Investment Securities (Tables)

6 Months Ended

Jun. 30, 2011

Investment Securities

Schedule of Marketable Securities

	June 30, 2011								December 31, 2010
	Amortized Cost		Gross Unrealized				Fair Value		Amortized Cost		Gross Unrealized				Fair Value
(In millions)			Gains		Losses						Gains		Losses
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.

Schedule of Contractual Maturities of Debt Securities

(In millions)	Under 1 Year		1 to 5 Years		6 to 10 Years		Over 10 Years
Available for sale:
U.S. Treasury and federal agencies:
Direct obligations	$	3,167	$	2,093	$	1,533	$	605
Mortgage-backed securities		4		1,192		10,415		13,924
Asset-backed securities:
Student loans		119		4,055		7,884		3,862
Credit cards		1,810		6,229		1,829		—
Sub-prime		989		202		12		442
Other		139		664		361		149
Total asset-backed securities		3,057		11,150		10,086		4,453
Non-U.S. debt securities:
Mortgage-backed securities		310		2,089		239		6,742
Asset-backed securities		68		2,003		3,487		543
Government securities		3,545		—		—		—
Other		53		938		128		1
Total non-U.S. debt securities		3,976		5,030		3,854		7,286
State and political subdivisions		457		2,634		2,632		1,024
Collateralized mortgage obligations		76		1,206		494		878
Other U.S. debt securities		231		1,844		687		42
Total	$	10,968	$	25,149	$	29,701	$	28,212
Held to maturity:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	5	$	75	$	80	$	172
Asset-backed securities		7		—		—		38
Non-U.S. debt securities:
Mortgage-backed securities		1,253		884		—		3,805
Asset-backed securities		—		45		44		—
Other		—		454		306		22
Total non-U.S. debt securities		1,253		1,383		350		3,827
State and political subdivisions		57		61		—		1
Collateralized mortgage obligations		415		1,830		369		1,208
Total	$	1,737	$	3,349	$	799	$	5,246

Critical Estimates Used in Roll Rate Analysis

	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)		37

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.

Schedule of Gross Pretax Unrealized Losses on Investment Securities

	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

Gains and Losses Related to Investment Securities

	Three Months Ended June 30,						Six Months Ended June 30,
(In millions)	2011			2010			2011			2010
Gross realized gains from sales of available-for-sale securities	$	62		$	5		$	69		$	203
Gross realized losses from sales of available-for-sale securities		—			(2	)		(3	)		(8	)
Gross losses from other-than-temporary impairment		(44	)		(240	)		(79	)		(480	)
Losses not related to credit		9			187			33			330
Net impairment losses		(35	)		(53	)		(46	)		(150	)
Gains (Losses) related to investment securities, net	$	27		$	(50	)	$	20		$	45
Impairment associated with expected credit losses	$	(24	)	$	(41	)	$	(29	)	$	(130	)
Impairment associated with management's intent to sell the impaired securities prior to their recovery in value		(8	)		—			(8	)		—
Impairment associated with adverse changes in timing of expected future cash flows		(3	)		(12	)		(9	)		(20	)
Net impairment losses	$	(35	)	$	(53	)	$	(46	)	$	(150	)

Schedule of Credit Related Loss Activity Recognized in Earnings

(In millions)	2011			2010
Beginning balance	$	63		$	175
Plus expected credit-related losses for which other-than-temporary impairment was not previously recognized		7			72
Plus expected credit-related losses for which other-than-temporary impairment was previously recognized		31			78
Less losses realized for securities sold		(1	)		(1	)
Less losses related to securities intended or required to be sold		(2	)		—
Ending balance	$	98		$	324