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Consolidated Balance Sheet at December 31, 2009. Included
below is detail on the net unrealized losses and OTTI credit
losses recorded on non-agency residential and commercial
mortgage-backed and other asset-backed securities, which
represent the portfolios that have generated the majority of the
OTTI losses.
A summary of all OTTI credit losses recognized in 2009 by
investment type is included in Note 7 Investment Securities in
the Notes To Consolidated Financial Statements of this
Report.
December 31, 2009
In millions
Residential Mortgage-
Backed Securities
Commercial
Mortgage-Backed
Securities
Asset-Backed
Securities (a)
AVAILABLE FOR SALE SECURITIES NON-AGENCY
Fair
Value
Net
Unrealized
Gain
(Loss)
Fair
Value
Net
Unrealized
Gain
(Loss)
Fair
Value
Net
Unrealized
Gain
(Loss)
By Credit Rating
AAA $ 977 $ (143) $3,314 $ (30) $ 729 $ (23)
Other Investment Grade (AA, A, BBB) 2,259 (287) 492 (131) 76 (6)
Total Investment Grade 3,236 (430) 3,806 (161) 805 (29)
BB 1,306 (392) 38 (20) 203 (67)
B1,260 (448) 4 1 235 (43)
Lower than B 2,497 (847) 388 (188)
No Rating 3 33 (24)
Total Sub-Investment Grade 5,066 (1,687) 42 (19) 859 (322)
Total $8,302 $(2,117) $3,848 $(180) $1,664 $(351)
Investment Grade:
OTTI has been recognized $ 152 $ (45)
No OTTI recognized to date 3,084 (385) $3,806 $(161) $ 805 $ (29)
Total Investment Grade $3,236 $ (430) $3,806 $(161) $ 805 $ (29)
Sub-Investment Grade:
OTTI has been recognized $2,491 $(1,029) $ 562 $(221)
No OTTI recognized to date 2,575 (658) $ 42 $ (19) 297 (101)
Total Sub-Investment Grade $5,066 $(1,687) $ 42 $ (19) $ 859 $(322)
SECURITIES HELD TO MATURITY NON-AGENCY
By Credit Rating
AAA $2,225 $ 195 $2,822 $ 95
Other Investment Grade (AA, A, BBB) 215 10
Total Investment Grade 2,225 195 3,037 105
BB 25 1
B4
No Rating 55 (10)
Total Sub-Investment Grade 84 (9)
Total $2,225 $ 195 $3,121 $ 96
(a) Table excludes $4 million and $15 million of available for sale and held to maturity agency asset-backed securities, respectively.
Residential Mortgage-Backed Securities
At December 31, 2009, our residential mortgage-backed
securities portfolio was comprised of $24.4 billion fair value
of US government agency-backed securities and $8.3 billion
fair value of non-agency (private issuer) securities. The
agency securities are generally collateralized by 1-4 family,
conforming, fixed-rate residential mortgages.The non-agency
securities are also generally collateralized by 1-4 family
residential mortgages. The mortgage loans underlying the
non-agency securities are generally non-conforming (i.e.,
original balances in excess of the amount qualifying for
agency securities) and predominately have interest rates that
are fixed for a period of time, after which the rate adjusts to a
floating rate based upon a contractual spread that is indexed to
a market rate (i.e., a “hybrid ARM”), or interest rates that are
fixed for the term of the loan.
Substantially all of the securities are senior tranches in the
securitization structure and have credit protection in the form
of credit enhancement, over-collateralization and/or excess
spread accounts.
During 2009, we recorded OTTI credit losses of $444 million
on non-agency residential mortgage-backed securities. As of
36