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Securities Available for Sale (Tables)
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3 Months Ended |
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Mar. 31, 2012
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| Securities Available for Sale (Tables) [Abstract] |
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| Securities Available For Sale Major Categories |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross | Gross | | | | | | | | | | | | unrealized | unrealized | Fair | | (in millions) | | Cost | gains | losses | value | | | | | | | | | | | | | | | March 31, 2012 | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | 4,642 | 43 | (7) | 4,678 | | Securities of U.S. states and political subdivisions | | 33,809 | 915 | (487) | 34,237 | | Mortgage-backed securities: | | | | | | | | Federal agencies | | 98,409 | 4,293 | (37) | 102,665 | | | Residential | | 16,491 | 1,582 | (244) | 17,829 | | | Commercial | | 17,758 | 1,504 | (605) | 18,657 | | | | Total mortgage-backed securities | | 132,658 | 7,379 | (886) | 139,151 | | Corporate debt securities | | 19,274 | 1,034 | (135) | 20,173 | | Collateralized debt obligations (1) | | 9,031 | 366 | (234) | 9,163 | | Other (2) | | 19,426 | 456 | (171) | 19,711 | | | | | Total debt securities | | 218,840 | 10,193 | (1,920) | 227,113 | | Marketable equity securities: | | | | | | | | Perpetual preferred securities | | 2,224 | 224 | (43) | 2,405 | | | Other marketable equity securities | | 511 | 238 | (1) | 748 | | | | | Total marketable equity securities | | 2,735 | 462 | (44) | 3,153 | | | | | | Total | $ | 221,575 | 10,655 | (1,964) | 230,266 | | | | | | | | | | | | | | | December 31, 2011 | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | 6,920 | 59 | (11) | 6,968 | | Securities of U.S. states and political subdivisions | | 32,307 | 1,169 | (883) | 32,593 | | Mortgage-backed securities: | | | | | | | | Federal agencies | | 92,279 | 4,485 | (10) | 96,754 | | | Residential | | 16,997 | 1,253 | (414) | 17,836 | | | Commercial | | 17,829 | 1,249 | (928) | 18,150 | | | | Total mortgage-backed securities | | 127,105 | 6,987 | (1,352) | 132,740 | | Corporate debt securities | | 17,921 | 769 | (286) | 18,404 | | Collateralized debt obligations (1) | | 8,650 | 298 | (349) | 8,599 | | Other (2) | | 19,739 | 378 | (225) | 19,892 | | | | | Total debt securities | | 212,642 | 9,660 | (3,106) | 219,196 | | Marketable equity securities: | | | | | | | | Perpetual preferred securities | | 2,396 | 185 | (54) | 2,527 | | | Other marketable equity securities | | 533 | 366 | (9) | 890 | | | | | Total marketable equity securities | | 2,929 | 551 | (63) | 3,417 | | | | | | Total | $ | 215,571 | 10,211 | (3,169) | 222,613 | | | | | | | | | | | | | |
- Includes collateralized loan obligations with a cost basis and fair value of $8.5 billion and $8.6 billion, respectively, at March 31, 2012, and $8.1 billion for both cost basis and fair value, at December 31, 2011.
- Included in the “Other” category are asset-backed securities collateralized by auto leases or loans and cash reserves with a cost basis and fair value of $6.9 billion and $7.0 billion, respectively, at March 31, 2012, and $6.7 billion and $6.7 billion, respectively, at December 31, 2011. Also included in the "Other" category are asset-backed securities collateralized by home equity loans with a cost basis and fair value of $829 million and $955 million, respectively, at March 31, 2012, and $846 million and $932 million, respectively, at December 31, 2011. The remaining balances primarily include asset-backed securities collateralized by credit cards and student loans.
