Securities (Tables)

12 Months Ended

Dec. 31, 2012

Reconciliation of Amortized Cost to Fair Values of Securities Available for Sale


RECONCILIATION OF AMORTIZED COST TO FAIR VALUES OF SECURITIES AVAILABLE FOR SALE	DECEMBER 31, 2012
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	1,747.9	$	36.7	$	–	$	1,784.6
Obligations of States and Political Subdivisions		13.9		0.2		–		14.1
Government Sponsored Agency		18,520.6		122.2		4.0		18,638.8
Corporate Debt		2,602.4		18.1		2.1		2,618.4
Covered Bonds		1,697.1		51.0		0.1		1,748.0
Supranational Bonds		1,053.9		7.0		0.2		1,060.7
Residential Mortgage-Backed		102.4		0.4		10.8		92.0
Other Asset-Backed		2,280.0		4.3		0.4		2,283.9
Auction Rate		99.6		2.1		3.9		97.8
Other		304.4		0.8		–		305.2

Total	$	28,422.2	$	242.8	$	21.5	$	28,643.5

	DECEMBER 31, 2011
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
U.S. Government	$	3,965.9	$	63.5	$	–	$	4,029.4
Obligations of States and Political Subdivisions		14.9		0.9		–		15.8
Government Sponsored Agency		16,702.6		86.1		17.3		16,771.4
Corporate Debt		2,677.7		4.7		5.7		2,676.7
Covered Bonds		746.1		9.2		0.4		754.9
Non-U.S. Government Debt		173.7		–		–		173.7
Supranational Bonds		971.0		3.0		1.9		972.1
Residential Mortgage-Backed		196.1		–		32.3		163.8
Other Asset-Backed		1,606.8		1.3		3.3		1,604.8
Certificates of Deposit		2,418.2		0.2		0.3		2,418.1
Auction Rate		186.5		4.3		12.5		178.3
Other		433.1		0.6		0.2		433.5

Total	$	30,092.6	$	173.8	$	73.9	$	30,192.5

Reconciliation of Amortized Cost to Fair Values of Securities Held to Maturity


RECONCILIATION OF AMORTIZED COST TO FAIR VALUES OF SECURITIES HELD TO MATURITY	DECEMBER 31, 2012
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	$	329.3	$	17.2	$	–	$	346.5
Government Sponsored Agency		112.9		3.8		–		116.7
Non-U.S. Government Debt		205.0		–		–		205.0
Certificates of Deposit		1,667.6		0.2		0.6		1,667.2
Other		67.2		0.3		8.1		59.4

Total	$	2,382.0	$	21.5	$	8.7	$	2,394.8

	DECEMBER 31, 2011
(In Millions)	AMORTIZED COST		GROSS UNREALIZED GAINS		GROSS UNREALIZED LOSSES		FAIR VALUE
Obligations of States and Political Subdivisions	$	529.4	$	24.6	$	0.1	$	553.9
Government Sponsored Agency		156.8		4.3		0.1		161.0
Other		113.0		0.1		10.9		102.2

Total	$	799.2	$	29.0	$	11.1	$	817.1

Securities Continuous Unrealized Loss Position

Securities with Unrealized Losses. The following tables provide information regarding securities that had been in a continuous unrealized loss position for less than 12 months and for 12 months or longer as of December 31, 2012 and 2011.


SECURITIES WITH UNREALIZED LOSSES AS OF DECEMBER 31, 2012	LESS THAN 12 MONTHS				12 MONTHS OR LONGER				TOTAL
(In Millions)	FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES
Government Sponsored Agency	$	482.2	$	1.0	$	1,171.8	$	3.0	$	1,654.0	$	4.0
Corporate Debt		441.5		2.0		50.0		0.1		491.5		2.1
Covered Bonds		20.1		0.1		–		–		20.1		0.1
Supranational Bonds		113.8		0.2		–		–		113.8		0.2
Residential Mortgage-Backed		–		–		84.7		10.8		84.7		10.8
Other Asset-Backed		146.1		0.1		40.0		0.3		186.1		0.4
Certificates of Deposit		1,178.8		0.6		–		–		1,178.8		0.6
Auction Rate		2.7		0.3		41.0		3.6		43.7		3.9
Other		9.3		1.9		43.8		6.2		53.1		8.1

Total	$	2,394.5	$	6.2	$	1,431.3	$	24.0	$	3,825.8	$	30.2

SECURITIES WITH UNREALIZED LOSSES AS OF DECEMBER 31, 2011	LESS THAN 12 MONTHS				12 MONTHS OR LONGER				TOTAL
(In Millions)	FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES		FAIR VALUE		UNREALIZED LOSSES
Obligations of States and Political Subdivisions	$	2.7	$	0.1	$	–	$	–	$	2.7	$	0.1
Government Sponsored Agency		5,492.5		14.1		470.1		3.3		5,962.6		17.4
Corporate Debt		1,027.5		4.1		123.6		1.6		1,151.1		5.7
Covered Bonds		50.4		0.4		–		–		50.4		0.4
Supranational Bonds		438.2		1.8		99.9		0.1		538.1		1.9
Residential Mortgage-Backed		4.7		0.9		158.8		31.4		163.5		32.3
Other Asset-Backed		824.6		2.3		205.7		1.0		1,030.3		3.3
Certificates of Deposit		1,019.9		0.3		–		–		1,019.9		0.3
Auction Rate		61.0		7.3		52.6		5.2		113.6		12.5
Other		146.3		2.1		45.0		9.0		191.3		11.1

Total	$	9,067.8	$	33.4	$	1,155.7	$	51.6	$	10,223.5	$	85.0

Book Values, Ultimate Default Rates, and Loss Severity Rates for Non-Agency Residential Mortgage-Backed Securities Portfolio, by Security Type

December 31, 2012 amortized cost, weighted average ultimate default rates, and impairment severity rates for the non-agency residential mortgage-backed securities portfolio, by security type, are provided in the following table.

