Quarterly report pursuant to Section 13 or 15(d)

Securities (Tables)

 v2.3.0.11
Securities (Tables)
6 Months Ended
Jun. 30, 2011
Trading Account Assets and Liabilities [Abstract]  
Amortized cost, gross unrealized gains and losses in accumulated OCI and fair value of AFS debt and marketable equity securities
                                 
            Gross     Gross        
    Amortized     Unrealized     Unrealized        
(Dollars in millions)
  Cost     Gains     Losses     Fair Value  
 
Available-for-sale debt securities, June 30, 2011
                               
U.S. Treasury and agency securities
  $ 49,874     $ 684     $ (1,289 )   $ 49,269  
Mortgage-backed securities:
                               
Agency
    180,151       3,128       (1,663 )     181,616  
Agency collateralized mortgage obligations
    48,212       930       (31 )     49,111  
Non-agency residential (1)
    19,564       568       (557 )     19,575  
Non-agency commercial
    6,018       702       (2 )     6,718  
Non-U.S. securities
    4,314       62       (16 )     4,360  
Corporate bonds
    4,388       154       (4 )     4,538  
Other taxable securities, substantially all asset-backed securities
    12,010       79       (66 )     12,023  
 
Total taxable securities
    324,531       6,307       (3,628 )     327,210  
Tax-exempt securities
    3,808       18       (165 )     3,661  
 
Total available-for-sale debt securities
  $ 328,339     $ 6,325     $ (3,793 )   $ 330,871  
 
Available-for-sale marketable equity securities, June 30, 2011 (2)
  $ 8,536     $ 10,445     $ (19 )   $ 18,962  
 
 
                               
Available-for-sale debt securities, December 31, 2010
                               
U.S. Treasury and agency securities
  $ 49,413     $ 604     $ (912 )   $ 49,105  
Mortgage-backed securities:
                               
Agency
    190,409       3,048       (2,240 )     191,217  
Agency collateralized mortgage obligations
    36,639       401       (23 )     37,017  
Non-agency residential (1)
    23,458       588       (929 )     23,117  
Non-agency commercial
    6,167       686       (1 )     6,852  
Non-U.S. securities
    4,054       92       (7 )     4,139  
Corporate bonds
    5,157       144       (10 )     5,291  
Other taxable securities, substantially all asset-backed securities
    15,514       39       (161 )     15,392  
 
Total taxable securities
    330,811     5,602     (4,283 )   332,130  
Tax-exempt securities
    5,687       32       (222 )     5,497  
 
Total available-for-sale debt securities
  $ 336,498     $ 5,634     $ (4,505 )   $ 337,627  
 
Available-for-sale marketable equity securities, December 31, 2010 (2)
  $ 8,650     $ 10,628     $ (13 )   $ 19,265  
 
(1)  
At June 30, 2011, includes approximately 90 percent prime bonds, nine percent Alt-A bonds and one percent subprime bonds. At December 31, 2010, includes approximately 90 percent prime bonds, eight percent Alt-A bonds and two percent subprime bonds.
 
(2)  
Classified in other assets on the Corporation’s Consolidated Balance Sheet.
Corporation recorded other-than-temporary impairment losses on AFS debt securities
                                                 
    Three Months Ended June 30, 2011
    Non-agency     Non-agency                     Other        
    Residential     Commercial     Non-U.S.     Corporate     Taxable        
(Dollars in millions)
  MBS     MBS     Securities     Bonds     Securities     Total  
 
Total OTTI losses
  $ (48 )   $ -     $ (12 )   $ -     $ (3 )   $ (63 )
OTTI losses recognized in accumulated OCI
    17       -       -       -       1       18  
 
Net impairment losses recognized in earnings
  $ (31 )   $ -     $ (12 )   $ -     $ (2 )   $ (45 )
 
 
            Three Months Ended June 30, 2010          
     
Total OTTI losses
  $ (145 )   $ (1 )   $ (285 )   $ -     $ (31 )   $ (462 )
OTTI losses recognized in accumulated OCI
    74       -       261       -       1       336  
 
Net impairment losses recognized in earnings
  $ (71 )   $ (1 )   $ (24 )   $ -     $ (30 )   $ (126 )
 
 
    Six months Ended June 30, 2011  
     
Total OTTI losses
  $ (142 )   $ -     $ (12 )   $ -     $ (3 )   $ (157 )
OTTI losses recognized in accumulated OCI
    23       -       -       -       1       24  
 
Net impairment losses recognized in earnings
  $ (119 )   $ -     $ (12 )   $ -     $ (2 )   $ (133 )
 
 
    Six months Ended June 30, 2010  
     
Total OTTI losses
  $ (463 )   $ (1 )   $ (975 )   $ (2 )   $ (342 )   $ (1,783 )
OTTI losses recognized in accumulated OCI
    119       -       780       -       157       1,056  
 
Net impairment losses recognized in earnings
  $ (344 )   $ (1 )   $ (195 )   $ (2 )   $ (185 )   $ (727 )
 
