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SECURITIES AND EXCHANGE COMMISSION
EXCHANGE ACT OF 1934
For the Quarterly Period Ended June 30, 2011
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
Bank of America Corporation
Delaware
56-0906609
Bank of America Corporate Center
100 N. Tryon Street
Charlotte, North Carolina 28255
(704) 386-5681
Large accelerated filerü | Accelerated filer | Non-accelerated filer (do not check if a smaller reporting company) | Smaller reporting company |
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June 30, 2011 Form 10-Q
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Part II. Other Information | 219 | |||||||||
Item 1. | 219 | |||||||||
Item 1A. | 219 | |||||||||
Item 2. | 223 | |||||||||
Item 5(a). | 223 | |||||||||
Item 6. | 224 | |||||||||
Signature | 225 | |||||||||
Index to Exhibits | 226 | |||||||||
EX-4.A | ||||||||||
EX-10.A | ||||||||||
EX-12 | ||||||||||
EX-31.A | ||||||||||
EX-31.B | ||||||||||
EX-32.A | ||||||||||
EX-32.B | ||||||||||
EX-101 INSTANCE DOCUMENT | ||||||||||
EX-101 SCHEMA DOCUMENT | ||||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
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Table 1 | ||||||||||||||||
Selected Financial Data | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except per share information) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Income statement | ||||||||||||||||
Revenue, net of interest expense (FTE basis)(1) | $ | 13,483 | $ | 29,450 | $ | 40,578 | $ | 61,740 | ||||||||
Net income (loss) | (8,826 | ) | 3,123 | (6,777 | ) | 6,305 | ||||||||||
Net income (loss), excluding goodwill impairment charge(2) | (6,223 | ) | 3,123 | (4,174 | ) | 6,305 | ||||||||||
Diluted earnings (loss) per common share | (0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
Diluted earnings (loss) per common share, excluding goodwill impairment charge(2) | (0.65 | ) | 0.27 | (0.48 | ) | 0.55 | ||||||||||
Dividends paid per common share | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | 0.02 | ||||||||
Performance ratios | ||||||||||||||||
Return on average assets | n/m | 0.50 | % | n/m | 0.51 | % | ||||||||||
Return on average assets, excluding goodwill impairment charge(2) | n/m | 0.50 | n/m | 0.51 | ||||||||||||
Return on average tangible shareholders’ equity(1) | n/m | 8.98 | n/m | 9.26 | ||||||||||||
Return on average tangible shareholders’ equity, excluding goodwill impairment charge(1, 2) | n/m | 8.98 | n/m | 9.26 | ||||||||||||
Efficiency ratio (FTE basis)(1) | n/m | 58.58 | n/m | 56.73 | ||||||||||||
Efficiency ratio (FTE basis), excluding goodwill impairment charge(1, 2) | n/m | 58.58 | n/m | 56.73 | ||||||||||||
Asset quality | ||||||||||||||||
Allowance for loan and lease losses at period end | $ | 37,312 | $ | 45,255 | ||||||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at period end(3) | 4.00 | % | 4.75 | % | ||||||||||||
Nonperforming loans, leases and foreclosed properties at period end(3) | $ | 30,058 | $ | 35,598 | ||||||||||||
Net charge-offs | $ | 5,665 | $ | 9,557 | 11,693 | 20,354 | ||||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding(3) | 2.44 | % | 3.98 | % | 2.53 | % | 4.21 | % | ||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding excluding purchased credit-impaired loans(3) | 2.54 | 4.11 | 2.63 | 4.36 | ||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs(3) | 1.64 | 1.18 | 1.58 | 1.10 | ||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs excluding purchased credit-impaired loans(3) | 1.28 | 1.05 | 1.23 | 0.98 | ||||||||||||
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Balance sheet | ||||||||
Total loans and leases | $ | 941,257 | $ | 940,440 | ||||
Total assets | 2,261,319 | 2,264,909 | ||||||
Total deposits | 1,038,408 | 1,010,430 | ||||||
Total common shareholders’ equity | 205,614 | 211,686 | ||||||
Total shareholders’ equity | 222,176 | 228,248 | ||||||
Capital ratios | ||||||||
Tier 1 common equity | 8.23 | % | 8.60 | % | ||||
Tier 1 capital | 11.00 | 11.24 | ||||||
Total capital | 15.65 | 15.77 | ||||||
Tier 1 leverage | 6.86 | 7.21 | ||||||
(1) | FTE basis, return on average tangible shareholders’ equity and the efficiency ratio are non-GAAP measures. Other companies may define or calculate these measures differently. For additional information on these measures and ratios, and for a corresponding reconciliation to GAAP financial measures, see Supplemental Financial Data on page 19. | |
(2) | Net income (loss), diluted earnings (loss) per common share, return on average assets, return on average tangible shareholders’ equity and the efficiency ratio have been calculated excluding the impact of the goodwill impairment charge of $2.6 billion in the second quarter of 2011 and accordingly, these are non-GAAP measures. For additional information on these measures and ratios, and for a corresponding reconciliation to GAAP financial measures, see Supplemental Financial Data on page 19. | |
(3) | Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions on nonperforming loans, leases and foreclosed properties, see Nonperforming Consumer Loans and Foreclosed Properties Activity on page 90 and corresponding Table 42, and Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity on page 98 and corresponding Table 51. | |
n/m | = not meaningful |
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Table 2 | ||||||||||||||||
Summary Income Statement | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Net interest income (1) | $ | 11,493 | $ | 13,197 | $ | 23,890 | $ | 27,267 | ||||||||
Noninterest income | 1,990 | 16,253 | 16,688 | 34,473 | ||||||||||||
Total revenue, net of interest expense(1) | 13,483 | 29,450 | 40,578 | 61,740 | ||||||||||||
Provision for credit losses | 3,255 | 8,105 | 7,069 | 17,910 | ||||||||||||
Goodwill impairment | 2,603 | - | 2,603 | - | ||||||||||||
All other noninterest expense | 20,253 | 17,253 | 40,536 | 35,028 | ||||||||||||
Income (loss) before income taxes | (12,628 | ) | 4,092 | (9,630 | ) | 8,802 | ||||||||||
Income tax expense (benefit)(1) | (3,802 | ) | 969 | (2,853 | ) | 2,497 | ||||||||||
Net income (loss) | (8,826 | ) | 3,123 | (6,777 | ) | 6,305 | ||||||||||
Preferred stock dividends | 301 | 340 | 611 | 688 | ||||||||||||
Net income (loss) applicable to common shareholders | $ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
Per common share information | ||||||||||||||||
Earnings (loss) | $ | (0.90 | ) | $ | 0.28 | $ | (0.73 | ) | $ | 0.56 | ||||||
Diluted earnings (loss) | (0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
(1) | FTE basis is a non-GAAP measure. Other companies may define or calculate this measure differently. For additional information on this measure and for a corresponding reconciliation to GAAP financial measures, see Supplemental Financial Data on page 19. |
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Table 3 | ||||||||||||||||||||||||||||||||
Business Segment Results | ||||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||||
Total Revenue(1) | Net Income (Loss) | Total Revenue(1) | Net Income (Loss) | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Deposits | $ | 3,301 | $ | 3,695 | $ | 430 | $ | 674 | $ | 6,490 | $ | 7,413 | $ | 785 | $ | 1,372 | ||||||||||||||||
Global Card Services | 5,536 | 6,948 | 2,035 | 826 | 11,223 | 13,838 | 3,770 | 1,794 | ||||||||||||||||||||||||
Consumer Real Estate Services | (11,315 | ) | 2,704 | (14,520 | ) | (1,542 | ) | (9,252 | ) | 6,237 | (16,935 | ) | (3,619 | ) | ||||||||||||||||||
Global Commercial Banking | 2,810 | 2,883 | 1,381 | 815 | 5,461 | 5,975 | 2,304 | 1,520 | ||||||||||||||||||||||||
Global Banking & Markets | 6,796 | 5,904 | 1,558 | 898 | 14,682 | 15,597 | 3,692 | 4,137 | ||||||||||||||||||||||||
Global Wealth & Investment Management | 4,490 | 4,189 | 506 | 329 | 8,982 | 8,230 | 1,039 | 768 | ||||||||||||||||||||||||
All Other | 1,865 | 3,127 | (216 | ) | 1,123 | 2,992 | 4,450 | (1,432 | ) | 333 | ||||||||||||||||||||||
Total FTE basis | 13,483 | 29,450 | (8,826 | ) | 3,123 | 40,578 | 61,740 | (6,777 | ) | 6,305 | ||||||||||||||||||||||
FTE adjustment | (247 | ) | (297 | ) | - | - | (465 | ) | (618 | ) | - | - | ||||||||||||||||||||
Total Consolidated | $ | 13,236 | $ | 29,153 | $ | (8,826 | ) | $ | 3,123 | $ | 40,113 | $ | 61,122 | $ | (6,777 | ) | $ | 6,305 | ||||||||||||||
(1) | Total revenue is net of interest expense and is on a FTE basis which is a non-GAAP measure. For more information on this measure and for a corresponding reconciliation to a GAAP financial measure, see Supplemental Financial Data on page 19. |
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Table 4 | ||||||||||||||||
Noninterest Income | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Card income | $ | 1,967 | $ | 2,023 | $ | 3,795 | $ | 3,999 | ||||||||
Service charges | 2,012 | 2,576 | 4,044 | 5,142 | ||||||||||||
Investment and brokerage services | 3,009 | 2,994 | 6,110 | 6,019 | ||||||||||||
Investment banking income | 1,684 | 1,319 | 3,262 | 2,559 | ||||||||||||
Equity investment income | 1,212 | 2,766 | 2,687 | 3,391 | ||||||||||||
Trading account profits | 2,091 | 1,227 | 4,813 | 6,463 | ||||||||||||
Mortgage banking income (loss) | (13,196 | ) | 898 | (12,566 | ) | 2,398 | ||||||||||
Insurance income | 400 | 678 | 1,013 | 1,393 | ||||||||||||
Gains on sales of debt securities | 899 | 37 | 1,445 | 771 | ||||||||||||
Other income | 1,957 | 1,861 | 2,218 | 3,065 | ||||||||||||
Net impairment losses recognized in earnings on AFS debt securities | (45 | ) | (126 | ) | (133 | ) | (727 | ) | ||||||||
Total noninterest income | $ | 1,990 | $ | 16,253 | $ | 16,688 | $ | 34,473 | ||||||||
• | Service charges decreased $564 million and $1.1 billion for the three and six months ended June 30, 2011 largely due to the impact of overdraft policy changes in conjunction with Regulation E, which became effective in the third quarter of 2010. | ||
• | Investment banking income increased $365 million and $703 million for the three and six months ended June 30, 2011 reflecting strong performance in advisory services and debt and equity issuances. | ||
• | Equity investment income decreased $1.6 billion and $704 million for the three and six months ended June 30, 2011. The three months ended June 30, 2011 included an $837 million China Construction Bank (CCB) dividend, a $377 million pre-tax gain on the sale of our investment in BlackRock, Inc. (BlackRock) and a $500 million impairment write-down on our merchant services joint venture. The three months ended June 30, 2010 included net gains of $751 million on sales of certain strategic investments and a $535 million dividend on CCB. The six months ended June 30, 2011 included a $1.1 billion pre-tax gain related to an initial public offering (IPO) of an equity investment which occurred in the first quarter of 2011. |
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• | Trading account profits increased $864 million for the three months ended June 30, 2011 and decreased $1.7 billion for the six-month period. The six-month decline reflects a less favorable trading environment in the first quarter compared to record results in the first quarter of 2010. | ||
• | Mortgage banking income decreased $14.1 billion and $15.0 billion for the three and six months ended June 30, 2011 due to a $12.8 billion and $13.3 billion increase in the representations and warranties provision and less favorable mortgage servicing rights (MSR) results, net of hedges, of $885 million and $1.1 billion as a result of higher servicing costs. | ||
• | Other income increased $96 million and decreased $847 million for the three and six months ended June 30, 2011. For the six months ended June 30, 2011, the decrease was primarily due to negative fair value adjustments on structured liabilities of $372 million compared to positive adjustments of $1.4 billion for the same period in 2010, partially offset by the gain of $771 million on the sale of the lender-placed insurance business of Balboa in the three months ended June 30, 2011. |
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Table 5 | ||||||||||||||||
Noninterest Expense | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Personnel | $ | 9,171 | $ | 8,789 | $ | 19,339 | $ | 17,947 | ||||||||
Occupancy | 1,245 | 1,182 | 2,434 | 2,354 | ||||||||||||
Equipment | 593 | 613 | 1,199 | 1,226 | ||||||||||||
Marketing | 560 | 495 | 1,124 | 982 | ||||||||||||
Professional fees | 766 | 644 | 1,412 | 1,161 | ||||||||||||
Amortization of intangibles | 382 | 439 | 767 | 885 | ||||||||||||
Data processing | 643 | 632 | 1,338 | 1,280 | ||||||||||||
Telecommunications | 391 | 359 | 762 | 689 | ||||||||||||
Other general operating | 6,343 | 3,592 | 11,800 | 7,475 | ||||||||||||
Goodwill impairment | 2,603 | - | 2,603 | - | ||||||||||||
Merger and restructuring charges | 159 | 508 | 361 | 1,029 | ||||||||||||
Total noninterest expense | $ | 22,856 | $ | 17,253 | $ | 43,139 | $ | 35,028 | ||||||||
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Table 6 | ||||||||||||||||||||||||
Selected Balance Sheet Data | ||||||||||||||||||||||||
Average Balance | ||||||||||||||||||||||||
June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 235,181 | $ | 209,616 | $ | 259,069 | $ | 263,564 | $ | 243,311 | $ | 264,810 | ||||||||||||
Trading account assets(1) | 196,939 | 194,671 | 186,760 | 213,927 | 203,806 | 214,233 | ||||||||||||||||||
Debt securities | 331,052 | 338,054 | 335,269 | 314,299 | 335,556 | 312,727 | ||||||||||||||||||
Loans and leases | 941,257 | 940,440 | 938,513 | 967,054 | 938,738 | 979,267 | ||||||||||||||||||
Allowance for loan and lease losses | (37,312 | ) | (41,885 | ) | (38,755 | ) | (46,740 | ) | (39,752 | ) | (47,413 | ) | ||||||||||||
All other assets(1) | 594,202 | 624,013 | 658,254 | 782,328 | 657,167 | 781,835 | ||||||||||||||||||
Total assets | $ | 2,261,319 | $ | 2,264,909 | $ | 2,339,110 | $ | 2,494,432 | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Deposits | $ | 1,038,408 | $ | 1,010,430 | $ | 1,035,944 | $ | 991,615 | $ | 1,029,578 | $ | 986,344 | ||||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | 239,521 | 245,359 | 276,673 | 383,558 | 291,461 | 399,729 | ||||||||||||||||||
Trading account liabilities | 74,989 | 71,985 | 96,108 | 100,021 | 90,044 | 95,105 | ||||||||||||||||||
Commercial paper and other short-term borrowings | 50,632 | 59,962 | 62,019 | 70,493 | 63,581 | 81,313 | ||||||||||||||||||
Long-term debt | 426,659 | 448,431 | 435,144 | 497,469 | 437,812 | 505,507 | ||||||||||||||||||
All other liabilities | 208,934 | 200,494 | 198,155 | 217,815 | 193,420 | 205,766 | ||||||||||||||||||
Total liabilities | 2,039,143 | 2,036,661 | 2,104,043 | 2,260,971 | 2,105,896 | 2,273,764 | ||||||||||||||||||
Shareholders’ equity | 222,176 | 228,248 | 235,067 | 233,461 | 232,930 | 231,695 | ||||||||||||||||||
Total liabilities and shareholders’ equity | $ | 2,261,319 | $ | 2,264,909 | $ | 2,339,110 | $ | 2,494,432 | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||
(1) | For the three and six months ended June 30, 2011, for average balance and yield calculation purposes, $40.4 billion and $20.3 billion of noninterest-earning equity trading securities were reclassified from trading account assets to all other assets. Prior period amounts are immaterial and have not been restated. |
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Table 7 | ||||||||||||||||||||
Selected Quarterly Financial Data | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(In millions, except per share information) | Second | First | Fourth | Third | Second | |||||||||||||||
Income statement | ||||||||||||||||||||
Net interest income | $ | 11,246 | $ | 12,179 | $ | 12,439 | $ | 12,435 | $ | 12,900 | ||||||||||
Noninterest income | 1,990 | 14,698 | 9,959 | 14,265 | 16,253 | |||||||||||||||
Total revenue, net of interest expense | 13,236 | 26,877 | 22,398 | 26,700 | 29,153 | |||||||||||||||
Provision for credit losses | 3,255 | 3,814 | 5,129 | 5,396 | 8,105 | |||||||||||||||
Goodwill impairment | 2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Merger and restructuring charges | 159 | 202 | 370 | 421 | 508 | |||||||||||||||
All other noninterest expense(1) | 20,094 | 20,081 | 18,494 | 16,395 | 16,745 | |||||||||||||||
Income (loss) before income taxes | (12,875 | ) | 2,780 | (3,595 | ) | (5,912 | ) | 3,795 | ||||||||||||
Income tax expense (benefit) | (4,049 | ) | 731 | (2,351 | ) | 1,387 | 672 | |||||||||||||
Net income (loss) | (8,826 | ) | 2,049 | (1,244 | ) | (7,299 | ) | 3,123 | ||||||||||||
Net income (loss) applicable to common shareholders | (9,127 | ) | 1,739 | (1,565 | ) | (7,647 | ) | 2,783 | ||||||||||||
Average common shares issued and outstanding | 10,095 | 10,076 | 10,037 | 9,976 | 9,957 | |||||||||||||||
Average diluted common shares issued and outstanding | 10,095 | 10,181 | 10,037 | 9,976 | 10,030 | |||||||||||||||
Performance ratios | ||||||||||||||||||||
Return on average assets | n/m | 0.36 | % | n/m | n/m | 0.50 | % | |||||||||||||
Four quarter trailing return on average assets (2) | n/m | n/m | n/m | n/m | 0.20 | |||||||||||||||
Return on average common shareholders’ equity | n/m | 3.29 | n/m | n/m | 5.18 | |||||||||||||||
Return on average tangible common shareholders’ equity (3) | n/m | 5.28 | n/m | n/m | 9.19 | |||||||||||||||
Return on average tangible shareholders’ equity(3) | n/m | 5.54 | n/m | n/m | 8.98 | |||||||||||||||
Total ending equity to total ending assets | 9.83 | % | 10.15 | 10.08 | % | 9.85 | % | 9.85 | ||||||||||||
Total average equity to total average assets | 10.05 | 9.87 | 9.94 | 9.83 | 9.36 | |||||||||||||||
Dividend payout | n/m | 6.06 | n/m | n/m | 3.63 | |||||||||||||||
Per common share data | ||||||||||||||||||||
Earnings (loss) | $ | (0.90 | ) | $ | 0.17 | $ | (0.16 | ) | $ | (0.77 | ) | $ | 0.28 | |||||||
Diluted earnings (loss) | (0.90 | ) | 0.17 | (0.16 | ) | (0.77 | ) | 0.27 | ||||||||||||
Dividends paid | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
Book value | 20.29 | 21.15 | 20.99 | 21.17 | 21.45 | |||||||||||||||
Tangible book value(3) | 12.65 | 13.21 | 12.98 | 12.91 | 12.14 | |||||||||||||||
Market price per share of common stock | ||||||||||||||||||||
Closing | $ | 10.96 | $ | 13.33 | $ | 13.34 | $ | 13.10 | $ | 14.37 | ||||||||||
High closing | 13.72 | 15.25 | 13.56 | 15.67 | 19.48 | |||||||||||||||
Low closing | 10.50 | 13.33 | 10.95 | 12.32 | 14.37 | |||||||||||||||
Market capitalization | $ | 111,060 | $ | 135,057 | $ | 134,536 | $ | 131,442 | $ | 144,174 | ||||||||||
Average balance sheet | ||||||||||||||||||||
Total loans and leases | $ | 938,513 | $ | 938,966 | $ | 940,614 | $ | 934,860 | $ | 967,054 | ||||||||||
Total assets | 2,339,110 | 2,338,538 | 2,370,258 | 2,379,397 | 2,494,432 | |||||||||||||||
Total deposits | 1,035,944 | 1,023,140 | 1,007,738 | 973,846 | 991,615 | |||||||||||||||
Long-term debt | 435,144 | 440,511 | 465,875 | 485,588 | 497,469 | |||||||||||||||
Common shareholders’ equity | 218,505 | 214,206 | 218,728 | 215,911 | 215,468 | |||||||||||||||
Total shareholders’ equity | 235,067 | 230,769 | 235,525 | 233,978 | 233,461 | |||||||||||||||
Asset quality(4) | ||||||||||||||||||||
Allowance for credit losses(5) | $ | 38,209 | $ | 40,804 | $ | 43,073 | $ | 44,875 | $ | 46,668 | ||||||||||
Nonperforming loans, leases and foreclosed properties(6) | 30,058 | 31,643 | 32,664 | 34,556 | 35,598 | |||||||||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding(6) | 4.00 | % | 4.29 | % | 4.47 | % | 4.69 | % | 4.75 | % | ||||||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases(6) | 135 | 135 | 136 | 135 | 137 | |||||||||||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases excluding the PCI loan portfolio(6) | 105 | 108 | 116 | 118 | 121 | |||||||||||||||
Amounts included in allowance that are excluded from nonperforming loans(7) | $ | 19,935 | $ | 22,110 | $ | 22,908 | $ | 23,661 | $ | 24,338 | ||||||||||
Allowance as a percentage of total nonperforming loans and leases excluding the amounts included in the allowance that are excluded from nonperforming loans(7) | 63 | % | 60 | % | 62 | % | 62 | % | 63 | % | ||||||||||
Net charge-offs | $ | 5,665 | $ | 6,028 | $ | 6,783 | $ | 7,197 | $ | 9,557 | ||||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding(6) | 2.44 | % | 2.61 | % | 2.87 | % | 3.07 | % | 3.98 | % | ||||||||||
Nonperforming loans and leases as a percentage of total loans and leases outstanding(6) | 2.96 | 3.19 | 3.27 | 3.47 | 3.48 | |||||||||||||||
Nonperforming loans, leases and foreclosed properties as a percentage of total loans, leases and foreclosed properties(6) | 3.22 | 3.40 | 3.48 | 3.71 | 3.73 | |||||||||||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs | 1.64 | 1.63 | 1.56 | 1.53 | 1.18 | |||||||||||||||
Capital ratios (period end) | ||||||||||||||||||||
Risk-based capital: | ||||||||||||||||||||
Tier 1 common | 8.23 | % | 8.64 | % | 8.60 | % | 8.45 | % | 8.01 | % | ||||||||||
Tier 1 | 11.00 | 11.32 | 11.24 | 11.16 | 10.67 | |||||||||||||||
Total | 15.65 | 15.98 | 15.77 | 15.65 | 14.77 | |||||||||||||||
Tier 1 leverage | 6.86 | 7.25 | 7.21 | 7.21 | 6.68 | |||||||||||||||
Tangible equity(3) | 6.63 | 6.85 | 6.75 | 6.54 | 6.14 | |||||||||||||||
Tangible common equity(3) | 5.87 | 6.10 | 5.99 | 5.74 | 5.35 | |||||||||||||||
(1) | Excludes merger and restructuring charges and goodwill impairment charges. | |
(2) | Calculated as total net income for four consecutive quarters divided by average assets for the period. | |
(3) | Tangible equity ratios and tangible book value per share of common stock are non-GAAP measures. Other companies may define or calculate these measures differently. For additional information on these ratios and corresponding reconciliations to GAAP financial measures, see Supplemental Financial Data on page 19 and Table 9 on pages 20 and 21. | |
(4) | For more information on the impact of the PCI loan portfolio on asset quality, see Consumer Portfolio Credit Risk Management on page 76 and Commercial Portfolio Credit Risk Management on page 93. | |
(5) | Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments. | |
(6) | Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions from nonperforming loans, leases and foreclosed properties, see Nonperforming Consumer Loans and Foreclosed Properties Activity on page 90 and corresponding Table 42, and Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity on page 98 and corresponding Table 51. | |
(7) | Amounts included in allowance that are excluded from nonperforming loans primarily includes amounts allocated to Global Card Services portfolio and purchased credit-impaired loans. | |
n/m = not meaningful |
17
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Table 8 | ||||||||
Selected Year-to-Date Financial Data | ||||||||
Six Months Ended June 30 | ||||||||
(In millions, except per share information) | 2011 | 2010 | ||||||
Income statement | ||||||||
Net interest income | $ | 23,425 | $ | 26,649 | ||||
Noninterest income | 16,688 | 34,473 | ||||||
Total revenue, net of interest expense | 40,113 | 61,122 | ||||||
Provision for credit losses | 7,069 | 17,910 | ||||||
Goodwill impairment | 2,603 | - | ||||||
Merger and restructuring charges | 361 | 1,029 | ||||||
All other noninterest expense(1) | 40,175 | 33,999 | ||||||
Income (loss) before income taxes | (10,095 | ) | 8,184 | |||||
Income tax expense (benefit) | (3,318 | ) | 1,879 | |||||
Net income (loss) | (6,777 | ) | 6,305 | |||||
Net income (loss) available to common shareholders | (7,388 | ) | 5,617 | |||||
Average common shares issued and outstanding | 10,085 | 9,570 | ||||||
Average diluted common shares issued and outstanding | 10,085 | 10,021 | ||||||
Performance ratios | ||||||||
Return on average assets | n/m | 0.51 | % | |||||
Return on average common shareholders’ equity | n/m | 5.45 | ||||||
Return on average tangible common shareholders’ equity(2) | n/m | 9.48 | ||||||
Return on average tangible shareholders’ equity(2) | n/m | 9.26 | ||||||
Total ending equity to total ending assets | 9.83 | % | 9.85 | |||||
Total average equity to total average assets | 9.96 | 9.25 | ||||||
Dividend payout | n/m | 3.60 | ||||||
Per common share data | ||||||||
Earnings (loss) | $ | (0.73 | ) | $ | 0.56 | |||
Diluted earnings (loss) | (0.73 | ) | 0.55 | |||||
Dividends paid | 0.02 | 0.02 | ||||||
Book value | 20.29 | 21.45 | ||||||
Tangible book value(2) | 12.65 | 12.14 | ||||||
Market price per share of common stock | ||||||||
Closing | $ | 10.96 | $ | 14.37 | ||||
High closing | 15.25 | 19.48 | ||||||
Low closing | 10.50 | 14.37 | ||||||
Market capitalization | $ | 111,060 | $ | 144,174 | ||||
Average balance sheet | ||||||||
Total loans and leases | $ | 938,738 | $ | 979,267 | ||||
Total assets | 2,338,826 | 2,505,459 | ||||||
Total deposits | 1,029,578 | 986,344 | ||||||
Long-term debt | 437,812 | 505,507 | ||||||
Common shareholders’ equity | 216,367 | 207,975 | ||||||
Total shareholders’ equity | 232,930 | 231,695 | ||||||
Asset quality(3) | ||||||||
Allowance for credit losses(4) | $ | 38,209 | $ | 46,668 | ||||
Nonperforming loans, leases and foreclosed properties(5) | 30,058 | 35,598 | ||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding(5) | 4.00 | % | 4.75 | % | ||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases(5) | 135 | 137 | ||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases excluding the PCI loan portfolio(5) | 105 | 121 | ||||||
Amounts included in allowance that are excluded from nonperforming loans(6) | 19,935 | 24,338 | ||||||
Allowance as a percentage of total nonperforming loans and leases excluding the amounts included in the allowance that are excluded from nonperforming loans(6) | 63 | % | 63 | % | ||||
Net charge-offs | $ | 11,693 | $ | 20,354 | ||||
Annualized net charge-offs as a percentage of average loans and leases outstanding(5) | 2.53 | % | 4.21 | % | ||||
Nonperforming loans and leases as a percentage of total loans and leases outstanding(5) | 2.96 | 3.48 | ||||||
Nonperforming loans, leases and foreclosed properties as a percentage of total loans, leases and foreclosed properties (5) | 3.22 | 3.73 | ||||||
Ratio of the allowance for loan and lease losses at period end to annualized net charge-offs | 1.58 | 1.10 | ||||||
(1) | Excludes merger and restructuring charges and goodwill impairment charge. | |
(2) | Tangible equity ratios and tangible book value per share of common stock are non-GAAP measures. Other companies may define or calculate these measures differently. For additional information on these ratios and corresponding reconciliations to GAAP financial measures, see Supplemental Financial Data on page 19 and Table 10 on page 22. | |
(3) | For more information on the impact of the PCI loan portfolio on asset quality, see Consumer Portfolio Credit Risk Management on page 76 and Commercial Portfolio Credit Risk Management on page 93. | |
(4) | Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments. | |
(5) | Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions on nonperforming loans, leases and foreclosed properties, see Nonperforming Consumer Loans and Foreclosed Properties Activity on page 90 and corresponding Table 42 and Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity on page 98 and corresponding Table 51. | |
(6) | Amounts included in allowance that are excluded from nonperforming loans primarily includes amounts allocated to Global Card Services portfolio and purchased credit-impaired loans. | |
n/m = not meaningful |
18
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19
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Table 9 | ||||||||||||||||||||
Quarterly Supplemental Financial Data and Reconciliations to GAAP Financial Measures | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(Dollars in millions, except per share information) | Second | First | Fourth | Third | Second | |||||||||||||||
Fully taxable-equivalent basis data | ||||||||||||||||||||
Net interest income | $ | 11,493 | $ | 12,397 | $ | 12,709 | $ | 12,717 | $ | 13,197 | ||||||||||
Total revenue, net of interest expense | 13,483 | 27,095 | 22,668 | 26,982 | 29,450 | |||||||||||||||
Net interest yield | 2.50 | % | 2.67 | % | 2.69 | % | 2.72 | % | 2.77 | % | ||||||||||
Efficiency ratio | n/m | 74.86 | 92.04 | 100.87 | 58.58 | |||||||||||||||
Performance ratios, excluding goodwill impairment charges(1) | ||||||||||||||||||||
Per common share information | ||||||||||||||||||||
Earnings (loss) | $ | (0.65 | ) | $ | 0.04 | $ | 0.27 | |||||||||||||
Diluted earnings (loss) | (0.65 | ) | 0.04 | 0.27 | ||||||||||||||||
Efficiency ratio | n/m | 83.22 | % | 62.33 | % | |||||||||||||||
Return on average assets | n/m | 0.13 | 0.52 | |||||||||||||||||
Four quarter trailing return on average assets (2) | n/m | 0.43 | 0.39 | |||||||||||||||||
Return on average common shareholders’ equity | n/m | 0.79 | 5.06 | |||||||||||||||||
Return on average tangible common shareholders’ equity | n/m | 1.27 | 8.67 | |||||||||||||||||
Return on average tangible shareholders’ equity | n/m | 1.96 | 8.54 | |||||||||||||||||
(1) | Performance ratios have been calculated excluding the impact of the goodwill impairment charges of $2.6 billion recorded during the second quarter of 2011, and $2.0 billion and $10.4 billion recorded during the fourth and third quarters of 2010, respectively. | |
(2) | Calculated as total net income for four consecutive quarters divided by average assets for the period. | |
n/m = not meaningful |
20
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Table 9 | ||||||||||||||||||||
Quarterly Supplemental Financial Data and Reconciliations to GAAP Financial Measures (continued) | ||||||||||||||||||||
2011 Quarters | 2010 Quarters | |||||||||||||||||||
(Dollars in millions) | Second | First | Fourth | Third | Second | |||||||||||||||
Reconciliation of net interest income to net interest income on a fully taxable-equivalent basis | ||||||||||||||||||||
Net interest income | $ | 11,246 | $ | 12,179 | $ | 12,439 | $ | 12,435 | $ | 12,900 | ||||||||||
FTE adjustment | 247 | 218 | 270 | 282 | 297 | |||||||||||||||
Net interest income on a fully taxable-equivalent basis | $ | 11,493 | $ | 12,397 | $ | 12,709 | $ | 12,717 | $ | 13,197 | ||||||||||
Reconciliation of total revenue, net of interest expense to total revenue, net of interest expense on a fully taxable-equivalent basis | ||||||||||||||||||||
Total revenue, net of interest expense | $ | 13,236 | $ | 26,877 | $ | 22,398 | $ | 26,700 | $ | 29,153 | ||||||||||
FTE adjustment | 247 | 218 | 270 | 282 | 297 | |||||||||||||||
Total revenue, net of interest expense on a fully taxable-equivalent basis | $ | 13,483 | $ | 27,095 | $ | 22,668 | $ | 26,982 | $ | 29,450 | ||||||||||
Reconciliation of total noninterest expense to total noninterest expense, excluding goodwill impairment charges | ||||||||||||||||||||
Total noninterest expense | $ | 22,856 | $ | 20,283 | $ | 20,864 | $ | 27,216 | $ | 17,253 | ||||||||||
Goodwill impairment charges | (2,603 | ) | - | (2,000 | ) | (10,400 | ) | - | ||||||||||||
Total noninterest expense, excluding goodwill impairment charges | $ | 20,253 | $ | 20,283 | $ | 18,864 | $ | 16,816 | $ | 17,253 | ||||||||||
Reconciliation of income tax expense (benefit) to income tax expense (benefit) on a fully taxable-equivalent basis | ||||||||||||||||||||
Income tax expense (benefit) | $ | (4,049 | ) | $ | 731 | $ | (2,351 | ) | $ | 1,387 | $ | 672 | ||||||||
FTE adjustment | 247 | 218 | 270 | 282 | 297 | |||||||||||||||
Income tax expense (benefit) on a fully taxable-equivalent basis | $ | (3,802 | ) | $ | 949 | $ | (2,081 | ) | $ | 1,669 | $ | 969 | ||||||||
Reconciliation of net income (loss) to net income (loss), excluding goodwill impairment charges | ||||||||||||||||||||
Net income (loss) | $ | (8,826 | ) | $ | 2,049 | $ | (1,244 | ) | $ | (7,299 | ) | $ | 3,123 | |||||||
Goodwill impairment charges | 2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Net income (loss), excluding goodwill impairment charges | $ | (6,223 | ) | $ | 2,049 | $ | 756 | $ | 3,101 | $ | 3,123 | |||||||||
Reconciliation of net income (loss) applicable to common shareholders to net income (loss) applicable to common shareholders, excluding goodwill impairment charges | ||||||||||||||||||||
Net income (loss) applicable to common shareholders | $ | (9,127 | ) | $ | 1,739 | $ | (1,565 | ) | $ | (7,647 | ) | $ | 2,783 | |||||||
Goodwill impairment charges | 2,603 | - | 2,000 | 10,400 | - | |||||||||||||||
Net income (loss) applicable to common shareholders, excluding goodwill impairment charges | $ | (6,524 | ) | $ | 1,739 | $ | 435 | $ | 2,753 | $ | 2,783 | |||||||||
Reconciliation of average common shareholders’ equity to average tangible common shareholders’ equity | ||||||||||||||||||||
Common shareholders’ equity | $ | 218,505 | $ | 214,206 | $ | 218,728 | $ | 215,911 | $ | 215,468 | ||||||||||
Goodwill | (73,748 | ) | (73,922 | ) | (75,584 | ) | (82,484 | ) | (86,099 | ) | ||||||||||
Intangible assets (excluding MSRs) | (9,394 | ) | (9,769 | ) | (10,211 | ) | (10,629 | ) | (11,216 | ) | ||||||||||
Related deferred tax liabilities | 2,932 | 3,035 | 3,121 | 3,214 | 3,395 | |||||||||||||||
Tangible common shareholders’ equity | $ | 138,295 | $ | 133,550 | $ | 136,054 | $ | 126,012 | $ | 121,548 | ||||||||||
Reconciliation of average shareholders’ equity to average tangible shareholders’ equity | ||||||||||||||||||||
Shareholders’ equity | $ | 235,067 | $ | 230,769 | $ | 235,525 | $ | 233,978 | $ | 233,461 | ||||||||||
Goodwill | (73,748 | ) | (73,922 | ) | (75,584 | ) | (82,484 | ) | (86,099 | ) | ||||||||||
Intangible assets (excluding MSRs) | (9,394 | ) | (9,769 | ) | (10,211 | ) | (10,629 | ) | (11,216 | ) | ||||||||||
Related deferred tax liabilities | 2,932 | 3,035 | 3,121 | 3,214 | 3,395 | |||||||||||||||
Tangible shareholders’ equity | $ | 154,857 | $ | 150,113 | $ | 152,851 | $ | 144,079 | $ | 139,541 | ||||||||||
Reconciliation of period end common shareholders’ equity to period end tangible common shareholders’ equity | ||||||||||||||||||||
Common shareholders’ equity | $ | 205,614 | $ | 214,314 | $ | 211,686 | $ | 212,391 | $ | 215,181 | ||||||||||
Goodwill | (71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs) | (9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities | 2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible common shareholders’ equity | $ | 128,217 | $ | 133,818 | $ | 130,938 | $ | 129,510 | $ | 121,799 | ||||||||||
Reconciliation of period end shareholders’ equity to period end tangible shareholders’ equity | ||||||||||||||||||||
Shareholders’ equity | $ | 222,176 | $ | 230,876 | $ | 228,248 | $ | 230,495 | $ | 233,174 | ||||||||||
Goodwill | (71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs) | (9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities | 2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible shareholders’ equity | $ | 144,779 | $ | 150,380 | $ | 147,500 | $ | 147,614 | $ | 139,792 | ||||||||||
Reconciliation of period end assets to period end tangible assets | ||||||||||||||||||||
Assets | $ | 2,261,319 | $ | 2,274,532 | $ | 2,264,909 | $ | 2,339,660 | $ | 2,368,384 | ||||||||||
Goodwill | (71,074 | ) | (73,869 | ) | (73,861 | ) | (75,602 | ) | (85,801 | ) | ||||||||||
Intangible assets (excluding MSRs) | (9,176 | ) | (9,560 | ) | (9,923 | ) | (10,402 | ) | (10,796 | ) | ||||||||||
Related deferred tax liabilities | 2,853 | 2,933 | 3,036 | 3,123 | 3,215 | |||||||||||||||
Tangible assets | $ | 2,183,922 | $ | 2,194,036 | $ | 2,184,161 | $ | 2,256,779 | $ | 2,275,002 | ||||||||||
21
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Table 10 | ||||||||
Year-to-Date Supplemental Financial Data and Reconciliations to GAAP Financial Measures | ||||||||
Six Months Ended June 30 | ||||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Fully taxable-equivalent basis data | ||||||||
Net interest income | $ | 23,890 | $ | 27,267 | ||||
Total revenue, net of interest expense | 40,578 | 61,740 | ||||||
Net interest yield | 2.58 | % | 2.85 | % | ||||
Efficiency ratio | n/m | 56.73 | ||||||
Performance ratios, excluding goodwill impairment charge(1) | ||||||||
Per common share information | ||||||||
Loss | $ | (0.48 | ) | |||||
Diluted loss | (0.48 | ) | ||||||
Efficiency ratio | n/m | |||||||
Return on average assets | n/m | |||||||
Return on average common shareholders’ equity | n/m | |||||||
Return on average tangible common shareholders’ equity | n/m | |||||||
Return on average tangible shareholders’ equity | n/m | |||||||
Reconciliation of net interest income to net interest income on a fully taxable-equivalent basis | ||||||||
Net interest income | $ | 23,425 | $ | 26,649 | ||||
FTE adjustment | 465 | 618 | ||||||
Net interest income on a fully taxable-equivalent basis | $ | 23,890 | $ | 27,267 | ||||
Reconciliation of total revenue, net of interest expense to total revenue, net of interest expense on a fully taxable-equivalent basis | ||||||||
Total revenue, net of interest expense | $ | 40,113 | $ | 61,122 | ||||
FTE adjustment | 465 | 618 | ||||||
Total revenue, net of interest expense on a fully taxable-equivalent basis | $ | 40,578 | $ | 61,740 | ||||
Reconciliation of total noninterest expense to total noninterest expense, excluding goodwill impairment charge | ||||||||
Total noninterest expense | $ | 43,139 | $ | 35,028 | ||||
Goodwill impairment charge | (2,603 | ) | - | |||||
Total noninterest expense, excluding goodwill impairment charge | $ | 40,536 | $ | 35,028 | ||||
Reconciliation of income tax expense (benefit) to income tax expense (benefit) on a fully taxable-equivalent basis | ||||||||
Income tax expense (benefit) | $ | (3,318 | ) | $ | 1,879 | |||
FTE adjustment | 465 | 618 | ||||||
Income tax expense (benefit) on a fully taxable-equivalent basis | $ | (2,853 | ) | $ | 2,497 | |||
Reconciliation of net income (loss) to net income (loss), excluding goodwill impairment charge | ||||||||
Net income (loss) | $ | (6,777 | ) | $ | 6,305 | |||
Goodwill impairment charge | 2,603 | - | ||||||
Net income (loss), excluding goodwill impairment charge | $ | (4,174 | ) | $ | 6,305 | |||
Reconciliation of net income (loss) applicable to common shareholders to net income (loss) applicable to common shareholders, excluding goodwill impairment charge | ||||||||
Net income (loss) applicable to common shareholders | $ | (7,388 | ) | $ | 5,617 | |||
Goodwill impairment charge | 2,603 | - | ||||||
Net income (loss) applicable to common shareholders, excluding goodwill impairment charge | $ | (4,785 | ) | $ | 5,617 | |||
Reconciliation of average common shareholders’ equity to average tangible common shareholders’ equity | ||||||||
Common shareholders’ equity | $ | 216,367 | $ | 207,975 | ||||
Common Equivalent Securities | - | 5,848 | ||||||
Goodwill | (73,834 | ) | (86,225 | ) | ||||
Intangible assets (excluding MSRs) | (9,580 | ) | (11,559 | ) | ||||
Related deferred tax liabilities | 2,983 | 3,446 | ||||||
Tangible common shareholders’ equity | $ | 135,936 | $ | 119,485 | ||||
Reconciliation of average shareholders’ equity to average tangible shareholders’ equity | ||||||||
Shareholders’ equity | $ | 232,930 | $ | 231,695 | ||||
Goodwill | (73,834 | ) | (86,225 | ) | ||||
Intangible assets (excluding MSRs) | (9,580 | ) | (11,559 | ) | ||||
Related deferred tax liabilities | 2,983 | 3,446 | ||||||
Tangible shareholders’ equity | $ | 152,499 | $ | 137,357 | ||||
(1) | Performance ratios have been calculated excluding the impact of the goodwill impairment charge of $2.6 billion recorded during the second quarter of 2011. | |
n/m = not meaningful |
22
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Table 11 | ||||||||||||||||
Core Net Interest Income | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Net interest income(1) | ||||||||||||||||
As reported | $ | 11,493 | $ | 13,197 | $ | 23,890 | $ | 27,267 | ||||||||
Impact of market-based net interest income (2) | (914 | ) | (1,049 | ) | (1,965 | ) | (2,235 | ) | ||||||||
Core net interest income | $ | 10,579 | $ | 12,148 | $ | 21,925 | $ | 25,032 | ||||||||
Average earning assets(3) | ||||||||||||||||
As reported | $ | 1,844,525 | $ | 1,910,790 | $ | 1,857,124 | $ | 1,921,864 | ||||||||
Impact of market-based earning assets(2) | (461,775 | ) | (530,785 | ) | (465,617 | ) | (533,180 | ) | ||||||||
Core average earning assets | $ | 1,382,750 | $ | 1,380,005 | $ | 1,391,507 | $ | 1,388,684 | ||||||||
Net interest yield contribution(1, 4) | ||||||||||||||||
As reported(3) | 2.50 | % | 2.77 | % | 2.58 | % | 2.85 | % | ||||||||
Impact of market-based activities(2) | 0.56 | 0.76 | 0.58 | 0.77 | ||||||||||||
Core net interest yield on earning assets | 3.06 | % | 3.53 | % | 3.16 | % | 3.62 | % | ||||||||
(1) | FTE basis | |
(2) | Represents the impact of market-based amounts included inGBAM. | |
(3) | For the three and six months ended June 30, 2011, for average balance and yield calculation purposes, $40.4 billion and $20.3 billion of noninterest-earning equity trading securities were reclassified from trading account assets to other non-earning assets. Prior period amounts are immaterial and have not been restated. | |
(4) | Calculated on an annualized basis. |
23
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Table 12 | ||||||||||||||||||||||||
Quarterly Average Balances and Interest Rates – Fully Taxable-equivalent Basis | ||||||||||||||||||||||||
Second Quarter 2011 | First Quarter 2011 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Earning assets | ||||||||||||||||||||||||
Time deposits placed and other short-term investments(1) | $ | 27,298 | $ | 106 | 1.56 | % | $ | 31,294 | $ | 88 | 1.14 | % | ||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 259,069 | 597 | 0.92 | 227,379 | 517 | 0.92 | ||||||||||||||||||
Trading account assets (2) | 186,760 | 1,576 | 3.38 | 221,041 | 1,669 | 3.05 | ||||||||||||||||||
Debt securities(3) | 335,269 | 2,696 | 3.22 | 335,847 | 2,917 | 3.49 | ||||||||||||||||||
Loans and leases(4): | ||||||||||||||||||||||||
Residential mortgage(5) | 265,420 | 2,763 | 4.16 | 262,049 | 2,881 | 4.40 | ||||||||||||||||||
Home equity | 131,786 | 1,261 | 3.83 | 136,089 | 1,335 | 3.96 | ||||||||||||||||||
Discontinued real estate | 15,997 | 129 | 3.22 | 12,899 | 110 | 3.42 | ||||||||||||||||||
U.S. credit card | 106,164 | 2,718 | 10.27 | 109,941 | 2,837 | 10.47 | ||||||||||||||||||
Non-U.S. credit card | 27,259 | 760 | 11.18 | 27,633 | 779 | 11.43 | ||||||||||||||||||
Direct/Indirect consumer(6) | 89,403 | 945 | 4.24 | 90,097 | 993 | 4.47 | ||||||||||||||||||
Other consumer(7) | 2,745 | 47 | 6.87 | 2,753 | 45 | 6.58 | ||||||||||||||||||
Total consumer | 638,774 | 8,623 | 5.41 | 641,461 | 8,980 | 5.65 | ||||||||||||||||||
U.S. commercial | 190,479 | 1,827 | 3.85 | 191,353 | 1,926 | 4.08 | ||||||||||||||||||
Commercial real estate(8) | 45,762 | 382 | 3.35 | 48,359 | 437 | 3.66 | ||||||||||||||||||
Commercial lease financing | 21,284 | 235 | 4.41 | 21,634 | 322 | 5.95 | ||||||||||||||||||
Non-U.S. commercial | 42,214 | 339 | 3.22 | 36,159 | 299 | 3.35 | ||||||||||||||||||
Total commercial | 299,739 | 2,783 | 3.72 | 297,505 | 2,984 | 4.06 | ||||||||||||||||||
Total loans and leases | 938,513 | 11,406 | 4.87 | 938,966 | 11,964 | 5.14 | ||||||||||||||||||
Other earning assets | 97,616 | 866 | 3.56 | 115,336 | 922 | 3.24 | ||||||||||||||||||
Total earning assets | 1,844,525 | 17,247 | 3.75 | 1,869,863 | 18,077 | 3.92 | ||||||||||||||||||
Cash and cash equivalents(1) | 115,956 | 49 | 138,241 | 63 | ||||||||||||||||||||
Other assets, less allowance for loan and lease losses(2) | 378,629 | 330,434 | ||||||||||||||||||||||
Total assets | $ | 2,339,110 | $ | 2,338,538 | ||||||||||||||||||||
(1) | For this presentation, fees earned on overnight deposits placed with the Federal Reserve are included in the cash and cash equivalents line, consistent with the Corporation’s Consolidated Balance Sheet presentation of these deposits. Net interest income and net interest yield are calculated excluding these fees. | |
(2) | For the second quarter of 2011, $40.4 billion of noninterest-earning equity trading securities were reclassified from trading account assets to other assets. Prior period amounts are immaterial and have not been restated. | |
(3) | Yields on AFS debt securities are calculated based on fair value rather than the cost basis. The use of fair value does not have a material impact on net interest yield. | |
(4) | Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is recognized on a cash basis. PCI loans were recorded at fair value upon acquisition and accrete interest income over the remaining life of the loan. | |
