3,165		$24,764

Securities in an Unrealized Loss Position

The Company held certain investment securities having unrealized loss positions. Market changes in interest rates and credit spreads will result in temporary unrealized losses as the market price of securities fluctuates. As of September 30, 2011, the Company did not intend to sell these securities nor was it more likely than not that the Company would be required to sell these securities before their anticipated recovery or maturity. The Company has reviewed its portfolio for OTTI in accordance with the accounting policies outlined in the Company’s Annual Report on Form 10-K for the year ended December 31, 2010.



	September 30, 2011
	Less than twelve months				Twelve months or longer				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Temporarily impaired securities
Federal agency securities		$34		$—		$—		$—		$34		$—
U.S. states and political subdivisions	2		—		32		2		34		2
MBS - agency	52		—		—		—		52		—
MBS - private	9		—		22		3		31		3
CDO/CLO securities	333		5		—		—		333		5
ABS	—		—		11		5		11		5
Corporate and other debt securities	—		—		2		1		2		1
Total temporarily impaired securities	430		5		67		11		497		16
Other-than-temporarily impaired securities¹
MBS - private	18		1		220		29		238		30
ABS	3		1		2		1		5		2
Total other-than-temporarily impaired securities	21		2		222		30		243		32
Total impaired securities		$451		$7		$289		$41		$740		$48

	December 31, 2010
	Less than twelve months				Twelve months or longer				Total
(Dollars in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Temporarily impaired securities
U.S. Treasury securities		$2,010		$45		$—		$—		$2,010		$45
Federal agency securities	1,426		7		—		—		1,426		7
U.S. states and political subdivisions	45		1		35		2		80		3
MBS - agency	3,497		28		—		—		3,497		28
MBS - private	18		—		17		3		35		3
ABS	—		—		14		4		14		4
Corporate and other debt securities	—		—		3		1		3		1
Total temporarily impaired securities	6,996		81		69		10		7,065		91
Other-than-temporarily impaired securities¹
MBS - private	—		—		286		31		286		31
ABS	4		1		—		—		4		1
Total other-than-temporarily impaired securities	4		1		286		31		290		32
Total impaired securities		$7,000		$82		$355		$41		$7,355		$123

¹Includes OTTI securities for which credit losses have been recorded in earnings in current or prior periods.

Unrealized losses on securities that have been other-than-temporarily impaired are the result of factors other than credit, and therefore, are recorded in OCI. Losses related to credit impairment on these securities is determined through estimated cash flow analyses and have been recorded in earnings in current or prior periods. The unrealized OTTI loss relating to private MBS as of September 30, 2011, includes purchased and retained interests from 2007 vintage securitizations. The unrealized OTTI loss relating to ABS is related to four securities within the portfolio that are 2003 and 2004 vintage home equity issuances. The expectation of cash flows for the previously impaired ABS securities has improved such that the amount of expected credit losses was reduced, and the expected increase in cash flows will be accreted into earnings as a yield adjustment over the remaining life of the securities.

Realized Gains and Losses and Other than Temporarily Impaired



	Three Months Ended September 30					Nine Months Ended September 30
(Dollars in millions)	2011			2010		2011			2010
Gross realized gains		$4			$69		$180			$147
Gross realized losses	(2		)	—		(80		)	(17		)
OTTI	—			—		(2		)	(2		)
Net securities gains		$2			$69		$98			$128

The securities that gave rise to the credit impairment recognized during the nine months ended September 30, 2011 consisted of private MBS with a fair value of $176 million at September 30, 2011. The securities impacted by credit impairment during the nine months ended September 30, 2010, consisted of private MBS with a fair value of $1 million as of September 30, 2010. Credit impairment that is determined through the use of cash flow models is estimated using cash flows on security specific collateral and the transaction structure. Future expected credit losses are determined by using various assumptions, the most significant of which include current default rates, prepayment rates, and loss severities. For the majority of the securities that the Company has reviewed for credit-related OTTI, credit information is available and modeled at the loan level underlying each security, and the Company also considers information such as loan to collateral values, FICO scores, and geographic considerations such as home price appreciation/depreciation. These inputs are updated on a regular basis to ensure the most current credit and other assumptions are utilized in the analysis. If, based on this analysis, the Company does not expect to recover the entire amortized cost basis of the security, the expected cash flows are then discounted at the security’s initial effective interest rate to arrive at a present value amount. OTTI credit losses reflect the difference between the present value of cash flows expected to be collected and the amortized cost basis of these securities. During the nine months ended September 30, 2011 and 2010, all OTTI recognized in earnings on private MBS have underlying collateral of residential mortgage loans securitized in 2007. The majority of the OTTI was taken on private MBS which were originated by the Company and, therefore, have geographic concentrations in the Company’s primary footprint. Additionally, the Company has not purchased new private MBS during the nine months ended September 30, 2011, and continues to reduce existing exposure primarily through paydowns.



	Three Months Ended September 30				Nine Months Ended September 30
	2011		2010		2011			2010
(Dollars in millions)					MBS - Private			MBS - Private
OTTI¹		$—		$—		$3			$2
Portion of losses recognized in OCI (before taxes)	—		—		(1		)	—
Net impairment losses recognized in earnings		$—		$—		$2			$2

¹ The initial OTTI amount represents the excess of the amortized cost over the fair value of AFS debt securities. For subsequent impairments of the same security, amount represents additional declines in the fair value subsequent to the previously recorded OTTI, if applicable, until such time the security is no longer in an unrealized loss position.

The following is a rollforward of credit losses recognized in earnings for the nine months ended September 30, 2011 and 2010, related to securities for which some portion of the OTTI loss remains in AOCI:



(Dollars in millions)
Balance, as of January 1, 2011		$20
Additions:
OTTI credit losses on previously impaired securities	2
Reductions:
Increases in expected cash flows recognized over the remaining life of the securities	(1		)
Balance, as of September 30, 2011		$21

Balance, as of January 1, 2010		$22
Additions/Reductions:¹
Increases in expected cash flows recognized over the remaining life of the securities	(1		)
Balance, as of September 30, 2010		$21

¹ During the nine months ended September 30, 2010, the Company recognized $2 million of OTTI through earnings on debt securities in which no portion of the OTTI loss was included in OCI at any time during the period. OTTI related to these securities are excluded from this amount.

The following table presents a summary of the significant inputs used in determining the measurement of credit losses recognized in earnings for private MBS for the nine months ended September 30, 2011 and September 30, 2010:



	September 30, 2011	September 30, 2010
Current default rate	4 - 8%	2 - 7%
Prepayment rate	12 - 22%	14 - 22%
Loss severity	39 - 44%	37 - 46%