Securities (Tables)

12 Months Ended

Dec. 31, 2012

Amortized Cost and Fair Value of the Securities Available-for-Sale and Held-to-Maturity

The amortized cost and fair value of the securities available-for-sale and securities held-to-maturity portfolios are summarized in the following tables.



December 31, 2012	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	34,800	$	566	$	(24	)	$	35,342
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	166		1		(1		)	166
Direct agency obligations	4,039		364		(2		)	4,401
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	15,646		674		(6		)	16,314
Collateralized mortgage obligations	4,315		156		—			4,471
Direct agency obligations	1		—		—			1
Obligations of U.S. states and political subdivisions	877		37		(2		)	912
Asset backed securities collateralized by:
Residential mortgages	1		—		—			1
Commercial mortgages	208		6		—			214
Home equity	310		—		(52		)	258
Student loans	—		—		—			—
Other	102		—		(18		)	84
Corporate and other domestic debt securities	24		2		—			26
Foreign debt securities⁽³⁾⁽⁶⁾	5,385		16		(48		)	5,353
Equity securities	167		6		—			173
Total available-for-sale securities	$	66,041	$	1,828	$	(153	)	$	67,716
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁵⁾
Mortgage-backed securities	$	1,121	$	148	$	—		$	1,269
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	66		12		—			78
Collateralized mortgage obligations	277		42		—			319
Obligations of U.S. states and political subdivisions	38		3		—			41
Asset backed securities collateralized by:
Residential mortgages	118		6		—			124
Total held-to-maturity securities	$	1,620	$	211	$	—		$	1,831



December 31, 2011	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in millions)
Securities available-for-sale:
U.S. Treasury	$	18,199	$	498	$	(121	)	$	18,576
U.S. Government sponsored enterprises:⁽¹⁾
Mortgage-backed securities	40		1		—			41
Direct agency obligations	2,501		352		—			2,853
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	15,357		728		(3		)	16,082
Collateralized mortgage obligations	6,881		177		(3		)	7,055
Direct agency obligations	2		—		—			2
Obligations of U.S. states and political subdivisions	566		35		(1		)	600
Asset backed securities collateralized by:
Residential mortgages	6		—		(1		)	5
Commercial mortgages	444		9		(2		)	451
Home equity	369		—		(99		)	270
Student loans	13		—		(1		)	12
Other	102		—		(22		)	80
Corporate and other domestic debt securities⁽²⁾	541		3		—			544
Foreign debt securities⁽³⁾⁽⁶⁾	6,640		27		(97		)	6,570
Equity securities⁽⁴⁾	130		10		—			140
Total available-for-sale securities	$	51,791	$	1,840	$	(350	)	$	53,281
Securities held-to-maturity:
U.S. Government sponsored enterprises:⁽⁵⁾
Mortgage-backed securities	$	1,421	$	195	$	—		$	1,616
U.S. Government agency issued or guaranteed:
Mortgage-backed securities	79		13		—			92
Collateralized mortgage obligations	308		44		—			352
Obligations of U.S. states and political subdivisions	61		3		—			64
Asset backed securities collateralized by:
Residential mortgages	166		9		(1		)	174
Total held-to-maturity securities	$	2,035	$	264	$	(1	)	$	2,298


⁽¹⁾	Includes securities at amortized cost of $153 million and $27 million issued or guaranteed by FNMA at December 31, 2012 and 2011, respectively, and $13 million and $13 million issued or guaranteed by FHLMC at December 31, 2012 and 2011, respectively.


⁽²⁾	At December 31, 2011 other domestic debt securities included $516 million of securities at amortized cost fully backed by the Federal Deposit Insurance Corporation (“FDIC”).


⁽³⁾	At December 31, 2012 and 2011, foreign debt securities consisted of $1.5 billion and $2.7 billion, respectively, of securities fully backed by foreign governments. The remainder of foreign debt securities represents foreign bank or corporate debt.


⁽⁴⁾	Includes preferred equity securities at amortized cost issued by FNMA of $2 million at December 31, 2011 which reflects cumulative other-than-temporary impairment charges of $173 million.


