| Securities |
The Corporation's debt securities carried at fair value include debt securities purchased for longer term investment purposes and are used as part of ALM and other strategic activities. Generally, debt securities carried at fair value are accounted for as available-for-sale (AFS) debt securities with unrealized gains and losses reported in accumulated OCI. For certain other debt securities purchased for ALM and other strategic purposes, the Corporation has elected to report those securities at fair value with unrealized gains and losses reported in other income (loss) in the Consolidated Statement of Income.
As a result of growth in the portfolio of debt securities carried at fair value with unrealized gains and losses recorded in other income (loss) and to better reflect how such portfolio is managed as part of the ALM activities, the Corporation changed the presentation of such securities in the first quarter of 2013 to combine into one line item on the Consolidated Balance Sheet, debt securities carried at fair value. Previously, the portfolio of debt securities carried at fair value with unrealized gains and losses recorded in other income (loss) was classified in other assets. The Corporation may hedge these debt securities with risk management derivatives with the unrealized gains and losses also reported in other income (loss). Certain debt securities are carried at fair value with unrealized gains and losses reported in other income (loss) to mitigate accounting asymmetry with the risk management derivatives and to achieve operational simplifications. Debt securities purchased for trading purposes are reported in Note 2 – Trading Account Assets and Liabilities. Prior-period amounts have been reclassified to conform to the current period presentation.
The following tables present the amortized cost, gross unrealized gains and losses, and fair value of AFS debt securities, other debt securities carried at fair value, held-to-maturity (HTM) debt securities and marketable equity securities at June 30, 2013 and December 31, 2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities and Available-for-Sale Marketable Equity Securities |
|
June 30, 2013 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
2,984 |
|
|
$ |
144 |
|
|
$ |
(29 |
) |
|
$ |
3,099 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
Agency |
171,486 |
|
|
1,174 |
|
|
(3,476 |
) |
|
169,184 |
|
Agency-collateralized mortgage obligations |
31,315 |
|
|
1,095 |
|
|
(409 |
) |
|
32,001 |
|
Non-agency residential (1)
|
7,813 |
|
|
343 |
|
|
(130 |
) |
|
8,026 |
|
Commercial |
3,521 |
|
|
228 |
|
|
(1 |
) |
|
3,748 |
|
Non-U.S. securities |
6,397 |
|
|
47 |
|
|
(22 |
) |
|
6,422 |
|
Corporate/Agency bonds |
1,206 |
|
|
33 |
|
|
(8 |
) |
|
1,231 |
|
Other taxable securities, substantially all asset-backed securities |
11,468 |
|
|
24 |
|
|
(10 |
) |
|
11,482 |
|
Total taxable securities |
236,190 |
|
|
3,088 |
|
|
(4,085 |
) |
|
235,193 |
|
Tax-exempt securities |
4,995 |
|
|
12 |
|
|
(46 |
) |
|
4,961 |
|
Total available-for-sale debt securities |
241,185 |
|
|
3,100 |
|
|
(4,131 |
) |
|
240,154 |
|
Other debt securities carried at fair value |
42,698 |
|
|
158 |
|
|
(1,529 |
) |
|
41,327 |
|
Total debt securities carried at fair value |
283,883 |
|
|
3,258 |
|
|
(5,660 |
) |
|
281,481 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
54,922 |
|
|
10 |
|
|
(2,076 |
) |
|
52,856 |
|
Total debt securities |
$ |
338,805 |
|
|
$ |
3,268 |
|
|
$ |
(7,736 |
) |
|
$ |
334,337 |
|
Available-for-sale marketable equity securities (2)
|
$ |
754 |
|
|
$ |
649 |
|
|
$ |
(1 |
) |
|
$ |
1,402 |
|
|
|
(1) |
At June 30, 2013, the underlying collateral type included approximately 91 percent prime, six percent Alt-A and three percent subprime.