(5) | Includes non-U.S. residential mortgage loans of $94 million and $92 million in the second and first quarters of 2011, and $96 million, $502 million and $506 million in the fourth, third and second quarters of 2010, respectively. | |
(6) | Includes non-U.S. consumer loans of $8.7 billion and $8.2 billion in the second and first quarters of 2011, and $7.9 billion, $7.7 billion and $7.7 billion in the fourth, third and second quarters of 2010, respectively. | |
(7) | Includes consumer finance loans of $1.8 billion and $1.9 billion in the second and first quarters of 2011, and $2.0 billion, $2.0 billion and $2.1 billion in the fourth, third and second quarters of 2010, respectively; other non-U.S. consumer loans of $840 million and $777 million in the second and first quarters of 2011, and $791 million, $788 million and $679 million in the fourth, third and second quarters of 2010, respectively; and consumer overdrafts of $79 million and $76 million in the second and first quarters of 2011, and $34 million, $123 million and $155 million in the fourth, third and second quarters of 2010, respectively. | |
(8) | Includes U.S. commercial real estate loans of $43.4 billion and $45.7 billion in the second and first quarters of 2011, and $49.0 billion, $53.1 billion and $61.6 billion in the fourth, third and second quarters of 2010, respectively; and non-U.S. commercial real estate loans of $2.4 billion and $2.7 billion in the second and first quarters of 2011, and $2.6 billion, $2.5 billion and $2.6 billion in the fourth, third and second quarters of 2010, respectively. |
24
Table of Contents
Quarterly Average Balances and Interest Rates – Fully Taxable-equivalent Basis (continued) | ||||||||||||||||||||||||||||||||||||
Fourth Quarter 2010 | Third Quarter 2010 | Second Quarter 2010 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | Average | Income/ | Yield/ | ||||||||||||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | Balance | Expense | Rate | |||||||||||||||||||||||||||
Earning assets | ||||||||||||||||||||||||||||||||||||
Time deposits placed and other short-term investments(1) | $ | 28,141 | $ | 75 | 1.07 | % | $ | 23,233 | $ | 86 | 1.45 | % | $ | 30,741 | $ | 70 | 0.93 | % | ||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 243,589 | 486 | 0.79 | 254,820 | 441 | 0.69 | 263,564 | 457 | 0.70 | |||||||||||||||||||||||||||
Trading account assets | 216,003 | 1,710 | 3.15 | 210,529 | 1,692 | 3.20 | 213,927 | 1,853 | 3.47 | |||||||||||||||||||||||||||
Debt securities(3) | 341,867 | 3,065 | 3.58 | 328,097 | 2,646 | 3.22 | 314,299 | 2,966 | 3.78 | |||||||||||||||||||||||||||
Loans and leases(4) | ||||||||||||||||||||||||||||||||||||
Residential mortgage(5) | 254,051 | 2,857 | 4.50 | 237,292 | 2,797 | 4.71 | 247,715 | 2,982 | 4.82 | |||||||||||||||||||||||||||
Home equity | 139,772 | 1,410 | 4.01 | 143,083 | 1,457 | 4.05 | 148,219 | 1,537 | 4.15 | |||||||||||||||||||||||||||
Discontinued real estate | 13,297 | 118 | 3.57 | 13,632 | 122 | 3.56 | 13,972 | 134 | 3.84 | |||||||||||||||||||||||||||
U.S. credit card | 112,673 | 3,040 | 10.70 | 115,251 | 3,113 | 10.72 | 118,738 | 3,121 | 10.54 | |||||||||||||||||||||||||||
Non-U.S. credit card | 27,457 | 815 | 11.77 | 27,047 | 875 | 12.84 | 27,706 | 854 | 12.37 | |||||||||||||||||||||||||||
Direct/Indirect consumer(6) | 91,549 | 1,088 | 4.72 | 95,692 | 1,130 | 4.68 | 98,549 | 1,233 | 5.02 | |||||||||||||||||||||||||||
Other consumer(7) | 2,796 | 45 | 6.32 | 2,955 | 47 | 6.35 | 2,958 | 46 | 6.32 | |||||||||||||||||||||||||||
Total consumer | 641,595 | 9,373 | 5.81 | 634,952 | 9,541 | 5.98 | 657,857 | 9,907 | 6.03 | |||||||||||||||||||||||||||
U.S. commercial | 193,608 | 1,894 | 3.88 | 192,306 | 2,040 | 4.21 | 195,144 | 2,005 | 4.12 | |||||||||||||||||||||||||||
Commercial real estate(8) | 51,617 | 432 | 3.32 | 55,660 | 452 | 3.22 | 64,218 | 541 | 3.38 | |||||||||||||||||||||||||||
Commercial lease financing | 21,363 | 250 | 4.69 | 21,402 | 255 | 4.78 | 21,271 | 261 | 4.90 | |||||||||||||||||||||||||||
Non-U.S. commercial | 32,431 | 289 | 3.53 | 30,540 | 282 | 3.67 | 28,564 | 256 | 3.59 | |||||||||||||||||||||||||||
Total commercial | 299,019 | 2,865 | 3.81 | 299,908 | 3,029 | 4.01 | 309,197 | 3,063 | 3.97 | |||||||||||||||||||||||||||
Total loans and leases | 940,614 | 12,238 | 5.18 | 934,860 | 12,570 | 5.35 | 967,054 | 12,970 | 5.38 | |||||||||||||||||||||||||||
Other earning assets | 113,325 | 923 | 3.23 | 112,280 | 949 | 3.36 | 121,205 | 994 | 3.29 | |||||||||||||||||||||||||||
Total earning assets | 1,883,539 | 18,497 | 3.90 | 1,863,819 | 18,384 | 3.93 | 1,910,790 | 19,310 | 4.05 | |||||||||||||||||||||||||||
Cash and cash equivalents(1) | 136,967 | 63 | 155,784 | 107 | 209,686 | 106 | ||||||||||||||||||||||||||||||
Other assets, less allowance for loan and lease losses | 349,752 | 359,794 | 373,956 | |||||||||||||||||||||||||||||||||
Total assets | $ | 2,370,258 | $ | 2,379,397 | $ | 2,494,432 | ||||||||||||||||||||||||||||||
25
Table of Contents
Quarterly Average Balances and Interest Rates – Fully Taxable-equivalent Basis (continued) | ||||||||||||||||||||||||
Second Quarter 2011 | First Quarter 2011 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Interest-bearing liabilities | ||||||||||||||||||||||||
U.S. interest-bearing deposits: | ||||||||||||||||||||||||
Savings | $ | 41,668 | $ | 31 | 0.30 | % | $ | 38,905 | $ | 32 | 0.34 | % | ||||||||||||
NOW and money market deposit accounts | 478,690 | 304 | 0.25 | 475,954 | 316 | 0.27 | ||||||||||||||||||
Consumer CDs and IRAs | 113,728 | 281 | 0.99 | 118,306 | 300 | 1.03 | ||||||||||||||||||
Negotiable CDs, public funds and other time deposits | 13,842 | 42 | 1.22 | 13,995 | 39 | 1.11 | ||||||||||||||||||
Total U.S. interest-bearing deposits | 647,928 | 658 | 0.41 | 647,160 | 687 | 0.43 | ||||||||||||||||||
Non-U.S. interest-bearing deposits: | ||||||||||||||||||||||||
Banks located in non-U.S. countries | 19,234 | 37 | 0.77 | 21,534 | 38 | 0.72 | ||||||||||||||||||
Governments and official institutions | 2,131 | 2 | 0.38 | 2,307 | 2 | 0.35 | ||||||||||||||||||
Time, savings and other | 64,889 | 146 | 0.90 | 60,432 | 112 | 0.76 | ||||||||||||||||||
Total non-U.S. interest-bearing deposits | 86,254 | 185 | 0.86 | 84,273 | 152 | 0.73 | ||||||||||||||||||
Total interest-bearing deposits | 734,182 | 843 | 0.46 | 731,433 | 839 | 0.46 | ||||||||||||||||||
Federal funds purchased, securities loaned or sold under agreements to repurchase and other short-term borrowings | 338,692 | 1,342 | 1.59 | 371,573 | 1,184 | 1.29 | ||||||||||||||||||
Trading account liabilities | 96,108 | 627 | 2.62 | 83,914 | 627 | 3.03 | ||||||||||||||||||
Long-term debt | 435,144 | 2,991 | 2.75 | 440,511 | 3,093 | 2.84 | ||||||||||||||||||
Total interest-bearing liabilities | 1,604,126 | 5,803 | 1.45 | 1,627,431 | 5,743 | 1.43 | ||||||||||||||||||
Noninterest-bearing sources: | ||||||||||||||||||||||||
Noninterest-bearing deposits | 301,762 | 291,707 | ||||||||||||||||||||||
Other liabilities | 198,155 | 188,631 | ||||||||||||||||||||||
Shareholders’ equity | 235,067 | 230,769 | ||||||||||||||||||||||
Total liabilities and shareholders’ equity | $ | 2,339,110 | $ | 2,338,538 | ||||||||||||||||||||
Net interest spread | 2.30 | % | 2.49 | % | ||||||||||||||||||||
Impact of noninterest-bearing sources | 0.19 | 0.17 | ||||||||||||||||||||||
Net interest income/yield on earning assets(1) | $ | 11,444 | 2.49 | % | $ | 12,334 | 2.66 | % | ||||||||||||||||
26
Table of Contents
Quarterly Average Balances and Interest Rates | – Fully Taxable-equivalent Basis (continued) | ||||||||||||||||||||||||||||||||||||
Fourth Quarter 2010 | Third Quarter 2010 | Second Quarter 2010 | |||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||||||||||||
Interest-bearing liabilities | |||||||||||||||||||||||||||||||||||||
U.S. interest-bearing deposits: | |||||||||||||||||||||||||||||||||||||
Savings | $ | 37,145 | $ | 35 | 0.36 | % | $ | 37,008 | $ | 36 | 0.39 | % | $ | 37,290 | $ | 43 | 0.46 | % | |||||||||||||||||||
NOW and money market deposit accounts | 464,531 | 333 | 0.28 | 442,906 | 359 | 0.32 | 442,262 | 372 | 0.34 | ||||||||||||||||||||||||||||
Consumer CDs and IRAs | 124,855 | 338 | 1.07 | 132,687 | 377 | 1.13 | 147,425 | 441 | 1.20 | ||||||||||||||||||||||||||||
Negotiable CDs, public funds and other time deposits | 16,334 | 47 | 1.16 | 17,326 | 57 | 1.30 | 17,355 | 59 | 1.36 | ||||||||||||||||||||||||||||
Total U.S. interest-bearing deposits | 642,865 | 753 | 0.46 | 629,927 | 829 | 0.52 | 644,332 | 915 | 0.57 | ||||||||||||||||||||||||||||
Non-U.S. interest-bearing deposits: | |||||||||||||||||||||||||||||||||||||
Banks located in non-U.S. countries | 16,827 | 38 | 0.91 | 17,431 | 38 | 0.86 | 19,751 | 36 | 0.72 | ||||||||||||||||||||||||||||
Governments and official institutions | 1,560 | 2 | 0.42 | 2,055 | 2 | 0.36 | 4,214 | 3 | 0.28 | ||||||||||||||||||||||||||||
Time, savings and other | 58,746 | 101 | 0.69 | 54,373 | 81 | 0.59 | 52,195 | 77 | 0.60 | ||||||||||||||||||||||||||||
Total non-U.S. interest-bearing deposits | 77,133 | 141 | 0.73 | 73,859 | 121 | 0.65 | 76,160 | 116 | 0.61 | ||||||||||||||||||||||||||||
Total interest-bearing deposits | 719,998 | 894 | 0.49 | 703,786 | 950 | 0.54 | 720,492 | 1,031 | 0.57 | ||||||||||||||||||||||||||||
Federal funds purchased, securities loaned or sold under agreements to repurchase and other short-term borrowings | 369,738 | 1,142 | 1.23 | 391,148 | 848 | 0.86 | 454,051 | 891 | 0.79 | ||||||||||||||||||||||||||||
Trading account liabilities | 81,313 | 561 | 2.74 | 95,265 | 635 | 2.65 | 100,021 | 715 | 2.87 | ||||||||||||||||||||||||||||
Long-term debt | 465,875 | 3,254 | 2.78 | 485,588 | 3,341 | 2.74 | 497,469 | 3,582 | 2.88 | ||||||||||||||||||||||||||||
Total interest-bearing liabilities | 1,636,924 | 5,851 | 1.42 | 1,675,787 | 5,774 | 1.37 | 1,772,033 | 6,219 | 1.41 | ||||||||||||||||||||||||||||
Noninterest-bearing sources: | |||||||||||||||||||||||||||||||||||||
Noninterest-bearing deposits | 287,740 | 270,060 | 271,123 | ||||||||||||||||||||||||||||||||||
Other liabilities | 210,069 | 199,572 | 217,815 | ||||||||||||||||||||||||||||||||||
Shareholders’ equity | 235,525 | 233,978 | 233,461 | ||||||||||||||||||||||||||||||||||
Total liabilities and shareholders’ equity | $ | 2,370,258 | $ | 2,379,397 | $ | 2,494,432 | |||||||||||||||||||||||||||||||
Net interest spread | 2.48 | % | 2.56 | % | 2.64 | % | |||||||||||||||||||||||||||||||
Impact of noninterest-bearing sources | 0.18 | 0.13 | 0.10 | ||||||||||||||||||||||||||||||||||
Net interest income/yield on earning assets(1) | $ | 12,646 | 2.66 | % | $ | 12,610 | 2.69 | % | $ | 13,091 | 2.74 | % | |||||||||||||||||||||||||
27
Table of Contents
Table 13 | ||||||||||||||||||||||||
Year-to-Date Average Balances and Interest Rates – Fully Taxable-equivalent Basis | ||||||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Earning assets | ||||||||||||||||||||||||
Time deposits placed and other short-term investments(1) | $ | 29,285 | $ | 194 | 1.34 | % | $ | 29,179 | $ | 130 | 0.90 | % | ||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 243,311 | 1,114 | 0.92 | 264,810 | 905 | 0.69 | ||||||||||||||||||
Trading account assets(2) | 203,806 | 3,245 | 3.21 | 214,233 | 3,648 | 3.42 | ||||||||||||||||||
Debt securities(3) | 335,556 | 5,613 | 3.35 | 312,727 | 6,139 | 3.93 | ||||||||||||||||||
Loans and leases(4): | ||||||||||||||||||||||||
Residential mortgage (5) | 263,744 | 5,644 | 4.28 | 245,785 | 6,082 | 4.95 | ||||||||||||||||||
Home equity | 133,926 | 2,596 | 3.90 | 150,365 | 3,123 | 4.18 | ||||||||||||||||||
Discontinued real estate | 14,457 | 239 | 3.31 | 14,201 | 287 | 4.05 | ||||||||||||||||||
U.S. Credit card | 108,042 | 5,555 | 10.37 | 122,027 | 6,491 | 10.73 | ||||||||||||||||||
Non-U.S. credit card | 27,445 | 1,539 | 11.31 | 28,783 | 1,760 | 12.33 | ||||||||||||||||||
Direct/Indirect consumer (6) | 89,748 | 1,938 | 4.36 | 99,728 | 2,535 | 5.13 | ||||||||||||||||||
Other consumer(7) | 2,748 | 92 | 6.75 | 2,981 | 94 | 6.34 | ||||||||||||||||||
Total consumer | 640,110 | 17,603 | 5.53 | 663,870 | 20,372 | 6.17 | ||||||||||||||||||
U.S. commercial | 190,914 | 3,753 | 3.96 | 198,882 | 3,975 | 4.03 | ||||||||||||||||||
Commercial real estate(8) | 47,053 | 819 | 3.51 | 66,361 | 1,116 | 3.39 | ||||||||||||||||||
Commercial lease financing | 21,458 | 557 | 5.18 | 21,472 | 565 | 5.26 | ||||||||||||||||||
Non-U.S. commercial | 39,203 | 638 | 3.28 | 28,682 | 520 | 3.65 | ||||||||||||||||||
Total commercial | 298,628 | 5,767 | 3.89 | 315,397 | 6,176 | 3.94 | ||||||||||||||||||
Total loans and leases | 938,738 | 23,370 | 5.01 | 979,267 | 26,548 | 5.45 | ||||||||||||||||||
Other earning assets | 106,428 | 1,788 | 3.39 | 121,648 | 2,047 | 3.39 | ||||||||||||||||||
Total earning assets | 1,857,124 | 35,324 | 3.84 | 1,921,864 | 39,417 | 4.14 | ||||||||||||||||||
Cash and cash equivalents(1) | 127,037 | 112 | 203,334 | 198 | ||||||||||||||||||||
Other assets, less allowance for loan and lease losses(2) | 354,665 | 380,261 | ||||||||||||||||||||||
Total assets | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||||||||||
(1) | Fees earned on overnight deposits placed with the Federal Reserve, which were included in the time deposits placed and other short-term investments line in prior periods, have been reclassified in this table to cash and cash equivalents, consistent with the balance sheet presentation of these deposits. Net interest income and net interest yield are calculated excluding these fees. | |
(2) | For the six months ended June 30, 2011, $20.3 billion of noninterest-earning equity trading securities were reclassified from trading account assets to other assets. Prior period amounts are immaterial and have not been restated. | |
(3) | Yields on AFS debt securities are calculated based on fair value rather than the cost basis. The use of fair value does not have a material impact on net interest yield. | |
(4) | Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is recognized on a cash basis. Purchased credit-impaired loans were recorded at fair value upon acquisition and accrete interest income over the remaining life of the loan. | |
(5) | Includes non-U.S. residential mortgages of $93 million and $522 million for the six months ended June 30, 2011 and 2010. | |
(6) | Includes non-U.S. consumer loans of $8.4 billion and $7.9 billion for the six months ended June 30, 2011 and 2010. | |
(7) | Includes consumer finance loans of $1.9 billion and $2.2 billion, and other non-U.S. consumer loans of $809 million and $671 million, and consumer overdrafts of $78 million and $144 million for the six months ended June 30, 2011 and 2010. | |
(8) | Includes U.S. commercial real estate loans of $44.5 billion and $63.6 billion, and non-U.S. commercial real estate loans of $2.5 billion and $2.8 billion for the six months ended June 30, 2011 and 2010. |
28
Table of Contents
Year-to-Date Average Balances and Interest Rates – Fully Taxable-equivalent Basis (continued) | ||||||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Yield/ | Average | Income/ | Yield/ | |||||||||||||||||||
(Dollars in millions) | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||
Interest-bearing liabilities | ||||||||||||||||||||||||
U.S. interest-bearing deposits: | ||||||||||||||||||||||||
Savings | $ | 40,294 | $ | 63 | 0.32 | % | $ | 36,214 | $ | 86 | 0.48 | % | ||||||||||||
NOW and money market deposit accounts | 477,330 | 620 | 0.26 | 429,258 | 713 | 0.33 | ||||||||||||||||||
Consumer CDs and IRAs | 116,004 | 581 | 1.01 | 156,755 | 1,008 | 1.30 | ||||||||||||||||||
Negotiable CDs, public funds and other time deposits | 13,918 | 81 | 1.17 | 18,552 | 122 | 1.33 | ||||||||||||||||||
Total U.S. interest-bearing deposits | 647,546 | 1,345 | 0.42 | 640,779 | 1,929 | 0.61 | ||||||||||||||||||
Non-U.S. interest-bearing deposits: | ||||||||||||||||||||||||
Banks located in non-U.S. countries | 20,378 | 75 | 0.74 | 19,091 | 68 | 0.72 | ||||||||||||||||||
Governments and official institutions | 2,219 | 4 | 0.36 | 4,916 | 6 | 0.25 | ||||||||||||||||||
Time, savings and other | 62,673 | 258 | 0.83 | 53,534 | 150 | 0.57 | ||||||||||||||||||
Total non-U.S. interest-bearing deposits | 85,270 | 337 | 0.80 | 77,541 | 224 | 0.58 | ||||||||||||||||||
Total interest-bearing deposits | 732,816 | 1,682 | 0.46 | 718,320 | 2,153 | 0.60 | ||||||||||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase and other short-term borrowings | 355,042 | 2,526 | 1.43 | 481,041 | 1,709 | 0.72 | ||||||||||||||||||
Trading account liabilities | 90,044 | 1,254 | 2.81 | 95,105 | 1,374 | 2.91 | ||||||||||||||||||
Long-term debt | 437,812 | 6,084 | 2.80 | 505,507 | 7,112 | 2.82 | ||||||||||||||||||
Total interest-bearing liabilities | 1,615,714 | 11,546 | 1.44 | 1,799,973 | 12,348 | 1.38 | ||||||||||||||||||
Noninterest-bearing sources: | ||||||||||||||||||||||||
Noninterest-bearing deposits | 296,762 | 268,024 | ||||||||||||||||||||||
Other liabilities | 193,420 | 205,767 | ||||||||||||||||||||||
Shareholders’ equity | 232,930 | 231,695 | ||||||||||||||||||||||
Total liabilities and shareholders’ equity | $ | 2,338,826 | $ | 2,505,459 | ||||||||||||||||||||
Net interest spread | 2.40 | % | 2.76 | % | ||||||||||||||||||||
Impact of noninterest-bearing sources | 0.17 | 0.06 | ||||||||||||||||||||||
Net interest income/yield on earning assets(1) | $ | 23,778 | 2.57 | % | $ | 27,069 | 2.82 | % | ||||||||||||||||
For footnotes see page 28. |
29
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30
Table of Contents
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 2,281 | $ | 2,144 | 6 | % | $ | 4,486 | $ | 4,319 | 4 | % | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Service charges | 965 | 1,494 | (35 | ) | 1,888 | 2,973 | (36 | ) | ||||||||||||||||
All other income | 55 | 57 | (4 | ) | 116 | 121 | (4 | ) | ||||||||||||||||
Total noninterest income | 1,020 | 1,551 | (34 | ) | 2,004 | 3,094 | (35 | ) | ||||||||||||||||
Total revenue, net of interest expense | 3,301 | 3,695 | (11 | ) | 6,490 | 7,413 | (12 | ) | ||||||||||||||||
Provision for credit losses | 31 | 61 | (49 | ) | 64 | 98 | (35 | ) | ||||||||||||||||
Noninterest expense | 2,599 | 2,572 | 1 | 5,191 | 5,139 | 1 | ||||||||||||||||||
Income before income taxes | 671 | 1,062 | (37 | ) | 1,235 | 2,176 | (43 | ) | ||||||||||||||||
Income tax expense(1) | 241 | 388 | (38 | ) | 450 | 804 | (44 | ) | ||||||||||||||||
Net income | $ | 430 | $ | 674 | (36 | ) | $ | 785 | $ | 1,372 | (43 | ) | ||||||||||||
Net interest yield(1) | 2.15 | % | 2.06 | % | 2.15 | % | 2.09 | % | ||||||||||||||||
Return on average equity | 7.30 | 11.16 | 6.70 | 11.45 | ||||||||||||||||||||
Return on average economic capital(2, 3) | 30.41 | 43.52 | 27.93 | 44.82 | ||||||||||||||||||||
Efficiency ratio(1) | 78.75 | 69.59 | 79.99 | 69.32 | ||||||||||||||||||||
Cost per dollar deposit (4) | 2.44 | 2.46 | 2.52 | 2.48 | ||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total earning assets | $ | 425,363 | $ | 417,132 | 2 | $ | 421,313 | $ | 416,185 | 1 | ||||||||||||||
Total assets | 451,554 | 443,520 | 2 | 447,530 | 442,691 | 1 | ||||||||||||||||||
Total deposits | 426,684 | 418,480 | 2 | 422,514 | 417,665 | 1 | ||||||||||||||||||
Allocated equity | 23,612 | 24,226 | (3 | ) | 23,627 | 24,179 | (2 | ) | ||||||||||||||||
Economic capital(5) | 5,662 | 6,239 | (9 | ) | 5,672 | 6,202 | (9 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total earning assets | $ | 422,646 | $ | 414,215 | 2 | |||||||||||||||||||
Total assets | 449,123 | 440,954 | 2 | |||||||||||||||||||||
Total deposits | 424,579 | 415,189 | 2 | |||||||||||||||||||||
Client brokerage assets | 69,000 | 63,597 | 8 | |||||||||||||||||||||
(1) | FTE basis | |
(2) | Decreases in the ratios resulted from lower net income partially offset by a slight decrease in economic capital. Economic capital decreased due to improvements in interest rate risk related to changes in portfolio composition. | |
(3) | Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles, divided by average economic capital. | |
(4) | Cost per dollar deposit represents annualized noninterest expense, excluding certain expenses, as a percentage of average deposits. | |
(5) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 3,611 | $ | 4,442 | (19 | )% | $ | 7,358 | $ | 9,262 | (21 | )% | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Card income | 1,833 | 1,901 | (4 | ) | 3,562 | 3,784 | (6 | ) | ||||||||||||||||
All other income | 92 | 605 | (85 | ) | 303 | 792 | (62 | ) | ||||||||||||||||
Total noninterest income | 1,925 | 2,506 | (23 | ) | 3,865 | 4,576 | (16 | ) | ||||||||||||||||
Total revenue, net of interest expense | 5,536 | 6,948 | (20 | ) | 11,223 | 13,838 | (19 | ) | ||||||||||||||||
Provision for credit losses | 481 | 3,796 | (87 | ) | 1,442 | 7,331 | (80 | ) | ||||||||||||||||
Noninterest expense | 1,882 | 1,852 | 2 | 3,851 | 3,664 | 5 | ||||||||||||||||||
Income before income taxes | 3,173 | 1,300 | 144 | 5,930 | 2,843 | 109 | ||||||||||||||||||
Income tax expense(1) | 1,138 | 474 | 140 | 2,160 | 1,049 | 106 | ||||||||||||||||||
Net income | $ | 2,035 | $ | 826 | 146 | $ | 3,770 | $ | 1,794 | 110 | ||||||||||||||
Net interest yield(1) | 9.12 | % | 9.97 | % | 9.19 | % | 10.13 | % | ||||||||||||||||
Return on average equity | 32.66 | 8.14 | 29.73 | 8.61 | ||||||||||||||||||||
Return on average economic capital(2, 3) | 66.26 | 19.40 | 59.01 | 19.74 | ||||||||||||||||||||
Efficiency ratio(1) | 33.99 | 26.68 | 34.31 | 26.49 | ||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 156,788 | $ | 177,076 | (11 | ) | $ | 159,591 | $ | 182,909 | (13 | ) | ||||||||||||
Total earning assets | 158,861 | 178,646 | (11 | ) | 161,462 | 184,326 | (12 | ) | ||||||||||||||||
Total assets | 161,776 | 187,138 | (14 | ) | 163,761 | 191,913 | (15 | ) | ||||||||||||||||
Allocated equity | 24,982 | 40,677 | (39 | ) | 25,573 | 41,994 | (39 | ) | ||||||||||||||||
Economic capital(4) | 12,341 | 17,501 | (29 | ) | 12,915 | 18,767 | (31 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total loans and leases | $ | 153,280 | $ | 166,899 | (8 | ) | ||||||||||||||||||
Total earning assets | 156,058 | 168,706 | (7 | ) | ||||||||||||||||||||
Total assets | 161,756 | 170,311 | (5 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) | Increases in the ratios resulted from higher net income and a decrease in economic capital. Economic capital decreased due to lower levels of credit risk as loan balances declined. Allocated equity decreased as a result of the $10.4 billion goodwill impairment charge recorded during the third quarter of 2010. | |
(3) | Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles, divided by average economic capital. | |
(4) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. |
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Three Months Ended June 30, 2011 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||
Consumer | ||||||||||||||||||||||||
Legacy Asset | Real Estate | Three Months Ended | ||||||||||||||||||||||
(Dollars in millions) | Home Loans | Servicing | Other | Services | June 30, 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 481 | $ | 129 | $ | (31 | ) | $ | 579 | $ | 992 | (42 | )% | |||||||||||
Noninterest income: | ||||||||||||||||||||||||
Mortgage banking income (loss) | 938 | (13,083 | ) | (873 | ) | (13,018 | ) | 1,020 | n/m | |||||||||||||||
Insurance income | 299 | - | - | 299 | 513 | (42 | ) | |||||||||||||||||
All other income | 795 | 30 | - | 825 | 179 | n/m | ||||||||||||||||||
Total noninterest income (loss) | 2,032 | (13,053 | ) | (873 | ) | (11,894 | ) | 1,712 | n/m | |||||||||||||||
Total revenue, net of interest expense | 2,513 | (12,924 | ) | (904 | ) | (11,315 | ) | 2,704 | n/m | |||||||||||||||
Provision for credit losses | 121 | 1,386 | - | 1,507 | 2,390 | (37 | ) | |||||||||||||||||
Goodwill impairment | - | - | 2,603 | 2,603 | - | n/m | ||||||||||||||||||
Noninterest expense | 1,553 | 4,491 | - | 6,044 | 2,738 | 121 | ||||||||||||||||||
Income (loss) before income taxes | 839 | (18,801 | ) | (3,507 | ) | (21,469 | ) | (2,424 | ) | n/m | ||||||||||||||
Income tax expense (benefit)(1) | 308 | (6,924 | ) | (333 | ) | (6,949 | ) | (882 | ) | n/m | ||||||||||||||
Net income (loss) | $ | 531 | $ | (11,877 | ) | $ | (3,174 | ) | $ | (14,520 | ) | $ | (1,542 | ) | n/m | |||||||||
Net interest yield(1) | 2.68 | % | 0.76 | % | n/m | 1.46 | % | 2.13 | % | |||||||||||||||
Efficiency ratio(1) | 61.80 | n/m | n/m | n/m | 101.27 | |||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 55,267 | $ | 66,416 | $ | - | $ | 121,683 | $ | 130,662 | (7 | ) | ||||||||||||
Total earning assets | 71,876 | 68,444 | 18,354 | 158,674 | 186,873 | (15 | ) | |||||||||||||||||
Total assets | 73,377 | 84,616 | 40,037 | 198,030 | 227,595 | (13 | ) | |||||||||||||||||
Allocated equity | n/a | n/a | n/a | 17,139 | 26,174 | (35 | ) | |||||||||||||||||
Economic capital(2, 3) | n/a | n/a | n/a | 14,437 | 21,371 | (32 | ) | |||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||
Consumer | ||||||||||||||||||||||||
Legacy Asset | Real Estate | Six Months Ended | ||||||||||||||||||||||
Home Loans | Servicing | Other | Services | June 30, 2010 | % Change | |||||||||||||||||||
Net interest income(1) | $ | 1,056 | $ | 460 | $ | (41 | ) | $ | 1,475 | $ | 2,199 | (33 | )% | |||||||||||
Noninterest income: | ||||||||||||||||||||||||
Mortgage banking income (loss) | 1,696 | (13,149 | ) | (870 | ) | (12,323 | ) | 2,661 | n/m | |||||||||||||||
Insurance income | 730 | - | - | 730 | 1,051 | (31 | ) | |||||||||||||||||
All other income | 822 | 44 | - | 866 | 326 | 166 | ||||||||||||||||||
Total noninterest income (loss) | 3,248 | (13,105 | ) | (870 | ) | (10,727 | ) | 4,038 | n/m | |||||||||||||||
Total revenue, net of interest expense | 4,304 | (12,645 | ) | (911 | ) | (9,252 | ) | 6,237 | n/m | |||||||||||||||
Provision for credit losses | 121 | 2,484 | - | 2,605 | 5,990 | (57 | ) | |||||||||||||||||
Goodwill impairment | - | - | 2,603 | 2,603 | - | n/m | ||||||||||||||||||
Noninterest expense | 3,221 | 7,624 | - | 10,845 | 5,985 | 81 | ||||||||||||||||||
Income (loss) before income taxes | 962 | (22,753 | ) | (3,514 | ) | (25,305 | ) | (5,738 | ) | n/m | ||||||||||||||
Income tax expense (benefit)(1) | 354 | (8,388 | ) | (336 | ) | (8,370 | ) | (2,119 | ) | n/m | ||||||||||||||
Net income (loss) | $ | 608 | $ | (14,365 | ) | $ | (3,178 | ) | $ | (16,935 | ) | $ | (3,619 | ) | n/m | |||||||||
Net interest yield(1) | 2.81 | % | 1.37 | % | (0.37 | )% | 1.80 | % | 2.36 | % | ||||||||||||||
Efficiency ratio(1) | 74.84 | n/m | n/m | n/m | 95.96 | |||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 55,632 | $ | 65,493 | $ | - | $ | 121,125 | $ | 132,195 | (8 | ) | ||||||||||||
Total earning assets | 75,695 | 67,565 | 22,209 | 165,469 | 188,222 | (12 | ) | |||||||||||||||||
Total assets | 77,052 | 83,531 | 43,065 | 203,648 | 230,076 | (11 | ) | |||||||||||||||||
Allocated equity | n/a | n/a | n/a | 17,933 | 26,641 | (33 | ) | |||||||||||||||||
Economic capital(2, 3) | n/a | n/a | n/a | 15,211 | 21,837 | (30 | ) | |||||||||||||||||
Period end | June 30, 2011 | December 31, 2010 | ||||||||||||||||||||||
Total loans and leases | $ | 55,454 | $ | 66,099 | $ | - | $ | 121,553 | $ | 122,933 | (1 | ) | ||||||||||||
Total earning assets | 69,822 | 68,114 | 11,972 | 149,908 | 172,082 | (13 | ) | |||||||||||||||||
Total assets | 71,723 | 83,411 | 30,264 | 185,398 | 212,413 | (13 | ) | |||||||||||||||||
(1) | FTE basis | |
(2) | Economic capital decreased due to improvements in credit risk as loan balances declined and due to a lower MSR balance. Allocated equity decreased due to the $2.0 billion goodwill impairment charge recorded during the fourth quarter of 2010 and was minimally impacted by the $2.6 billion goodwill impairment charge recorded late in the second quarter of 2011. | |
(3) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets (excluding MSRs). | |
n/m | = not meaningful | |
n/a | = not applicable |
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Mortgage Banking Income | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Production income (loss): | ||||||||||||||||
Core production revenue | $ | 824 | $ | 1,428 | $ | 1,492 | $ | 2,711 | ||||||||
Representations and warranties provision | (14,037 | ) | (1,248 | ) | (15,050 | ) | (1,774 | ) | ||||||||
Total production income (loss) | (13,213 | ) | 180 | (13,558 | ) | 937 | ||||||||||
Servicing income: | ||||||||||||||||
Servicing fees | 1,556 | 1,649 | 3,162 | 3,218 | ||||||||||||
Impact of customer payments(1) | (639 | ) | (981 | ) | (1,345 | ) | (2,037 | ) | ||||||||
Fair value changes of MSRs, net of economic hedge results(2) | (873 | ) | 12 | (870 | ) | 209 | ||||||||||
Other servicing-related revenue | 151 | 160 | 288 | 334 | ||||||||||||
Total net servicing income | 195 | 840 | 1,235 | 1,724 | ||||||||||||
TotalCRESmortgage banking income (loss) | (13,018 | ) | 1,020 | (12,323 | ) | 2,661 | ||||||||||
Eliminations(3) | (178 | ) | (122 | ) | (243 | ) | (263 | ) | ||||||||
Total consolidated mortgage banking income (loss) | $ | (13,196 | ) | $ | 898 | $ | (12,566 | ) | $ | 2,398 | ||||||
(1) | Represents the change in the market value of the MSR asset due to the impact of customer payments received during the period. | |
(2) | Includes sale of MSRs. | |
(3) | Includes the effect of transfers of mortgage loans fromCRESto the ALM portfolio inAll Other. |
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Key Statistics | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except as noted) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Loan production | ||||||||||||||||
CRES: | ||||||||||||||||
First mortgage | $ | 38,320 | $ | 69,141 | $ | 90,839 | $ | 136,106 | ||||||||
Home equity | 879 | 1,831 | 2,454 | 3,602 | ||||||||||||
Total Corporation(1): | ||||||||||||||||
First mortgage | $ | 40,370 | $ | 71,938 | $ | 97,104 | $ | 141,440 | ||||||||
Home equity | 1,054 | 2,137 | 2,782 | 4,164 | ||||||||||||
June 30 | December 31 | |||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||
Mortgage servicing portfolio (in billions)(2, 3) | $ | 1,992 | $ | 2,057 | ||||||||||||
Mortgage loans serviced for investors (in billions)(3) | 1,578 | 1,628 | ||||||||||||||
Mortgage servicing rights: | ||||||||||||||||
Balance | 12,372 | 14,900 | ||||||||||||||
Capitalized mortgage servicing rights (% of loans serviced for investors) | 78 | bps | 92 | bps | ||||||||||||
(1) | In addition to loan production inCRES, the remaining first mortgage and home equity loan production is primarily inGWIM. | |
(2) | Servicing of residential mortgage loans, home equity lines of credit, home equity loans and discontinued real estate mortgage loans. | |
(3) | The total Corporation mortgage servicing portfolio consists of $1,079 billion in Home Loans and $913 billion in Legacy Asset Servicing at June 30, 2011. The total Corporation mortgage loans serviced for investors consisted of $870 billion in Home Loans and $708 billion in Legacy Asset Servicing at June 30, 2011. |
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Global Commercial Banking | ||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 1,827 | $ | 2,097 | (13 | )% | $ | 3,677 | $ | 4,290 | (14 | )% | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Service charges | 576 | 589 | (2 | ) | 1,182 | 1,188 | (1 | ) | ||||||||||||||||
All other income | 407 | 197 | 107 | 602 | 497 | 21 | ||||||||||||||||||
Total noninterest income | 983 | 786 | 25 | 1,784 | 1,685 | 6 | ||||||||||||||||||
Total revenue, net of interest expense | 2,810 | 2,883 | (3 | ) | 5,461 | 5,975 | (9 | ) | ||||||||||||||||
Provision for credit losses | (417 | ) | 623 | n/m | (338 | ) | 1,559 | n/m | ||||||||||||||||
Noninterest expense | 1,068 | 974 | 10 | 2,174 | 2,005 | 8 | ||||||||||||||||||
Income before income taxes | 2,159 | 1,286 | 68 | 3,625 | 2,411 | 50 | ||||||||||||||||||
Income tax expense(1) | 778 | 471 | 65 | 1,321 | 891 | 48 | ||||||||||||||||||
Net income | $ | 1,381 | $ | 815 | 69 | $ | 2,304 | $ | 1,520 | 52 | ||||||||||||||
Net interest yield(1) | 2.60 | % | 3.13 | % | 2.66 | % | 3.26 | % | ||||||||||||||||
Return on average equity | 13.67 | 7.46 | 11.33 | 6.93 | ||||||||||||||||||||
Return on average economic capital(2, 3) | 27.92 | 14.14 | 22.85 | 13.04 | ||||||||||||||||||||
Efficiency ratio(1) | 38.01 | 33.80 | 39.81 | 33.56 | ||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 189,346 | $ | 206,603 | (8 | ) | $ | 190,883 | $ | 210,450 | (9 | ) | ||||||||||||
Total earning assets | 281,844 | 268,552 | 5 | 278,272 | 265,125 | 5 | ||||||||||||||||||
Total assets | 320,428 | 305,788 | 5 | 316,521 | 301,925 | 5 | ||||||||||||||||||
Total deposits | 166,481 | 145,499 | 14 | 163,366 | 144,572 | 13 | ||||||||||||||||||
Allocated equity | 40,515 | 43,869 | (8 | ) | 41,008 | 44,222 | (7 | ) | ||||||||||||||||
Economic capital(4) | 19,817 | 23,159 | (14 | ) | 20,309 | 23,558 | (14 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total loans and leases | $ | 189,434 | $ | 194,038 | (2 | ) | ||||||||||||||||||
Total earning assets | 242,272 | 274,637 | (12 | ) | ||||||||||||||||||||
Total assets | 280,289 | 312,802 | (10 | ) | ||||||||||||||||||||
Total deposits | 170,156 | 161,279 | 6 | |||||||||||||||||||||
(1) | FTE basis | |
(2) | Increases in the ratios resulted from higher net income and lower economic capital. Economic capital decreased due to improved credit quality, declining loan balances and improvements in counterparty credit exposure. | |
(3) | Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles, divided by average economic capital. | |
(4) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. | |
n/m | = not meaningful |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 1,791 | $ | 2,002 | (11 | )% | $ | 3,828 | $ | 4,172 | (8 | )% | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Service charges | 442 | 468 | (6 | ) | 917 | 931 | (2 | ) | ||||||||||||||||
Investment and brokerage services | 587 | 676 | (13 | ) | 1,264 | 1,299 | (3 | ) | ||||||||||||||||
Investment banking fees | 1,637 | 1,301 | 26 | 3,148 | 2,517 | 25 | ||||||||||||||||||
Trading account profits | 2,071 | 1,202 | 72 | 4,691 | 6,273 | (25 | ) | |||||||||||||||||
All other income | 268 | 255 | 5 | 834 | 405 | 106 | ||||||||||||||||||
Total noninterest income | 5,005 | 3,902 | 28 | 10,854 | 11,425 | (5 | ) | |||||||||||||||||
Total revenue, net of interest expense | 6,796 | 5,904 | 15 | 14,682 | 15,597 | (6 | ) | |||||||||||||||||
Provision for credit losses | (82 | ) | (133 | ) | 38 | (284 | ) | 103 | n/m | |||||||||||||||
Noninterest expense | 4,713 | 4,735 | - | 9,435 | 9,024 | 5 | ||||||||||||||||||
Income before income taxes | 2,165 | 1,302 | 66 | 5,531 | 6,470 | (15 | ) | |||||||||||||||||
Income tax expense(1) | 607 | 404 | 50 | 1,839 | 2,333 | (21 | ) | |||||||||||||||||
Net income | $ | 1,558 | $ | 898 | 73 | $ | 3,692 | $ | 4,137 | (11 | ) | |||||||||||||
Return on average equity | 16.44 | % | 7.03 | % | 18.61 | % | 15.99 | % | ||||||||||||||||
Return on average economic capital(2, 3) | 23.40 | 9.06 | 25.86 | 20.28 | ||||||||||||||||||||
Efficiency ratio(1) | 69.35 | 80.19 | 64.26 | 57.86 | ||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total trading-related assets(4, 5) | $ | 460,153 | $ | 522,304 | (12 | ) | $ | 459,278 | $ | 519,767 | (12 | ) | ||||||||||||
Total loans and leases | 109,473 | 95,839 | 14 | 106,604 | 97,427 | 9 | ||||||||||||||||||
Total earning assets(4, 5) | 569,517 | 622,820 | (9 | ) | 572,701 | 628,193 | (9 | ) | ||||||||||||||||
Total assets(4, 5) | 750,908 | 779,060 | (4 | ) | 730,907 | 781,949 | (7 | ) | ||||||||||||||||
Total deposits | 118,133 | 112,565 | 5 | 115,097 | 108,124 | 6 | ||||||||||||||||||
Allocated equity | 38,001 | 51,245 | (26 | ) | 40,004 | 52,182 | (23 | ) | ||||||||||||||||
Economic capital(6) | 27,078 | 40,705 | (33 | ) | 29,126 | 41,582 | (30 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total trading-related assets(4, 5) | $ | 445,220 | $ | 417,714 | 7 | |||||||||||||||||||
Total loans and leases | 114,165 | 99,964 | 14 | |||||||||||||||||||||
Total earning assets(4, 5) | 557,327 | 514,462 | 8 | |||||||||||||||||||||
Total assets(4, 5) | 691,249 | 655,778 | 5 | |||||||||||||||||||||
Total deposits | 123,618 | 110,971 | 11 | |||||||||||||||||||||
(1) | FTE basis | |
(2) | Increases in the ratios resulted from higher net income for the three-month period and a decrease in economic capital for both the three- and six-month periods. Economic capital decreased due to lower credit risk and improvements in counterparty credit exposure. | |
(3) | Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles, divided by average economic capital. | |
(4) | Includes assets which are not considered earning assets (i.e., derivative assets). | |
(5) | Total earning assets and total assets include asset allocations to match liabilities (i.e., deposits). | |
(6) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. | |
n/m | = not meaningful |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Sales and trading revenue(1) | ||||||||||||||||
Fixed income, currencies and commodities | $ | 2,697 | $ | 2,230 | $ | 6,343 | $ | 7,717 | ||||||||
Equity income | 1,081 | 882 | 2,330 | 2,396 | ||||||||||||
Total sales and trading revenue | $ | 3,778 | $ | 3,112 | $ | 8,673 | $ | 10,113 | ||||||||
(1) | Includes $43 million and $98 million of net interest income on a FTE basis for the three and six months ended June 30, 2011 as compared to $76 million and $148 million for the same periods in 2010. |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Investment banking fees | ||||||||||||||||
Advisory(1) | $ | 381 | $ | 242 | $ | 700 | $ | 409 | ||||||||
Debt issuance | 880 | 773 | 1,679 | 1,509 | ||||||||||||
Equity issuance | 376 | 286 | 769 | 599 | ||||||||||||
Total investment banking fees | $ | 1,637 | $ | 1,301 | $ | 3,148 | $ | 2,517 | ||||||||
(1) | Advisory includes fees on debt and equity advisory services and mergers and acquisitions. |
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Credit Default Swaps with Monoline Financial Guarantors | ||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Other | Other | |||||||||||||||||||||||
Super | Guaranteed | Super | Guaranteed | |||||||||||||||||||||
(Dollars in millions) | Senior CDOs | Positions | Total | Senior CDOs | Positions | Total | ||||||||||||||||||
Notional | $ | 2,968 | $ | 32,656 | $ | 35,624 | $ | 3,241 | $ | 35,183 | $ | 38,424 | ||||||||||||
Mark-to-market or guarantor receivable | $ | 2,578 | $ | 6,150 | $ | 8,728 | $ | 2,834 | $ | 6,367 | $ | 9,201 | ||||||||||||
Credit valuation adjustment | (2,363 | ) | (3,314 | ) | (5,677 | ) | (2,168 | ) | (3,107 | ) | (5,275 | ) | ||||||||||||
Total | $ | 215 | $ | 2,836 | $ | 3,051 | $ | 666 | $ | 3,260 | $ | 3,926 | ||||||||||||
Credit valuation adjustment % | 92 | % | 54 | % | 65 | % | 77 | % | 49 | % | 57 | % | ||||||||||||
(Write-downs) gains | $ | (314 | ) | $ | (354 | ) | $ | (668 | ) | $ | (386 | ) | $ | 362 | $ | (24 | ) | |||||||
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | 1,571 | $ | 1,443 | 9 | % | $ | 3,140 | $ | 2,907 | 8 | % | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Investment and brokerage services | 2,378 | 2,195 | 8 | 4,756 | 4,303 | 11 | ||||||||||||||||||
All other income | 541 | 551 | (2 | ) | 1,086 | 1,020 | 6 | |||||||||||||||||
Total noninterest income | 2,919 | 2,746 | 6 | 5,842 | 5,323 | 10 | ||||||||||||||||||
Total revenue, net of interest expense | 4,490 | 4,189 | 7 | 8,982 | 8,230 | 9 | ||||||||||||||||||
Provision for credit losses | 72 | 122 | (41 | ) | 118 | 363 | (67 | ) | ||||||||||||||||
Noninterest expense | 3,631 | 3,269 | 11 | 7,230 | 6,368 | 14 | ||||||||||||||||||
Income before income taxes | 787 | 798 | (1 | ) | 1,634 | 1,499 | 9 | |||||||||||||||||
Income tax expense(1) | 281 | 469 | (40 | ) | 595 | 731 | (19 | ) | ||||||||||||||||
Net income | $ | 506 | $ | 329 | 54 | $ | 1,039 | $ | 768 | 35 | ||||||||||||||
Net interest yield(1) | 2.34 | % | 2.42 | % | 2.32 | % | 2.49 | % | ||||||||||||||||
Return on average equity | 11.54 | 7.27 | 11.80 | 8.61 | ||||||||||||||||||||
Return on average economic capital(2, 3) | 29.97 | 19.10 | 30.21 | 22.76 | ||||||||||||||||||||
Efficiency ratio(1) | 80.88 | 78.05 | 80.50 | 77.37 | ||||||||||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 102,200 | $ | 98,811 | 3 | $ | 101,529 | $ | 98,826 | 3 | ||||||||||||||
Total earning assets | 268,968 | 239,186 | 12 | 272,958 | 235,284 | 16 | ||||||||||||||||||
Total assets | 289,050 | 259,801 | 11 | 293,170 | 256,510 | 14 | ||||||||||||||||||
Total deposits | 255,219 | 226,276 | 13 | 256,859 | 223,956 | 15 | ||||||||||||||||||
Allocated equity | 17,574 | 18,179 | (3 | ) | 17,755 | 18,002 | (1 | ) | ||||||||||||||||
Economic capital(4) | 6,868 | 7,380 | (7 | ) | 7,038 | 7,209 | (2 | ) | ||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total loans and leases | $ | 102,878 | $ | 100,724 | 2 | |||||||||||||||||||
Total earning assets | 263,867 | 275,260 | (4 | ) | ||||||||||||||||||||
Total assets | 284,294 | 296,251 | (4 | ) | ||||||||||||||||||||
Total deposits | 255,580 | 257,982 | (1 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) | Increases in ratios resulted from higher net income and a decrease in economic capital. Economic capital decreased modestly due to improvements in interest rate risk due to changes in portfolio composition. | |
(3) | Return on average economic capital is calculated as net income, excluding cost of funds and earnings credit on intangibles, divided by average economic capital. | |
(4) | Economic capital represents allocated equity less goodwill and a percentage of intangible assets. |
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Migration Summary | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Average | ||||||||||||||||
Total deposits —GWIMfrom / (to)Deposits | $ | (2,087 | ) | $ | 2,016 | $ | (1,704 | ) | $ | 1,472 | ||||||
Total loans —GWIMtoCRESand the ALM portfolio | (184 | ) | (1,437 | ) | (93 | ) | (1,254 | ) | ||||||||
Period end | ||||||||||||||||
Total deposits —GWIMfrom / (to)Deposits | $ | 1,310 | $ | (652 | ) | $ | (2,053 | ) | $ | 2,031 | ||||||
Total loans —GWIMtoCRESand the ALM portfolio | (189 | ) | (75 | ) | (189 | ) | (1,430 | ) | ||||||||
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Client Balances by Type | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Assets under management | $ | 660,928 | $ | 630,498 | ||||
Brokerage assets | 1,066,078 | 1,077,049 | ||||||
Assets in custody | 116,499 | 115,033 | ||||||
Deposits | 255,580 | 257,982 | ||||||
Loans and leases | 102,878 | 100,724 | ||||||
Total client balances | $ | 2,201,963 | $ | 2,181,286 | ||||
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | % Change | 2011 | 2010 | % Change | ||||||||||||||||||
Net interest income(1) | $ | (167 | ) | $ | 77 | n/m | $ | (74 | ) | $ | 118 | n/m | ||||||||||||
Noninterest income: | ||||||||||||||||||||||||
Equity investment income | 1,139 | 2,253 | (49 | )% | 2,547 | 2,765 | (8 | )% | ||||||||||||||||
Gains on sales of debt securities | 831 | 14 | n/m | 1,299 | 662 | 96 | ||||||||||||||||||
All other income (loss) | 62 | 783 | (92 | ) | (780 | ) | 905 | n/m | ||||||||||||||||
Total noninterest income | 2,032 | 3,050 | (33 | ) | 3,066 | 4,332 | (29 | ) | ||||||||||||||||
Total revenue, net of interest expense | 1,865 | 3,127 | (40 | ) | 2,992 | 4,450 | (33 | ) | ||||||||||||||||
Provision for credit losses | 1,663 | 1,246 | 33 | 3,462 | 2,466 | 40 | ||||||||||||||||||
Merger and restructuring charges | 159 | 508 | (69 | ) | 361 | 1,029 | (65 | ) | ||||||||||||||||
All other noninterest expense | 157 | 605 | (74 | ) | 1,449 | 1,814 | (20 | ) | ||||||||||||||||
Income (loss) before income taxes | (114 | ) | 768 | n/m | (2,280 | ) | (859 | ) | (165 | ) | ||||||||||||||
Income tax expense (benefit)(1) | 102 | (355 | ) | n/m | (848 | ) | (1,192 | ) | 29 | |||||||||||||||
Net income (loss) | $ | (216 | ) | $ | 1,123 | n/m | $ | (1,432 | ) | $ | 333 | n/m | ||||||||||||
Balance Sheet | ||||||||||||||||||||||||
Average | ||||||||||||||||||||||||
Total loans and leases | $ | 258,397 | $ | 257,322 | - | $ | 258,374 | $ | 256,742 | 1 | ||||||||||||||
Total assets(2) | 167,364 | 291,530 | (43 | ) | 183,289 | 300,395 | (39 | ) | ||||||||||||||||
Total deposits | 46,684 | 64,709 | (28 | ) | 47,642 | 67,770 | (30 | ) | ||||||||||||||||
Allocated equity(3) | 73,244 | 29,091 | 152 | 67,030 | 24,475 | 174 | ||||||||||||||||||
June 30 | December 31 | |||||||||||||||||||||||
Period end | 2011 | 2010 | ||||||||||||||||||||||
Total loans and leases | $ | 259,285 | $ | 254,516 | 2 | |||||||||||||||||||
Total assets(2) | 209,210 | 243,099 | (14 | ) | ||||||||||||||||||||
