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Securities

12 Months Ended

Dec. 31, 2011

7. Securities

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


December 31, 2011	Amortized Cost		Non-Credit Loss Component of OTTI Securities		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	18,199	$	-	$	498	$	(121	)	$	18,576
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities		40		-		1		-			41
Direct agency obligations		2,501		-		352		-			2,853
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		15,357		-		728		(3	)		16,082
Collateralized mortgage obligations		6,881		-		177		(3	)		7,055
Direct agency obligations		2		-		-		-			2
Obligations of U.S. states and political subdivisions		566		-		35		(1	)		600
Asset backed securities collateralized by:
Residential mortgages		6		-		-		(1	)		5
Commercial mortgages		444		-		9		(2	)		451
Home equity		369		-		-		(99	)		270
Student loans		13		-		-		(1	)		12
Other		102		-		-		(22	)		80
Corporate and other domestic debt securities⁽²⁾		541		-		3		-			544
Foreign debt securities⁽²⁾⁽⁶⁾		6,640		-		27		(97	)		6,570
Equity securities⁽³⁾		130		-		10		-			140

Total available-for-sale securities	$	51,791	$	-	$	1,840	$	(350	)	$	53,281

Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁴⁾
Mortgage-backed securities	$	1,421	$	-	$	195	$	-		$	1,616
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		79		-		13		-			92
Collateralized mortgage obligations		308		-		44		-			352
Obligations of U.S. states and political subdivisions		61		-		3		-			64
Asset backed securities collateralized by:
Residential mortgages		166		-		9		(1	)		174

Total held-to-maturity securities	$	2,035	$	-	$	264	$	(1	)	$	2,298


December 31, 2010	Amortized Cost		Non-Credit Loss Component of OTTI Securities			Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	19,336	$	-		$	139	$	(378	)	$	19,097
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities		47		-			-		(1	)		46
Direct agency obligations		2,115		-			79		(9	)		2,185
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		11,237		-			252		(27	)		11,462
Collateralized mortgage obligations		7,566		-			160		(52	)		7,674
Direct agency obligations		19		-			-		(1	)		18
Obligations of U.S. states and political subdivisions		571		-			13		(5	)		579
Asset backed securities collateralized by:
Residential mortgages		13		-			-		(2	)		11
Commercial mortgages		537		-			17		(2	)		552
Home equity		464		(1	)		-		(111	)		352
Student loans		29		-			-		(2	)		27
Other		120		-			1		(17	)		104
Corporate and other domestic debt securities⁽²⁾		676		-			7		-			683
Foreign debt securities⁽²⁾⁽⁶⁾		2,552		-			53		-			2,605
Equity securities⁽³⁾		126		-			2		-			128

Total available-for-sale securities	$	45,408	$	(1	)	$	723	$	(607	)	$	45,523

Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁴⁾
Mortgage-backed securities	$	1,586	$	-		$	151	$	-		$	1,737
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		94		-			15		-			109
Collateralized mortgage obligations		327		-			36		-			363
Obligations of U.S. states and political subdivisions		111		-			4		(1	)		114
Asset backed securities collateralized by:
Residential mortgages		191		-			8		(3	)		196
Asset-backed securities (predominantly credit card) and other debt securities held by consolidated VIE ⁽⁵⁾		1,034		(153	)		-		-			881

Total held-to-maturity securities	$	3,343	$	(153	)	$	214	$	(4	)	$	3,400

⁽¹⁾	Includes securities at amortized cost of $27 million and $30 million issued or guaranteed by the FNMA at December 31, 2011 and 2010, respectively, and $13 million and $17 million issued or guaranteed by FHLMC at December 31, 2011 and 2010, respectively.

⁽²⁾

At December 31, 2011, other domestic debt securities included $516 million of securities at amortized cost fully backed by the Federal Deposit Insurance Corporation (“FDIC”) and foreign debt securities consisted of $2.7 billion of securities fully backed by foreign governments. The remainder of foreign debt securities represents foreign bank or corporate debt. At December 31, 2010, other domestic debt securities included $676 million of securities at amortized cost fully backed by the FDIC and foreign debt securities consisted of $2.2 billion of securities fully backed by foreign governments. The remainder of foreign debt securities represents foreign bank or corporate debt.

