Securities (Tables)

12 Months Ended

Dec. 31, 2013

Investments, Debt and Equity Securities [Abstract]

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



Year ended December 31, (in millions)	2013				2012				2011
Realized gains	$	1,302			$	2,610			$	1,811
Realized losses	(614		)		(457		)		(142		)
Net realized gains^(a)	688				2,153				1,669
OTTI losses
Credit-related	(1		)		(28		)		(76		)
Securities the Firm intends to sell	(20		)	^(b)	(15		)	^(b)	—
Total OTTI losses recognized in income	(21		)		(43		)		(76		)
Net securities gains	$	667			$	2,110			$	1,593


(a)	Proceeds from securities sold were within approximately 2% of amortized cost in 2013, and within approximately 4% of amortized cost in 2012 and 2011.


(b)	Excludes realized losses of $12 million and $24 million for the years ended December 31, 2013 and 2012, respectively 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.



	2013								2012
December 31, (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)	$	76,428	$	2,364	$	977	$	77,815	$	93,693	$	4,708	$	13	$	98,388
Residential:
Prime and Alt-A	2,744		61		27		2,778		1,853		83		3		1,933
Subprime	908		23		1		930		825		28		—		853
Non-U.S.	57,448		1,314		1		58,761		70,358		1,524		29		71,853
Commercial	15,891		560		26		16,425		12,268		948		13		13,203
Total mortgage-backed securities	153,419		4,322		1,032		156,709		178,997		7,291		58		186,230
U.S. Treasury and government agencies^(a)	21,310		385		306		21,389		12,022		116		8		12,130
Obligations of U.S. states and municipalities	29,741		707		987		29,461		19,876		1,845		10		21,711
Certificates of deposit	1,041		1		1		1,041		2,781		4		2		2,783
Non-U.S. government debt securities	55,507		863		122		56,248		65,168		901		25		66,044
Corporate debt securities	21,043		498		29		21,512		37,999		694		84		38,609
Asset-backed securities:
Collateralized loan obligations	28,130		236		136		28,230		27,483		465		52		27,896
Other	12,062		186		3		12,245		12,816		166		11		12,971
Total available-for-sale debt securities	322,253		7,198		2,616		326,835		357,142		11,482		250		368,374
Available-for-sale equity securities	3,125		17		—		3,142		2,750		21		—		2,771
Total available-for-sale securities	$	325,378	$	7,215	$	2,616	$	329,977	$	359,892	$	11,503	$	250	$	371,145
Total held-to-maturity securities^(b)	$	24,026	$	22	$	317	$	23,731	$	7	$	1	$	—	$	8


(a)	Includes total U.S. government-sponsored enterprise obligations with fair values of $67.0 billion and $84.0 billion at December 31, 2013 and 2012, respectively, which were predominantly mortgage-related.


(b)	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 the investment securities portfolio by aging category at December 31, 2013 and 2012.



	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



	Securities with gross unrealized losses
	Less than 12 months				12 months or more
December 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	$	2,440	$	13	$	—	$	—	$	2,440	$	13
Residential:
Prime and Alt-A	218		2		76		1		294		3
Subprime	—		—		—		—		—		—
Non-U.S.	2,442		6		734		23		3,176		29
Commercial	1,159		8		312		5		1,471		13
Total mortgage-backed securities	6,259		29		1,122		29		7,381		58
U.S. Treasury and government agencies	4,198		8		—		—		4,198		8
Obligations of U.S. states and municipalities	907		10		—		—		907		10
Certificates of deposit	741		2		—		—		741		2
Non-U.S. government debt securities	14,527		21		1,927		4		16,454		25
Corporate debt securities	2,651		10		5,641		74		8,292		84
Asset-backed securities:
Collateralized loan obligations	6,328		17		2,063		35		8,391		52
Other	2,076		7		275		4		2,351		11
Total available-for-sale debt securities	37,687		104		11,028		146		48,715		250
Available-for-sale equity securities	—		—		—		—		—		—
Held-to-maturity securities	—		—		—		—		—		—
Total securities with gross unrealized losses	$	37,687	$	104	$	11,028	$	146	$	48,715	$	250

Credit losses in securities gains and losses

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



Year ended December 31, (in millions)	2013				2012				2011
Debt securities the Firm does not intend to sell that have credit losses
Total OTTI^(a)	$	(1	)		$	(113	)		$	(27	)
Losses recorded in/(reclassified from) AOCI	—				85				(49		)
Total credit losses recognized in income^(b)	(1		)		(28		)		(76		)
Securities the Firm intends to sell	(20		)	^(c)	(15		)	^(c)	—
Total OTTI losses recognized in income	$	(21	)		$	(43	)		$	(76	)


(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)	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.


