The following table presents the amortized cost and fair value, and associated unrealized gains and losses, of investment securities as of the dates indicated:


	June 30, 2011								December 31, 2010
	Amortized Cost		Gross Unrealized				Fair Value		Amortized Cost		Gross Unrealized				Fair Value
(In millions)	Amortized Cost		Gains		Losses		Fair Value		Amortized Cost		Gains		Losses		Fair Value
Available for sale:
U.S. Treasury and federal agencies:
Direct obligations	$	7,329	$	76	$	7	$	7,398	$	7,505	$	74	$	2	$	7,577
Mortgage-backed securities		25,107		434		6		25,535		23,398		325		83		23,640
Asset-backed securities:
Student loans⁽¹⁾		16,390		100		570		15,920		14,461		92		624		13,929
Credit cards		9,816		64		12		9,868		7,578		56		31		7,603
Sub-prime		2,007		3		365		1,645		2,161		3		346		1,818
Other		1,265		104		56		1,313		1,033		100		79		1,054

Total asset-backed securities		29,478		271		1,003		28,746		25,233		251		1,080		24,404

Non-U.S. debt securities:
Mortgage-backed securities		9,311		102		33		9,380		6,258		82		46		6,294
Asset-backed securities		6,099		90		88		6,101		3,821		88		122		3,787
Government securities		3,545		—		—		3,545		2,915		—		—		2,915
Other		1,077		44		1		1,120		990		34		2		1,022

Total non-U.S. debt securities		20,032		236		122		20,146		13,984		204		170		14,018

State and political subdivisions		6,711		167		131		6,747		6,706		102		204		6,604
Collateralized mortgage obligations		2,623		56		25		2,654		1,828		49		16		1,861
Other U.S. debt securities		2,674		139		9		2,804		2,438		116		18		2,536
U.S. equity securities		559		4		—		563		1,115		—		—		1,115
Non-U.S. equity securities		188		2		—		190		122		5		1		126

Total	$	94,701	$	1,385	$	1,303	$	94,783	$	82,329	$	1,126	$	1,574	$	81,881

Held to maturity:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	332	$	24			$	356	$	413	$	26			$	439
Asset-backed securities		45		—	$	3		42		64		—	$	5		59
Non-U.S. debt securities:
Mortgage-backed securities		5,942		167		143		5,966		6,332		166		160		6,338
Asset-backed securities		89		2		1		90		646		18		3		661
Other		782		20		4		798		208		—		2		206

Total non-U.S. debt securities		6,813		189		148		6,854		7,186		184		165		7,205

State and political subdivisions		119		3		—		122		134		3		—		137
Collateralized mortgage obligations		3,822		298		21		4,099		4,452		328		44		4,736

Total	$	11,131	$	514	$	172	$	11,473	$	12,249	$	541	$	214	$	12,576

⁽¹⁾	Substantially composed of securities guaranteed by the federal government with respect to the payment of principal and interest.

Aggregate investment securities carried at $44.56 billion and $44.81 billion at June 30, 2011 and December 31, 2010, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.

The following table presents contractual maturities of debt investment securities as of June 30, 2011:

The maturities of asset-backed securities, mortgage-backed securities and collateralized mortgage obligations are based on expected principal payments.

We conduct periodic reviews of individual securities to assess whether other-than-temporary impairment exists. Impairment exists when the current fair value of an individual security is below its amortized cost basis. Where the decline in the security's fair value is deemed to be other than temporary, the loss is recorded in our consolidated statement of income. For debt securities available for sale and held to maturity, other-than-temporary impairment is recorded in our consolidated statement of income when management intends to sell (or may be required to sell) the securities before they recover in value, or when management expects the present value of cash flows expected to be collected from the securities to be less than the amortized cost of the impaired security (a credit loss).

Our review of impaired securities generally includes:

•

the identification and evaluation of securities that have indications of possible other-than-temporary impairment, such as issuer-specific concerns, including deteriorating financial condition or bankruptcy;

•

the analysis of expected future cash flows of securities, based on quantitative and qualitative factors;

•

the analysis of the collectability of those future cash flows, including information about past events, current conditions and reasonable and supportable forecasts;

•

the analysis of individual impaired securities, including consideration of the length of time the security has been in an unrealized loss position, the anticipated recovery period, and the magnitude of the overall price decline;

•

discussion and evaluation of factors or triggers that could cause individual securities to be deemed other-than-temporarily impaired and those that would not support other-than-temporary impairment; and

•

documentation of the results of these analyses.

Factors considered in determining whether impairment is other than temporary include:

•

the length of time the security has been impaired;

•

the severity of the impairment;

•

the cause of the impairment and the financial condition and near-term prospects of the issuer;

•

activity in the market of the issuer which may indicate adverse credit conditions; and

•

our intention not to sell, and the likelihood that we will not be required to sell, the security for a period of time sufficient to allow for recovery in value.

The substantial majority of our investment securities portfolio is composed of debt securities. A critical component of the evaluation for other-than-temporary impairment of our debt securities is the identification of credit-impaired securities for which management does not expect to receive cash flows sufficient to recover the entire amortized cost basis of the security.