⁽⁵⁾	Includes securities at amortized cost of $507 million and $591 million issued or guaranteed by FNMA at December 31, 2012 and 2011, respectively, and $614 million and $830 million issued and guaranteed by FHLMC at December 31, 2012 and 2011, respectively.


⁽⁶⁾	We did not hold any foreign debt securities issued by the governments of Greece, Ireland, Italy, Portugal or Spain at December 31, 2012 and 2011.

Gross Unrealized Losses and Related Fair Values

A summary of gross unrealized losses and related fair values as of December 31, 2012 and 2011 classified as to the length of time the losses have existed follows:



	One Year or Less						Greater Than One Year
December 31, 2012	Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	6	$	(3	)	$	3,344	6	$	(21	)	$	587
U.S. Government sponsored enterprises	9	(3		)	431		14	—			7
U.S. Government agency issued or guaranteed	18	(6		)	1,059		—	—			—
Obligations of U.S. states and political subdivisions	14	(2		)	168		1	—			7
Asset backed securities	3	—			20		13	(70		)	354
Corporate and other domestic debt securities	—	—			—		—	—			—
Foreign debt securities	—	—			—		9	(48		)	3,787
Securities available-for-sale	50	$	(14	)	$	5,022	43	$	(139	)	$	4,742
Securities held-to-maturity:
U.S. Government sponsored enterprises	24	$	—		$	—	52	$	—		$	—
U.S. Government agency issued or guaranteed	75	—			—		947	—			2
Obligations of U.S. states and political subdivisions	2	—			1		1	—			—
Asset backed securities	1	—			4		2	—			7
Securities held-to-maturity	102	$	—		$	5	1,002	$	—		$	9



	One Year or Less						Greater Than One Year
December 31, 2011	Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment		Number of Securities	Gross Unrealized Losses			Aggregate Fair Value of Investment
	(dollars are in millions)
Securities available-for-sale:
U.S. Treasury	5	$	(1	)	$	4,978	12	$	(120	)	$	2,592
U.S. Government sponsored enterprises	6	—			8		15	—			9
U.S. Government agency issued or guaranteed	14	(6		)	833		2	—			4
Obligations of U.S. states and political subdivisions	3	(1		)	20		3	—			25
Asset backed securities	2	—			45		22	(125		)	387
Corporate and other domestic debt securities	—	—			—		—	—			—
Foreign debt securities	15	(97		)	4,223		—	—			—
Securities available-for-sale	45	$	(105	)	$	10,107	54	$	(245	)	$	3,017
Securities held-to-maturity:
U.S. Government sponsored enterprises	47	$	—		$	—	11	$	—		$	—
U.S. Government agency issued or guaranteed	629	—			2		463	—			1
Obligations of U.S. states and political subdivisions	2	—			—		4	—			2
Asset backed securities	—	—			—		4	(1		)	14
Securities held-to-maturity	678	$	—		$	2	482	$	(1	)	$	17

Schedule of Unrealized Loss on Investments

The amortized cost and fair value of those asset-backed securities with unrealized loss of more than 12 months for which no other-than-temporary-impairment has been recognized at December 31, 2012 and 2011 are as follows:



	Balance as of December 31, 2012
	Amortized Cost		Unrealized Losses for More Than 12 Months			Fair Value
	(in millions)
Available-for-sale:
Asset-backed securities:
Residential mortgages	$	—	$	—		$	—
Commercial mortgages	11		—			11
Home equity loans	311		(52		)	259
Student loans	—		—			—
Other	102		(18		)	84
Subtotal	424		(70		)	354
Held-to-maturity classification:
Asset-backed securities:
Residential mortgages	7		—			7
Total	$	431	$	(70	)	$	361



	Balance as of December 31, 2011
	Amortized Cost		Unrealized Losses for More Than 12 Months			Fair Value
	(in millions)
Available-for-sale:
Asset-backed securities:
Residential mortgages	$	5	$	—		$	5
Commercial mortgages	23		(2		)	21
Home equity loans	369		(100		)	269
Student loans	13		(1		)	12
Other	102		(22		)	80
Subtotal	512		(125		)	387
Held-to-maturity classification:
Asset-backed securities:
Residential mortgages	15		(1		)	14
Total	$	527	$	(126	)	$	401

Changes in Credit Loss Component of Other-than-Temporarily Impaired Debt Securities

The following table summarizes the changes in the credit loss component of other-than-temporarily impaired debt securities which would have been recognized in income.



