Securities (Tables)

9 Months Ended

Sep. 30, 2011

Securities (Tables) [Abstract]

Securities gains and losses

	Three months ended September 30,						Nine months ended September 30,
(in millions)	2011			2010			2011			2010
Realized gains	$	629		$	162		$	1,662		$	2,044
Realized losses	(7		)	(60		)	(58		)	(232		)
Net realized gains(a)	622			102			1,604			1,812
Credit losses included in securities gains(b)	(15		)	—			(58		)	(100		)
Net securities gains	$	607		$	102		$	1,546		$	1,712

(a) Proceeds from securities sold were within approximately 4% of amortized cost.

(b) Includes other-than-temporary impairment losses recognized in income on certain prime mortgage-backed securities for the three and nine months ended September 30, 2011, and on certain prime mortgage-backed securities and obligations of U.S. states and municipalities for the nine months ended September 30, 2010.

Amortized costs and estimated fair values

	September 30, 2011									December 31, 2010
(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)	$	104,941	$	5,063	$	2		$	110,002	$	117,364	$	3,159	$	297		$	120,226
Residential:
Prime and Alt-A	2,300		66		176		(d)	2,190		2,173		81		250		(d)	2,004
Subprime	1		—		—			1		1		—		—			1
Non-U.S.	57,498		249		530			57,217		47,089		290		409			46,970
Commercial	6,934		418		77			7,275		5,169		502		17			5,654
Total mortgage-backed securities	171,674		5,796		785			176,685		171,796		4,032		973			174,855
U.S. Treasury and government agencies(a)	7,512		178		—			7,690		11,258		118		28			11,348
Obligations of U.S. states and municipalities	14,223		1,132		33			15,322		11,732		165		338			11,559
Certificates of deposit	4,972		1		—			4,973		3,648		1		2			3,647
Non-U.S. government debt securities	35,536		338		52			35,822		20,614		191		28			20,777
Corporate debt securities(b)	61,599		285		1,462			60,422		61,717		495		419			61,793
Asset-backed securities:
Credit card receivables	4,810		179		—			4,989		7,278		335		5			7,608
Collateralized loan obligations	21,070		527		164			21,433		13,336		472		210			13,598
Other	9,266		140		25			9,381		8,968		130		16			9,082
Total available-for-sale debt securities	330,662		8,576		2,521		(d)	336,717		310,347		5,939		2,019		(d)	314,267
Available-for-sale equity securities	2,556		64		1			2,619		1,894		163		6			2,051
Total available-for-sale securities	$	333,218	$	8,640	$	2,522	(d)	$	339,336	$	312,241	$	6,102	$	2,025	(d)	$	316,318
Total held-to-maturity securities(c)	$	13	$	1	$	—		$	14	$	18	$	2	$	—		$	20

(a) Includes total U.S. government-sponsored enterprise obligations with fair values of $91.9 billion and $94.2 billion at September 30, 2011, and December 31, 2010, respectively, which were predominantly mortgage-related.

(b) Consists primarily of bank debt including sovereign government-guaranteed bank debt.

(c) Consists primarily of mortgage-backed securities issued by U.S. government-sponsored enterprises.

(d) Includes a total of $93 million and $133 million (pretax) of unrealized losses related to prime mortgage-backed securities for which credit losses have been recognized in income at September 30, 2011, and December 31, 2010, respectively. These unrealized losses are not credit-related and remain reported in AOCI.

Securities impairment

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
September 30, 2011 (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	$	2,769	$	1	$	11	$	1	$	2,780	$	2
Residential:
Prime and Alt-A	591		2		1,061		174		1,652		176
Subprime	—		—		—		—		—		—
Non-U.S.	18,998		156		22,563		374		41,561		530
Commercial	2,118		77		—		—		2,118		77
Total mortgage-backed securities	24,476		236		23,635		549		48,111		785
U.S. Treasury and government agencies	—		—		—		—		—		—
Obligations of U.S. states and municipalities	712		28		25		5		737		33
Certificates of deposit	—		—		—		—		—		—
Non-U.S. government debt securities	7,945		35		298		17		8,243		52
Corporate debt securities	21,146		887		7,845		575		28,991		1,462
Asset-backed securities:
Credit card receivables	—		—		—		—		—		—
Collateralized loan obligations	5,335		58		3,726		106		9,061		164
Other	2,406		23		229		2		2,635		25
Total available-for-sale debt securities	62,020		1,267		35,758		1,254		97,778		2,521
Available-for-sale equity securities	355		1		—		—		355		1
Total securities with gross unrealized losses	$	62,375	$	1,268	$	35,758	$	1,254	$	98,133	$	2,522

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 2010 (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	$	14,039	$	297	$	—	$	—	$	14,039	$	297
Residential:
Prime and Alt-A	—		—		1,193		250		1,193		250
Subprime	—		—		—		—		—		—
Non-U.S.	35,166		379		1,080		30		36,246		409
Commercial	548		14		11		3		559		17
Total mortgage-backed securities	49,753		690		2,284		283		52,037		973
U.S. Treasury and government agencies	921		28		—		—		921		28
Obligations of U.S. states and municipalities	6,890		330		20		8		6,910		338
Certificates of deposit	1,771		2		—		—		1,771		2
Non-U.S. government debt securities	6,960		28		—		—		6,960		28
Corporate debt securities	18,783		418		90		1		18,873		419
Asset-backed securities:
Credit card receivables	—		—		345		5		345		5
Collateralized loan obligations	460		10		6,321		200		6,781		210
Other	2,615		9		32		7		2,647		16
Total available-for-sale debt securities	88,153		1,515		9,092		504		97,245		2,019
Available-for-sale equity securities	—		—		2		6		2		6
Total securities with gross unrealized losses	$	88,153	$	1,515	$	9,094	$	510	$	97,247	$	2,025