⁽³⁾	Includes preferred equity securities at amortized cost issued by FNMA of $2 million at December 31, 2011 and 2010. Balances at December 31, 2011 and 2010 reflect cumulative other-than-temporary impairment charges of $203 million.

⁽⁴⁾	Includes securities at amortized cost of $591 million and $622 million issued or guaranteed by FNMA at December 31, 2011 and 2010, respectively, and $830 million and $964 million issued and guaranteed by FHLMC at December 31, 2011 and 2010, respectively.

⁽⁵⁾	Relates to securities held by Bryant Park Funding LLC, a variable interest entity which was consolidated at December 31, 2010. See Note 27, “Variable Interest Entities” for additional information.

⁽⁶⁾	There were no foreign debt securities issued by the governments of Portugal, Ireland, Italy, Greece or Spain at December 31, 2011 and 2010.

A summary of gross unrealized losses and related fair values as of December 31, 2011 and 2010 classified as to the length of time the losses have existed follows:


	One Year or Less							Greater Than One Year
December 31, 2011	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		5	$	(1	)	$	4,978		12	$	(120	)	$	2,592
U.S. Government sponsored enterprises		6		-			8		15		-			9
U.S. Government agency issued or guaranteed		14		(6	)		833		2		-			4
Obligations of U.S. states and political subdivisions		3		(1	)		20		3		-			25
Asset backed securities		2		-			45		22		(125	)		387
Corporate and other domestic debt securities		-		-			-		-		-			-
Foreign debt securities		15		(97	)		4,223		-		-			-

Securities available-for-sale		45	$	(105	)	$	10,107		54	$	(245	)	$	3,017

Securities held-to-maturity:
U.S. Government sponsored enterprises		47	$	-		$	-		11	$	-		$	-
U.S. Government agency issued or guaranteed		629		-			2		463		-			1
Obligations of U.S. states and political subdivisions		2		-			-		4		-			2
Asset backed securities		-		-			-		4		(1	)		14

Securities held-to-maturity		678	$	-		$	2		482	$	(1	)	$	17


	One Year or Less							Greater Than One Year
December 31, 2010	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		43	$	(378	)	$	10,034		-	$	-		$	-
U.S. Government sponsored enterprises		14		(9	)		131		13		(1	)		10
U.S. Government agency issued or guaranteed		70		(80	)		4,409		2		-			2
Obligations of U.S. states and political subdivisions		27		(3	)		127		5		(2	)		36
Asset backed securities		3		-			-		51		(133	)		506
Corporate and other domestic debt securities		3		-			200		-		-			-
Foreign debt securities		1		-			84		1		-			25

Securities available-for-sale		161	$	(470	)	$	14,985		72	$	(136	)	$	579

Securities held-to-maturity:
U.S. Government sponsored enterprises		21	$	-		$	-		1	$	-		$	-
U.S. Government agency issued or guaranteed		570		-			2		2		-			-
Obligations of U.S. states and political subdivisions		14		-			7		12		(1	)		14
Asset backed securities		-		-			-		6		(3	)		44

Securities held-to-maturity		605	$	-		$	9		21	$	(4	)	$	58

Gross unrealized losses decreased and gross unrealized gains increased within the available-for-sale portfolio overall in 2011 primarily due to decreases in interest rates since December 31, 2010 due to market conditions. In addition, rates rose significantly toward the end of 2010 driven by inflationary fears and uncertainty about the quantity and timing of the Federal Reserve’s bond buying program. We have reviewed the securities for which there is an unrealized loss in accordance with our accounting policies for other-than-temporary impairment. During 2011, none of our debt securities were determined to have either initial other-than-temporary impairment or changes to previous other-than-temporary impairment estimates relating to the credit component and changes in the non-credit portion for 2011 represent a reversal of a portion of previously recorded impairment losses that were recognized in other comprehensive income. During 2010, 39 debt securities were determined to have either initial other-than-temporary impairment or changes to previous other-than-temporary impairment estimates. The credit loss component of the applicable debt securities totaling a loss of $79 million was recorded as a component of net other-than-temporary impairment losses in the accompanying consolidated statement of income (loss) during 2010, while the non-credit portion representing a net reversal of a portion of previously recorded impairment losses was recognized in other comprehensive income.

