Securities Available for Sale (Tables)

6 Months Ended

Jun. 30, 2011

Securities Available for Sale (Tables) [Abstract]

Securities Available For Sale Major Categories

			Gross		Gross
			unrealized		unrealized			Fair
(in millions)	Cost		gains		losses			value
June 30, 2011
Securities of U.S. Treasury and federal agencies	$	10,490		46		(13	)		10,523
Securities of U.S. states and political subdivisions		24,173		802		(563	)		24,412
Mortgage-backed securities:
Federal agencies		74,472		3,892		(26	)		78,338
Residential		16,835		1,843		(318	)		18,360
Commercial		13,889		1,335		(496	)		14,728
Total mortgage-backed securities		105,196		7,070		(840	)		111,426
Corporate debt securities		10,584		1,388		(75	)		11,897
Collateralized debt obligations (1)		6,951		467		(186	)		7,232
Other (2)		16,132		507		(186	)		16,453
Total debt securities		173,526		10,280		(1,863	)		181,943
Marketable equity securities:
Perpetual preferred securities		2,930		286		(72	)		3,144
Other marketable equity securities		569		645		(3	)		1,211
Total marketable equity securities		3,499		931		(75	)		4,355
Total	$	177,025		11,211		(1,938	)		186,298
December 31, 2010
Securities of U.S. Treasury and federal agencies	$	1,570		49		(15	)		1,604
Securities of U.S. states and political subdivisions		18,923		568		(837	)		18,654
Mortgage-backed securities:
Federal agencies		78,578		3,555		(96	)		82,037
Residential		18,294		2,398		(489	)		20,203
Commercial		12,990		1,199		(635	)		13,554
Total mortgage-backed securities		109,862		7,152		(1,220	)		115,794
Corporate debt securities		9,015		1,301		(37	)		10,279
Collateralized debt obligations (1)		4,638		369		(229	)		4,778
Other (2)		16,063		576		(283	)		16,356
Total debt securities		160,071		10,015		(2,621	)		167,465
Marketable equity securities:
Perpetual preferred securities		3,671		250		(89	)		3,832
Other marketable equity securities		587		771		(1	)		1,357
Total marketable equity securities		4,258		1,021		(90	)		5,189
Total	$	164,329		11,036		(2,711	)		172,654

(1)

Includes collateralized loan obligations with a cost basis and fair value of $6.3 billion and $6.6 billion, respectively, at June 30, 2011, and $4.0 billion and $4.2 billion, respectively, at December 31, 2010.

(2)

Included in the “Other” category are asset-backed securities collateralized by auto leases or loans and cash reserves with a cost basis and fair value of $4.0 billion and $4.0 billion, respectively, at June 30, 2011, and $6.2 billion and $6.4 billion, respectively, at December 31, 2010. Also included in the “Other” category are asset-backed securities collateralized by home equity loans with a cost basis and fair value of $1.3 billion and $1.4 billion, respectively, at June 30, 2011, and $927 million and $1.1 billion, respectively, at December 31, 2010. The remaining balances primarily include asset-backed securities collateralized by credit cards and student loans.