Total deposits | 42,355 | 57,424 | (26 | ) | ||||||||||||||||||||
(1) | FTE basis | |
(2) | Includes elimination of segments’ excess asset allocations to match liabilities (i.e., deposits) of $676.7 billion and $672.3 billion for the three and six months ended June 30, 2011 compared to $611.2 billion and $600.1 billion for the same periods in 2010, and $629.6 billion and $647.3 billion at June 30, 2011 and December 31, 2010. | |
(3) | Represents the risk-based capital assigned toAll Other as well as the remaining portion of equity not specifically allocated to the segments. Allocated equity increased due to excess capital not being assigned to the business segments. |
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Equity Investments | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Global Principal Investments | $ | 10,805 | $ | 11,656 | ||||
Strategic and other investments | 20,190 | 22,545 | ||||||
Total equity investments included inAll Other | $ | 30,995 | $ | 34,201 | ||||
Equity Investment Income | ||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Global Principal Investments | $ | 399 | $ | 814 | $ | 1,764 | $ | 1,391 | ||||||||
Strategic and other investments | 740 | 1,433 | 783 | 1,679 | ||||||||||||
Corporate Investments | – | 6 | – | (305 | ) | |||||||||||
Total equity investment income included inAll Other | 1,139 | 2,253 | 2,547 | 2,765 | ||||||||||||
Total equity investment income included in the business segments | 73 | 513 | 140 | 626 | ||||||||||||
Total consolidated equity investment income | $ | 1,212 | $ | 2,766 | $ | 2,687 | $ | 3,391 | ||||||||
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Overview of GSE Balances – 2004-2008 Originations | ||||||||||||||||
Legacy Originator | ||||||||||||||||
Percent of | ||||||||||||||||
(Dollars in billions) | Countrywide | Other | Total | total | ||||||||||||
Original funded balance | $ | 846 | $ | 272 | $ | 1,118 | ||||||||||
Principal payments | (431 | ) | (144 | ) | (575 | ) | ||||||||||
Defaults | (43 | ) | (6 | ) | (49 | ) | ||||||||||
Total outstanding balance at June 30, 2011 | $ | 372 | $ | 122 | $ | 494 | ||||||||||
Outstanding principal balance 180 days or more past due (severely delinquent) | $ | 58 | $ | 13 | $ | 71 | ||||||||||
Defaults plus severely delinquent | 101 | 19 | 120 | |||||||||||||
Payments made by borrower: | ||||||||||||||||
Less than 13 | $ | 15 | 13 | % | ||||||||||||
13-24 | 31 | 26 | ||||||||||||||
25-36 | 35 | 29 | ||||||||||||||
More than 36 | 39 | 32 | ||||||||||||||
Total payments made by borrower | $ | 120 | 100 | % | ||||||||||||
Outstanding GSE pipeline of representations and warranties claims (all vintages) | ||||||||||||||||
As of December 31, 2010 | $ | 2.8 | ||||||||||||||
As of June 30, 2011 | 5.1 | |||||||||||||||
Cumulative GSE representations and warranties losses (2004-2008 vintages) | $ | 7.8 | ||||||||||||||
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Table 15 | ||||||||||||||||||||||||||||||||||||
Overview of Non-Agency Securitization and Whole Loan Balances | ||||||||||||||||||||||||||||||||||||
(Dollars in billions) | Principal Balance | Defaulted or Severely Delinquent | ||||||||||||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||||||||||||||
Outstanding | Principal | Defaulted | Borrower Made | Borrower Made | Borrower Made | Borrower Made | ||||||||||||||||||||||||||||||
Original | Principal Balance | Balance 180 Days | Defaulted | or Severely | less than 13 | 13 to 24 | 25 to 36 | more than 36 | ||||||||||||||||||||||||||||
By Entity | Principal Balance | June 30, 2011 | or More Past Due | Principal Balance | Delinquent | Payments | Payments | Payments | Payments | |||||||||||||||||||||||||||
Bank of America | $ | 100 | $ | 31 | $ | 5 | $ | 3 | $ | 8 | $ | 1 | $ | 2 | $ | 2 | $ | 3 | ||||||||||||||||||
Countrywide(1) | 716 | 271 | 87 | 90 | 177 | 24 | 45 | 47 | 61 | |||||||||||||||||||||||||||
Merrill Lynch | 65 | 20 | 6 | 11 | 17 | 3 | 4 | 3 | 7 | |||||||||||||||||||||||||||
First Franklin | 82 | 22 | 7 | 20 | 27 | 4 | 6 | 5 | 12 | |||||||||||||||||||||||||||
Total(2, 3, 4) | $ | 963 | $ | 344 | $ | 105 | $ | 124 | $ | 229 | $ | 32 | $ | 57 | $ | 57 | $ | 83 | ||||||||||||||||||
By Product | ||||||||||||||||||||||||||||||||||||
Prime | $ | 302 | $ | 111 | $ | 17 | $ | 13 | $ | 30 | $ | 2 | $ | 6 | $ | 8 | $ | 14 | ||||||||||||||||||
Alt-A | 172 | 76 | 21 | 25 | 46 | 7 | 12 | 12 | 15 | |||||||||||||||||||||||||||
Pay option | 150 | 61 | 30 | 24 | 54 | 5 | 14 | 16 | 19 | |||||||||||||||||||||||||||
Subprime | 245 | 78 | 36 | 46 | 82 | 16 | 19 | 17 | 30 | |||||||||||||||||||||||||||
Home equity | 88 | 16 | - | 16 | 16 | 2 | 5 | 4 | 5 | |||||||||||||||||||||||||||
Other | 6 | 2 | 1 | - | 1 | - | 1 | - | - | |||||||||||||||||||||||||||
Total | $ | 963 | $ | 344 | $ | 105 | $ | 124 | $ | 229 | $ | 32 | $ | 57 | $ | 57 | $ | 83 | ||||||||||||||||||
(1) | $409 billion of original principal balance is included in the BNY Mellon Settlement. | |
(2) | Includes $185 billion of original principal balance related to transactions with monoline participation. | |
(3) | Excludes transactions sponsored by Bank of America and Merrill Lynch where no representation or warranties were made. | |
(4) | Includes exposures on third-party sponsored transactions related to legacy entity originations. |
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Table 16 | ||||||||||||||||||||||||
Regulatory Capital | ||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Actual | Minimum | Actual | Minimum | |||||||||||||||||||||
(Dollars in millions) | Ratio | Amount | Required(1) | Ratio | Amount | Required(1) | ||||||||||||||||||
Tier 1 common equity ratio | 8.23 | % | $ | 114,684 | n/a | 8.60 | % | $ | 125,139 | n/a | ||||||||||||||
Tier 1 capital ratio | 11.00 | 153,134 | $ | 55,710 | 11.24 | 163,626 | $ | 58,238 | ||||||||||||||||
Total capital ratio | 15.65 | 217,986 | 111,420 | 15.77 | 229,594 | 116,476 | ||||||||||||||||||
Tier 1 leverage ratio | 6.86 | 153,134 | 89,337 | 7.21 | 163,626 | 90,811 |
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Risk-weighted assets (in billions) | $ | 1,393 | $ | 1,456 | ||||
Adjusted quarterly average total assets (in billions)(2) | 2,233 | 2,270 | ||||||
(1) | Dollar amount required to meet guidelines for adequately capitalized institutions. | |
(2) | Reflects adjusted average total assets for the three months ended June 30, 2011 and December 31, 2010. | |
n/a | = not applicable |
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Table 17 | ||||||||
Capital Composition | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Total common shareholders’ equity | $ | 205,614 | $ | 211,686 | ||||
Goodwill | (71,074 | ) | (73,861 | ) | ||||
Nonqualifying intangible assets (includes core deposit intangibles, affinity relationships, customer relationships and other intangibles) | (6,369 | ) | (6,846 | ) | ||||
Net unrealized gains on AFS debt and marketable equity securities and net losses on derivatives recorded in accumulated OCI, net-of-tax | (4,825 | ) | (4,137 | ) | ||||
Unamortized net periodic benefit costs recorded in accumulated OCI, net-of-tax | 3,809 | 3,947 | ||||||
Exclusion of fair value adjustment related to structured notes(1) | 3,219 | 2,984 | ||||||
Disallowed deferred tax asset | (16,572 | ) | (8,663 | ) | ||||
Other | 882 | 29 | ||||||
Total Tier 1 common capital | 114,684 | 125,139 | ||||||
Preferred stock | 16,562 | 16,562 | ||||||
Trust preferred securities | 21,513 | 21,451 | ||||||
Noncontrolling interest | 375 | 474 | ||||||
Total Tier 1 capital | 153,134 | 163,626 | ||||||
Long-term debt qualifying as Tier 2 capital | 41,077 | 41,270 | ||||||
Allowance for loan and lease losses | 37,312 | 41,885 | ||||||
Reserve for unfunded lending commitments | 897 | 1,188 | ||||||
Allowance for loan and lease losses exceeding 1.25 percent of risk-weighted assets | (20,565 | ) | (24,690 | ) | ||||
45 percent of the pre-tax net unrealized gains on AFS marketable equity securities | 4,692 | 4,777 | ||||||
Other | 1,439 | 1,538 | ||||||
Total capital | $ | 217,986 | $ | 229,594 | ||||
(1) | Represents loss on structured notes, net-of-tax, that is excluded from Tier 1 common capital, Tier 1 capital and Total capital for regulatory capital purposes. |
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Table 18 | |||||||||||||||||||||||||
Bank of America, N.A. and FIA Card Services, N.A. Regulatory Capital | |||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | ||||||||||||||||||||||||
Actual | Minimum | Actual | Minimum | ||||||||||||||||||||||
(Dollars in millions) | Ratio | Amount | Required(1) | Ratio | Amount | Required(1) | |||||||||||||||||||
Tier 1 | |||||||||||||||||||||||||
Bank of America, N.A. | 11.24 | % | $ | 118,886 | $ | 42,307 | 10.78 | % | $ | 114,345 | $ | 42,416 | |||||||||||||
FIA Card Services, N.A. | 19.17 | 29,224 | 6,097 | 15.30 | 25,589 | 6,691 | |||||||||||||||||||
Total | |||||||||||||||||||||||||
Bank of America, N.A. | 14.65 | 154,987 | 84,614 | 14.26 | 151,255 | 84,831 | |||||||||||||||||||
FIA Card Services, N.A. | 20.70 | 31,545 | 12,193 | 16.94 | 28,343 | 13,383 | |||||||||||||||||||
Tier 1 leverage | |||||||||||||||||||||||||
Bank of America, N.A. | 8.46 | 118,886 | 56,208 | 7.83 | 114,345 | 58,391 | |||||||||||||||||||
FIA Card Services, N.A. | 15.56 | 29,224 | 7,511 | 13.21 | 25,589 | 7,748 | |||||||||||||||||||
(1) | Dollar amount required to meet guidelines for adequately capitalized institutions. |
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Table 19 | ||||||||
Common Stock Cash Dividend Summary | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
May 11, 2011 | June 3, 2011 | June 24, 2011 | $ | 0.01 | ||||
January 26, 2011 | March 4, 2011 | March 25, 2011 | 0.01 | |||||
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Table 20 | ||||||||||||||||||||||||
Preferred Stock Cash Dividend Summary | ||||||||||||||||||||||||
Outstanding | ||||||||||||||||||||||||
Notional | ||||||||||||||||||||||||
Amount | Per Annum | Dividend Per | ||||||||||||||||||||||
Preferred Stock | (in millions) | Declaration Date | Record Date | Payment Date | Dividend Rate | Share | ||||||||||||||||||
Series B(1) | $ | 1 | May 11, 2011 | July 11, 2011 | July 25, 2011 | 7.00 | % | $ | 1.75 | |||||||||||||||
Series D(2) | $ | 661 | July 5, 2011 | August 31, 2011 | September 14, 2011 | 6.204 | % | $ | 0.38775 | |||||||||||||||
Series E(2) | $ | 487 | July 5, 2011 | July 29, 2011 | August 15, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series H(2) | $ | 2,862 | July 5, 2011 | July 15, 2011 | August 1, 2011 | 8.20 | % | $ | 0.51250 | |||||||||||||||
Series I(2) | $ | 365 | July 5, 2011 | September 15, 2011 | October 3, 2011 | 6.625 | % | $ | 0.41406 | |||||||||||||||
Series J(2) | $ | 978 | July 5, 2011 | July 15, 2011 | August 1, 2011 | 7.25 | % | $ | 0.45313 | |||||||||||||||
Series K(3, 4) | $ | 1,668 | July 5, 2011 | July 15, 2011 | August 1, 2011 | Fixed-to-floating | $ | 40.00 | ||||||||||||||||
Series L | $ | 3,349 | June 17, 2011 | July 1, 2011 | August 1, 2011 | 7.25 | % | $ | 18.125 | |||||||||||||||
Series M(3, 4) | $ | 1,434 | April 4, 2011 | April 30, 2011 | May 16, 2011 | Fixed-to-floating | $ | 40.625 | ||||||||||||||||
Series 1(5) | $ | 146 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.19167 | ||||||||||||||||
Series 2(5) | $ | 526 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.19167 | ||||||||||||||||
Series 3(5) | $ | 670 | July 5, 2011 | August 15, 2011 | August 29, 2011 | 6.375 | % | $ | 0.39843 | |||||||||||||||
Series 4(5) | $ | 389 | July 5, 2011 | August 15, 2011 | August 30, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series 5(5) | $ | 606 | July 5, 2011 | August 1, 2011 | August 22, 2011 | Floating | $ | 0.25556 | ||||||||||||||||
Series 6(6) | $ | 65 | July 5, 2011 | September 15, 2011 | September 30, 2011 | 6.70 | % | $ | 0.41875 | |||||||||||||||
Series 7(6) | $ | 17 | July 5, 2011 | September 15, 2011 | September 30, 2011 | 6.25 | % | $ | 0.39062 | |||||||||||||||
Series 8(5) | $ | 2,673 | July 5, 2011 | August 15, 2011 | August 29, 2011 | 8.625 | % | $ | 0.53906 | |||||||||||||||
(1) | Dividends are cumulative. | |
(2) | Dividends per depositary share, each representing a 1/1,000th interest in a share of preferred stock. | |
(3) | Initially pays dividends semi-annually. | |
(4) | Dividends per depositary share, each representing a 1/25th interest in a share of preferred stock. | |
(5) | Dividends per depositary share, each representing a 1/1,200th interest in a share of preferred stock. | |
(6) | Dividends per depositary share, each representing a 1/40th interest in a share of preferred stock. |
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Table 21 | ||||||||||||
Global Excess Liquidity Sources | ||||||||||||
Average for | ||||||||||||
Three Months Ended | ||||||||||||
June 30 | December 31 | June 30 | ||||||||||
(Dollars in billions) | 2011 | 2010 | 2011 | |||||||||
Parent company | $ | 119 | $ | 121 | $ | 121 | ||||||
Bank subsidiaries | 243 | 180 | 236 | |||||||||
Broker/dealers | 40 | 35 | 45 | |||||||||
Total Global Excess Liquidity Sources | $ | 402 | $ | 336 | $ | 402 | ||||||
Table 22 | ||||||||
Global Excess Liquidity Sources Composition | ||||||||
June 30 | December 31 | |||||||
(Dollars in billions) | 2011 | 2010 | ||||||
Cash on deposit | $ | 85 | $ | 80 | ||||
U.S. treasuries | 63 | 65 | ||||||
U.S. agency securities and mortgage-backed securities | 231 | 174 | ||||||
Non-U.S. government securities | 23 | 17 | ||||||
Total Global Excess Liquidity Sources | $ | 402 | $ | 336 | ||||
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Table 23 | ||||||||||||||||||||||||||||||||
Short-term Borrowings | ||||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||||
Amount | Rate | Amount | Rate | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Average during period | ||||||||||||||||||||||||||||||||
Federal funds purchased | $ | 1,798 | $ | 6,585 | 0.06 | % | 0.14 | % | $ | 2,365 | $ | 5,508 | 0.09 | % | 0.12 | % | ||||||||||||||||
Securities loaned or sold under agreements to repurchase | 274,875 | 376,973 | 1.52 | 0.66 | 289,096 | 394,221 | 1.34 | 0.61 | ||||||||||||||||||||||||
Commercial paper | 14,166 | 26,641 | 0.76 | 0.58 | 16,305 | 30,351 | 0.74 | 0.50 | ||||||||||||||||||||||||
Other short-term borrowings | 47,853 | 43,852 | 2.30 | 2.09 | 47,276 | 50,961 | 2.34 | 1.75 | ||||||||||||||||||||||||
Total | $ | 338,692 | $ | 454,051 | 1.59 | 0.79 | $ | 355,042 | $ | 481,041 | 1.43 | 0.72 | ||||||||||||||||||||
Maximum month-end balance during period | ||||||||||||||||||||||||||||||||
Federal funds purchased | $ | 1,622 | $ | 7,636 | $ | 4,133 | $ | 8,320 | ||||||||||||||||||||||||
Securities loaned or sold under agreements to repurchase | 284,944 | 433,135 | 293,519 | 458,532 | ||||||||||||||||||||||||||||
Commercial paper | 17,423 | 28,052 | 21,212 | 36,236 | ||||||||||||||||||||||||||||
Other short-term borrowings | 47,087 | 56,742 | 47,087 | 63,081 | ||||||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||||||||||
Amount | Rate | Amount | Rate | |||||||||||||||||||||||||||||
Period-end balance | ||||||||||||||||||||||||||||||||
Federal funds purchased | $ | 1,414 | 0.05 | % | $ | 1,458 | 0.14 | % | ||||||||||||||||||||||||
Securities loaned or sold under agreements to repurchase | 238,107 | 1.33 | 243,901 | 1.15 | ||||||||||||||||||||||||||||
Commercial paper | 6,177 | 1.73 | 15,093 | 0.65 | ||||||||||||||||||||||||||||
Other short-term borrowings | 44,455 | 2.53 | 44,869 | 2.02 | ||||||||||||||||||||||||||||
Total | $ | 290,153 | 1.68 | $ | 305,321 | 1.27 | ||||||||||||||||||||||||||
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Table 24 | ||||||||||||||||||||||||||||
Long-term Debt By Maturity | ||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Total | |||||||||||||||||||||
Bank of America Corporation | $ | 8,519 | $ | 43,760 | $ | 9,538 | $ | 19,668 | $ | 13,814 | $ | 96,020 | $ | 191,319 | ||||||||||||||
Merrill Lynch & Co., Inc. and subsidiaries | 17,514 | 21,484 | 18,502 | 19,251 | 4,804 | 43,331 | 124,886 | |||||||||||||||||||||
Bank of America, N.A. and other subsidiaries | 26 | 4,777 | - | 35 | 690 | 8,556 | 14,084 | |||||||||||||||||||||
Other debt | 8,271 | 13,960 | 4,967 | 1,754 | 422 | 2,251 | 31,625 | |||||||||||||||||||||
Total long-term debt excluding consolidated VIEs | 34,330 | 83,981 | 33,007 | 40,708 | 19,730 | 150,158 | 361,914 | |||||||||||||||||||||
Long-term debt of consolidated VIEs | 8,812 | 11,377 | 16,524 | 10,476 | 1,219 | 16,337 | 64,745 | |||||||||||||||||||||
Total long-term debt | $ | 43,142 | $ | 95,358 | $ | 49,531 | $ | 51,184 | $ | 20,949 | $ | 166,495 | $ | 426,659 | ||||||||||||||
Table 25 | ||||||||
Long-term Debt By Major Currency | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
U.S. Dollar | $ | 283,594 | $ | 302,487 | ||||
Euros | 86,252 | 87,482 | ||||||
Japanese Yen | 19,807 | 19,901 | ||||||
British Pound | 15,312 | 16,505 | ||||||
Canadian Dollar | 6,647 | 6,628 | ||||||
Australian Dollar | 5,617 | 6,924 | ||||||
Swiss Franc | 4,363 | 3,069 | ||||||
Other | 5,067 | 5,435 | ||||||
Total long-term debt | $ | 426,659 | $ | 448,431 | ||||
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Table 26 | ||||||||||||||||
Consumer Loans | ||||||||||||||||
Countrywide Purchased | ||||||||||||||||
Credit-impaired Loan | ||||||||||||||||
Outstandings | Portfolio | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Residential mortgage(1) | $ | 266,333 | $ | 257,973 | $ | 10,224 | $ | 10,592 | ||||||||
Home equity | 130,654 | 137,981 | 12,315 | 12,590 | ||||||||||||
Discontinued real estate (2) | 12,003 | 13,108 | 10,877 | 11,652 | ||||||||||||
U.S. credit card | 104,659 | 113,785 | n/a | n/a | ||||||||||||
Non-U.S. credit card | 26,037 | 27,465 | n/a | n/a | ||||||||||||
Direct/Indirect consumer(3) | 90,258 | 90,308 | n/a | n/a | ||||||||||||
Other consumer(4) | 2,762 | 2,830 | n/a | n/a | ||||||||||||
Consumer loans excluding loans accounted for under the fair value option | 632,706 | 643,450 | 33,416 | 34,834 | ||||||||||||
Loans accounted for under the fair value option(5) | 5,194 | n/a | n/a | n/a | ||||||||||||
Total consumer loans | $ | 637,900 | $ | 643,450 | $ | 33,416 | $ | 34,834 | ||||||||
(1) | Outstandings include non-U.S. residential mortgages of $90 million at both June 30, 2011 and December 31, 2010. | |
(2) | Outstandings include $10.7 billion and $11.8 billion of pay option loans at June 30, 2011 and December 31, 2010, and $1.3 billion of subprime loans at both June 30, 2011 and December 31, 2010. We no longer originate these products. | |
(3) | Outstandings include dealer financial services loans of $42.1 billion and $43.3 billion, consumer lending loans of $9.9 billion and $12.4 billion, U.S. securities-based lending margin loans of $21.3 billion and $16.6 billion, student loans of $6.3 billion and $6.8 billion, non-U.S. consumer loans of $8.7 billion and $8.0 billion and other consumer loans of $2.0 billion and $3.2 billion at June 30, 2011 and December 31, 2010, respectively. | |
(4) | Outstandings include consumer finance loans of $1.8 billion and $1.9 billion at June 30, 2011 and December 31, 2010. Outstandings also include other non-U.S. consumer loans of $866 million and $803 million and consumer overdrafts of $104 million and $88 million at June 30, 2011 and December 31, 2010. | |
(5) | Consumer loans accounted for under the fair value option include residential mortgage loans of $1.2 billion and discontinued real estate loans of $4.0 billion at June 30, 2011. There were no consumer loans accounted for under the fair value option at December 31, 2010. See Consumer Loans Accounted for Under the Fair Value Option on page 90 andNote 17 – Fair Value Optionto the Consolidated Financial Statements for additional information on the fair value option. | |
n/a = not applicable |
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Table 27 | ||||||||||||||||
Consumer Credit Quality | ||||||||||||||||
Accruing Past Due 90 Days or More | Nonperforming | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Residential mortgage(1, 2) | $ | 20,047 | $ | 16,768 | $ | 16,726 | $ | 17,691 | ||||||||
Home equity(1) | - | - | 2,345 | 2,694 | ||||||||||||
Discontinued real estate (1) | - | - | 324 | 331 | ||||||||||||
U.S. credit card | 2,413 | 3,320 | n/a | n/a | ||||||||||||
Non-U.S. credit card | 607 | 599 | n/a | n/a | ||||||||||||
Direct/Indirect consumer | 810 | 1,058 | 58 | 90 | ||||||||||||
Other consumer | 3 | 2 | 25 | 48 | ||||||||||||
Total (3) | $ | 23,880 | $ | 21,747 | $ | 19,478 | $ | 20,854 | ||||||||
Consumer loans as a percentage of outstanding consumer loans(4) | 3.77 | % | 3.38 | % | 3.08 | % | 3.24 | % | ||||||||
Consumer loans excluding Countrywide PCI and fully-insured loan portfolios as a percentage of outstanding loans(4) | 0.75 | 0.92 | 3.80 | 3.85 | ||||||||||||
(1) | Our policy is to classify consumer real estate-secured loans as nonperforming at 90 days past due, except the Countrywide PCI and fully-insured loan portfolios and loans accounted for under the fair value option as referenced in footnote 2. | |
(2) | Balances accruing past due 90 days or more are fully-insured loans. These balances include $15.7 billion and $8.3 billion of loans on which interest has been curtailed by the FHA, and therefore are no longer accruing interest, although principal is still insured and $4.3 billion and $8.5 billion of loans on which interest is still accruing at June 30, 2011 and December 31, 2010. | |
(3) | Balances exclude consumer loans accounted for under the fair value option at June 30, 2011. At June 30, 2011, there were no loans accounted for under fair value option accruing past due 90 days or more and approximately $2.3 billion that were nonperforming. There were no consumer loans accounted for under the fair value option at December 31, 2010. | |
(4) | Outstanding consumer loans exclude loans accounted for under the fair value option. | |
n/a = not applicable |
Table 28 | ||||||||||||||||||||||||||||||||
Consumer Net Charge-offs and Related Ratios | ||||||||||||||||||||||||||||||||
Net Charge-offs | Net Charge-off Ratios(1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Residential mortgage | $ | 1,104 | $ | 971 | $ | 2,009 | $ | 2,040 | 1.67 | % | 1.57 | % | 1.54 | % | 1.67 | % | ||||||||||||||||
Home equity | 1,263 | 1,741 | 2,442 | 4,138 | 3.84 | 4.71 | 3.68 | 5.55 | ||||||||||||||||||||||||
Discontinued real estate | 26 | 19 | 46 | 40 | 0.84 | 0.54 | 0.73 | 0.57 | ||||||||||||||||||||||||
U.S. credit card | 1,931 | 3,517 | 4,205 | 7,480 | 7.29 | 11.88 | 7.85 | 12.36 | ||||||||||||||||||||||||
Non-U.S. credit card | 429 | 942 | 831 | 1,573 | 6.31 | 13.64 | 6.11 | 11.02 | ||||||||||||||||||||||||
Direct/Indirect consumer | 366 | 879 | 891 | 1,988 | 1.64 | 3.58 | 2.00 | 4.02 | ||||||||||||||||||||||||
Other consumer | 43 | 73 | 83 | 131 | 6.44 | 10.01 | 6.19 | 8.90 | ||||||||||||||||||||||||
Total | $ | 5,162 | $ | 8,142 | $ | 10,507 | $ | 17,390 | 3.27 | 4.96 | 3.32 | 5.28 | ||||||||||||||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option. |
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• | Discontinued real estate loans (e.g., subprime and pay option) | ||
• | Residential mortgage loans and home equity loans for products we no longer originate (e.g., reduced document loans and interest-only loans not underwritten to fully amortizing payment) | ||
• | Loans that would not have been originated under our underwriting standards at December 31, 2010 (e.g., conventional loans with an original loan-to-value (LTV) greater than 95 percent and government-insured loans for which the borrower has a FICO score less than 620) | ||
• | Countrywide PCI loan portfolios | ||
• | Certain loans that met a pre-defined delinquency and probability of default threshold as of January 1, 2011 |
Table 29 | ||||||||||||||||||||||||
Home Loans Portfolio | ||||||||||||||||||||||||
Outstandings | Nonperforming | Net Charge-offs | ||||||||||||||||||||||
June 30, 2011 | ||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months | Six Months | |||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | Ended | Ended | ||||||||||||||||||
Core portfolio | ||||||||||||||||||||||||
Residential mortgage | $ | 175,552 | $ | 166,927 | $ | 1,670 | $ | 1,510 | $ | 34 | $ | 57 | ||||||||||||
Home equity | 69,171 | 71,519 | 261 | 107 | 100 | 148 | ||||||||||||||||||
Legacy Asset Servicing owned portfolio | ||||||||||||||||||||||||
Residential mortgage(1) | 90,781 | 91,046 | 15,056 | 16,181 | 1,070 | 1,952 | ||||||||||||||||||
Home equity | 61,483 | 66,462 | 2,084 | 2,587 | 1,163 | 2,294 | ||||||||||||||||||
Discontinued real estate(1) | 12,003 | 13,108 | 324 | 331 | 26 | 46 | ||||||||||||||||||
Home loans portfolio | ||||||||||||||||||||||||
Residential mortgage | 266,333 | 257,973 | 16,726 | 17,691 | 1,104 | 2,009 | ||||||||||||||||||
Home equity | 130,654 | 137,981 | 2,345 | 2,694 | 1,263 | 2,442 | ||||||||||||||||||
Discontinued real estate | 12,003 | 13,108 | 324 | 331 | 26 | 46 | ||||||||||||||||||
Total home loans portfolio | $ | 408,990 | $ | 409,062 | $ | 19,395 | $ | 20,716 | $ | 2,393 | $ | 4,497 | ||||||||||||
(1) | Balances exclude consumer loans accounted for under the fair value option of residential mortgage loans of $1.2 billion and discontinued real estate loans of $4.0 billion at June 30, 2011. There were no consumer loans accounted for under the fair value option at December 31, 2010. SeeNote 17 — Fair Value Optionto the Consolidated Financial Statements for additional information on the fair value option. |
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Residential Mortgage – Key Credit Statistics
Excluding Countrywide | ||||||||||||||||
Purchased Credit-impaired | ||||||||||||||||
Reported Basis(1) | and Fully-insured Loans | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Outstandings | $ | 266,333 | $ | 257,973 | $ | 169,865 | $ | 180,136 | ||||||||
Accruing past due 30 days or more | 28,091 | 24,267 | 4,289 | 5,117 | ||||||||||||
Accruing past due 90 days or more | 20,047 | 16,768 | n/a | n/a | ||||||||||||
Nonperforming loans | 16,726 | 17,691 | 16,726 | 17,691 | ||||||||||||
Percent of portfolio | ||||||||||||||||
Refreshed LTV greater than 90 but less than 100 | 14 | % | 15 | % | 11 | % | 11 | % | ||||||||
Refreshed LTV greater than 100 | 37 | 32 | 27 | 24 | ||||||||||||
Refreshed FICO below 620 | 22 | 20 | 15 | 15 | ||||||||||||
2006 and 2007 vintages(2) | 29 | 32 | 38 | 40 | ||||||||||||
Excluding Countrywide Purchased Credit-impaired and | ||||||||||||||||||||||||||||||||
Reported Basis | Fully-insured Loans | |||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Net charge-off ratio (3) | 1.67 | % | 1.57 | % | 1.54 | % | 1.67 | % | 2.58 | % | 1.90 | % | 2.33 | % | 1.98 | % | ||||||||||||||||
(1) | Outstandings, accruing past due, nonperforming loans and percentages of portfolio exclude loans accounted for under the fair value option at June 30, 2011. There were no residential mortgage loans accounted for under the fair value option at December 31, 2010. SeeNote 17 – Fair Value Optionto the Consolidated Financial Statements for additional information on the fair value option. | |
(2) | These vintages of loans account for 65 percent and 67 percent of nonperforming residential mortgage loans at June 30, 2011 and December 31, 2010. These vintages of loans accounted for 73 percent and 74 percent of residential mortgage net charge-offs during the three and six months ended June 30, 2011 and 80 percent for both the three and six months ended June 30, 2010. | |
(3) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans, excluding loans accounted for under the fair value option. | |
n/a = not applicable |
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Residential Mortgage State Concentrations
Outstandings(1) | Nonperforming(1) | Net Charge-offs | ||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | June 30 | |||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California | $ | 58,638 | $ | 63,677 | $ | 6,004 | $ | 6,389 | $ | 365 | $ | 407 | $ | 673 | $ | 887 | ||||||||||||||||
Florida | 12,983 | 13,298 | 1,999 | 2,054 | 186 | 135 | 342 | 295 | ||||||||||||||||||||||||
New York | 11,850 | 12,198 | 759 | 772 | 37 | 23 | 56 | 21 | ||||||||||||||||||||||||
Texas | 8,155 | 8,466 | 465 | 492 | 14 | 11 | 26 | 20 | ||||||||||||||||||||||||
Virginia | 6,145 | 6,441 | 419 | 450 | 23 | 17 | 37 | 41 | ||||||||||||||||||||||||
Other U.S./Non-U.S. | 72,094 | 76,056 | �� | 7,080 | 7,534 | 479 | 378 | 875 | 776 | |||||||||||||||||||||||
Residential mortgage loans(2) | $ | 169,865 | $ | 180,136 | $ | 16,726 | $ | 17,691 | $ | 1,104 | $ | 971 | $ | 2,009 | $ | 2,040 | ||||||||||||||||
Fully-insured loan portfolio | 86,244 | 67,245 | ||||||||||||||||||||||||||||||
Countrywide purchased credit-impaired residential mortgage loan portfolio | 10,224 | 10,592 | ||||||||||||||||||||||||||||||
Total residential mortgage loan portfolio | $ | 266,333 | $ | 257,973 | ||||||||||||||||||||||||||||
(1) | Outstandings and nonperforming amounts exclude loans accounted for under the fair value option at June 30, 2011. There were no residential mortgage loans accounted for under the fair value option at December 31, 2010. SeeNote 17 – Fair Value Optionto the Consolidated Financial Statements for additional information on the fair value option. | |
(2) | Amount excludes the Countrywide PCI residential mortgage and fully-insured loan portfolios. |
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Home Equity – Key Credit Statistics
Excluding Countrywide Purchased | ||||||||||||||||
Reported Basis | Credit-impaired Loans | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Outstandings | $ | 130,654 | $ | 137,981 | $ | 118,339 | $ | 125,391 | ||||||||
Accruing past due 30 days or more (1) | 1,681 | 1,929 | 1,681 | 1,929 | ||||||||||||
Nonperforming loans (1) | 2,345 | 2,694 | 2,345 | 2,694 | ||||||||||||
Percent of portfolio | ||||||||||||||||
Refreshed combined loan-to-value greater than 90 but less than 100 | 11 | % | 11 | % | 11 | % | 11 | % | ||||||||
Refreshed combined loan-to-value greater than 100 | 39 | 34 | 36 | 30 | ||||||||||||
Refreshed FICO below 620 | 13 | 14 | 12 | 12 | ||||||||||||
2006 and 2007 vintages(2) | 50 | 50 | 47 | 47 | ||||||||||||
Reported Basis | Excluding Countrywide Purchased Credit-impaired Loans | |||||||||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Net charge-off ratio(3) | 3.84 | % | 4.71 | % | 3.68 | % | 5.55 | % | 4.24 | % | 5.17 | % | 4.05 | % | 6.08 | % | ||||||||||||||||
(1) | Accruing past due 30 days or more include $698 million and $662 million and nonperforming loans include $715 million and $480 million of loans where we service the underlying first-lien at June 30, 2011 and December 31, 2010. | |
(2) | These vintages of loans have higher refreshed consumer LTV ratios and accounted for 55 percent and 57 percent of nonperforming home equity loans at June 30, 2011 and December 31, 2010. These vintages of loans accounted for 65 percent and 66 percent of net charge-offs for the three and six months ended June 30, 2011 and 65 percent for both the three and six months ended June 30, 2010. | |
(3) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans. |
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Home Equity State Concentrations
Outstandings | Nonperforming | Net Charge-offs | ||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | June 30 | |||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California | $ | 33,861 | $ | 35,426 | $ | 623 | $ | 708 | $ | 409 | $ | 601 | $ | 777 | $ | 1,472 | ||||||||||||||||
Florida | 14,175 | 15,028 | 389 | 482 | 247 | 371 | 486 | 885 | ||||||||||||||||||||||||
New Jersey | 7,763 | 8,153 | 159 | 169 | 48 | 60 | 90 | 130 | ||||||||||||||||||||||||
New York | 7,693 | 8,061 | 224 | 246 | 57 | 80 | 110 | 165 | ||||||||||||||||||||||||
Massachusetts | 5,142 | 5,657 | 63 | 71 | 22 | 25 | 42 | 61 | ||||||||||||||||||||||||
Other U.S./Non-U.S. | 49,705 | 53,066 | 887 | 1,018 | 480 | 604 | 937 | 1,425 | ||||||||||||||||||||||||
Home equity loans(1) | $ | 118,339 | $ | 125,391 | $ | 2,345 | $ | 2,694 | $ | 1,263 | $ | 1,741 | $ | 2,442 | $ | 4,138 | ||||||||||||||||
Countrywide purchased credit-impaired home equity portfolio | 12,315 | 12,590 | ||||||||||||||||||||||||||||||
Total home equity loan portfolio | $ | 130,654 | $ | 137,981 | ||||||||||||||||||||||||||||
(1) | Amount excludes the Countrywide PCI home equity portfolio. |
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Countrywide Purchased Credit-impaired Loan Portfolio(1)
June 30, 2011 | ||||||||||||||||||||
Carrying | ||||||||||||||||||||
Unpaid | Related | Value Net of | % of Unpaid | |||||||||||||||||
Principal | Carrying | Valuation | Valuation | Principal | ||||||||||||||||
(Dollars in millions) | Balance | Value | Allowance | Allowance | Balance | |||||||||||||||
Residential mortgage | $ | 10,911 | $ | 10,224 | $ | 1,245 | $ | 8,979 | 82.29 | % | ||||||||||
Home equity | 13,940 | 12,315 | 5,075 | 7,240 | 51.94 | |||||||||||||||
Discontinued real estate | 13,637 | 10,877 | 1,919 | 8,958 | 65.69 | |||||||||||||||
Total Countrywide purchased credit-impaired loan portfolio | $ | 38,488 | $ | 33,416 | $ | 8,239 | $ | 25,177 | 65.42 | % | ||||||||||
December 31, 2010 | ||||||||||||||||||||
Residential mortgage | $ | 11,481 | $ | 10,592 | $ | 663 | $ | 9,929 | 86.48 | % | ||||||||||
Home equity | 15,072 | 12,590 | 4,467 | 8,123 | 53.89 | |||||||||||||||
Discontinued real estate | 14,893 | 11,652 | 1,204 | 10,448 | 70.15 | |||||||||||||||
Total Countrywide purchased credit-impaired loan portfolio | $ | 41,446 | $ | 34,834 | $ | 6,334 | $ | 28,500 | 68.76 | % | ||||||||||
(1) | Certain PCI loans that were originally classified as discontinued real estate loans upon acquisition have been subsequently modified and are now included in the residential mortgage outstandings along with the related valuation allowance. |
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Outstanding Countrywide Purchased Credit-impaired Loan Portfolio–Residential Mortgage State Concentrations
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
California | $ | 5,689 | $ | 5,882 | ||||
Florida | 741 | 779 | ||||||
Virginia | 555 | 579 | ||||||
Maryland | 264 | 271 | ||||||
Texas | 154 | 164 | ||||||
Other U.S./Non-U.S. | 2,821 | 2,917 | ||||||
Total Countrywide purchased credit-impaired residential mortgage loan portfolio | $ | 10,224 | $ | 10,592 | ||||
Outstanding Countrywide Purchased Credit-impaired Loan Portfolio–Home Equity State Concentrations
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
California | $ | 4,063 | $ | 4,178 | ||||
Florida | 743 | 750 | ||||||
Virginia | 515 | 532 | ||||||
Arizona | 510 | 520 | ||||||
Colorado | 361 | 375 | ||||||
Other U.S./Non-U.S. | 6,123 | 6,235 | ||||||
Total Countrywide purchased credit-impaired home equity portfolio | $ | 12,315 | $ | 12,590 | ||||
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Outstanding Countrywide Purchased Credit-impaired Loan Portfolio–Discontinued Real Estate State Concentrations
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
California | $ | 5,866 | $ | 6,322 | ||||
Florida | 1,043 | 1,121 | ||||||
Washington | 350 | 368 | ||||||
Virginia | 314 | 344 | ||||||
Arizona | 297 | 339 | ||||||
Other U.S./Non-U.S. | 3,007 | 3,158 | ||||||
Total Countrywide purchased credit-impaired discontinued real estate loan portfolio | $ | 10,877 | $ | 11,652 | ||||
U.S. Credit Card – Key Credit Statistics
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Outstandings | $ | 104,659 | $ | 113,785 | ||||
Accruing past due 30 days or more | 4,263 | 5,913 | ||||||
Accruing past due 90 days or more | 2,413 | 3,320 | ||||||
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net charge-offs | ||||||||||||||||
Amount | $ | 1,931 | $ | 3,517 | $ | 4,205 | $ | 7,480 | ||||||||
Ratios(1) | 7.29 | % | 11.88 | % | 7.85 | % | 12.36 | % | ||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases. |
U.S. Credit Card State Concentrations
Accruing Past Due | ||||||||||||||||||||||||||||||||
Outstandings | 90 Days or More | Net Charge-offs | ||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California | $ | 15,507 | $ | 17,028 | $ | 426 | $ | 612 | $ | 372 | $ | 740 | $ | 822 | $ | 1,583 | ||||||||||||||||
Florida | 8,196 | 9,121 | 257 | 376 | 225 | 442 | 496 | 956 | ||||||||||||||||||||||||
Texas | 7,007 | 7,581 | 146 | 207 | 113 | 213 | 249 | 456 | ||||||||||||||||||||||||
New York | 6,318 | 6,862 | 141 | 192 | 107 | 184 | 231 | 387 | ||||||||||||||||||||||||
New Jersey | 4,233 | 4,579 | 100 | 132 | 72 | 119 | 157 | 252 | ||||||||||||||||||||||||
Other U.S. | 63,398 | 68,614 | 1,343 | 1,801 | 1,042 | 1,819 | 2,250 | 3,846 | ||||||||||||||||||||||||
Total U.S. credit card portfolio | $ | 104,659 | $ | 113,785 | $ | 2,413 | $ | 3,320 | $ | 1,931 | $ | 3,517 | $ | 4,205 | $ | 7,480 | ||||||||||||||||
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Non-U.S. Credit Card – Key Credit Statistics
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Outstandings | $ | 26,037 | $ | 27,465 | ||||
Accruing past due 30 days or more | 1,215 | 1,354 | ||||||
Accruing past due 90 days or more | 607 | 599 | ||||||
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net charge-offs | ||||||||||||||||
Amount | $ | 429 | $ | 942 | $ | 831 | $ | 1,573 | ||||||||
Ratio(1) | 6.31 | % | 13.64 | % | 6.11 | % | 11.02 | % | ||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases. |
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Direct/Indirect State Concentrations
Outstandings | Accruing Past Due 90 Days or More | Net Charge-offs | ||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
California | $ | 11,149 | $ | 10,558 | $ | 96 | $ | 132 | $ | 54 | $ | 154 | $ | 136 | $ | 361 | ||||||||||||||||
Texas | 7,876 | 7,885 | 57 | 78 | 25 | 67 | 70 | 155 | ||||||||||||||||||||||||
Florida | 7,045 | 6,725 | 58 | 80 | 30 | 90 | 84 | 208 | ||||||||||||||||||||||||
New York | 5,148 | 4,770 | 44 | 56 | 22 | 49 | 49 | 106 | ||||||||||||||||||||||||
Georgia | 2,802 | 2,814 | 39 | 44 | 14 | 33 | 35 | 75 | ||||||||||||||||||||||||
Other U.S./Non-U.S. | 56,238 | 57,556 | 516 | 668 | 221 | 486 | 517 | 1,083 | ||||||||||||||||||||||||
Total direct/indirect loan portfolio | $ | 90,258 | $ | 90,308 | $ | 810 | $ | 1,058 | $ | 366 | $ | 879 | $ | 891 | $ | 1,988 | ||||||||||||||||
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Nonperforming Consumer Loans and Foreclosed Properties Activity(1)
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Nonperforming loans | ||||||||||||||||
Balance, beginning of period | $ | 20,456 | $ | 21,557 | $ | 20,854 | $ | 20,839 | ||||||||
Additions to nonperforming loans: | ||||||||||||||||
New nonaccrual loans(2) | 4,044 | 5,409 | 8,171 | 12,465 | ||||||||||||
Reductions in nonperforming loans: | ||||||||||||||||
Paydowns and payoffs | (1,003 | ) | (528 | ) | (1,782 | ) | (1,153 | ) | ||||||||
Returns to performing status(3) | (1,311 | ) | (1,816 | ) | (2,651 | ) | (4,337 | ) | ||||||||
Charge-offs(4) | (2,300 | ) | (2,607 | ) | (4,320 | ) | (5,524 | ) | ||||||||
Transfers to foreclosed properties | (408 | ) | (331 | ) | (794 | ) | (606 | ) | ||||||||
Total net additions (reductions) to nonperforming loans | (978 | ) | 127 | (1,376 | ) | 845 | ||||||||||
Total nonperforming loans, end of period(5) | 19,478 | 21,684 | 19,478 | 21,684 | ||||||||||||
Foreclosed properties | ||||||||||||||||
Balance, beginning of period | 1,331 | 1,388 | 1,249 | 1,428 | ||||||||||||
Additions to foreclosed properties: | ||||||||||||||||
New foreclosed properties(6) | 930 | 847 | 1,536 | 1,396 | ||||||||||||
Reductions in foreclosed properties: | ||||||||||||||||
Sales | (416 | ) | (453 | ) | (875 | ) | (996 | ) | ||||||||
Write-downs | (48 | ) | (38 | ) | (113 | ) | (84 | ) | ||||||||
Total net additions to foreclosed properties | 466 | 356 | 548 | 316 | ||||||||||||
Total foreclosed properties, end of period | 1,797 | 1,744 | 1,797 | 1,744 | ||||||||||||
Nonperforming consumer loans and foreclosed properties, end of period | $ | 21,275 | $ | 23,428 | $ | 21,275 | $ | 23,428 | ||||||||
Nonperforming consumer loans as a percentage of outstanding consumer loans (7) | 3.08 | % | 3.34 | % | ||||||||||||
Nonperforming consumer loans and foreclosed properties as a percentage of outstanding consumer loans and foreclosed properties(7) | 3.35 | 3.60 | ||||||||||||||
(1) | Balances do not include nonperforming LHFS of $835 million and $1.3 billion at June 30, 2011 and 2010. | |
(2) | The six months ended June 30, 2010 includes $448 million of nonperforming loans as a result of the consolidation of variable interest entities. | |
(3) | Consumer loans may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected, or when the loan otherwise becomes well-secured and is in the process of collection. Certain TDRs are classified as nonperforming at the time of restructure and may only be returned to performing status after considering the borrower’s sustained repayment performance for a reasonable period, generally six months. | |
(4) | Our policy is not to classify consumer credit card and consumer loans not secured by real estate as nonperforming; therefore, the charge-offs on these loans have no impact on nonperforming activity and accordingly are excluded from this table. | |
(5) | At June 30, 2011, 68 percent of nonperforming loans 180 days or more past due and were written down through charge-offs to 67 percent of the unpaid principal balance. | |
(6) | Our policy is to record any losses in the value of foreclosed properties as a reduction in the allowance for loan and lease losses during the first 90 days after transfer of a loan into foreclosed properties. Thereafter, all gains and losses in value are recorded in noninterest expense. New foreclosed properties in the table above are net of $99 million and $187 million of charge-offs for the three months ended June 30, 2011 and 2010, recorded during the first 90 days after transfer. For the six months ended June 30, 2011 and 2010, new foreclosed properties in the table above are net of $160 million and $396 million of charge-offs, recorded during the first 90 days after transfer. | |
(7) | Outstanding consumer loans exclude loans accounted for under the fair value option. |
Home Loans Troubled Debt Restructurings
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions) | Total | Nonperforming | Performing | Total | Nonperforming | Performing | ||||||||||||||||||
Residential mortgage(1, 2) | $ | 15,771 | $ | 3,949 | $ | 11,822 | $ | 11,788 | $ | 3,297 | $ | 8,491 | ||||||||||||
Home equity(3) | 1,815 | 473 | 1,342 | 1,721 | 541 | 1,180 | ||||||||||||||||||
Discontinued real estate(4) | 397 | 206 | 191 | 395 | 206 | 189 | ||||||||||||||||||
Total home loans troubled debt restructurings | $ | 17,983 | $ | 4,628 | $ | 13,355 | $ | 13,904 | $ | 4,044 | $ | 9,860 | ||||||||||||
(1) | Residential mortgage TDRs deemed collateral dependent totaled $3.9 billion and $3.2 billion, and included $1.3 billion and $921 million of loans classified as nonperforming and $2.6 billion and $2.3 billion of loans classified as performing at June 30, 2011 and December 31, 2010. | |
(2) | Residential mortgage performing TDRs included $5.1 billion and $2.5 billion of loans that were fully-insured at June 30, 2011 and December 31, 2010. | |
(3) | Home equity TDRs deemed collateral dependent totaled $787 million and $796 million, and included $216 million and $245 million of loans classified as nonperforming and $571 million and $551 million of loans classified as performing at June 30, 2011 and December 31, 2010. | |
(4) | Discontinued real estate TDRs deemed collateral dependent totaled $227 million and $213 million, and included $110 million and $97 million of loans classified as nonperforming and $117 million and $116 million as performing at June 30, 2011 and December 31, 2010. |
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Commercial Loans and Leases
Accruing Past Due 90 | ||||||||||||||||||||||||
Outstandings | Nonperforming | Days or More | ||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
U.S. commercial | $ | 176,677 | $ | 175,586 | $ | 2,767 | $ | 3,453 | $ | 83 | $ | 236 | ||||||||||||
Commercial real estate(1) | 44,028 | 49,393 | 5,051 | 5,829 | 45 | 47 | ||||||||||||||||||
Commercial lease financing | 21,391 | 21,942 | 23 | 117 | 22 | 18 | ||||||||||||||||||
Non-U.S. commercial | 42,929 | 32,029 | 108 | 233 | 3 | 6 | ||||||||||||||||||
285,025 | 278,950 | 7,949 | 9,632 | 153 | 307 | |||||||||||||||||||
