Securities (Tables)

6 Months Ended

Jun. 30, 2013

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Fair Value of the Securities Available-for-Sale and Held-to-Maturity

The amortized cost and fair value of the securities available-for-sale and securities held-to-maturity portfolios are summarized in the following tables.



June 30, 2013	Amortized Cost		Non-Credit Loss Component of OTTI Securities			Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	22,807	$	—		$	439	$	(84	)	$	23,162
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	199		—			—		(13		)	186
Direct agency obligations	3,931		—			298		(14		)	4,215
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	12,354		—			130		(240		)	12,244
Collateralized mortgage obligations	6,553		—			69		(100		)	6,522
Direct agency obligations	1		—			—		—			1
Obligations of U.S. states and political subdivisions	874		—			19		(24		)	869
Asset backed securities collateralized by:
Residential mortgages	1		—			—		—			1
Commercial mortgages	162		—			4		—			166
Home equity	285		—			—		(40		)	245
Student loans	—		—			—		—			—
Other	102		—			2		—			104
Corporate and other domestic debt securities	23		—			1		—			24
Foreign debt securities⁽²⁾⁽⁴⁾	4,976		—			9		(31		)	4,954
Equity securities	165		—			2		(2		)	165
Total available-for-sale securities	$	52,433	$	—		$	973	$	(548	)	$	52,858
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	956	$	—		$	113	$	—		$	1,069
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	59		—			9		—			68
Collateralized mortgage obligations	242		—			31		—			273
Obligations of U.S. states and political subdivisions	33		—			2		—			35
Asset-backed securities collateralized by residential mortgages	30		—			1		—			31
Asset-backed securities and other debt securities held by consolidated VIE⁽⁵⁾	333		(115		)	20		—			238
Total held-to-maturity securities	$	1,653	$	(115	)	$	176	$	—		$	1,714



December 31, 2012	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	34,800	$	566	$	(24	)	$	35,342
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	166		1		(1		)	166
Direct agency obligations	4,039		364		(2		)	4,401
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	15,646		674		(6		)	16,314
Collateralized mortgage obligations	4,315		156		—			4,471
Direct agency obligations	1		—		—			1
Obligations of U.S. states and political subdivisions	877		37		(2		)	912
Asset backed securities collateralized by:
Residential mortgages	1		—		—			1
Commercial mortgages	208		6		—			214
Home equity	310		—		(52		)	258
Student loans	—		—		—			—
Other	102		—		(18		)	84
Corporate and other domestic debt securities	24		2		—			26
Foreign debt securities⁽²⁾⁽⁴⁾	5,385		16		(48		)	5,353
Equity securities	167		6		—			173
Total available-for-sale securities	$	66,041	$	1,828	$	(153	)	$	67,716
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽³⁾
Mortgage-backed securities	$	1,121	$	148	$	—		$	1,269
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	66		12		—			78
Collateralized mortgage obligations	277		42		—			319
Obligations of U.S. states and political subdivisions	38		3		—			41
Asset-backed securities collateralized by residential mortgages	118		6		—			124
Total held-to-maturity securities	$	1,620	$	211	$	—		$	1,831


⁽¹⁾	Includes securities at amortized cost of $165 million and $153 million issued or guaranteed by FNMA at June 30, 2013 and December 31, 2012, respectively, and $34 million and $13 million issued or guaranteed by FHLMC at June 30, 2013 and December 31, 2012, respectively.


⁽²⁾	At June 30, 2013 and December 31, 2012, foreign debt securities consisted of $1.4 billion and $1.5 billion, respectively, of securities fully backed by foreign governments. The remainder of foreign debt securities represents foreign bank or corporate debt.


⁽³⁾	Includes securities at amortized cost of $448 million and $507 million issued or guaranteed by FNMA at June 30, 2013 and December 31, 2012, respectively, and $508 million and $614 million issued and guaranteed by FHLMC at June 30, 2013 and December 31, 2012, respectively.


⁽⁴⁾	We did not hold any foreign debt securities issued by the governments of Greece, Ireland, Italy, Portugal or Spain at June 30, 2013 and December 31, 2012.


⁽⁵⁾	Relates to securities held by Bryant Park Funding LLC, a variable interest entity which was consolidated in the second quarter of 2013, See Note 18, "Variable Interest Entities" for additional information.