DECEMBER 31, 2012

LOSS SEVERITY RATES

($ In Millions)

AMORTIZED
COST

WEIGHTED AVERAGE
ULTIMATE DEFAULT
RATES

LOW

HIGH

WEIGHTED
AVERAGE

Prime

9.3

21.5

33.0

48.6

34.7

Alt-A

13.1

42.2

68.3

Subprime

56.7

49.5

61.8

84.2

76.6

2^nd Lien

23.3

33.6

98.5

100.0

99.2

Total Non-Agency Residential Mortgage-Backed Securities

102.4

41.8

33.0

100.0

76.9

The table below provides information regarding total other-than-temporarily impaired securities, including noncredit-related amounts recognized in other comprehensive income and net impairment losses recognized in earnings, for the years ended December 31, 2012, 2011, and 2010.


	DECEMBER 31,
(In Millions)	2012			2011			2010
Changes in Other-Than-Temporary Impairment Losses⁽¹⁾	$	(2.7	)	$	(1.1	)	$	(0.8	)
Noncredit-related Losses Recorded in / (Reclassified from) OCI⁽²⁾		(0.6	)		(22.2	)		(20.4	)

Net Impairment Losses Recognized in Earnings	$	(3.3	)	$	(23.3	)	$	(21.2	)

(1) For initial other-than-temporary impairments in the respective year, the balance includes the excess of the amortized cost over the fair value of the impaired securities. For subsequent impairments of the same security, the balance includes any additional changes in fair value of the security subsequent to its most recently recorded OTTI.

(2) For initial other-than-temporary impairments in the respective year, the balance includes the portion of the excess of amortized cost over the fair value of the impaired securities that was recorded in OCI. For subsequent impairments of the same security, the balance includes additional changes in OCI for that security subsequent to its most recently recorded OTTI.

Cumulative Credit-Related Losses Recognized in Earnings on Debt Securities Other-Than-Temporarily Impaired

Provided in the table below are the cumulative credit-related losses recognized in earnings on debt securities other-than-temporarily impaired.


	YEAR ENDED DECEMBER 31,
(In Millions)	2012			2011
Cumulative Credit-Related Losses on Securities Held – Beginning of Year	$	68.2		$	94.2
Plus: Losses on Newly Identified Impairments		1.6			1.5
Additional Losses on Previously Identified Impairments		1.7			21.8
Less: Current and Prior Period Losses on Securities Sold During the Year		(29.2	)		(49.3	)

Cumulative Credit-Related Losses on Securities Held – End of Year	$	42.3		$	68.2

Debt Securities Held for which Other-Than-Temporary Impairment Loss has been Recognized in Current Period or Previously

The table below provides information regarding debt securities held as of December 31, 2012 and 2011, for which an OTTI loss has been recognized in the current year or previously.


	DECEMBER 31,
(In Millions)	2012			2011
Fair Value	$	51.5		$	73.6
Amortized Cost Basis		59.0			96.8

Noncredit-related Losses Recognized in OCI		(7.5	)		(23.2	)
Tax Effect		2.8			8.6

Amount Recognized in OCI	$	(4.7	)	$	(14.6	)

Held-to-maturity Securities

Remaining Maturity of Securities

REMAINING MATURITY OF SECURITIES HELD TO MATURITY	DECEMBER 31, 2012				DECEMBER 31, 2011
(In Millions)	AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE
Due in One Year or Less	$	2,029.5	$	2,030.6	$	199.5	$	200.9
Due After One Year Through Five Years		268.1		280.2		355.4		365.5
Due After Five Years Through Ten Years		45.4		49.8		215.5		226.1
Due After Ten Years		39.0		34.2		28.8		24.6

Total	$	2,382.0	$	2,394.8	$	799.2	$	817.1

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

Available for Sale Investment Securities

Remaining Maturity of Securities

REMAINING MATURITY OF SECURITIES AVAILABLE FOR SALE	DECEMBER 31, 2012				DECEMBER 31, 2011
(In Millions)	AMORTIZED COST		FAIR VALUE		AMORTIZED COST		FAIR VALUE
Due in One Year or Less	$	7,431.7	$	7,451.2	$	9,468.8	$	9,469.6
Due After One Year Through Five Years		18,663.4		18,840.4		18,464.6		18,555.1
Due After Five Years Through Ten Years		1,724.0		1,738.0		1,326.7		1,333.7
Due After Ten Years		603.1		613.9		832.5		834.1

Total	$	28,422.2	$	28,643.5	$	30,092.6	$	30,192.5

Note: Mortgage-backed and asset-backed securities are included in the above table taking into account anticipated future prepayments.

- Definition

Tabular disclosure of all investments in certain debt and equity securities for which the entity has the positive intent and ability to hold until maturity.

+ References

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-Publisher FASB

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+ Details

- 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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