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Securities

12 Months Ended

Dec. 31, 2011

7. Securities

The amortized cost, unrealized gains and losses, and fair value of our securities available for sale and held-to-maturity securities are presented in the following table. Gross unrealized gains and losses represent the difference between the amortized cost and the fair value of securities on the balance sheet as of the dates indicated. Accordingly, the amount of these gains and losses may change in the future as market conditions change. For more information about our securities available-for-sale and held-to-maturity securities and the related accounting policies, see Note 1 (“Summary of Significant Accounting Policies”).


	2011								2010
December 31, in millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
SECURITIES AVAILABLE FOR SALE
U.S. Treasury, agencies and corporations		—		—		—		—	$	8		—		—	$	8
States and political subdivisions	$	60	$	3		—	$	63		170	$	2		—		172
Collateralized mortgage obligations		14,707		455		—		15,162		20,344		408	$	87		20,665
Other mortgage-backed securities		715		63		—		778		998		71		—		1,069
Other securities		8		1		—		9		15		4		—		19
Total securities available for sale	$	15,490	$	522		—	$	16,012	$	21,535	$	485	$	87	$	21,933


HELD-TO-MATURITY SECURITIES
States and political subdivisions		—		—		—		—	$	1		—		—	$	1
Collateralized mortgage obligations	$	2,091	$	24		—	$	2,115		—		—		—		—
Other securities		18		—		—		18		16		—		—		16
Total held-to-maturity securities	$	2,109	$	24		—	$	2,133	$	17		—		—	$	17

The following table summarizes our securities that were in an unrealized loss position as of December 31, 2011, and 2010.


	Duration of Unrealized Loss Position
	Less than 12 Months				12 Months or Longer				Total
in millions	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
December 31, 2011
Securities available for sale:
Collateralized mortgage obligations	$	1		—		—		—	$	1		—
Other securities		3		—		—		—		3		—
Total temporarily impaired securities	$	4		—		—		—	$	4		—


December 31, 2010
Securities available for sale:
Collateralized mortgage obligations	$	4,028	$	87		—		—	$	4,028	$	87
Total temporarily impaired securities	$	4,028	$	87		—		—	$	4,028	$	87

We had less than $1 million of gross unrealized losses at December 31, 2011, all related to two fixed-rate collateralized mortgage obligations, which we invested in as part of an overall A/LM strategy. Since these securities have fixed interest rates, their fair value is sensitive to movements in market interest rates. These unrealized losses are considered temporary since we expect to collect all contractually due amounts from these securities. Accordingly, these investments have been reduced to their fair value through OCI, not earnings. These securities have a weighted-average maturity of .2 years at December 31, 2011.

We regularly assess our securities portfolio for OTTI. The assessments are based on the nature of the securities, the underlying collateral, the financial condition of the issuer, the extent and duration of the loss, our intent related to the individual securities, and the likelihood that we will have to sell securities prior to expected recovery.

Debt securities identified to have OTTI are written down to their current fair value. For those debt securities that we intend to sell, or more-likely-than-not will be required to sell, prior to the expected recovery of the amortized cost, the entire impairment (i.e., the difference between amortized cost and the fair value) is recognized in earnings. For those debt securities that we do not intend to sell, or more-likely-than-not will not be required to sell, prior to expected recovery, the credit portion of OTTI is recognized in earnings, while the remaining OTTI is recognized in equity as a component of AOCI on the balance sheet. As shown in the following table, we did not have any impairment losses recognized in earnings for the three months ended December 31, 2011.


Three months ended December 31, 2011

in millions
Balance at September 30, 2011	$	4
Impairment recognized in earnings		—
Balance at December 31, 2011	$	4

Realized gains and losses related to securities available for sale were as follows:


Year ended December 31,

in millions	2011		2010		2009
Realized gains	$	23	$	19	$	129
Realized losses		22		5		16
Net securities gains (losses)	$	1	$	14	$	113

At December 31, 2011, securities available for sale and held-to-maturity securities totaling $11.5 billion were pledged to secure securities sold under repurchase agreements, to secure public and trust deposits, to facilitate access to secured funding, and for other purposes required or permitted by law.

The following table shows securities by remaining maturity. Collateralized mortgage obligations and other mortgage-backed securities — both of which are included in the securities available-for-sale portfolio — are presented based on their expected average lives. The remaining securities, including all of those in the held-to-maturity portfolio, are presented based on their remaining contractual maturity. Actual maturities may differ from expected or contractual maturities since borrowers have the right to prepay obligations with or without prepayment penalties.


	Securities Available for Sale				Held-to-Maturity Securities
December 31, 2011 in millions	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	649	$	663	$	9	$	9
Due after one through five years		14,761		15,263		2,100		2,124
Due after five through ten years		71		76		—		—
Due after ten years		9		10		—		—
Total	$	15,490	$	16,012	$	2,109	$	2,133