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| Securities Available For Sale Gross Unrealized Losses Over And Under 12 Months |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 months | | 12 months or more | | Total | | | | | | | | | Gross | | | Gross | | | Gross | | | | | | | | | unrealized | Fair | unrealized | Fair | unrealized | Fair | | (in millions) | | losses | value | | losses | value | | losses | value | | | | | | | | | | | | | | | | | | March 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (7) | 3,562 | | - | - | | (7) | 3,562 | | Securities of U.S. states and political subdivisions | | (77) | 3,059 | | (410) | 4,072 | | (487) | 7,131 | | Mortgage-backed securities: | | | | | | | | | | | | Federal agencies | | (35) | 9,621 | | (2) | 761 | | (37) | 10,382 | | | Residential | | (8) | 971 | | (236) | 3,565 | | (244) | 4,536 | | | Commercial | | (46) | 717 | | (559) | 4,295 | | (605) | 5,012 | | | | Total mortgage-backed securities | | (89) | 11,309 | | (797) | 8,621 | | (886) | 19,930 | | Corporate debt securities | | (63) | 2,143 | | (72) | 256 | | (135) | 2,399 | | Collateralized debt obligations | | (54) | 2,622 | | (180) | 771 | | (234) | 3,393 | | Other | | (41) | 2,819 | | (130) | 679 | | (171) | 3,498 | | | | | Total debt securities | | (331) | 25,514 | | (1,589) | 14,399 | | (1,920) | 39,913 | | Marketable equity securities: | | | | | | | | | | | | Perpetual preferred securities | | (12) | 236 | | (31) | 543 | | (43) | 779 | | | Other marketable equity securities | | - | - | | (1) | 3 | | (1) | 3 | | | | | Total marketable equity securities | | (12) | 236 | | (32) | 546 | | (44) | 782 | | | | | | Total | $ | (343) | 25,750 | | (1,621) | 14,945 | | (1,964) | 40,695 | | | | | | | | | | | | | | | | | | December 31, 2011 | | | | | | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (11) | 5,473 | | - | - | | (11) | 5,473 | | Securities of U.S. states and political subdivisions | | (229) | 8,501 | | (654) | 4,348 | | (883) | 12,849 | | Mortgage-backed securities: | | | | | | | | | | | | Federal agencies | | (7) | 2,392 | | (3) | 627 | | (10) | 3,019 | | | Residential | | (80) | 3,780 | | (334) | 3,440 | | (414) | 7,220 | | | Commercial | | (157) | 3,183 | | (771) | 3,964 | | (928) | 7,147 | | | | Total mortgage-backed securities | | (244) | 9,355 | | (1,108) | 8,031 | | (1,352) | 17,386 | | Corporate debt securities | | (205) | 8,107 | | (81) | 167 | | (286) | 8,274 | | Collateralized debt obligations | | (150) | 4,268 | | (199) | 613 | | (349) | 4,881 | | Other | | (55) | 3,002 | | (170) | 841 | | (225) | 3,843 | | | | | Total debt securities | | (894) | 38,706 | | (2,212) | 14,000 | | (3,106) | 52,706 | | Marketable equity securities: | | | | | | | | | | | | Perpetual preferred securities | | (13) | 316 | | (41) | 530 | | (54) | 846 | | | Other marketable equity securities | | (9) | 61 | | - | - | | (9) | 61 | | | | | Total marketable equity securities | | (22) | 377 | | (41) | 530 | | (63) | 907 | | | | | | Total | $ | (916) | 39,083 | | (2,253) | 14,530 | | (3,169) | 53,613 |
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| Securities Available For Sale Gross Unrealized Losses By Investment Grade |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment grade | | Non-investment grade | | | | | | | | | | Gross | | | Gross | | | | | | | | | | | unrealized | Fair | | unrealized | Fair | | (in millions) | | losses | value | | losses | value | | | | | | | | | | | | | | | | March 31, 2012 | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (7) | 3,562 | | - | - | | Securities of U.S. states and political subdivisions | | (410) | 6,614 | | (77) | 517 | | Mortgage-backed securities: | | | | | | | | | Federal agencies | | (37) | 10,382 | | - | - | | | Residential | | (7) | 963 | | (237) | 3,573 | | | Commercial | | (231) | 4,012 | | (374) | 1,000 | | | | Total mortgage-backed securities | | (275) | 15,357 | | (611) | 4,573 | | Corporate debt securities | | (38) | 1,705 | | (97) | 694 | | Collateralized debt obligations | | (102) | 3,131 | | (132) | 262 | | Other | | (144) | 3,351 | | (27) | 147 | | | | | Total debt securities | | (976) | 33,720 | | (944) | 6,193 | | Perpetual preferred securities | | (41) | 765 | | (2) | 14 | | | | | | Total | $ | (1,017) | 34,485 | | (946) | 6,207 | | | | | | | | | | | | | | | | December 31, 2011 | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury and federal agencies | $ | (11) | 5,473 | | - | - | | Securities of U.S. states and political subdivisions | | (781) | 12,093 | | (102) | 756 | | Mortgage-backed securities: | | | | | | | | | Federal agencies | | (10) | 3,019 | | - | - | | | Residential | | (39) | 2,503 | | (375) | 4,717 | | | Commercial | | (429) | 6,273 | | (499) | 874 | | | | Total mortgage-backed securities | | (478) | 11,795 | | (874) | 5,591 | | Corporate debt securities | | (165) | 7,156 | | (121) | 1,118 | | Collateralized debt obligations | | (185) | 4,597 | | (164) | 284 | | Other | | (186) | 3,458 | | (39) | 385 | | | | | Total debt securities | | (1,806) | 44,572 | | (1,300) | 8,134 | | Perpetual preferred securities | | (53) | 833 | | (1) | 13 | | | | | | Total | $ | (1,859) | 45,405 | | (1,301) | 8,147 |
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| Debt Securities Available For Sale Contractual Maturities |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Remaining contractual maturity | | | | | | | | | | | Weighted- | | | | | | | After one year | | | After five years | | | | | | | | | | | | | | Total | | average | | | Within one year | | through five years | | through ten years | | | After ten years | | | (in millions) | | amount | | yield | | | Amount | Yield | | | Amount | Yield | | | Amount | Yield | | | Amount | Yield | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury | | | | | | | | | | | | | | | | | | | | | | | | and federal agencies | $ | 4,678 | | 0.97 | % | $ | 57 | 0.50 | % | $ | 4,170 | 0.81 | % | $ | 416 | 2.41 | % | $ | 35 | 3.96 | % | | Securities of U.S. states and | | | | | | | | | | | | | | | | | | | | | | | | political subdivisions | | 34,237 | | 4.85 | | | 1,040 | 3.57 | | | 11,500 | 2.29 | | | 3,036 | 5.39 | | | 18,661 | 6.41 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | | | | | | | | Federal agencies | | 102,665 | | 4.26 | | | 1 | 6.19 | | | 265 | 4.33 | | | 1,294 | 3.09 | | | 101,105 | 4.27 | | | | Residential | | 17,829 | | 4.45 | | | - | - | | | - | - | | | 661 | 2.20 | | | 17,168 | 4.54 | | | | Commercial | | 18,657 | | 5.40 | | | - | - | | | 16 | 5.46 | | | 116 | 3.44 | | | 18,525 | 5.41 | | | | | Total mortgage-backed | | | | | | | | | | | | | | | | | | | | | | | | | | securities | | 139,151 | | 4.44 | | | 1 | 6.19 | | | 281 | 4.39 | | | 2,071 | 2.82 | | | 136,798 | 4.46 | | | Corporate debt securities | | 20,173 | | 4.50 | | | 737 | 5.26 | | | 12,219 | 3.29 | | | 5,275 | 6.54 | | | 1,942 | 6.29 | | | Collateralized debt | | | | | | | | | | | | | | | | | | | | | | | | obligations | | 9,163 | | 1.09 | | | - | - | | | 570 | 1.17 | | | 7,299 | 1.00 | | | 1,294 | 1.55 | | | Other | | 19,711 | | 1.76 | | | 450 | 0.38 | | | 12,210 | 1.64 | | | 3,780 | 2.02 | | | 3,271 | 2.09 | | | | | | Total debt securities | | | | | | | | | | | | | | | | | | | | | | | | | | | at fair value | $ | 227,113 | | 4.07 | % | $ | 2,285 | 3.41 | % | $ | 40,950 | 2.24 | % | $ | 21,877 | 3.32 | % | $ | 162,001 | 4.64 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2011 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Securities of U.S. Treasury | | | | | | | | | | | | | | | | | | | | | | | | and federal agencies | $ | 6,968 | | 0.91 | % | $ | 57 | 0.48 | % | $ | 6,659 | 0.84 | % | $ | 194 | 2.73 | % | $ | 58 | 3.81 | % | | Securities of U.S. states and | | | | | | | | | | | | | | | | | | | | | | | | political subdivisions | | 32,593 | | 4.94 | | | 520 | 3.02 | | | 11,679 | 2.90 | | | 2,692 | 5.31 | | | 17,702 | 6.28 | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | | | | | | | | Federal agencies | | 96,754 | | 4.39 | | | 1 | 6.47 | | | 442 | 4.02 | | | 1,399 | 3.07 | | | 94,912 | 4.42 | | | | Residential | | 17,836 | | 4.51 | | | - | - | | | - | - | | | 640 | 1.88 | | | 17,196 | 4.61 | | | | Commercial | | 18,150 | | 5.40 | | | - | - | | | - | - | | | 87 | 3.33 | | | 18,063 | 5.41 | | | | | Total mortgage-backed | | | | | | | | | | | | | | | | | | | | | | | | | | securities | | 132,740 | | 4.55 | | | 1 | 6.47 | | | 442 | 4.02 | | | 2,126 | 2.72 | | | 130,171 | 4.58 | | | Corporate debt securities | | 18,404 | | 4.64 | | | 815 | 5.57 | | | 11,022 | 3.40 | | | 4,691 | 6.67 | | | 1,876 | 6.38 | | | Collateralized debt obligations | | 8,599 | | 1.10 | | | - | - | | | 540 | 1.61 | | | 6,813 | 1.00 | | | 1,246 | 1.42 | | | Other | | 19,892 | | 1.89 | | | 506 | 2.29 | | | 12,963 | 1.75 | | | 3,149 | 2.04 | | | 3,274 | 2.29 | | | | | | Total debt securities | | | | | | | | | | | | | | | | | | | | | | | | | | | at fair value | $ | 219,196 | | 4.12 | % | $ | 1,899 | 3.85 | % | $ | 43,305 | 2.36 | % | $ | 19,665 | 3.31 | % | $ | 154,327 | 4.72 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Securities Available For Sale Realized Gains And Losses |
| | | | | | | | | | | | | | | | | | | | | | | | Quarter ended March 31, | | (in millions) | | 2012 | 2011 | | Gross realized gains | $ | 281 | 70 | | Gross realized losses | | (4) | (42) | | OTTI write-downs | | (51) | (80) | | | Net realized gains (losses) from securities available for sale | | 226 | (52) | | Net realized gains from private equity investments | | 131 | 239 | | | | Net realized gains from debt securities and equity investments | $ | 357 | 187 | | | | | | | | | |
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| Securities Available For Sale And Nonmarketable Equity Securities Other Than Temporary Impairment |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended March 31, | | (in millions) | | | 2012 | 2011 | | OTTI write-downs included in earnings | | | | | | Debt securities: | | | | | | | U.S. states and political subdivisions | $ | - | - | | | | Mortgage-backed securities: | | | | | | | | Residential | | 14 | 62 | | | | | Commercial | | 30 | 14 | | | | Corporate debt securities | | 1 | - | | | | Collateralized debt obligations | | - | - | | | | Other debt securities | | 5 | 4 | | | | | | Total debt securities | | 50 | 80 | | | Equity securities: | | | | | | | Marketable equity securities: | | | | | | | | Perpetual preferred securities | | 1 | - | | | | | | Total marketable equity securities | | 1 | - | | | | | | | Total securities available for sale | | 51 | 80 | | | | Nonmarketable equity securities | | 14 | 41 | | | | | | | | Total OTTI write-downs included in earnings | $ | 65 | 121 | | | | | | | | | | | |
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| Debt Securities Available For Sale Other Than Temporary Impairment |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended March 31, | | (in millions) | | | 2012 | 2011 | | OTTI on debt securities | | | | | | Recorded as part of gross realized losses: | | | | | | | Credit-related OTTI | $ | 50 | 79 | | | | Intent-to-sell OTTI | | - | 1 | | | | | Total recorded as part of gross realized losses | | 50 | 80 | | | Recorded directly to OCI for non-credit-related impairment: | | | | | | | U.S. states and political subdivisions | | - | - | | | | Residential mortgage-backed securities | | (9) | (104) | | | | Commercial mortgage-backed securities | | (6) | (53) | | | | Corporate debt securities | | (1) | - | | | | Other debt securities | | 1 | 1 | | | | | Total recorded directly to OCI for increase (decrease) in non-credit-related impairment (1) | | (15) | (156) | | | | | | Total OTTI losses (gains) recorded on debt securities | $ | 35 | (76) | | | | | | | | | | |
