XML 86 R45.htm IDEA: XBRL DOCUMENT v2.4.0.8
Securities (Tables)
 6 Months Ended
Jun. 30, 2014
Investments, Debt and Equity Securities [Abstract]  
Securities gains and losses
The following table presents realized gains and losses and other-than-temporary impairment losses (“OTTI”) from AFS securities that were recognized in income.
 
Three months
ended June 30,
 
Six months
ended June 30,
(in millions)
2014

2013

 
2014

 
2013

Realized gains
$
76

$
143

 
$
224

 
$
664

Realized losses
(64
)
(13
)
 
(180
)
 
(25
)
Net realized gains(a)
12

130

 
44

 
639

OTTI losses:
 
 
 
 
 
 
Securities the Firm intends to sell
—

(6
)
 
(2
)
(b) 
(6
)
Total OTTI losses recognized in income
—

(6
)
 
(2
)
 
(6
)
Net securities gains
$
12

$
124

 
$
42

 
$
633

(a)
Total proceeds from securities sold were within approximately 1% and 1% of amortized cost for the three and six months ended June 30, 2014, respectively and 1% and 3% of amortized cost for the three and six months ended June 30, 2013.
(b)
Excludes realized losses of $1 million for the six months ended June 30, 2014 that had been previously reported as an OTTI loss due to the intention to sell the securities.
Amortized costs and estimated fair values
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
 
June 30, 2014
 
December 31, 2013
(in millions)
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
 
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
Available-for-sale debt securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies(a) 
$
62,353

$
2,328

$
169

 
$
64,512

 
$
76,428

$
2,364

$
977

 
$
77,815

Residential:
 
 
 
 
 
 
 
 
 
 
 
Prime and Alt-A
3,487

75

27


3,535

 
2,744

61

27

 
2,778

Subprime
815

20

—

 
835

 
908

23

1

 
930

Non-U.S.
52,466

1,403

—

 
53,869

 
57,448

1,314

1

 
58,761

Commercial
17,816

601

4

 
18,413

 
15,891

560

26

 
16,425

Total mortgage-backed securities
136,937

4,427

200

 
141,164

 
153,419

4,322

1,032

 
156,709

U.S. Treasury and government agencies(a)
19,279

82

2

 
19,359

 
21,310

385

306

 
21,389

Obligations of U.S. states and municipalities
26,480

1,694

88

 
28,086

 
29,741

707

987

 
29,461

Certificates of deposit
1,411

1

2

 
1,410

 
1,041

1

1

 
1,041

Non-U.S. government debt securities
56,727

1,170

52

 
57,845

 
55,507

863

122

 
56,248

Corporate debt securities
20,779

590

13

 
21,356

 
21,043

498

29

 
21,512

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Collateralized loan obligations
28,299

224

73

 
28,450

 
28,130

236

136

 
28,230

Other
12,890

218

—

 
13,108

 
12,062

186

3

 
12,245

Total available-for-sale debt securities
302,802

8,406

430

 
310,778

 
322,253

7,198

2,616

 
326,835

Available-for-sale equity securities
3,278

13

—

 
3,291

 
3,125

17

—

 
3,142

Total available-for-sale securities
$
306,080

$
8,419

$
430

 
$
314,069

 
$
325,378

$
7,215

$
2,616

 
$
329,977

Total held-to-maturity securities(b)
$
47,849

$
1,314

$
—

 
$
49,163

 
$
24,026

$
22

$
317

 
$
23,731

(a)
Included total U.S. government-sponsored enterprise obligations with fair values of $58.2 billion and $67.0 billion at June 30, 2014, and December 31, 2013, respectively.
(b)
As of June 30, 2014, consists of MBS issued by U. S. government-sponsored enterprises with an amortized cost of $35.4 billion, MBS issued by U.S. government agencies with an amortized cost of $4.1 billion and obligations of U.S. states and municipalities with an amortized cost of $8.3 billion. As of December 31, 2013, consists of MBS issued by U.S. government-sponsored enterprises with an amortized cost of $23.1 billion and obligations of U.S. states and municipalities with an amortized cost of $920 million.
Securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category at June 30, 2014, and December 31, 2013.
 
Securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
June 30, 2014 (in millions)
Fair value
Gross unrealized losses
 
Fair value
Gross unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale debt securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. government agencies
$
1,354

$
17

 
$
7,131

$
152

$
8,485

$
169

Residential:
 
 
 
 
 
 
 
Prime and Alt-A
536

2

 
462

25

998

27

Subprime
—

—

 
—

—

—

—

Non-U.S.
—

—

 
—

—

—

—

Commercial
—

—

 
165

4

165

4

Total mortgage-backed securities
1,890

19

 
7,758

181

9,648

200

U.S. Treasury and government agencies
—

—

 
1,994

2

1,994

2

Obligations of U.S. states and municipalities
3,574

75

 
556

13

4,130

88

Certificates of deposit
1,276

2

 
—

—

1,276

2

Non-U.S. government debt securities
8,925

18

 
1,481

34

10,406

52

Corporate debt securities
2,193

8

 
337

5

2,530

13

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
9,052

28

 
5,102

45

14,154

73

Other
—

—

 
—

—

—

—

Total available-for-sale debt securities
26,910

150

 
17,228

280

44,138

430

Available-for-sale equity securities
—

—

 
—

—

—

—

Held-to-maturity securities
—

—

 
—

—

—

—

Total securities with gross unrealized losses
$
26,910

$
150

 
$
17,228

$
280

$
44,138

$
430

 
Securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
December 31, 2013 (in millions)
Fair value
Gross unrealized losses
 
Fair value
Gross unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale debt securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. government agencies
$
20,293

$
895

 
$
1,150

$
82

$
21,443

$
977

Residential:
 
