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 June 30, 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.

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



	June 30, 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)	$	55,634	$	1,887	$	206	$	57,315	$	63,089	$	2,302	$	72	$	65,319
Residential:
Prime and Alt-A	6,499		55		21		6,533		5,595		78		29		5,644
Subprime	494		11		—		505		677		14		—		691
Non-U.S.	31,777		763		5		32,535		43,550		1,010		—		44,560
Commercial	21,954		308		55		22,207		20,687		438		17		21,108
Total mortgage-backed securities	116,358		3,024		287		119,095		133,598		3,842		118		137,322
U.S. Treasury and government agencies^(a)	11,600		16		26		11,590		13,603		56		14		13,645
Obligations of U.S. states and municipalities	29,986		1,609		171		31,424		27,841		2,243		16		30,068
Certificates of deposit	427		2		—		429		1,103		1		1		1,103
Non-U.S. government debt securities	41,837		999		44		42,792		51,492		1,272		21		52,743
Corporate debt securities	15,540		310		28		15,822		18,158		398		24		18,532
Asset-backed securities:
Collateralized loan obligations	31,337		108		73		31,372		30,229		147		182		30,194
Other	10,831		136		11		10,956		12,442		184		11		12,615
Total available-for-sale debt securities	257,916		6,204		640		263,480		288,466		8,143		387		296,222
Available-for-sale equity securities	2,704		17		—		2,721		2,513		17		—		2,530
Total available-for-sale securities	$	260,620	$	6,221	$	640	$	266,201	$	290,979	$	8,160	$	387	$	298,752
Total held-to-maturity securities^(b)	$	51,594	$	1,241	$	138	$	52,697	$	49,252	$	1,902	$	—	$	51,154


(a)	Included total U.S. government-sponsored enterprise obligations with fair values of $45.5 billion and $59.3 billion at June 30, 2015, and December 31, 2014, respectively.

(b)

As of June 30, 2015, consists of MBS issued by U. S. government-sponsored enterprises with an amortized cost of $33.3 billion, MBS issued by U.S. government agencies with an amortized cost of $5.9 billion and obligations of U.S. states and municipalities with an amortized cost of $12.4 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 June 30, 2015, and December 31, 2014.



	Securities with gross unrealized losses
	Less than 12 months				12 months or more
June 30, 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	$	6,755	$	186	$	913	$	20	$	7,668	$	206
Residential:
Prime and Alt-A	2,801		16		315		5		3,116		21
Subprime	—		—		—		—		—		—
Non-U.S.	1,287		5		—		—		1,287		5
Commercial	8,607		55		—		—		8,607		55
Total mortgage-backed securities	19,450		262		1,228		25		20,678		287
U.S. Treasury and government agencies	8,778		26		—		—		8,778		26
Obligations of U.S. states and municipalities	7,284		162		181		9		7,465		171
Certificates of deposit	—		—		—		—		—		—
Non-U.S. government debt securities	3,527		35		240		9		3,767		44
Corporate debt securities	1,963		23		549		5		2,512		28
Asset-backed securities:
Collateralized loan obligations	8,933		13		8,132		60		17,065		73
Other	2,401		10		80		1		2,481		11
Total available-for-sale debt securities	52,336		531		10,410		109		62,746		640
Available-for-sale equity securities	—		—		—		—		—		—
Held-to-maturity securities	7,447		138		—		—		7,447		138
Total securities with gross unrealized losses	$	59,783	$	669	$	10,410	$	109	$	70,193	$	778



	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

Gross unrealized losses

The Firm has recognized the unrealized losses on securities it intends to sell. As of June 30, 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 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 June 30, 2015.

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)	2015			2014			2015			2014
Realized gains	$	94		$	76		$	185		$	224
Realized losses	(49		)	(64		)	(87		)	(180		)
OTTI losses	(1		)	—			(2		)	(2		)
Net securities gains	$	44		$	12		96			42

OTTI losses
Credit-related losses recognized in income	—			—			(1		)	—
Securities the Firm intends to sell	(1		)	—			(1		)	(2		)
Total OTTI losses recognized in income	$	(1	)	$	—		(2		)	(2		)

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

The following table presents a rollforward for the three and six months ended June 30, 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 June 30,				Six months ended June 30,
(in millions)	2015		2014		2015		2014
Balance, beginning of period	$	4	$	1	$	3	$	1
Additions:
Newly credit-impaired securities	—		—		1		—
Balance, end of period	$	4	$	1	$	4	$	1

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at June 30, 2015, of JPMorgan Chase’s investment securities portfolio by contractual maturity.



By remaining maturity June 30, 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	$	2,132		$	11,625		$	5,621		$	96,980		$	116,358
Fair value	2,144			11,864			5,821			99,266			119,095
Average yield^(b)	1.47		%	1.76		%	3.21		%	3.06		%	2.91		%
U.S. Treasury and government agencies
Amortized cost	$	600		$	—		$	9,937		$	1,063		$	11,600
Fair value	602			—			9,914			1,074			11,590
Average yield^(b)	1.53		%	—		%	0.19		%	0.41		%	0.28		%
Obligations of U.S. states and municipalities
Amortized cost	$	159		$	743		$	1,297		$	27,787		$	29,986
Fair value	164			761			1,360			29,139			31,424
Average yield^(b)	6.33		%	3.21		%	5.62		%	6.68		%	6.54		%
Certificates of deposit
Amortized cost	$	375		$	52		$	—		$	—		$	427
Fair value	376			53			—			—			429
Average yield^(b)	5.64		%	3.28		%	—		%	—		%	5.36		%
Non-U.S. government debt securities
Amortized cost	$	8,631		$	13,015		$	17,777		$	2,414		$	41,837
Fair value	8,651			13,305			18,297			2,539			42,792
Average yield^(b)	3.28		%	1.87		%	0.99		%	0.87		%	1.73		%
Corporate debt securities
Amortized cost	$	3,417		$	8,386		$	3,594		$	143		$	15,540
Fair value	3,443			8,560			3,678			141			15,822
Average yield^(b)	2.29		%	2.24		%	2.63		%	4.46		%	2.36		%
Asset-backed securities
Amortized cost	$	513		$	609		$	20,737		$	20,309		$	42,168
Fair value	515			614			20,798			20,401			42,328
Average yield^(b)	0.99		%	1.55		%	1.75		%	1.77		%	1.75		%
Total available-for-sale debt securities
Amortized cost	$	15,827		$	34,430		$	58,963		$	148,696		$	257,916
Fair value	15,895			35,157			59,868			152,560			263,480
Average yield^(b)	2.77		%	1.95		%	1.54		%	3.51		%	2.80		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	2,704		$	2,704
Fair value	—			—			—			2,721			2,721
Average yield^(b)	—		%	—		%	—		%	0.20		%	0.20		%
Total available-for-sale securities
Amortized cost	$	15,827		$	34,430		$	58,963		$	151,400		$	260,620
Fair value	15,895			35,157			59,868			155,281			266,201
Average yield^(b)	2.77		%	1.95		%	1.54		%	3.45		%	2.78		%
Total held-to-maturity securities
Amortized cost	$	—		$	53		$	643		$	50,898		$	51,594
Fair value	—			52			666			51,979			52,697
Average yield^(b)	—			4.35		%	4.86		%	3.96		%	3.97%


(a)	U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at June 30, 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 weighted-average life, which reflects anticipated future prepayments, is approximately six 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.