v2.4.0.6
Securities Available for Sale (Tables)
 3 Months Ended
Mar. 31, 2013
Securities Available for Sale (Tables) [Abstract]  
Securities Available For Sale Major Categories
            
            
         GrossGross 
         unrealizedunrealizedFair
(in millions) Costgainslossesvalue
            
March 31, 2013     
            
Securities of U.S. Treasury and federal agencies$ 6,862 34 (12) 6,884
Securities of U.S. states and political subdivisions  38,925 1,932 (401) 40,456
Mortgage-backed securities:     
 Federal agencies  101,876 3,767 (171) 105,472
 Residential  13,472 1,829 (42) 15,259
 Commercial  18,492 1,623 (195) 19,920
  Total mortgage-backed securities  133,840 7,219 (408) 140,651
Corporate debt securities  20,223 1,286 (60) 21,449
Collateralized loan and other debt obligations (1)  16,085 647 (69) 16,663
Other (2)   18,792 555 (69) 19,278
   Total debt securities  234,727 11,673 (1,019) 245,381
Marketable equity securities:     
 Perpetual preferred securities  1,930 357 (25) 2,262
 Other marketable equity securities  333 192 (8) 517
   Total marketable equity securities  2,263 549 (33) 2,779
    Total$ 236,990 12,222 (1,052) 248,160
            
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 loan and other 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$ 223,283 12,970 (1,054) 235,199
            

  • Includes collateralized debt obligations with a cost basis and fair value of $543 million and $674 million, respectively, at March 31, 2013, and $556 million and $644 million, respectively, at December 31, 2012.
  • 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 $5.6 billion and $5.7 billion, respectively, at March 31, 2013, and $5.9 billion each at December 31, 2012. Also included in the "Other" category are asset-backed securities collateralized by home equity loans with a cost basis and fair value of $626 million and $853 million, respectively, at March 31, 2013, and $695 million and $918 million, respectively, at December 31, 2012. The remaining balances primarily include asset-backed securities collateralized by credit cards and student loans.

 
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
               
March 31, 2013         
               
Securities of U.S. Treasury and federal agencies$ (12) 4,369  - -  (12) 4,369
Securities of U.S. states and political subdivisions  (81) 5,053  (320) 4,031  (401) 9,084
Mortgage-backed securities:         
 Federal agencies  (171) 20,109  - -  (171) 20,109
 Residential  (16) 791  (26) 975  (42) 1,766
 Commercial  (14) 1,672  (181) 2,268  (195) 3,940
  Total mortgage-backed securities  (201) 22,572  (207) 3,243  (408) 25,815
Corporate debt securities  (15) 1,351  (45) 249  (60) 1,600
Collateralized loan and other debt obligations  (2) 2,879  (67) 490  (69) 3,369
Other   (11) 1,928  (58) 1,005  (69) 2,933
   Total debt securities  (322) 38,152  (697) 9,018  (1,019) 47,170
Marketable equity securities:         
 Perpetual preferred securities  (3) 175  (22) 446  (25) 621
 Other marketable equity securities  (8) 58  - -  (8) 58
   Total marketable equity securities  (11) 233  (22) 446  (33) 679
    Total$ (333) 38,385  (719) 9,464  (1,052) 47,849
               
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 loan and other 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
Securities Available For Sale Gross Unrealized Losses By Investment Grade
             
             
        Investment grade Non-investment grade
        Gross  Gross 
        unrealizedFair unrealizedFair
(in millions) lossesvalue lossesvalue
             
March 31, 2013      
             
Securities of U.S. Treasury and federal agencies$ (12) 4,369  - -
Securities of U.S. states and political subdivisions  (346) 8,556  (55) 528
Mortgage-backed securities:      
 Federal agencies  (171) 20,109  - -
 Residential  (3) 64  (39) 1,702
 Commercial  (35) 2,993  (160) 947
  Total mortgage-backed securities  (209) 23,166  (199) 2,649
Corporate debt securities  (23) 1,170  (37) 430
Collateralized loan and other debt obligations  (36) 3,183  (33) 186
Other  (46) 2,844  (23) 89
   Total debt securities  (672) 43,288  (347) 3,882
Perpetual preferred securities  (25) 621  - -
    Total$ (697) 43,909  (347) 3,882
             
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 loan and other 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
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 
                           