 
 
 
 
 
 
Prime and Alt-A
1,061

27

 
—

—

1,061

27

Subprime
152

1

 
—

—

152

1

Non-U.S.
—

—

 
158

1

158

1

Commercial
3,980

26

 
—

—

3,980

26

Total mortgage-backed securities
25,486

949

 
1,308

83

26,794

1,032

U.S. Treasury and government agencies
6,293

250

 
237

56

6,530

306

Obligations of U.S. states and municipalities
15,387

975

 
55

12

15,442

987

Certificates of deposit
988

1

 
—

—

988

1

Non-U.S. government debt securities
11,286

110

 
821

12

12,107

122

Corporate debt securities
1,580

21

 
505

8

2,085

29

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
18,369

129

 
393

7

18,762

136

Other
1,114

3

 
—

—

1,114

3

Total available-for-sale debt securities
80,503

2,438

 
3,319

178

83,822

2,616

Available-for-sale equity securities
—

—

 
—

—

—

—

Held-to-maturity securities
$
20,745

$
317

 
$
—

$
—

$
20,745

$
317

Total securities with gross unrealized losses
$
101,248

$
2,755

 
$
3,319

$
178

$
104,567

$
2,933
Changes in credit loss component of credit-impaired debt securities
The following table presents a rollforward for the three and six months ended June 30, 2014 and 2013, of the credit loss component of OTTI losses that have been recognized in income related to AFS debt securities that the Firm does not intend to sell.
 
Three months ended June 30,
 
Six months
 ended June 30,
(in millions)
2014

2013

 
2014

2013

Balance, beginning of period
$
1

$
519

 
$
1

$
522

Reductions:
 
 
 
 
 
Sales and redemptions of credit-impaired securities
—

—

 
—

(3
)
Balance, end of period
$
1

$
519

 
$
1

$
519
Amortized cost and estimated fair value by contractual maturity
The following table presents the amortized cost and estimated fair value at June 30, 2014, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
June 30, 2014
(in millions)
Due in one
year or less
Due after one year through five years
Due after five years through 10 years
Due after
10 years(c)
Total
Available-for-sale debt securities
 
 
 
 
 
Mortgage-backed securities(a)
 
 
 
 
 
Amortized cost
$
677

$
18,314

$
9,278

$
108,668

$
136,937

Fair value
683

18,811

9,538

112,132

141,164

Average yield(b)
2.50
%
1.69
%
2.67
%
3.07
%
2.86
%
U.S. Treasury and government agencies(a)
 
 
 
 
 
Amortized cost
$
12,418

$
3,998

$
1,887

$
976

$
19,279

Fair value
12,430

4,007

1,890

1,032

19,359

Average yield(b)
0.27
%
0.51
%
0.30
%
0.72
%
0.34
%
Obligations of U.S. states and municipalities
 
 
 
 
 
Amortized cost
$
60

$
467

$
1,407

$
24,546

$
26,480

Fair value
60

491

1,467

26,068

28,086

Average yield(b)
2.61
%
4.40
%
4.28
%
6.82
%
6.63
%
Certificates of deposit
 
 
 
 
 
Amortized cost
$
1,359

$
52

$
—

$
—

$
1,411

Fair value
1,357

53

—

—

1,410

Average yield(b)
2.67
%
3.28
%
—
%
—
%
2.69
%
Non-U.S. government debt securities
 
 
 
 
 
Amortized cost
$
11,946

$
15,186

$
25,380

$
4,215

$
56,727

Fair value
11,976

15,419

26,066

4,384

57,845

Average yield(b)
3.52
%
2.51
%
1.25
%
1.20
%
2.06
%
Corporate debt securities
 
 
 
 
 
Amortized cost
$
3,692

$
10,843

$
6,244

$
—

$
20,779

Fair value
3,707

11,139

6,510

—

21,356

Average yield(b)
2.15
%
2.35
%
2.47
%
—
%
2.35
%
Asset-backed securities
 
 
 
 
 
Amortized cost
$
15

$
3,382

$
17,523

$
20,269

$
41,189

Fair value
15

3,408

17,653

20,482

41,558

Average yield(b)
2.15
%
2.10
%
1.79
%
1.80
%
1.82
%
Total available-for-sale debt securities
 
 
 
 
 
Amortized cost
$
30,167

$
52,242

$
61,719

$
158,674

$
302,802

Fair value
30,228

53,328

63,124

164,098

310,778

Average yield(b)
1.95
%
2.02
%
1.78
%
3.42
%
2.70
%
Available-for-sale equity securities
 
 
 
 
 
Amortized cost
$
—

$
—

$
—

$
3,278

$
3,278

Fair value
—

—

—

3,291

3,291

Average yield(b)
—
%
—
%
—
%
0.18
%
0.18
%
Total available-for-sale securities
 
 
 
 
 
Amortized cost
$
30,167

$
52,242

$
61,719

$
161,952

$
306,080

Fair value
30,228

53,328

63,124

167,389

314,069

Average yield(b)
1.95
%
2.02
%
1.78
%
3.36
%
2.67
%
Total held-to-maturity securities
 
 
 
 
 
Amortized cost
$
—

$
56

$
346

$
47,447

$
47,849

Fair value
—

56

358

48,749

49,163

Average yield(b)
—
%
4.28
%
4.75
%
3.91
%
3.92
%
(a)
U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at June 30, 2014.
(b)
Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid.
(c)
Includes securities with no stated maturity. Substantially all of the Firm’s residential mortgage-backed securities and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated duration, which reflects anticipated future prepayments based on a consensus of dealers in the market, is approximately six years for agency residential mortgage-backed securities, three years for agency residential collateralized mortgage obligations and four years for nonagency residential collateralized mortgage obligations.