Securities Available For Sale Gross Unrealized Losses Over And Under 12 Months

	Less than 12 months					12 months or more					Total
	Gross					Gross					Gross
	unrealized			Fair		unrealized			Fair		unrealized			Fair
(in millions)	losses			value		losses			value		losses			value
June 30, 2011
Securities of U.S. Treasury and federal agencies	$	(13	)		7,267		-			-		(13	)		7,267
Securities of U.S. states and political subdivisions		(124	)		5,237		(439	)		3,576		(563	)		8,813
Mortgage-backed securities:
Federal agencies		(19	)		4,045		(7	)		676		(26	)		4,721
Residential		(39	)		1,751		(279	)		3,571		(318	)		5,322
Commercial		(39	)		1,342		(457	)		3,936		(496	)		5,278
Total mortgage-backed securities		(97	)		7,138		(743	)		8,183		(840	)		15,321
Corporate debt securities		(16	)		1,291		(59	)		227		(75	)		1,518
Collateralized debt obligations		(25	)		1,933		(161	)		501		(186	)		2,434
Other		(18	)		2,124		(168	)		659		(186	)		2,783
Total debt securities		(293	)		24,990		(1,570	)		13,146		(1,863	)		38,136
Marketable equity securities:
Perpetual preferred securities		(5	)		303		(67	)		817		(72	)		1,120
Other marketable equity securities		(3	)		25		-			-		(3	)		25
Total marketable equity securities		(8	)		328		(67	)		817		(75	)		1,145
Total	$	(301	)		25,318		(1,637	)		13,963		(1,938	)		39,281
December 31, 2010
Securities of U.S. Treasury and federal agencies	$	(15	)		544		-			-		(15	)		544
Securities of U.S. states and political subdivisions		(322	)		6,242		(515	)		2,720		(837	)		8,962
Mortgage-backed securities:
Federal agencies		(95	)		8,103		(1	)		60		(96	)		8,163
Residential		(35	)		1,023		(454	)		4,440		(489	)		5,463
Commercial		(9	)		441		(626	)		5,141		(635	)		5,582
Total mortgage-backed securities		(139	)		9,567		(1,081	)		9,641		(1,220	)		19,208
Corporate debt securities		(10	)		477		(27	)		157		(37	)		634
Collateralized debt obligations		(13	)		679		(216	)		456		(229	)		1,135
Other		(13	)		1,985		(270	)		757		(283	)		2,742
Total debt securities		(512	)		19,494		(2,109	)		13,731		(2,621	)		33,225
Marketable equity securities:
Perpetual preferred securities		(41	)		962		(48	)		467		(89	)		1,429
Other marketable equity securities		-			-		(1	)		7		(1	)		7
Total marketable equity securities		(41	)		962		(49	)		474		(90	)		1,436
Total	$	(553	)		20,456		(2,158	)		14,205		(2,711	)		34,661

Securities Available For Sale Gross Unrealized Losses By Investment Grade

	Investment grade					Non-investment grade
	Gross					Gross
	unrealized			Fair		unrealized			Fair
(in millions)	losses			value		losses			value
June 30, 2011
Securities of U.S. Treasury and federal agencies	$	(13	)		7,267		-			-
Securities of U.S. states and political subdivisions		(467	)		8,340		(96	)		473
Mortgage-backed securities:
Federal agencies		(26	)		4,721		-			-
Residential		(14	)		544		(304	)		4,778
Commercial		(239	)		4,286		(257	)		992
Total mortgage-backed securities		(279	)		9,551		(561	)		5,770
Corporate debt securities		(18	)		839		(57	)		679
Collateralized debt obligations		(47	)		2,069		(139	)		365
Other		(164	)		2,522		(22	)		261
Total debt securities		(988	)		30,588		(875	)		7,548
Perpetual preferred securities		(69	)		1,002		(3	)		118
Total	$	(1,057	)		31,590		(878	)		7,666
December 31, 2010
Securities of U.S. Treasury and federal agencies	$	(15	)		544		-			-
Securities of U.S. states and political subdivisions		(722	)		8,423		(115	)		539
Mortgage-backed securities:
Federal agencies		(96	)		8,163		-			-
Residential		(23	)		888		(466	)		4,575
Commercial		(299	)		4,679		(336	)		903
Total mortgage-backed securities		(418	)		13,730		(802	)		5,478
Corporate debt securities		(22	)		330		(15	)		304
Collateralized debt obligations		(42	)		613		(187	)		522
Other		(180	)		2,510		(103	)		232
Total debt securities		(1,399	)		26,150		(1,222	)		7,075
Perpetual preferred securities		(81	)		1,327		(8	)		102
Total	$	(1,480	)		27,477		(1,230	)		7,177

