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Securities (Tables)

6 Months Ended

Jun. 30, 2012

Securities [Abstract]

Amortized cost and fair value of the securities available-for-sale and held-to-maturity


June 30, 2012		Amortized Cost				Unrealized Gains				Unrealized Losses				Fair Value
		(in millions)
Securities available-for-sale:
U.S. Treasury		$	27,886			$	517			$	(50	)		$	28,353
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities			37				1				-				38
Direct agency obligations			3,127				387				(1	)			3,513
U.S. Government agency issued or guaranteed:
Mortgage-backed securities			14,774				755				-				15,529
Collateralized mortgage obligations			4,499				170				(1	)			4,668
Direct agency obligations			1				-				-				1
Obligations of U.S. states and political subdivisions			646				35				-				681
Asset backed securities collateralized by:
Residential mortgages			5				-				-				5
Commercial mortgages			299				7				(1	)			305
Home equity			338				-				(87	)			251
Student loans			10				-				(1	)			9
Other			102				-				(17	)			85
Corporate and other domestic debt securities⁽²⁾			40				2				-				42
Foreign debt securities⁽²⁾⁽⁵⁾			6,869				31				(70	)			6,830
Equity securities⁽³⁾			171				22				-				193

Total available-for-sale securities		$	58,804			$	1,927			$	(228	)		$	60,503

Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁴⁾
Mortgage-backed securities		$	1,290			$	168			$	-			$	1,458
U.S. Government agency issued or guaranteed:
Mortgage-backed securities			72				13				-				85
Collateralized mortgage obligations			289				43				-				332
Obligations of U.S. states and political subdivisions			47				3				-				50
Asset backed securities collateralized by residential mortgages			146				10				(1	)			155

Total held-to-maturity securities		$	1,844			$	237			$	(1	)		$	2,080


December 31, 2011		Amortized Cost				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⁾⁽⁵⁾			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

⁽¹⁾	Includes securities at amortized cost of $23 million and $27 million issued or guaranteed by the FNMA at June 30, 2012 and December 31, 2011, respectively, and $14 million and $13 million issued or guaranteed by FHLMC at June 30, 2012 and December 31, 2011, respectively.

⁽²⁾

At June 30, 2012, other domestic debt securities included $16 million of securities at amortized cost fully backed by the Federal Deposit Insurance Corporation (“FDIC”) and foreign debt securities consisted of $2.4 billion of securities fully backed by foreign governments. At December 31, 2011, other domestic debt securities included $516 million of securities at amortized cost fully backed by the FDIC and foreign debt securities consisted of $2.7 billion of securities fully backed by foreign governments.

⁽³⁾	Includes preferred equity securities at amortized cost issued by FNMA of $2 million at June 30, 2012 and December 31, 2011. Balances at June 30, 2012 and December 31, 2011 reflect cumulative other-than-temporary impairment charges of $173 million.

⁽⁴⁾	Includes securities at amortized cost of $554 million and $591 million issued or guaranteed by FNMA at June 30, 2012 and December 31, 2011, respectively, and $736 million and $830 million issued and guaranteed by FHLMC at June 30, 2012 and December 31, 2011, respectively.

⁽⁵⁾	There were no foreign debt securities issued by the governments of Greece, Ireland, Italy, Portugal or Spain at either June 30, 2012 or December 31, 2011.

Gross unrealized losses and related fair values


		One Year or Less												Greater Than One Year
June 30, 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			15			$	(11	)		$	16,433				8			$	(39	)		$	648
U.S. Government sponsored enterprises			7				(1	)			252				16				-				8
U.S. Government agency issued or guaranteed			11				(1	)			1,231				1				-				2
Obligations of U.S. states and political subdivisions			7				-				118				1				-				7
Asset backed securities			6				(1	)			74				20				(105	)			359
Foreign debt securities			6				(30	)			1,969				6				(40	)			2,032
Equity securities			-				-				-				1				-				-

Securities available-for-sale			52			$	(44	)		$	20,077				53			$	(184	)		$	3,056

Securities held-to-maturity:
U.S. Government sponsored enterprises			13			$	-			$	-				54			$	-			$	-
U.S. Government agency issued or guaranteed			35				-				-				1,014				-				3
Obligations of U.S. states and political subdivisions			2				-				-				2				-				1
Asset backed securities			1				-				4				2				(1	)			6

Securities held-to-maturity			51			$	-			$	4				1,072			$	(1	)		$	10


		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
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

Roll-forward of credit losses on debt securities that were other-than-temporarily impaired


		Three Months Ended June 30,								Six Months Ended June 30,
		2012				2011				2012				2011
		(in millions)
Credit losses at the beginning of the period		$	-			$	1			$	-			$	36
Reduction of credit losses previously recognized on sold securities			-				-				-				(4	)
Reduction of credit losses previously recognized on held to maturity securities due to deconsolidation of VIE			-				-				-				(31	)

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)		$	-			$	1			$	-			$	1

Realized gains and losses on investment securities Transactions Attributable to available-for-sale securities


		Gross Realized Gains				Gross Realized (Losses)				Net Realized Gains
		(in millions)
Three months ended June 30, 2012:
Securities available-for-sale		$	132			$	(67	)		$	65
Three months ended June 30, 2011:
Securities available-for-sale		$	57			$	(45	)		$	12
Six months ended June 30, 2012:
Securities available-for-sale		$	201			$	(106	)		$	95
Six months ended June 30, 2011:
Securities available-for-sale		$	139			$	(83	)		$	56

Distribution of maturities of debt securities with the approximate yield of the portfolio


		Within One Year								After One But Within Five Years								After Five But Within Ten Years								After Ten Years
As of June 30, 2012		Amount				Yield				Amount				Yield				Amount				Yield				Amount				Yield
		(dollars are in millions)
Available-for-sale:
U.S. Treasury		$	505				.20	%		$	22,266				.56	%		$	1,928				3.17	%		$	3,187				3.25	%
U.S. Government sponsored enterprises			-				-				155				2.32				2,353				3.65				656				3.58
U.S. Government agency issued or guaranteed			-				-				6				4.61				74				1.93				19,194				3.38
Obligations of U.S. states and political subdivisions			-				-				31				4.20				291				4.24				324				3.92
Asset backed securities			-				-				1				1.41				22				.66				731				3.13
Other domestic debt securities			16				.71				-								-				-				24				3.90
Foreign debt securities			1,274				2.84				5,595				1.90				-				-				-				-

Total amortized cost		$	1,795				2.08	%		$	28,054				.84	%		$	4,668				3.45	%		$	24,116				3.37	%

Total fair value		$	1,796							$	28,067							$	5,262							$	25,185

Held-to-maturity:
U.S. Government sponsored enterprises		$	-				-	%		$	10				6.12	%		$	1				9.36	%		$	1,279				5.83	%
U.S. Government agency issued or guaranteed			-				-				1				8.85				4				9.18				356				6.19
Obligations of U.S. states and political subdivisions			4				5.73				16				3.64				10				2.80				17				3.82
Asset backed securities			-								-				-				-								146

Total amortized cost		$	4				5.73	%		$	27				4.80	%		$	15				4.81	%		$	1,798				5.78	%

Total fair value		$	4							$	29							$	15							$	2,032

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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