v2.4.0.6
Securities Available for Sale (Tables)
 12 Months Ended
Dec. 31, 2012
Securities Available for Sale (Tables) [Abstract]  
Securities Available For Sale Major Categories
            
            
         GrossGross 
         unrealizedunrealizedFair
(in millions) Costgainslossesvalue
            
December 31, 2012     
            
Securities of U.S. Treasury and federal agencies$ 7,099 47 - 7,146
Securities of U.S. states and political subdivisions  37,120 2,000 (444) 38,676
Mortgage-backed securities:     
 Federal agencies  92,855 4,434 (4) 97,285
 Residential  14,178 1,802 (49) 15,931
 Commercial  18,438 1,798 (268) 19,968
  Total mortgage-backed securities  125,471 8,034 (321) 133,184
Corporate debt securities  20,120 1,282 (69) 21,333
Collateralized debt obligations (1)  12,726 557 (95) 13,188
Other (2)   18,410 553 (76) 18,887
   Total debt securities  220,946 12,473 (1,005) 232,414
Marketable equity securities:     
 Perpetual preferred securities  1,935 281 (40) 2,176
 Other marketable equity securities  402 216 (9) 609
   Total marketable equity securities  2,337 497 (49) 2,785
    Total (3)$ 223,283 12,970 (1,054) 235,199
            
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 (3)$ 215,571 10,211 (3,169) 222,613
            

  • Includes collateralized loan obligations with a cost basis and fair value of $12.2 billion and $12.5 billion, respectively, at December 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 $5.9 billion each at December 31, 2012, and $6.7 billion each 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 $695 million and $918 million, respectively, at December 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.
  • At December 31, 2012 and 2011, we held no securities of any single issuer (excluding the U.S. Treasury and federal agencies) with a book value that exceeded 10% of stockholders' equity.
Securities Available For Sale Gross Unrealized Losses Over And Under 12 Months
               
               
       Less than 12 months 12 months or more Total
       Gross  Gross  Gross 
      unrealizedFairunrealizedFairunrealizedFair
(in millions) lossesvalue lossesvalue lossesvalue
               
December 31, 2012         
               
Securities of U.S. Treasury and federal agencies$ - -  - -  - -
Securities of U.S. states and political subdivisions  (55) 2,709  (389) 4,662  (444) 7,371
Mortgage-backed securities:         
 Federal agencies  (4) 2,247  - -  (4) 2,247
 Residential  (4) 261  (45) 1,564  (49) 1,825
 Commercial  (6) 491  (262) 2,564  (268) 3,055
  Total mortgage-backed securities  (14) 2,999  (307) 4,128  (321) 7,127
Corporate debt securities  (14) 1,217  (55) 305  (69) 1,522
Collateralized debt obligations  (2) 1,485  (93) 798  (95) 2,283
Other   (11) 2,153  (65) 1,010  (76) 3,163
   Total debt securities  (96) 10,563  (909) 10,903  (1,005) 21,466
Marketable equity securities:         
 Perpetual preferred securities  (3) 116  (37) 538  (40) 654
 Other marketable equity securities  (9) 48  - -  (9) 48
   Total marketable equity securities  (12) 164  (37) 538  (49) 702
    Total$ (108) 10,727  (946) 11,441  (1,054) 22,168
               
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
Securities Available For Sale Gross Unrealized Losses By Investment Grade
             
             
        Investment grade Non-investment grade
        Gross  Gross 
        unrealizedFair unrealizedFair
(in millions) lossesvalue lossesvalue
             
December 31, 2012      
             
Securities of U.S. Treasury and federal agencies$ - -  - -
Securities of U.S. states and political subdivisions  (378) 6,839  (66) 532
Mortgage-backed securities:      
 Federal agencies  (4) 2,247  - -
 Residential  (3) 78  (46) 1,747
 Commercial  (31) 2,110  (237) 945
  Total mortgage-backed securities  (38) 4,435  (283) 2,692
Corporate debt securities  (19) 1,112  (50) 410
Collateralized debt obligations  (49) 2,065  (46) 218
Other  (49) 3,034  (27) 129
   Total debt securities  (533) 17,485  (472) 3,981
Perpetual preferred securities  (40) 654  - -
    Total$ (573) 18,139  (472) 3,981
             
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
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  AmountYield  AmountYield  AmountYield  AmountYield 
                           
December 31, 2012                     
                           
Securities of U.S. Treasury                     
 and federal agencies$ 7,146  1.59%$ 376 0.43%$ 661 1.24%$ 6,109 1.70%$ - -%
Securities of U.S. states and                      
 political subdivisions  38,676  5.29   1,861 2.61   11,620 2.18   3,380 5.51   21,815 7.15 
Mortgage-backed securities:                     
 Federal agencies  97,285  3.82   1 5.40   106 4.87   1,144 3.41   96,034 3.83 
 Residential  15,931  4.38   - -   - -   569 2.06   15,362 4.47 
 Commercial  19,968  5.33   - -   78 3.69   101 2.84   19,789 5.35 
  Total mortgage-backed                      
   securities  133,184  4.12   1 5.40   184 4.37   1,814 2.95   131,185 4.13 
Corporate debt securities  21,333  4.26   1,037 4.29   12,792 3.19   6,099 6.14   1,405 5.88 
Collateralized debt                     
 obligations  13,188  1.35   44 0.96   1,246 0.71   7,376 1.01   4,522 2.08 
Other   18,887  1.85   1,715 1.14   9,589 1.75   3,274 2.11   4,309 2.14 
   Total debt securities                     
    at fair value$ 232,414  3.91%$ 5,034 2.28%$ 36,092 2.37%$ 28,052 3.07%$ 163,236 4.44%
                           