U.S. small business commercial(2) | 13,929 | 14,719 | 156 | 204 | 257 | 325 | ||||||||||||||||||
Commercial loans excluding loans accounted for under the fair value option | 298,954 | 293,669 | 8,105 | 9,836 | 410 | 632 | ||||||||||||||||||
Loans accounted for under the fair value option(3) | 4,403 | 3,321 | 126 | 30 | - | - | ||||||||||||||||||
Total commercial loans and leases | $ | 303,357 | $ | 296,990 | $ | 8,231 | $ | 9,866 | $ | 410 | $ | 632 | ||||||||||||
(1) | Includes U.S. commercial real estate loans of $41.7 billion and $46.9 billion and non-U.S. commercial real estate loans of $2.3 billion and $2.5 billion at June 30, 2011 and December 31, 2010. | |
(2) | Includes card-related products. | |
(3) | Commercial loans accounted for under the fair value option include U.S. commercial loans of $1.6 billion at both June 30, 2011 and December 31, 2010, non-U.S. commercial loans of $2.8 billion and $1.7 billion and commercial real estate loans of $11 million and $79 million at June 30, 2011 and December 31, 2010. SeeNote 17 – Fair Value Optionto the Consolidated Financial Statements for additional information on the fair value option. |
Commercial Net Charge-offs and Related Ratios
Net Charge-offs | Net Charge-off Ratios(1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
U.S. commercial | $ | 60 | $ | 179 | $ | 39 | $ | 465 | 0.14 | % | 0.41 | % | 0.05 | % | 0.52 | % | ||||||||||||||||
Commercial real estate | 163 | 645 | 451 | 1,260 | 1.43 | 4.03 | 1.93 | 3.83 | ||||||||||||||||||||||||
Commercial lease financing | (8 | ) | (3 | ) | (7 | ) | 18 | (0.15 | ) | (0.06 | ) | (0.06 | ) | 0.17 | ||||||||||||||||||
Non-U.S. commercial | 13 | 66 | 116 | 91 | 0.13 | 0.98 | 0.64 | 0.68 | ||||||||||||||||||||||||
228 | 887 | 599 | 1,834 | 0.32 | 1.23 | 0.43 | 1.26 | |||||||||||||||||||||||||
U.S. small business commercial | 275 | 528 | 587 | �� | 1,130 | 7.78 | 12.94 | 8.24 | 13.59 | |||||||||||||||||||||||
Total commercial | $ | 503 | $ | 1,415 | $ | 1,186 | $ | 2,964 | 0.68 | 1.86 | 0.81 | 1.92 | ||||||||||||||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases excluding loans accounted for under the fair value option. |
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Commercial Credit Exposure by Type
Commercial Utilized(1) | Commercial Unfunded(2, 3) | Total Commercial Committed | ||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Loans and leases | $ | 303,357 | $ | 296,990 | $ | 273,554 | $ | 272,172 | $ | 576,911 | $ | 569,162 | ||||||||||||
Derivative assets(4) | 66,598 | 73,000 | - | - | 66,598 | 73,000 | ||||||||||||||||||
Standby letters of credit and financial guarantees(5) | 58,951 | 62,745 | 2,624 | 1,511 | 61,575 | 64,256 | ||||||||||||||||||
Debt securities and other investments(6) | 6,619 | 10,216 | 5,053 | 4,546 | 11,672 | 14,762 | ||||||||||||||||||
Loans held-for-sale | 6,186 | 10,380 | 94 | 242 | 6,280 | 10,622 | ||||||||||||||||||
Commercial letters of credit | 2,820 | 2,654 | 1,693 | 1,179 | 4,513 | 3,833 | ||||||||||||||||||
Bankers’ acceptances | 1,481 | 3,706 | 31 | 23 | 1,512 | 3,729 | ||||||||||||||||||
Foreclosed properties and other | 709 | 731 | - | - | 709 | 731 | ||||||||||||||||||
Total commercial credit exposure | $ | 446,721 | $ | 460,422 | $ | 283,049 | $ | 279,673 | $ | 729,770 | $ | 740,095 | ||||||||||||
(1) | Total commercial utilized exposure at June 30, 2011 and December 31, 2010 includes loans and issued letters of credit accounted for under the fair value option including loans outstanding of $4.4 billion and $3.3 billion and letters of credit with a notional value of $1.2 billion and $1.4 billion. | |
(2) | Total commercial unfunded exposure at June 30, 2011 and December 31, 2010 includes loan commitments accounted for under the fair value option with a notional value of $26.8 billion and $25.9 billion. | |
(3) | Excludes unused business card lines which are not legally binding. | |
(4) | Derivative assets are accounted for under the fair value option, reflect the effects of legally enforceable master netting agreements and have been reduced by cash collateral of $58.8 billion and $58.3 billion at June 30, 2011 and December 31, 2010. Not reflected in utilized and committed exposure is additional derivative collateral held of $15.7 billion and $17.7 billion which consists primarily of other marketable securities. | |
(5) | Excludes $362 million of Other Letters of Credit at June 30, 2011. | |
(6) | Total commercial committed exposure consists of $11.7 billion and $14.2 billion of debt securities and $0 and $590 million of other investments at June 30, 2011 and December 31, 2010. |
Commercial Utilized Reservable Criticized Exposure
June 30, 2011 | December 31, 2010 | |||||||||||||||
(Dollars in millions) | Amount | Percent(1) | Amount | Percent(1) | ||||||||||||
U.S. commercial | $ | 13,895 | 6.08 | % | $ | 17,195 | 7.44 | % | ||||||||
Commercial real estate | 16,781 | 35.58 | 20,518 | 38.88 | ||||||||||||
Commercial lease financing | 1,001 | 4.68 | 1,188 | 5.41 | ||||||||||||
Non-U.S. commercial | 1,934 | 3.87 | 2,043 | 5.01 | ||||||||||||
33,611 | 9.69 | 40,944 | 11.81 | |||||||||||||
U.S. small business commercial | 1,499 | 10.75 | 1,677 | 11.37 | ||||||||||||
Total commercial utilized reservable criticized exposure | $ | 35,110 | 9.73 | $ | 42,621 | 11.80 | ||||||||||
(1) | Percentages are calculated as commercial utilized reservable criticized exposure divided by total commercial utilized reservable exposure for each exposure category. |
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Outstanding Commercial Real Estate Loans
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
By Geographic Region | ||||||||
California | $ | 8,287 | $ | 9,012 | ||||
Northeast | 6,714 | 7,639 | ||||||
Southwest | 5,520 | 6,169 | ||||||
Southeast | 5,343 | 5,806 | ||||||
Midwest | 4,745 | 5,301 | ||||||
Florida | 3,085 | 3,649 | ||||||
Midsouth | 2,283 | 2,627 | ||||||
Illinois | 2,272 | 2,811 | ||||||
Northwest | 2,004 | 2,243 | ||||||
Non-U.S. | 2,326 | 2,515 | ||||||
Other(1) | 1,460 | 1,701 | ||||||
Total outstanding commercial real estate loans(2) | $ | 44,039 | $ | 49,473 | ||||
By Property Type | ||||||||
Office | $ | 8,550 | $ | 9,688 | ||||
Multi-family rental | 6,695 | 7,721 | ||||||
Shopping centers/retail | 6,495 | 7,484 | ||||||
Industrial/warehouse | 4,597 | 5,039 | ||||||
Multi-use | 3,913 | 4,266 | ||||||
Homebuilder(3) | 3,202 | 4,299 | ||||||
Hotels/motels | 2,620 | 2,650 | ||||||
Land and land development | 2,052 | 2,376 | ||||||
Other(4) | 5,915 | 5,950 | ||||||
Total outstanding commercial real estate loans(2) | $ | 44,039 | $ | 49,473 | ||||
(1) | Includes unsecured outstandings to real estate investment trusts and national home builders whose portfolios of properties span multiple geographic regions and properties in the states of Colorado, Utah, Hawaii, Wyoming and Montana. | |
(2) | Includes commercial real estate loans accounted for under the fair value option of $11 million and $79 million at June 30, 2011 and December 31, 2010. | |
(3) | Homebuilder includes condominiums and residential land. | |
(4) | Represents loans to borrowers whose primary business is commercial real estate, but the exposure is not secured by the listed property types or is unsecured. |
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Commercial Real Estate Credit Quality Data
Nonperforming Loans and | Utilized Reservable | |||||||||||||||
Foreclosed Properties(1) | Criticized Exposure(2) | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Commercial real estate – non-homebuilder | ||||||||||||||||
Office | $ | 957 | $ | 1,061 | $ | 3,350 | $ | 3,956 | ||||||||
Multi-family rental | 505 | 500 | 2,360 | 2,940 | ||||||||||||
Shopping centers/retail | 919 | 1,000 | 2,111 | 2,837 | ||||||||||||
Industrial/warehouse | 461 | 420 | 1,885 | 1,878 | ||||||||||||
Multi-use | 431 | 483 | 1,185 | 1,316 | ||||||||||||
Hotels/motels | 168 | 139 | 1,189 | 1,191 | ||||||||||||
Land and land development | 590 | 820 | 1,060 | 1,420 | ||||||||||||
Other | 179 | 168 | 1,386 | 1,604 | ||||||||||||
Total non-homebuilder | 4,210 | 4,591 | 14,526 | 17,142 | ||||||||||||
Commercial real estate – homebuilder | 1,520 | 1,963 | 2,255 | 3,376 | ||||||||||||
Total commercial real estate | $ | 5,730 | $ | 6,554 | $ | 16,781 | $ | 20,518 | ||||||||
(1) | Includes commercial foreclosed properties of $678 million and $725 million at June 30, 2011 and December 31, 2010. | |
(2) | Includes loans, excluding those accounted for under the fair value option, SBLCs and bankers’ acceptances. |
Commercial Real Estate Net Charge-offs and Related Ratios
Net Charge-offs | Net Charge-off Ratios(1) | |||||||||||||||||||||||||||||||
Three Months Ended | Six Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||
June 30 | June 30 | June 30 | June 30 | |||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||
Commercial real estate–non-homebuilder | ||||||||||||||||||||||||||||||||
Office | $ | (10 | ) | $ | 130 | $ | 24 | $ | 193 | (0.46 | )% | 4.53 | % | 0.54 | % | 3.28 | % | |||||||||||||||
Multi-family rental | 20 | 52 | 29 | 87 | 1.14 | 1.92 | 0.80 | 1.60 | ||||||||||||||||||||||||
Shopping centers/retail | 22 | 78 | 110 | 165 | 1.25 | 3.30 | 3.09 | 3.46 | ||||||||||||||||||||||||
Industrial/warehouse | 6 | 16 | 26 | 40 | 0.49 | 1.08 | 1.10 | 1.39 | ||||||||||||||||||||||||
Multi-use | 13 | 51 | 22 | 88 | 1.29 | 3.93 | 1.10 | 3.27 | ||||||||||||||||||||||||
Hotels/motels | 3 | 11 | 11 | 24 | 0.48 | 1.03 | 0.86 | 0.84 | ||||||||||||||||||||||||
Land and land development | 42 | 70 | 92 | 173 | 7.85 | 9.27 | 8.35 | 11.24 | ||||||||||||||||||||||||
Other | (4 | ) | 59 | (2 | ) | 151 | (0.23 | ) | 3.02 | (0.11 | ) | 4.12 | ||||||||||||||||||||
Total non-homebuilder | 92 | 467 | 312 | 921 | 0.87 | 3.23 | 1.45 | 3.10 | ||||||||||||||||||||||||
Commercial real estate – homebuilder | 71 | 178 | 139 | 339 | 8.30 | 11.78 | 7.57 | 10.60 | ||||||||||||||||||||||||
Total commercial real estate | $ | 163 | $ | 645 | $ | 451 | $ | 1,260 | 1.43 | 4.03 | 1.93 | 3.83 | ||||||||||||||||||||
(1) | Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans excluding loans accounted for under the fair value option. |
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Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity(1, 2)
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Nonperforming loans and leases, beginning of period | $ | 9,131 | $ | 12,060 | $ | 9,836 | $ | 12,703 | ||||||||
Additions to nonperforming loans and leases: | ||||||||||||||||
New nonaccrual loans and leases | 1,042 | 2,256 | 2,341 | 4,137 | ||||||||||||
Advances | 52 | 62 | 119 | 145 | ||||||||||||
Reductions in nonperforming loans and leases: | ||||||||||||||||
Paydowns and payoffs | (1,023 | ) | (1,148 | ) | (1,787 | ) | (1,919 | ) | ||||||||
Sales | (141 | ) | (256 | ) | (388 | ) | (426 | ) | ||||||||
Returns to performing status(3) | (362 | ) | (404 | ) | (682 | ) | (727 | ) | ||||||||
Charge-offs(4) | (290 | ) | (870 | ) | (778 | ) | (1,826 | ) | ||||||||
Transfers to foreclosed properties | (241 | ) | (205 | ) | (441 | ) | (524 | ) | ||||||||
Transfers to loans held-for-sale | (63 | ) | (82 | ) | (115 | ) | (150 | ) | ||||||||
Total net reductions to nonperforming loans and leases | (1,026 | ) | (647 | ) | (1,731 | ) | (1,290 | ) | ||||||||
Total nonperforming loans and leases, June 30 | 8,105 | 11,413 | 8,105 | 11,413 | ||||||||||||
Foreclosed properties, beginning of period | 725 | 920 | 725 | 777 | ||||||||||||
Additions to foreclosed properties: | ||||||||||||||||
New foreclosed properties | 130 | 119 | 261 | 379 | ||||||||||||
Reductions in foreclosed properties: | ||||||||||||||||
Sales | (151 | ) | (253 | ) | (271 | ) | (346 | ) | ||||||||
Write-downs | (26 | ) | (29 | ) | (37 | ) | (53 | ) | ||||||||
Total net additions to foreclosed properties | (47 | ) | (163 | ) | (47 | ) | (20 | ) | ||||||||
Total foreclosed properties, June 30 | 678 | 757 | 678 | 757 | ||||||||||||
Nonperforming commercial loans, leases and foreclosed properties, June 30 | $ | 8,783 | $ | 12,170 | $ | 8,783 | $ | 12,170 | ||||||||
Nonperforming commercial loans and leases as a percentage of outstanding commercial loans and leases(5) | 2.71 | % | 3.77 | % | ||||||||||||
Nonperforming commercial loans, leases and foreclosed properties as a percentage of outstanding commercial loans, leases and foreclosed properties(5) | 2.93 | 4.01 | ||||||||||||||
(1) | Balances do not include nonperforming LHFS of $1.3 billion and $2.7 billion at June 30, 2011 and 2010. | |
(2) | Includes U.S. small business commercial activity. | |
(3) | Commercial loans and leases may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected or when the loan otherwise becomes well-secured and is in the process of collection. TDRs are generally classified as performing after a sustained period of demonstrated payment performance. | |
(4) | Business card loans are not classified as nonperforming; therefore, the charge-offs on these loans have no impact on nonperforming activity and accordingly are excluded from this table. | |
(5) | Outstanding commercial loans and leases exclude loans accounted for under the fair value option. |
Commercial Troubled Debt Restructurings
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions) | Total | Nonperforming | Performing | Total | Nonperforming | Performing | ||||||||||||||||||
U.S. commercial | $ | 532 | $ | 348 | $ | 184 | $ | 356 | $ | 175 | $ | 181 | ||||||||||||
Commercial real estate | 1,027 | 868 | 159 | 815 | 770 | 45 | ||||||||||||||||||
Non-U.S. commercial | 88 | 40 | 48 | 19 | 7 | 12 | ||||||||||||||||||
U.S. small business commercial | 521 | - | 521 | 688 | - | 688 | ||||||||||||||||||
Total commercial troubled debt restructurings | $ | 2,168 | $ | 1,256 | $ | 912 | $ | 1,878 | $ | 952 | $ | 926 | ||||||||||||
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Commercial Credit Exposure by Industry(1)
Commercial Utilized | Total Commercial Committed | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Diversified financials | $ | 51,889 | $ | 55,196 | $ | 79,056 | $ | 83,248 | ||||||||
Real estate(2) | 53,597 | 58,531 | 67,093 | 72,004 | ||||||||||||
Government and public education | 42,153 | 44,131 | 58,027 | 59,594 | ||||||||||||
Capital goods | 23,880 | 21,940 | 46,822 | 46,087 | ||||||||||||
Healthcare equipment and services | 28,757 | 30,420 | 45,608 | 47,569 | ||||||||||||
Retailing | 25,530 | 24,660 | 45,604 | 43,950 | ||||||||||||
Consumer services | 23,195 | 24,759 | 37,735 | 39,694 | ||||||||||||
Materials | 17,696 | 15,873 | 35,831 | 33,046 | ||||||||||||
Banks | 32,005 | 26,831 | 35,461 | 29,667 | ||||||||||||
Commercial services and supplies | 20,740 | 20,056 | 31,344 | 30,517 | ||||||||||||
Energy | 12,661 | 9,765 | 29,817 | 26,328 | ||||||||||||
Food, beverage and tobacco | 14,697 | 14,777 | 28,920 | 28,126 | ||||||||||||
Utilities | 6,407 | 6,990 | 24,697 | 24,207 | ||||||||||||
Insurance, including monolines | 16,306 | 17,263 | 23,059 | 24,417 | ||||||||||||
Individuals and trusts | 16,249 | 18,278 | 20,498 | 22,899 | ||||||||||||
Media | 10,730 | 11,611 | 20,461 | 20,619 | ||||||||||||
Transportation | 11,778 | 12,070 | 18,129 | 18,436 | ||||||||||||
Pharmaceuticals and biotechnology | 4,998 | 3,859 | 12,152 | 11,009 | ||||||||||||
Technology hardware and equipment | 4,557 | 4,373 | 11,005 | 10,932 | ||||||||||||
Religious and social organizations | 8,087 | 8,409 | 10,319 | 10,823 | ||||||||||||
Telecommunication services | 3,890 | 3,823 | 10,096 | 9,321 | ||||||||||||
Software and services | 3,480 | 3,837 | 8,995 | 9,531 | ||||||||||||
Consumer durables and apparel | 4,329 | 4,297 | 8,938 | 8,836 | ||||||||||||
Food and staples retailing | 3,123 | 3,222 | 6,521 | 6,161 | ||||||||||||
Automobiles and components | 2,466 | 2,090 | 6,391 | 5,941 | ||||||||||||
Other | 3,521 | 13,361 | 7,191 | 17,133 | ||||||||||||
Total commercial credit exposure by industry | $ | 446,721 | $ | 460,422 | $ | 729,770 | $ | 740,095 | ||||||||
Net credit default protection purchased on total commitments(3) | $ | (19,861 | ) | $ | (20,118 | ) | ||||||||||
(1) | Includes U.S. small business commercial exposure. | |
(2) | Industries are viewed from a variety of perspectives to best isolate the perceived risks. For purposes of this table, the real estate industry is defined based on the borrowers’ or counterparties’ primary business activity using operating cash flows and primary source of repayment as key factors. | |
(3) | Represents net notional credit protection purchased. See Risk Mitigation below for additional information. |
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Net Credit Default Protection by Maturity Profile
June 30 | December 31 | |||||||
2011 | 2010 | |||||||
Less than or equal to one year | 14 | % | 14 | % | ||||
Greater than one year and less than or equal to five years | 80 | 80 | ||||||
Greater than five years | 6 | 6 | ||||||
Total net credit default protection | 100 | % | 100 | % | ||||
Net Credit Default Protection by Credit Exposure Debt Rating(1)
(Dollars in millions) | June 30, 2011 | December 31, 2010 | ||||||||||||||
Net | Percent of | Net | Percent of | |||||||||||||
Ratings(2) | Notional | Total | Notional | Total | ||||||||||||
AA | $ | (313 | ) | 1.6 | % | $ | (188 | ) | 0.9 | % | ||||||
A | (7,016 | ) | 35.3 | (6,485 | ) | 32.2 | ||||||||||
BBB | (7,542 | ) | 38.0 | (7,731 | ) | 38.4 | ||||||||||
BB | (1,659 | ) | 8.4 | (2,106 | ) | 10.5 | ||||||||||
B | (1,381 | ) | 7.0 | (1,260 | ) | 6.3 | ||||||||||
CCC and below | (756 | ) | 3.8 | (762 | ) | 3.8 | ||||||||||
NR(3) | (1,194 | ) | 5.9 | (1,586 | ) | 7.9 | ||||||||||
Total net credit default protection | $ | (19,861 | ) | 100.0 | % | $ | (20,118 | ) | 100.0 | % | ||||||
(1) | Ratings are refreshed on a quarterly basis. | |
(2) | The Corporation considers ratings of BBB- or higher to meet the definition of investment-grade. | |
(3) | In addition to names that have not been rated, “NR” includes $(1.1) billion and $(1.5) billion in net credit default swaps index positions at June 30, 2011 and December 31, 2010. While index positions are principally investment-grade, credit default swaps indices include names in and across each of the ratings categories. |
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Credit Derivatives
June 30, 2011 | December 31, 2010 | |||||||||||||||
(Dollars in millions) | Contract/Notional | Credit Risk | Contract/Notional | Credit Risk | ||||||||||||
Purchased credit derivatives: | ||||||||||||||||
Credit default swaps | $ | 2,065,664 | $ | 15,029 | $ | 2,184,703 | $ | 18,150 | ||||||||
Total return swaps/other | 41,401 | 601 | 26,038 | 1,013 | ||||||||||||
Total purchased credit derivatives | 2,107,065 | 15,630 | 2,210,741 | 19,163 | ||||||||||||
Written credit derivatives: | ||||||||||||||||
Credit default swaps | 1,990,530 | n/a | 2,133,488 | n/a | ||||||||||||
Total return swaps/other | 40,788 | n/a | 22,474 | n/a | ||||||||||||
Total written credit derivatives | 2,031,318 | n/a | 2,155,962 | n/a | ||||||||||||
Total credit derivatives | $ | 4,138,383 | $ | 15,630 | $ | 4,366,703 | $ | 19,163 | ||||||||
n/a = not applicable |
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Selected Emerging Markets(1)
Total | ||||||||||||||||||||||||||||||||
Emerging | Increase | |||||||||||||||||||||||||||||||
Loans and | Local Country | Market | (Decrease) | |||||||||||||||||||||||||||||
Leases, and | Securities/ | Total Cross- | Exposure Net | Exposure at | From | |||||||||||||||||||||||||||
Loan | Other | Derivative | Other | border | of Local | June 30, | December 31, | |||||||||||||||||||||||||
(Dollars in millions) | Commitments | Financing(2) | Assets(3) | Investments(4) | Exposure(5) | Liabilities(6) | 2011 | 2010 | ||||||||||||||||||||||||
Region/Country | ||||||||||||||||||||||||||||||||
Asia Pacific | ||||||||||||||||||||||||||||||||
China | $ | 2,534 | $ | 425 | $ | 990 | $ | 21,494 | $ | 25,443 | $ | 99 | $ | 25,542 | $ | 1,614 | ||||||||||||||||
India | 4,154 | 1,485 | 551 | 2,381 | 8,571 | 516 | 9,087 | 819 | ||||||||||||||||||||||||
South Korea | 873 | 1,255 | 401 | 2,105 | 4,634 | 1,774 | 6,408 | 1,129 | ||||||||||||||||||||||||
Taiwan | 472 | 78 | 74 | 603 | 1,227 | 1,519 | 2,746 | 891 | ||||||||||||||||||||||||
Singapore | 616 | 43 | 428 | 1,488 | 2,575 | - | 2,575 | 29 | ||||||||||||||||||||||||
Hong Kong | 518 | 396 | 178 | 1,056 | 2,148 | 287 | 2,435 | 393 | ||||||||||||||||||||||||
Thailand | 20 | 15 | 32 | 878 | 945 | - | 945 | 276 | ||||||||||||||||||||||||
Malaysia | 85 | 10 | 132 | 476 | 703 | 2 | 705 | 471 | ||||||||||||||||||||||||
Indonesia | 148 | 15 | 5 | 519 | 687 | 7 | 694 | 545 | ||||||||||||||||||||||||
Other Asia Pacific(7) | 226 | 92 | 53 | 381 | 752 | - | 752 | 421 | ||||||||||||||||||||||||
Total Asia Pacific | 9,646 | 3,814 | 2,844 | 31,381 | 47,685 | 4,204 | 51,889 | 6,588 | ||||||||||||||||||||||||
Latin America | ||||||||||||||||||||||||||||||||
Brazil | 1,254 | 375 | 407 | 3,213 | 5,249 | 1,848 | 7,097 | 1,291 | ||||||||||||||||||||||||
Mexico | 2,029 | 475 | 257 | 3,032 | 5,793 | - | 5,793 | 1,408 | ||||||||||||||||||||||||
Chile | 1,069 | 58 | 336 | 27 | 1,490 | 41 | 1,531 | 5 | ||||||||||||||||||||||||
Peru | 373 | 114 | 20 | 92 | 599 | - | 599 | 81 | ||||||||||||||||||||||||
Other Latin America(7) | 263 | 346 | 39 | 334 | 982 | 152 | 1,134 | (403 | ) | |||||||||||||||||||||||
Total Latin America | 4,988 | 1,368 | 1,059 | 6,698 | 14,113 | 2,041 | 16,154 | 2,382 | ||||||||||||||||||||||||
Middle East and Africa | ||||||||||||||||||||||||||||||||
United Arab Emirates | 1,088 | 30 | 126 | 85 | 1,329 | - | 1,329 | 153 | ||||||||||||||||||||||||
Bahrain | 79 | 1 | 4 | 1,001 | 1,085 | 2 | 1,087 | (73 | ) | |||||||||||||||||||||||
South Africa | 361 | 22 | 88 | 48 | 519 | - | 519 | (52 | ) | |||||||||||||||||||||||
Other Middle East and Africa(7) | 513 | 103 | 93 | 209 | 918 | 28 | 946 | 165 | ||||||||||||||||||||||||
Total Middle East and Africa | 2,041 | 156 | 311 | 1,343 | 3,851 | 30 | 3,881 | 193 | ||||||||||||||||||||||||
Central and Eastern Europe | ||||||||||||||||||||||||||||||||
Russian Federation | 819 | 117 | 12 | 187 | 1,135 | 11 | 1,146 | 610 | ||||||||||||||||||||||||
Turkey | 321 | 45 | 6 | 217 | 589 | 96 | 685 | 185 | ||||||||||||||||||||||||
Other Central and Eastern Europe(7) | 116 | 84 | 221 | 492 | 913 | - | 913 | (340 | ) | |||||||||||||||||||||||
Total Central and Eastern Europe | 1,256 | 246 | 239 | 896 | 2,637 | 107 | 2,744 | 455 | ||||||||||||||||||||||||
Total emerging markets exposure | $ | 17,931 | $ | 5,584 | $ | 4,453 | $ | 40,318 | $ | 68,286 | $ | 6,382 | $ | 74,668 | $ | 9,618 | ||||||||||||||||
(1) | There is no generally accepted definition of emerging markets. The definition that we use includes all countries in Asia Pacific excluding Japan, Australia and New Zealand; all countries in Latin America excluding Cayman Islands and Bermuda; all countries in Middle East and Africa; and all countries in Central and Eastern Europe. At June 30, 2011 and December 31, 2010, there was $526 million and $460 million in emerging markets exposure accounted for under the fair value option. | |
(2) | Includes acceptances, due froms, SBLCs, commercial letters of credit and formal guarantees. | |
(3) | Derivative assets are accounted for under the fair value option and have been reduced by the amount of cash collateral applied of $1.1 billion and $1.2 billion at June 30, 2011 and December 31, 2010. At June 30, 2011 and December 31, 2010, there were $226 million and $408 million of other marketable securities collateralizing derivative assets. | |
(4) | Generally, cross-border resale agreements are presented based on the domicile of the counterparty, consistent with FFIEC reporting requirements. Cross-border resale agreements where the underlying securities are U.S. Treasury securities, in which case the domicile is the U.S., are excluded from this presentation. | |
(5) | Cross-border exposure includes amounts payable to the Corporation by borrowers or counterparties with a country of residence other than the one in which the credit is booked, regardless of the currency in which the claim is denominated, consistent with FFIEC reporting requirements. | |
(6) | Local country exposure includes amounts payable to the Corporation by borrowers with a country of residence in which the credit is booked regardless of the currency in which the claim is denominated. Local funding or liabilities are subtracted from local exposures consistent with FFIEC reporting requirements. Total amount of available local liabilities funding local country exposure was $21.4 billion and $15.7 billion at June 30, 2011 and December 31, 2010. Local liabilities at June 30, 2011 in Asia Pacific, Latin America, and Middle East and Africa were $19.2 billion, $1.6 billion and $579 million, respectively, of which $8.8 billion was in Singapore, $2.6 billion in Hong Kong, $2.4 billion in China, $2.1 billion in India, $1.5 billion in Mexico, $1.0 billion in Korea, $949 million in Indonesia and $579 million in South Africa. There were no other countries with available local liabilities funding local country exposure greater than $500 million. | |
(7) | No country included in Other Asia Pacific, Other Latin America, Other Middle East and Africa, and Other Central and Eastern Europe had total non-U.S. exposure of more than $500 million. |
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Selected European Countries
Total | ||||||||||||||||||||||||||||||||
Loans and | Local Country | Non-U.S. | ||||||||||||||||||||||||||||||
Leases, and | Securities/ | Total Cross- | Exposure Net | Exposure at | ||||||||||||||||||||||||||||
Loan | Other | Derivative | Other | border | of Local | June 30, | Credit Default | |||||||||||||||||||||||||
(Dollars in millions) | Commitments | Financing(1) | Assets(2) | Investments(3) | Exposure(4) | Liabilities(5) | 2011 | Protection(6) | ||||||||||||||||||||||||
Greece | ||||||||||||||||||||||||||||||||
Sovereign | $ | - | $ | - | $ | - | $ | 17 | $ | 17 | $ | - | $ | 17 | $ | (7 | ) | |||||||||||||||
Non-sovereign | 399 | 5 | 52 | 47 | 503 | - | 503 | - | ||||||||||||||||||||||||
Total Greece | $ | 399 | $ | 5 | $ | 52 | $ | 64 | $ | 520 | $ | - | $ | 520 | $ | (7 | ) | |||||||||||||||
Ireland | ||||||||||||||||||||||||||||||||
Sovereign | $ | 1 | $ | - | $ | 10 | $ | 25 | $ | 36 | $ | - | $ | 36 | $ | - | ||||||||||||||||
Non-sovereign | 1,625 | 570 | 304 | 298 | 2,797 | - | 2,797 | (41 | ) | |||||||||||||||||||||||
Total Ireland | $ | 1,626 | $ | 570 | $ | 314 | $ | 323 | $ | 2,833 | $ | - | $ | 2,833 | $ | (41 | ) | |||||||||||||||
Italy | ||||||||||||||||||||||||||||||||
Sovereign | $ | 28 | $ | - | $ | 1,320 | $ | 16 | $ | 1,364 | $ | 9 | $ | 1,373 | $ | (1,361 | ) | |||||||||||||||
Non-sovereign | 1,165 | 18 | 655 | 1,233 | 3,071 | 2,450 | 5,521 | (252 | ) | |||||||||||||||||||||||
Total Italy | $ | 1,193 | $ | 18 | $ | 1,975 | $ | 1,249 | $ | 4,435 | $ | 2,459 | $ | 6,894 | $ | (1,613 | ) | |||||||||||||||
Portugal | ||||||||||||||||||||||||||||||||
Sovereign | $ | - | $ | - | $ | 32 | $ | - | $ | 32 | $ | - | $ | 32 | $ | (30 | ) | |||||||||||||||
Non-sovereign | 280 | 22 | 6 | 80 | 388 | - | 388 | - | ||||||||||||||||||||||||
Total Portugal | $ | 280 | $ | 22 | $ | 38 | $ | 80 | $ | 420 | $ | - | $ | 420 | $ | (30 | ) | |||||||||||||||
Spain | ||||||||||||||||||||||||||||||||
Sovereign | $ | 27 | $ | - | $ | 39 | $ | 5 | $ | 71 | $ | 52 | $ | 123 | $ | (64 | ) | |||||||||||||||
Non-sovereign | 911 | 102 | 241 | 2,199 | 3,453 | 2,490 | 5,943 | (14 | ) | |||||||||||||||||||||||
Total Spain | $ | 938 | $ | 102 | $ | 280 | $ | 2,204 | $ | 3,524 | $ | 2,542 | $ | 6,066 | $ | (78 | ) | |||||||||||||||
Total | ||||||||||||||||||||||||||||||||
Sovereign | $ | 56 | $ | - | $ | 1,401 | $ | 63 | $ | 1,520 | $ | 61 | $ | 1,581 | $ | (1,462 | ) | |||||||||||||||
Non-sovereign | 4,380 | 717 | 1,258 | 3,857 | 10,212 | 4,940 | 15,152 | (307 | ) | |||||||||||||||||||||||
Total selected European exposure | $ | 4,436 | $ | 717 | $ | 2,659 | $ | 3,920 | $ | 11,732 | $ | 5,001 | $ | 16,733 | $ | (1,769 | ) | |||||||||||||||
(1) | Includes acceptances, due froms, SBLCs, commercial letters of credit and formal guarantees. | |
(2) | Derivative assets are accounted for under the fair value option and have been reduced by the amount of cash collateral applied of $3.1 billion at June 30, 2011. At June 30, 2011, there was $77 million of other marketable securities collateralizing derivative assets. | |
(3) | Generally, cross-border resale agreements are presented based on the domicile of the counterparty, consistent with FFIEC reporting requirements. Cross-border resale agreements where the underlying securities are U.S. Treasury securities, in which case the domicile is the U.S., are excluded from this presentation. | |
(4) | Cross-border exposure includes amounts payable to the Corporation by borrowers or counterparties with a country of residence other than the one in which the credit is booked, regardless of the currency in which the claim is denominated, consistent with FFIEC reporting requirements. | |
(5) | Local country exposure includes amounts payable to the Corporation by borrowers with a country of residence in which the credit is booked regardless of the currency in which the claim is denominated. Local funding or liabilities of $957 million are subtracted from local exposures consistent with FFIEC reporting requirements. Of the $957 million applied for exposure reduction, $389 million was in Italy, $362 million in Ireland, $158 million in Spain and $48 million in Greece. | |
(6) | Represents net notional credit default protection purchased to hedge counterparty risk. |
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Allowance for Credit Losses
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Allowance for loan and lease losses, beginning of period | $ | 39,843 | $ | 46,835 | $ | 41,885 | $ | 47,988 | ||||||||
Loans and leases charged off | ||||||||||||||||
Residential mortgage | (1,244 | ) | (986 | ) | (2,226 | ) | (2,062 | ) | ||||||||
Home equity | (1,332 | ) | (1,813 | ) | (2,614 | ) | (4,280 | ) | ||||||||
Discontinued real estate | (27 | ) | (20 | ) | (52 | ) | (47 | ) | ||||||||
U.S. credit card | (2,139 | ) | (3,709 | ) | (4,624 | ) | (7,850 | ) | ||||||||
Non-U.S. credit card | (498 | ) | (989 | ) | (949 | ) | (1,663 | ) | ||||||||
Direct/Indirect consumer | (552 | ) | (1,130 | ) | (1,292 | ) | (2,502 | ) | ||||||||
Other consumer | (56 | ) | (88 | ) | (111 | ) | (164 | ) | ||||||||
Total consumer charge-offs | (5,848 | ) | (8,735 | ) | (11,868 | ) | (18,568 | ) | ||||||||
U.S. commercial(1) | (440 | ) | (811 | ) | (893 | ) | (1,783 | ) | ||||||||
Commercial real estate | (299 | ) | (659 | ) | (641 | ) | (1,289 | ) | ||||||||
Commercial lease financing | (6 | ) | (17 | ) | (17 | ) | (43 | ) | ||||||||
Non-U.S. commercial | (14 | ) | (84 | ) | (114 | ) | (124 | ) | ||||||||
Total commercial charge-offs | (759 | ) | (1,571 | ) | (1,665 | ) | (3,239 | ) | ||||||||
Total loans and leases charged off | (6,607 | ) | (10,306 | ) | (13,533 | ) | (21,807 | ) | ||||||||
Recoveries of loans and leases previously charged off | ||||||||||||||||
Residential mortgage | 140 | 15 | 217 | 22 | ||||||||||||
Home equity | 69 | 72 | 172 | 142 | ||||||||||||
Discontinued real estate | 1 | 1 | 6 | 7 | ||||||||||||
U.S. credit card | 208 | 192 | 419 | 370 | ||||||||||||
Non-U.S. credit card | 69 | 47 | 118 | 90 | ||||||||||||
Direct/Indirect consumer | 186 | 251 | 401 | 514 | ||||||||||||
Other consumer | 13 | 15 | 28 | 33 | ||||||||||||
Total consumer recoveries | 686 | 593 | 1,361 | 1,178 | ||||||||||||
U.S. commercial(2) | 105 | 104 | 267 | 188 | ||||||||||||
Commercial real estate | 136 | 14 | 190 | 29 | ||||||||||||
Commercial lease financing | 14 | 20 | 24 | 25 | ||||||||||||
Non-U.S. commercial | 1 | 18 | (2 | ) | 33 | |||||||||||
Total commercial recoveries | 256 | 156 | 479 | 275 | ||||||||||||
Total recoveries of loans and leases previously charged off | 942 | 749 | 1,840 | 1,453 | ||||||||||||
Net charge-offs | (5,665 | ) | (9,557 | ) | (11,693 | ) | (20,354 | ) | ||||||||
Provision for loan and lease losses | 3,260 | 8,105 | 7,176 | 17,704 | ||||||||||||
Other | (126 | ) | (128 | ) | (56 | ) | (83 | ) | ||||||||
Allowance for loan and lease losses, June 30 | 37,312 | 45,255 | 37,312 | 45,255 | ||||||||||||
Reserve for unfunded lending commitments, beginning of period | 961 | 1,521 | 1,188 | 1,487 | ||||||||||||
Provision for unfunded lending commitments | (5 | ) | - | (107 | ) | 206 | ||||||||||
Other | (59 | ) | (108 | ) | (184 | ) | (280 | ) | ||||||||
Reserve for unfunded lending commitments, June 30 | 897 | 1,413 | 897 | 1,413 | ||||||||||||
Allowance for credit losses, June 30 | $ | 38,209 | $ | 46,668 | $ | 38,209 | $ | 46,668 | ||||||||
(1) | Includes U.S. small business commercial charge-offs of $304 million and $640 million for the three and six months ended June 30, 2011 compared to $554 million and $1.2 billion for the same periods in 2010. | |
(2) | Includes U.S. small business commercial recoveries of $29 million and $53 million for the three and six months ended June 30, 2011 compared to $26 million and $49 million for the same periods in 2010. |
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Allowance for Credit Losses (continued)
Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Loans and leases outstanding at June 30(3) | $ | 931,660 | $ | 952,279 | $ | 931,660 | $ | 952,279 | ||||||||
Allowance for loan and lease losses as a percentage of total loans and leases and outstanding at June 30(3) | 4.00 | % | 4.75 | % | 4.00 | % | 4.75 | % | ||||||||
Consumer allowance for loan and lease losses as a percentage of total consumer loans outstanding at June 30 | 5.04 | 5.62 | 5.04 | 5.62 | ||||||||||||
Commercial allowance for loan and lease losses as a percentage of total commercial loans and leases outstanding at June 30(3) | 1.82 | 2.89 | 1.82 | 2.89 | ||||||||||||
Average loans and leases outstanding(3) | $ | 929,408 | $ | 962,850 | $ | 932,352 | $ | 974,847 | ||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding(3) | 2.44 | % | 3.98 | % | 2.53 | % | 4.21 | % | ||||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases at June 30(3, 5) | 135 | 137 | 135 | 137 | ||||||||||||
Ratio of the allowance for loan and lease losses at June 30 to annualized net charge-offs | 1.64 | 1.18 | 1.58 | 1.10 | ||||||||||||
Amounts included in allowance that are excluded from nonperforming loans(4) | $ | 19,935 | $ | 24,338 | $ | 19,935 | $ | 24,338 | ||||||||
Allowance as a percentage of total nonperforming loans and leases excluding the amounts included in the allowance that are excluded from nonperforming loans(4) | 63.00 | % | 63.20 | % | 63.00 | % | 63.20 | % | ||||||||
Excluding purchased credit-impaired loans:(6) | ||||||||||||||||
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at June 30(3) | 3.24 | % | 4.37 | % | 3.24 | % | 4.37 | % | ||||||||
Consumer allowance for loan and lease losses as a percentage of total consumer loans outstanding at June 30 | 3.95 | 5.09 | 3.95 | 5.09 | ||||||||||||
Commercial allowance for loan and lease losses as a percentage of total commercial loans and leases outstanding at June 30(3) | 1.82 | 2.88 | 1.82 | 2.88 | ||||||||||||
Annualized net charge-offs as a percentage of average loans and leases outstanding(3) | 2.54 | 4.11 | 2.63 | 4.36 | ||||||||||||
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases at June 30(3, 5) | 105 | 121 | 105 | 121 | ||||||||||||
Ratio of the allowance for loan and lease losses at June 30 to annualized net charge-offs | 1.28 | 1.05 | 1.23 | 0.98 | ||||||||||||
(3) | Outstanding loan and lease balances and ratios do not include loans accounted for under the fair value option. Loans accounted for under the fair value option were $9.6 billion and $3.9 billion at June 30, 2011 and 2010. Average loans accounted for under the fair value option were $9.1 billion and $6.4 billion for the three and six months ended June 30, 2011 compared to $4.2 billion and $4.4 billion for the same periods in 2010. | |
(4) | Amounts included in allowance that are excluded from nonperforming loans primarily includes amounts allocated toGlobal Card Servicesportfolios and PCI. | |
(5) | For more information on our definition of nonperforming loans, see pages 90 and 98. | |
(6) | Metrics exclude the impact of Countrywide consumer PCI loans and Merrill Lynch commercial PCI loans. |
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Allocation of the Allowance for Credit Losses by Product Type
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Percent of | Percent of | |||||||||||||||||||||||
Loans and | Loans and | |||||||||||||||||||||||
Percent of | Leases | Percent of | Leases | |||||||||||||||||||||
(Dollars in millions) | Amount | Total | Outstanding (1) | Amount | Total | Outstanding(1) | ||||||||||||||||||
Allowance for loan and lease losses | ||||||||||||||||||||||||
Residential mortgage | $ | 5,845 | 15.66 | % | 2.19 | % | $ | 5,082 | 12.14 | % | 1.97 | % | ||||||||||||
Home equity | 13,111 | 35.14 | 10.03 | 12,887 | 30.77 | 9.34 | ||||||||||||||||||
Discontinued real estate | 1,997 | 5.35 | 16.64 | 1,283 | 3.06 | 9.79 | ||||||||||||||||||
U.S. credit card | 7,540 | 20.21 | 7.20 | 10,876 | 25.97 | 9.56 | ||||||||||||||||||
Non-U.S. credit card | 1,771 | 4.75 | 6.80 | 2,045 | 4.88 | 7.45 | ||||||||||||||||||
Direct/Indirect consumer | 1,475 | 3.95 | 1.63 | 2,381 | 5.68 | 2.64 | ||||||||||||||||||
Other consumer | 145 | 0.39 | 5.25 | 161 | 0.38 | 5.67 | ||||||||||||||||||
Total consumer | 31,884 | 85.45 | 5.04 | 34,715 | 82.88 | 5.40 | ||||||||||||||||||
U.S. commercial(2) | 2,792 | 7.48 | 1.46 | 3,576 | 8.54 | 1.88 | ||||||||||||||||||
Commercial real estate | 2,314 | 6.20 | 5.26 | 3,137 | 7.49 | 6.35 | ||||||||||||||||||
Commercial lease financing | 99 | 0.27 | 0.46 | 126 | 0.30 | 0.57 | ||||||||||||||||||
Non-U.S. commercial | 223 | 0.60 | 0.52 | 331 | 0.79 | 1.03 | ||||||||||||||||||
Total commercial(3) | 5,428 | 14.55 | 1.82 | 7,170 | 17.12 | 2.44 | ||||||||||||||||||
Allowance for loan and lease losses | 37,312 | 100.00 | % | 4.00 | 41,885 | 100.00 | % | 4.47 | ||||||||||||||||
Reserve for unfunded lending commitments | 897 | 1,188 | ||||||||||||||||||||||
Allowance for credit losses(4) | $ | 38,209 | $ | 43,073 | ||||||||||||||||||||
(1) | Ratios are calculated as allowance for loan and lease losses as a percentage of loans and leases outstanding excluding loans accounted for under the fair value option for each loan and lease category. Consumer loans accounted for under the fair value option include residential mortgage loans of $1.2 billion and discontinued real estate of $4.0 billion at June 30, 2011. There were no consumer loans accounted for under the fair value option at December 31, 2010. Commercial loans accounted for under the fair value option include U.S. commercial loans of $1.6 billion and $1.6 billion, non-U.S. commercial loans of $2.8 billion and $1.7 billion, and commercial real estate loans of $11 million and $79 million at June 30, 2011 and December 31, 2010. | |
(2) | Includes allowance for U.S. small business commercial loans of $1.0 billion and $1.5 billion at June 30, 2011 and December 31, 2010. | |
(3) | Includes allowance for loan and lease losses for impaired commercial loans of $778 million and $1.1 billion at June 30, 2011 and December 31, 2010. | |
(4) | Includes $8.4 billion and $6.4 billion of valuation reserve presented with the allowance for credit losses related to PCI loans at June 30, 2011 and December 31, 2010. |
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Daily Trading-related Revenue VaR
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Trading Activities Market Risk VaR
Three Months Ended | Three Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||
June 30, 2011 | March 31, 2011 | June 30, 2010 | June 30 | |||||||||||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average | High(1) | Low(1) | Average | High(1) | Low(1) | Average | High(1) | Low(1) | Average | Average | |||||||||||||||||||||||||||||||||
Foreign exchange | $ | 14.3 | $ | 34.6 | $ | 6.0 | $ | 28.7 | $ | 48.6 | $ | 13.2 | $ | 21.5 | $ | 63.0 | $ | 6.6 | $ | 21.4 | $ | 34.5 | ||||||||||||||||||||||
Interest rate | 63.6 | 76.6 | 49.5 | 48.7 | 73.1 | 33.2 | 56.4 | 89.7 | 38.4 | 56.2 | 60.0 | |||||||||||||||||||||||||||||||||
Credit | 133.6 | 155.3 | 97.3 | 138.3 | 154.4 | 120.7 | 175.8 | 216.2 | 146.8 | 135.9 | 191.8 | |||||||||||||||||||||||||||||||||
Real estate/mortgage | 100.2 | 138.9 | 72.5 | 93.7 | 139.5 | 73.9 | 71.0 | 80.2 | 63.5 | 97.0 | 67.4 | |||||||||||||||||||||||||||||||||
Equities | 55.2 | 79.5 | 32.1 | 50.1 | 82.8 | 25.1 | 36.6 | 68.1 | 20.9 | 52.7 | 49.7 | |||||||||||||||||||||||||||||||||
Commodities | 23.7 | 33.8 | 15.9 | 23.9 | 29.5 | 17.9 | 23.2 | 31.7 | 14.0 | 23.8 | 22.7 | |||||||||||||||||||||||||||||||||
Portfolio diversification | (161.4 | ) | - | - | (199.5 | ) | - | - | (195.5 | ) | - | - | (180.3 | ) | (194.4 | ) | ||||||||||||||||||||||||||||
Total market-based trading portfolio | $ | 229.2 | $ | 318.6 | $ | 140.9 | $ | 183.9 | $ | 260.5 | $ | 140.3 | $ | 189.0 | $ | 296.3 | $ | 123.0 | $ | 206.7 | $ | 231.7 | ||||||||||||||||||||||
(1) | The high and low for the total portfolio may not equal the sum of the individual components as the highs or lows of the individual portfolios may have occurred on different trading days. |
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Forward Rates
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Three-month | Three-month | |||||||||||||||||||||||
Federal Funds | LIBOR | 10-Year Swap | Federal Funds | LIBOR | 10-Year Swap | |||||||||||||||||||
Spot rates | 0.25 | % | 0.25 | % | 3.28 | % | 0.25 | % | 0.30 | % | 3.39 | % | ||||||||||||
12-month forward rates | 0.25 | 0.61 | 3.73 | 0.25 | 0.72 | 3.86 | ||||||||||||||||||
Estimated Core Net Interest Income
(Dollars in millions) | June 30 | December 31 | ||||||||||||||
Curve Change | Short Rate (bps) | Long Rate (bps) | 2011 | 2010 | ||||||||||||
+100 bps Parallel shift | +100 | +100 | $ | 597 | $ | 601 | ||||||||||
-50 bps Parallel shift | -50 | -50 | (720 | ) | (499 | ) | ||||||||||
Flatteners | ||||||||||||||||
Short end | +100 | - | 60 | 136 | ||||||||||||
Long end | - | -50 | (400 | ) | (280 | ) | ||||||||||
Long end | - | -100 | (901 | ) | (637 | ) | ||||||||||
Steepeners | ||||||||||||||||
Short end | -50 | - | (319 | ) | (209 | ) | ||||||||||
Long end | - | +100 | 542 | 493 | ||||||||||||
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Asset and Liability Management Interest Rate and Foreign Exchange Contracts
June 30, 2011 | ||||||||||||||||||||||||||||||||||||
Expected Maturity | ||||||||||||||||||||||||||||||||||||
Average | ||||||||||||||||||||||||||||||||||||
(Dollars in millions, average | Fair | Estimated | ||||||||||||||||||||||||||||||||||
estimated duration in years) | Value | Total | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Duration | |||||||||||||||||||||||||||
Receive-fixed interest rate swaps(1, 2) | $ | 7,499 | 5.12 | |||||||||||||||||||||||||||||||||
Notional amount | $ | 100,235 | $ | - | $ | 23,422 | $ | 7,769 | $ | 7,713 | $ | 10,788 | $ | 50,543 | ||||||||||||||||||||||
Weighted-average fixed-rate | 4.18 | % | - | % | 2.60 | % | 3.85 | % | 3.88 | % | 4.01 | % | 5.04 | % | ||||||||||||||||||||||
Pay-fixed interest rate swaps(1, 2) | (4,076 | ) | 11.12 | |||||||||||||||||||||||||||||||||
Notional amount | $ | 98,435 | $ | - | $ | 2,550 | $ | 1,435 | $ | 3,077 | $ | 17,436 | $ | 73,937 | ||||||||||||||||||||||
Weighted-average fixed-rate | 3.40 | % | - | % | 1.48 | % | 2.50 | % | 2.17 | % | 2.52 | % | 3.74 | % | ||||||||||||||||||||||
Same-currency basis swaps(3) | 5 | |||||||||||||||||||||||||||||||||||
Notional amount | $ | 171,907 | $ | 9,422 | $ | 49,766 | $ | 45,383 | $ | 24,357 | $ | 14,854 | $ | 28,125 | ||||||||||||||||||||||
Foreign exchange basis swaps(2, 4, 5) | 7,189 | |||||||||||||||||||||||||||||||||||
Notional amount | 269,034 | 15,724 | 46,746 | 45,615 | 56,387 | 25,884 | 78,678 | |||||||||||||||||||||||||||||
Option products(6) | (133 | ) | ||||||||||||||||||||||||||||||||||
Notional amount(8) | 10,944 | 3,100 | 1,500 | 2,252 | 600 | 300 | 3,192 | |||||||||||||||||||||||||||||
Foreign exchange contracts(2, 5, 7) | 2,735 | |||||||||||||||||||||||||||||||||||
Notional amount(8) | 35,608 | (11,410 | ) | 5,792 | 7,966 | 11,156 | 2,212 | 19,892 | ||||||||||||||||||||||||||||
Futures and forward rate contracts | 24 | |||||||||||||||||||||||||||||||||||
Notional amount(8) | 2,086 | 2,086 | - | - | - | - | - | |||||||||||||||||||||||||||||