Debt securities that are not deemed to be credit-impaired are subject to additional management analysis to assess whether management intends to sell, or, more likely than not, would not be required to sell, the security before the expected recovery to its amortized cost basis.

The following describes our process for identifying credit impairment in security types with the most significant unrealized losses as of June 30, 2011.

Mortgage- and Asset-Backed Securities

For U.S. mortgage-backed securities deemed most at risk, other-than-temporary impairment related to credit is assessed using cash flow models, tailored for each security, that estimate the future cash flows from the underlying mortgages, using the security-specific collateral and transaction structure. Estimates of future cash flows are subject to management judgment. The future cash flows and performance of our portfolio of U.S. mortgage-backed securities are a function of a number of factors, including, but not limited to, the condition of the U.S. economy, the condition of the U.S. residential mortgage markets, and the level of loan defaults, prepayments and loss severities. Management's estimates of future losses for each security also consider the underwriting and historical performance of our specific securities, the underlying collateral type, vintage, borrower profile, third-party guarantees, current levels of subordination, geography and other factors.

During the second quarter of 2011, management refined its methodology to evaluate impairment in order to incorporate more detailed information with respect to loan-level performance information. Accordingly, the range of estimates pertaining to each collateral type reflects the unique characteristics of the underlying loans, such as payment options and collateral geography, among other factors. The parameters used in the evaluation of 2006- and 2007-vintage U.S. residential mortgage-backed securities were as follows:

Sub-Prime
ARM

Alt-A

Non-Agency Prime

June 30, 2011:

Prepayment rate

1-3

3-5

6-8

Cumulative loss estimates

45-51

14-36

9-19

Loss severity⁽¹⁾

68-70

57-59

51-54

Peak-to-trough housing price decline⁽²⁾

Under the old methodology, similar parameters were used to evaluate 2006- and 2007-vintage U.S. residential mortgage-backed securities. Such parameters were as follows:


	Sub-Prime ARM			Alt-A			Non-Agency Prime
December 31, 2010:
Prepayment rate		2-3	%		7	%		7-10	%
Cumulative loss estimates		33			21			13
Loss severity⁽¹⁾		67			49			49
Peak-to-trough housing price decline⁽²⁾		35-40			35-40			35-40

⁽¹⁾	Loss severity rates consider the initial loan-to-value ratio, lien position, geography, expected collateral value and other factors.

⁽²⁾	Management's expectation of the Case-Shiller National Home Price Index.

For securities that relate to these vintages, other-than-temporary impairment has been recorded on certain assets when both fair value was below carrying value and a credit loss existed. During the three and six months ended June 30, 2011, we recorded credit-related other-than-temporary impairment on securities in these vintages of $6 million and $8 million, respectively, with $1 million and $2 million, respectively, related to sub-prime first-lien mortgages and $2 million and $3 million, respectively, related to "Alt-A" mortgages and $3 million for both periods related to non-agency prime mortgages During the three and six months ended June 30, 2010, we recorded credit-related other-than-temporary impairment on securities in these vintages of $33 million and $99 million, respectively, with $19 million and $20 million, respectively, related to sub-prime first-lien mortgages, $4 million and $24 million, respectively, related to "Alt-A" mortgages and $10 million and $55 million, respectively, related to non-agency prime mortgages.

Asset-backed securities collateralized by student loans are primarily composed of securities collateralized by Federal Family Education Loan Program, or FFELP, loans. FFELP loans benefit from a federal government guarantee of at least 97%, with additional credit support provided in the form of overcollateralization, subordination and excess spread, which collectively total in excess of 100% of principal and interest. Accordingly, FFELP loan-backed securities are not exposed to traditional consumer credit risk. Other risk factors are considered in our evaluation of other-than-temporary impairment.

Non-U.S. mortgage-backed securities are composed primarily of U.K., Dutch, Australian and other European securities collateralized by residential mortgages. Our evaluation of impairment considers the location of the underlying collateral, collateral enhancement and structural features, expected credit losses under stressed conditions and the outlook with respect to housing prices for the country in which the collateral resides. Where appropriate, any potential loss after consideration of the above-referenced factors is further evaluated to determine whether any other-than-temporary impairment exists.

In assessing other-than-temporary impairment, we may from time to time place reliance on support from third-party financial guarantors for certain asset-backed and municipal (state and political subdivisions) securities. Factors taken into consideration when determining the level of support include the guarantor's credit rating and management's assessment of the guarantor's financial condition. For those guarantors management deems to be under financial duress, we assume an immediate default by those guarantors, with a modest recovery of claimed amounts (up to 20%). In addition, for various forms of collateralized securities, management considers the liquidation value of the underlying collateral based on expected housing prices and other relevant factors.

