Securities (Tables)

6 Months Ended

Jun. 30, 2014

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

The following tables provide the amortized cost and fair values of securities at June 30, 2014 and December 31, 2013.

Securities Available for Sale

June 30, 2014

Amortized
Cost

Gross Unrealized

Fair
Value

(In Millions)

Gains

Losses

U.S. Government

2,396.3

21.4

—

2,417.7

Obligations of States and Political Subdivisions

4.5

0.1

—

4.6

Government Sponsored Agency

18,112.8

79.7

23.6

18,168.9

Corporate Debt

3,696.3

5.6

31.2

3,670.7

Covered Bonds

1,974.6

14.3

0.1

1,988.8

Supranational, Sovereign and Non-U.S. Agency Bonds

720.6

2.6

0.9

722.3

Residential Mortgage-Backed

44.5

0.4

2.0

42.9

Other Asset-Backed

2,388.9

2.1

—

2,391.0

Auction Rate

97.1

2.4

0.7

98.8

Other

183.3

0.4

—

183.7

Total

29,618.9

129.0

58.5

29,689.4


Securities Available for Sale	December 31, 2013
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
U.S. Government	$	1,896.7	$	22.6	$	1.4	$	1,917.9
Obligations of States and Political Subdivisions		4.5		0.1		—		4.6
Government Sponsored Agency		17,495.2		80.7		47.9		17,528.0
Corporate Debt		3,615.2		10.5		101.2		3,524.5
Covered Bonds		1,898.9		50.9		5.9		1,943.9
Supranational, Sovereign and Non-U.S. Agency Bonds		717.0		5.3		1.7		720.6
Residential Mortgage-Backed		52.4		0.1		4.4		48.1
Other Asset-Backed		2,390.8		1.4		0.4		2,391.8
Auction Rate		97.5		2.2		0.8		98.9
Other		214.1		0.4		—		214.5

Total	$	28,382.3	$	174.2	$	163.7	$	28,392.8

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

Securities Held to Maturity

June 30, 2014

Amortized
Cost

Gross
Unrealized

Fair
Value

(In Millions)

Gains

Losses

Obligations of States and Political Subdivisions

157.0

9.2

—

166.2

Government Sponsored Agency

27.7

1.3

—

29.0

Non-U.S. Government Debt

171.7

—

171.7

Certificates of Deposit

1,533.0

0.2

—

1,533.2

Supranational, Sovereign and Non-U.S. Agency Bonds

2,317.6

6.9

9.3

2,315.2

Other

63.6

0.1

13.6

50.1

Total

4,270.6

17.7

22.9

4,265.4


Securities Held to Maturity	December 31, 2013
	Amortized Cost		Gross Unrealized				Fair Value
(In Millions)	Amortized Cost		Gains		Losses		Fair Value
Obligations of States and Political Subdivisions	$	225.2	$	10.3	$	—	$	235.5
Government Sponsored Agency		35.9		1.1		—		37.0
Non-U.S. Government Debt		197.3		—		—		197.3
Certificates of Deposit		698.1		—		0.2		697.9
Supranational, Sovereign and Non-U.S. Agency Bonds		1,109.4		0.8		4.3		1,105.9
Other		59.9		0.1		12.2		47.8

Total	$	2,325.8	$	12.3	$	16.7	$	2,321.4

Securities Continuous Unrealized Loss Position

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 June 30, 2014 and December 31, 2013.