|
|
|
(2) |
Classified in other assets on the Consolidated Balance Sheet. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities and Available-for-Sale Marketable Equity Securities |
|
December 31, 2012 |
(Dollars in millions) |
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
Available-for-sale debt securities |
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
24,232 |
|
|
$ |
324 |
|
|
$ |
(84 |
) |
|
$ |
24,472 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
Agency |
183,247 |
|
|
5,048 |
|
|
(146 |
) |
|
188,149 |
|
Agency-collateralized mortgage obligations |
36,329 |
|
|
1,427 |
|
|
(218 |
) |
|
37,538 |
|
Non-agency residential (1)
|
9,231 |
|
|
391 |
|
|
(128 |
) |
|
9,494 |
|
Non-agency commercial |
3,576 |
|
|
348 |
|
|
— |
|
|
3,924 |
|
Non-U.S. securities |
5,574 |
|
|
50 |
|
|
(6 |
) |
|
5,618 |
|
Corporate/Agency bonds |
1,415 |
|
|
51 |
|
|
(16 |
) |
|
1,450 |
|
Other taxable securities, substantially all asset-backed securities |
12,089 |
|
|
54 |
|
|
(15 |
) |
|
12,128 |
|
Total taxable securities |
275,693 |
|
|
7,693 |
|
|
(613 |
) |
|
282,773 |
|
Tax-exempt securities |
4,167 |
|
|
13 |
|
|
(47 |
) |
|
4,133 |
|
Total available-for-sale debt securities |
279,860 |
|
|
7,706 |
|
|
(660 |
) |
|
286,906 |
|
Other debt securities carried at fair value |
23,927 |
|
|
120 |
|
|
(103 |
) |
|
23,944 |
|
Total debt securities carried at fair value |
303,787 |
|
|
7,826 |
|
|
(763 |
) |
|
310,850 |
|
Held-to-maturity debt securities, substantially all U.S. agency mortgage-backed securities |
49,481 |
|
|
815 |
|
|
(26 |
) |
|
50,270 |
|
Total debt securities |
$ |
353,268 |
|
|
$ |
8,641 |
|
|
$ |
(789 |
) |
|
$ |
361,120 |
|
Available-for-sale marketable equity securities (2)
|
$ |
780 |
|
|
$ |
732 |
|
|
$ |
— |
|
|
$ |
1,512 |
|
|
|
(1) |
At December 31, 2012, the underlying collateral type included approximately 91 percent prime, six percent Alt-A and three percent subprime.
|
|
|
(2) |
Classified in other assets on the Consolidated Balance Sheet. |
At June 30, 2013, the accumulated net unrealized losses on AFS debt securities included in accumulated OCI were $643 million, net of the related income tax benefit of $388 million. At June 30, 2013 and December 31, 2012, the Corporation had nonperforming AFS debt securities of $95 million and $91 million.
The table below presents the components of other debt securities carried at fair value where the changes in fair value are reported in other income (loss) at June 30, 2013 and December 31, 2012. In the three and six months ended June 30, 2013, the Corporation recorded mark-to-market net losses in other income (loss) of $1.4 billion and $1.6 billion on other debt securities carried at fair value, which excludes the benefit of certain hedges also reported in other income (loss). The prior-period amounts were insignificant.
