Securities

6 Months Ended

Jun. 30, 2011

6. Securities

Securities available for sale. These are securities that we intend to hold for an indefinite period of time; they may, however be sold in response to changes in interest rates, prepayment risk, liquidity needs or other factors. Securities available for sale are reported at fair value. Unrealized gains and losses (net of income taxes) deemed temporary are recorded in equity as a component of AOCI on the balance sheet. Unrealized losses on equity securities deemed to be “other-than-temporary,” and realized gains and losses resulting from sales of securities using the specific identification method are included in “net securities gains (losses)” on the income statement. Unrealized losses on debt securities deemed to be “other-than-temporary” are included in “net securities gains (losses)” on the income statement or AOCI in accordance with the applicable accounting guidance related to the recognition of OTTI of debt securities.

“Other securities” held in the available-for-sale portfolio are primarily marketable equity securities that are traded on a public exchange such as the NYSE or NASDAQ.

Held-to-maturity securities. These are debt securities that we have the intent and ability to hold until maturity. Debt securities are carried at cost and adjusted for amortization of premiums and accretion of discounts using the interest method. This method produces a constant rate of return on the adjusted carrying amount.

“Other securities” held in the held-to-maturity portfolio consist of foreign bonds, capital securities and preferred equity securities.

The amortized cost, unrealized gains and losses, and approximate fair value of our securities available for sale and held-to-maturity securities are presented in the following tables. Gross unrealized gains and losses represent the difference between the amortized cost and the fair value of securities on the balance sheet as of the dates indicated. Accordingly, the amount of these gains and losses may change in the future as market conditions change.


	June 30, 2011
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
in millions	Cost		Gains		Losses		Value

SECURITIES AVAILABLE FOR SALE
U.S. Treasury, agencies and corporations	$	9		—		—	$	9
States and political subdivisions		126	$	3		—		129
Collateralized mortgage obligations		17,124		485		—		17,609
Other mortgage-backed securities		845		72		—		917
Other securities		13		3		—		16

Total securities available for sale	$	18,117	$	563		—	$	18,680



HELD-TO-MATURITY SECURITIES
States and political subdivisions	$	1		—		—	$	1
Other securities		18		—		—		18

Total held-to-maturity securities	$	19		—		—	$	19




	December 31, 2010
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
in millions	Cost		Gains		Losses		Value

SECURITIES AVAILABLE FOR SALE
U.S. Treasury, agencies and corporations	$	8		—		—	$	8
States and political subdivisions		170	$	2		—		172
Collateralized mortgage obligations		20,344		408	$	87		20,665
Other mortgage-backed securities		998		71		—		1,069
Other securities		15		4		—		19

Total securities available for sale	$	21,535	$	485	$	87	$	21,933



HELD-TO-MATURITY SECURITIES
States and political subdivisions	$	1		—		—	$	1
Other securities		16		—		—		16

Total held-to-maturity securities	$	17		—		—	$	17




	June 30, 2010
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
in millions	Cost		Gains		Losses		Value

SECURITIES AVAILABLE FOR SALE
U.S. Treasury, agencies and corporations	$	8		—		—	$	8
States and political subdivisions		75	$	3		—		78
Collateralized mortgage obligations		17,817		473		—		18,290
Other mortgage-backed securities		1,187		96		—		1,283
Other securities		106		11	$	3		114

Total securities available for sale	$	19,193	$	583	$	3	$	19,773



HELD-TO-MATURITY SECURITIES
States and political subdivisions	$	3		—		—	$	3
Other securities		16		—		—		16

Total held-to-maturity securities	$	19		—		—	$	19

The following table summarizes our securities available for sale that were in an unrealized loss position as of June 30, 2011, December 31, 2010, and June 30, 2010.


	Duration of Unrealized Loss Position
	Less than 12 Months				12 Months or Longer				Total
			Gross				Gross				Gross
			Unrealized				Unrealized				Unrealized
in millions	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses


JUNE 30, 2011
Securities available for sale:
Collateralized mortgage obligations	$	126		—		—		—	$	126		—

Total temporarily impaired securities	$	126		—		—		—	$	126		—


DECEMBER 31, 2010
Securities available for sale:
Collateralized mortgage obligations	$	4,028	$	87		—		—	$	4,028	$	87

Total temporarily impaired securities	$	4,028	$	87		—		—	$	4,028	$	87



June 30, 2010
Securities available for sale:
Other securities	$	18	$	2	$	3	$	1	$	21	$	3

Total temporarily impaired securities	$	18	$	2	$	3	$	1	$	21	$	3

We had less than $1 million of gross unrealized losses at June 30, 2011 that related to five fixed-rate collateralized mortgage obligations, which we invested in as part of an overall A/LM strategy. Since these securities have fixed interest rates, their fair value is sensitive to movements in market interest rates. These securities have a weighted-average maturity of 4.6 years at June 30, 2011.

The unrealized losses within each investment category are considered temporary since we expect to collect all contractually due amounts from these securities. Accordingly, these investments have been reduced to their fair value through OCI, not earnings.

We regularly assess our securities portfolio for OTTI. The assessments are based on the nature of the securities, the underlying collateral, the financial condition of the issuer, the extent and duration of the loss, our intent related to the individual securities, and the likelihood that we will have to sell securities prior to expected recovery.

Debt securities identified to have OTTI are written down to their current fair value. For those debt securities that we intend to sell, or more-likely-than-not will be required to sell, prior to the expected recovery of the amortized cost, the entire impairment (i.e., the difference between amortized cost and the fair value) is recognized in earnings. For those debt securities that we do not intend to sell, or more-likely-than-not will not be required to sell, prior to expected recovery, the credit portion of OTTI is recognized in earnings, while the remaining OTTI is recognized in equity as a component of AOCI on the balance sheet. As shown in the following table, we did not have any impairment losses recognized in earnings for the three months ended June 30, 2011.

Three months ended June 30, 2011


in millions

Balance at March 31, 2011	$	4
Impairment recognized in earnings		—

Balance at June 30, 2011	$	4

Realized gains and losses related to securities available for sale were as follows:

Six months ended June 30, 2011


in millions

Realized gains	$	23
Realized losses		(22	)


Net securities gains (losses)	$	1

At June 30, 2011, securities available for sale and held-to-maturity securities totaling $11.3 billion were pledged to secure securities sold under repurchase agreements, to secure public and trust deposits, to facilitate access to secured funding, and for other purposes required or permitted by law.

The following table shows securities by remaining maturity. Collateralized mortgage obligations and other mortgage-backed securities — both of which are included in the securities available-for-sale portfolio — are presented based on their expected average lives. The remaining securities, including all of those in the held-to-maturity portfolio, are presented based on their remaining contractual maturity. Actual maturities may differ from expected or contractual maturities since borrowers have the right to prepay obligations with or without prepayment penalties.


	Securities				Held-to-Maturity
	Available for Sale				Securities
June 30, 2011	Amortized		Fair		Amortized		Fair
in millions	Cost		Value		Cost		Value

Due in one year or less	$	323	$	331	$	5	$	5
Due after one through five years		17,620		18,166		14		14
Due after five through ten years		101		110		—		—
Due after ten years		73		73		—		—


Total	$	18,117	$	18,680	$	19	$	19