(c)	Excludes realized losses of $12 million and $24 million for the years ended December 31, 2013 and 2012, respectively that had been previously reported as an OTTI loss due to the intention to sell the securities.

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

The following table presents a rollforward for the years ended December 31, 2013, 2012 and 2011, 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.



Year ended December 31, (in millions)	2013			2012			2011
Balance, beginning of period	$	522		$	708		$	632
Additions:
Newly credit-impaired securities	1			21			4
Losses reclassified from other comprehensive income on previously credit-impaired securities	—			7			72
Reductions:
Sales and redemptions of credit-impaired securities	(522		)	(214		)	—
Balance, end of period	$	1		$	522		$	708

Amortized cost and estimated fair value by contractual maturity

The following table presents the amortized cost and estimated fair value at December 31, 2013, of JPMorgan Chase’s investment securities portfolio by contractual maturity.



By remaining maturity December 31, 2013 (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	$	209		$	13,689		$	8,239		$	131,282		$	153,419
Fair value	210			14,117			8,489			133,893			156,709
Average yield^(b)	2.17		%	2.10		%	2.83		%	2.93		%	2.85		%
U.S. Treasury and government agencies^(a)
Amortized cost	$	8,781		$	10,246		$	1,425		$	858		$	21,310
Fair value	8,792			10,257			1,425			915			21,389
Average yield^(b)	0.36		%	0.39		%	0.34		%	0.59		%	0.38		%
Obligations of U.S. states and municipalities
Amortized cost	$	57		$	479		$	1,644		$	27,561		$	29,741
Fair value	58			505			1,664			27,234			29,461
Average yield^(b)	3.12		%	4.91		%	4.27		%	6.19		%	6.06		%
Certificates of deposit
Amortized cost	$	990		$	51		$	—		$	—		$	1,041
Fair value	988			53			—			—			1,041
Average yield^(b)	6.37		%	3.28		%	—		%	—		%	6.22		%
Non-U.S. government debt securities
Amortized cost	$	11,210		$	16,999		$	24,735		$	2,563		$	55,507
Fair value	11,223			17,191			25,166			2,668			56,248
Average yield^(b)	2.72		%	2.26		%	1.39		%	1.64		%	1.94		%
Corporate debt securities
Amortized cost	$	2,871		$	12,318		$	5,854		$	—		$	21,043
Fair value	2,873			12,638			6,001			—			21,512
Average yield^(b)	1.94		%	2.41		%	2.60		%	—		%	2.40		%
Asset-backed securities
Amortized cost	$	42		$	2,412		$	15,135		$	22,603		$	40,192
Fair value	42			2,438			15,258			22,737			40,475
Average yield^(b)	2.17		%	1.98		%	1.74		%	1.80		%	1.79		%
Total available-for-sale debt securities
Amortized cost	$	24,160		$	56,194		$	57,032		$	184,867		$	322,253
Fair value	24,186			57,199			58,003			187,447			326,835
Average yield^(b)	1.91		%	1.93		%	1.87		%	3.25		%	2.67		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	3,125		$	3,125
Fair value	—			—			—			3,142			3,142
Average yield^(b)	—		%	—		%	—		%	0.20		%	0.20		%
Total available-for-sale securities
Amortized cost	$	24,160		$	56,194		$	57,032		$	187,992		$	325,378
Fair value	24,186			57,199			58,003			190,589			329,977
Average yield^(b)	1.91		%	1.93		%	1.87		%	3.20		%	2.65		%
Total held-to-maturity securities
Amortized cost	$	—		$	3		$	1		$	24,022		$	24,026
Fair value	—			4			1			23,726			23,731
Average yield^(b)	—		%	6.86		%	6.48		%	3.53		%	3.53		%


(a)	U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at December 31, 2013.

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

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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