|
|
|
|
|
|
|
|
|
Other Debt Securities Carried at Fair Value |
|
|
|
(Dollars in millions) |
June 30
2013 |
|
December 31
2012 |
U.S. Treasury and agency securities |
$ |
— |
|
|
$ |
491 |
|
Mortgage-backed securities: |
|
|
|
Agency |
26,121 |
|
|
13,073 |
|
Agency-collateralized mortgage obligations |
1,006 |
|
|
929 |
|
Commercial |
758 |
|
|
— |
|
Non-U.S. securities (1)
|
13,442 |
|
|
9,451 |
|
Total |
$ |
41,327 |
|
|
$ |
23,944 |
|
|
|
(1) |
These securities are used to satisfy certain international regulatory liquidity requirements. |
The Corporation recorded other-than-temporary impairment (OTTI) losses on AFS debt securities for the three and six months ended June 30, 2013 and 2012 as presented in the table below. A debt security is impaired when its fair value is less than its amortized cost. If the Corporation intends or will more-likely-than-not be required to sell the debt securities prior to recovery, the entire impairment loss is recorded in the Consolidated Statement of Income. For AFS debt securities the Corporation does not intend or will not more-likely-than-not be required to sell, an analysis is performed to determine if any of the impairment is due to credit or whether it is due to other factors (e.g., interest rate). Credit losses are considered unrecoverable and are recorded in the Consolidated Statement of Income with the remaining unrealized losses recorded in accumulated OCI. In certain instances, the credit loss on a debt security may exceed the total impairment, in which case, the portion of the credit loss that exceeds the total impairment is recorded as an unrealized gain in accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Impairment Losses Recognized in Earnings |
|
Three Months Ended June 30, 2013 |
(Dollars in millions) |
Non-agency
Residential
MBS |
|
Non-agency Commercial
MBS |
|
Total |
Total OTTI losses (unrealized and realized) |
$ |
(5 |
) |
|
$ |
— |
|
|
$ |
(5 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
1 |
|
|
— |
|
|
1 |
|
Net impairment losses recognized in earnings |
$ |
(4 |
) |
|
$ |
— |
|
|
$ |
(4 |
) |
|
|
|
|
|
|
|
Three Months Ended June 30, 2012 |
Total OTTI losses (unrealized and realized) |
$ |
(9 |
) |
|
$ |
(4 |
) |
|
$ |
(13 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
7 |
|
|
— |
|
|
7 |
|
Net impairment losses recognized in earnings |
$ |
(2 |
) |
|
$ |
(4 |
) |
|
$ |
(6 |
) |
|
|
|
|
|
|
|
Six Months Ended June 30, 2013 |
Total OTTI losses (unrealized and realized) |
$ |
(14 |
) |
|
$ |
— |
|
|
$ |
(14 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
1 |
|
|
— |
|
|
1 |
|
Net impairment losses recognized in earnings |
$ |
(13 |
) |
|
$ |
— |
|
|
$ |
(13 |
) |
|
|
|
|
|
|
|
Six Months Ended June 30, 2012 |
Total OTTI losses (unrealized and realized) |
$ |
(56 |
) |
|
$ |
(6 |
) |
|
$ |
(62 |
) |
Unrealized OTTI losses recognized in accumulated OCI |
16 |
|
|
— |
|
|
16 |
|
Net impairment losses recognized in earnings |
$ |
(40 |
) |
|
$ |
(6 |
) |
|
$ |
(46 |
) |
The Corporation's net impairment losses recognized in earnings consist of write-downs to fair value on AFS debt securities the Corporation has the intent to sell or will more-likely-than-not be required to sell and all credit losses. The table below presents a rollforward of the credit losses recognized in earnings for the three and six months ended June 30, 2013 and 2012 on AFS debt securities that the Corporation does not have the intent to sell or will not more-likely-than-not be required to sell.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rollforward of Credit Losses Recognized |
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2013 |
|
2012 |
|
2013 |
|
2012 |
Balance, beginning of period |
$ |
244 |
|
|
$ |
266 |
|
|
$ |
243 |
|
|
$ |
310 |
|
Additions for credit losses recognized on AFS debt securities that had no previous impairment losses |
— |
|
|
4 |
|
|
5 |
|
|
6 |
|
Additions for credit losses recognized on AFS debt securities that had previously incurred impairment losses |
4 |
|
|
2 |
|
|
8 |
|
|
40 |
|
Reductions for AFS debt securities matured, sold or intended to be sold |
(43 |
) |
|
(26 |
) |
|
(51 |
) |
|
(110 |
) |
Balance, June 30 |
$ |
205 |
|
|
$ |
246 |
|
|
$ |
205 |
|
|
$ |
246 |
|
The Corporation estimates the portion of a loss on a security that is attributable to credit using a discounted cash flow model and estimates the expected cash flows of the underlying collateral using internal credit, interest rate and prepayment risk models that incorporate management's best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Assumptions used for the underlying loans that support the mortgage-backed securities (MBS) can vary widely from loan to loan and are influenced by such factors as loan interest rate, geographic location of the borrower, borrower characteristics and collateral type. Based on these assumptions, the Corporation then determines how the underlying collateral cash flows will be distributed to each MBS issued from the applicable special purpose entity. Expected principal and interest cash flows on an impaired AFS debt security are discounted using the effective yield of each individual impaired AFS debt security.