Debt Securities Available For Sale Contractual Maturities

						Remaining contractual maturity
			Weighted-								After one year					After five years
	Total		average			Within one year					through five years					through ten years					After ten years
(in millions)	amount		yield			Amount		Yield			Amount		Yield			Amount		Yield			Amount		Yield
June 30, 2011
Securities of U.S. Treasury and federal agencies	$	10,523		1.06	%	$	8		5.35	%	$	9,913		0.89	%	$	511		3.70	%	$	91		3.97	%
Securities of U.S. states and political subdivisions		24,412		5.35			501		3.49			5,065		2.88			2,075		5.60			16,771		6.12
Mortgage-backed securities:
Federal agencies		78,338		4.86			11		6.58			480		2.61			743		4.66			77,104		4.88
Residential		18,360		4.82			-		-			-		-			707		1.89			17,653		4.93
Commercial		14,728		5.48			-		-			1		1.55			194		5.69			14,533		5.48
Total mortgage-backed securities		111,426		4.94			11		6.58			481		2.60			1,644		3.59			109,290		4.97
Corporate debt securities		11,897		5.39			577		5.51			5,748		4.54			4,195		6.47			1,377		5.59
Collateralized debt obligations		7,232		0.81			-		-			527		0.87			4,787		0.70			1,918		1.06
Other		16,453		2.17			897		1.30			7,948		2.05			3,317		2.54			4,291		2.28
Total debt securities at fair value	$	181,943		4.38	%	$	1,994		3.11	%	$	29,682		2.27	%	$	16,529		3.53	%	$	133,738		4.97	%
December 31, 2010
Securities of U.S. Treasury and federal agencies	$	1,604		2.54	%	$	9		5.07	%	$	641		1.72	%	$	852		2.94	%	$	102		4.15	%
Securities of U.S. states and political subdivisions		18,654		5.99			322		3.83			3,210		3.57			1,884		6.13			13,238		6.60
Mortgage-backed securities:
Federal agencies		82,037		5.01			5		6.63			28		6.58			420		5.23			81,584		5.00
Residential		20,203		4.98			-		-			-		-			341		3.20			19,862		5.01
Commercial		13,554		5.39			-		-			1		1.38			215		5.28			13,338		5.39
Total mortgage-backed securities		115,794		5.05			5		6.63			29		6.38			976		4.53			114,784		5.05
Corporate debt securities		10,279		5.94			545		7.82			3,853		6.01			4,817		5.62			1,064		6.21
Collateralized debt obligations		4,778		0.80			-		-			545		0.88			2,581		0.72			1,652		0.90
Other		16,356		2.53			1,588		2.89			7,887		3.00			4,367		2.01			2,514		1.72
Total debt securities at fair value	$	167,465		4.81	%	$	2,469		4.12	%	$	16,165		3.72	%	$	15,477		3.63	%	$	133,354		5.10	%

Securities Available For Sale Realized Gains And Losses

	Quarter ended June 30,						Six months ended June 30,
(in millions)	2011			2010			2011			2010
Gross realized gains	$	430			260			500			444
Gross realized losses		(7	)		(3	)		(49	)		(18	)
OTTI write-downs		(189	)		(106	)		(269	)		(212	)
Net realized gains from securities available for sale		234			151			182			214
Net realized gains from principal and private equity investments		362			167			601			175
Net realized gains from debt securities and equity investments	$	596			318			783			389

Securities Available For Sale And Nonmarketable Equity Securities Other Than Temporary Impairment

	Quarter ended June 30,				Six months ended June 30,
(in millions)	2011		2010		2011		2010
OTTI write-downs included in earnings
Debt securities:
U.S. states and political subdivisions	$	2		3		2		8
Mortgage-backed securities:
Residential		144		37		206		76
Commercial		9		42		23		55
Corporate debt securities		-		4		-		5
Collateralized debt obligations		-		5		-		11
Other debt securities		34		15		38		43
Total debt securities		189		106		269		198
Equity securities:
Marketable equity securities:
Perpetual preferred securities		-		-		-		14
Total marketable equity securities		-		-		-		14
Total securities available for sale		189		106		269		212
Nonmarketable equity securities		16		62		57		153
Total OTTI write-downs included in earnings	$	205		168		326		365