Net ALM contracts | $ | 13,243 | ||||||||||||||||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||||||||||||||||||
Expected Maturity | ||||||||||||||||||||||||||||||||||||
Average | ||||||||||||||||||||||||||||||||||||
(Dollars in millions, average | Fair | Estimated | ||||||||||||||||||||||||||||||||||
estimated duration in years) | Value | Total | 2011 | 2012 | 2013 | 2014 | 2015 | Thereafter | Duration | |||||||||||||||||||||||||||
Receive-fixed interest rate swaps(1, 2) | $ | 7,364 | 4.45 | |||||||||||||||||||||||||||||||||
Notional amount | $ | 104,949 | $ | 8 | $ | 36,201 | $ | 7,909 | $ | 7,270 | $ | 8,094 | $ | 45,467 | ||||||||||||||||||||||
Weighted-average fixed-rate | 3.94 | % | 1.00 | % | 2.49 | % | 3.90 | % | 3.66 | % | 3.71 | % | 5.19 | % | ||||||||||||||||||||||
Pay-fixed interest rate swaps(1, 2) | (3,827 | ) | 6.03 | |||||||||||||||||||||||||||||||||
Notional amount | $ | 156,067 | $ | 50,810 | $ | 16,205 | $ | 1,207 | $ | 4,712 | $ | 10,933 | $ | 72,200 | ||||||||||||||||||||||
Weighted-average fixed-rate | 3.02 | % | 2.37 | % | 2.15 | % | 2.88 | % | 2.40 | % | 2.75 | % | 3.76 | % | ||||||||||||||||||||||
Same-currency basis swaps(3) | 103 | |||||||||||||||||||||||||||||||||||
Notional amount | $ | 152,849 | $ | 13,449 | $ | 49,509 | $ | 31,503 | $ | 21,085 | $ | 11,431 | $ | 25,872 | ||||||||||||||||||||||
Foreign exchange basis swaps(2, 4, 5) | 4,830 | |||||||||||||||||||||||||||||||||||
Notional amount | 235,164 | 21,936 | 39,365 | 46,380 | 41,003 | 23,430 | 63,050 | |||||||||||||||||||||||||||||
Option products(6) | (120 | ) | ||||||||||||||||||||||||||||||||||
Notional amount(8) | 6,572 | (1,180 | ) | 2,092 | 2,390 | 603 | 311 | 2,356 | ||||||||||||||||||||||||||||
Foreign exchange contracts(2, 5, 7) | 4,272 | |||||||||||||||||||||||||||||||||||
Notional amount(8) | 109,544 | 59,508 | 5,427 | 10,048 | 13,035 | 2,372 | 19,154 | |||||||||||||||||||||||||||||
Futures and forward rate contracts | (21 | ) | ||||||||||||||||||||||||||||||||||
Notional amount(8) | (280 | ) | (280 | ) | - | - | - | - | - | |||||||||||||||||||||||||||
Net ALM contracts | $ | 12,601 | ||||||||||||||||||||||||||||||||||
(1) | At June 30, 2011 and December 31, 2010, the receive-fixed interest rate swap notional amounts that represented forward starting swaps and which will not be effective until their respective contractual start dates were $1.7 billion. The forward starting pay-fixed swap positions at June 30, 2011 and December 31, 2010 were $25.1 billion and $34.5 billion. | |
(2) | Does not include basis adjustments on either fixed-rate debt issued by the Corporation or AFS debt securities which are hedged using derivatives designated as fair value hedging instruments that substantially offset the fair values of these derivatives. | |
(3) | At June 30, 2011 and December 31, 2010, same-currency basis swaps consisted of $171.9 billion and $152.8 billion in both foreign currency and U.S. dollar-denominated basis swaps in which both sides of the swap are in the same-currency. | |
(4) | Foreign exchange basis swaps consisted of cross-currency variable interest rate swaps used separately or in conjunction with receive-fixed interest rate swaps. | |
(5) | Does not include foreign currency translation adjustments on certain non-U.S. debt issued by the Corporation that substantially offset the fair values of these derivatives. | |
(6) | Option products of $10.9 billion at June 30, 2011 were comprised of $43 million in purchased caps/floors, $8.0 billion in swaptions and $2.9 billion of foreign exchange options. Option products of $6.6 billion at December 31, 2010 were comprised of $160 million in purchased caps/floors, $8.2 billion in swaptions and $(1.8) billion in foreign exchange options. | |
(7) | Foreign exchange contracts include foreign currency-denominated and cross-currency receive-fixed interest rate swaps as well as foreign currency forward rate contracts. Total notional amount was comprised of $47.0 billion in foreign currency-denominated and cross-currency receive-fixed swaps and ($11.4) billion in net foreign currency forward rate contracts at June 30, 2011, and $57.6 billion in foreign currency-denominated and cross-currency receive-fixed swaps and $52.0 billion in foreign currency forward rate contracts at December 31, 2010. | |
(8) | Reflects the net of long and short positions. |
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Level 3 Asset and Liability Summary
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
As a % | As a % | |||||||||||||||||||||||
of Total | As a % | of Total | As a % | |||||||||||||||||||||
Level 3 | Level 3 | of Total | Level 3 | Level 3 | of Total | |||||||||||||||||||
(Dollars in millions) | Fair Value | Assets | Assets | Fair Value | Assets | Assets | ||||||||||||||||||
Trading account assets | $ | 14,024 | 19.16 | % | 0.62 | % | $ | 15,525 | 19.56 | % | 0.69 | % | ||||||||||||
Derivative assets | 15,214 | 20.79 | 0.67 | 18,773 | 23.65 | 0.83 | ||||||||||||||||||
AFS debt securities | 13,462 | 18.40 | 0.60 | 15,873 | 19.99 | 0.70 | ||||||||||||||||||
All other Level 3 assets at fair value | 30,476 | 41.65 | 1.35 | 29,217 | 36.80 | 1.29 | ||||||||||||||||||
Total Level 3 assets at fair value(1) | $ | 73,176 | 100.00 | % | 3.24 | % | $ | 79,388 | 100.00 | % | 3.51 | % | ||||||||||||
As a % | As a % | |||||||||||||||||||||||
of Total | As a % | of Total | As a % | |||||||||||||||||||||
Level 3 | Level 3 | of Total | Level 3 | Level 3 | of Total | |||||||||||||||||||
Fair Value | Liabilities | Liabilities | Fair Value | Liabilities | Liabilities | |||||||||||||||||||
Derivative liabilities | $ | 9,796 | 66.62 | % | 0.48 | % | $ | 11,028 | 70.90 | % | 0.54 | % | ||||||||||||
Long-term debt | 3,324 | 22.61 | 0.16 | 2,986 | 19.20 | 0.15 | ||||||||||||||||||
All other Level 3 liabilities at fair value | 1,584 | 10.77 | 0.08 | 1,541 | 9.90 | 0.07 | ||||||||||||||||||
Total Level 3 liabilities at fair value(1) | $ | 14,704 | 100.00 | % | 0.72 | % | $ | 15,555 | 100.00 | % | 0.76 | % | ||||||||||||
(1) | Level 3 total assets and liabilities are shown before the impact of counterparty netting related to our derivative positions. |
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ABS | Asset-backed securities | |
AFS | Available-for-sale | |
ALM | Asset and liability management | |
ALMRC | Asset Liability Market Risk Committee | |
ARM | Adjustable-rate mortgage | |
CDO | Collateralized debt obligation | |
CES | Common Equivalent Securities | |
CMBS | Commercial mortgage-backed securities | |
CRA | Community Reinvestment Act | |
CRC | Credit Risk Committee | |
DVA | Debit valuation adjustment | |
EAD | Exposure at default | |
FDIC | Federal Deposit Insurance Corporation | |
FFIEC | Federal Financial Institutions Examination Council | |
FHA | Federal Housing Administration | |
FHLMC | Freddie Mac | |
FICC | Fixed income, currencies and commodities | |
FICO | Fair Isaac Corporation (credit score) | |
FNMA | Fannie Mae | |
FTE | Fully taxable-equivalent | |
GAAP | Accounting principles generally accepted in the United States of America | |
GNMA | Government National Mortgage Association | |
GRC | Global Markets Risk Committee | |
GSE | Government-sponsored enterprise | |
HFI | Held-for-investment | |
HPI | Home Price Index | |
HUD | U.S. Department of Housing and Urban Development | |
IPO | Initial public offering | |
LCR | Liquidity Coverage Ratio | |
LGD | Loss given default | |
LHFS | Loans held-for-sale | |
LIBOR | London InterBank Offered Rate | |
MBS | Mortgage-backed securities | |
MD&A | Management’s Discussion and Analysis of Financial Condition and Results of Operations | |
MSA | Metropolitan Statistical Area | |
NSFR | Net Stable Funding Ratio | |
OCC | Office of the Comptroller of the Currency | |
OCI | Other comprehensive income | |
ORC | Operational Risk Committee | |
OTC | Over-the-counter | |
OTTI | Other-than-temporary impairment | |
RMBS | Residential mortgage-backed securities | |
ROTE | Return on average tangible shareholders’ equity | |
SBLCs | Standby letters of credit | |
SEC | Securities and Exchange Commission | |
TLGP | Temporary Liquidity Guarantee Program |
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Bank of America Corporation and Subsidiaries
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except per share information) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Interest income | ||||||||||||||||
Loans and leases | $ | 11,320 | $ | 12,887 | $ | 23,249 | $ | 26,362 | ||||||||
Debt securities | 2,675 | 2,917 | 5,557 | 6,033 | ||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | 597 | 457 | 1,114 | 905 | ||||||||||||
Trading account assets | 1,538 | 1,796 | 3,164 | 3,539 | ||||||||||||
Other interest income | 918 | 1,062 | 1,886 | 2,159 | ||||||||||||
Total interest income | 17,048 | 19,119 | 34,970 | 38,998 | ||||||||||||
Interest expense | ||||||||||||||||
Deposits | 843 | 1,031 | 1,682 | 2,153 | ||||||||||||
Short-term borrowings | 1,341 | 891 | 2,525 | 1,709 | ||||||||||||
Trading account liabilities | 627 | 715 | 1,254 | 1,375 | ||||||||||||
Long-term debt | 2,991 | 3,582 | 6,084 | 7,112 | ||||||||||||
Total interest expense | 5,802 | 6,219 | 11,545 | 12,349 | ||||||||||||
Net interest income | 11,246 | 12,900 | 23,425 | 26,649 | ||||||||||||
Noninterest income | ||||||||||||||||
Card income | 1,967 | 2,023 | 3,795 | 3,999 | ||||||||||||
Service charges | 2,012 | 2,576 | 4,044 | 5,142 | ||||||||||||
Investment and brokerage services | 3,009 | 2,994 | 6,110 | 6,019 | ||||||||||||
Investment banking income | 1,684 | 1,319 | 3,262 | 2,559 | ||||||||||||
Equity investment income | 1,212 | 2,766 | 2,687 | 3,391 | ||||||||||||
Trading account profits | 2,091 | 1,227 | 4,813 | 6,463 | ||||||||||||
Mortgage banking income (loss) | (13,196 | ) | 898 | (12,566 | ) | 2,398 | ||||||||||
Insurance income | 400 | 678 | 1,013 | 1,393 | ||||||||||||
Gains on sales of debt securities | 899 | 37 | 1,445 | 771 | ||||||||||||
Other income | 1,957 | 1,861 | 2,218 | 3,065 | ||||||||||||
Other-than-temporary impairment losses on available-for-sale debt securities: | ||||||||||||||||
Total other-than-temporary impairment losses | (63 | ) | (462 | ) | (157 | ) | (1,783 | ) | ||||||||
Less: Portion of other-than-temporary impairment losses recognized in other comprehensive income | 18 | 336 | 24 | 1,056 | ||||||||||||
Net impairment losses recognized in earnings on available-for-sale debt securities | (45 | ) | (126 | ) | (133 | ) | (727 | ) | ||||||||
Total noninterest income | 1,990 | 16,253 | 16,688 | 34,473 | ||||||||||||
Total revenue, net of interest expense | 13,236 | 29,153 | 40,113 | 61,122 | ||||||||||||
Provision for credit losses | 3,255 | 8,105 | 7,069 | 17,910 | ||||||||||||
Noninterest expense | ||||||||||||||||
Personnel | 9,171 | 8,789 | 19,339 | 17,947 | ||||||||||||
Occupancy | 1,245 | 1,182 | 2,434 | 2,354 | ||||||||||||
Equipment | 593 | 613 | 1,199 | 1,226 | ||||||||||||
Marketing | 560 | 495 | 1,124 | 982 | ||||||||||||
Professional fees | 766 | 644 | 1,412 | 1,161 | ||||||||||||
Amortization of intangibles | 382 | 439 | 767 | 885 | ||||||||||||
Data processing | 643 | 632 | 1,338 | 1,280 | ||||||||||||
Telecommunications | 391 | 359 | 762 | 689 | ||||||||||||
Other general operating | 6,343 | 3,592 | 11,800 | 7,475 | ||||||||||||
Goodwill impairment | 2,603 | - | 2,603 | - | ||||||||||||
Merger and restructuring charges | 159 | 508 | 361 | 1,029 | ||||||||||||
Total noninterest expense | 22,856 | 17,253 | 43,139 | 35,028 | ||||||||||||
Income (loss) before income taxes | (12,875 | ) | 3,795 | (10,095 | ) | 8,184 | ||||||||||
Income tax expense (benefit) | (4,049 | ) | 672 | (3,318 | ) | 1,879 | ||||||||||
Net income (loss) | $ | (8,826 | ) | $ | 3,123 | $ | (6,777 | ) | $ | 6,305 | ||||||
Preferred stock dividends | 301 | 340 | 611 | 688 | ||||||||||||
Net income (loss) applicable to common shareholders | $ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
Per common share information | ||||||||||||||||
Earnings (loss) | $ | (0.90 | ) | $ | 0.28 | $ | (0.73 | ) | $ | 0.56 | ||||||
Diluted earnings (loss) | (0.90 | ) | 0.27 | (0.73 | ) | 0.55 | ||||||||||
Dividends paid | 0.01 | 0.01 | 0.02 | 0.02 | ||||||||||||
Average common shares issued and outstanding (in thousands) | 10,094,928 | 9,956,773 | 10,085,479 | 9,570,166 | ||||||||||||
Average diluted common shares issued and outstanding (in thousands) | 10,094,928 | 10,029,776 | 10,085,479 | 10,020,926 | ||||||||||||
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June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Assets | ||||||||
Cash and cash equivalents | $ | 119,527 | $ | 108,427 | ||||
Time deposits placed and other short-term investments | 20,291 | 26,433 | ||||||
Federal funds sold and securities borrowed or purchased under agreements to resell (includes$95,115and $78,599 measured at fair value and$233,257and $209,249 pledged as collateral) | 235,181 | 209,616 | ||||||
Trading account assets (includes$16,928and $42,221 pledged as collateral) | 196,939 | 194,671 | ||||||
Derivative assets | 66,598 | 73,000 | ||||||
Debt securities: | ||||||||
Available-for-sale (includes$80,262and $99,925 pledged as collateral) | 330,871 | 337,627 | ||||||
Held-to-maturity, at cost (fair value -$181and $427) | 181 | 427 | ||||||
Total debt securities | 331,052 | 338,054 | ||||||
Loans and leases (includes$9,597and $3,321 measured at fair value and$65,923 and $91,730 pledged as collateral) | 941,257 | 940,440 | ||||||
Allowance for loan and lease losses | (37,312 | ) | (41,885 | ) | ||||
Loans and leases, net of allowance | 903,945 | 898,555 | ||||||
Premises and equipment, net | 13,793 | 14,306 | ||||||
Mortgage servicing rights (includes$12,372and $14,900 measured at fair value) | 12,642 | 15,177 | ||||||
Goodwill | 71,074 | 73,861 | ||||||
Intangible assets | 9,176 | 9,923 | ||||||
Loans held-for-sale (includes$15,143and $25,942 measured at fair value) | 20,092 | 35,058 | ||||||
Customer and other receivables | 86,550 | 85,704 | ||||||
Other assets (includes$66,153and $70,531 measured at fair value) | 174,459 | 182,124 | ||||||
Total assets | $ | 2,261,319 | $ | 2,264,909 | ||||
Assets of consolidated VIEs included in total assets above (substantially all pledged as collateral) | ||||||||
Trading account assets | $ | 10,746 | $ | 19,627 | ||||
Derivative assets | 2,293 | 2,027 | ||||||
Available-for-sale debt securities | 251 | 2,601 | ||||||
Loans and leases | 151,928 | 145,469 | ||||||
Allowance for loan and lease losses | (6,367 | ) | (8,935 | ) | ||||
Loans and leases, net of allowance | 145,561 | 136,534 | ||||||
Loans held-for-sale | 1,561 | 1,953 | ||||||
All other assets | 7,115 | 7,086 | ||||||
Total assets of consolidated VIEs | $ | 167,527 | $ | 169,828 | ||||
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June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Liabilities | ||||||||
Deposits in U.S. offices: | ||||||||
Noninterest-bearing | $ | 301,558 | $ | 285,200 | ||||
Interest-bearing (includes$3,334and $2,732 measured at fair value) | 647,480 | 645,713 | ||||||
Deposits in non-U.S. offices: | ||||||||
Noninterest-bearing | 6,555 | 6,101 | ||||||
Interest-bearing | 82,815 | 73,416 | ||||||
Total deposits | 1,038,408 | 1,010,430 | ||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase (includes$42,453and $37,424 measured at fair value) | 239,521 | 245,359 | ||||||
Trading account liabilities | 74,989 | 71,985 | ||||||
Derivative liabilities | 54,414 | 55,914 | ||||||
Commercial paper and other short-term borrowings (includes$4,865and $7,178 measured at fair value) | 50,632 | 59,962 | ||||||
Accrued expenses and other liabilities (includes$25,398and $33,229 measured at fair value and$897and $1,188 of reserve for unfunded lending commitments) | 154,520 | 144,580 | ||||||
Long-term debt (includes$60,737and $50,984 measured at fair value) | 426,659 | 448,431 | ||||||
Total liabilities | 2,039,143 | 2,036,661 | ||||||
Commitments and contingencies (Note 8 – Securitizations and Other Variable Interest Entities, Note 9 – Representations and Warranties Obligations and Corporate GuaranteesandNote 11 – Commitments and Contingencies) | ||||||||
Shareholders’ equity | ||||||||
Preferred stock, $0.01 par value; authorized —100,000,000shares; issued and outstanding —3,943,660and 3,943,660 shares | 16,562 | 16,562 | ||||||
Common stock and additional paid-in capital, $0.01 par value; authorized —12,800,000,000shares; issued and outstanding —10,133,189,501and 10,085,154,806 shares | 151,567 | 150,905 | ||||||
Retained earnings | 53,254 | 60,849 | ||||||
Accumulated other comprehensive income (loss) | 793 | (66 | ) | |||||
Other | - | (2 | ) | |||||
Total shareholders’ equity | 222,176 | 228,248 | ||||||
Total liabilities and shareholders’ equity | $ | 2,261,319 | $ | 2,264,909 | ||||
Liabilities of consolidated VIEs included in total liabilities above | ||||||||
Commercial paper and other short-term borrowings (includes$974and $706 of non-recourse liabilities) | $ | 5,421 | $ | 6,742 | ||||
Long-term debt (includes$59,177and $66,309 of non-recourse debt) | 64,745 | 71,013 | ||||||
All other liabilities (includes$251and $382 of non-recourse liabilities) | 1,127 | 9,141 | ||||||
Total liabilities of consolidated VIEs | $ | 71,293 | $ | 86,896 | ||||
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Common Stock and | Accumulated | |||||||||||||||||||||||||||||||
Additional Paid-in | Other | Total | Comprehensive | |||||||||||||||||||||||||||||
Preferred | Capital | Retained | Comprehensive | Shareholders’ | Income | |||||||||||||||||||||||||||
(Dollars in millions, shares in thousands) | Stock | Shares | Amount | Earnings | Income (Loss) | Other | Equity | (Loss) | ||||||||||||||||||||||||
Balance, December 31, 2009 | $ | 37,208 | 8,650,244 | $ | 128,734 | $ | 71,233 | $ | (5,619 | ) | $ | (112 | ) | $ | 231,444 | |||||||||||||||||
Cumulative adjustment for accounting change - Consolidation of certain VIEs | (6,154 | ) | (116 | ) | (6,270 | ) | $ | (116 | ) | |||||||||||||||||||||||
Net income | 6,305 | 6,305 | 6,305 | |||||||||||||||||||||||||||||
Net change in available-for-sale debt and marketable equity securities | 1,520 | 1,520 | 1,520 | |||||||||||||||||||||||||||||
Net change in derivatives | (505 | ) | (505 | ) | (505 | ) | ||||||||||||||||||||||||||
Employee benefit plan adjustments | 127 | 127 | 127 | |||||||||||||||||||||||||||||
Net change in foreign currency translation adjustments | 146 | 146 | 146 | |||||||||||||||||||||||||||||
Dividends paid: | ||||||||||||||||||||||||||||||||
Common | (202 | ) | (202 | ) | ||||||||||||||||||||||||||||
Preferred | (688 | ) | (688 | ) | ||||||||||||||||||||||||||||
Common stock issued under employee plans and related tax effects | 96,773 | 1,197 | 61 | 1,258 | ||||||||||||||||||||||||||||
Common Equivalent Securities conversion | (19,244 | ) | 1,286,000 | 19,244 | - | |||||||||||||||||||||||||||
Other | 29 | 3 | 7 | 39 | ||||||||||||||||||||||||||||
Balance, June 30, 2010 | $ | 17,993 | 10,033,017 | $ | 149,175 | $ | 70,497 | $ | (4,447 | ) | $ | (44 | ) | $ | 233,174 | $ | 7,477 | |||||||||||||||
Balance, December 31, 2010 | $ | 16,562 | 10,085,155 | $ | 150,905 | $ | 60,849 | $ | (66 | ) | $ | (2 | ) | $ | 228,248 | |||||||||||||||||
Net loss | (6,777 | ) | (6,777 | ) | $ | (6,777 | ) | |||||||||||||||||||||||||
Net change in available-for-sale debt and marketable equity securities | 754 | 754 | 754 | |||||||||||||||||||||||||||||
Net change in derivatives | (66 | ) | (66 | ) | (66 | ) | ||||||||||||||||||||||||||
Employee benefit plan adjustments | 138 | 138 | 138 | |||||||||||||||||||||||||||||
Net change in foreign currency translation adjustments | 33 | 33 | 33 | |||||||||||||||||||||||||||||
Dividends paid: | ||||||||||||||||||||||||||||||||
Common | (207 | ) | (207 | ) | ||||||||||||||||||||||||||||
Preferred | (611 | ) | (611 | ) | ||||||||||||||||||||||||||||
Common stock issued under employee plans and related tax effects | 48,035 | 662 | 1 | 663 | ||||||||||||||||||||||||||||
Other | - | 1 | 1 | |||||||||||||||||||||||||||||
Balance, June 30, 2011 | $ | 16,562 | 10,133,190 | $ | 151,567 | $ | 53,254 | $ | 793 | $ | - | $ | 222,176 | $ | (5,918 | ) | ||||||||||||||||
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Six Months Ended June 30 | ||||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Operating activities | ||||||||
Net income (loss) | $ | (6,777 | ) | $ | 6,305 | |||
Reconciliation of net income (loss) to net cash provided by operating activities: | ||||||||
Provision for credit losses | 7,069 | 17,910 | ||||||
Goodwill impairment | 2,603 | - | ||||||
Gains on sales of debt securities | (1,445 | ) | (771 | ) | ||||
Depreciation and premises improvements amortization | 1,002 | 1,113 | ||||||
Amortization of intangibles | 767 | 885 | ||||||
Deferred income taxes | (3,418 | ) | 1,264 | |||||
Net decrease in trading and derivative instruments | 4,716 | 32,108 | ||||||
Net decrease in other assets | 19,340 | 3,205 | ||||||
Net increase in accrued expenses and other liabilities | 9,556 | 2,518 | ||||||
Other operating activities, net | 17,790 | (25,186 | ) | |||||
Net cash provided by operating activities | 51,203 | 39,351 | ||||||
Investing activities | ||||||||
Net decrease in time deposits placed and other short-term investments | 6,142 | 3,561 | ||||||
Net increase in federal funds sold and securities borrowed or purchased under agreements to resell | (25,565 | ) | (57,734 | ) | ||||
Proceeds from sales of available-for-sale debt securities | 41,422 | 63,356 | ||||||
Proceeds from paydowns and maturities of available-for-sale debt securities | 28,729 | 36,458 | ||||||
Purchases of available-for-sale debt securities | (59,846 | ) | (99,704 | ) | ||||
Proceeds from maturities of held-to-maturity debt securities | - | 3 | ||||||
Purchases of held-to-maturity debt securities | - | (100 | ) | |||||
Proceeds from sales of loans and leases | 1,517 | 3,525 | ||||||
Other changes in loans and leases, net | (8,147 | ) | 19,657 | |||||
Net purchases of premises and equipment | (489 | ) | (149 | ) | ||||
Proceeds from sales of foreclosed properties | 1,146 | 1,342 | ||||||
Cash received due to impact of adoption of new consolidation guidance | - | 2,807 | ||||||
Other investing activities, net | (313 | ) | 6,905 | |||||
Net cash used in investing activities | (15,404 | ) | (20,073 | ) | ||||
Financing activities | ||||||||
Net increase (decrease) in deposits | 27,978 | (17,144 | ) | |||||
Net increase (decrease) in federal funds purchased and securities loaned or sold under agreements to repurchase | (5,838 | ) | 52,026 | |||||
Net decrease in commercial paper and other short-term borrowings | (9,330 | ) | (18,303 | ) | ||||
Proceeds from issuance of long-term debt | 16,959 | 38,920 | ||||||
Retirement of long-term debt | (53,929 | ) | (44,157 | ) | ||||
Cash dividends paid | (818 | ) | (890 | ) | ||||
Excess tax benefits on share-based payments | 39 | 47 | ||||||
Other financing activities, net | - | (34 | ) | |||||
Net cash provided by (used in) financing activities | (24,939 | ) | 10,465 | |||||
Effect of exchange rate changes on cash and cash equivalents | 240 | (48 | ) | |||||
Net increase in cash and cash equivalents | 11,100 | 29,695 | ||||||
Cash and cash equivalents at January 1 | 108,427 | 121,339 | ||||||
Cash and cash equivalents at June 30 | $ | 119,527 | $ | 151,034 | ||||
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Notes to Consolidated Financial Statements
133
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134
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135
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Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Severance and employee-related charges | $ | 65 | $ | 123 | $ | 133 | $ | 274 | ||||||||
Systems integrations and related charges | 79 | 329 | 185 | 639 | ||||||||||||
Other | 15 | 56 | 43 | 116 | ||||||||||||
Total merger and restructuring charges | $ | 159 | $ | 508 | $ | 361 | $ | 1,029 | ||||||||
Restructuring Reserves | ||||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Balance, January 1 | $ | 336 | $ | 403 | ||||
Exit costs and restructuring charges: | ||||||||
Merrill Lynch | 65 | 106 | ||||||
Other | - | 30 | ||||||
Cash payments and other | (237 | ) | (294 | ) | ||||
Balance, March 31 | $ | 164 | $ | 245 | ||||
Exit costs and restructuring charges: | ||||||||
Merrill Lynch | 62 | 93 | ||||||
Other | - | 23 | ||||||
Cash payments and other | (57 | ) | (101 | ) | ||||
Balance, June 30 | $ | 169 | $ | 260 | ||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Trading account assets | ||||||||
U.S. government and agency securities(1) | $ | 45,968 | $ | 60,811 | ||||
Corporate securities, trading loans and other | 49,309 | 49,352 | ||||||
Non-U.S. sovereign debt | 46,723 | 33,523 | ||||||
Equity securities | 37,801 | 32,129 | ||||||
Mortgage trading loans and asset-backed securities | 17,138 | 18,856 | ||||||
Total trading account assets | $ | 196,939 | $ | 194,671 | ||||
Trading account liabilities | ||||||||
U.S. government and agency securities | $ | 25,552 | $ | 29,340 | ||||
Non-U.S. sovereign debt | 22,062 | 15,813 | ||||||
Equity securities | 16,424 | 15,482 | ||||||
Corporate securities and other | 10,951 | 11,350 | ||||||
Total trading account liabilities | $ | 74,989 | $ | 71,985 | ||||
(1) | Includes $24.1 billion and $29.7 billion of government-sponsored enterprise obligations at June 30, 2011 and December 31, 2010. |
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June 30, 2011 | ||||||||||||||||||||||||||||
Gross Derivative Assets | Gross Derivative Liabilities | |||||||||||||||||||||||||||
Trading | Trading | |||||||||||||||||||||||||||
Derivatives | Derivatives | |||||||||||||||||||||||||||
and | Qualifying | and | Qualifying | |||||||||||||||||||||||||
Contract/ | Economic | Accounting | Economic | Accounting | ||||||||||||||||||||||||
(Dollars in billions) | Notional(1) | Hedges | Hedges | Total | Hedges | Hedges (2) | Total | |||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||
Swaps | $ | 45,518.3 | $ | 1,114.0 | $ | 9.8 | $ | 1,123.8 | $ | 1,106.3 | $ | 3.8 | $ | 1,110.1 | ||||||||||||||
Futures and forwards | 12,471.9 | 3.5 | - | 3.5 | 4.1 | - | 4.1 | |||||||||||||||||||||
Written options | 3,089.1 | - | - | - | 78.4 | - | 78.4 | |||||||||||||||||||||
Purchased options | 3,132.4 | 84.0 | - | 84.0 | - | - | - | |||||||||||||||||||||
Foreign exchange contracts | ||||||||||||||||||||||||||||
Swaps | 880.8 | 32.6 | 3.6 | 36.2 | 32.4 | 0.7 | 33.1 | |||||||||||||||||||||
Spot, futures and forwards | 3,109.3 | 36.7 | 0.5 | 37.2 | 37.3 | 0.9 | 38.2 | |||||||||||||||||||||
Written options | 545.7 | - | - | - | 12.4 | - | 12.4 | |||||||||||||||||||||
Purchased options | 542.2 | 11.1 | - | 11.1 | - | - | - | |||||||||||||||||||||
Equity contracts | ||||||||||||||||||||||||||||
Swaps | 43.4 | 1.2 | - | 1.2 | 1.5 | - | 1.5 | |||||||||||||||||||||
Futures and forwards | 105.9 | 2.5 | - | 2.5 | 2.4 | - | 2.4 | |||||||||||||||||||||
Written options | 530.7 | - | - | - | 20.7 | - | 20.7 | |||||||||||||||||||||
Purchased options | 254.1 | 22.6 | - | 22.6 | - | - | - | |||||||||||||||||||||
Commodity contracts | ||||||||||||||||||||||||||||
Swaps | 87.4 | 5.9 | 0.1 | 6.0 | 6.5 | - | 6.5 | |||||||||||||||||||||
Futures and forwards | 534.5 | 4.2 | - | 4.2 | 3.0 | - | 3.0 | |||||||||||||||||||||
Written options | 120.3 | - | - | - | 8.0 | - | 8.0 | |||||||||||||||||||||
Purchased options | 120.0 | 7.7 | - | 7.7 | - | - | - | |||||||||||||||||||||
Credit derivatives | ||||||||||||||||||||||||||||
Purchased credit derivatives: | ||||||||||||||||||||||||||||
Credit default swaps | 2,065.7 | 59.8 | - | 59.8 | 29.2 | - | 29.2 | |||||||||||||||||||||
Total return swaps/other | 41.4 | 0.4 | - | 0.4 | 0.3 | - | 0.3 | |||||||||||||||||||||
Written credit derivatives: | ||||||||||||||||||||||||||||
Credit default swaps | 1,990.5 | 28.5 | - | 28.5 | 51.9 | - | 51.9 | |||||||||||||||||||||
Total return swaps/other | 40.8 | 0.5 | - | 0.5 | 0.6 | - | 0.6 | |||||||||||||||||||||
Gross derivative assets/liabilities | $ | 1,415.2 | $ | 14.0 | $ | 1,429.2 | $ | 1,395.0 | $ | 5.4 | $ | 1,400.4 | ||||||||||||||||
Less: Legally enforceable master netting agreements | (1,303.8 | ) | (1,303.8 | ) | ||||||||||||||||||||||||
Less: Cash collateral applied | (58.8 | ) | (42.2 | ) | ||||||||||||||||||||||||
Total derivative assets/liabilities | $ | 66.6 | $ | 54.4 | ||||||||||||||||||||||||
(1) | Represents the total contract/notional amount of derivative assets and liabilities outstanding. | |
(2) | Excludes $3.3 billion of long-term debt designated as a hedge of foreign currency risk. |
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December 31, 2010 | ||||||||||||||||||||||||||||
Gross Derivative Assets | Gross Derivative Liabilities | |||||||||||||||||||||||||||
Trading | Trading | |||||||||||||||||||||||||||
Derivatives | Derivatives | |||||||||||||||||||||||||||
and | Qualifying | and | Qualifying | |||||||||||||||||||||||||
Contract/ | Economic | Accounting | Economic | Accounting | ||||||||||||||||||||||||
(Dollars in billions) | Notional(1) | Hedges | Hedges | Total | Hedges | Hedges(2) | Total | |||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||
Swaps | $ | 42,719.2 | $ | 1,193.9 | $ | 14.9 | $ | 1,208.8 | $ | 1,187.9 | $ | 2.2 | $ | 1,190.1 | ||||||||||||||
Futures and forwards | 9,939.2 | 6.0 | - | 6.0 | 4.7 | - | 4.7 | |||||||||||||||||||||
Written options | 2,887.7 | - | - | - | 82.8 | - | 82.8 | |||||||||||||||||||||
Purchased options | 3,026.2 | 88.0 | - | 88.0 | - | - | - | |||||||||||||||||||||
Foreign exchange contracts | ||||||||||||||||||||||||||||
Swaps | 630.1 | 26.5 | 3.7 | 30.2 | 28.5 | 2.1 | 30.6 | |||||||||||||||||||||
Spot, futures and forwards | 2,652.9 | 41.3 | - | 41.3 | 44.2 | - | 44.2 | |||||||||||||||||||||
Written options | 439.6 | - | - | - | 13.2 | - | 13.2 | |||||||||||||||||||||
Purchased options | 417.1 | 13.0 | - | 13.0 | - | - | - | |||||||||||||||||||||
Equity contracts | �� | |||||||||||||||||||||||||||
Swaps | 42.4 | 1.7 | - | 1.7 | 2.0 | - | 2.0 | |||||||||||||||||||||
Futures and forwards | 78.8 | 2.9 | - | 2.9 | 2.1 | - | 2.1 | |||||||||||||||||||||
Written options | 242.7 | - | - | - | 19.4 | - | 19.4 | |||||||||||||||||||||
Purchased options | 193.5 | 21.5 | - | 21.5 | - | - | - | |||||||||||||||||||||
Commodity contracts | ||||||||||||||||||||||||||||
Swaps | 90.2 | 8.8 | 0.2 | 9.0 | 9.3 | - | 9.3 | |||||||||||||||||||||
Futures and forwards | 413.7 | 4.1 | - | 4.1 | 2.8 | - | 2.8 | |||||||||||||||||||||
Written options | 86.3 | - | - | - | 6.7 | - | 6.7 | |||||||||||||||||||||
Purchased options | 84.6 | 6.6 | - | 6.6 | - | - | - | |||||||||||||||||||||
Credit derivatives | ||||||||||||||||||||||||||||
Purchased credit derivatives: | ||||||||||||||||||||||||||||
Credit default swaps | 2,184.7 | 69.8 | - | 69.8 | 34.0 | - | 34.0 | |||||||||||||||||||||
Total return swaps/other | 26.0 | 0.9 | - | 0.9 | 0.2 | - | 0.2 | |||||||||||||||||||||
Written credit derivatives: | ||||||||||||||||||||||||||||
Credit default swaps | 2,133.5 | 33.3 | - | 33.3 | 63.2 | - | 63.2 | |||||||||||||||||||||
Total return swaps/other | 22.5 | 0.5 | - | 0.5 | 0.5 | - | 0.5 | |||||||||||||||||||||
Gross derivative assets/liabilities | $ | 1,518.8 | $ | 18.8 | $ | 1,537.6 | $ | 1,501.5 | $ | 4.3 | $ | 1,505.8 | ||||||||||||||||
Less: Legally enforceable master netting agreements | (1,406.3 | ) | (1,406.3 | ) | ||||||||||||||||||||||||
Less: Cash collateral applied | (58.3 | ) | (43.6 | ) | ||||||||||||||||||||||||
Total derivative assets/liabilities | $ | 73.0 | $ | 55.9 | ||||||||||||||||||||||||
(1) | Represents the total contract/notional amount of derivative assets and liabilities outstanding. | |
(2) | Excludes $4.1 billion of long-term debt designated as a hedge of foreign currency risk. |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
2011 | 2011 | |||||||||||||||||||||||
Hedged | Hedge | Hedged | Hedge | |||||||||||||||||||||
(Dollars in millions) | Derivative | Item | Ineffectiveness | Derivative | Item | Ineffectiveness | ||||||||||||||||||
Derivatives designated as fair value hedges | ||||||||||||||||||||||||
Interest rate risk on long-term debt(1) | $ | 1,373 | $ | (1,494 | ) | $ | (121 | ) | $ | 439 | $ | (705 | ) | $ | (266 | ) | ||||||||
Interest rate and foreign currency risk on long-term debt(1) | 1,438 | (1,487 | ) | (49 | ) | 2,188 | (2,293 | ) | (105 | ) | ||||||||||||||
Interest rate risk on AFS securities(2) | (1,873 | ) | 1,630 | (243 | ) | (721 | ) | 546 | (175 | ) | ||||||||||||||
Price risk on commodity inventory(3) | 20 | (20 | ) | - | 16 | (16 | ) | - | ||||||||||||||||
Total | $ | 958 | $ | (1,371 | ) | $ | (413 | ) | $ | 1,922 | $ | (2,468 | ) | $ | (546 | ) | ||||||||
2010 | 2010 | |||||||||||||||||||||||
Derivatives designated as fair value hedges | ||||||||||||||||||||||||
Interest rate risk on long-term debt(1) | $ | 3,202 | $ | (3,318 | ) | $ | (116 | ) | $ | 4,086 | $ | (4,330 | ) | $ | (244 | ) | ||||||||
Interest rate and foreign currency risk on long-term debt(1) | (1,907 | ) | 1,704 | (203 | ) | (3,282 | ) | 2,955 | (327 | ) | ||||||||||||||
Interest rate risk on AFS securities(2) | (5,240 | ) | 5,165 | (75 | ) | (5,270 | ) | 5,184 | (86 | ) | ||||||||||||||
Price risk on commodity inventory(3) | (16 | ) | 15 | (1 | ) | 42 | (46 | ) | (4 | ) | ||||||||||||||
Total | $ | (3,961 | ) | $ | 3,566 | $ | (395 | ) | $ | (4,424 | ) | $ | 3,763 | $ | (661 | ) | ||||||||
(1) | Amounts are recorded in interest expense on long-term debt. | |
(2) | Amounts are recorded in interest income on AFS securities. | |
(3) | Amounts relating to commodity inventory are recorded in trading account profits. |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
2011 | 2011 | |||||||||||||||||||||||
Hedge | Hedge | |||||||||||||||||||||||
Gains (Losses) | Gains (Losses) | Ineffectiveness and | Gains (Losses) | Gains (Losses) | Ineffectiveness and | |||||||||||||||||||
Recognized in | in Income | Amounts Excluded | Recognized in | in Income | Amounts Excluded | |||||||||||||||||||
Accumulated OCI | Reclassified from | from Effectiveness | Accumulated OCI | Reclassified from | from Effectiveness | |||||||||||||||||||
(Dollars in millions, amounts pre-tax) | on Derivatives | Accumulated OCI | Testing(1) | on Derivatives | Accumulated OCI | Testing(1) | ||||||||||||||||||
Derivatives designated as cash flow hedges | ||||||||||||||||||||||||
Interest rate risk on variable rate portfolios | $ | (878 | ) | $ | (444 | ) | $ | (30 | ) | $ | (722 | ) | $ | (748 | ) | $ | (34 | ) | ||||||
Commodity price risk on forecasted purchases and sales | (1 | ) | 1 | - | (9 | ) | 3 | (2 | ) | |||||||||||||||
Price risk on restricted stock awards | (136 | ) | (44 | ) | - | (191 | ) | (70 | ) | - | ||||||||||||||
Total | $ | (1,015 | ) | $ | (487 | ) | $ | (30 | ) | $ | (922 | ) | $ | (815 | ) | $ | (36 | ) | ||||||
Net investment hedges | ||||||||||||||||||||||||
Foreign exchange risk | $ | (653 | ) | $ | - | $ | (139 | ) | $ | (1,615 | ) | $ | 423 | $ | (250 | ) | ||||||||
2010 | 2010 | |||||||||||||||||||||||
Derivatives designated as cash flow hedges | ||||||||||||||||||||||||
Interest rate risk on variable rate portfolios | $ | (856 | ) | $ | (105 | ) | $ | (6 | ) | $ | (1,358 | ) | $ | (186 | ) | $ | (20 | ) | ||||||
Commodity price risk on forecasted purchases and sales | (5 | ) | 10 | 1 | 27 | 13 | 2 | |||||||||||||||||
Price risk on restricted stock awards | (181 | ) | 6 | - | (37 | ) | 17 | - | ||||||||||||||||
Price risk on equity investments included in AFS securities | 180 | (226 | ) | - | 186 | (226 | ) | - | ||||||||||||||||
Total | $ | (862 | ) | $ | (315 | ) | $ | (5 | ) | $ | (1,182 | ) | $ | (382 | ) | $ | (18 | ) | ||||||
Net investment hedges | ||||||||||||||||||||||||
Foreign exchange risk | $ | 906 | $ | - | $ | (68 | ) | $ | 1,885 | $ | - | $ | (132 | ) | ||||||||||
(1) | Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing. |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Price risk on mortgage banking production income(1, 2) | $ | 1,221 | $ | 2,041 | $ | 1,166 | $ | 3,397 | ||||||||
Interest rate risk on mortgage banking servicing income(1) | 530 | 2,700 | 385 | 3,312 | ||||||||||||
Credit risk on loans(3) | - | 31 | (30 | ) | (27 | ) | ||||||||||
Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (4) | 1,826 | (5,221 | ) | 5,220 | (9,209 | ) | ||||||||||
Other(5) | (166 | ) | (194 | ) | (176 | ) | (98 | ) | ||||||||
Total | $ | 3,411 | $ | (643 | ) | $ | 6,565 | $ | (2,625 | ) | ||||||
(1) | Gains (losses) on these derivatives are recorded in mortgage banking income. | |
(2) | Includes gains on interest rate lock commitments related to the origination of mortgage loans that are held-for-sale, which are considered derivative instruments, of $1.2 billion and $2.2 billion for the three and six months ended June 30, 2011 compared to $2.8 billion and $4.6 billion for the same periods in 2010. | |
(3) | Gains (losses) on these derivatives are recorded in other income. | |
(4) | The majority of the balance is related to the revaluation of economic hedges of foreign currency-denominated debt which is offset with the revaluation of the debt in other income. | |
(5) | Gains (losses) on these derivatives are recorded in other income or in personnel expense for hedges of certain RSUs. |
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Three Months Ended June 30 | ||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||
Trading | Trading | |||||||||||||||||||||||||||||||
Account | Other | Net Interest | Account | Other | Net Interest | |||||||||||||||||||||||||||
(Dollars in millions) | Profits | Income(1, 2) | Income(3) | Total | Profits | Income(1, 2) | Income(3) | Total | ||||||||||||||||||||||||
Interest rate risk | $ | 488 | $ | 16 | $ | 199 | $ | 703 | $ | 434 | $ | 21 | $ | 138 | $ | 593 | ||||||||||||||||
Foreign exchange risk | 261 | (16 | ) | 4 | 249 | 234 | (11 | ) | 1 | 224 | ||||||||||||||||||||||
Equity risk | 539 | 564 | (22 | ) | 1,081 | 202 | 727 | (47 | ) | 882 | ||||||||||||||||||||||
Credit risk | 579 | 218 | 760 | 1,557 | 447 | 73 | 959 | 1,479 | ||||||||||||||||||||||||
Other risk | 164 | 12 | (31 | ) | 145 | (129 | ) | 30 | (43 | ) | (142 | ) | ||||||||||||||||||||
Total sales and trading revenue | $ | 2,031 | $ | 794 | $ | 910 | $ | 3,735 | $ | 1,188 | $ | 840 | $ | 1,008 | $ | 3,036 | ||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||
Interest rate risk | $ | 791 | $ | (7 | ) | $ | 415 | $ | 1,199 | $ | 1,493 | $ | 48 | $ | 327 | $ | 1,868 | |||||||||||||||
Foreign exchange risk | 493 | (31 | ) | 7 | 469 | 515 | (18 | ) | 1 | 498 | ||||||||||||||||||||||
Equity risk | 1,059 | 1,241 | 30 | 2,330 | 1,077 | 1,322 | (3 | ) | 2,396 | |||||||||||||||||||||||
Credit risk | 1,983 | 769 | 1,552 | 4,304 | 3,109 | 121 | 1,953 | 5,183 | ||||||||||||||||||||||||
Other risk | 293 | 45 | (65 | ) | 273 | 50 | 68 | (98 | ) | 20 | ||||||||||||||||||||||
Total sales and trading revenue | $ | 4,619 | $ | 2,017 | $ | 1,939 | $ | 8,575 | $ | 6,244 | $ | 1,541 | $ | 2,180 | $ | 9,965 | ||||||||||||||||
(1) | Represents investment and brokerage services and other income recorded inGBAMthat the Corporation includes in its definition of sales and trading revenue. | |
(2) | Other income includes commissions and brokerage fee revenue of $583 million and $1.3 billion for the three and six months ended June 30, 2011 and $657 million and $1.3 billion for the same periods in 2010. | |
(3) | Net interest income excludes FTE adjustments of $43 million and $98 million for the three and six months ended June 30, 2011 compared to $75 million and $148 million for the same periods in 2010. |
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June 30, 2011 | ||||||||||||||||||||
Carrying Value | ||||||||||||||||||||
Less than | One to Three | Three to | Over Five | |||||||||||||||||
(Dollars in millions) | One Year | Years | Five Years | Years | Total | |||||||||||||||
Credit default swaps: | ||||||||||||||||||||
Investment grade | $ | 113 | $ | 1,393 | $ | 5,263 | $ | 5,788 | $ | 12,557 | ||||||||||
Non-investment grade | 758 | 5,380 | 8,334 | 24,864 | 39,336 | |||||||||||||||
Total | 871 | 6,773 | 13,597 | 30,652 | 51,893 | |||||||||||||||
Total return swaps/other: | ||||||||||||||||||||
Investment grade | - | 35 | 79 | 255 | 369 | |||||||||||||||
Non-investment grade | 2 | 8 | 32 | 209 | 251 | |||||||||||||||
Total | 2 | 43 | 111 | 464 | 620 | |||||||||||||||
Total credit derivatives | $ | 873 | $ | 6,816 | $ | 13,708 | $ | 31,116 | $ | 52,513 | ||||||||||
Credit-related notes:(1) | ||||||||||||||||||||
Investment grade | 1 | 17 | 415 | 2,952 | 3,385 | |||||||||||||||
Non-investment grade | 9 | 26 | 208 | 1,722 | 1,965 | |||||||||||||||
Total credit-related notes | $ | 10 | $ | 43 | $ | 623 | $ | 4,674 | $ | 5,350 | ||||||||||
Maximum Payout/Notional | ||||||||||||||||||||
Credit default swaps: | ||||||||||||||||||||
Investment grade | $ | 133,694 | $ | 434,130 | $ | 456,682 | $ | 195,869 | $ | 1,220,375 | ||||||||||
Non-investment grade | 97,824 | 273,164 | 201,725 | 197,442 | 770,155 | |||||||||||||||
Total | 231,518 | 707,294 | 658,407 | 393,311 | 1,990,530 | |||||||||||||||
Total return swaps/other: | ||||||||||||||||||||
Investment grade | 110 | 2,493 | 29,026 | 4,953 | 36,582 | |||||||||||||||
Non-investment grade | 83 | 942 | 2,272 | 909 | 4,206 | |||||||||||||||
Total | 193 | 3,435 | 31,298 | 5,862 | 40,788 | |||||||||||||||
Total credit derivatives | $ | 231,711 | $ | 710,729 | $ | 689,705 | $ | 399,173 | $ | 2,031,318 | ||||||||||
December 31, 2010 | ||||||||||||||||||||
Carrying Value | ||||||||||||||||||||
Less than | One to Three | Three to | Over Five | |||||||||||||||||
(Dollars in millions) | One Year | Years | Five Years | Years | Total | |||||||||||||||
Credit default swaps: | ||||||||||||||||||||
Investment grade | $ | 158 | $ | 2,607 | $ | 7,331 | $ | 14,880 | $ | 24,976 | ||||||||||
Non-investment grade | 598 | 6,630 | 7,854 | 23,106 | 38,188 | |||||||||||||||
Total | 756 | 9,237 | 15,185 | 37,986 | 63,164 | |||||||||||||||
Total return swaps/other: | ||||||||||||||||||||
Investment grade | - | - | 38 | 60 | 98 | |||||||||||||||
Non-investment grade | 1 | 2 | 2 | 415 | 420 | |||||||||||||||
Total | 1 | 2 | 40 | 475 | 518 | |||||||||||||||
Total credit derivatives | $ | 757 | $ | 9,239 | $ | 15,225 | $ | 38,461 | $ | 63,682 | ||||||||||
Credit-related notes:(1, 2) | ||||||||||||||||||||
Investment grade | - | 136 | - | 3,525 | 3,661 | |||||||||||||||
Non-investment grade | 9 | 33 | 174 | 2,423 | 2,639 | |||||||||||||||
Total credit-related notes | $ | 9 | $ | 169 | $ | 174 | $ | 5,948 | $ | 6,300 | ||||||||||
Maximum Payout/Notional | ||||||||||||||||||||
Credit default swaps: | ||||||||||||||||||||
Investment grade | $ | 133,691 | $ | 466,565 | $ | 475,715 | $ | 275,434 | $ | 1,351,405 | ||||||||||
Non-investment grade | 84,851 | 314,422 | 178,880 | 203,930 | 782,083 | |||||||||||||||
Total | 218,542 | 780,987 | 654,595 | 479,364 | 2,133,488 | |||||||||||||||
Total return swaps/other: | ||||||||||||||||||||
Investment grade | - | 10 | 15,413 | 4,012 | 19,435 | |||||||||||||||
Non-investment grade | 113 | 78 | 951 | 1,897 | 3,039 | |||||||||||||||
Total | 113 | 88 | 16,364 | 5,909 | 22,474 | |||||||||||||||
Total credit derivatives | $ | 218,655 | $ | 781,075 | $ | 670,959 | $ | 485,273 | $ | 2,155,962 | ||||||||||
(1) | For credit-related notes, maximum payout/notional is the same. | |
(2) | For December 31, 2010, total credit-related note amounts have been revised from $3.6 billion (as previously reported) to $6.3 billion to reflect collateralized debt obligations and collateralized loan obligations held by certain consolidated VIEs. |
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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. |
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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 | ) | ||||||
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 | ||||||||
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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. |
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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. |
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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 | ||||||||||||
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. |
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 | ||||||||
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June 30, 2011 | ||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||
Total Past | Total Current | Purchased | Accounted for | |||||||||||||||||||||||||||||