Credit component recognized in earnings on debt securities for which a portion of the other than temporary impairment loss remains in OCI
                                 
    Three Months Ended June 30     Six Months Ended June 30  
(Dollars in millions)
  2011     2010     2011     2010  
 
Balance, beginning of period
  $ 378     $ 1,084     $ 326     $ 706  
Additions for the credit component on debt securities on which OTTI losses were not previously recognized
    14       47       47       271  
Additions for the credit component on debt securities on which OTTI losses were previously recognized
    31       79       86       456  
Reductions for debt securities sold on which OTTI losses were previously recognized
    (5 )     (510 )     (41 )     (733 )
 
Balance, June 30
  $ 418     $ 700     $ 418     $ 700  
 
Significant assumptions used in the valuation of non-agency residential MBS
                         
            Range (1)  
        10th   90th
    Weighted-average   Percentile (2)   Percentile (2)
 
Prepayment speed
    8.2 %     3.0 %     16.0 %
Loss severity
    49.6       17.3       62.1  
Life default rate
    51.8       2.2       99.1  
 
(1)  
Represents the range of inputs/assumptions based upon the underlying collateral.
 
(2)  
The value of a variable below which the indicated percentile of observations will fall.
Current fair value and associated gross unrealized losses on investments
                                                 
    Less than     Twelve Months        
    Twelve Months     or Longer     Total  
            Gross             Gross             Gross  
    Fair     Unrealized     Fair     Unrealized     Fair     Unrealized  
  (Dollars in millions)   Value     Losses     Value     Losses     Value     Losses  
 
Temporarily-impaired available-for-sale debt securities at June 30, 2011
                                               
U.S. Treasury and agency securities
  $ -     $ -     $ 29,514     $ (1,289 )   $ 29,514     $ (1,289 )
Mortgage-backed securities:
                                               
Agency
    75,586       (1,622 )     1,378       (41 )     76,964       (1,663 )
Agency collateralized mortgage obligations
    2,042       (7 )     1,072       (24 )     3,114       (31 )
Non-agency residential
    4,165       (204 )     2,354       (235 )     6,519       (439 )
Non-agency commercial
    57       (1 )     8       (1 )     65       (2 )
Non-U.S. securities
    -       -       61       (16 )     61       (16 )
Corporate bonds
    -       -       100       (4 )     100       (4 )
Other taxable securities
    -       -       3,962       (50 )     3,962       (50 )
 
Total taxable securities
    81,850       (1,834 )     38,449       (1,660 )     120,299       (3,494 )
Tax-exempt securities
    1,612       (78 )     1,487       (86 )     3,099       (164 )
 
Total temporarily-impaired available-for-sale debt securities
    83,462       (1,912 )     39,936       (1,746 )     123,398       (3,658 )
Temporarily-impaired available-for-sale marketable equity securities
    12       (7 )     22       (12 )     34       (19 )
 
Total temporarily-impaired available-for-sale securities
    83,474       (1,919 )     39,958       (1,758 )     123,432       (3,677 )
 
Other-than-temporarily impaired available-for-sale debt securities (1)
                                               
Mortgage-backed securities:
                                               
Non-agency residential
    175       (16 )     598       (102 )     773       (118 )
Other taxable securities
    -       -       124       (16 )     124       (16 )
Tax-exempt securities
    -       -       7       (1 )     7       (1 )
 
Total temporarily-impaired and other-than-temporarily impaired available-for-sale securities (2)
  $ 83,649     $ (1,935 )   $ 40,687     $ (1,877 )   $ 124,336     $ (3,812 )
 
 
                                               
Temporarily-impaired available-for-sale debt securities at December 31, 2010
                                               
U.S. Treasury and agency securities
  $ 27,384     $ (763 )   $ 2,382     $ (149 )   $ 29,766     $ (912 )
Mortgage-backed securities:
                                               
Agency
    85,517       (2,240 )     -       -       85,517       (2,240 )
Agency collateralized mortgage obligations
    3,220       (23 )     -       -       3,220       (23 )
Non-agency residential
    6,385       (205 )     2,245       (274 )     8,630       (479 )
Non-agency commercial
    47       (1 )     -       -       47       (1 )
Non-U.S. securities
    -       -       70       (7 )     70       (7 )
Corporate bonds
    465       (9 )     22       (1 )     487       (10 )
Other taxable securities
    3,414       (38 )     46       (7 )     3,460       (45 )
 
Total taxable securities
    126,432       (3,279 )     4,765       (438 )     131,197       (3,717 )
Tax-exempt securities
    2,325       (95 )     568       (119 )     2,893       (214 )
 
Total temporarily-impaired available-for-sale debt securities
    128,757       (3,374 )     5,333       (557 )     134,090       (3,931 )
Temporarily-impaired available-for-sale marketable equity securities
    7       (2 )     19       (11 )     26       (13 )
 
Total temporarily-impaired available-for-sale securities
    128,764       (3,376 )     5,352       (568 )     134,116       (3,944 )
 
Other-than-temporarily impaired available-for-sale debt securities (1)
                                               
Mortgage-backed securities:
                                               
Non-agency residential
    128       (11 )     530       (439 )     658       (450 )
Other taxable securities
    -       -       223       (116 )     223       (116 )
Tax-exempt securities
    68       (8 )     -       -       68       (8 )
 
Total temporarily-impaired and other-than-temporarily impaired available-for-sale securities (2)
  $ 128,960     $ (3,395 )   $ 6,105     $ (1,123 )   $ 135,065     $ (4,518 )
 
(1)  
Includes AFS debt securities on which OTTI losses were recognized and a portion of the OTTI loss was recorded as a credit loss in earnings and a portion as an unrealized loss in OCI.
 
