Securities (Tables)

3 Months Ended

Mar. 31, 2012

Securities (Tables) [Abstract]

Securities gains and losses

The following table presents realized gains and losses and credit losses that were recognized in income from AFS securities.

Three months ended March 31, (in millions)	2012			2011
Realized gains	$	749		$	152
Realized losses	(206		)	(20		)
Net realized gains(a)	543			132
Credit losses included in securities gains(b)	(7		)	(30		)
Net securities gains	$	536		$	102

(a) Proceeds from securities sold were within approximately 4% and 2% of amortized cost for the three months ended March 31, 2012 and 2011, respectively.

(b) Includes other-than-temporary impairment losses recognized in income on certain obligations of U. S. states and municipalities and prime mortgage-backed securities for the three months ended March 31, 2012, and on certain prime mortgage-backed securities for the three months ended March 31, 2011.

Amortized costs and estimated fair values

The amortized costs and estimated fair values of AFS and held-to-maturity (“HTM”) securities were as follows for the dates indicated.

	March 31, 2012									December 31, 2011
(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)	$	99,397	$	4,923	$	2		$	104,318	$	101,968	$	5,141	$	2		$	107,107
Residential:
Prime and Alt-A	2,734		60		183		(c)	2,611		2,170		54		218		(c)	2,006
Subprime	29		—		—			29		1		—		—			1
Non-U.S.	74,518		657		273			74,902		66,067		170		687			65,550
Commercial	10,718		852		4			11,566		10,632		650		53			11,229
Total mortgage-backed securities	187,396		6,492		462			193,426		180,838		6,015		960			185,893
U.S. Treasury and government agencies(a)	11,657		115		5			11,767		8,184		169		2			8,351
Obligations of U.S. states and municipalities	17,840		1,536		34			19,342		15,404		1,184		48			16,540
Certificates of deposit	3,044		2		2			3,044		3,017		—		—			3,017
Non-U.S. government debt securities	52,206		534		53			52,687		44,944		402		81			45,265
Corporate debt securities(b)	60,537		476		618			60,395		63,607		216		1,647			62,176
Asset-backed securities:
Collateralized loan obligations	24,938		455		154			25,239		24,474		553		166			24,861
Other	13,204		154		32			13,326		15,779		251		57			15,973
Total available-for-sale debt securities	370,822		9,764		1,360		(c)	379,226		356,247		8,790		2,961		(c)	362,076
Available-for-sale equity securities	2,486		23		4			2,505		2,693		14		2			2,705
Total available-for-sale securities	$	373,308	$	9,787	$	1,364	(c)	$	381,731	$	358,940	$	8,804	$	2,963	(c)	$	364,781
Total held-to-maturity securities	$	11	$	1	$	—		$	12	$	12	$	1	$	—		$	13

(a) Includes total U.S. government-sponsored enterprise obligations with fair values of $86.0 billion and $89.3 billion at March 31, 2012, and December 31, 2011, respectively.

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

(c) Includes a total of $78 million and $91 million (pretax) of unrealized losses related to prime mortgage-backed securities and obligations of U. S. states and municipalities for which credit losses have been recognized in income at March 31, 2012, and prime mortgage-backed securities for which credit losses have been recognized in income at December 31, 2011, respectively. These unrealized losses are not credit-related and remain reported in AOCI.

Securities impairment

The following tables present the fair value and gross unrealized losses for AFS securities by aging category at March 31, 2012, and December 31, 2011.

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
March 31, 2012 (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	$	315	$	1	$	2,348	$	1	$	2,663	$	2
Residential:
Prime and Alt-A	283		4		1,129		179		1,412		183
Subprime	—		—		—		—		—		—
Non-U.S.	8,985		112		12,540		161		21,525		273
Commercial	384		4		—		—		384		4
Total mortgage-backed securities	9,967		121		16,017		341		25,984		462
U.S. Treasury and government agencies	7,333		5		—		—		7,333		5
Obligations of U.S. states and municipalities	2,155		34		—		—		2,155		34
Certificates of deposit	1,430		2		—		—		1,430		2
Non-U.S. government debt securities	8,131		52		499		1		8,630		53
Corporate debt securities	16,259		333		8,602		285		24,861		618
Asset-backed securities:
Collateralized loan obligations	5,659		54		4,181		100		9,840		154
Other	2,927		14		1,017		18		3,944		32
Total available-for-sale debt securities	53,861		615		30,316		745		84,177		1,360
Available-for-sale equity securities	4		4		—		—		4		4
Total securities with gross unrealized losses	$	53,865	$	619	$	30,316	$	745	$	84,181	$	1,364

