Securities

Securities are classified as trading, AFS or held-to-maturity (“HTM”). Securities classified as trading assets are discussed in Note 3. Predominantly all of the Firm’s AFS and HTM investment securities (the “investment securities portfolio”) are held by the Chief Investment Office (“CIO”) in connection with its asset-liability management objectives. At March 31, 2015, the average credit rating of the debt securities comprising the investment securities portfolio was AA+ (based upon external ratings where available, and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). For additional information regarding the investment securities portfolio, see Note 12 of JPMorgan Chase’s 2014 Annual Report.

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 March 31,
(in millions)	2015			2014
Realized gains	$	92		$	148
Realized losses	(39		)	(115		)
OTTI losses	(1		)	(3		)
Net securities gains	$	52		$	30

OTTI losses
Credit-related losses recognized in income	(1		)	—
Securities the Firm intends to sell	—			(3		)
Total OTTI losses recognized in income	$	(1	)	$	(3	)

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.



	March 31, 2015								December 31, 2014
(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)	$	63,165	$	2,443	$	52	$	65,556	$	63,089	$	2,302	$	72	$	65,319
Residential:
Prime and Alt-A	6,433		83		22		6,494		5,595		78		29		5,644
Subprime	633		13		—		646		677		14		—		691
Non-U.S.	34,555		909		1		35,463		43,550		1,010		—		44,560
Commercial	22,157		461		12		22,606		20,687		438		17		21,108
Total mortgage-backed securities	126,943		3,909		87		130,765		133,598		3,842		118		137,322
U.S. Treasury and government agencies^(a)	11,952		29		16		11,965		13,603		56		14		13,645
Obligations of U.S. states and municipalities	28,922		2,302		25		31,199		27,841		2,243		16		30,068
Certificates of deposit	1,021		3		1		1,023		1,103		1		1		1,103
Non-U.S. government debt securities	44,543		1,330		16		45,857		51,492		1,272		21		52,743
Corporate debt securities	16,850		369		28		17,191		18,158		398		24		18,532
Asset-backed securities:
Collateralized loan obligations	29,664		131		112		29,683		30,229		147		182		30,194
Other	11,713		157		6		11,864		12,442		184		11		12,615
Total available-for-sale debt securities	271,608		8,230		291		279,547		288,466		8,143		387		296,222
Available-for-sale equity securities	2,309		16		—		2,325		2,513		17		—		2,530
Total available-for-sale securities	$	273,917	$	8,246	$	291	$	281,872	$	290,979	$	8,160	$	387	$	298,752
Total held-to-maturity securities^(b)	$	49,264	$	2,118	$	12	$	51,370	$	49,252	$	1,902	$	—	$	51,154


(a)	Included total U.S. government-sponsored enterprise obligations with fair values of $55.0 billion and $59.3 billion at March 31, 2015, and December 31, 2014, respectively.

(b)

As of March 31, 2015, consists of MBS issued by U. S. government-sponsored enterprises with an amortized cost of $34.2 billion, MBS issued by U.S. government agencies with an amortized cost of $3.4 billion and obligations of U.S. states and municipalities with an amortized cost of $11.6 billion. As of December 31, 2014, consists of MBS issued by U.S. government-sponsored enterprises with an amortized cost of $35.3 billion, MBS issued by U.S. government agencies with an amortized cost of $3.7 billion and obligations of U.S. states and municipalities with an amortized cost of $10.2 billion.

Securities impairment

The following tables present the fair value and gross unrealized losses for investment securities by aging category at March 31, 2015, and December 31, 2014.



	Securities with gross unrealized losses
	Less than 12 months				12 months or more
March 31, 2015 (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	$	858	$	23	$	2,994	$	29	$	3,852	$	52
Residential:
Prime and Alt-A	914		7		436		15		1,350		22
Subprime	—		—		—		—		—		—
Non-U.S.	597		1		—		—		597		1
Commercial	4,726		12		—		—		4,726		12
Total mortgage-backed securities	7,095		43		3,430		44		10,525		87
U.S. Treasury and government agencies	6,941		16		—		—		6,941		16
Obligations of U.S. states and municipalities	1,729		22		172		3		1,901		25
Certificates of deposit	740		1		—		—		740		1
Non-U.S. government debt securities	2,018		7		721		9		2,739		16
Corporate debt securities	2,028		26		241		2		2,269		28
Asset-backed securities:
Collateralized loan obligations	9,803		28		9,886		84		19,689		112
Other	2,400		6		—		—		2,400		6
Total available-for-sale debt securities	32,754		149		14,450		142		47,204		291
Available-for-sale equity securities	—		—		—		—		—		—
Held-to-maturity securities	878		12		—		—		878		12
Total securities with gross unrealized losses	$	33,632	$	161	$	14,450	$	142	$	48,082	$	303



	Securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 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	$	1,118	$	5	$	4,989	$	67	$	6,107	$	72
Residential:
Prime and Alt-A	1,840		10		405		19		2,245		29
Subprime	—		—		—		—		—		—
Non-U.S.	—		—		—		—		—		—
Commercial	4,803		15		92		2		4,895		17
Total mortgage-backed securities	7,761		30		5,486		88		13,247		118
U.S. Treasury and government agencies	8,412		14		—		—		8,412		14
Obligations of U.S. states and municipalities	1,405		15		130		1		1,535		16
Certificates of deposit	1,050		1		—		—		1,050		1
Non-U.S. government debt securities	4,433		4		906		17		5,339		21
Corporate debt securities	2,492		22		80		2		2,572		24
Asset-backed securities:
Collateralized loan obligations	13,909		76		9,012		106		22,921		182
Other	2,258		11		—		—		2,258		11
Total available-for-sale debt securities	41,720		173		15,614		214		57,334		387
Available-for-sale equity securities	—		—		—		—		—		—
Held-to-maturity securities	—		—		—		—		—		—
Total securities with gross unrealized losses	$	41,720	$	173	$	15,614	$	214	$	57,334	$	387

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

The following table presents a rollforward for the three months ended March 31, 2015 and 2014, 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 March 31,
(in millions)	2015		2014
Balance, beginning of period	$	3	$	1
Additions:
Newly credit-impaired securities	1		—
Balance, end of period	$	4	$	1

Gross unrealized losses

Gross unrealized losses have generally decreased since December 31, 2014. The Firm has recognized the unrealized losses on securities it intends to sell. As of March 31, 2015, the Firm does not intend to sell any securities with a loss position in AOCI, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities reported in the table above, for which credit losses have been recognized in income, the Firm believes that the securities with an unrealized loss in AOCI are not other-than-temporarily impaired as of March 31, 2015.

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at March 31, 2015, of JPMorgan Chase’s investment securities portfolio by contractual maturity.



By remaining maturity March 31, 2015 (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	$	876		$	13,327		$	5,423		$	107,317		$	126,943
Fair value	882			13,628			5,635			110,620			130,765
Average yield^(b)	2.38		%	1.73		%	3.28		%	3.03		%	2.90		%
U.S. Treasury and government agencies
Amortized cost	$	600		$	—		$	10,169		$	1,183		$	11,952
Fair value	603			—			10,162			1,200			11,965
Average yield^(b)	1.54		%	—		%	0.21		%	0.38		%	0.29		%
Obligations of U.S. states and municipalities
Amortized cost	$	55		$	516		$	1,468		$	26,883		$	28,922
Fair value	55			533			1,551			29,060			31,199
Average yield^(b)	2.96		%	5.05		%	4.88		%	6.68		%	6.56		%
Certificates of deposit
Amortized cost	$	969		$	52		$	—		$	—		$	1,021
Fair value	970			53			—			—			1,023
Average yield^(b)	3.00		%	3.28		%	—		%	—		%	3.02		%
Non-U.S. government debt securities
Amortized cost	$	10,455		$	13,934		$	17,842		$	2,312		$	44,543
Fair value	10,481			14,282			18,598			2,496			45,857
Average yield^(b)	3.24		%	1.81		%	1.07		%	0.99		%	1.81		%
Corporate debt securities
Amortized cost	$	3,661		$	8,991		$	4,066		$	132		$	16,850
Fair value	3,684			9,208			4,165			134			17,191
Average yield^(b)	2.20		%	2.28		%	2.60		%	4.26		%	2.36		%
Asset-backed securities
Amortized cost	$	—		$	1,689		$	18,859		$	20,829		$	41,377
Fair value	—			1,700			18,935			20,912			41,547
Average yield^(b)	—		%	1.62		%	1.73		%	1.77		%	1.74		%
Total available-for-sale debt securities
Amortized cost	$	16,616		$	38,509		$	57,827		$	158,656		$	271,608
Fair value	16,675			39,404			59,046			164,422			279,547
Average yield^(b)	2.89		%	1.93		%	1.55		%	3.44		%	2.79		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	2,309		$	2,309
Fair value	—			—			—			2,325			2,325
Average yield^(b)	—		%	—		%	—		%	0.24		%	0.24		%
Total available-for-sale securities
Amortized cost	$	16,616		$	38,509		$	57,827		$	160,965		$	273,917
Fair value	16,675			39,404			59,046			166,747			281,872
Average yield^(b)	2.89		%	1.93		%	1.55		%	3.39		%	2.76		%
Total held-to-maturity securities
Amortized cost	$	—		$	53		$	603		$	48,608		$	49,264
Fair value	—			53			634			50,683			51,370
Average yield^(b)	—			4.39		%	4.94		%	4.01		%	4.02%


(a)	U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at March 31, 2015.

(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, is approximately five years for agency residential mortgage-backed securities, three years for agency residential collateralized mortgage obligations and five years for U.S. nonagency residential collateralized mortgage obligations.