Except as noted above, we do not consider any other securities to be other-than-temporarily impaired as we expect to recover the amortized cost basis of these securities and we neither intend nor expect to be required to sell these securities prior to recovery, even if that equates to holding securities until their individual maturities. However, additional other-than-temporary impairments may occur in future periods if the credit quality of the securities deteriorates.

On-going Assessment for Other-Than-Temporary Impairment On a quarterly basis, we perform an assessment to determine whether there have been any events or economic circumstances to indicate that a security with an unrealized loss has suffered other-than-temporary impairment. A debt security is considered impaired if its fair value is less than its amortized cost at the reporting date. If impaired, we assess whether the unrealized loss is other-than-temporary.

An unrealized loss is generally deemed to be other-than-temporary and a credit loss is deemed to exist if the present value of the expected future cash flows is less than the amortized cost basis of the debt security. As a result, the credit loss component of an other-than-temporary impairment write-down for debt securities is recorded in earnings while the remaining portion of the impairment loss is recognized, net of tax, in other comprehensive income provided we do not intend to sell the underlying debt security and it is more-likely-than-not that we would not have to sell the debt security prior to recovery.

For all securities held in the available-for-sale or held-to-maturity portfolio for which unrealized losses have existed for a period of time, we do not have the intention to sell and believe we will not be required to sell the securities for contractual, regulatory or liquidity reasons as of the reporting date. As debt securities issued by U.S. Treasury, U.S. Government agencies and government sponsored entities accounted for 84 percent and 89 percent of total available-for-sale and held-to-maturity securities as of December 31, 2011 and 2010, respectively, our assessment for credit loss was concentrated on private label asset-backed securities. Substantially all of the private label asset-backed securities are supported by residential mortgages, home equity loans or commercial mortgages. Our assessment for credit loss was concentrated on this particular asset class because of the following inherent risk factors:

•

The recovery of the U.S. economy remains sluggish;

•

The continued weakness in the U.S. housing markets with high levels of delinquency and foreclosure;

•

A lack of significant traction in government sponsored programs in loan modifications;

•

A lack of refinancing activities within certain segments of the mortgage market, even at the current low interest rate environment, and the re-default rate for refinanced loans;

•

The unemployment rate remains high and consumer confidence remains low compared to historical levels;

•

The decline in the occupancy rate in commercial properties; and

•

The severity and duration of unrealized loss.

In determining whether a credit loss exists and the period over which the debt security is expected to recover, we considered the following factors:

•

The length of time and the extent to which the fair value has been less than the amortized cost basis;

•

The level of credit enhancement provided by the structure, which includes but is not limited to credit subordination positions, over collateralization, protective triggers and financial guarantees provided by monoline wraps;

•

Changes in the near term prospects of the issuer or underlying collateral of a security such as changes in default rates, loss severities given default and significant changes in prepayment assumptions;

•

The level of excess cash flows generated from the underlying collateral supporting the principal and interest payments of the debt securities; and

•

Any adverse change to the credit conditions of the issuer, the monoline insurer or the security such as credit downgrades by the rating agencies.