Significant assumptions used in estimating the expected cash flows for measuring credit losses on non-agency residential mortgage-backed securities (RMBS) were as follows at June 30, 2013.
|
|
|
|
|
|
|
Significant Assumptions |
|
|
|
Range (1)
|
|
Weighted-
average
|
|
10th
Percentile (2)
|
|
90th
Percentile (2)
|
Annual prepayment speed |
12.4% |
|
1.4% |
|
25.8% |
Loss severity |
43.1 |
|
16.9 |
|
55.0 |
Life default rate |
44.8 |
|
1.2 |
|
99.8 |
|
|
(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. |
Annual constant prepayment speed and loss severity rates are projected considering collateral characteristics such as loan-to-value (LTV), creditworthiness of borrowers as measured using FICO scores and geographic concentrations. The weighted-average severity by collateral type was 39.5 percent for prime, 44.1 percent for Alt-A and 50.8 percent for subprime at June 30, 2013. Additionally, default rates are projected by considering collateral characteristics including, but not limited to, LTV, FICO and geographic concentration. Weighted-average life default rates by collateral type were 31.3 percent for prime, 56.5 percent for Alt-A and 38.2 percent for subprime at June 30, 2013.
The following tables present the fair value and the associated gross unrealized losses on AFS debt securities with gross unrealized losses at June 30, 2013 and December 31, 2012, and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
|
June 30, 2013 |
|
Less than 12 Months |
|
12 Months or Longer |
|
Total |
(Dollars in millions) |
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
851 |
|
|
$ |
(29 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
851 |
|
|
$ |
(29 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
122,638 |
|
|
(3,433 |
) |
|
1,151 |
|
|
(43 |
) |
|
123,789 |
|
|
(3,476 |
) |
Agency-collateralized mortgage obligations |
14,388 |
|
|
(341 |
) |
|
3,732 |
|
|
(68 |
) |
|
18,120 |
|
|
(409 |
) |
Non-agency residential |
1,056 |
|
|
(21 |
) |
|
1,349 |
|
|
(106 |
) |
|
2,405 |
|
|
(127 |
) |
Commercial |
30 |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
30 |
|
|
(1 |
) |
Non-U.S. securities |
526 |
|
|
(12 |
) |
|
44 |
|
|
(10 |
) |
|
570 |
|
|
(22 |
) |
Corporate/Agency bonds |
74 |
|
|
(2 |
) |
|
283 |
|
|
(6 |
) |
|
357 |
|
|
(8 |
) |
Other taxable securities, substantially all asset-backed securities |
1,408 |
|
|
(7 |
) |
|
1,116 |
|
|
(3 |
) |
|
2,524 |
|
|
(10 |
) |
Total taxable securities |
140,971 |
|
|
(3,846 |
) |
|
7,675 |
|
|
(236 |
) |
|
148,646 |
|
|
(4,082 |
) |
Tax-exempt securities |
1,900 |
|
|
(18 |
) |
|
1,124 |
|
|
(28 |
) |
|
3,024 |
|
|
(46 |
) |
Total temporarily impaired AFS debt securities |
142,871 |