March 31, 2013                     
                           
Securities of U.S. Treasury                    
 and federal agencies$ 6,884  1.62%$ 386 0.42%$ 498 1.57%$ 6,000 1.70%$ - - %
Securities of U.S. states and                     
 political subdivisions  40,456  5.22   2,050 2.49   11,156 2.15   3,209 5.57   24,041 6.82 
Mortgage-backed securities:                    
 Federal agencies  105,472  3.64   3 3.46   172 4.97   988 3.42   104,309 3.64 
 Residential  15,259  4.36   - -    4 3.14   533 2.04   14,722 4.44 
 Commercial  19,920  5.34   9 5.74   93 3.81   108 2.88   19,710 5.36 
  Total mortgage-backed                     
   securities  140,651  3.96   12 5.13   269 4.54   1,629 2.93   138,741 3.97 
Corporate debt securities  21,449  4.26   1,564 4.07   12,373 3.23   6,159 6.04   1,353 5.78 
Collateralized loan and                     
 other debt obligations  16,663  1.49   84 0.63   1,065 0.80   7,246 1.09   8,268 1.94 
Other   19,278  1.74   1,973 1.60   9,035 1.70   3,242 1.74   5,028 1.85 
   Total debt securities                    
    at fair value$ 245,381  3.78%$ 6,069 2.45%$ 34,396 2.39%$ 27,485 3.04%$ 177,431 4.21%
                           
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 loan and                     
 other 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%
                           
Securities Available For Sale Realized Gains And Losses
        
     Quarter ended March 31,
(in millions)  2013 2012
Gross realized gains$ 156 281
Gross realized losses  (5) (4)
OTTI write-downs  (38) (51)
 Net realized gains from securities available for sale  113 226
Net realized gains from private equity investments  45 131
  Net realized gains from debt securities and equity investments$ 158 357
        
Securities Available For Sale And Nonmarketable Equity Securities Other Than Temporary Impairment
          
       Quarter ended March 31,
(in millions)   2013 2012
OTTI write-downs included in earnings   
 Debt securities:   
  U.S. states and political subdivisions$ - -
  Mortgage-backed securities:   
   Residential   15 14
   Commercial  15 30
  Corporate debt securities  2 1
  Collateralized loan and other debt obligations  - -
  Other debt securities  2 5
    Total debt securities  34 50
 Equity securities:   
  Marketable equity securities:   
   Perpetual preferred securities  - 1
   Other marketable equity securities  4 -
    Total marketable equity securities  4 1
     Total securities available for sale  38 51
  Nonmarketable equity investments  40 14
      Total OTTI write-downs included in earnings$ 78 65
          
Debt Securities Available For Sale Other Than Temporary Impairment
         
      Quarter ended March 31,
(in millions)   2013 2012
OTTI on debt securities   
 Recorded as part of gross realized losses:   
  Credit-related OTTI$ 23 50
  Intent-to-sell OTTI   11 -
   Total recorded as part of gross realized losses  34 50
 Changes to OCI for increase (decrease) in non-credit-related OTTI (1):   
  U.S. states and political subdivisions  - -
  Residential mortgage-backed securities  (9) (9)
  Commercial mortgage-backed securities  (41) (6)
  Corporate debt securities  - (1)
  Collateralized loan and other debt obligations  (1) -
  Other debt securities  2 1
   Total changes to OCI for non-credit-related OTTI  (49) (15)
    Total OTTI losses (gains) recorded on debt securities$ (15) 35
         

  • 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
         
      Quarter ended March 31,
(in millions) 2013 2012
Credit loss component, beginning of period$ 1,289 1,272
Additions:   
 Initial credit impairments  1 5
 Subsequent credit impairments  22 45
  Total additions  23 50
Reductions:   
 For securities sold  (52) (12)
 For recoveries of previous credit impairments (1)  (8) (8)
  Total reductions  (60) (20)
Credit loss component, end of period$ 1,252 1,302
         

  • 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
          
      Quarter ended March 31,
($ in millions)  2013  2012
Credit impairment losses on residential MBS    
 Non-investment grade$ 15  14
          
Significant inputs (non-agency – non-investment grade MBS)    
Expected remaining life of loan loss rate (1):    
 Range (2) 1-20%1-44
 Credit impairment loss rate distribution (3):    
  0 - 10% range  94  46
  10 - 20% range  4  11
  20 - 30% range  2  1
  Greater than 30%  -  42
 Weighted average loss rate (4)  6  9
Current subordination levels (5):    
 Range (2) 0-41 0-57
 Weighted average (4)  -  2
Prepayment speed (annual CPR (6)):    
 Range (2) 4-18 5-29
 Weighted average (4)  14  15
          
          

  • 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 94% of credit impairment losses recognized in earnings for the quarter ended March 31, 2013, 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.