- Represents amounts recorded to OCI on debt securities in periods OTTI write-downs have occurred. Changes in fair value in subsequent periods on such securities, to the extent additional credit-related OTTI did not occur, are not reflected in this total. Increases represent OTTI write-downs recorded to OCI on debt securities in the periods non-credit related impairment has occurred. Decreases represent partial recoveries in the fair value of securities due to factors other than credit, where the increase in fair value was not sufficient to recover the full amount of the unrealized loss on such securities.
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| Credit Loss Component Of Credit-Impaired Debt Securities |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended March 31, | | (in millions) | | 2012 | 2011 | | Credit loss component, beginning of period | $ | 1,272 | 1,043 | | Additions: | | | | | | Initial credit impairments | | 5 | 11 | | | Subsequent credit impairments | | 45 | 68 | | | | Total additions | | 50 | 79 | | Reductions: | | | | | | For securities sold | | (12) | (23) | | | For recoveries of previous credit impairments (1) | | (8) | (12) | | | | Total reductions | | (20) | (35) | | Credit loss component, end of period | $ | 1,302 | 1,087 | | | | | | | | | | |
- Recoveries of previous credit impairments result from increases in expected cash flows subsequent to credit loss recognition. Such recoveries are reflected prospectively as interest yield adjustments using the effective interest method.
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| Credit Loss Component Of Residential Mortgage Backed Securities Inputs To Measure |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Quarter ended March 31, | | ($ in millions) | | 2012 | | 2011 | | Credit impairment losses on residential MBS | | | | | | | Investment grade | $ | - | | 5 | | | Non-investment grade | | 14 | | 57 | | | | Total credit impairment losses on residential MBS | $ | 14 | | 62 | | | | | | | | | | | | | Significant inputs (non-agency – non-investment grade MBS) | | | | | | Expected remaining life of loan losses (1): | | | | | | | Range (2) | | 1-44 | % | 2-26 | | | Credit impairment distribution (3): | | | | | | | | 0 - 10% range | | 46 | | 57 | | | | 10 - 20% range | | 11 | | 25 | | | | 20 - 30% range | | 1 | | 18 | | | | Greater than 30% | | 42 | | - | | | Weighted average (4) | | 9 | | 9 | | Current subordination levels (5): | | | | | | | Range (2) | | 0-57 | | 0-11 | | | Weighted average (4) | | 2 | | 5 | | Prepayment speed (annual CPR (6)): | | | | | | | Range (2) | | 5-29 | | 5-15 | | | Weighted average (4) | | 15 | | 10 | | | | | | | | | | | | | | | | | | | | | | |
- Represents future expected credit losses on underlying pool of loans expressed as a percentage of total current outstanding loan balance.
- Represents the range of inputs/assumptions based upon the individual securities within each category.
- Represents distribution of credit impairment losses recognized in earnings categorized based on range of expected remaining life of loan losses. For example, 46% of credit impairment losses recognized in earnings for the quarter ended March 31, 2012, had expected remaining life of loan loss assumptions of 0 to 10%.
- Calculated by weighting the relevant input/assumption for each individual security by current outstanding amortized cost basis of the security.
- Represents current level of credit protection (subordination) for the securities, expressed as a percentage of total current underlying loan balance.
- Constant prepayment rate.
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