|
|
(3,864 |
) |
|
8,799 |
|
|
(264 |
) |
|
151,670 |
|
|
(4,128 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
42 |
|
|
(2 |
) |
|
4 |
|
|
(1 |
) |
|
46 |
|
|
(3 |
) |
Total temporarily impaired and other-than-temporarily impaired AFS debt securities (2)
|
$ |
142,913 |
|
|
$ |
(3,866 |
) |
|
$ |
8,803 |
|
|
$ |
(265 |
) |
|
$ |
151,716 |
|
|
$ |
(4,131 |
) |
|
|
(1) |
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss remains in accumulated OCI. |
|
|
(2) |
At June 30, 2013, the amortized cost of approximately 4,800 AFS debt securities exceeded their fair value by $4.1 billion.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Temporarily Impaired and Other-than-temporarily Impaired AFS Debt Securities |
|
December 31, 2012 |
|
Less than 12 Months |
|
12 Months or Longer |
|
Total |
(Dollars in millions) |
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
Temporarily impaired AFS debt securities |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
— |
|
|
$ |
— |
|
|
$ |
5,608 |
|
|
$ |
(84 |
) |
|
$ |
5,608 |
|
|
$ |
(84 |
) |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
Agency |
15,593 |
|
|
(133 |
) |
|
735 |
|
|
(13 |
) |
|
16,328 |
|
|
(146 |
) |
Agency-collateralized mortgage obligations |
5,135 |
|
|
(121 |
) |
|
4,994 |
|
|
(97 |
) |
|
10,129 |
|
|
(218 |
) |
Non-agency residential |
592 |
|
|
(13 |
) |
|
1,555 |
|
|
(110 |
) |
|
2,147 |
|
|
(123 |
) |
Non-U.S. securities |
1,715 |
|
|
(1 |
) |
|
563 |
|
|
(5 |
) |
|
2,278 |
|
|
(6 |
) |
Corporate/Agency bonds |
— |
|
|
— |
|
|
277 |
|
|
(16 |
) |
|
277 |
|
|
(16 |
) |
Other taxable securities, substantially all asset-backed securities |
1,678 |
|
|
(1 |
) |
|
1,436 |
|
|
(14 |
) |
|
3,114 |
|
|
(15 |
) |
Total taxable securities |
24,713 |
|
|
(269 |
) |
|
15,168 |
|
|
(339 |
) |
|
39,881 |
|
|
(608 |
) |
Tax-exempt securities |
1,609 |
|
|
(9 |
) |
|
1,072 |
|
|
(38 |
) |
|
2,681 |
|
|
(47 |
) |
Total temporarily impaired AFS debt securities |
26,322 |
|
|
(278 |
) |
|
16,240 |
|
|
(377 |
) |
|
42,562 |
|
|
(655 |
) |
Other-than-temporarily impaired AFS debt securities (1)
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential mortgage-backed securities |
14 |
|
|
(1 |
) |
|
74 |
|
|
(4 |
) |
|
88 |
|
|
(5 |
) |
Total temporarily impaired and other-than-temporarily impaired AFS debt securities (2)
|
$ |
26,336 |
|
|
$ |
(279 |
) |
|
$ |
16,314 |
|
|
$ |
(381 |
) |
|
$ |
42,650 |
|
|
$ |
(660 |
) |
|
|
(1) |
Includes other-than-temporarily impaired AFS debt securities on which an OTTI loss remains in accumulated OCI. |
|
|
(2) |
At December 31, 2012, the amortized cost of approximately 2,600 AFS debt securities exceeded their fair value by $660 million.