Year Ended December 31,	2012		2011
	(in millions)
Credit losses at the beginning of the period	$	—	$	36
Reduction of credit losses previously recognized on sold securities	—		(5		)
Reduction of credit losses previously recognized on held to maturity securities due to deconsolidation of VIE	—		(31		)
Ending balance of credit losses on debt securities held for which a portion of an other-than-temporary impairment may have been recognized in other comprehensive income (loss)	$	—	$	—

Realized Gains and Losses on Investment Securities Transactions Attributable to Available-for-Sale Securities

The following table summarizes realized gains and losses on investment securities transactions attributable to available-for-sale securities.



Year Ended December 31,	2012			2011			2010
	(in millions)
Gross realized gains	$	260		$	276		$	177
Gross realized losses	(115		)	(147		)	(151		)
Net realized gains	$	145		$	129		$	26

The following table summarizes realized gains and losses on investment securities transactions attributable to held-to-maturity securities as a result of maturities, calls and mandatory redemptions.



Year Ended December 31,	2012		2011		2010
	(in millions)
Gross realized gains	$	—	$	—	$	—
Gross realized losses	—		—		(31		)
Net realized gains (losses)	$	—	$	—	$	(31	)

Distribution of Maturities of Debt Securities with the Approximate Yield of the Portfolio

The table below also reflects the distribution of maturities of debt securities held at December 31, 2012, together with the approximate taxable equivalent yield of the portfolio. The yields shown are calculated by dividing annual interest income, including the accretion of discounts and the amortization of premiums, by the amortized cost of securities outstanding at December 31, 2012. Yields on tax-exempt obligations have been computed on a taxable equivalent basis using applicable statutory tax rates.



	Within One Year				After One But Within Five Years				After Five But Within Ten Years				After Ten Years
Taxable Equivalent Basis	Amount		Yield		Amount		Yield		Amount		Yield		Amount		Yield
	(dollars are in millions)
Available-for-sale:
U.S. Treasury	$	6,505	.30	%	$	22,173	.49	%	$	3,526	2.07	%	$	2,596	3.04	%
U.S. Government sponsored enterprises	—		—		296		2.78		3,053		3.06		856		3.51
U.S. Government agency issued or guaranteed	—		—		6		4.66		92		1.87		19,864		3.06
Obligations of U.S. states and political subdivisions	—		—		45		4.15		414		3.63		418		3.67
Asset backed securities	—		—		1		1.95		11		.38		609		2.83
Other domestic debt securities	—		—		—		—		—		—		24		3.90
Foreign debt securities	613		4.15		4,772		1.84		—		—		—		—
Total amortized cost	$	7,118	.63	%	$	27,293	.76	%	$	7,096	2.58	%	$	24,367	3.08	%
Total fair value	$	7,125			$	27,344			$	7,689			$	25,385
Held-to-maturity:
U.S. Government sponsored enterprises	$	1	8.00	%	$	6	7.75	%	$	1	7.87	%	$	1,113	6.16	%
U.S. Government agency issued or guaranteed	—		—		1		7.58		3		7.68		339		6.49
Obligations of U.S. states and political subdivisions	3		5.37		15		5.08		9		4.31		11		5.00
Asset backed securities	—		—		—		—		—		—		118		6.27
Total amortized cost	$	4	5.82	%	$	22	5.96	%	$	13	5.34	%	$	1,581	6.23	%
Total fair value	$	4			$	23			$	14			$	1,790

- 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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