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 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	$	2,724	$	2	$	—	$	—	$	2,724	$	2
Residential:
Prime and Alt-A	649		12		970		206		1,619		218
Subprime	—		—		—		—		—		—
Non-U.S.	30,500		266		25,176		421		55,676		687
Commercial	837		53		—		—		837		53
Total mortgage-backed securities	34,710		333		26,146		627		60,856		960
U.S. Treasury and government agencies	3,369		2		—		—		3,369		2
Obligations of U.S. states and municipalities	147		42		40		6		187		48
Certificates of deposit	—		—		—		—		—		—
Non-U.S. government debt securities	11,901		66		1,286		15		13,187		81
Corporate debt securities	22,230		901		9,585		746		31,815		1,647
Asset-backed securities:
Collateralized loan obligations	5,610		49		3,913		117		9,523		166
Other	4,735		40		1,185		17		5,920		57
Total available-for-sale debt securities	82,702		1,433		42,155		1,528		124,857		2,961
Available-for-sale equity securities	338		2		—		—		338		2
Total securities with gross unrealized losses	$	83,040	$	1,435	$	42,155	$	1,528	$	125,195	$	2,963

Credit losses in securities gains and losses

The following table presents credit losses that are included in the securities gains and losses table above.

Three months ended March 31, (in millions)	2012			2011
Debt securities the Firm does not intend to sell that have credit losses
Total other-than-temporary impairment losses(a)	$	(10	)	$	(27	)
Losses recorded in/(reclassified from) other comprehensive income	3			(3		)
Total credit losses recognized in income(b)	$	(7	)	$	(30	)

(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 on certain obligations of U. S. states and municipalities and prime mortgage-backed securities for the three months ended March 31, 2012, and on certain prime mortgage-backed securities for the three months ended March 31, 2011, 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

The following table presents a rollforward for the three months ended March 31, 2012 and 2011, of the credit loss component of OTTI losses that have been recognized in income, related to debt securities that the Firm does not intend to sell.

Three months ended March 31, (in millions)	2012		2011
Balance, beginning of period	$	708	$	632
Newly credit-impaired securities	6		4
Losses reclassified from other comprehensive income on previously credit-impaired securities	1		26
Balance, end of period	$	715	$	662

Amortized cost and estimated fair value by contractual maturity

The following table presents the amortized cost and estimated fair value at March 31, 2012, of JPMorgan Chase’s AFS and HTM securities by contractual maturity.

By remaining maturity March 31, 2012 (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	$	15		$	8,283		$	8,605		$	170,493		$	187,396
Fair value	16			8,391			8,840			176,179			193,426
Average yield(b)	4.71		%	3.12		%	3.01		%	3.44		%	3.41		%
U.S. Treasury and government agencies(a)
Amortized cost	$	7,302		$	2,707		$	1,411		$	237		$	11,657
Fair value	7,304			2,813			1,411			239			11,767
Average yield(b)	0.24		%	2.29		%	2.32		%	2.06		%	1.00		%
Obligations of U.S. states and municipalities
Amortized cost	$	61		$	322		$	1,065		$	16,392		$	17,840
Fair value	61			346			1,142			17,793			19,342
Average yield(b)	3.06		%	3.65		%	3.51		%	4.73		%	4.63		%
Certificates of deposit
Amortized cost	$	2,926		$	118		$	—		$	—		$	3,044
Fair value	2,927			117			—			—			3,044
Average yield(b)	4.25		%	2.52		%	—		%	—		%	4.18		%
Non-U.S. government debt securities
Amortized cost	$	19,037		$	19,001		$	7,971		$	6,197		$	52,206
Fair value	19,045			19,198			8,149			6,295			52,687
Average yield(b)	1.34		%	2.11		%	3.11		%	3.81		%	2.18		%
Corporate debt securities
Amortized cost	$	19,481		$	28,345		$	12,706		$	5		$	60,537
Fair value	19,468			28,344			12,578			5			60,395
Average yield(b)	2.15		%	3.30		%	4.38		%	5.01		%	3.15		%
Asset-backed securities
Amortized cost	$	1		$	3,295		$	17,516		$	17,330		$	38,142
Fair value	1			3,338			17,725			17,501			38,565
Average yield(b)	2.35		%	2.36		%	2.15		%	2.61		%	2.38		%
Total available-for-sale debt securities
Amortized cost	$	48,823		$	62,071		$	49,274		$	210,654		$	370,822
Fair value	48,822			62,547			49,845			218,012			379,226
Average yield(b)	1.67		%	2.82		%	3.06		%	3.48		%	3.08		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	2,486		$	2,486
Fair value	—			—			—			2,505			2,505
Average yield(b)	—		%	—		%	—		%	0.39		%	0.39		%
Total available-for-sale securities
Amortized cost	$	48,823		$	62,071		$	49,274		$	213,140		$	373,308
Fair value	48,822			62,547			49,845			220,517			381,731
Average yield(b)	1.67		%	2.82		%	3.06		%	3.45		%	3.06		%
Total held-to-maturity securities
Amortized cost	$	—		$	8		$	2		$	1		$	11
Fair value	—			9			2			1			12
Average yield(b)	—		%	6.89		%	6.73		%	6.48		%	6.84		%

(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 March 31, 2012.

(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 four years for nonagency residential collateralized mortgage obligations.