30-59 Days | 60-89 Days | 90 Days or | Due 30 Days | or Less Than 30 | Credit - | Under the Fair | Total | |||||||||||||||||||||||||
(Dollars in millions) | Past Due(1) | Past Due(1) | More Past Due(2) | or More | Days Past Due(3) | impaired(4) | Value Option | Outstandings | ||||||||||||||||||||||||
Home loans | ||||||||||||||||||||||||||||||||
Core portfolio | ||||||||||||||||||||||||||||||||
Residential mortgage(5) | $ | 1,777 | $ | 594 | $ | 1,842 | $ | 4,213 | $ | 171,339 | $ | - | $ | 175,552 | ||||||||||||||||||
Home equity | 236 | 148 | 250 | 634 | 68,537 | - | 69,171 | |||||||||||||||||||||||||
Legacy Asset Servicing portfolio | ||||||||||||||||||||||||||||||||
Residential mortgage | 3,864 | 2,523 | 33,277 | 39,664 | 40,893 | 10,224 | 90,781 | |||||||||||||||||||||||||
Home equity | 882 | 541 | 1,764 | 3,187 | 45,981 | 12,315 | 61,483 | |||||||||||||||||||||||||
Discontinued real estate(6) | 59 | 31 | 403 | 493 | 633 | 10,877 | 12,003 | |||||||||||||||||||||||||
Credit card and other consumer | ||||||||||||||||||||||||||||||||
U.S. credit card | 1,032 | 818 | 2,413 | 4,263 | 100,396 | - | 104,659 | |||||||||||||||||||||||||
Non-U.S. credit card | 363 | 245 | 607 | 1,215 | 24,822 | - | 26,037 | |||||||||||||||||||||||||
Direct/Indirect consumer(7) | 782 | 343 | 855 | 1,980 | 88,278 | - | 90,258 | |||||||||||||||||||||||||
Other consumer(8) | 53 | 22 | 28 | 103 | 2,659 | - | 2,762 | |||||||||||||||||||||||||
Total consumer loans | 9,048 | 5,265 | 41,439 | 55,752 | 543,538 | 33,416 | 632,706 | |||||||||||||||||||||||||
Consumer loans accounted for under the fair value option(9) | $ | 5,194 | 5,194 | |||||||||||||||||||||||||||||
Total consumer | 9,048 | 5,265 | 41,439 | 55,752 | 543,538 | 33,416 | 5,194 | 637,900 | ||||||||||||||||||||||||
Commercial | ||||||||||||||||||||||||||||||||
U.S. commercial | 568 | 199 | 1,046 | 1,813 | 174,863 | 1 | 176,677 | |||||||||||||||||||||||||
Commercial real estate(10) | 230 | 210 | 2,904 | 3,344 | 40,530 | 154 | 44,028 | |||||||||||||||||||||||||
Commercial lease financing | 29 | 30 | 28 | 87 | 21,304 | - | 21,391 | |||||||||||||||||||||||||
Non-U.S. commercial | 1 | - | 3 | 4 | 42,899 | 26 | 42,929 | |||||||||||||||||||||||||
U.S. small business commercial | 143 | 117 | 332 | 592 | 13,337 | - | 13,929 | |||||||||||||||||||||||||
Total commercial loans | 971 | 556 | 4,313 | 5,840 | 292,933 | 181 | 298,954 | |||||||||||||||||||||||||
Commercial loans accounted for under the fair value option(9) | 4,403 | 4,403 | ||||||||||||||||||||||||||||||
Total commercial | 971 | 556 | 4,313 | 5,840 | 292,933 | 181 | 4,403 | 303,357 | ||||||||||||||||||||||||
Total loans and leases | $ | 10,019 | $ | 5,821 | $ | 45,752 | $ | 61,592 | $ | 836,471 | $ | 33,597 | $ | 9,597 | $ | 941,257 | ||||||||||||||||
Percentage of outstandings | 1.06 | % | 0.62 | % | 4.86 | % | 6.54 | % | 88.87 | % | 3.57 | % | 1.02 | % | ||||||||||||||||||
(1) | Home loans includes $3.8 billion of fully-insured loans, $745 million of nonperforming loans and $129 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010. | |
(2) | Home loans includes $20.0 billion of fully-insured loans and $385 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010. | |
(3) | Home loans includes $1.5 billion of nonperforming loans as all principal and interest are not current or are TDRs that have not demonstrated sustained repayment performance. | |
(4) | PCI loan amounts are shown gross of the valuation allowance and exclude $1.5 billion of PCI home loans from the Merrill Lynch acquisition which are included in their appropriate aging categories. | |
(5) | Total outstandings include non-U.S. residential mortgages of $90 million at June 30, 2011. | |
(6) | Total outstandings include $10.7 billion of pay option loans and $1.3 billion of subprime loans at June 30, 2011. The Corporation no longer originates these products. | |
(7) | Total outstandings include dealer financial services loans of $42.1 billion, consumer lending of $9.9 billion, U.S. securities-based lending margin loans of $21.3 billion, student loans of $6.3 billion, non-U.S. consumer loans of $8.7 billion and other consumer loans of $2.0 billion at June 30, 2011. | |
(8) | Total outstandings include consumer finance loans of $1.8 billion, other non-U.S. consumer loans of $866 million and consumer overdrafts of $104 million at June 30, 2011. | |
(9) | Certain consumer loans are accounted for under the fair value option and include residential mortgage loans of $1.2 billion and discontinued real estate loans of $4.0 billion at June 30, 2011. Certain commercial loans are accounted for under the fair value option and include U.S. commercial loans of $1.6 billion, non-U.S. commercial loans of $2.8 billion and commercial real estate loans of $11 million at June 30, 2011. SeeNote 16 – Fair Value MeasurementsandNote 17 – Fair Value Optionfor additional information. | |
(10) | Total outstandings include U.S. commercial real estate loans of $41.7 billion and non-U.S. commercial real estate loans of $2.3 billion at June 30, 2011. |
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December 31, 2010 | ||||||||||||||||||||||||||||||||
Loans | ||||||||||||||||||||||||||||||||
Total Past | Total Current | Purchased | Accounted for | |||||||||||||||||||||||||||||
30-59 Days | 60-89 Days | 90 Days or | Due 30 Days | or Less Than 30 | Credit - | Under the Fair | Total | |||||||||||||||||||||||||
(Dollars in millions) | Past Due(1) | Past Due(1) | More Past Due (2) | or More | Days Past Due(3) | impaired(4) | Value Option | Outstandings | ||||||||||||||||||||||||
Home loans | ||||||||||||||||||||||||||||||||
Core portfolio | ||||||||||||||||||||||||||||||||
Residential mortgage (5) | $ | 1,160 | $ | 236 | $ | 1,255 | $ | 2,651 | $ | 164,276 | $ | - | $ | 166,927 | ||||||||||||||||||
Home equity | 186 | 12 | 105 | 303 | 71,216 | - | 71,519 | |||||||||||||||||||||||||
Legacy Asset Servicing portfolio | ||||||||||||||||||||||||||||||||
Residential mortgage | 3,999 | 2,879 | 31,985 | 38,863 | 41,591 | 10,592 | 91,046 | |||||||||||||||||||||||||
Home equity | 1,096 | 792 | 2,186 | 4,074 | 49,798 | 12,590 | 66,462 | |||||||||||||||||||||||||
Discontinued real estate(6) | 68 | 39 | 419 | 526 | 930 | 11,652 | 13,108 | |||||||||||||||||||||||||
Credit card and other consumer | ||||||||||||||||||||||||||||||||
U.S. credit card | 1,398 | 1,195 | 3,320 | 5,913 | 107,872 | - | 113,785 | |||||||||||||||||||||||||
Non-U.S. credit card | 439 | 316 | 599 | 1,354 | 26,111 | - | 27,465 | |||||||||||||||||||||||||
Direct/Indirect consumer(7) | 1,086 | 522 | 1,104 | 2,712 | 87,596 | - | 90,308 | |||||||||||||||||||||||||
Other consumer(8) | 65 | 25 | 50 | 140 | 2,690 | - | 2,830 | |||||||||||||||||||||||||
Total consumer | 9,497 | 6,016 | 41,023 | 56,536 | 552,080 | 34,834 | 643,450 | |||||||||||||||||||||||||
Commercial | ||||||||||||||||||||||||||||||||
U.S. commercial | 605 | 341 | 1,453 | 2,399 | 173,185 | 2 | 175,586 | |||||||||||||||||||||||||
Commercial real estate(9) | 535 | 186 | 3,554 | 4,275 | 44,957 | 161 | 49,393 | |||||||||||||||||||||||||
Commercial lease financing | 95 | 23 | 31 | 149 | 21,793 | - | 21,942 | |||||||||||||||||||||||||
Non-U.S. commercial | 25 | 2 | 6 | 33 | 31,955 | 41 | 32,029 | |||||||||||||||||||||||||
U.S. small business commercial | 195 | 165 | 438 | 798 | 13,921 | - | 14,719 | |||||||||||||||||||||||||
Total commercial loans | 1,455 | 717 | 5,482 | 7,654 | 285,811 | 204 | 293,669 | |||||||||||||||||||||||||
Commercial loans accounted for under the fair value option(10) | - | - | - | - | - | - | $ | 3,321 | 3,321 | |||||||||||||||||||||||
Total commercial | 1,455 | 717 | 5,482 | 7,654 | 285,811 | 204 | 3,321 | 296,990 | ||||||||||||||||||||||||
Total loans and leases | $ | 10,952 | $ | 6,733 | $ | 46,505 | $ | 64,190 | $ | 837,891 | $ | 35,038 | $ | 3,321 | $ | 940,440 | ||||||||||||||||
Percentage of outstandings | 1.16 | % | 0.72 | % | 4.95 | % | 6.83 | % | 89.10 | % | 3.72 | % | 0.35 | % | ||||||||||||||||||
(1) | Home loans includes $2.4 billion of fully-insured loans, $818 million of nonperforming loans and $156 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010. | |
(2) | Home loans includes $16.8 billion of fully-insured loans and $372 million of TDRs that were removed from the Countrywide PCI loan portfolio prior to the adoption of accounting guidance on PCI loans effective January 1, 2010. | |
(3) | Home loans includes $1.1 billion of nonperforming loans as all principal and interest are not current or are TDRs that have not demonstrated sustained repayment performance. | |
(4) | PCI loan amounts are shown gross of the valuation allowance and exclude $1.6 billion of PCI home loans from the Merrill Lynch acquisition which are included in their appropriate aging categories. | |
(5) | Total outstandings include non-U.S. residential mortgages of $90 million at December 31, 2010. | |
(6) | Total outstandings include $11.8 billion of pay option loans and $1.3 billion of subprime loans at December 31, 2010. The Corporation no longer originates these products. | |
(7) | Total outstandings include dealer financial services loans of $43.3 billion, consumer lending of $12.4 billion, U.S. securities-based lending margin loans of $16.6 billion, student loans of $6.8 billion, non-U.S. consumer loans of $8.0 billion and other consumer loans of $3.2 billion at December 31, 2010. | |
(8) | Total outstandings include consumer finance loans of $1.9 billion, other non-U.S. consumer loans of $803 million and consumer overdrafts of $88 million at December 31, 2010. | |
(9) | Total outstandings include U.S. commercial real estate loans of $46.9 billion and non-U.S. commercial real estate loans of $2.5 billion at December 31, 2010. | |
(10) | Certain commercial loans are accounted for under the fair value option and include U.S. commercial loans of $1.6 billion, non-U.S. commercial loans of $1.7 billion and commercial real estate loans of $79 million at December 31, 2010. SeeNote 16 – Fair Value MeasurementsandNote 17 – Fair Value Optionfor additional information. |
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Nonperforming Loans and Leases | Accruing Past Due 90 Days or More | |||||||||||||||
June 30 | December 31 | June 30 | December 31 | |||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Home loans | ||||||||||||||||
Core portfolio | ||||||||||||||||
Residential mortgage (1) | $ | 1,670 | $ | 1,510 | $ | 431 | $ | 16 | ||||||||
Home equity | 261 | 107 | - | - | ||||||||||||
Legacy Asset Servicing portfolio | ||||||||||||||||
Residential mortgage (1) | 15,056 | 16,181 | 19,616 | 16,752 | ||||||||||||
Home equity | 2,084 | 2,587 | - | - | ||||||||||||
Discontinued real estate | 324 | 331 | - | - | ||||||||||||
Credit card and other consumer | ||||||||||||||||
U.S. credit card | n/a | n/a | 2,413 | 3,320 | ||||||||||||
Non-U.S. credit card | n/a | n/a | 607 | 599 | ||||||||||||
Direct/Indirect consumer | 58 | 90 | 810 | 1,058 | ||||||||||||
Other consumer | 25 | 48 | 3 | 2 | ||||||||||||
Total consumer | 19,478 | 20,854 | 23,880 | 21,747 | ||||||||||||
Commercial | ||||||||||||||||
U.S. commercial | 2,767 | 3,453 | 83 | 236 | ||||||||||||
Commercial real estate | 5,051 | 5,829 | 45 | 47 | ||||||||||||
Commercial lease financing | 23 | 117 | 22 | 18 | ||||||||||||
Non-U.S. commercial | 108 | 233 | 3 | 6 | ||||||||||||
U.S. small business commercial | 156 | 204 | 257 | 325 | ||||||||||||
Total commercial | 8,105 | 9,836 | 410 | 632 | ||||||||||||
Total consumer and commercial | $ | 27,583 | $ | 30,690 | $ | 24,290 | $ | 22,379 | ||||||||
(1) | Residential mortgage loans accruing past due 90 days or more are fully-insured loans. At June 30, 2011 and December 31, 2010, residential mortgage includes $15.7 billion and $8.3 billion of loans on which interest has been curtailed by the Federal Housing Administration, and therefore are no longer accruing interest, although principal is still insured and $4.3 billion and $8.5 billion of loans on which interest is still accruing. | |
n/a | = not applicable |
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Home Loans(1) | ||||||||||||||||||||||||||||||||
June 30, 2011 | ||||||||||||||||||||||||||||||||
Legacy Asset | Legacy Asset | Countrywide | ||||||||||||||||||||||||||||||
Core Portfolio | Servicing | Countrywide | Core Portfolio | Legacy Asset | Countrywide | Servicing | Discontinued | |||||||||||||||||||||||||
Residential | Residential | Residential | Home | Servicing Home | Home Equity | Discontinued | Real Estate | |||||||||||||||||||||||||
(Dollars in millions) | Mortgage(2) | Mortgage (2) | Mortgage PCI | Equity(2) | Equity(2) | PCI | Real Estate(2) | PCI | ||||||||||||||||||||||||
Refreshed LTV(3) | ||||||||||||||||||||||||||||||||
Less than 90 percent | $ | 85,776 | $ | 20,459 | $ | 3,707 | $ | 46,086 | $ | 17,193 | $ | 2,236 | $ | 767 | $ | 6,678 | ||||||||||||||||
Greater than 90 percent but less than 100 percent | 12,094 | 6,322 | 1,589 | 7,787 | 5,137 | 1,033 | 125 | 1,275 | ||||||||||||||||||||||||
Greater than 100 percent | 18,325 | 26,889 | 4,928 | 15,298 | 26,838 | 9,046 | 234 | 2,924 | ||||||||||||||||||||||||
Fully-insured loans(4) | 59,357 | 26,887 | - | - | - | - | - | - | ||||||||||||||||||||||||
Total home loans | $ | 175,552 | $ | 80,557 | $ | 10,224 | $ | 69,171 | $ | 49,168 | $ | 12,315 | $ | 1,126 | $ | 10,877 | ||||||||||||||||
Refreshed FICO score | ||||||||||||||||||||||||||||||||
Less than 620 | $ | 5,518 | $ | 20,367 | $ | 3,920 | $ | 4,111 | $ | 10,068 | $ | 3,248 | $ | 523 | $ | 6,731 | ||||||||||||||||
Greater than or equal to 620 | 110,677 | 33,303 | 6,304 | 65,060 | 39,100 | 9,067 | 603 | 4,146 | ||||||||||||||||||||||||
Fully-insured loans(4) | 59,357 | 26,887 | - | - | - | - | - | - | ||||||||||||||||||||||||
Total home loans | $ | 175,552 | $ | 80,557 | $ | 10,224 | $ | 69,171 | $ | 49,168 | $ | 12,315 | $ | 1,126 | $ | 10,877 | ||||||||||||||||
(1) | Excludes $5.2 billion of loans accounted for under the fair value option. | |
(2) | Excludes Countrywide PCI loans. | |
(3) | Refreshed LTV percentages for PCI loans were calculated using the carrying value net of the related valuation allowance. | |
(4) | Credit quality indicators are not reported for fully-insured loans as principal repayment is insured. |
Credit Card and Other Consumer | ||||||||||||||||
June 30, 2011 | ||||||||||||||||
U.S. Credit | Non-U.S. | Direct/Indirect | Other | |||||||||||||
(Dollars in millions) | Card | Credit Card | Consumer | Consumer(1) | ||||||||||||
Refreshed FICO score | ||||||||||||||||
Less than 620 | $ | 10,809 | $ | 512 | $ | 4,935 | $ | 880 | ||||||||
Greater than or equal to 620 | 93,850 | 7,517 | 46,344 | 913 | ||||||||||||
Other internal credit metrics(2, 3, 4) | - | 18,008 | 38,979 | 969 | ||||||||||||
Total credit card and other consumer | $ | 104,659 | $ | 26,037 | $ | 90,258 | $ | 2,762 | ||||||||
(1) | 96 percent of the other consumer portfolio was associated with portfolios from certain consumer finance businesses that the Corporation previously exited. | |
(2) | Other internal credit metrics may include delinquency status, geography or other factors. | |
(3) | Direct/indirect consumer includes $29.6 billion of securities-based lending which is overcollateralized and therefore has minimal credit risk and $6.6 billion of loans the Corporation no longer originates. | |
(4) | Non-U.S. credit card represents the select European countries’ credit card portfolios and a portion of the Canadian credit card portfolio which is evaluated using internal credit metrics, including delinquency status. At June 30, 2011, 95 percent of this portfolio was current or less than 30 days past due, two percent was 30-89 days past due and three percent was 90 days past due or more. |
Commercial(1) | ||||||||||||||||||||
June 30, 2011 | ||||||||||||||||||||
Commercial | U.S. Small | |||||||||||||||||||
U.S. | Commercial | Lease | Non-U.S. | Business | ||||||||||||||||
(Dollars in millions) | Commercial | Real Estate | Financing | Commercial | Commercial | |||||||||||||||
Risk Ratings | ||||||||||||||||||||
Pass rated | $ | 164,199 | $ | 28,026 | $ | 20,390 | $ | 41,105 | $ | 2,724 | ||||||||||
Reservable criticized | 12,478 | 16,002 | 1,001 | 1,824 | 939 | |||||||||||||||
Refreshed FICO score | ||||||||||||||||||||
Less than 620 | n/a | n/a | n/a | n/a | 682 | |||||||||||||||
Greater than or equal to 620 | n/a | n/a | n/a | n/a | 4,952 | |||||||||||||||
Other internal credit metrics(2, 3) | n/a | n/a | n/a | n/a | 4,632 | |||||||||||||||
Total commercial credit | $ | 176,677 | $ | 44,028 | $ | 21,391 | $ | 42,929 | $ | 13,929 | ||||||||||
(1) | Includes $181 million of PCI loans in the commercial portfolio segment and excludes $4.4 billion of loans accounted for under the fair value option. | |
(2) | Other internal credit metrics may include delinquency status, application scores, geography or other factors. | |
(3) | U.S. small business commercial includes business card and small business loans which are evaluated using internal credit metrics, including delinquency status. At June 30, 2011, 97 percent was current or less than 30 days past due. | |
n/a | = not applicable |
155
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Home Loans | ||||||||||||||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||||||||||||||
Legacy Asset | Legacy Asset | Countrywide | ||||||||||||||||||||||||||||||
Core Portfolio | Servicing | Countrywide | Core Portfolio | Legacy Asset | Countrywide | Servicing | Discontinued | |||||||||||||||||||||||||
Residential | Residential | Residential | Home | Servicing Home | Home Equity | Discontinued | Real Estate | |||||||||||||||||||||||||
(Dollars in millions) | Mortgage(1) | Mortgage(1) | Mortgage PCI | Equity(1) | Equity(1) | PCI | Real Estate(1) | PCI(2) | ||||||||||||||||||||||||
Refreshed LTV(2) | ||||||||||||||||||||||||||||||||
Less than 90 percent | $ | 95,874 | $ | 21,357 | $ | 3,710 | $ | 51,555 | $ | 22,125 | $ | 2,313 | $ | 1,033 | $ | 6,713 | ||||||||||||||||
Greater than 90 percent but less than 100 percent | 11,581 | 8,234 | 1,664 | 7,534 | 6,504 | 1,215 | 155 | 1,319 | ||||||||||||||||||||||||
Greater than 100 percent | 14,047 | 29,043 | 5,218 | 12,430 | 25,243 | 9,062 | 268 | 3,620 | ||||||||||||||||||||||||
Fully-insured loans(3) | 45,425 | 21,820 | - | - | - | - | - | - | ||||||||||||||||||||||||
Total home loans | $ | 166,927 | $ | 80,454 | $ | 10,592 | $ | 71,519 | $ | 53,872 | $ | 12,590 | $ | 1,456 | $ | 11,652 | ||||||||||||||||
Refreshed FICO score | ||||||||||||||||||||||||||||||||
Less than 620 | $ | 5,193 | $ | 22,126 | $ | 4,016 | $ | 3,932 | $ | 11,562 | $ | 3,206 | $ | 663 | $ | 7,168 | ||||||||||||||||
Greater than or equal to 620 | 116,309 | 36,508 | 6,576 | 67,587 | 42,310 | 9,384 | 793 | 4,484 | ||||||||||||||||||||||||
Fully-insured loans(3) | 45,425 | 21,820 | - | - | - | - | - | - | ||||||||||||||||||||||||
Total home loans | $ | 166,927 | $ | 80,454 | $ | 10,592 | $ | 71,519 | $ | 53,872 | $ | 12,590 | $ | 1,456 | $ | 11,652 | ||||||||||||||||
(1) | Excludes Countrywide PCI loans. | |
(2) | Refreshed LTV percentages for PCI loans were calculated using the carrying value net of the related valuation allowance. | |
(3) | Credit quality indicators are not reported for fully-insured loans as principal repayment is insured. |
Credit Card and Other Consumer | |||||||||||||||||
December 31, 2010 | |||||||||||||||||
U.S. Credit | Non-U.S. | Direct/Indirect | Other | ||||||||||||||
(Dollars in millions) | Card | Credit Card | Consumer | Consumer(1) | |||||||||||||
Refreshed FICO score | |||||||||||||||||
Less than 620 | $ | 14,159 | $ | 631 | $ | 6,748 | $ | 979 | |||||||||
Greater than or equal to 620 | 99,626 | 7,528 | 48,209 | 961 | |||||||||||||
Other internal credit metrics(2, 3, 4) | - | 19,306 | 35,351 | 890 | |||||||||||||
Total credit card and other consumer | $ | 113,785 | $ | 27,465 | $ | 90,308 | $ | 2,830 | |||||||||
(1) | 96 percent of the other consumer portfolio was associated with portfolios from certain consumer finance businesses that the Corporation previously exited. | |
(2) | Other internal credit metrics may include delinquency status, geography or other factors. | |
(3) | Direct/indirect consumer includes $24.0 billion of securities-based lending which is overcollateralized and therefore has minimal credit risk and $7.4 billion of loans the Corporation no longer originates. | |
(4) | Non-U.S. credit card represents the select European countries’ credit card portfolios and a portion of the Canadian credit card portfolio which is evaluated using internal credit metrics, including delinquency status. At December 31, 2010, 95 percent of this portfolio was current or less than 30 days past due, three percent was 30-89 days past due and two percent was 90 days past due or more. |
Commercial(1) | ||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||
Commercial | U.S. Small | |||||||||||||||||||
U.S. | Commercial | Lease | Non-U.S. | Business | ||||||||||||||||
(Dollars in millions) | Commercial | Real Estate | Financing | Commercial | Commercial | |||||||||||||||
Risk Ratings | ||||||||||||||||||||
Pass rated | $ | 160,154 | $ | 29,757 | $ | 20,754 | $ | 30,180 | $ | 3,139 | ||||||||||
Reservable criticized | 15,432 | 19,636 | 1,188 | 1,849 | 988 | |||||||||||||||
Refreshed FICO score | ||||||||||||||||||||
Less than 620 | n/a | n/a | n/a | n/a | 888 | |||||||||||||||
Greater than or equal to 620 | n/a | n/a | n/a | n/a | 5,083 | |||||||||||||||
Other internal credit metrics(2, 3) | n/a | n/a | n/a | n/a | 4,621 | |||||||||||||||
Total commercial credit | $ | 175,586 | $ | 49,393 | $ | 21,942 | $ | 32,029 | $ | 14,719 | ||||||||||
(1) | Includes $204 million of PCI loans in the commercial portfolio segment and excludes $3.3 billion of loans accounted for under the fair value option. | |
(2) | Other internal credit metrics may include delinquency status, application scores, geography or other factors. | |
(3) | U.S. small business commercial includes business card and small business loans which are evaluated using internal credit metrics, including delinquency status. At December 31, 2010, 95 percent was current or less than 30 days past due. | |
n/a | = not applicable |
156
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Impaired Loans - Home Loans | ||||||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||||||
June 30, 2011 | 2011 | 2010 | ||||||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | ||||||||||||||||||||||||
Principal | Carrying | Related | Carrying | Income | Carrying | Income | ||||||||||||||||||||||
(Dollars in millions) | Balance | Value | Allowance | Value | Recognized(1) | Value | Recognized(1) | |||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
Residential mortgage | $ | 6,955 | $ | 5,400 | n/a | $ | 5,427 | $ | 62 | $ | 4,125 | $ | 43 | |||||||||||||||
Home equity | 1,381 | 395 | n/a | 419 | 5 | 483 | 5 | |||||||||||||||||||||
Discontinued real estate | 324 | 193 | n/a | 216 | 2 | 220 | 2 | |||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
Residential mortgage | $ | 11,914 | $ | 10,371 | $ | 1,320 | $ | 9,828 | $ | 77 | $ | 5,058 | $ | 46 | ||||||||||||||
Home equity | 1,764 | 1,420 | 723 | 1,439 | 8 | 1,525 | 7 | |||||||||||||||||||||
Discontinued real estate | 303 | 204 | 51 | 181 | 2 | 168 | 2 | |||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
Residential mortgage | $ | 18,869 | $ | 15,771 | $ | 1,320 | $ | 15,255 | $ | 139 | $ | 9,183 | $ | 89 | ||||||||||||||
Home equity | 3,145 | 1,815 | 723 | 1,858 | 13 | 2,008 | 12 | |||||||||||||||||||||
Discontinued real estate | 627 | 397 | 51 | 397 | 4 | 388 | 4 | |||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
Residential mortgage | $ | 5,527 | $ | 116 | $ | 3,563 | $ | 79 | ||||||||||||||||||||
Home equity | 452 | 10 | 455 | 9 | ||||||||||||||||||||||||
Discontinued real estate | 222 | 4 | 223 | 4 | ||||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
Residential mortgage | $ | 8,790 | $ | 147 | $ | 5,035 | $ | 101 | ||||||||||||||||||||
Home equity | 1,370 | 15 | 1,706 | 12 | ||||||||||||||||||||||||
Discontinued real estate | 175 | 3 | 160 | 3 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
Residential mortgage | $ | 14,317 | $ | 263 | $ | 8,598 | $ | 180 | ||||||||||||||||||||
Home equity | 1,822 | 25 | 2,161 | 21 | ||||||||||||||||||||||||
Discontinued real estate | 397 | 7 | 383 | 7 | ||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||
December 31, 2010 | December 31, 2010 | |||||||||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
Residential mortgage | $ | 5,493 | $ | 4,382 | n/a | $ | 4,429 | $ | 184 | |||||||||||||||||||
Home equity | 1,411 | 437 | n/a | 493 | 21 | |||||||||||||||||||||||
Discontinued real estate | 361 | 218 | n/a | 219 | 8 | |||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
Residential mortgage | $ | 8,593 | $ | 7,406 | $ | 1,154 | $ | 5,226 | $ | 196 | ||||||||||||||||||
Home equity | 1,521 | 1,284 | 676 | 1,509 | 23 | |||||||||||||||||||||||
Discontinued real estate | 247 | 177 | 41 | 170 | 7 | |||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
Residential mortgage | $ | 14,086 | $ | 11,788 | $ | 1,154 | $ | 9,655 | $ | 380 | ||||||||||||||||||
Home equity | 2,932 | 1,721 | 676 | 2,002 | 44 | |||||||||||||||||||||||
Discontinued real estate | 608 | 395 | 41 | 389 | 15 | |||||||||||||||||||||||
(1) | Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. | |
n/a | = not applicable |
157
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Impaired Loans - Commercial | ||||||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||||||
June 30, 2011 | 2011 | 2010 | ||||||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | ||||||||||||||||||||||||
Principal | Carrying | Related | Carrying | Income | Carrying | Income | ||||||||||||||||||||||
(Dollars in millions) | Balance | Value | Allowance | Value | Recognized(1) | Value | Recognized(1) | |||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
U.S. commercial | $ | 984 | $ | 696 | n/a | $ | 534 | $ | 1 | $ | 473 | $ | - | |||||||||||||||
Commercial real estate | 2,723 | 1,990 | n/a | 1,895 | 1 | 1,703 | 2 | |||||||||||||||||||||
Non-U.S. commercial | 161 | 72 | n/a | 92 | - | - | - | |||||||||||||||||||||
U.S. small business commercial(2) | - | - | n/a | - | - | - | - | |||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. commercial | $ | 3,067 | $ | 2,255 | $ | 340 | $ | 2,463 | $ | 2 | $ | 3,882 | $ | 9 | ||||||||||||||
Commercial real estate | 4,330 | 3,219 | 165 | 3,491 | 2 | 5,263 | 7 | |||||||||||||||||||||
Non-U.S. commercial | 335 | 85 | 5 | 66 | - | 221 | - | |||||||||||||||||||||
U.S. small business commercial(2) | 705 | 677 | 268 | 707 | 6 | 1,080 | 9 | |||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
U.S. commercial | $ | 4,051 | $ | 2,951 | $ | 340 | $ | 2,997 | $ | 3 | $ | 4,355 | $ | 9 | ||||||||||||||
Commercial real estate | 7,053 | 5,209 | 165 | 5,386 | 3 | 6,966 | 9 | |||||||||||||||||||||
Non-U.S. commercial | 496 | 157 | 5 | 158 | - | 221 | - | |||||||||||||||||||||
U.S. small business commercial(2) | 705 | 677 | 268 | 707 | 6 | 1,080 | 9 | |||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
U.S. commercial | $ | 503 | $ | 1 | $ | 474 | $ | 1 | ||||||||||||||||||||
Commercial real estate | 1,854 | 2 | 1,572 | 2 | ||||||||||||||||||||||||
Non-U.S. commercial | 71 | - | - | - | ||||||||||||||||||||||||
U.S. small business commercial(2) | - | - | - | - | ||||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. commercial | $ | 2,692 | $ | 3 | $ | 4,006 | $ | 12 | ||||||||||||||||||||
Commercial real estate | 3,709 | 4 | 5,481 | 10 | ||||||||||||||||||||||||
Non-U.S. commercial | 122 | - | 184 | - | ||||||||||||||||||||||||
U.S. small business commercial(2) | 762 | 13 | 1,079 | 18 | ||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
U.S. commercial | $ | 3,195 | $ | 4 | $ | 4,480 | $ | 13 | ||||||||||||||||||||
Commercial real estate | 5,563 | 6 | 7,053 | 12 | ||||||||||||||||||||||||
Non-U.S. commercial | 193 | - | 184 | - | ||||||||||||||||||||||||
U.S. small business commercial(2) | 762 | 13 | 1,079 | 18 | ||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||
December 31, 2010 | December 31, 2010 | |||||||||||||||||||||||||||
With no recorded allowance | ||||||||||||||||||||||||||||
U.S. commercial | $ | 968 | $ | 441 | n/a | $ | 547 | $ | 3 | |||||||||||||||||||
Commercial real estate | 2,655 | 1,771 | n/a | 1,736 | 8 | |||||||||||||||||||||||
Non-U.S. commercial | 46 | 28 | n/a | 9 | - | |||||||||||||||||||||||
U.S. small business commercial(2) | - | - | n/a | - | - | |||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. commercial | $ | 3,891 | $ | 3,193 | $ | 336 | $ | 3,389 | $ | 36 | ||||||||||||||||||
Commercial real estate | 5,682 | 4,103 | 208 | 4,813 | 29 | |||||||||||||||||||||||
Non-U.S. commercial | 572 | 217 | 91 | 190 | - | |||||||||||||||||||||||
U.S. small business commercial(2) | 935 | 892 | 445 | 1,028 | 34 | |||||||||||||||||||||||
Total | ||||||||||||||||||||||||||||
U.S. commercial | $ | 4,859 | $ | 3,634 | $ | 336 | $ | 3,936 | $ | 39 | ||||||||||||||||||
Commercial real estate | 8,337 | 5,874 | 208 | 6,549 | 37 | |||||||||||||||||||||||
Non-U.S. commercial | 618 | 245 | 91 | 199 | - | |||||||||||||||||||||||
U.S. small business commercial(2) | 935 | 892 | 445 | 1,028 | 34 | |||||||||||||||||||||||
(1) | Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. | |
(2) | Includes U.S. small business commercial renegotiated TDR loans and related allowance. See additional information on the U.S. small business card renegotiated TDR portfolio on page 159. | |
n/a | = not applicable |
158
Table of Contents
Impaired Loans - Credit Card and Other Consumer | ||||||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||||||
June 30, 2011 | 2011 | 2010 | ||||||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | ||||||||||||||||||||||||
Principal | Carrying | Related | Carrying | Income | Carrying | Income | ||||||||||||||||||||||
(Dollars in millions) | Balance | Value(1) | Allowance | Value | Recognized(2) | Value | Recognized(2) | |||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. credit card | $ | 6,867 | $ | 6,919 | $ | 2,279 | $ | 7,637 | $ | 115 | $ | 11,030 | $ | 158 | ||||||||||||||
Non-U.S. credit card | 789 | 808 | 507 | 808 | 1 | 1,034 | 4 | |||||||||||||||||||||
Direct/Indirect consumer | 1,542 | 1,552 | 586 | 1,686 | 23 | 2,199 | 29 | |||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. credit card | $ | 8,100 | $ | 242 | $ | 11,170 | $ | 329 | ||||||||||||||||||||
Non-U.S. credit card | 803 | 3 | 1,154 | 9 | ||||||||||||||||||||||||
Direct/Indirect consumer | 1,763 | 47 | 2,202 | 57 | ||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||||||
December 31, 2010 | December 31, 2010 | |||||||||||||||||||||||||||
With an allowance recorded | ||||||||||||||||||||||||||||
U.S. credit card | $ | 8,680 | $ | 8,766 | $ | 3,458 | $ | 10,549 | $ | 621 | ||||||||||||||||||
Non-U.S. credit card | 778 | 797 | 506 | 973 | 21 | |||||||||||||||||||||||
Direct/Indirect consumer | 1,846 | 1,858 | 822 | 2,126 | 111 | |||||||||||||||||||||||
(1) | Includes accrued interest and fees. | |
(2) | Interest income recognized includes interest accrued and collected on the outstanding balances of accruing impaired loans as well as interest cash collections on nonaccruing impaired loans for which the ultimate collectability of principal is not uncertain. |
Renegotiated TDR Portfolio | ||||||||||||||||||||||||||||||||||||||||
Percent of Balances Current or | ||||||||||||||||||||||||||||||||||||||||
Internal Programs | External Programs | Other | Total | Less Than 30 Days Past Due | ||||||||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||||||||
Credit card and other consumer | ||||||||||||||||||||||||||||||||||||||||
U.S. credit card | $ | 5,073 | $ | 6,592 | $ | 1,707 | $ | 1,927 | $ | 139 | $ | 247 | $ | 6,919 | $ | 8,766 | 79.59 | % | 77.66 | % | ||||||||||||||||||||
Non-U.S. credit card | 279 | 282 | 164 | 176 | 365 | 339 | 808 | 797 | 54.80 | 58.86 | ||||||||||||||||||||||||||||||
Direct/Indirect consumer | 1,005 | 1,222 | 473 | 531 | 74 | 105 | 1,552 | 1,858 | 80.76 | 78.81 | ||||||||||||||||||||||||||||||
Total consumer | 6,357 | 8,096 | 2,344 | 2,634 | 578 | 691 | 9,279 | 11,421 | 77.62 | 76.51 | ||||||||||||||||||||||||||||||
Commercial | ||||||||||||||||||||||||||||||||||||||||
U.S. small business commercial | 468 | 624 | 52 | 58 | 1 | 6 | 521 | 688 | 67.70 | % | 65.37 | % | ||||||||||||||||||||||||||||
Total commercial | 468 | 624 | 52 | 58 | 1 | 6 | 521 | 688 | 67.70 | 65.37 | ||||||||||||||||||||||||||||||
Total renegotiated TDR loans | $ | 6,825 | $ | 8,720 | $ | 2,396 | $ | 2,692 | $ | 579 | $ | 697 | $ | 9,800 | $ | 12,109 | 77.09 | 75.90 | ||||||||||||||||||||||
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Table of Contents
June 30 | March 31 | December 31 | ||||||||||
(Dollars in millions) | 2011 | 2011 | 2010 | |||||||||
Consumer | ||||||||||||
Countrywide | ||||||||||||
Unpaid principal balance | $ | 38,488 | $ | 40,040 | $ | 41,446 | ||||||
Carrying value excluding valuation allowance | 33,416 | 34,132 | 34,834 | |||||||||
Allowance for loan and lease losses | 8,239 | 7,845 | 6,334 | |||||||||
Merrill Lynch | ||||||||||||
Unpaid principal balance | 1,582 | 1,629 | 1,698 | |||||||||
Carrying value excluding valuation allowance | 1,474 | 1,508 | 1,559 | |||||||||
Allowance for loan and lease losses | 154 | 136 | 83 | |||||||||
Commercial | ||||||||||||
Merrill Lynch | ||||||||||||
Unpaid principal balance | $ | 842 | $ | 859 | $ | 870 | ||||||
Carrying value excluding valuation allowance | 181 | 192 | 204 | |||||||||
Allowance for loan and lease losses | 1 | 1 | 12 | |||||||||
Three Months Ended | Six Months Ended | |||||||
(Dollars in millions) | June 30, 2011 | June 30, 2011 | ||||||
Accretable yield, beginning of period | $ | 6,317 | $ | 5,722 | ||||
Accretion | (341 | ) | (708 | ) | ||||
Disposals/transfers | (35 | ) | (64 | ) | ||||
Reclassifications (to)/from nonaccretable difference | (118 | ) | 873 | |||||
Accretable yield, June 30, 2011 | $ | 5,823 | $ | 5,823 | ||||
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Three Months Ended June 30, 2011 | ||||||||||||||||
Credit Card | ||||||||||||||||
and Other | Total | |||||||||||||||
(Dollars in millions) | Home Loans | Consumer | Commercial | Allowance | ||||||||||||
Allowance for loan and lease losses, April 1 | $ | 20,097 | $ | 13,271 | $ | 6,475 | $ | 39,843 | ||||||||
Loans and leases charged off | (2,603 | ) | (3,245 | ) | (759 | ) | (6,607 | ) | ||||||||
Recoveries of loans and leases previously charged off | 210 | 476 | 256 | 942 | ||||||||||||
Net charge-offs | (2,393 | ) | (2,769 | ) | (503 | ) | (5,665 | ) | ||||||||
Provision for loan and lease losses | 3,249 | 529 | (518 | ) | 3,260 | |||||||||||
Other | - | (100 | ) | (26 | ) | (126 | ) | |||||||||
Allowance for loan and lease losses, June 30 | 20,953 | 10,931 | 5,428 | 37,312 | ||||||||||||
Reserve for unfunded lending commitments, April 1 | - | - | 961 | 961 | ||||||||||||
Provision for unfunded lending commitments | - | - | (5 | ) | (5 | ) | ||||||||||
Other(1) | - | - | (59 | ) | (59 | ) | ||||||||||
Reserve for unfunded lending commitments, June 30 | - | - | 897 | 897 | ||||||||||||
Allowance for credit losses, June 30 | $ | 20,953 | $ | 10,931 | $ | 6,325 | $ | 38,209 | ||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||
Allowance for loan and lease losses, January 1 | $ | 19,252 | $ | 15,463 | $ | 7,170 | $ | 41,885 | ||||||||
Loans and leases charged off | (4,892 | ) | (6,976 | ) | (1,665 | ) | (13,533 | ) | ||||||||
Recoveries of loans and leases previously charged off | 395 | 966 | 479 | 1,840 | ||||||||||||
Net charge-offs | (4,497 | ) | (6,010 | ) | (1,186 | ) | (11,693 | ) | ||||||||
Provision for loan and lease losses | 6,197 | 1,508 | (529 | ) | 7,176 | |||||||||||
Other | 1 | (30 | ) | (27 | ) | (56 | ) | |||||||||
Allowance for loan and lease losses, June 30 | 20,953 | 10,931 | 5,428 | 37,312 | ||||||||||||
Reserve for unfunded lending commitments, January 1 | - | - | 1,188 | 1,188 | ||||||||||||
Provision for unfunded lending commitments | - | - | (107 | ) | (107 | ) | ||||||||||
Other(1) | - | - | (184 | ) | (184 | ) | ||||||||||
Reserve for unfunded lending commitments, June 30 | - | - | 897 | 897 | ||||||||||||
Allowance for credit losses, June 30 | $ | 20,953 | $ | 10,931 | $ | 6,325 | $ | 38,209 | ||||||||
Three Months Ended June 30, 2010 | ||||||||||||||||
Allowance for loan and lease losses, April 1 | $ | 17,971 | $ | 19,683 | $ | 9,181 | $ | 46,835 | ||||||||
Loans and leases charged off | (2,819 | ) | (5,916 | ) | (1,571 | ) | (10,306 | ) | ||||||||
Recoveries of loans and leases previously charged off | 88 | 505 | 156 | 749 | ||||||||||||
Net charge-offs | (2,731 | ) | (5,411 | ) | (1,415 | ) | (9,557 | ) | ||||||||
Provision for loan and lease losses | 3,659 | 3,489 | 957 | 8,105 | ||||||||||||
Other | (61 | ) | (69 | ) | 2 | (128 | ) | |||||||||
Allowance for loan and lease losses, June 30 | 18,838 | 17,692 | 8,725 | 45,255 | ||||||||||||
Reserve for unfunded lending commitments, April 1 | - | - | 1,521 | 1,521 | ||||||||||||
Other(1) | - | - | (108 | ) | (108 | ) | ||||||||||
Reserve for unfunded lending commitments, June 30 | - | - | 1,413 | 1,413 | ||||||||||||
Allowance for credit losses, June 30 | $ | 18,838 | $ | 17,692 | $ | 10,138 | $ | 46,668 | ||||||||
Six Months Ended June 30, 2010 | ||||||||||||||||
Allowance for loan and lease losses, January 1 | $ | 16,329 | $ | 22,243 | $ | 9,416 | $ | 47,988 | ||||||||
Loans and leases charged off | (6,389 | ) | (12,179 | ) | (3,239 | ) | (21,807 | ) | ||||||||
Recoveries of loans and leases previously charged off | 171 | 1,007 | 275 | 1,453 | ||||||||||||
Net charge-offs | (6,218 | ) | (11,172 | ) | (2,964 | ) | (20,354 | ) | ||||||||
Provision for loan and lease losses | 8,632 | 6,799 | 2,273 | 17,704 | ||||||||||||
Other | 95 | (178 | ) | - | (83 | ) | ||||||||||
Allowance for loan and lease losses, June 30 | 18,838 | 17,692 | 8,725 | 45,255 | ||||||||||||
Reserve for unfunded lending commitments, January 1 | - | - | 1,487 | 1,487 | ||||||||||||
Provision for unfunded lending commitments | - | - | 206 | 206 | ||||||||||||
Other(1) | - | - | (280 | ) | (280 | ) | ||||||||||
Reserve for unfunded lending commitments, June 30 | - | - | 1,413 | 1,413 | ||||||||||||
Allowance for credit losses, June 30 | $ | 18,838 | $ | 17,692 | $ | 10,138 | $ | 46,668 | ||||||||
(1) | Represents primarily accretion of the Merrill Lynch purchase accounting adjustment and the impact of funding previously unfunded positions. |
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June 30, 2011 | ||||||||||||||||
Credit Card | ||||||||||||||||
and Other | ||||||||||||||||
(Dollars in millions) | Home Loans | Consumer | Commercial | Total | ||||||||||||
Impaired loans and troubled debt restructurings(1) | ||||||||||||||||
Allowance for loan and lease losses(2) | $ | 2,094 | $ | 3,372 | $ | 778 | $ | 6,244 | ||||||||
Carrying value | 17,983 | 9,279 | 8,994 | 36,256 | ||||||||||||
Allowance as a percentage of carrying value | 11.64 | % | 36.34 | % | 8.66 | % | 17.22 | % | ||||||||
Collectively evaluated for impairment | ||||||||||||||||
Allowance for loan and lease losses | $ | 10,466 | $ | 7,559 | $ | 4,649 | $ | 22,674 | ||||||||
Carrying value(3) | 356,117 | 214,437 | 289,779 | 860,333 | ||||||||||||
Allowance as a percentage of carrying value(3) | 2.94 | % | 3.53 | % | 1.60 | % | 2.64 | % | ||||||||
Purchased credit-impaired loans | ||||||||||||||||
Allowance for loan and lease losses | $ | 8,393 | n/a | $ | 1 | $ | 8,394 | |||||||||
Carrying value excluding valuation allowance | 34,890 | n/a | 181 | 35,071 | ||||||||||||
Allowance as a percentage of carrying value | 24.06 | % | n/a | 0.39 | % | 23.94 | % | |||||||||
Total | ||||||||||||||||
Allowance for loan and lease losses | $ | 20,953 | $ | 10,931 | $ | 5,428 | $ | 37,312 | ||||||||
Carrying value(3) | 408,990 | 223,716 | 298,954 | 931,660 | ||||||||||||
Allowance as a percentage of carrying value(3) | 5.12 | % | 4.89 | % | 1.82 | % | 4.00 | % | ||||||||
December 31, 2010 | ||||||||||||||||
Impaired loans and troubled debt restructurings(1) | ||||||||||||||||
Allowance for loan and lease losses(2) | $ | 1,871 | $ | 4,786 | $ | 1,080 | $ | 7,737 | ||||||||
Carrying value | 13,904 | 11,421 | 10,645 | 35,970 | ||||||||||||
Allowance as a percentage of carrying value | 13.46 | % | 41.91 | % | 10.15 | % | 21.51 | % | ||||||||
Collectively evaluated for impairment | ||||||||||||||||
Allowance for loan and lease losses | $ | 10,964 | $ | 10,677 | $ | 6,078 | $ | 27,719 | ||||||||
Carrying value(3) | 358,765 | 222,967 | �� | 282,820 | 864,552 | |||||||||||
Allowance as a percentage of carrying value(3) | 3.06 | % | 4.79 | % | 2.15 | % | 3.21 | % | ||||||||
Purchased credit-impaired loans | ||||||||||||||||
Allowance for loan and lease losses | $ | 6,417 | n/a | $ | 12 | $ | 6,429 | |||||||||
Carrying value excluding valuation allowance | 36,393 | n/a | 204 | 36,597 | ||||||||||||
Allowance as a percentage of carrying value | 17.63 | % | n/a | 5.76 | % | 17.57 | % | |||||||||
Total | ||||||||||||||||
Allowance for loan and lease losses | $ | 19,252 | $ | 15,463 | $ | 7,170 | $ | 41,885 | ||||||||
Carrying value(3) | 409,062 | 234,388 | 293,669 | 937,119 | ||||||||||||
Allowance as a percentage of carrying value (3) | 4.71 | % | 6.60 | % | 2.44 | % | 4.47 | % | ||||||||
(1) | Impaired loans include nonperforming commercial loans and all commercial and consumer TDRs. Impaired loans exclude nonperforming consumer loans unless they are classified as TDRs, and all loans and leases that are accounted for under the fair value option. | |
(2) | Commercial impaired allowance for loan and lease losses includes $268 million and $445 million at June 30, 2011 and December 31, 2010 related to U.S. small business commercial renegotiated TDR loans. | |
(3) | Outstanding loan and lease balances and ratios do not include loans accounted for under the fair value option. Total loans accounted for under the fair value option were $9.6 billion and $3.3 billion at June 30, 2011 and December 31, 2010. | |
n/a | = not applicable |
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Residential Mortgage | ||||||||||||||||||||||||||||||||||||||||
Non-Agency | ||||||||||||||||||||||||||||||||||||||||
Agency | Prime | Subprime | Alt-A | Commercial Mortgage | ||||||||||||||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||||||||
Cash proceeds from new securitizations(1) | $ | 36,222 | $ | 61,301 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 1,802 | $ | 1,362 | ||||||||||||||||||||
Gain (loss) on securitizations, net of hedges(2) | (227 | ) | (402 | ) | - | - | - | - | - | - | - | 2 | ||||||||||||||||||||||||||||
Cash flows received on residual interests | - | - | 1 | 4 | 10 | 14 | - | 1 | 4 | - | ||||||||||||||||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||||||||
Cash proceeds from new securitizations(1) | $ | 96,976 | $ | 131,209 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 3 | $ | 1,802 | $ | 2,383 | ||||||||||||||||||||
Gain (loss) on securitizations, net of hedges(2) | (55 | ) | (451 | ) | - | - | - | - | - | - | - | 20 | ||||||||||||||||||||||||||||
Cash flows received on residual interests | - | - | 2 | 9 | 22 | 33 | 1 | 2 | 7 | 1 | ||||||||||||||||||||||||||||||
(1) | The Corporation sells residential mortgage loans to GSEs in the normal course of business and receives MBS in exchange which may then be sold into the market to third-party investors for cash proceeds. | |
(2) | Substantially all of the first-lien residential mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. As such, gains are recognized on these LHFS prior to securitization. During the three and six months ended June 30, 2011, the Corporation recognized $765 million and $1.8 billion of gains on these LHFS compared to $1.2 billion and $2.5 billion for the same periods in 2010, net of hedges. |
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Residential Mortgage | ||||||||||||||||||||||||||||||||||||||||
Non-Agency | ||||||||||||||||||||||||||||||||||||||||
Agency | Prime | Subprime | Alt-A | Commercial Mortgage | ||||||||||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||||||||||
Unconsolidated VIEs | ||||||||||||||||||||||||||||||||||||||||
Maximum loss exposure(1) | $ | 42,139 | $ | 46,093 | $ | 2,477 | $ | 2,794 | $ | 439 | $ | 416 | $ | 593 | $ | 651 | $ | 1,258 | $ | 1,199 | ||||||||||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||||||||||||||||||
