Securities (Tables)

9 Months Ended

Sep. 30, 2012

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


September 30, 2012	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Securities available-for-sale:
U.S. Treasury	$	30,612	$	557	$	(30	)	$	31,139
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities		168		2		-			170
Direct agency obligations		3,568		376		(2	)		3,942
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		15,289		871		(4	)		16,156
Collateralized mortgage obligations		3,875		175		-			4,050
Direct agency obligations		1		-		-			1
Obligations of U.S. states and political subdivisions		775		40		-			815
Asset backed securities collateralized by:
Residential mortgages		2		-		-			2
Commercial mortgages		257		7		-			264
Home equity		322		-		(80	)		242
Other		102		-		(17	)		85
Corporate and other domestic debt securities⁽²⁾		40		3		-			43
Foreign debt securities⁽³⁾⁽⁶⁾		5,488		17		(57	)		5,448
Equity securities		167		8		-			175

Total available-for-sale securities	$	60,666	$	2,056	$	(190	)	$	62,532

Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁵⁾
Mortgage-backed securities	$	1,212	$	167	$	-		$	1,379
U.S. Government agency issued or guaranteed:
Mortgage-backed securities		68		13		-			81
Collateralized mortgage obligations		289		46		-			335
Obligations of U.S. states and political subdivisions		44		3		-			47
Asset backed securities collateralized by residential mortgages		128		7		-			135

Total held-to-maturity securities	$	1,741	$	236	$	-		$	1,977


December 31, 2011	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
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⁽³⁾⁽⁶⁾		6,640		27		(97	)		6,570
Equity securities⁽⁴⁾		130		10		-			140

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

Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁵⁾
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 $155 million and $27 million issued or guaranteed by FNMA at September 30, 2012 and December 31, 2011, respectively, and $13 million issued or guaranteed by FHLMC at both September 30, 2012 and December 31, 2011, respectively.

⁽²⁾	At September 30, 2012 and December 31, 2011, other domestic debt securities included $16 million and $516 million, respectively, of securities at amortized cost fully backed by the Federal Deposit Insurance Corporation (“FDIC”).

⁽³⁾	At September 30, 2012 and December 31, 2011, foreign debt securities included of $1.5 billion and $2.7 billion, respectively, of securities fully backed by foreign governments.

⁽⁴⁾	Includes preferred equity securities at amortized cost issued by FNMA of $2 million at December 31, 2011. Balance at December 31, 2011 reflects a cumulative other-than-temporary impairment charge of $173 million.

⁽⁵⁾	Includes securities at amortized cost of $532 million and $591 million issued or guaranteed by FNMA at September 30, 2012 and December 31, 2011, respectively, and $680 million and $830 million issued and guaranteed by FHLMC at September 30, 2012 and December 31, 2011, respectively.

⁽⁶⁾	There were no foreign debt securities issued by the governments of Greece, Ireland, Italy, Portugal or Spain at either September 30, 2012 or December 31, 2011.

Gross Unrealized Losses and Related Fair Values


	One Year or Less							Greater Than One Year
September 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		3	$	(2	)	$	2,595		6	$	(28	)	$	591
U.S. Government sponsored enterprises		2		(2	)		231		12		-			8
U.S. Government agency issued or guaranteed		19		(4	)		116		-		-			-
Obligations of U.S. states and political subdivisions		4		-			29		1		-			7
Asset backed securities		4		-			54		13		(97	)		339
Foreign debt securities		5		(8	)		1,455		8		(49	)		2,979
Equity securities		-		-			-		-		-			-

Securities available-for-sale		37	$	(16	)	$	4,480		40	$	(174	)	$	3,924

Securities held-to-maturity:
U.S. Government sponsored enterprises		12	$	-		$	-		52	$	-		$	-
U.S. Government agency issued or guaranteed		56		-			-		969		-			3
Obligations of U.S. states and political subdivisions		2		-			-		2		-			1
Asset backed securities		1		-			4		2		-			7

Securities held-to-maturity		71	$	-		$	4		1,025	$	-		$	11


	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

Changes in Credit Loss Component of Other-than-Temporarily Impaired Debt Securities


	Three Months Ended September 30,				Nine Months Ended September 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	$	-	$	1	$	-	$	1

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


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in millions)
Gross realized gains	$	59		$	73		$	260		$	213
Gross realized losses		(9	)		(24	)		(115	)		(108	)

Net realized gains	$	50		$	49		$	145		$	105

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 September 30, 2012	Amount		Yield			Amount		Yield			Amount		Yield			Amount		Yield
	(dollars are in millions)
Available-for-sale:
U.S. Treasury	$	2,002		.26	%	$	22,945		.45	%	$	2,774		2.08	%	$	2,891		2.99	%
U.S. Government sponsored enterprises		-		-			295		2.77			2,675		3.29			766		3.44
U.S. Government agency issued or guaranteed		-		-			5		4.60			100		1.97			19,060		3.13
Obligations of U.S. states and political subdivisions		-		-			40		4.16			376		3.84			359		3.84
Asset backed securities		-		-			1		1.46			11		.46			671		3.04
Other domestic debt securities		16		.62			-		-			-		-			24		3.90
Foreign debt securities		625		4.27			4,863		1.83			-		-			-		-

Total amortized cost	$	2,643		1.21	%	$	28,149		.72	%	$	5,936		2.73	%	$	23,771		3.13	%

Total fair value	$	2,644				$	28,202				$	6,535				$	24,976

Held-to-maturity:
U.S. Government sponsored enterprises	$	-		-	%	$	8		7.78	%	$	1		7.87	%	$	1,203		6.16	%
U.S. Government agency issued or guaranteed		-		-			2		7.58			3		7.68			352		6.49
Obligations of U.S. states and political subdivisions		4		5.37			15		5.11			10		4.58			15		4.96
Asset backed securities		-		-			-		-			-		-			128		6.26

Total amortized cost	$	4		5.37	%	$	25		6.13	%	$	14		5.49	%	$	1,698		6.23	%

Total fair value	$	4				$	26				$	15				$	1,932

- 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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