Debt Securities Available For Sale Other Than Temporary Impairment

	Quarter ended June 30,						Six months ended June 30,
(in millions)	2011			2010			2011			2010
OTTI on debt securities
Recorded as part of gross realized losses:
Credit-related OTTI	$	189			106			268			195
Intent-to-sell OTTI		-			-			1			3
Total recorded as part of gross realized losses		189			106			269			198
Recorded directly to OCI for non-credit-related impairment:
U.S. states and political subdivisions		(1	)		(1	)		(1	)		(5	)
Residential mortgage-backed securities		(64	)		(124	)		(168	)		(98	)
Commercial mortgage-backed securities		17			84			(36	)		82
Collateralized debt obligations		-			(3	)		-			56
Other debt securities		(12	)		(13	)		(11	)		(30	)
Total recorded directly to OCI for increase (decrease) in non-credit-related impairment (1)		(60	)		(57	)		(216	)		5
Total OTTI losses recorded on debt securities	$	129			49			53			203

(1) Represents amounts recorded to OCI on debt securities in periods OTTI write-downs have occurred. Changes in fair value in subsequent periods on such securities, to the extent additional credit-related OTTI did not occur, are not reflected in this total. For the quarter ended June 30, 2011, the non-credit-related impairment recorded to OCI was a $60 million reduction in total OTTI because the fair value of the security increased due to factors other than credit. This fair value increase (net of the $189 million decrease related to credit) was not sufficient to recover the full amount of the unrealized loss on such securities and therefore required recognition of OTTI.

Credit Loss Component Of Credit-Impaired Debt Securities

	Quarter ended June 30,						Six months ended June 30,
(in millions)	2011			2010			2011			2010
Credit loss component, beginning of period	$	1,087			1,002			1,043			1,187
Additions:
Initial credit impairments		31			39			42			59
Subsequent credit impairments		158			67			226			136
Total additions		189			106			268			195
Reductions:
For securities sold		(15	)		(51	)		(38	)		(76	)
For securities derecognized resulting from adoption of consolidation accounting guidance		-			-			-			(242	)
Due to change in intent to sell or requirement to sell		-			(2	)		-			(2	)
For recoveries of previous credit impairments (1)		(10	)		(6	)		(22	)		(13	)
Total reductions		(25	)		(59	)		(60	)		(333	)
Credit loss component, end of period	$	1,251			1,049			1,251			1,049

(1) Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.

Credit Loss Component Of Residential Mortgage Backed Securities Inputs To Measure

	Quarter ended June 30,					Six months ended June 30,
($ in millions)	2011			2010		2011		2010
Credit impairment losses on residential MBS
Investment grade	$	-			-		5		-
Non-investment grade		144			37		201		76
Total credit impairment losses on residential MBS	$	144			37		206		76
Significant inputs (non-agency — non-investment grade MBS)
Expected remaining life of loan losses (1):
Range (2)		0-40	%		1-40		0-40		1-40
Credit impairment distribution (3):
0 - 10% range		40			54		45		53
10 - 20% range		13			8		16		14
20 - 30% range		35			34		30		29
Greater than 30%		12			4		9		4
Weighted average (4)		12			8		11		9
Current subordination levels (5):
Range (2)		0-13			0-25		0-13		0-25
Weighted average (4)		4			7		5		7
Prepayment speed (annual CPR (6)):
Range (2)		5-14			3-17		5-15		3-17
Weighted average (4)		11			9		11		9

(1)	Represents future expected credit losses on underlying pool of loans expressed as a percentage of total current outstanding loan balance.
(2)	Represents the range of inputs/assumptions based upon the individual securities within each category.
(3)	Represents distribution of credit impairment losses recognized in earnings categorized based on range of expected remaining life of loan losses. For example 40% of credit impairment losses recognized in earnings for the quarter ended June 30, 2011, had expected remaining life of loan loss assumptions of 0 to 10%.
(4)	Calculated by weighting the relevant input/assumption for each individual security by current outstanding amortized cost basis of the security.
(5)	Represents current level of credit protection (subordination) for the securities, expressed as a percentage of total current underlying loan balance.
(6)	Constant prepayment rate.