Gross Unrealized Losses and Related Fair Values

A summary of gross unrealized losses and related fair values as of June 30, 2013 and December 31, 2012 classified as to the length of time the losses have existed follows:



	One Year or Less						Greater Than One Year
June 30, 2013	Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	17	$	(71	)	$	7,145	6	$	(13	)	$	531
U.S. Government sponsored enterprises	25	(27		)	749		14	—			7
U.S. Government agency issued or guaranteed	160	(340		)	12,647		1	—			—
Obligations of U.S. states and political subdivisions	48	(24		)	434		—	—			—
Asset backed securities	—	—			—		13	(40		)	258
Foreign debt securities	6	—			499		9	(31		)	3,649
Equity Securities	1	(2		)	157		—	—			—
Securities available-for-sale	257	$	(464	)	$	21,631	43	$	(84	)	$	4,445
Securities held-to-maturity:
U.S. Government sponsored enterprises	16	$	—		$	—	46	$	—		$	—
U.S. Government agency issued or guaranteed	68	—			—		900	—			2
Obligations of U.S. states and political subdivisions	3	—			2		2	—			1
Asset backed securities	—	—			—		—	—			—
Securities held-to-maturity	87	$	—		$	2	948	$	—		$	3



	One Year or Less						Greater Than One Year
December 31, 2012	Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	6	$	(3	)	$	3,344	6	$	(21	)	$	587
U.S. Government sponsored enterprises	9	(3		)	431		14	—			7
U.S. Government agency issued or guaranteed	18	(6		)	1,059		—	—			—
Obligations of U.S. states and political subdivisions	14	(2		)	168		1	—			7
Asset backed securities	3	—			20		13	(70		)	354
Foreign debt securities	—	—			—		9	(48		)	3,787
Securities available-for-sale	50	$	(14	)	$	5,022	43	$	(139	)	$	4,742
Securities held-to-maturity:
U.S. Government sponsored enterprises	24	$	—		$	—	52	$	—		$	—
U.S. Government agency issued or guaranteed	75	—			—		947	—			2
Obligations of U.S. states and political subdivisions	2	—			1		1	—			—
Asset backed securities	1	—			4		2	—			7
Securities held-to-maturity	102	$	—		$	5	1,002	$	—		$	9

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table summarizes the rollforward of credit losses on debt securities that were other-than-temporarily impaired which have previously been recognized in income that we do not intend to sell nor will likely be required to sell:



	Three Months Ended June 30, 2013		Six Months Ended June 30, 2013
	(in millions)
Credit losses at the beginning of the period	$	—	$	—
Credit losses previously recognized on held-to-maturity debt securities of VIE consolidated during the second quarter of 2013	61		61
Ending balance of credit losses on held-to-maturity debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (loss)	$	61	$	61

Realized Gains and Losses on Investment Securities Transactions Attributable to Available-for-Sale Securities

The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities.



	Three Months Ended June 30,						Six Months Ended June 30,
	2013			2012			2013			2012
							(in millions)
Gross realized gains	$	83		$	132		$	207		$	201
Gross realized losses	(60		)	(67		)	(61		)	(106		)
Net realized gains	$	23		$	65		$	146		$	95

The following table summarizes realized gains and losses on investment securities transactions attributable to held-to-maturity securities.



	Three Months Ended June 30,				Six Months Ended June 30,
	2013		2012		2013		2012
					(in millions)
Gross realized gains	$	—	$	—	$	8	$	—
Gross realized losses	—		—		—		—
Net realized gains (losses)	$	—	$	—	$	8	$	—

Distribution of Maturities of Debt Securities with the Approximate Yield of the Portfolio

The table below also reflects the distribution of maturities of debt securities held at June 30, 2013, together with the approximate taxable equivalent yield of the portfolio. The yields shown are calculated by dividing annual interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at June 30, 2013. Yields on tax-exempt obligations have been computed on a taxable equivalent basis using applicable statutory tax rates.



	Within One Year				After One But Within Five Years				After Five But Within Ten Years				After Ten Years
Taxable Equivalent Basis	Amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield
	(dollars are in millions)
Available-for-sale:
U.S. Treasury	$	7,597	.30	%	$	10,424	.62	%	$	2,821	2.42	%	$	1,965	3.92	%
U.S. Government sponsored enterprises	50		.39		515		2.49		2,798		3.19		767		3.91
U.S. Government agency issued or guaranteed	—		—		6		5.09		102		2.43		18,800		2.59
Obligations of U.S. states and political subdivisions	—		—		74		3.90		323		3.72		477		3.49
Asset backed securities	—		—		1		1.99		11		.40		538		2.74
Other domestic debt securities	—		—		—		—		—		—		23		3.90
Foreign debt securities	721		2.85		4,255		1.95		—		—		—		—
Total amortized cost	$	8,368	.52	%	$	15,275	1.07	%	$	6,055	2.84	%	$	22,570	2.77	%
Total fair value	$	8,376			$	15,270			$	6,451			$	22,596
Held-to-maturity:
U.S. Government sponsored enterprises	$	2	7.98	%	$	2	7.45	%	$	1	7.91	%	$	951	6.16	%
U.S. Government agency issued or guaranteed	—		—		1		7.61		2		7.70		298		6.51
Obligations of U.S. states and political subdivisions	5		5.10		12		5.06		7		4.03		9		5.02
Asset backed securities	—		—		—		—		—		—		30		6.37
Asset backed securities issued by consolidated VIE	—		—		—		—		69		.30		149		.36
Total amortized cost	$	7	5.85	%	$	15	5.61	%	$	79	.99	%	$	1,437	5.63	%
Total fair value	$	7			$	16			$	81			$	1,610

- 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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