Securities with Unrealized Losses as of June 30, 2014

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

2,612.6

8.3

1,958.6

15.3

4,571.2

23.6

Corporate Debt

579.2

1.1

1,282.3

30.1

1,861.5

31.2

Covered Bonds

—

10.0

0.1

10.0

0.1

Supranational, Sovereign and Non-U.S. Agency Bonds

1,406.2

9.3

58.9

0.9

1,465.1

10.2

Residential Mortgage-Backed

—

23.1

2.0

23.1

2.0

Auction Rate

2.4

0.1

13.5

0.6

15.9

0.7

Other

22.8

7.3

33.2

6.3

56.0

13.6

Total

4,623.2

26.1

3,379.6

55.3

8,002.8

81.4


Securities with Unrealized Losses as of December 31, 2013	Less than 12 Months				12 Months or Longer				Total
(In Millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Government	$	896.4	$	1.4	$	—	$	—	$	896.4	$	1.4
Government Sponsored Agency		4,340.8		42.6		413.7		5.3		4,754.5		47.9
Corporate Debt		1,759.5		85.4		267.0		15.8		2,026.5		101.2
Covered Bonds		278.8		5.7		9.9		0.2		288.7		5.9
Supranational, Sovereign and Non-U.S. Agency Bonds		789.4		6.0		—		—		789.4		6.0
Residential Mortgage-Backed		—		—		42.0		4.4		42.0		4.4
Other Asset-Backed		677.0		0.4		—		—		677.0		0.4
Certificates of Deposit		684.2		0.2		—		—		684.2		0.2
Auction Rate		22.1		0.1		14.0		0.7		36.1		0.8
Other		25.7		4.0		29.5		8.2		55.2		12.2

Total	$	9,473.9	$	145.8	$	776.1	$	34.6	$	10,250.0	$	180.4

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

Amortized cost, weighted average ultimate default rates, and impairment severity rates for the non-agency residential mortgage-backed securities portfolio, by security type as of June 30, 2014, are provided in the following table.

($ In Millions)

June 30, 2014

Loss Severity Rates

Security Type

Amortized
Cost

Weighted Average
Ultimate Default Rates

Low

High

Weighted
Average

Prime

6.3

23.1

32.3

53.4

46.1

Alt-A

11.6

42.1

64.1

Subprime

20.1

46.3

72.7

75.4

73.3

2nd Lien

6.5

32.4

98.7

100.0

99.7

Total Non-Agency Residential Mortgage-Backed Securities

44.5

39.4

32.3

100.0

70.9

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 three and six months ended June 30, 2014 and 2013.


	Three Months Ended June 30,				Six Months Ended June 30,
(In Millions)	2014		2013		2014			2013
Changes in OTTI Losses*	$	—	$	—	$	(4.6	)	$	—
Noncredit-related Losses Recorded in / (Reclassified from) OCI**		—		—		0.7			—

Net Impairment Losses Recognized in Earnings	$	—	$	—	$	(3.9	)	$	—

For initial other-than-temporary impairments in the respective period, 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.

For initial other-than-temporary impairments in the respective period, 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.


	Three Months Ended June 30,				Six Months Ended June 30,
(In Millions)	2014		2013		2014		2013
Cumulative Credit-Related Losses on Securities Held – Beginning of Period	$	12.7	$	8.8	$	8.8	$	42.3
Plus: Losses on Newly Identified Impairments		—		—		1.8		—
Additional Losses on Previously Identified Impairments		—		—		2.1		—
Less: Current and Prior Period Losses on Securities Sold During the Period		—		—		—		(33.5	)

Cumulative Credit-Related Losses on Securities Held – End of Period	$	12.7	$	8.8	$	12.7	$	8.8

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 June 30, 2014 and December 31, 2013, for which an OTTI loss has been recognized in the current period or previously.


(In Millions)	June 30, 2014			December 31, 2013
Fair Value	$	46.9		$	38.3
Amortized Cost Basis		53.2			42.8

Noncredit-related Losses Recognized in OCI		(6.3	)		(4.5	)
Tax Effect		2.4			1.7

Amount Recorded in OCI	$	(3.9	)	$	(2.8	)

Available for Sale Investment Securities

Remaining Maturity of Securities

The following table provides the remaining maturity of securities as of June 30, 2014.


(In Millions)	Amortized Cost		Fair Value
Available for Sale
Due in One Year or Less	$	8,619.5	$	8,629.4
Due After One Year Through Five Years		16,807.1		16,861.6
Due After Five Years Through Ten Years		3,045.0		3,045.5
Due After Ten Years		1,147.3		1,152.9

Total		29,618.9		29,689.4

Held-to-maturity Securities

Remaining Maturity of Securities

Held to Maturity
Due in One Year or Less		1,864.9		1,868.3
Due After One Year Through Five Years		2,348.2		2,348.6
Due After Five Years Through Ten Years		22.1		23.3
Due After Ten Years		35.4		25.2

Total	$	4,270.6	$	4,265.4

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.

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- 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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