Senior securities held(2): | ||||||||||||||||||||||||||||||||||||||||
Trading account assets | $ | 8,536 | $ | 10,693 | $ | 118 | $ | 147 | $ | 73 | $ | 126 | $ | 399 | $ | 645 | $ | 93 | $ | 146 | ||||||||||||||||||||
AFS debt securities | 33,596 | 35,400 | 2,265 | 2,593 | 204 | 234 | 190 | - | 976 | 984 | ||||||||||||||||||||||||||||||
Subordinate securities held(2): | ||||||||||||||||||||||||||||||||||||||||
Trading account assets | - | - | - | - | 6 | 12 | - | - | 11 | 8 | ||||||||||||||||||||||||||||||
AFS debt securities | - | - | 35 | 39 | 33 | 35 | 4 | 6 | - | - | ||||||||||||||||||||||||||||||
Residual interests held | 7 | - | 6 | 6 | 8 | 9 | - | - | 123 | 61 | ||||||||||||||||||||||||||||||
All other assets | - | - | - | 9 | - | - | - | - | - | - | ||||||||||||||||||||||||||||||
Total retained positions | $ | 42,139 | $ | 46,093 | $ | 2,424 | $ | 2,794 | $ | 324 | $ | 416 | $ | 593 | $ | 651 | $ | 1,203 | $ | 1,199 | ||||||||||||||||||||
Principal balance outstanding(3) | $ | 1,311,478 | $ | 1,297,159 | $ | 67,316 | $ | 75,762 | $ | 82,730 | $ | 92,710 | $ | 108,697 | $ | 116,233 | $ | 72,765 | $ | 73,597 | ||||||||||||||||||||
Consolidated VIEs | ||||||||||||||||||||||||||||||||||||||||
Maximum loss exposure(1) | $ | 46,446 | $ | 32,746 | $ | 901 | $ | 46 | $ | 310 | $ | 42 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||||||||||||||||||
Loans and leases | $ | 46,232 | $ | 32,563 | $ | 4,172 | $ | - | $ | 1,022 | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
Allowance for loan and lease losses | (38 | ) | (37 | ) | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||
Loans held-for-sale | - | - | - | - | 749 | 732 | - | - | - | - | ||||||||||||||||||||||||||||||
All other assets | 252 | 220 | 224 | 46 | 40 | 16 | - | - | - | - | ||||||||||||||||||||||||||||||
Total assets | $ | 46,446 | $ | 32,746 | $ | 4,396 | $ | 46 | $ | 1,811 | $ | 748 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||||||||||||||||||
Long-term debt | $ | - | $ | - | $ | 4,364 | $ | - | $ | 1,033 | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
All other liabilities | 3 | 3 | - | 9 | 811 | 768 | - | - | - | - | ||||||||||||||||||||||||||||||
Total liabilities | $ | 3 | $ | 3 | $ | 4,364 | $ | 9 | $ | 1,844 | $ | 768 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
(1) | Maximum loss exposure excludes the liability for representations and warranties obligations and corporate guarantees and also excludes servicing advances. For more information, seeNote 9 – Representations and Warranties Obligations and Corporate Guarantees. | |
(2) | As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities. | |
(3) | Principal balance outstanding includes loans the Corporation transferred with which the Corporation has continuing involvement, which may include servicing the loans. |
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June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Retained | Retained | |||||||||||||||||||||||
Interests in | Interests in | |||||||||||||||||||||||
Consolidated | Unconsolidated | Consolidated | Unconsolidated | |||||||||||||||||||||
(Dollars in millions) | VIEs | VIEs | Total | VIEs | VIEs | Total | ||||||||||||||||||
Maximum loss exposure(1) | $ | 2,927 | $ | 8,278 | $ | 11,205 | $ | 3,192 | $ | 9,132 | $ | 12,324 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Trading account assets(2, 3) | $ | - | $ | 141 | $ | 141 | $ | - | $ | 209 | $ | 209 | ||||||||||||
AFS debt securities(3, 4) | - | 13 | 13 | - | 35 | 35 | ||||||||||||||||||
Loans and leases | 3,219 | - | 3,219 | 3,529 | - | 3,529 | ||||||||||||||||||
Allowance for loan and lease losses | (292 | ) | - | (292 | ) | (337 | ) | - | (337 | ) | ||||||||||||||
Total | $ | 2,927 | $ | 154 | $ | 3,081 | $ | 3,192 | $ | 244 | $ | 3,436 | ||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||
Long-term debt | $ | 3,311 | $ | - | $ | 3,311 | $ | 3,635 | $ | - | $ | 3,635 | ||||||||||||
All other liabilities | 42 | - | 42 | 23 | - | 23 | ||||||||||||||||||
Total | $ | 3,353 | $ | - | $ | 3,353 | $ | 3,658 | $ | - | $ | 3,658 | ||||||||||||
Principal balance outstanding | $ | 3,219 | $ | 17,905 | $ | 21,124 | $ | 3,529 | $ | 20,095 | $ | 23,624 | ||||||||||||
(1) | For unconsolidated VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves, and excludes the liability for representations and warranties and corporate guarantees. | |
(2) | At June 30, 2011, $116 million of the debt securities classified as trading account assets were senior securities and $25 million were subordinate securities. At December 31, 2010, $204 million of the debt securities classified as trading account assets were senior securities and $5 million were subordinate securities. | |
(3) | As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no OTTI losses recorded on those securities classified as AFS debt securities. | |
(4) | At June 30, 2011 and December 31, 2010, $13 million and $35 million represented subordinate debt securities held. |
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June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Consolidated VIEs | ||||||||
Maximum loss exposure | $ | 39,440 | $ | 36,596 | ||||
On-balance sheet assets | ||||||||
Derivative assets | $ | 1,445 | �� | $ | 1,778 | |||
Loans and leases(1) | 82,839 | 92,104 | ||||||
Allowance for loan and lease losses | (6,004 | ) | (8,505 | ) | ||||
All other assets(2) | 3,957 | 4,259 | ||||||
Total | $ | 82,237 | $ | 89,636 | ||||
On-balance sheet liabilities | ||||||||
Long-term debt | $ | 42,600 | $ | 52,781 | ||||
All other liabilities | 197 | 259 | ||||||
Total | $ | 42,797 | $ | 53,040 | ||||
Trust loans | $ | 82,839 | $ | 92,104 | ||||
(1) | At June 30, 2011 and December 31, 2010, loans and leases included $24.9 billion and $20.4 billion of seller’s interest and $2.7 billion and $3.8 billion of discount receivables. | |
(2) | At June 30, 2011 and December 31, 2010, all other assets included restricted cash accounts and unbilled accrued interest and fees. |
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Automobile and Other | ||||||||||||||||||||||||
Resecuritization Trusts | Municipal Bond Trusts | Securitization Trusts | ||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Unconsolidated VIEs | ||||||||||||||||||||||||
Maximum loss exposure | $ | 30,821 | $ | 20,320 | $ | 3,736 | $ | 4,261 | $ | 113 | $ | 141 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Senior securities held(1, 2): | ||||||||||||||||||||||||
Trading account assets | $ | 644 | $ | 1,219 | $ | 182 | $ | 255 | $ | - | $ | - | ||||||||||||
AFS debt securities | 29,099 | 17,989 | - | - | 84 | 109 | ||||||||||||||||||
Subordinate securities held(1, 2): | ||||||||||||||||||||||||
Trading account assets | 1 | 2 | - | - | - | - | ||||||||||||||||||
AFS debt securities | 973 | 1,036 | - | - | - | - | ||||||||||||||||||
Residual interests held(3) | 104 | 74 | - | - | - | - | ||||||||||||||||||
All other assets | - | - | - | - | 14 | 17 | ||||||||||||||||||
Total retained positions | $ | 30,821 | $ | 20,320 | $ | 182 | $ | 255 | $ | 98 | $ | 126 | ||||||||||||
Total assets of VIEs | $ | 53,796 | $ | 39,830 | $ | 5,516 | $ | 6,108 | $ | 718 | $ | 774 | ||||||||||||
Consolidated VIEs | ||||||||||||||||||||||||
Maximum loss exposure | $ | 25 | $ | - | $ | 4,493 | $ | 4,716 | $ | 1,665 | $ | 2,061 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Trading account assets | $ | 39 | $ | 68 | $ | 4,493 | $ | 4,716 | $ | - | $ | - | ||||||||||||
Loans and leases | - | - | - | - | 7,187 | 9,583 | ||||||||||||||||||
Allowance for loan and lease losses | - | - | - | - | (10 | ) | (29 | ) | ||||||||||||||||
All other assets | - | - | - | - | 195 | 196 | ||||||||||||||||||
Total assets | $ | 39 | $ | 68 | $ | 4,493 | $ | 4,716 | $ | 7,372 | $ | 9,750 | ||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||
Commercial paper and other short-term borrowings | $ | - | $ | - | $ | 4,445 | $ | 4,921 | $ | - | $ | - | ||||||||||||
Long-term debt | 14 | 68 | - | - | 5,701 | 7,681 | ||||||||||||||||||
All other liabilities | - | - | - | - | 119 | 101 | ||||||||||||||||||
Total liabilities | $ | 14 | $ | 68 | $ | 4,445 | $ | 4,921 | $ | 5,820 | $ | 7,782 | ||||||||||||
(1) | As a holder of these securities, the Corporation receives scheduled principal and interest payments. During the three and six months ended June 30, 2011 and 2010, there were no significant OTTI losses recorded on those securities classified as AFS debt securities. | |
(2) | The retained senior and subordinate securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy). | |
(3) | The retained residual interests are carried at fair value which was derived using model valuations (Level 2 of the fair value hierarchy). |
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June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions) | Consolidated | Unconsolidated | Total | Consolidated | Unconsolidated | Total | ||||||||||||||||||
Maximum loss exposure | $ | 2,714 | $ | 2,678 | $ | 5,392 | $ | 2,971 | $ | 3,828 | $ | 6,799 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Trading account assets | $ | 2,178 | $ | 554 | $ | 2,732 | $ | 2,485 | $ | 884 | $ | 3,369 | ||||||||||||
Derivative assets | 469 | 744 | 1,213 | 207 | 890 | 1,097 | ||||||||||||||||||
AFS debt securities | 251 | - | 251 | 769 | 338 | 1,107 | ||||||||||||||||||
All other assets | 74 | 146 | 220 | 24 | 123 | 147 | ||||||||||||||||||
Total | $ | 2,972 | $ | 1,444 | $ | 4,416 | $ | 3,485 | $ | 2,235 | $ | 5,720 | ||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||
Derivative liabilities | $ | - | $ | 17 | $ | 17 | $ | - | $ | 58 | $ | 58 | ||||||||||||
Long-term debt | 3,169 | 2 | 3,171 | 3,162 | - | 3,162 | ||||||||||||||||||
Total | $ | 3,169 | $ | 19 | $ | 3,188 | $ | 3,162 | $ | 58 | $ | 3,220 | ||||||||||||
Total assets of VIEs | $ | 2,972 | $ | 36,427 | $ | 39,399 | $ | 3,485 | $ | 43,476 | $ | 46,961 | ||||||||||||
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June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions) | Consolidated | Unconsolidated | Total | Consolidated | Unconsolidated | Total | ||||||||||||||||||
Maximum loss exposure | $ | 4,634 | $ | 2,112 | $ | 6,746 | $ | 4,449 | $ | 2,735 | $ | 7,184 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Trading account assets | $ | 3,932 | $ | 225 | $ | 4,157 | $ | 3,458 | $ | 876 | $ | 4,334 | ||||||||||||
Derivative assets | - | 747 | 747 | 1 | 722 | 723 | ||||||||||||||||||
Loans held-for-sale | 672 | - | 672 | 959 | - | 959 | ||||||||||||||||||
All other assets | 1,980 | - | 1,980 | 1,429 | - | 1,429 | ||||||||||||||||||
Total | $ | 6,584 | $ | 972 | $ | 7,556 | $ | 5,847 | $ | 1,598 | $ | 7,445 | ||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||
Derivative liabilities | $ | 1 | $ | 59 | $ | 60 | $ | 1 | $ | 23 | $ | 24 | ||||||||||||
Commercial paper and other short-term borrowings | 232 | - | 232 | - | - | - | ||||||||||||||||||
Long-term debt | 4,379 | - | 4,379 | 3,457 | - | 3,457 | ||||||||||||||||||
All other liabilities | 1 | 477 | 478 | - | 140 | 140 | ||||||||||||||||||
Total | $ | 4,613 | $ | 536 | $ | 5,149 | $ | 3,458 | $ | 163 | $ | 3,621 | ||||||||||||
Total assets of VIEs | $ | 6,584 | $ | 5,878 | $ | 12,462 | $ | 5,847 | $ | 6,090 | $ | 11,937 | ||||||||||||
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June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
(Dollars in millions) | Consolidated | Unconsolidated | Total | Consolidated | Unconsolidated | Total | ||||||||||||||||||
Maximum loss exposure | $ | 8,026 | $ | 7,268 | $ | 15,294 | $ | 19,248 | $ | 8,796 | $ | 28,044 | ||||||||||||
On-balance sheet assets | ||||||||||||||||||||||||
Trading account assets | $ | 104 | $ | - | $ | 104 | $ | 8,900 | $ | - | $ | 8,900 | ||||||||||||
Derivative assets | 353 | 197 | 550 | - | 228 | 228 | ||||||||||||||||||
AFS debt securities | - | 61 | 61 | 1,832 | 73 | 1,905 | ||||||||||||||||||
Loans and leases | 7,257 | 557 | 7,814 | 7,690 | 1,122 | 8,812 | ||||||||||||||||||
Allowance for loan and lease losses | (23 | ) | (7 | ) | (30 | ) | (27 | ) | (22 | ) | (49 | ) | ||||||||||||
Loans held-for-sale | 144 | 870 | 1,014 | 262 | 949 | 1,211 | ||||||||||||||||||
All other assets | 415 | 5,585 | 6,000 | 937 | 6,440 | 7,377 | ||||||||||||||||||
Total | $ | 8,250 | $ | 7,263 | $ | 15,513 | $ | 19,594 | $ | 8,790 | $ | 28,384 | ||||||||||||
On-balance sheet liabilities | ||||||||||||||||||||||||
Commercial paper and other short-term borrowings | $ | - | $ | - | $ | - | $ | 1,115 | $ | - | $ | 1,115 | ||||||||||||
Long-term debt | 174 | - | 174 | 229 | - | 229 | ||||||||||||||||||
All other liabilities | 697 | 1,451 | 2,148 | 8,683 | 1,666 | 10,349 | ||||||||||||||||||
Total | $ | 871 | $ | 1,451 | $ | 2,322 | $ | 10,027 | $ | 1,666 | $ | 11,693 | ||||||||||||
Total assets of VIEs | $ | 8,250 | $ | 11,594 | $ | 19,844 | $ | 19,594 | $ | 13,416 | $ | 33,010 | ||||||||||||
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Outstanding Claims by Counterparty and Product Type | ||||||||
June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
By counterparty | ||||||||
GSEs | $ | 5,081 | $ | 2,821 | ||||
Monolines | 3,533 | 4,799 | ||||||
Whole loan and private-label securitization investors and other(1) | 2,966 | 3,067 | ||||||
Total outstanding claims by counterparty | $ | 11,580 | $ | 10,687 | ||||
By product type | ||||||||
Prime loans | $ | 3,421 | $ | 2,040 | ||||
Alt-A | 1,938 | 1,190 | ||||||
Home equity | 2,853 | 3,658 | ||||||
Pay option | 2,478 | 2,889 | ||||||
Subprime | 663 | 734 | ||||||
Other | 227 | 176 | ||||||
Total outstanding claims by product type | $ | 11,580 | $ | 10,687 | ||||
(1) | Amounts for June 30, 2011 and December 31, 2010 include $1.7 billion in demands contained in correspondence from private-label securitizations investors in the Covered Trusts that do not have the right to demand repurchase of loans directly or the right to access loan files. For additional information, see Settlement with Bank of New York Mellon, as Trustee on page 174. |
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Loan Repurchases and Indemnification Payments | ||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Unpaid | Cash Paid | Unpaid | Cash Paid | |||||||||||||||||||||
Principal | for | Principal | for | |||||||||||||||||||||
(Dollars in millions) | Balance | Repurchases | Loss | Balance | Repurchases | Loss | ||||||||||||||||||
First-lien | ||||||||||||||||||||||||
Repurchases | $ | 860 | $ | 970 | $ | 419 | $ | 573 | $ | 627 | $ | 267 | ||||||||||||
Indemnification payments | 958 | 539 | 539 | 291 | 166 | 165 | ||||||||||||||||||
Total first-lien | 1,818 | 1,509 | 958 | 864 | 793 | 432 | ||||||||||||||||||
Home equity | ||||||||||||||||||||||||
Repurchases | 3 | 3 | - | 24 | 28 | 19 | ||||||||||||||||||
Indemnification payments | 45 | 48 | 48 | 38 | 36 | 36 | ||||||||||||||||||
Total home equity | 48 | 51 | 48 | 62 | 64 | 55 | ||||||||||||||||||
Total first-lien and home equity | $ | 1,866 | $ | 1,560 | $ | 1,006 | $ | 926 | $ | 857 | $ | 487 | ||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
First-lien | ||||||||||||||||||||||||
Repurchases | $ | 1,194 | $ | 1,333 | $ | 552 | $ | 1,209 | $ | 1,325 | $ | 627 | ||||||||||||
Indemnification payments | 1,292 | 699 | 699 | 801 | 462 | 462 | ||||||||||||||||||
Total first-lien | 2,486 | 2,032 | 1,251 | 2,010 | 1,787 | 1,089 | ||||||||||||||||||
Home equity | ||||||||||||||||||||||||
Repurchases | 18 | 18 | 14 | 42 | 48 | 29 | ||||||||||||||||||
Indemnification payments | 85 | 87 | 87 | 79 | 76 | 76 | ||||||||||||||||||
Total home equity | 103 | 105 | 101 | 121 | 124 | 105 | ||||||||||||||||||
Total first-lien and home equity | $ | 2,589 | $ | 2,137 | $ | 1,352 | $ | 2,131 | $ | 1,911 | $ | 1,194 | ||||||||||||
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Liability for representations and warranties and corporate guarantees, beginning of period | $ | 6,220 | $ | 3,325 | $ | 5,438 | $ | 3,507 | ||||||||
Additions for new sales | 3 | 8 | 10 | 16 | ||||||||||||
Charge-offs | (2,480 | ) | (642 | ) | (2,718 | ) | (1,360 | ) | ||||||||
Provision | 14,037 | 1,248 | 15,050 | 1,774 | ||||||||||||
Other | - | - | - | 2 | ||||||||||||
Liability for representations and warranties and corporate guarantees, June 30 | $ | 17,780 | $ | 3,939 | $ | 17,780 | $ | 3,939 | ||||||||
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June 30 | December 31 | |||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Deposits | $ | 17,875 | $ | 17,875 | ||||
Global Card Services | 11,896 | 11,889 | ||||||
Consumer Real Estate Services | - | 2,796 | ||||||
Global Commercial Banking | 20,668 | 20,656 | ||||||
Global Banking & Markets | 10,673 | 10,671 | ||||||
Global Wealth & Investment Management | 9,928 | 9,928 | ||||||
All Other | 34 | 46 | ||||||
Total goodwill | $ | 71,074 | $ | 73,861 | ||||
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June 30, 2011 | December 31, 2010 | |||||||||||||||
Gross | Accumulated | Gross | Accumulated | |||||||||||||
(Dollars in millions) | Carrying Value | Amortization | Carrying Value | Amortization | ||||||||||||
Purchased credit card relationships | $ | 7,179 | $ | 4,372 | $ | 7,162 | $ | 4,085 | ||||||||
Core deposit intangibles | 5,394 | 4,253 | 5,394 | 4,094 | ||||||||||||
Customer relationships | 4,229 | 1,440 | 4,232 | 1,222 | ||||||||||||
Affinity relationships | 1,649 | 969 | 1,647 | 902 | ||||||||||||
Other intangibles | 3,091 | 1,332 | 3,087 | 1,296 | ||||||||||||
Total intangible assets | $ | 21,542 | $ | 12,366 | $ | 21,522 | $ | 11,599 | ||||||||
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June 30, 2011 | ||||||||||||||||||||
Expire after 1 | Expire after 3 | |||||||||||||||||||
Expire in 1 | Year through | Years through | Expire after 5 | |||||||||||||||||
(Dollars in millions) | Year or Less | 3 Years | 5 Years | Years | Total | |||||||||||||||
Notional amount of credit extension commitments | ||||||||||||||||||||
Loan commitments | $ | 116,408 | $ | 113,690 | $ | 78,377 | $ | 19,966 | $ | 328,441 | ||||||||||
Home equity lines of credit | 1,523 | 5,387 | 19,973 | 45,260 | 72,143 | |||||||||||||||
Standby letters of credit and financial guarantees(1) | 34,382 | 18,419 | 6,710 | 3,220 | 62,731 | |||||||||||||||
Letters of credit(2) | 4,350 | 103 | 3 | 166 | 4,622 | |||||||||||||||
Legally binding commitments | 156,663 | 137,599 | 105,063 | 68,612 | 467,937 | |||||||||||||||
Credit card lines(3) | 488,460 | - | - | - | 488,460 | |||||||||||||||
Total credit extension commitments | $ | 645,123 | $ | 137,599 | $ | 105,063 | $ | 68,612 | $ | 956,397 | ||||||||||
December 31, 2010 | ||||||||||||||||||||
Notional amount of credit extension commitments | ||||||||||||||||||||
Loan commitments | $ | 152,926 | $ | 144,461 | $ | 43,465 | $ | 16,172 | $ | 357,024 | ||||||||||
Home equity lines of credit | 1,722 | 4,290 | 18,207 | 55,886 | 80,105 | |||||||||||||||
Standby letters of credit and financial guarantees(1) | 35,275 | 18,940 | 4,144 | 5,897 | 64,256 | |||||||||||||||
Letters of credit(2) | 3,698 | 110 | - | 874 | 4,682 | |||||||||||||||
Legally binding commitments | 193,621 | 167,801 | 65,816 | 78,829 | 506,067 | |||||||||||||||
Credit card lines(3) | 497,068 | - | - | - | 497,068 | |||||||||||||||
Total credit extension commitments | $ | 690,689 | $ | 167,801 | $ | 65,816 | $ | 78,829 | $ | 1,003,135 | ||||||||||
(1) | The notional amounts of SBLCs and financial guarantees classified as investment-grade and non-investment grade based on the credit quality of the underlying reference name within the instrument were $40.5 billion and $21.0 billion at June 30, 2011 and $41.1 billion and $22.4 billion at December 31, 2010. Amount includes consumer letters of credit of $794 million and other letters of credit of $362 million at June 30, 2011. | |
(2) | Amount includes $109 million and $849 million of consumer letters of credit and $4.5 billion and $3.8 billion of commercial letters of credit at June 30, 2011 and December 31, 2010, respectively. | |
(3) | Includes business card unused lines of credit. |
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Available-for- | Available-for- | |||||||||||||||||||||||
sale Debt | sale Marketable | Employee | Foreign | |||||||||||||||||||||
(Dollars in millions) | Securities | Equity Securities | Derivatives | Benefit Plans | Currency(1) | Total | ||||||||||||||||||
Balance, December 31, 2009 | $ | (628 | ) | $ | 2,129 | $ | (2,535 | ) | $ | (4,092 | ) | $ | (493 | ) | $ | (5,619 | ) | |||||||
Cumulative adjustment for new consolidation guidance | (116 | ) | - | - | - | - | (116 | ) | ||||||||||||||||
Net change in fair value recorded in accumulated OCI | 3,678 | (1,294 | ) | (746 | ) | - | (112 | ) | 1,526 | |||||||||||||||
Net realized (gains) losses reclassified into earnings | (28 | ) | (836 | ) | 241 | 127 | 258 | (238 | ) | |||||||||||||||
Balance, June 30, 2010 | $ | 2,906 | $ | (1 | ) | $ | (3,040 | ) | $ | (3,965 | ) | $ | (347 | ) | $ | (4,447 | ) | |||||||
Balance, December 31, 2010 | $ | 714 | $ | 6,659 | $ | (3,236 | ) | $ | (3,947 | ) | $ | (256 | ) | $ | (66 | ) | ||||||||
Net change in fair value recorded in accumulated OCI | 1,701 | (101 | ) | (580 | ) | - | 28 | 1,048 | ||||||||||||||||
Net realized (gains) losses reclassified into earnings | (827 | ) | (19 | ) | 514 | 138 | 5 | (189 | ) | |||||||||||||||
Balance, June 30, 2011 | $ | 1,588 | $ | 6,539 | $ | (3,302 | ) | $ | (3,809 | ) | $ | (223 | ) | $ | 793 | |||||||||
(1) | Net change in fair value represents only the impact of changes in spot foreign exchange rates on the Corporation’s net investment in non-U.S. operations and related hedges. |
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions, except per share information; shares in thousands) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Earnings (loss) per common share | ||||||||||||||||
Net income (loss) | $ | (8,826 | ) | $ | 3,123 | $ | (6,777 | ) | $ | 6,305 | ||||||
Preferred stock dividends | (301 | ) | (340 | ) | (611 | ) | (688 | ) | ||||||||
Net income (loss) applicable to common shareholders | $ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
Dividends and undistributed earnings allocated to participating securities | - | (42 | ) | (1 | ) | (286 | ) | |||||||||
Net income (loss) allocated to common shareholders | $ | (9,127 | ) | $ | 2,741 | $ | (7,389 | ) | $ | 5,331 | ||||||
Average common shares issued and outstanding | 10,094,928 | 9,956,773 | 10,085,479 | 9,570,166 | ||||||||||||
Earnings (loss) per common share | $ | (0.90 | ) | $ | 0.28 | $ | (0.73 | ) | $ | 0.56 | ||||||
Diluted earnings (loss) per common share | ||||||||||||||||
Net income (loss) applicable to common shareholders | $ | (9,127 | ) | $ | 2,783 | $ | (7,388 | ) | $ | 5,617 | ||||||
Dividends and undistributed earnings allocated to participating securities | - | (42 | ) | (1 | ) | (79 | ) | |||||||||
Net income (loss) allocated to common shareholders | $ | (9,127 | ) | $ | 2,741 | $ | (7,389 | ) | $ | 5,538 | ||||||
Average common shares issued and outstanding | 10,094,928 | 9,956,773 | 10,085,479 | 9,570,166 | ||||||||||||
Dilutive potential common shares(1) | - | 73,003 | - | 450,760 | ||||||||||||
Total diluted average common shares issued and outstanding | 10,094,928 | 10,029,776 | 10,085,479 | 10,020,926 | ||||||||||||
Diluted earnings (loss) per common share | $ | (0.90 | ) | $ | 0.27 | $ | (0.73 | ) | $ | 0.55 | ||||||
(1) | Includes incremental shares from RSUs, restricted stock shares, stock options and warrants. |
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Three Months Ended June 30, 2011 | ||||||||||||||||
Nonqualified and | Postretirement | |||||||||||||||
Qualified Pension | Non-U.S. Pension | Other Pension | Health and Life | |||||||||||||
(Dollars in millions) | Plans | Plans | Plans(1) | Plans | ||||||||||||
Components of net periodic benefit cost | ||||||||||||||||
Service cost | $ | 104 | $ | 10 | $ | 1 | $ | 3 | ||||||||
Interest cost | 185 | 23 | 37 | 19 | ||||||||||||
Expected return on plan assets | (324 | ) | (27 | ) | (35 | ) | (2 | ) | ||||||||
Amortization of transition obligation | - | - | - | 8 | ||||||||||||
Amortization of prior service cost (credits) | 4 | - | (2 | ) | - | |||||||||||
Amortization of net actuarial loss (gain) | 93 | - | 3 | (10 | ) | |||||||||||
Recognized termination and settlement benefit cost | - | - | 3 | - | ||||||||||||
Net periodic benefit cost | $ | 62 | $ | 6 | $ | 7 | $ | 18 | ||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||
Components of net periodic benefit cost | ||||||||||||||||
Service cost | $ | 212 | $ | 21 | $ | 1 | $ | 7 | ||||||||
Interest cost | 373 | 48 | 76 | 40 | ||||||||||||
Expected return on plan assets | (649 | ) | (56 | ) | (70 | ) | (4 | ) | ||||||||
Amortization of transition obligation | - | - | - | 16 | ||||||||||||
Amortization of prior service cost (credits) | 10 | - | (4 | ) | 2 | |||||||||||
Amortization of net actuarial loss (gain) | 194 | - | 8 | (9 | ) | |||||||||||
Recognized termination and settlement benefit cost | - | - | 3 | - | ||||||||||||
Net periodic benefit cost | $ | 140 | $ | 13 | $ | 14 | $ | 52 | ||||||||
Three Months Ended June 30, 2010 | ||||||||||||||||
Components of net periodic benefit cost | ||||||||||||||||
Service cost | $ | 95 | $ | 7 | $ | 1 | $ | 3 | ||||||||
Interest cost | 187 | 20 | 44 | 23 | ||||||||||||
Expected return on plan assets | (315 | ) | (23 | ) | (34 | ) | (3 | ) | ||||||||
Amortization of transition obligation | - | - | - | 8 | ||||||||||||
Amortization of prior service cost (credits) | 7 | - | (2 | ) | 3 | |||||||||||
Amortization of net actuarial loss (gain) | 92 | - | 3 | (17 | ) | |||||||||||
Recognized termination and settlement benefit cost | - | - | 3 | - | ||||||||||||
Net periodic benefit cost | $ | 66 | $ | 4 | $ | 15 | $ | 17 | ||||||||
Six Months Ended June 30, 2010 | ||||||||||||||||
Components of net periodic benefit cost | ||||||||||||||||
Service cost | $ | 198 | $ | 14 | $ | 2 | $ | 7 | ||||||||
Interest cost | 374 | 40 | 85 | 45 | ||||||||||||
Expected return on plan assets | (631 | ) | (45 | ) | (69 | ) | (5 | ) | ||||||||
Amortization of transition obligation | - | - | - | 16 | ||||||||||||
Amortization of prior service cost (credits) | 14 | - | (4 | ) | 3 | |||||||||||
Amortization of net actuarial loss (gain) | 181 | - | 3 | (25 | ) | |||||||||||
Recognized termination and settlement benefit cost | - | - | 13 | - | ||||||||||||
Net periodic benefit cost | $ | 136 | $ | 9 | $ | 30 | $ | 41 | ||||||||
(1) | Includes nonqualified pension plans and the terminated Merrill Lynch U.S. pension plan. |
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Fair Value Measurements | ||||||||||||||||||||
Netting | Assets/Liabilities | |||||||||||||||||||
(Dollars in millions) | Level 1(1) | Level 2(1) | Level 3 | Adjustments(2) | at Fair Value | |||||||||||||||
Assets | ||||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | - | $ | 95,115 | $ | - | $ | - | $ | 95,115 | ||||||||||
Trading account assets: | ||||||||||||||||||||
U.S. government and agency securities | 26,141 | 19,827 | - | - | 45,968 | |||||||||||||||
Corporate securities, trading loans and other | 1,165 | 40,692 | 7,452 | - | 49,309 | |||||||||||||||
Equity securities | 28,057 | 9,082 | 662 | - | 37,801 | |||||||||||||||
Non-U.S. sovereign debt | 35,309 | 11,023 | 391 | - | 46,723 | |||||||||||||||
Mortgage trading loans and ABS | - | 11,619 | 5,519 | - | 17,138 | |||||||||||||||
Total trading account assets | 90,672 | 92,243 | 14,024 | - | 196,939 | |||||||||||||||
Derivative assets(3) | 3,262 | 1,410,699 | 15,214 | (1,362,577 | ) | 66,598 | ||||||||||||||
AFS debt securities: | ||||||||||||||||||||
U.S. Treasury securities and agency securities | 46,402 | 2,867 | - | - | 49,269 | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Agency | - | 181,616 | - | - | 181,616 | |||||||||||||||
Agency-collateralized mortgage obligations | - | 49,056 | 55 | - | 49,111 | |||||||||||||||
Non-agency residential | - | 18,481 | 1,094 | - | 19,575 | |||||||||||||||
Non-agency commercial | - | 6,700 | 18 | - | 6,718 | |||||||||||||||
Non-U.S. securities | 2,114 | 2,158 | 88 | - | 4,360 | |||||||||||||||
Corporate/Agency bonds | - | 4,314 | 224 | - | 4,538 | |||||||||||||||
Other taxable securities | 20 | 1,629 | 10,374 | - | 12,023 | |||||||||||||||
Tax-exempt securities | - | 2,052 | 1,609 | - | 3,661 | |||||||||||||||
Total AFS debt securities | 48,536 | 268,873 | 13,462 | - | 330,871 | |||||||||||||||
Loans and leases | - | - | 9,597 | - | 9,597 | |||||||||||||||
Mortgage servicing rights | - | - | 12,372 | - | 12,372 | |||||||||||||||
Loans held-for-sale | - | 11,131 | 4,012 | - | 15,143 | |||||||||||||||
Other assets | 29,988 | 31,670 | 4,495 | - | 66,153 | |||||||||||||||
Total assets | $ | 172,458 | $ | 1,909,731 | $ | 73,176 | $ | (1,362,577 | ) | $ | 792,788 | |||||||||
Liabilities | ||||||||||||||||||||
Interest-bearing deposits in U.S. offices | $ | - | $ | 3,334 | $ | - | $ | - | $ | 3,334 | ||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | - | 42,453 | - | - | 42,453 | |||||||||||||||
Trading account liabilities: | ||||||||||||||||||||
U.S. government and agency securities | 22,164 | 3,388 | - | - | 25,552 | |||||||||||||||
Equity securities | 12,993 | 3,431 | - | - | 16,424 | |||||||||||||||
Non-U.S. sovereign debt | 19,659 | 2,403 | - | - | 22,062 | |||||||||||||||
Corporate securities and other | 277 | 10,611 | 63 | - | 10,951 | |||||||||||||||
Total trading account liabilities | 55,093 | 19,833 | 63 | - | 74,989 | |||||||||||||||
Derivative liabilities(3) | 2,445 | 1,388,183 | 9,796 | (1,346,010 | ) | 54,414 | ||||||||||||||
Commercial paper and other short-term borrowings | - | 4,121 | 744 | - | 4,865 | |||||||||||||||
Accrued expenses and other liabilities | 23,157 | 1,464 | 777 | - | 25,398 | |||||||||||||||
Long-term debt | - | 57,413 | 3,324 | - | 60,737 | |||||||||||||||
Total liabilities | $ | 80,695 | $ | 1,516,801 | $ | 14,704 | $ | (1,346,010 | ) | $ | 266,190 | |||||||||
(1) | Gross transfers between Level 1 and Level 2 were approximately $400 million during the six months ended June 30, 2011. | |
(2) | Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. | |
(3) | For further disaggregation of derivative assets and liabilities, seeNote 4 – Derivatives. |
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December 31, 2010 | ||||||||||||||||||||
Fair Value Measurements | ||||||||||||||||||||
Netting | Assets/Liabilities | |||||||||||||||||||
(Dollars in millions) | Level 1(1) | Level 2(1) | Level 3 | Adjustments(2) | at Fair Value | |||||||||||||||
Assets | ||||||||||||||||||||
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | - | $ | 78,599 | $ | - | $ | - | $ | 78,599 | ||||||||||
Trading account assets: | ||||||||||||||||||||
U.S. government and agency securities(3) | 28,237 | 32,574 | - | - | 60,811 | |||||||||||||||
Corporate securities, trading loans and other | 732 | 40,869 | 7,751 | - | 49,352 | |||||||||||||||
Equity securities | 23,249 | 8,257 | 623 | - | 32,129 | |||||||||||||||
Non-U.S. sovereign debt | 24,934 | 8,346 | 243 | - | 33,523 | |||||||||||||||
Mortgage trading loans and ABS | - | 11,948 | 6,908 | - | 18,856 | |||||||||||||||
Total trading account assets | 77,152 | 101,994 | 15,525 | - | 194,671 | |||||||||||||||
Derivative assets(4) | 2,627 | 1,516,244 | 18,773 | (1,464,644 | ) | 73,000 | ||||||||||||||
AFS debt securities: | ||||||||||||||||||||
U.S. Treasury securities and agency securities | 46,003 | 3,102 | - | - | 49,105 | |||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||
Agency | - | 191,213 | 4 | - | 191,217 | |||||||||||||||
Agency-collateralized mortgage obligations | - | 37,017 | - | - | 37,017 | |||||||||||||||
Non-agency residential | - | 21,649 | 1,468 | - | 23,117 | |||||||||||||||
Non-agency commercial | - | 6,833 | 19 | - | 6,852 | |||||||||||||||
Non-U.S. securities | 1,440 | 2,696 | 3 | - | 4,139 | |||||||||||||||
Corporate/Agency bonds | - | 5,154 | 137 | - | 5,291 | |||||||||||||||
Other taxable securities | 20 | 2,354 | 13,018 | - | 15,392 | |||||||||||||||
Tax-exempt securities | - | 4,273 | 1,224 | - | 5,497 | |||||||||||||||
Total AFS debt securities | 47,463 | 274,291 | 15,873 | - | 337,627 | |||||||||||||||
Loans and leases | - | - | 3,321 | - | 3,321 | |||||||||||||||
Mortgage servicing rights | - | - | 14,900 | - | 14,900 | |||||||||||||||
Loans held-for-sale | - | 21,802 | 4,140 | - | 25,942 | |||||||||||||||
Other assets | 32,624 | 31,051 | 6,856 | - | 70,531 | |||||||||||||||
Total assets | $ | 159,866 | $ | 2,023,981 | $ | 79,388 | $ | (1,464,644 | ) | $ | 798,591 | |||||||||
Liabilities | ||||||||||||||||||||
Interest-bearing deposits in U.S. offices | $ | - | $ | 2,732 | $ | - | $ | - | $ | 2,732 | ||||||||||
Federal funds purchased and securities loaned or sold under agreements to repurchase | - | 37,424 | - | - | 37,424 | |||||||||||||||
Trading account liabilities: | ||||||||||||||||||||
U.S. government and agency securities | 23,357 | 5,983 | - | - | 29,340 | |||||||||||||||
Equity securities | 14,568 | 914 | - | - | 15,482 | |||||||||||||||
Non-U.S. sovereign debt | 14,748 | 1,065 | - | - | 15,813 | |||||||||||||||
Corporate securities and other | 224 | 11,119 | 7 | - | 11,350 | |||||||||||||||
Total trading account liabilities | 52,897 | 19,081 | 7 | - | 71,985 | |||||||||||||||
Derivative liabilities(4) | 1,799 | 1,492,963 | 11,028 | (1,449,876 | ) | 55,914 | ||||||||||||||
Commercial paper and other short-term borrowings | - | 6,472 | 706 | - | 7,178 | |||||||||||||||
Accrued expenses and other liabilities | 31,470 | 931 | 828 | - | 33,229 | |||||||||||||||
Long-term debt | - | 47,998 | 2,986 | - | 50,984 | |||||||||||||||
Total liabilities | $ | 86,166 | $ | 1,607,601 | $ | 15,555 | $ | (1,449,876 | ) | $ | 259,446 | |||||||||
(1) | Gross transfers between Level 1 and Level 2 were approximately $1.3 billion during the year ended December 31, 2010. | |
(2) | Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. | |
(3) | Certain prior period amounts have been reclassified to conform to current period presentation. | |
(4) | For further disaggregation of derivative assets and liabilities, seeNote 4 – Derivatives. |
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Three Months Ended June 30, 2011 | ||||||||||||||||||||||||||||||||||||||||||||
Gains | Gains | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||
Balance | (Losses) | (Losses) | Transfers | Transfers | Balance | |||||||||||||||||||||||||||||||||||||||
April 1 | Consolidation | Included in | Included in | Gross | into | out of | June 30 | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2011(1) | of VIEs | Earnings | OCI | Purchases | Sales | Issuances | Settlements | Level 3(1) | Level 3(1) | 2011(1) | |||||||||||||||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 7,578 | $ | - | $ | 181 | $ | - | $ | 2,030 | $ | (2,187 | ) | $ | - | $ | (338 | ) | $ | 246 | $ | (58 | ) | $ | 7,452 | |||||||||||||||||||
Equity securities | 734 | - | 24 | - | 75 | (136 | ) | - | (115 | ) | 81 | (1 | ) | 662 | ||||||||||||||||||||||||||||||
Non-U.S. sovereign debt | 252 | - | 80 | - | 74 | (11 | ) | - | (3 | ) | 3 | (4 | ) | 391 | ||||||||||||||||||||||||||||||
Mortgage trading loans and ABS | 6,697 | - | 80 | - | 1,066 | (2,160 | ) | - | (164 | ) | - | - | 5,519 | |||||||||||||||||||||||||||||||
Total trading account assets | 15,261 | - | 365 | - | 3,245 | (4,494 | ) | - | (620 | ) | 330 | (63 | ) | 14,024 | ||||||||||||||||||||||||||||||
Net derivative assets(2) | 6,419 | - | 1,807 | - | 384 | (512 | ) | - | (2,390 | ) | 33 | (323 | ) | 5,418 | ||||||||||||||||||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||||||||||||||
Agency-collateralized mortgage obligations | 56 | - | - | - | - | - | - | (1 | ) | - | - | 55 | ||||||||||||||||||||||||||||||||
Non-agency residential | 1,203 | - | (29 | ) | (6 | ) | 2 | (53 | ) | - | (27 | ) | 4 | - | 1,094 | |||||||||||||||||||||||||||||
Non-agency commercial | 19 | - | - | - | - | - | - | (1 | ) | - | - | 18 | ||||||||||||||||||||||||||||||||
Non-U.S. securities | - | - | - | - | - | - | - | - | 88 | - | 88 | |||||||||||||||||||||||||||||||||
Corporate/Agency bonds | 133 | - | - | (2 | ) | 86 | - | - | - | 7 | - | 224 | ||||||||||||||||||||||||||||||||
Other taxable securities | 11,024 | - | 23 | 5 | 898 | (1 | ) | - | (1,573 | ) | - | (2 | ) | 10,374 | ||||||||||||||||||||||||||||||
Tax-exempt securities | 1,146 | - | 9 | (39 | ) | 683 | (23 | ) | - | (205 | ) | 38 | - | 1,609 | ||||||||||||||||||||||||||||||
Total AFS debt securities | 13,581 | - | 3 | (42 | ) | 1,669 | (77 | ) | - | (1,807 | ) | 137 | (2 | ) | 13,462 | |||||||||||||||||||||||||||||
Loans and leases(3, 4) | 3,619 | 5,194 | 37 | - | 21 | (267 | ) | 1,821 | (828 | ) | - | - | 9,597 | |||||||||||||||||||||||||||||||
Mortgage servicing rights(4) | 15,282 | - | (2,447 | ) | - | - | (234 | ) | 410 | (639 | ) | - | - | 12,372 | ||||||||||||||||||||||||||||||
Loans held-for-sale(3) | 4,259 | - | 7 | - | 92 | (70 | ) | - | (469 | ) | 219 | (26 | ) | 4,012 | ||||||||||||||||||||||||||||||
Other assets(5) | 4,193 | - | 180 | - | 95 | (243 | ) | - | (105 | ) | 375 | - | 4,495 | |||||||||||||||||||||||||||||||
Trading account liabilities – Corporate securities and other | (102 | ) | - | - | - | 69 | (30 | ) | - | - | - | - | (63 | ) | ||||||||||||||||||||||||||||||
Commercial paper and other short-term borrowings(3) | (726 | ) | - | (36 | ) | - | - | - | - | 18 | - | - | (744 | ) | ||||||||||||||||||||||||||||||
Accrued expenses and other liabilities(3) | (689 | ) | - | (79 | ) | - | - | - | (9 | ) | - | - | - | (777 | ) | |||||||||||||||||||||||||||||
Long-term debt(3) | (3,138 | ) | - | 5 | - | 131 | (55 | ) | (206 | ) | 149 | (393 | ) | 183 | (3,324 | ) | ||||||||||||||||||||||||||||
(1) | Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. | |
(2) | Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion. | |
(3) | Amounts represent items which are accounted for under the fair value option. | |
(4) | Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. | |
(5) | Other assets is primarily comprised of AFS marketable equity securities. |
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Three Months Ended June 30, 2010 | ||||||||||||||||||||||||||||
Gains | Gains | Purchases, | Gross | Gross | ||||||||||||||||||||||||
Balance | (Losses) | (Losses) | Sales, | Transfers | Transfers | Balance | ||||||||||||||||||||||
April 1 | Included in | Included in | Issuances and | into | out of | June 30 | ||||||||||||||||||||||
(Dollars in millions) | 2010(1) | Earnings | OCI | Settlements | Level 3(1) | Level 3(1) | 2010(1) | |||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 10,646 | $ | (52 | ) | $ | - | $ | (854 | ) | $ | 715 | $ | (582 | ) | $ | 9,873 | |||||||||||
Equity securities | 721 | (39 | ) | - | 4 | 41 | (1 | ) | 726 | |||||||||||||||||||
Non-U.S. sovereign debt | 1,064 | (73 | ) | - | (52 | ) | 16 | (3 | ) | 952 | ||||||||||||||||||
Mortgage trading loans and ABS | 7,832 | 182 | - | (640 | ) | 367 | (233 | ) | 7,508 | |||||||||||||||||||
Total trading account assets | 20,263 | 18 | - | (1,542 | ) | 1,139 | (819 | ) | 19,059 | |||||||||||||||||||
Net derivative assets(2) | 8,597 | 3,588 | - | (2,555 | ) | (520 | ) | 292 | 9,402 | |||||||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||
Non-agency MBS: | ||||||||||||||||||||||||||||
Residential | 5,376 | (282 | ) | 65 | (3,594 | ) | 599 | (188 | ) | 1,976 | ||||||||||||||||||
Commercial | 138 | - | - | - | - | (88 | ) | 50 | ||||||||||||||||||||
Non-U.S. securities | 284 | (3 | ) | (79 | ) | (25 | ) | 56 | - | 233 | ||||||||||||||||||
Corporate/Agency bonds | 639 | - | 14 | (341 | ) | 11 | (19 | ) | 304 | |||||||||||||||||||
Other taxable securities | 16,192 | 28 | (56 | ) | (2,702 | ) | 439 | (1 | ) | 13,900 | ||||||||||||||||||
Tax-exempt securities | 1,430 | (48 | ) | (17 | ) | (69 | ) | - | (59 | ) | 1,237 | |||||||||||||||||
Total AFS debt securities | 24,059 | (305 | ) | (73 | ) | (6,731 | ) | 1,105 | (355 | ) | 17,700 | |||||||||||||||||
Loans and leases(3) | 4,007 | (256 | ) | - | 147 | - | - | 3,898 | ||||||||||||||||||||
Mortgage servicing rights | 18,842 | (3,998 | ) | - | (99 | ) | - | - | 14,745 | |||||||||||||||||||
Loans held-for-sale(3) | 5,984 | 131 | - | (371 | ) | 237 | - | 5,981 | ||||||||||||||||||||
Other assets(4) | 7,774 | 998 | - | (1,050 | ) | - | (20 | ) | 7,702 | |||||||||||||||||||
Trading account liabilities: | ||||||||||||||||||||||||||||
Non-U.S. sovereign debt | (369 | ) | 2 | - | (9 | ) | - | 369 | (7 | ) | ||||||||||||||||||
Corporate securities and other | (30 | ) | (5 | ) | - | 8 | (46 | ) | - | (73 | ) | |||||||||||||||||
Total trading account liabilities | (399 | ) | (3 | ) | - | (1 | ) | (46 | ) | 369 | (80 | ) | ||||||||||||||||
Commercial paper and other short-term borrowings(3) | (696 | ) | (30 | ) | - | 26 | - | - | (700 | ) | ||||||||||||||||||
Accrued expenses and other liabilities(3) | (694 | ) | (23 | ) | - | (201 | ) | - | - | (918 | ) | |||||||||||||||||
Long-term debt(3) | (4,560 | ) | 586 | - | 188 | (560 | ) | 256 | (4,090 | ) | ||||||||||||||||||
(1) | Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. | |
(2) | Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion. | |
(3) | Amounts represent instruments which are accounted for under the fair value option. | |
(4) | Other assets is primarily comprised of AFS marketable equity securities. |
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Level 3 – Fair Value Measurements | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||||||||||||||||||||||
Gains | Gains | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||
Balance | (Losses) | (Losses) | Transfers | Transfers | Balance | |||||||||||||||||||||||||||||||||||||||
January 1 | Consolidation | Included in | Included in | Gross | into | out of | June 30 | |||||||||||||||||||||||||||||||||||||
(Dollars in millions) | 2011(1) | of VIEs | Earnings | OCI | Purchases | Sales | Issuances | Settlements | Level 3(1) | Level 3(1) | 2011(1) | |||||||||||||||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 7,751 | $ | - | $ | 675 | $ | - | $ | 3,580 | $ | (4,537 | ) | $ | - | $ | (519 | ) | $ | 815 | $ | (313 | ) | $ | 7,452 | |||||||||||||||||||
Equity securities | 623 | - | 67 | - | 175 | (206 | ) | - | (115 | ) | 120 | (2 | ) | 662 | ||||||||||||||||||||||||||||||
Non-U.S. sovereign debt | 243 | - | 85 | - | 122 | (15 | ) | - | (3 | ) | 3 | (44 | ) | 391 | ||||||||||||||||||||||||||||||
Mortgage trading loans and ABS | 6,908 | - | 642 | - | 1,832 | (3,246 | ) | - | (228 | ) | 1 | (390 | ) | 5,519 | ||||||||||||||||||||||||||||||
Total trading account assets | 15,525 | - | 1,469 | - | 5,709 | (8,004 | ) | - | (865 | ) | 939 | (749 | ) | 14,024 | ||||||||||||||||||||||||||||||
Net derivative assets(2) | 7,745 | - | 2,245 | - | 886 | (1,260 | ) | - | (4,060 | ) | 340 | (478 | ) | 5,418 | ||||||||||||||||||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||||||||||||||
Agency | 4 | - | - | - | - | - | - | - | - | (4 | ) | - | ||||||||||||||||||||||||||||||||
Agency-collateralized mortgage obligations | - | - | - | - | 56 | - | - | (1 | ) | - | - | 55 | ||||||||||||||||||||||||||||||||
Non-agency residential | 1,468 | - | (45 | ) | (28 | ) | 2 | (290 | ) | - | (289 | ) | 276 | - | 1,094 | |||||||||||||||||||||||||||||
Non-agency commercial | 19 | - | - | - | - | - | - | (1 | ) | - | - | 18 | ||||||||||||||||||||||||||||||||
Non-U.S. securities | 3 | - | - | - | - | - | - | - | 88 | (3 | ) | 88 | ||||||||||||||||||||||||||||||||
Corporate/Agency bonds | 137 | - | 2 | (1 | ) | 86 | (7 | ) | - | - | 7 | - | 224 | |||||||||||||||||||||||||||||||
Other taxable securities | 13,018 | - | 52 | 62 | 1,450 | (53 | ) | - | (4,155 | ) | 2 | (2 | ) | 10,374 | ||||||||||||||||||||||||||||||
Tax-exempt securities | 1,224 | - | 6 | (33 | ) | 683 | (72 | ) | - | (237 | ) | 38 | - | 1,609 | ||||||||||||||||||||||||||||||
Total AFS debt securities | 15,873 | - | 15 | - | 2,277 | (422 | ) | - | (4,683 | ) | 411 | (9 | ) | 13,462 | ||||||||||||||||||||||||||||||
Loans and leases(3, 4) | 3,321 | 5,194 | 209 | - | 21 | (376 | ) | 2,667 | (1,444 | ) | 5 | - | 9,597 | |||||||||||||||||||||||||||||||
Mortgage servicing rights(4) | 14,900 | - | (2,200 | ) | - | - | (234 | ) | 1,251 | (1,345 | ) | - | - | 12,372 | ||||||||||||||||||||||||||||||
Loans held-for-sale(3) | 4,140 | - | 185 | - | 123 | (243 | ) | - | (592 | ) | 441 | (42 | ) | 4,012 | ||||||||||||||||||||||||||||||
Other assets(5) | 6,856 | - | 302 | - | 172 | (1,184 | ) | - | (393 | ) | 375 | (1,633 | ) | 4,495 | ||||||||||||||||||||||||||||||