We use a standard valuation model to measure the credit loss for available-for-sale and held-to-maturity securities. The valuation model captures the composition of the underlying collateral and the cash flow structure of the security. Management develops inputs to the model based on external analyst reports and forecasts and internal credit assessments. Significant inputs to the model include delinquencies, collateral types and related contractual features, estimated rates of default, loss given default and prepayment assumptions. Using the inputs, the model estimates cash flows generated from the underlying collateral and distributes those cash flows to respective tranches of securities considering credit subordination and other credit enhancement features. The projected future cash flows attributable to the debt security held are discounted using the effective interest rates determined at the original acquisition date if the security bears a fixed rate of return. The discount rate is adjusted for the floating index rate for securities which bear a variable rate of return, such as LIBOR-based instruments.

As of December 31, 2010, substantially all available-for-sale debt securities with other-than-temporary impairment for which a portion of the impairment loss remains in accumulated other comprehensive income consisted of asset-backed securities collateralized by residential mortgages or home equity loans. Specific market based assumptions were used to appropriately model and value the credit component of each individual prime, Alt-A and second lien/home equity mortgage-backed security due to the diversified geographical, FICO and vintage (2005-2007) characteristics of the underlying loans. This has resulted in a wide range of assumptions across the analyzed securities as presented in the table below. Prime and Alt-A mortgage collateral types comprise approximately 57 percent and 16 percent, respectively, of the other-than-temporary impairments we have recognized during 2010. The assumptions were as follows:


December 31, 2010	Prime			Alt-A			Second liens/Home equity mortgages
Constant default rate		1-6	%		1-11	%		1-18	%
Loss severity		25-60	%		36-75	%		65-100	%
Prepayment speeds		2-16	%		1-23	%		1-24	%

The dollar amounts of asset-backed and equity securities for which other-than-temporary impairment losses were recognized in 2010 are as follows:


	Balance as of December 31, 2010							Impairment Loss Charged to Profit and Loss in 2010
	Amortized Cost		Unrealized Impairment Loss			Fair Value		Impairment Loss Charged to Profit and Loss in 2010
	(in millions)
Available-for-sale:
Asset-backed securities:
Residential mortgages	$	8	$	(1	)	$	7	$	1
Home equity loans		6		-			6		1

Subtotal		14		(1	)		13		2
Equity securities		3		-			3		7

Total available-for-sale		17		(1	)		16		9
Held-to-maturity:
Asset-backed securities (predominately Credit Card)		256		-			256		31

Total	$	273	$	(1	)	$	272	$	40

Additionally, there was $39 million of other-than-temporary impairment realized on securities sold during 2010.

The amortized cost and fair value of those asset-backed securities with unrealized loss of more than 12 months for which no other-than-temporary-impairment has been recognized at December 31, 2011 and 2010 are as follows:


	Balance as of December 31, 2011
	Amortized Cost		Unrealized Losses for More Than 12 Months			Fair Value
	(in millions)
Available-for-sale:
Asset-backed securities:
Residential mortgages	$	5	$	-		$	5
Commercial mortgages		23		(2	)		21
Home equity loans		369		(100	)		269
Student loans		13		(1	)		12
Other		102		(22	)		80

Subtotal		512		(125	)		387
Held-to-maturity classification:
Asset-backed securities:
Residential mortgages		15		(1	)		14

Total	$	527	$	(126	)	$	401


	Balance as of December 31, 2010
	Amortized Cost		Unrealized Losses for More Than 12 Months			Fair Value
	(in millions)
Available-for-sale:
Asset-backed securities:
Residential mortgages	$	3	$	(1	)	$	2
Commercial mortgages		39		(2	)		37
Home equity loans		457		(112	)		345
Student loans		29		(2	)		27
Other		103		(16	)		87

Subtotal		631		(133	)		498
Held-to-maturity classification:
Asset-backed securities:
Residential mortgages		47		(3	)		44

Total	$	678	$	(136	)	$	542

Although the fair value of a particular security is below its amortized cost for more than 12 months, it does not necessarily result in a credit loss and hence other-than-temporary impairment. The decline in fair value may be caused by, among other things, the illiquidity of the market. To the extent we do not intend to sell the debt security and it is more-likely-than-not we will not be required to sell the security before the recovery of the amortized cost basis, no other-than-temporary impairment is deemed to have occurred.

