Securities (Tables)

9 Months Ended

Sep. 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 September 30, 2014, and December 31, 2013.

Securities Available for Sale

September 30, 2014

Amortized
Cost

Gross Unrealized

Fair
Value

(In Millions)

Gains

Losses

U.S. Government

3,395.1

16.0

1.5

3,409.6

Obligations of States and Political Subdivisions

4.5

0.1

—

4.6

Government Sponsored Agency

16,114.2

85.4

25.2

16,174.4

Non-U.S. Government

309.3

1.2

—

310.5

Corporate Debt

3,393.5

4.7

33.4

3,364.8

Covered Bonds

1,966.9

12.2

0.2

1,978.9

Supranational and Non-U.S. Agency Bonds

360.0

1.4

1.2

360.2

Residential Mortgage-Backed

18.8

0.1

1.3

17.6

Other Asset-Backed

2,232.0

1.3

0.2

2,233.1

Auction Rate

83.4

2.3

0.5

85.2

Other

168.5

0.3

—

168.8

Total

28,046.2

125.0

63.5

28,107.7


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
Non-U.S. Government		307.0		3.6		—		310.6
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 and Non-U.S. Agency Bonds		410.0		1.7		1.7		410.0
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

September 30, 2014

Amortized
Cost

Gross Unrealized

Fair
Value

(In Millions)

Gains

Losses

Obligations of States and Political Subdivisions

138.8

8.5

—

147.3

Government Sponsored Agency

22.8

1.1

—

23.9

Non-U.S. Government

1,094.1

3.7

0.7

1,097.1

Certificates of Deposit

1,479.5

0.2

0.1

1,479.6

Supranational and Non-U.S. Agency Bonds

1,393.9

3.9

1.9

1,395.9

Other

67.6

—

16.3

51.3

Total

4,196.7

17.4

19.0

4,195.1


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		722.0		0.8		1.1		721.7
Certificates of Deposit		698.1		—		0.2		697.9
Supranational and Non-U.S. Agency Bonds		584.7		—		3.2		581.5
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 September 30, 2014, and December 31, 2013.

Securities with Unrealized Losses as of

September 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

U.S. Government

1,596.0

1.5

—

1,596.0

1.5

Government Sponsored Agency

2,099.2

8.3

1,773.5

16.9

3,872.7

25.2

Non-U.S. Government

235.4

0.1

80.3

0.6

315.7

0.7

Corporate Debt

862.3

2.8

1,258.0

30.6

2,120.3

33.4

Covered Bonds

77.0

0.1

9.9

0.1

86.9

0.2

Supranational and Non-U.S. Agency Bonds

438.2

0.7

300.8

2.4

739.0

3.1

Residential Mortgage-Backed

—

15.0

1.3

15.0

1.3

Other Asset-Backed

485.2

0.1

7.1

0.1

492.3

0.2

Certificates of Deposit

552.0

0.1

—

552.0

0.1

Auction Rate

1.1

0.1

5.1

0.4

6.2

0.5

Other

13.0

8.5

43.4

7.8

56.4

16.3

Total

6,359.4

22.3

3,493.1

60.2

9,852.5

82.5


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
Non-U.S. Government		176.7		1.1		—		—		176.7		1.1
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 and Non-U.S. Agency Bonds		612.7		4.9		—		—		612.7		4.9
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 September 30, 2014, are provided in the following table.

($ In Millions)

September 30, 2014

Amortized
Cost

Weighted Average
Ultimate Default Rates

Loss Severity Rates

Security Type

Low

High

Weighted
Average

Prime

2.0

5.4

32.1

Alt-A

11.2

40.0

62.8

2nd Lien

5.6

32.7

98.7

99.0

Total Non-Agency Residential Mortgage-Backed Securities

18.8

33.1

32.1

99.0

70.3

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 nine months ended September 30, 2014, and 2013.


	Three Months Ended September 30,				Nine Months Ended September 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 September 30,					Nine Months Ended September 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		(1.8	)		—		(1.8	)		(33.5	)

Cumulative Credit-Related Losses on Securities Held — End of Period	$	10.9		$	8.8	$	10.9		$	8.8

Held-to-maturity Securities

Remaining Maturity of Securities

Held to Maturity
Due in One Year or Less		1,914.1		1,915.3
Due After One Year Through Five Years		2,222.2		2,230.5
Due After Five Years Through Ten Years		23.3		24.1
Due After Ten Years		37.1		25.2

Total	$	4,196.7	$	4,195.1

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

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


Remaining Maturity of Securities
(In Millions)	Amortized Cost		Fair Value
Available for Sale
Due in One Year or Less	$	7,195.0	$	7,210.6
Due After One Year Through Five Years		16,637.9		16,677.9
Due After Five Years Through Ten Years		3,116.8		3,138.1
Due After Ten Years		1,096.5		1,081.1

Total		28,046.2		28,107.7

- 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+ 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.

+ References+ Details