Trading account liabilities – Corporate securities and other | (7 | ) | - | - | - | 76 | (132 | ) | - | - | - | - | (63 | ) | ||||||||||||||||||||||||||||||
Commercial paper and other short-term borrowings(3) | (706 | ) | - | (82 | ) | - | - | - | - | 44 | - | - | (744 | ) | ||||||||||||||||||||||||||||||
Accrued expenses and other liabilities(3) | (828 | ) | - | 64 | - | - | (4 | ) | (9 | ) | - | - | - | (777 | ) | |||||||||||||||||||||||||||||
Long-term debt(3) | (2,986 | ) | - | (143 | ) | - | 215 | (55 | ) | (249 | ) | 388 | (1,030 | ) | 536 | (3,324 | ) | |||||||||||||||||||||||||||
(1) | Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. | |
(2) | Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion. | |
(3) | Amounts represent items which are accounted for under the fair value option. | |
(4) | Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. | |
(5) | Other assets is primarily comprised of AFS marketable equity securities. |
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Level 3 – Fair Value Measurements | ||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2010 | ||||||||||||||||||||||||||||||||
Gains | Gains | Purchases, | Gross | Gross | ||||||||||||||||||||||||||||
Balance | (Losses) | (Losses) | Sales, | Transfers | Transfers | Balance | ||||||||||||||||||||||||||
January 1 | Consolidation | Included in | Included in | Issuances and | into | out of | June 30 | |||||||||||||||||||||||||
(Dollars in millions) | 2010 (1) | of VIEs | Earnings | OCI | Settlements | Level 3 (1) | Level 3 (1) | 2010 (1) | ||||||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||||||||||||||
Corporate securities, trading loans and other | $ | 11,080 | $ | 117 | $ | 354 | $ | - | $ | (2,798 | ) | $ | 2,189 | $ | (1,069 | ) | $ | 9,873 | ||||||||||||||
Equity securities | 1,084 | - | (33 | ) | - | (326 | ) | 75 | (74 | ) | 726 | |||||||||||||||||||||
Non-U.S. sovereign debt | 1,143 | - | (155 | ) | - | (80 | ) | 103 | (59 | ) | 952 | |||||||||||||||||||||
Mortgage trading loans and ABS | 7,770 | 175 | 157 | - | (586 | ) | 389 | (397 | ) | 7,508 | ||||||||||||||||||||||
Total trading account assets | 21,077 | 292 | 323 | - | (3,790 | ) | 2,756 | (1,599 | ) | 19,059 | ||||||||||||||||||||||
Net derivative assets (2) | 7,863 | - | 4,991 | - | (4,451 | ) | 768 | 231 | 9,402 | |||||||||||||||||||||||
AFS debt securities: | ||||||||||||||||||||||||||||||||
Non-agency MBS: | ||||||||||||||||||||||||||||||||
Residential | 7,216 | (96 | ) | (515 | ) | (310 | ) | (5,829 | ) | 1,698 | (188 | ) | 1,976 | |||||||||||||||||||
Commercial | 258 | - | (13 | ) | (31 | ) | (128 | ) | 52 | (88 | ) | 50 | ||||||||||||||||||||
Non-U.S. securities | 468 | - | (124 | ) | (89 | ) | (78 | ) | 56 | - | 233 | |||||||||||||||||||||
Corporate/Agency bonds | 927 | - | (3 | ) | 35 | (666 | ) | 30 | (19 | ) | 304 | |||||||||||||||||||||
Other taxable securities | 9,854 | 5,812 | 19 | (119 | ) | (2,742 | ) | 1,119 | (43 | ) | 13,900 | |||||||||||||||||||||
Tax-exempt securities | 1,623 | - | (25 | ) | (9 | ) | (561 | ) | 316 | (107 | ) | 1,237 | ||||||||||||||||||||
Total AFS debt securities | 20,346 | 5,716 | (661 | ) | (523 | ) | (10,004 | ) | 3,271 | (445 | ) | 17,700 | ||||||||||||||||||||
Loans and leases (3) | 4,936 | - | (140 | ) | - | (898 | ) | - | - | 3,898 | ||||||||||||||||||||||
Mortgage servicing rights | 19,465 | - | (4,696 | ) | - | (24 | ) | - | - | 14,745 | ||||||||||||||||||||||
Loans held-for-sale (3) | 6,942 | - | 67 | - | (1,427 | ) | 399 | - | 5,981 | |||||||||||||||||||||||
Other assets (4) | 7,821 | - | 1,537 | - | (1,421 | ) | - | (235 | ) | 7,702 | ||||||||||||||||||||||
Trading account liabilities: | ||||||||||||||||||||||||||||||||
Non-U.S. sovereign debt | (386 | ) | - | 23 | - | (24 | ) | - | 380 | (7 | ) | |||||||||||||||||||||
Corporate securities and other | (10 | ) | - | (5 | ) | - | (9 | ) | (52 | ) | 3 | (73 | ) | |||||||||||||||||||
Total trading account liabilities | (396 | ) | - | 18 | - | (33 | ) | (52 | ) | 383 | (80 | ) | ||||||||||||||||||||
Commercial paper and other short-term borrowings (3) | (707 | ) | - | (41 | ) | - | 48 | - | - | (700 | ) | |||||||||||||||||||||
Accrued expenses and other liabilities (3) | (891 | ) | - | 50 | - | (77 | ) | - | - | (918 | ) | |||||||||||||||||||||
Long-term debt (3) | (4,660 | ) | - | 788 | - | (264 | ) | (897 | ) | 943 | (4,090 | ) | ||||||||||||||||||||
(1) | Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. | |
(2) | Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion. | |
(3) | Amounts represent instruments which are accounted for under the fair value option. | |
(4) | Other assets is primarily comprised of AFS marketable equity securities. |
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Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings | ||||||||||||||||||||
Three Months Ended June 30, 2011 | ||||||||||||||||||||
Equity | Trading | Mortgage | ||||||||||||||||||
Investment | Account | Banking | Other | |||||||||||||||||
Income | Profits | Income | Income | |||||||||||||||||
(Dollars in millions) | (Loss) | (Losses) | (Loss) (1) | (Loss) | Total | |||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | 181 | $ | - | $ | - | $ | 181 | ||||||||||
Equity securities | - | 24 | - | - | 24 | |||||||||||||||
Non-U.S. sovereign debt | - | 80 | - | - | 80 | |||||||||||||||
Mortgage trading loans and ABS | - | 80 | - | - | 80 | |||||||||||||||
Total trading account assets | - | 365 | - | - | 365 | |||||||||||||||
Net derivative assets | - | 556 | 1,251 | - | 1,807 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency residential MBS | - | - | - | (29 | ) | (29 | ) | |||||||||||||
Other taxable securities | - | - | - | 23 | 23 | |||||||||||||||
Tax-exempt securities | - | - | - | 9 | 9 | |||||||||||||||
Total AFS debt securities | - | - | - | 3 | 3 | |||||||||||||||
Loans and leases (2) | - | - | (13 | ) | 50 | 37 | ||||||||||||||
Mortgage servicing rights | - | - | (2,447 | ) | - | (2,447 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | (13 | ) | 20 | 7 | ||||||||||||||
Other assets | 192 | - | (12 | ) | - | 180 | ||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (36 | ) | - | (36 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | (2 | ) | 74 | (151 | ) | (79 | ) | ||||||||||||
Long-term debt (2) | - | (10 | ) | - | 15 | 5 | ||||||||||||||
Total | $ | 192 | $ | 909 | $ | (1,196 | ) | $ | (63 | ) | $ | (158 | ) | |||||||
Three Months Ended June 30, 2010 | ||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | (52 | ) | $ | - | $ | - | $ | (52 | ) | ||||||||
Equity securities | - | (39 | ) | - | - | (39 | ) | |||||||||||||
Non-U.S. sovereign debt | - | (73 | ) | - | - | (73 | ) | |||||||||||||
Mortgage trading loans and ABS | - | 182 | - | - | 182 | |||||||||||||||
Total trading account assets | - | 18 | - | - | 18 | |||||||||||||||
Net derivative assets | - | 193 | 3,395 | - | 3,588 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency residential MBS | - | - | - | (282 | ) | (282 | ) | |||||||||||||
Non-U.S. securities | - | - | - | (3 | ) | (3 | ) | |||||||||||||
Other taxable securities | - | - | - | 28 | 28 | |||||||||||||||
Tax-exempt securities | - | - | - | (48 | ) | (48 | ) | |||||||||||||
Total AFS debt securities | - | - | - | (305 | ) | (305 | ) | |||||||||||||
Loans and leases (2) | - | - | - | (256 | ) | (256 | ) | |||||||||||||
Mortgage servicing rights | - | - | (3,998 | ) | - | (3,998 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | 44 | 87 | 131 | |||||||||||||||
Other assets | 1,033 | - | (35 | ) | - | 998 | ||||||||||||||
Trading account liabilities: | ||||||||||||||||||||
Non-U.S. sovereign debt | - | 2 | - | - | 2 | |||||||||||||||
Corporate securities and other | - | (5 | ) | - | - | (5 | ) | |||||||||||||
Total trading account liabilities | - | (3 | ) | - | - | (3 | ) | |||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (30 | ) | - | (30 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | (12 | ) | - | (11 | ) | (23 | ) | ||||||||||||
Long-term debt (2) | - | 472 | - | 114 | 586 | |||||||||||||||
Total | $ | 1,033 | $ | 668 | $ | (624 | ) | $ | (371 | ) | $ | 706 | ||||||||
(1) | Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. | |
(2) | Amounts represent instruments which are accounted for under the fair value option. |
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Level 3– Total Realized and Unrealized Gains (Losses) Included in Earnings | ||||||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||
Equity | Trading | Mortgage | ||||||||||||||||||
Investment | Account | Banking | Other | |||||||||||||||||
Income | Profits | Income | Income | |||||||||||||||||
(Dollars in millions) | (Loss) | (Losses) | (Loss) (1) | (Loss) | Total | |||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | 675 | $ | - | $ | - | $ | 675 | ||||||||||
Equity securities | - | 67 | - | - | 67 | |||||||||||||||
Non-U.S. sovereign debt | - | 85 | - | - | 85 | |||||||||||||||
Mortgage trading loans and ABS | - | 642 | - | - | 642 | |||||||||||||||
Total trading account assets | - | 1,469 | - | - | 1,469 | |||||||||||||||
Net derivative assets | - | 97 | 2,148 | - | 2,245 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency residential MBS | - | - | - | (45 | ) | (45 | ) | |||||||||||||
Corporate/Agency bonds | - | - | - | 2 | 2 | |||||||||||||||
Other taxable securities | - | 12 | - | 40 | 52 | |||||||||||||||
Tax-exempt securities | - | (3 | ) | - | 9 | 6 | ||||||||||||||
Total AFS debt securities | - | 9 | - | 6 | 15 | |||||||||||||||
Loans and leases (2) | - | - | (13 | ) | 222 | 209 | ||||||||||||||
Mortgage servicing rights | - | - | (2,200 | ) | - | (2,200 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | (11 | ) | 196 | 185 | ||||||||||||||
Other assets | 314 | - | (12 | ) | - | 302 | ||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (82 | ) | - | (82 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | (10 | ) | 74 | - | 64 | ||||||||||||||
Long-term debt (2) | - | (102 | ) | - | (41 | ) | (143 | ) | ||||||||||||
Total | $ | 314 | $ | 1,463 | $ | (96 | ) | $ | 383 | $ | 2,064 | |||||||||
Six Months Ended June 30, 2010 | ||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | 354 | $ | - | $ | - | $ | 354 | ||||||||||
Equity securities | - | (33 | ) | - | - | (33 | ) | |||||||||||||
Non-U.S. sovereign debt | - | (155 | ) | - | - | (155 | ) | |||||||||||||
Mortgage trading loans and ABS | - | 157 | - | - | 157 | |||||||||||||||
Total trading account assets | - | 323 | - | - | 323 | |||||||||||||||
Net derivative assets | - | (334 | ) | 5,325 | - | 4,991 | ||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency MBS: | ||||||||||||||||||||
Residential | - | - | (13 | ) | (502 | ) | (515 | ) | ||||||||||||
Commercial | - | - | - | (13 | ) | (13 | ) | |||||||||||||
Non-U.S. securities | - | - | - | (124 | ) | (124 | ) | |||||||||||||
Corporate/Agency bonds | - | - | - | (3 | ) | (3 | ) | |||||||||||||
Other taxable securities | - | - | - | 19 | 19 | |||||||||||||||
Tax-exempt securities | - | 23 | - | (48 | ) | (25 | ) | |||||||||||||
Total AFS debt securities | - | 23 | (13 | ) | (671 | ) | (661 | ) | ||||||||||||
Loans and leases (2) | - | - | - | (140 | ) | (140 | ) | |||||||||||||
Mortgage servicing rights | - | - | (4,696 | ) | - | (4,696 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | 59 | 8 | 67 | |||||||||||||||
Other assets | 1,569 | - | (32 | ) | - | 1,537 | ||||||||||||||
Trading account liabilities: | ||||||||||||||||||||
Non-U.S. sovereign debt | - | 23 | - | - | 23 | |||||||||||||||
Corporate securities and other | - | (5 | ) | - | - | (5 | ) | |||||||||||||
Total trading account liabilities | - | 18 | - | - | 18 | |||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (41 | ) | - | (41 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | (10 | ) | - | 60 | 50 | ||||||||||||||
Long-term debt (2) | - | 595 | - | 193 | 788 | |||||||||||||||
Total | $ | 1,569 | $ | 615 | $ | 602 | $ | (550 | ) | $ | 2,236 | |||||||||
(1) | Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. | |
(2) | Amounts represent instruments which are accounted for under the fair value option. |
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Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date | |||||||||||||||||||||
Three Months Ended June 30, 2011 | |||||||||||||||||||||
Equity | Trading | Mortgage | |||||||||||||||||||
Investment | Account | Banking | Other | ||||||||||||||||||
Income | Profits | Income | Income | ||||||||||||||||||
(Dollars in millions) | (Loss) | (Losses) | (Loss) (1) | (Loss) | Total | ||||||||||||||||
Trading account assets: | |||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | (20 | ) | $ | - | $ | - | $ | (20 | ) | |||||||||
Equity securities | - | (40 | ) | - | - | (40 | ) | ||||||||||||||
Non-U.S. sovereign debt | - | 67 | - | - | 67 | ||||||||||||||||
Mortgage trading loans and ABS | - | (40 | ) | - | - | (40 | ) | ||||||||||||||
Total trading account assets | - | (33 | ) | - | - | (33 | ) | ||||||||||||||
Net derivative assets | - | 460 | 166 | - | 626 | ||||||||||||||||
AFS debt securities: | |||||||||||||||||||||
Non-agency residential MBS | - | - | - | (29 | ) | (29 | ) | ||||||||||||||
Total AFS debt securities | - | - | - | (29 | ) | (29 | ) | ||||||||||||||
Mortgage servicing rights | - | - | (2,869 | ) | - | (2,869 | ) | ||||||||||||||
Loans held-for-sale (2) | - | - | (36 | ) | 3 | (33 | ) | ||||||||||||||
Other assets | 150 | - | (12 | ) | - | 138 | |||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (28 | ) | - | (28 | ) | ||||||||||||||
Accrued expenses and other liabilities (2) | - | - | - | (174 | ) | (174 | ) | ||||||||||||||
Long-term debt (2) | - | (10 | ) | - | 3 | (7 | ) | ||||||||||||||
Total | $ | 150 | $ | 417 | $ | (2,779 | ) | $ | (197 | ) | $ | (2,409 | ) | ||||||||
Three Months Ended June 30, 2010 | |||||||||||||||||||||
Trading account assets: | |||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | (136 | ) | $ | - | $ | - | $ | (136 | ) | |||||||||
Equity securities | - | (33 | ) | - | - | (33 | ) | ||||||||||||||
Non-U.S. sovereign debt | - | (73 | ) | - | - | (73 | ) | ||||||||||||||
Mortgage trading loans and ABS | - | 173 | - | - | 173 | ||||||||||||||||
Total trading account assets | - | (69 | ) | - | - | (69 | ) | ||||||||||||||
Net derivative assets | - | 453 | 2,187 | - | 2,640 | ||||||||||||||||
AFS debt securities: | |||||||||||||||||||||
Non-agency residential MBS | - | - | - | (44 | ) | (44 | ) | ||||||||||||||
Other taxable securities | - | - | - | (20 | ) | (20 | ) | ||||||||||||||
Total AFS debt securities | - | - | - | (64 | ) | (64 | ) | ||||||||||||||
Loans and leases (2) | - | - | - | (95 | ) | (95 | ) | ||||||||||||||
Mortgage servicing rights | - | - | (4,477 | ) | - | (4,477 | ) | ||||||||||||||
Loans held-for-sale (2) | - | - | 16 | (17 | ) | (1 | ) | ||||||||||||||
Other assets | 716 | - | (11 | ) | - | 705 | |||||||||||||||
Trading account liabilities – Non-U.S. sovereign debt | - | 2 | - | - | 2 | ||||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (16 | ) | - | (16 | ) | ||||||||||||||
Accrued expenses and other liabilities (2) | - | - | - | (271 | ) | (271 | ) | ||||||||||||||
Long-term debt (2) | - | 384 | - | 113 | 497 | ||||||||||||||||
Total | $ | 716 | $ | 770 | $ | (2,301 | ) | $ | (334 | ) | $ | (1,149 | ) | ||||||||
(1) | Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. | |
(2) | Amounts represent instruments which are accounted for under the fair value option. |
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Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date | ||||||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||
Equity | Trading | Mortgage | ||||||||||||||||||
Investment | Account | Banking | Other | |||||||||||||||||
Income | Profits | Income | Income | |||||||||||||||||
(Dollars in millions) | (Loss) | (Losses) | (Loss) (1) | (Loss) | Total | |||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | 286 | $ | - | $ | - | $ | 286 | ||||||||||
Equity securities | - | (21 | ) | - | - | (21 | ) | |||||||||||||
Non-U.S. sovereign debt | - | 70 | - | - | 70 | |||||||||||||||
Mortgage trading loans and ABS | - | 278 | - | - | 278 | |||||||||||||||
Total trading account assets | - | 613 | - | - | 613 | |||||||||||||||
Net derivative assets | - | 247 | 192 | - | 439 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency residential MBS | - | - | - | (99 | ) | (99 | ) | |||||||||||||
Total AFS debt securities | - | - | - | (99 | ) | (99 | ) | |||||||||||||
Loans and leases (2) | - | - | - | 127 | 127 | |||||||||||||||
Mortgage servicing rights | - | - | (2,933 | ) | - | (2,933 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | (48 | ) | 91 | 43 | ||||||||||||||
Other assets | 137 | - | (11 | ) | - | 126 | ||||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (61 | ) | - | (61 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | - | - | (90 | ) | (90 | ) | |||||||||||||
Long-term debt (2) | - | (102 | ) | - | (53 | ) | (155 | ) | ||||||||||||
Total | $ | 137 | $ | 758 | $ | (2,861 | ) | $ | (24 | ) | $ | (1,990 | ) | |||||||
Six Months Ended June 30, 2010 | ||||||||||||||||||||
Trading account assets: | ||||||||||||||||||||
Corporate securities, trading loans and other | $ | - | $ | 705 | $ | - | $ | - | $ | 705 | ||||||||||
Equity securities | - | (49 | ) | - | - | (49 | ) | |||||||||||||
Non-U.S. sovereign debt | - | (156 | ) | - | - | (156 | ) | |||||||||||||
Mortgage trading loans and ABS | - | 106 | - | - | 106 | |||||||||||||||
Total trading account assets | - | 606 | - | - | 606 | |||||||||||||||
Net derivative assets | - | 377 | 3,013 | - | 3,390 | |||||||||||||||
AFS debt securities: | ||||||||||||||||||||
Non-agency MBS: | ||||||||||||||||||||
Residential | - | - | - | (139 | ) | (139 | ) | |||||||||||||
Commercial | - | - | - | (30 | ) | (30 | ) | |||||||||||||
Non-U.S. securities | - | - | - | (121 | ) | (121 | ) | |||||||||||||
Other taxable securities | - | - | - | (14 | ) | (14 | ) | |||||||||||||
Total AFS debt securities | - | - | - | (304 | ) | (304 | ) | |||||||||||||
Loans and leases (2) | - | - | - | 45 | 45 | |||||||||||||||
Mortgage servicing rights | - | - | (5,708 | ) | - | (5,708 | ) | |||||||||||||
Loans held-for-sale (2) | - | - | 6 | (102 | ) | (96 | ) | |||||||||||||
Other assets | 635 | - | (13 | ) | - | 622 | ||||||||||||||
Trading account liabilities: | ||||||||||||||||||||
Non-U.S. sovereign debt | - | 23 | - | - | 23 | |||||||||||||||
Corporate securities and other | - | (38 | ) | - | - | (38 | ) | |||||||||||||
Total trading account liabilities | - | (15 | ) | - | - | (15 | ) | |||||||||||||
Commercial paper and other short-term borrowings (2) | - | - | (16 | ) | - | (16 | ) | |||||||||||||
Accrued expenses and other liabilities (2) | - | - | - | (201 | ) | (201 | ) | |||||||||||||
Long-term debt (2) | - | 494 | - | 191 | 685 | |||||||||||||||
Total | $ | 635 | $ | 1,462 | $ | (2,718 | ) | $ | (371 | ) | $ | (992 | ) | |||||||
(1) | Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. | |
(2) | Amounts represent instruments which are accounted for under the fair value option. |
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Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis | ||||||||||||||||||||
June 30, 2011 | Gains (Losses) | |||||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||||||
(Dollars in millions) | Level 2 | Level 3 | June 30, 2011 | June 30, 2011 | ||||||||||||||||
Assets | ||||||||||||||||||||
Loans held-for-sale | $ | 1,049 | $ | 1,779 | $ | (12 | ) | $ | 52 | |||||||||||
Loans and leases (1) | 17 | 9,437 | (1,679 | ) | (3,097 | ) | ||||||||||||||
Foreclosed properties (2) | - | 2,405 | (75 | ) | (147 | ) | ||||||||||||||
Other assets | - | 96 | (19 | ) | (23 | ) | ||||||||||||||
June 30, 2010 | Gains (Losses) | |||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||
(Dollars in millions) | Level 2 | Level 3 | June 30, 2010 | June 30, 2010 | ||||||||||||
Assets | ||||||||||||||||
Loans held-for-sale | $ | 1,501 | $ | 8,070 | $ | 307 | $ | 123 | ||||||||
Loans and leases (1) | 45 | 10,817 | (1,736 | ) | (3,921 | ) | ||||||||||
Foreclosed properties (2) | 10 | 1,251 | (59 | ) | (113 | ) | ||||||||||
Other assets | 4 | 16 | (3 | ) | (3 | ) | ||||||||||
(1) | Gains (losses) represent charge-offs on real estate-secured loans. | |
(2) | Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value and related losses on foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. |
Fair Value Option Elections | ||||||||||||||||||||||||
June 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Fair Value | Fair Value | |||||||||||||||||||||||
Carrying | Carrying | |||||||||||||||||||||||
Fair Value | Contractual | Amount | Fair Value | Contractual | Amount | |||||||||||||||||||
Carrying | Principal | Less Unpaid | Carrying | Principal | Less Unpaid | |||||||||||||||||||
(Dollars in millions) | Amount | Outstanding | Principal | Amount | Outstanding | Principal | ||||||||||||||||||
Corporate loans | $ | 9,597 | $ | 14,039 | $ | (4,442 | ) | $ | 3,269 | $ | 3,638 | $ | (369 | ) | ||||||||||
Loans held-for-sale | 15,143 | 17,262 | (2,119 | ) | 25,942 | 28,370 | (2,428 | ) | ||||||||||||||||
Securities financing agreements | 137,568 | 137,196 | 372 | 116,023 | 115,053 | 970 | ||||||||||||||||||
Other assets | 237 | n/a | n/a | 310 | n/a | n/a | ||||||||||||||||||
Long-term deposits | 3,334 | 3,187 | 147 | 2,732 | 2,692 | 40 | ||||||||||||||||||
Asset-backed secured financings | 744 | 1,313 | (569 | ) | 706 | 1,356 | (650 | ) | ||||||||||||||||
Unfunded loan commitments | 773 | n/a | n/a | 866 | n/a | n/a | ||||||||||||||||||
Commercial paper and other short-term borrowings | 4,121 | 4,121 | - | 6,472 | 6,472 | - | ||||||||||||||||||
Long-term debt | 60,737 | 67,119 | (6,382 | ) | 50,984 | 54,656 | (3,672 | ) | ||||||||||||||||
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option | ||||||||||||||||
Three Months Ended June 30, 2011 | ||||||||||||||||
Trading | Mortgage | |||||||||||||||
Account | Banking | Other | ||||||||||||||
Profits | Income | Income | ||||||||||||||
(Dollars in millions) | (Losses) | (Loss) | (Loss) | Total | ||||||||||||
Corporate loans | $ | - | $ | - | $ | 33 | $ | 33 | ||||||||
Loans held-for-sale | 2 | 1,511 | 31 | 1,544 | ||||||||||||
Securities financing agreements | - | - | 98 | 98 | ||||||||||||
Other assets | - | - | 1 | 1 | ||||||||||||
Long-term deposits | - | - | (40 | ) | (40 | ) | ||||||||||
Asset-backed secured financings | - | (36 | ) | - | (36 | ) | ||||||||||
Unfunded loan commitments | - | - | (76 | ) | (76 | ) | ||||||||||
Commercial paper and other short-term borrowings | 37 | - | - | 37 | ||||||||||||
Long-term debt | (178 | ) | - | 214 | 36 | |||||||||||
Total | $ | (139 | ) | $ | 1,475 | $ | 261 | $ | 1,597 | |||||||
Three Months Ended June 30, 2010 | ||||||||||||||||
Corporate loans | $ | - | $ | - | $ | (44 | ) | $ | (44 | ) | ||||||
Loans held-for-sale | - | 3,198 | 96 | 3,294 | ||||||||||||
Securities financing agreements | - | - | 56 | 56 | ||||||||||||
Other assets | - | - | 49 | 49 | ||||||||||||
Long-term deposits | - | - | (54 | ) | (54 | ) | ||||||||||
Asset-backed secured financings | - | (30 | ) | - | (30 | ) | ||||||||||
Unfunded loan commitments | - | - | (254 | ) | (254 | ) | ||||||||||
Commercial paper and other short-term borrowings | (151 | ) | - | - | (151 | ) | ||||||||||
Long-term debt | 1,797 | - | 1,175 | 2,972 | ||||||||||||
Total | $ | 1,646 | $ | 3,168 | $ | 1,024 | $ | 5,838 | ||||||||
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Gains (Losses) Relating to Assets and Liabilities Accounted for Under the Fair Value Option | ||||||||||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||
Trading | Mortgage | |||||||||||||||
Account | Banking | Other | ||||||||||||||
Profits | Income | Income | ||||||||||||||
(Dollars in millions) | (Losses) | (Loss) | (Loss) | Total | ||||||||||||
Corporate loans | $ | - | $ | - | $ | 128 | $ | 128 | ||||||||
Loans held-for-sale | 2 | 2,383 | 252 | 2,637 | ||||||||||||
Securities financing agreements | - | - | (13 | ) | (13 | ) | ||||||||||
Other assets | - | - | 30 | 30 | ||||||||||||
Long-term deposits | - | - | (35 | ) | (35 | ) | ||||||||||
Asset-backed secured financings | - | (82 | ) | - | (82 | ) | ||||||||||
Unfunded loan commitments | - | - | 56 | 56 | ||||||||||||
Commercial paper and other short-term borrowings | 93 | - | - | 93 | ||||||||||||
Long-term debt | (113 | ) | - | (372 | ) | (485 | ) | |||||||||
Total | $ | (18 | ) | $ | 2,301 | $ | 46 | $ | 2,329 | |||||||
Six Months Ended June 30, 2010 | ||||||||||||||||
Corporate loans | $ | 2 | $ | - | $ | 46 | $ | 48 | ||||||||
Loans held-for-sale | - | 5,127 | 252 | 5,379 | ||||||||||||
Securities financing agreements | - | - | 98 | 98 | ||||||||||||
Other assets | - | - | 46 | 46 | ||||||||||||
Long-term deposits | - | - | (112 | ) | (112 | ) | ||||||||||
Asset-backed secured financings | - | (41 | ) | - | (41 | ) | ||||||||||
Unfunded loan commitments | - | - | (67 | ) | (67 | ) | ||||||||||
Commercial paper and other short-term borrowings | (195 | ) | - | - | (195 | ) | ||||||||||
Long-term debt | 876 | - | 1,401 | 2,277 | ||||||||||||
Total | $ | 683 | $ | 5,086 | $ | 1,664 | $ | 7,433 | ||||||||
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June 30, 2011 | December 31, 2010 | |||||||||||||||
Carrying | Fair | Carrying | Fair | |||||||||||||
(Dollars in millions) | Value | Value | Value | Value | ||||||||||||
Financial assets | ||||||||||||||||
Loans | $ | 882,653 | $ | 862,646 | $ | 876,739 | $ | 861,695 | ||||||||
Financial liabilities | ||||||||||||||||
Deposits | 1,038,408 | 1,038,436 | 1,010,430 | 1,010,460 | ||||||||||||
Long-term debt | 426,659 | 426,645 | 448,431 | 441,672 | ||||||||||||
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Three Months Ended | Six Months Ended | |||||||||||||||
June 30 | June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Balance, beginning of period | $ | 15,282 | $ | 18,842 | $ | 14,900 | $ | 19,465 | ||||||||
Net additions | 176 | 882 | 1,017 | 2,013 | ||||||||||||
Impact of customer payments(1) | (639 | ) | (981 | ) | (1,345 | ) | (2,037 | ) | ||||||||
Impact of changes in interest rates and other market factors (2) | (1,094 | ) | (3,817 | ) | (385 | ) | (4,000 | ) | ||||||||
Model and other cash flow assumption changes:(3) | ||||||||||||||||
Projected cash flows, primarily due to increases in cost to service loans | (1,501 | ) | (524 | ) | (2,029 | ) | (1,076 | ) | ||||||||
Impact of changes in the Home Price Index | 212 | (34 | ) | 434 | (34 | ) | ||||||||||
Impact of changes to the prepayment model | 303 | 385 | 126 | 427 | ||||||||||||
Other model changes | (367 | ) | (8 | ) | (346 | ) | (13 | ) | ||||||||
Balance, June 30 | $ | 12,372 | $ | 14,745 | $ | 12,372 | $ | 14,745 | ||||||||
Mortgage loans serviced for investors (in billions) | $ | 1,578 | $ | 1,706 | $ | 1,578 | $ | 1,706 | ||||||||
(1) | Represents the change in the market value of the MSR asset due to the impact of customer payments received during the period. | |
(2) | These amounts reflect the changes in modeled MSR market value largely due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve. | |
(3) | These amounts reflect periodic adjustments to the valuation model, as well as changes in certain cash flow assumptions, such as costs to service and ancillary income per loan. |
June 30, 2011 | December 31, 2010 | |||||||||||||||
(Dollars in millions) | Fixed | Adjustable | Fixed | Adjustable | ||||||||||||
Weighted-average OAS | 2.28 | % | 2.21 | % | 2.21 | % | 3.25 | % | ||||||||
Weighted-average life, in years | 4.86 | 2.47 | 4.85 | 2.29 | ||||||||||||
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June 30, 2011 | |||||||||||||
Change in | |||||||||||||
Weighted-average Lives | |||||||||||||
Change in | |||||||||||||
(Dollars in millions) | Fixed | Adjustable | Fair Value | ||||||||||
Prepayment rates | |||||||||||||
Impact of 10% decrease | 0.30 | years | 0.17 | years | $ | 800 | |||||||
Impact of 20% decrease | 0.65 | 0.37 | 1,696 | ||||||||||
Impact of 10% increase | (0.27 | ) | (0.15 | ) | (719 | ) | |||||||
Impact of 20% increase | (0.52 | ) | (0.28 | ) | (1,370 | ) | |||||||
OAS level | |||||||||||||
Impact of 100 bps decrease | n/a | n/a | $ | 740 | |||||||||
Impact of 200 bps decrease | n/a | n/a | 1,551 | ||||||||||
Impact of 100 bps increase | n/a | n/a | (677 | ) | |||||||||
Impact of 200 bps increase | n/a | n/a | (1,298 | ) | |||||||||
n/a = not applicable |
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Business Segments | ||||||||||||||||||||||||
Three Months Ended June 30 | ||||||||||||||||||||||||
Total Corporation(1) | Deposits | Global Card Services | ||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Net interest income(2) | $ | 11,493 | $ | 13,197 | $ | 2,281 | $ | 2,144 | $ | 3,611 | $ | 4,442 | ||||||||||||
Noninterest income | 1,990 | 16,253 | 1,020 | 1,551 | 1,925 | 2,506 | ||||||||||||||||||
Total revenue, net of interest expense | 13,483 | 29,450 | 3,301 | 3,695 | 5,536 | 6,948 | ||||||||||||||||||
Provision for credit losses | 3,255 | 8,105 | 31 | 61 | 481 | 3,796 | ||||||||||||||||||
Amortization of intangibles | 382 | 439 | 39 | 49 | 183 | 203 | ||||||||||||||||||
Other noninterest expense | 22,474 | 16,814 | 2,560 | 2,523 | 1,699 | 1,649 | ||||||||||||||||||
Income (loss) before income taxes | (12,628 | ) | 4,092 | 671 | 1,062 | 3,173 | 1,300 | |||||||||||||||||
Income tax expense (benefit)(2) | (3,802 | ) | 969 | 241 | 388 | 1,138 | 474 | |||||||||||||||||
Net income (loss) | $ | (8,826 | ) | $ | 3,123 | $ | 430 | $ | 674 | $ | 2,035 | $ | 826 | |||||||||||
Period-end total assets | $ | 2,261,319 | $ | 2,368,384 | $ | 449,123 | $ | 439,770 | $ | 161,756 | $ | 184,213 | ||||||||||||
Consumer Real | Global Commercial | Global Banking & | ||||||||||||||||||||||
Estate Services | Banking | Markets | ||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Net interest income(2) | $ | 579 | $ | 992 | $ | 1,827 | $ | 2,097 | $ | 1,791 | $ | 2,002 | ||||||||||||
Noninterest income (loss) | (11,894 | ) | 1,712 | 983 | 786 | 5,005 | 3,902 | |||||||||||||||||
Total revenue, net of interest expense | (11,315 | ) | 2,704 | 2,810 | 2,883 | 6,796 | 5,904 | |||||||||||||||||
Provision for credit losses | 1,507 | 2,390 | (417 | ) | 623 | (82 | ) | (133 | ) | |||||||||||||||
Amortization of intangibles | 4 | 13 | 15 | 18 | 29 | 37 | ||||||||||||||||||
Other noninterest expense | 8,643 | 2,725 | 1,053 | 956 | 4,684 | 4,698 | ||||||||||||||||||
Income (loss) before income taxes | (21,469 | ) | (2,424 | ) | 2,159 | 1,286 | 2,165 | 1,302 | ||||||||||||||||
Income tax expense (benefit)(2) | (6,949 | ) | (882 | ) | 778 | 471 | 607 | 404 | ||||||||||||||||
Net income (loss) | $ | (14,520 | ) | $ | (1,542 | ) | $ | 1,381 | $ | 815 | $ | 1,558 | $ | 898 | ||||||||||
Period-end total assets | $ | 185,398 | $ | 223,998 | $ | 280,289 | $ | 306,234 | $ | 691,249 | $ | 718,563 | ||||||||||||
Global Wealth & | ||||||||||||||||||||||||
Investment Management | All Other | |||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||
Net interest income(2) | $ | 1,571 | $ | 1,443 | $ | (167 | ) | $ | 77 | |||||||||||||||
Noninterest income | 2,919 | 2,746 | 2,032 | 3,050 | ||||||||||||||||||||
Total revenue, net of interest expense | 4,490 | 4,189 | 1,865 | 3,127 | ||||||||||||||||||||
Provision for credit losses | 72 | 122 | 1,663 | 1,246 | ||||||||||||||||||||
Amortization of intangibles | 112 | 117 | - | 2 | ||||||||||||||||||||
Other noninterest expense | 3,519 | 3,152 | 316 | 1,111 | ||||||||||||||||||||
Income (loss) before income taxes | 787 | 798 | (114 | ) | 768 | |||||||||||||||||||
Income tax expense (benefit)(2) | 281 | 469 | 102 | (355 | ) | |||||||||||||||||||
Net income (loss) | $ | 506 | $ | 329 | $ | (216 | ) | $ | 1,123 | |||||||||||||||
Period-end total assets | $ | 284,294 | $ | 252,507 | $ | 209,210 | $ | 243,099 | ||||||||||||||||
(1) | There were no material intersegment revenues. | |
(2) | FTE basis |
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Business Segments | ||||||||||||||||||||||||
Six Months Ended June 30 | ||||||||||||||||||||||||
Total Corporation(1) | Deposits | Global Card Services | ||||||||||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||
Net interest income(2) | $ | 23,890 | $ | 27,267 | $ | 4,486 | $ | 4,319 | $ | 7,358 | $ | 9,262 | ||||||||||||
Noninterest income | 16,688 | 34,473 | 2,004 | 3,094 | 3,865 | 4,576 | ||||||||||||||||||
Total revenue, net of interest expense | 40,578 | 61,740 | 6,490 | 7,413 | 11,223 | 13,838 | ||||||||||||||||||
Provision for credit losses | 7,069 | 17,910 | 64 | 98 | 1,442 | 7,331 | ||||||||||||||||||
Amortization of intangibles | 767 | 885 | 78 | 98 | 367 | 407 | ||||||||||||||||||
Other noninterest expense | 42,372 | 34,143 | 5,113 | 5,041 | 3,484 | 3,257 | ||||||||||||||||||
Income (loss) before income taxes | (9,630 | ) | 8,802 | 1,235 | 2,176 | 5,930 | 2,843 | |||||||||||||||||
Income tax expense (benefit)(2) | (2,853 | ) | 2,497 | 450 | 804 | 2,160 | 1,049 | |||||||||||||||||
Net income (loss) | $ | (6,777 | ) | $ | 6,305 | $ | 785 | $ | 1,372 | $ | 3,770 | $ | 1,794 | |||||||||||
Period-end total assets | $ | 2,261,319 | $ | 2,368,384 | $ | 449,123 | $ | 439,770 | $ | 161,756 | $ | 184,213 | ||||||||||||
Consumer Real | Global Commercial | Global Banking & | ||||||||||||||||||||||
Estate Services | Banking | Markets | ||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Net interest income(2) | $ | 1,475 | $ | 2,199 | $ | 3,677 | $ | 4,290 | $ | 3,828 | $ | 4,172 | ||||||||||||
Noninterest income (loss) | (10,727 | ) | 4,038 | 1,784 | 1,685 | 10,854 | 11,425 | |||||||||||||||||
Total revenue, net of interest expense | (9,252 | ) | 6,237 | 5,461 | 5,975 | 14,682 | 15,597 | |||||||||||||||||
Provision for credit losses | 2,605 | 5,990 | (338 | ) | 1,559 | (284 | ) | 103 | ||||||||||||||||
Amortization of intangibles | 11 | 25 | 29 | 37 | 59 | 73 | ||||||||||||||||||
Other noninterest expense | 13,437 | 5,960 | 2,145 | 1,968 | 9,376 | 8,951 | ||||||||||||||||||
Income (loss) before income taxes | (25,305 | ) | (5,738 | ) | 3,625 | 2,411 | 5,531 | 6,470 | ||||||||||||||||
Income tax expense (benefit)(2) | (8,370 | ) | (2,119 | ) | 1,321 | 891 | 1,839 | 2,333 | ||||||||||||||||
Net income (loss) | $ | (16,935 | ) | $ | (3,619 | ) | $ | 2,304 | $ | 1,520 | $ | 3,692 | $ | 4,137 | ||||||||||
Period-end total assets | $ | 185,398 | $ | 223,998 | $ | 280,289 | $ | 306,234 | $ | 691,249 | $ | 718,563 | ||||||||||||
Global Wealth & | ||||||||||||||||||||||||
Investment Management | All Other | |||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||
Net interest income(2) | $ | 3,140 | $ | 2,907 | $ | (74 | ) | $ | 118 | |||||||||||||||
Noninterest income | 5,842 | 5,323 | 3,066 | 4,332 | ||||||||||||||||||||
Total revenue, net of interest expense | 8,982 | 8,230 | 2,992 | 4,450 | ||||||||||||||||||||
Provision for credit losses | 118 | 363 | 3,462 | 2,466 | ||||||||||||||||||||
Amortization of intangibles | 223 | 233 | - | 12 | ||||||||||||||||||||
Other noninterest expense | 7,007 | 6,135 | 1,810 | 2,831 | ||||||||||||||||||||
Income (loss) before income taxes | 1,634 | 1,499 | (2,280 | ) | (859 | ) | ||||||||||||||||||
Income tax expense (benefit)(2) | 595 | 731 | (848 | ) | (1,192 | ) | ||||||||||||||||||
Net income (loss) | $ | 1,039 | $ | 768 | $ | (1,432 | ) | $ | 333 | |||||||||||||||
Period-end total assets | $ | 284,294 | $ | 252,507 | $ | 209,210 | $ | 243,099 | ||||||||||||||||
(1) | There were no material intersegment revenues. | |
(2) | FTE basis |
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Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||
(Dollars in millions) | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Segments’ total revenue, net of interest expense(1) | $ | 11,618 | $ | 26,323 | $ | 37,586 | $ | 57,290 | ||||||||
Adjustments: | ||||||||||||||||
ALM activities | 1,145 | 976 | 910 | 1,726 | ||||||||||||
Equity investment income | 1,139 | 2,253 | 2,547 | 2,765 | ||||||||||||
Liquidating businesses | 62 | 444 | 112 | 1,048 | ||||||||||||
FTE basis adjustment | (247 | ) | (297 | ) | (465 | ) | (618 | ) | ||||||||
Other | (481 | ) | (546 | ) | (577 | ) | (1,089 | ) | ||||||||
Consolidated revenue, net of interest expense | $ | 13,236 | $ | 29,153 | $ | 40,113 | $ | 61,122 | ||||||||
Segments’ net income (loss) | $ | (8,610 | ) | $ | 2,000 | $ | (5,345 | ) | $ | 5,972 | ||||||
Adjustments, net-of-tax: | ||||||||||||||||
ALM activities | (535 | ) | (452 | ) | (1,945 | ) | (479 | ) | ||||||||
Equity investment income | 718 | 1,419 | 1,605 | 1,742 | ||||||||||||
Liquidating businesses | (9 | ) | 103 | (44 | ) | 272 | ||||||||||
Merger and restructuring charges | 101 | 320 | 228 | 648 | ||||||||||||
Other | (491 | ) | (267 | ) | (1,276 | ) | (1,850 | ) | ||||||||
Consolidated net income (loss) | $ | (8,826 | ) | $ | 3,123 | $ | (6,777 | ) | $ | 6,305 | ||||||
(1) | FTE basis |
June 30 | ||||||||
(Dollars in millions) | 2011 | 2010 | ||||||
Segments’ total assets | $ | 2,052,109 | $ | 2,125,285 | ||||
Adjustments: | ||||||||
ALM activities, including securities portfolio | 639,220 | 586,609 | ||||||
Equity investments | 30,995 | 35,450 | ||||||
Liquidating businesses | 10,078 | 33,026 | ||||||
Elimination of segment excess asset allocations to match liabilities | (629,621 | ) | (603,543 | ) | ||||
Other | 158,538 | 191,557 | ||||||
Consolidated total assets | $ | 2,261,319 | $ | 2,368,384 | ||||
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221
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Shares Purchased as | ||||||||||||||||||||
(Dollars in millions, except per | Common Shares | Weighted-average | Part of Publicly | Remaining Buyback Authority | ||||||||||||||||
share information; shares in thousands) | Repurchased(1) | Per Share Price | Announced Programs | Amounts | Shares | |||||||||||||||
April 1-30, 2011 | 101,310 | $ | 13.79 | - | $ | - | - | |||||||||||||
May 1-31, 2011 | 99,935 | 13.88 | - | - | - | |||||||||||||||
June 1-30, 2011 | 9,925 | 12.35 | - | - | - | |||||||||||||||
Three months ended June 30, 2011 | 211,170 | 13.76 | ||||||||||||||||||
(1) | Consists of shares acquired by the Corporation in connection with satisfaction of tax withholding obligations on vested restricted stock or restricted stock units and certain forfeitures and terminations of employment related to awards under equity incentive plans. |
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Exhibit 3(a) | Amended and Restated Certificate of Incorporation of the Corporation, as in effect on the date hereof incorporated herein by reference to Exhibit 3(a) of the Corporation’s Quarterly Report on Form 10-Q (File No. 1-6523) for the quarter ended June 30, 2010 | |
Exhibit 3(b) | Amended and Restated Bylaws of the Corporation, as in effect on the date hereof incorporated herein by reference to Exhibit 3(b) of the Corporation’s 2010 Annual Report on Form 10-K (File No. 1-6523) filed on February 25, 2011 | |
Exhibit 4(a) | Supplemental Agreement to the Amended and Restated Agency Agreement dated as of July 22, 2011 among the Bank of America Corporation, Bank of America, N.A. (operating through its London branch), as Principal Agent, and Merrill Lynch International Bank Limited, as Registrar and Transfer Agent(1) | |
Exhibit 10(a) | Form of Directors’ Stock Plan Conditional Restricted Stock Award Agreement for Non-U.S. Director(1) | |
Exhibit 10(b) | Settlement Agreement dated as of June 28, 2011, among The Bank of New York Mellon, Bank of America Corporation, BAC Home Loans Servicing, LP, Countrywide Financial Corporation, and Countrywide Home Loans, Inc., incorporated by reference to Exhibit 99.2 of the Corporation’s Current Report on Form 8-K (File no. 1-6523) filed on June 29, 2011 | |
Exhibit 10(c) | Institutional Investor Agreement dated as of June 28, 2011, among The Bank of New York Mellon, Bank of America Corporation, BAC Home Loans Servicing, LP, Countrywide Financial Corporation, Countrywide Home Loans, Inc. and the other parties thereto, incorporated by reference to Exhibit 99.3 of the Corporation’s Current Report on Form 8-K (File no. 1-6523) filed on June 29, 2011 | |
Exhibit 11 | Earnings Per Share Computation – included inNote 14 – Earnings Per Common Shareto the Consolidated Financial Statements | |
Exhibit 12 | Ratio of Earnings to Fixed Charges(1) Ratio of Earnings to Fixed Charges and Preferred Dividends(1) | |
Exhibit 31(a) | Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 31(b) | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 32(a) | Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 32(b) | Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 101.INS | XBRL Instance Document(1, 2) | |
Exhibit 101.SCH | XBRL Taxonomy Extension Schema Document(1, 2) | |
Exhibit 101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document(1, 2) | |
Exhibit 101.LAB | XBRL Taxonomy Extension Label Linkbase Document(1, 2) | |
Exhibit 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document(1, 2) | |
Exhibit 101.DEF | XBRL Taxonomy Extension Definitions Linkbase Document(1, 2) |
(1) | Included herewith | |
(2) | These interactive data files shall not be deemed filed for purposes of Section 11 or 12 of the Securities Act of 1933, as amended, or Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to liability under those sections. |
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Bank of America Corporation Registrant | ||||
Date:August 4, 2011 | /s/ Neil A. Cotty | |||
Neil A. Cotty | ||||
Chief Accounting Officer (Duly Authorized Officer) | ||||
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Form 10-Q
Exhibit | Description | |
Exhibit 3(a) | Amended and Restated Certificate of Incorporation of the Corporation, as in effect on the date hereof incorporated herein by reference to Exhibit 3(a) of the Corporation’s Quarterly Report on Form 10-Q (File No. 1-6523) for the quarter ended June 30, 2010 | |
Exhibit 3(b) | Amended and Restated Bylaws of the Corporation, as in effect on the date hereof incorporated herein by reference to Exhibit 3(b) of the Corporation’s 2010 Annual Report on Form 10-K (File No. 1-6523) filed on February 25, 2011 | |
Exhibit 4(a) | Supplemental Agreement to the Amended and Restated Agency Agreement dated as of July 22, 2011 among the Bank of America Corporation, Bank of America, N.A. (operating through its London branch), as Principal Agent, and Merrill Lynch International Bank Limited, as Registrar and Transfer Agent(1) | |
Exhibit 10(a) | Form of Directors’ Stock Plan Conditional Restricted Stock Award Agreement for Non-U.S. Director(1) | |
Exhibit 10(b) | Settlement Agreement dated as of June 28, 2011, among The Bank of New York Mellon, Bank of America Corporation, BAC Home Loans Servicing, LP, Countrywide Financial Corporation, and Countrywide Home Loans, Inc., incorporated by reference to Exhibit 99.2 of the Corporation’s Current Report on Form 8-K (File no. 1-6523) filed on June 29, 2011 | |
Exhibit 10(c) | Institutional Investor Agreement dated as of June 28, 2011, among The Bank of New York Mellon, Bank of America Corporation, BAC Home Loans Servicing, LP, Countrywide Financial Corporation, Countrywide Home Loans, Inc. and the other parties thereto, incorporated by reference to Exhibit 99.3 of the Corporation’s Current Report on Form 8-K (File no. 1-6523) filed on June 29, 2011 | |
Exhibit 11 | Earnings Per Share Computation – included inNote 14 – Earnings Per Common Shareto the Consolidated Financial Statements | |
Exhibit 12 | Ratio of Earnings to Fixed Charges(1) Ratio of Earnings to Fixed Charges and Preferred Dividends(1) | |
Exhibit 31(a) | Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 31(b) | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 32(a) | Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 32(b) | Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1) | |
Exhibit 101.INS | XBRL Instance Document(1, 2) | |
Exhibit 101.SCH | XBRL Taxonomy Extension Schema Document(1, 2) | |
Exhibit 101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document(1, 2) | |
Exhibit 101.LAB | XBRL Taxonomy Extension Label Linkbase Document(1, 2) | |
Exhibit 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document(1, 2) | |
Exhibit 101.DEF | XBRL Taxonomy Extension Definitions Linkbase Document(1, 2) |
(1) | Included herewith | |
(2) | These interactive data files shall not be deemed filed for purposes of Section 11 or 12 of the Securities Act of 1933, as amended, or Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to liability under those sections. |
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