American Express 2009 Annual Report Download - page 88

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
AMERICAN EXPRESS COMPANY
The gross unrealized losses on state and municipal securities
and all other debt securities are attributable to a number of
reasons such as issuer specific credit spreads and changes in
market interest rates.
In assessing default risk on these securities, excluding the
Company’s retained subordinated securities, the Company
has qualitatively considered the key factors identified above
and determined that it expects to collect all of the contractual
cash flows due on the securities. In assessing default risk on
the retained subordinated securities, the Company has
analyzed the projected cash flows of the American Express
Credit Account Master Trust (the Lending Trust) and expects
to collect all of the contractual cash flows due on the
securities.
Overall, for the investment securities in gross unrealized
loss positions identified above (a) the Company does not
intend to sell the securities, (b) it is more likely than not that
the Company will not be required to sell the securities before
recovery of the unrealized losses, and (c) the Company
expects that the contractual principal and interest will be
received on the securities.
SUPPLEMENTAL INFORMATION
Gross realized gains and losses on sales of investment
securities, included in other non-interest revenues, are as
follows:
(Millions) 2009 2008 2007
Gains $226(a) $20 $14
Losses (1) (8) (5)
Total $225 $12 $ 9
(a) Primarily represents the gain from the sale of 50 percent of the
Company’s investment in ICBC.
Contractual maturities of investment securities, excluding
equity securities and other securities (primarily mutual funds
with no stated maturity), as of December 31, 2009, are as
follows:
(Millions) Cost
Estimated
Fair Value
Due in:
Due within 1 year $10,285 $10,333
Due after 1 year but within 5 years 6,439 6,919
Due after 5 years but within 10 years 704 759
Due after 10 years 5,974 5,756
Total $23,402 $23,767
The Company’s individual investments in the unrated classes
of its retained subordinated securities contain multiple
maturity dates over periods ranging from 2010 through 2018.
Accordingly, in the table above, the Company has classified
such investments based on the weighted-average maturity. In
addition, the expected payments on state and municipal
obligations and mortgage-backed securities may not coincide
with their contractual maturities because borrowers have the
right to call or prepay certain obligations.
86