|
The amortized cost and fair value of the Corporation's debt securities carried at fair value and HTM debt securities from Fannie Mae (FNMA), the Government National Mortgage Association (GNMA) and Freddie Mac (FHLMC), where the investment exceeded 10 percent of consolidated shareholders' equity at June 30, 2013 and December 31, 2012, are presented in the table below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Selected Securities Exceeding 10 Percent of Shareholders' Equity |
|
June 30, 2013 |
|
December 31, 2012 |
(Dollars in millions) |
Amortized
Cost
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Fair
Value
|
Fannie Mae |
$ |
138,517 |
|
|
$ |
135,163 |
|
|
$ |
121,522 |
|
|
$ |
123,933 |
|
Government National Mortgage Association |
118,459 |
|
|
119,414 |
|
|
124,348 |
|
|
127,541 |
|
Freddie Mac |
30,905 |
|
|
30,347 |
|
|
22,995 |
|
|
23,502 |
|
The expected maturity distribution of the Corporation's MBS, the contractual maturity distribution of the Corporation's debt securities carried at fair value and HTM debt securities, and the yields on the Corporation's debt securities carried at fair value and HTM debt securities at June 30, 2013 are summarized in the table below. Actual maturities may differ from the contractual or expected maturities since borrowers may have the right to prepay obligations with or without prepayment penalties.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities |
|
June 30, 2013 |
|
Due in One
Year or Less
|
|
Due after One Year
through Five Years
|
|
Due after Five
Years through Ten Years
|
|
Due after
Ten Years
|
|
Total |
(Dollars in millions) |
Amount |
Yield (1)
|
|
Amount |
Yield (1)
|
|
Amount |
Yield (1)
|
|
Amount |
Yield (1)
|
|
Amount |
Yield (1)
|
Amortized cost of debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
545 |
|
0.67 |
% |
|
$ |
802 |
|
2.17 |
% |
|
$ |
1,635 |
|
4.24 |
% |
|
$ |
2 |
|
4.57 |
% |
|
$ |
2,984 |
|
3.03 |
% |
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
3 |
|
5.25 |
|
|
22,073 |
|
3.04 |
|
|
97,949 |
|
3.09 |
|
|
79,036 |
|
2.87 |
|
|
199,061 |
|
3.00 |
|
Agency-collateralized mortgage obligations |
125 |
|
0.81 |
|
|
9,068 |
|
1.24 |
|
|
21,946 |
|
3.41 |
|
|
1,040 |
|
2.78 |
|
|
32,179 |
|
2.77 |
|
Non-agency residential |
561 |
|
3.43 |
|
|
4,231 |
|
4.34 |
|
|
2,547 |
|
4.00 |
|
|
474 |
|
5.27 |
|
|
7,813 |
|
4.22 |
|
Commercial |
1,430 |
|
5.10 |
|
|
1,783 |
|
6.40 |
|
|
1,102 |
|
2.51 |
|
|
23 |
|
3.86 |
|
|
4,338 |
|
5.06 |
|
Non-U.S. securities |
17,451 |
|
0.60 |
|
|
2,231 |
|
3.47 |
|
|
149 |
|
3.05 |
|
|
8 |
|
— |
|
|
19,839 |
|
0.94 |
|
Corporate/Agency bonds |
285 |
|
2.75 |
|
|
638 |
|
2.60 |
|
|
180 |
|
4.25 |
|
|
103 |
|
1.09 |
|
|
1,206 |
|
2.73 |
|
Other taxable securities, substantially all asset-backed securities |
2,578 |
|
0.65 |
|
|
5,662 |
|
1.31 |
|
|
2,445 |
|
1.82 |
|
|
783 |
|
0.96 |
|
|
11,468 |
|
1.25 |
|
Total taxable securities |
22,978 |
|
0.99 |
|
|
46,488 |
|
2.74 |
|
|
127,953 |
|
3.15 |
|
|
81,469 |
|
2.86 |
|
|
278,888 |
|
2.82 |
|
Tax-exempt securities |
51 |
|
2.96 |
|
|
1,963 |
|
1.42 |
|
|
1,344 |
|
2.15 |
|
|
1,637 |
|
1.07 |
|
|
4,995 |
|
1.62 |
|
Total amortized cost of debt securities carried at fair value |
$ |
23,029 |
|
0.99 |
|
|
$ |
48,451 |
|
2.69 |
|
|
$ |
129,297 |
|
3.14 |
|
|
$ |
83,106 |
|
2.83 |
|
|
$ |
283,883 |
|
2.80 |
|
Amortized cost of HTM debt securities (2)
|
$ |
6 |
|
5.00 |
|
|
$ |
73 |
|
2.26 |
|
|
$ |
53,778 |
|
