|
In millions of dollars |
|
Amortized |
|
Net unrealized |
|
Carrying |
|
Gross |
|
Gross |
|
Fair |
| ||||||
|
December 31, 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Debt securities held-to-maturity |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Mortgage-backed securities(3) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Prime |
|
$ |
72 |
|
$ |
16 |
|
$ |
56 |
|
$ |
5 |
|
$ |
2 |
|
$ |
59 |
|
|
Alt-A |
|
1,379 |
|
287 |
|
1,092 |
|
449 |
|
263 |
|
1,278 |
| ||||||
|
Subprime |
|
2 |
|
— |
|
2 |
|
1 |
|
— |
|
3 |
| ||||||
|
Non-U.S. residential |
|
1,372 |
|
206 |
|
1,166 |
|
60 |
|
20 |
|
1,206 |
| ||||||
|
Commercial |
|
10 |
|
— |
|
10 |
|
1 |
|
— |
|
11 |
| ||||||
|
Total mortgage-backed securities |
|
$ |
2,835 |
|
$ |
509 |
|
$ |
2,326 |
|
$ |
516 |
|
$ |
285 |
|
$ |
2,557 |
|
|
State and municipal |
|
$ |
1,394 |
|
$ |
62 |
|
$ |
1,332 |
|
$ |
50 |
|
$ |
70 |
|
$ |
1,312 |
|
|
Foreign government |
|
5,628 |
|
— |
|
5,628 |
|
70 |
|
10 |
|
5,688 |
| ||||||
|
Corporate |
|
818 |
|
78 |
|
740 |
|
111 |
|
— |
|
851 |
| ||||||
|
Asset-backed securities(3) |
|
599 |
|
26 |
|
573 |
|
22 |
|
10 |
|
585 |
| ||||||
|
Total debt securities held-to-maturity |
|
$ |
11,274 |
|
$ |
675 |
|
$ |
10,599 |
|
$ |
769 |
|
$ |
375 |
|
$ |
10,993 |
|
|
December 31, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Debt securities held-to-maturity |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Mortgage-backed securities(3) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Prime |
|
$ |
258 |
|
$ |
49 |
|
$ |
209 |
|
$ |
30 |
|
$ |
4 |
|
$ |
235 |
|
|
Alt-A |
|
2,969 |
|
837 |
|
2,132 |
|
653 |
|
250 |
|
2,535 |
| ||||||
|
Subprime |
|
201 |
|
43 |
|
158 |
|
13 |
|
21 |
|
150 |
| ||||||
|
Non-U.S. residential |
|
2,488 |
|
401 |
|
2,087 |
|
50 |
|
81 |
|
2,056 |
| ||||||
|
Commercial |
|
123 |
|
— |
|
123 |
|
1 |
|
2 |
|
122 |
| ||||||
|
Total mortgage-backed securities |
|
$ |
6,039 |
|
$ |
1,330 |
|
$ |
4,709 |
|
$ |
747 |
|
$ |
358 |
|
$ |
5,098 |
|
|
State and municipal |
|
$ |
1,278 |
|
$ |
73 |
|
$ |
1,205 |
|
$ |
89 |
|
$ |
37 |
|
$ |
1,257 |
|
|
Foreign government |
|
2,987 |
|
— |
|
2,987 |
|
— |
|
— |
|
2,987 |
| ||||||
|
Corporate |
|
829 |
|
103 |
|
726 |
|
73 |
|
— |
|
799 |
| ||||||
|
Asset-backed securities(3) |
|
529 |
|
26 |
|
503 |
|
8 |
|
8 |
|
503 |
| ||||||
|
Total debt securities held-to-maturity |
|
$ |
11,662 |
|
$ |
1,532 |
|
$ |
10,130 |
|
$ |
917 |
|
$ |
403 |
|
$ |
10,644 |
|
(1) For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of a purchase discount or premium, less any impairment recognized in earnings.
(2) HTM securities are carried on the Consolidated Balance Sheet at amortized cost, plus or minus any unamortized unrealized gains and losses recognized in AOCI prior to reclassifying the securities from AFS to HTM. The changes in the values of these securities are not reported in the financial statements, except for other-than-temporary impairments. For HTM securities, only the credit loss component of the impairment is recognized in earnings, while the remainder of the impairment is recognized in AOCI.
(3) The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 22 to the Consolidated Financial Statements.