(2)  
At June 30, 2011, the amortized cost of approximately 5,300 AFS securities exceeded their fair value by $3.8 billion. At December 31, 2010, the amortized cost of approximately 8,500 AFS securities exceeded their fair value by $4.5 billion.
Amortized cost and fair value of the Corporation's investment
                                 
    June 30, 2011     December 31, 2010  
    Amortized     Fair     Amortized     Fair  
  (Dollars in millions)   Cost     Value     Cost     Value  
 
Fannie Mae
  $ 133,053     $ 132,917     $ 123,662     $ 123,107  
Government National Mortgage Association
    27,833       27,894       72,863       74,305  
Freddie Mac
    67,477       69,916       30,523       30,822  
U.S Treasury Securities
    46,961       46,174       46,576       46,081  
 
Expected maturity distribution
                                                                                 
    June 30, 2011  
                    Due after One     Due after Five              
    Due in One     Year through     Years through     Due after        
    Year or Less     Five Years     Ten Years     Ten Years     Total  
  (Dollars in millions)   Amount     Yield (1)     Amount     Yield (1)     Amount     Yield (1)     Amount     Yield (1)     Amount     Yield (1)  
 
Amortized cost of AFS debt securities
                                                                               
U.S. Treasury and agency securities
  $ 492       4.80 %   $ 1,633       2.00 %   $ 12,290       3.30 %   $ 35,459       4.10 %   $ 49,874       3.90 %
Mortgage-backed securities:
                                                                               
Agency
    25       4.40       67,665       4.00       43,235       4.00       69,226       3.70       180,151       3.90  
Agency-collateralized mortgage obligations
    62       0.60       17,650       3.00       13,115       4.20       17,385       3.50       48,212       3.50  
Non-agency residential
    188       7.00       3,205       5.90       1,236       5.90       14,935       4.20       19,564       4.60  
Non-agency commercial
    486       4.40       5,135       6.60       131       6.80       266       6.80       6,018       6.50  
Non-U.S. securities
    2,058       0.60       2,087       4.90       169       3.70       -       -       4,314       4.90  
Corporate bonds
    241       3.60       2,859       2.10       1,127       3.50       161       0.80       4,388       2.40  
Other taxable securities
    1,344       1.40       5,329       1.40       1,136       1.90       4,201       0.50       12,010       1.10  
                                                         
Total taxable securities
    4,896       2.03       105,563       3.82       72,439       3.91       141,633       3.74       324,531       3.82  
Tax-exempt securities
    89       4.30       746       4.40       856       4.50       2,117       4.60       3,808       4.50  
                                                         
Total amortized cost of AFS debt securities
  $ 4,985       2.07     $ 106,309       3.83     $ 73,295       3.92     $ 143,750       3.75     $ 328,339       3.83  
 
 
                                                                               
Fair value of AFS debt securities
                                                                               
U.S. Treasury and agency securities
  $ 493             $ 1,676             $ 12,694             $ 34,406             $ 49,269          
Mortgage-backed securities:
                                                                               
Agency
    27               69,599               43,866               68,124               181,616          
Agency-collateralized mortgage obligations
    62               17,959               13,614               17,476               49,111          
Non-agency residential
    152               3,188               1,263               14,972               19,575          
Non-agency commercial
    490               5,782               147               299               6,718          
Non-U.S. securities
    2,055               2,132               173               -               4,360          
Corporate bonds
    245               2,951               1,181               161               4,538          
Other taxable securities
    1,346               5,374               1,153               4,150               12,023          
                                                         
Total taxable securities
    4,870               108,661               74,091               139,588               327,210          
Tax-exempt securities
    90               739               828               2,004               3,661          
                                                         
Total fair value of AFS debt securities
  $ 4,960             $ 109,400             $ 74,919             $ 141,592             $ 330,871          
 
(1)  
Yields are calculated based on the amortized cost of the securities and exclude the impact of hedging activities.
Components of realized gains and losses on sales of debt securities
                                 
    Three Months Ended June 30     Six Months Ended June 30  
  (Dollars in millions)   2011     2010     2011     2010  
 
Gross gains
  $ 901     $ 942     $ 1,455     $ 1,848  
Gross losses
    (2 )     (905 )     (10 )     (1,077 )
 
Net gains on sales of debt securities
  $ 899     $ 37     $ 1,445     $ 771  
 
Income tax expense attributable to realized net gains on sales of debt securities
  $ 333     $ 14     $ 535     $ 285