For 2011 there were no other-than-temporary impairment losses recognized related to credit loss. At December 31, 2011, there are no remaining non-credit component unrealized loss amounts recognized. The excess of amortized cost over the present value of expected future cash flows recognized during 2010 on our other-than-temporarily impaired debt securities, which represents the credit loss associated with these securities, was $79 million. The excess of the present value of expected future cash flows over fair value, representing the non-credit component of the unrealized loss associated with all other-than-temporarily impaired securities, was $154 million at December 31, 2010. Since we did not have the intention to sell the securities and had sufficient capital and liquidity to hold these securities until a full recovery of the fair value occurs, only the credit loss component was reflected in the consolidated statement of income. The non-credit component of the unrealized loss was recorded, net of taxes, in other comprehensive income (loss).

The following table summarizes the rollforward of credit losses on debt securities that were other-than-temporarily impaired which would have been recognized in income:


Year Ended December 31,	2011			2010
	(in millions)
Credit losses at the beginning of the period	$	36		$	81
Credit losses related to securities for which an other-than-temporary impairment was not previously recognized		-			20
Increase in credit losses for which an other-than-temporary impairment was previously recognized		-			52
Reduction of credit losses previously recognized on sold securities		(5	)		(91	)
Reduction of credit losses previously recognized on held to maturity securities due to deconsolidation of VIE		(31	)		-
Reductions of credit losses for increases in cash flows expected to be collected that are recognized over the remaining life of the security		-			(26	)

Ending balance of credit losses on debt securities held for which a portion of an other-than-temporary impairment may have been recognized in other comprehensive income (loss)	$	-		$	36

At December 31, 2011, we held 45 individual asset-backed securities in the available-for-sale portfolio, of which 9 were also wrapped by a monoline insurance company. The asset-backed securities backed by a monoline wrap comprised $349 million of the total aggregate fair value of asset-backed securities of $818 million at December 31, 2011. The gross unrealized losses on these monoline securities were $121 million at December 31, 2011. We did not take into consideration the value of the monoline wrap of any non-investment grade monoline insurers as of December 31, 2011 and, therefore, we only considered the financial guarantee of monoline insurers on securities for purposes of evaluating other-than-temporary impairment with a fair value of $154 million. One security wrapped by a below investment grade monoline insurance company with an aggregate fair value of less than $1 million was deemed to be other-than-temporarily impaired at December 31, 2011.

At December 31, 2010, we held 78 individual asset-backed securities in the available-for-sale portfolio, of which 24 were also wrapped by a monoline insurance company. The asset-backed securities backed by a monoline wrap comprised $437 million of the total aggregate fair value of asset-backed securities of $1.0 billion at December 31, 2010. The gross unrealized losses on these securities were $127 million at December 31, 2010. We did not take into consideration the value of the monoline wrap of any non-investment grade monoline insurers as of December 31, 2010 and, therefore, we only considered the financial guarantee of monoline insurers on securities for purposes of evaluating other-than-temporary impairment with a fair value of $156 million. Two securities wrapped by below investment grade monoline insurance companies with an aggregate fair value of $5 million were deemed to be other-than-temporarily impaired at December 31, 2010.

As discussed above, certain asset-backed securities have an embedded financial guarantee provided by monoline insurers. Because the financial guarantee is not a separate and distinct contract from the asset-backed security, they are considered as a single unit of account for fair value measurement and impairment assessment purposes. The monoline insurers are regulated by the insurance commissioners of the relevant states and certain monoline insurers that write the financial guarantee contracts are public companies. In evaluating the extent of our reliance on investment grade monoline insurance companies, consideration is given to our assessment of the creditworthiness of the monoline and other market factors. We perform both a credit as well as a liquidity analysis on the monoline insurers each quarter. Our analysis also compares market-based credit default spreads, when available, to assess the appropriateness of our monoline insurer’s creditworthiness. Based on the public information available, including the regulatory reviews and actions undertaken by the state insurance commissions and the published financial results, we determine the degree of reliance to be placed on the financial guarantee policy in estimating the cash flows to be collected for the purpose of recognizing and measuring impairment loss.