The assumptions presented above are used by management to identify those securities which are subject to further analysis of potential credit losses. Additional analyses are performed using more severe assumptions to further evaluate sensitivity of losses relative to the above factors. However, since the assumptions are based on the unique characteristics of each security, management uses a range of point estimates for prepayment speeds and housing prices that reflect the collateral profile of the securities within each asset class. In addition, in measuring expected credit losses, the individual characteristics of each security are examined to determine whether any additional factors would increase or mitigate the expected loss. Once losses are determined, the timing of the loss will also affect the ultimate other-than-temporary impairment, since the loss is ultimately subject to a discount commensurate with the purchase yield of the security. Primarily as a result of rising delinquencies and management's continued expectation of declining housing prices, we recorded credit-related other-than-temporary impairment of $35 million and $46 million during the three and six months ended June 30, 2011, respectively.

After a review of the investment portfolio, taking into consideration current economic conditions, adverse situations that might affect our ability to fully collect principal and interest, the timing of future payments, the credit quality and performance of the collateral underlying asset-backed securities and other relevant factors, and excluding the securities for which other-than-temporary impairment was recorded during the six months ended June 30, 2011, management considers the aggregate decline in fair value of the remaining securities and the resulting gross pre-tax unrealized losses of $1.48 billion related to 1,649 securities as of June 30, 2011 to be temporary and not the result of any material changes in the credit characteristics of the securities. The following tables present the aggregate fair values of investment securities with a continuous unrealized loss position for less than 12 months and those that have been in a continuous unrealized loss position for longer than 12 months, as of the dates indicated:


	Less than 12 months				12 months or longer				Total
June 30, 2011 (In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available for sale:
U.S. Treasury and federal agencies:
Direct obligations	$	1,631	$	6	$	86	$	1	$	1,717	$	7
Mortgage-backed securities		1,720		4		415		2		2,135		6
Asset-backed securities:
Student loans		1,396		8		9,501		562		10,897		570
Credit cards		1,259		3		2,208		9		3,467		12
Sub-prime		—		—		1,595		365		1,595		365
Other		260		6		280		50		540		56

Total asset-backed securities		2,915		17		13,584		986		16,499		1,003

Non-U.S. debt securities:
Mortgage-backed securities		1,770		12		1,113		21		2,883		33
Asset-backed securities		968		4		1,385		84		2,353		88
Other		74		1		—		—		74		1

Total non-U.S. debt securities		2,812		17		2,498		105		5,310		122

State and political subdivisions		386		6		1,613		125		1,999		131
Collateralized mortgage obligations		1,028		20		35		5		1,063		25
Other U.S. debt securities		296		2		64		7		360		9

Total	$	10,788	$	72	$	18,295	$	1,231	$	29,083	$	1,303

Held to maturity:
Asset-backed securities					$	42	$	3	$	42	$	3
Non-U.S. debt securities:
Mortgage-backed securities	$	464	$	18		1,452		125		1,916		143
Asset-backed securities		32		1		—		—		32		1
Other		—		—		245		4		245		4

Total non-U.S. debt securities		496		19		1,697		129		2,193		148

Collateralized mortgage obligations		480		8		246		13		726		21

Total	$	976	$	27	$	1,985	$	145	$	2,961	$	172


	Less than 12 months				12 months or longer				Total
December 31, 2010 (In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available for sale:
U.S. Treasury and federal agencies:
Direct obligations					$	153	$	2	$	153	$	2
Mortgage-backed securities	$	6,639	$	81		431		2		7,070		83
Asset-backed securities:
Student loans		1,980		25		7,990		599		9,970		624
Credit cards		1,268		5		2,396		26		3,664		31
Sub-prime		—		—		1,769		346		1,769		346
Other		90		1		275		78		365		79

Total asset-backed securities		3,338		31		12,430		1,049		15,768		1,080

Non-U.S. debt securities:
Mortgage-backed securities		2,621		22		370		24		2,991		46
Asset-backed securities		464		2		1,368		120		1,832		122
Other		348		2		—		—		348		2

Total non-U.S. debt securities		3,433		26		1,738		144		5,171		170

State and political subdivisions		1,097		19		1,967		185		3,064		204
Collateralized mortgage obligations		494		5		109		11		603		16
Other U.S. debt securities		330		7		61		11		391		18
U.S. equity securities		8		1		—		—		8		1

Total	$	15,339	$	170	$	16,889	$	1,404	$	33,228	$	1,574

Held to maturity:
Asset-backed securities					$	53	$	5	$	53	$	5
Non-U.S. debt securities:
Mortgage-backed securities	$	1,445	$	72		862		88		2,307		160
Asset-backed securities		—		—		68		3		68		3
Other		206		2		—		—		206		2

Total non-U.S. debt securities		1,651		74		930		91		2,581		165

Collateralized mortgage obligations		125		2		575		42		700		44

Total	$	1,776	$	76	$	1,558	$	138	$	3,334	$	214

The following table presents realized gains and losses related to investment securities for the periods indicated:

The following table presents activity with respect to credit-related losses recognized in our consolidated statement of income associated with securities considered other-than-temporarily impaired for the six months ended June 30:

The impairment losses were largely related to non-agency securities collateralized by mortgages, which management concluded had experienced credit losses based on the present value of the securities' expected future cash flows.