2.54 |
|
|
$ |
1,065 |
|
2.57 |
|
|
$ |
54,922 |
|
2.54 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities carried at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
$ |
547 |
|
|
|
$ |
821 |
|
|
|
$ |
1,729 |
|
|
|
$ |
2 |
|
|
|
$ |
3,099 |
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
3 |
|
|
|
22,113 |
|
|
|
96,834 |
|
|
|
76,355 |
|
|
|
195,305 |
|
|
Agency-collateralized mortgage obligations |
124 |
|
|
|
8,997 |
|
|
|
22,846 |
|
|
|
1,040 |
|
|
|
33,007 |
|
|
Non-agency residential |
580 |
|
|
|
4,326 |
|
|
|
2,582 |
|
|
|
538 |
|
|
|
8,026 |
|
|
Commercial |
1,475 |
|
|
|
1,965 |
|
|
|
1,043 |
|
|
|
23 |
|
|
|
4,506 |
|
|
Non-U.S. securities |
17,436 |
|
|
|
2,265 |
|
|
|
155 |
|
|
|
8 |
|
|
|
19,864 |
|
|
Corporate/Agency bonds |
288 |
|
|
|
653 |
|
|
|
189 |
|
|
|
101 |
|
|
|
1,231 |
|
|
Other taxable securities, substantially all asset-backed securities |
2,577 |
|
|
|
5,662 |
|
|
|
2,459 |
|
|
|
784 |
|
|
|
11,482 |
|
|
Total taxable securities |
23,030 |
|
|
|
46,802 |
|
|
|
127,837 |
|
|
|
78,851 |
|
|
|
276,520 |
|
|
Tax-exempt securities |
51 |
|
|
|
1,959 |
|
|
|
1,330 |
|
|
|
1,621 |
|
|
|
4,961 |
|
|
Total debt securities carried at fair value |
$ |
23,081 |
|
|
|
$ |
48,761 |
|
|
|
$ |
129,167 |
|
|
|
$ |
80,472 |
|
|
|
$ |
281,481 |
|
|
Fair value of HTM debt securities (2)
|
$ |
6 |
|
|
|
$ |
73 |
|
|
|
$ |
51,759 |
|
|
|
$ |
1,018 |
|
|
|
$ |
52,856 |
|
|
|
|
(1) |
Average yield is computed using the effective yield of each security at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and excludes the effect of related hedging derivatives. |
|
|
(2) |
Substantially all U.S. agency MBS. |
The gross realized gains and losses on sales of AFS debt securities for the three and six months ended June 30, 2013 and 2012 are presented in the table below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains and Losses on Sales of AFS Debt Securities |
|
|
|
|
|
Three Months Ended June 30 |
|
Six Months Ended June 30 |
(Dollars in millions) |
2013 |
|
2012 |
|
2013 |
|
2012 |
Gross gains |
$ |
474 |
|
|
$ |
423 |
|
|
$ |
543 |
|
|
$ |
1,596 |
|
Gross losses |
(17 |
) |
|
(23 |
) |
|
(18 |
) |
|
(444 |
) |
Net gains on sales of AFS debt securities |
$ |
457 |
|
|
$ |
400 |
|
|
$ |
525 |
|
|
$ |
1,152 |
|
Income tax expense attributable to realized net gains on sales of AFS debt securities |
$ |
169 |
|
|
$ |
148 |
|
|
$ |
194 |
|
|
$ |
426 |
|
|
|
Certain Corporate and Strategic Investments |
At June 30, 2013 and December 31, 2012, the Corporation owned 2.0 billion shares representing approximately one percent of China Construction Bank Corporation (CCB). Sales restrictions on these shares continue until August 2013. Because the sales restrictions on these shares will expire within one year, these securities are classified as AFS marketable equity securities and carried at fair value with the after-tax unrealized gain included in accumulated OCI. The fair value of the investment at June 30, 2013 and December 31, 2012 was $1.3 billion and $1.4 billion, and the cost basis was $716 million. There is a strategic assistance agreement between the Corporation and CCB, which includes cooperation in specific business areas.
The Corporation's 49 percent investment in a merchant services joint venture had a carrying value of $3.2 billion and $3.3 billion at June 30, 2013 and December 31, 2012. For additional information, see Note 11 – Commitments and Contingencies.
|