A credit downgrade to non-investment grade is a key but not the only factor in determining the credit risk or the monoline insurer’s ability to fulfill its contractual obligation under the financial guarantee arrangement. Although a monoline may have been down-graded by the credit rating agencies or have been ordered to commute its operations by the insurance commissioners, it may retain the ability and the obligation to continue to pay claims in the near term. We evaluate the short-term liquidity of and the ability to pay claims by the monoline insurers in estimating the amounts of cash flows expected to be collected from specific asset-backed securities for the purpose of assessing and measuring credit loss.

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


	Gross Realized Gains		Gross Realized (Losses)			Net Realized (Losses) Gains
	(in millions)
Year ended December 31, 2011:
Securities available-for-sale	$	276	$	(147	)	$	129
Securities held- to-maturity⁽¹⁾		-		-			-

	$	276	$	(147	)	$	129

Year ended December 31, 2010:
Securities available-for-sale	$	177	$	(151	)	$	26
Securities held- to-maturity⁽¹⁾		-		(31	)		(31	)

	$	177	$	(182	)	$	(5	)

Year ended December 31, 2009:
Securities available-for-sale	$	312	$	(180	)	$	132
Securities held- to-maturity⁽¹⁾		-		-			-

	$	312	$	(180	)	$	132

⁽¹⁾	Maturities, calls and mandatory redemptions.

The amortized cost and fair values of securities available-for-sale and securities held-to-maturity at December 31, 2011, are summarized in the table below by contractual maturity. Expected maturities differ from contractual maturities because borrowers have the right to prepay obligations without prepayment penalties in certain cases. Securities available-for-sale amounts exclude equity securities as they do not have stated maturities. The table below also reflects the distribution of maturities of debt securities held at December 31, 2011, 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 December 31, 2011. 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	$	-		-	%	$	10,369		.58	%	$	4,281		2.01	%	$	3,549		3.39	%
U.S. Government sponsored enterprises		-		-			-		-			2,065		3.95			476		3.70
U.S. Government agency issued or guaranteed		-		-			1		5.25			92		2.09			22,147		3.40
Obligations of U.S. states and political subdivisions		-		-			1		4.60			313		4.24			252		4.53
Asset backed securities		38		5.64			-		-			14		.79			882		3.00
Other domestic debt securities		516		1.60			-		-			-		-			25		3.90
Foreign debt securities		1,715		2.43			4,914		2.00			11		4.93			-		-

Total amortized cost	$	2,269		2.29	%	$	15,285		1.04	%	$	6,776		2.71	%	$	27,331		3.40	%

Total fair value	$	2,281				$	15,266				$	7,263				$	28,331

Held-to-maturity:
U.S. Government sponsored enterprises	$	-		-	%	$	14		7.95	%	$	2		7.02	%	$	1,405		6.16	%
U.S. Government agency issued or guaranteed		-		-			1		7.61			5		7.65			381		6.52
Obligations of U.S. states and political subdivisions		7		4.98			17		5.49			13		4.80			24		4.92
Asset backed securities		-		-			-		-			-		-			166		6.22
Asset backed securities issued by consolidated VIE		-		-			-		-			-		-			-		-
Foreign debt securities		-		-			-		-			-		-			-		-

Total amortized cost	$	7		4.98	%	$	32		6.60	%	$	20		5.69	%	$	1,976		6.22	%

Total fair value	$	7				$	34				$	21				$	2,236

Investments in Federal Home Loan Bank (“FHLB”) stock and Federal Reserve Bank (“FRB”) stock of $133 million and $483 million, respectively, were included in other assets at December 31, 2011. Investments in FHLB stock and FRB stock of $119 million and $477 million, respectively, were included in other assets at December 31, 2010.