Credit losses in securities gains and losses

	Three months ended September 30,					Nine months ended September 30,
(in millions)	2011			2010		2011			2010
Debt securities the Firm does not intend to sell that have credit losses
Total other-than-temporary impairment losses(a)	$	—		$	—	$	(27	)	$	(94	)
Losses recorded in/(reclassified from) other comprehensive income	(15		)	—		(31		)	(6		)
Total credit losses recognized in income(b)	$	(15	)	$	—	$	(58	)	$	(100	)

(a) For initial OTTI, represents the excess of the amortized cost over the fair value of AFS debt securities. For subsequent impairments of the same security, represents additional declines in fair value subsequent to previously recorded OTTI, if applicable.

(b) Represents the credit loss component of certain prime mortgage-backed securities for the three and nine months ended September 30, 2011, and certain prime mortgage-backed securities and obligations of U.S. states and municipalities for the nine months ended September 30, 2010, that the Firm does not intend to sell. Subsequent credit losses may be recorded on securities without a corresponding further decline in fair value if there has been a decline in expected cash flows.

Changes in the credit loss component of credit-impaired debt securities

	Three months ended September 30,					Nine months ended September 30,
(in millions)	2011		2010			2011		2010
Balance, beginning of period	$	675	$	640		$	632	$	578
Additions:
Newly credit-impaired securities	—		—			4		—
Increase in losses on previously credit-impaired securities	—		—			—		94
Losses reclassified from other comprehensive income on previously credit-impaired securities	15		—			54		6
Reductions:
Sales of credit-impaired securities	—		(8		)	—		(31		)
Impact of new accounting guidance related to VIEs	—		—			—		(15		)
Balance, end of period	$	690	$	632		$	690	$	632

Amortized cost and estimated fair value by contractual maturity

	September 30, 2011
By remaining maturity (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	$	27		$	908		$	2,943		$	167,796		$	171,674
Fair value	27			916			3,008			172,734			176,685
Average yield(b)	4.86		%	3.66		%	2.44		%	3.70		%	3.68		%
U.S. Treasury and government agencies(a)
Amortized cost	$	4,276		$	2,985		$	—		$	251		$	7,512
Fair value	4,286			3,106			—			298			7,690
Average yield(b)	0.68		%	2.20		%	—		%	3.89		%	1.39		%
Obligations of U.S. states and municipalities
Amortized cost	$	83		$	283		$	1,067		$	12,790		$	14,223
Fair value	85			303			1,100			13,834			15,322
Average yield(b)	2.55		%	3.84		%	3.72		%	4.83		%	4.72		%
Certificates of deposit
Amortized cost	$	4,972		$	—		$	—		$	—		$	4,972
Fair value	4,973			—			—			—			4,973
Average yield(b)	4.67		%	—		%	—		%	—		%	4.67		%
Non-U.S. government debt securities
Amortized cost	$	14,922		$	15,716		$	4,659		$	239		$	35,536
Fair value	14,923			15,918			4,747			234			35,822
Average yield(b)	1.24		%	2.01		%	2.51		%	6.74		%	1.79		%
Corporate debt securities
Amortized cost	$	23,473		$	29,319		$	8,807		$	—		$	61,599
Fair value	23,628			28,588			8,206			—			60,422
Average yield(b)	2.12		%	2.71		%	4.42		%	—		%	2.73		%
Asset-backed securities
Amortized cost	$	61		$	5,007		$	16,547		$	13,531		$	35,146
Fair value	61			5,711			16,348			13,683			35,803
Average yield(b)	0.45		%	2.47		%	2.04		%	2.35		%	2.22		%
Total available-for-sale debt securities
Amortized cost	$	47,814		$	54,218		$	34,023		$	194,607		$	330,662
Fair value	47,983			54,542			33,409			200,783			336,717
Average yield(b)	1.98		%	2.48		%	2.81		%	3.68		%	3.15		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	2,556		$	2,556
Fair value	—			—			—			2,619			2,619
Average yield(b)	—		%	—		%	—		%	0.38		%	0.38		%
Total available-for-sale securities
Amortized cost	$	47,814		$	54,218		$	34,023		$	197,163		$	333,218
Fair value	47,983			54,542			33,409			203,402			339,336
Average yield(b)	1.98		%	2.48		%	2.81		%	3.64		%	3.13		%
Total held-to-maturity securities
Amortized cost	$	—		$	8		$	4		$	1		$	13
Fair value	—			9			4			1			14
Average yield(b)	—		%	6.91		%	6.82		%	6.47		%	6.86		%

(a) U.S. government agencies and U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at September 30, 2011.

(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.

(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 three years for agency residential mortgage-backed securities, two years for agency residential collateralized mortgage obligations and five years for nonagency residential collateralized mortgage obligations.