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%
                           
Securities Available For Sale Realized Gains And Losses
         
      Year ended December 31,
(in millions)  2012 2011 2010
Gross realized gains$ 600 1,305 645
Gross realized losses  (73) (70) (32)
OTTI write-downs  (256) (541) (692)
 Net realized gains (losses) from    
  securities available for sale  271 694 (79)
Net realized gains from private    
 equity investments  1,086 842 534
  Net realized gains from debt    
   securities and equity investments$ 1,357 1,536 455
         
Securities Available For Sale And Nonmarketable Equity Securities Other Than Temporary Impairment
           
         Year ended December 31,
(in millions)   2012 2011 2010
OTTI write-downs included in earnings    
 Debt securities:    
  U.S. states and political subdivisions$ 16 2 16
  Mortgage-backed securities:    
   Federal agencies (1)  - - 267
   Residential   84 252 175
   Commercial  86 101 120
  Corporate debt securities  11 3 10
  Collateralized debt obligations  1 1 15
  Other debt securities  42 64 69
    Total debt securities  240 423 672
 Equity securities:    
  Marketable equity securities:    
   Perpetual preferred securities  12 96 15
   Other marketable equity securities  4 22 5
    Total marketable equity securities  16 118 20
     Total securities available for sale  256 541 692
  Nonmarketable equity investments  160 170 248
      Total OTTI write-downs included in earnings$ 416 711 940
           

  • For the year ended December 31, 2010, amount represents OTTI recognized on federal agency MBS because we had the intent to sell, of which $252 million related to securities with a fair value of $14.5 billion that were sold subsequent to December 31, 2010.
Debt Securities Available For Sale Other Than Temporary Impairment
          
      Year ended December 31,
(in millions)  201220112010
OTTI on debt securities    
 Recorded as part of gross realized losses:    
  Credit-related OTTI$ 237 422 400
  Intent-to-sell OTTI (1)  3 1 272
   Total recorded as part of gross realized losses  240 423 672
 Changes to OCI for increase (decrease) in non-credit-related OTTI (2):    
  U.S. states and political subdivisions  1 (1) (4)
  Residential mortgage-backed securities  (178) (171) (326)
  Commercial mortgage-backed securities  (88) 105 138
  Corporate debt securities  1 2 (1)
  Collateralized debt obligations  (1) 4 54
  Other debt securities  28 (13) (33)
   Total changes to OCI for non-credit-related OTTI  (237) (74) (172)
    Total OTTI losses recorded on debt securities$ 3 349 500
          

  • For the year ended December 31, 2010, amount includes $252 million related to securities with a fair value of $14.5 billion that were sold subsequent to December 31, 2010.
  • Represents amounts recorded to OCI on debt securities in periods where credit-related OTTI write-downs have occurred. Increases represent initial or subsequent non-credit-related OTTI on debt securities. Decreases represent partial to full reversal of impairment due to recoveries in the fair value of securities due to factors other than credit.
Credit Loss Component Of Credit-Impaired Debt Securities
          
      Year ended December 31,
(in millions) 201220112010
Credit loss component, beginning of year$ 1,272 1,043 1,187
Additions:    
 Initial credit impairments  55 87 122
 Subsequent credit impairments  182 335 278
  Total additions  237 422 400
Reductions:    
 For securities sold  (194) (160) (263)
 For securities derecognized due to changes in consolidation status of variable interest entities  - (2) (242)
 Due to change in intent to sell or requirement to sell  - - (2)
 For recoveries of previous credit impairments (1)  (26) (31) (37)
  Total reductions  (220) (193) (544)
Credit loss component, end of year$ 1,289 1,272 1,043
          

  • 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.
Credit Loss Component Of Residential Mortgage Backed Securities Inputs To Measure
            
      Year ended December 31,
($ in millions)  2012  2011 2010
Credit impairment losses on residential MBS      
 Investment grade$ -  5  5
 Non-investment grade  84  247  170
     Total credit impairment losses on residential MBS$ 84  252  175
            
Significant inputs (non-agency – non-investment grade MBS)      
Expected remaining life of loan loss rate (1):      
 Range (2) 1-44%0-48 1-43
 Credit impairment loss rate distribution (3):      
  0 - 10% range  77  42  52
  10 - 20% range  11  18  29
  20 - 30% range  4  28  17
  Greater than 30%  8  12  2
 Weighted average loss rate (4)  8  12  9
Current subordination levels (5):      
 Range (2) 0-57 0-25 0-25
 Weighted average (4)  2  4  7
Prepayment speed (annual CPR (6)):      
 Range (2) 5-29 3-19 2-27
 Weighted average (4)  15  11  14
            
            

  • Represents future expected credit losses on each pool of loans underlying respective securities expressed as a percentage of the total current outstanding loan balance of the pool for each respective security.
  • 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 77% of credit impairment losses recognized in earnings for the year ended December 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 provided by tranches subordinate to our security holdings (subordination), expressed as a percentage of total current underlying loan balance.
  • Constant prepayment rate.