Securities (Tables)

12 Months Ended

Dec. 31, 2010

Securities (Tables) [Abstract]

Securities gains and losses

Year ended December 31,
(in millions)	2010			2009			2008
Realized gains	$	3,382		$	2,268		$	1,890
Realized losses		(317	)		(580	)		(330	)(c)
Net realized gains(a)		3,065			1,688			1,560
Credit losses included in securities gains(b)		(100	)		(578	)	NA
Net securities gains	$	2,965		$	1,110		$	1,560

(a)	Proceeds from securities sold were within approximately 3% of amortized cost in 2010 and 2009 and within approximately 2% of amortized cost in 2008.
(b)	Includes other-than-temporary impairment losses recognized in income on certain prime mortgage-backed securities and obligations of U.S. states and municipalities for the year ended December 31, 2010, and on certain subprime and prime mortgage-backed securities and obligations of U.S. states and municipalities for the year ended December 31, 2009.
(c)	Includes $76 million of losses due to other-than temporary impairment of subprime mortgage-backed securities.

Amortized costs and estimated fair values

	2010									2009
			Gross		Gross							Gross		Gross
	Amortized		unrealized		unrealized			Fair		Amortized		unrealized		unrealized			Fair.
December 31, (in millions)	cost		gains		losses			value		cost		gains		losses			value
Available-for-sale debt securities
Mortgage-backed securities:
U.S. government agencies(a)	$	117,364	$	3,159	$	297		$	120,226	$	166,094	$	2,412	$	608		$	167,898
Residential:
Prime and Alt-A		2,173		81		250	(d)		2,004		5,234		96		807	(d)		4,523
Subprime		—		—		—			—		17		—		—			17
Non-U.S.		47,089		290		409			46,970		10,003		320		65			10,258
Commercial		5,169		502		17			5,654		4,521		132		63			4,590
Total mortgage-backed securities		171,795		4,032		973			174,854		185,869		2,960		1,543			187,286
U.S. Treasury and government agencies(a)		11,258		118		28			11,348		30,044		88		135			29,997
Obligations of U.S. states and municipalities		11,732		165		338			11,559		6,270		292		25			6,537
Certificates of deposit		3,648		1		2			3,647		2,649		1		—			2,650
Non-U.S. government debt securities		20,614		191		28			20,777		24,320		234		51			24,503
Corporate debt securities(b)		61,718		495		419			61,794		61,226		812		30			62,008
Asset-backed securities:
Credit card receivables		7,278		335		5			7,608		25,266		502		26			25,742
Collateralized loan obligations		13,336		472		210			13,598		12,172		413		436			12,149
Other		8,968		130		16			9,082		6,719		129		54			6,794
Total available-for-sale debt securities		310,347		5,939		2,019	(d)		314,267		354,535		5,431		2,300	(d)		357,666
Available-for-sale equity securities		1,894		163		6			2,051		2,518		185		4			2,699
Total available-for-sale securities		312,241		6,102		2,025	(d)		316,318		357,053		5,616		2,304	(d)		360,365
Total held-to-maturity securities(c)	$	18	$	2	$	—		$	20	$	25	$	2	$	—		$	27

(a)	Includes total U.S. government-sponsored enterprise obligations with fair values of $94.2 billion and $153.0 billion at December 31, 2010 and 2009, 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 $133 million and $368 million (before tax) of unrealized losses related to prime mortgage-backed securities for which credit losses have been recognized in income at December 31, 2010 and 2009, 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
			Gross				Gross				Total gross
	Fair		unrealized		Fair		unrealized		Total fair		unrealized
December 31, 2010 (in millions)	value		losses		value		losses		value		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

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
			Gross				Gross				Total gross
	Fair		unrealized		Fair		unrealized		Total fair		unrealized
December 31, 2009 (in millions)	value		losses		value		losses		value		losses
Available-for-sale debt securities
Mortgage-backed securities:
U.S. government agencies	$	43,235	$	603	$	644	$	5	$	43,879	$	608
Residential:
Prime and Alt-A		183		27		3,032		780		3,215		807
Subprime		—		—		—		—		—		—
Non-U.S.		391		1		1,773		64		2,164		65
Commercial		679		34		229		29		908		63
Total mortgage-backed securities		44,488		665		5,678		878		50,166		1,543
U.S. Treasury and government agencies		8,433		135		—		—		8,433		135
Obligations of U.S. states and municipalities		472		11		389		14		861		25
Certificates of deposit		—		—		—		—		—		—
Non-U.S. government debt securities		2,471		46		835		5		3,306		51
Corporate debt securities		1,831		12		4,634		18		6,465		30
Asset-backed securities:
Credit card receivables		—		—		745		26		745		26
Collateralized loan obligations		42		1		7,883		435		7,925		436
Other		767		8		1,767		46		2,534		54
Total available-for-sale debt securities		58,504		878		21,931		1,422		80,435		2,300
Available-for-sale equity securities		1		1		3		3		4		4
Total securities with gross unrealized losses	$	58,505	$	879	$	21,934	$	1,425	$	80,439	$	2,304

Credit losses in securities gains and losses

Year ended December 31, (in millions)	2010			2009
Debt securities the Firm does not intend to sell that have credit losses
Total other-than-temporary impairment losses(a)	$	(94	)	$	(946	)
Losses recorded in/(reclassified from) other comprehensive income		(6	)		368
Credit losses recognized in income(b)(c)	$	(100	)	$	(578	)

(a)	For initial OTTI, represents the excess of the amortized cost over the fair value of AFS debt securities. For subsequent OTTI of the same security, represents additional declines in fair value subsequent to the previously recorded OTTI, if applicable.
(b)	Represents the credit loss component of certain prime mortgage-backed securities and obligations of U.S. states and municipalities for 2010, and certain prime and subprime mortgage-backed securities and obligations of U.S. states and municipalities for 2009 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.
(c)	Excluded from this table are OTTI losses of $7 million that were recognized in income in 2009, related to subprime mortgage-backed debt securities the Firm intended to sell. These securities were sold in 2009, resulting in the recognition of a recovery of $1 million.

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

Year ended December 31, (in millions)	2010			2009
Balance, beginning of period	$	578		$	—
Additions:
Newly credit-impaired securities		—			578
Increase in losses on previously credit-impaired securities		94			—
Losses reclassified from other comprehensive income on previously credit-impaired securities		6			—
Reductions:
Sales of credit-impaired securities		(31	)		—
Impact of new accounting guidance related to VIEs		(15	)		—
Balance, end of period	$	632		$	578

Amortized cost and estimated fair value by contractual maturity

				Due after one			Due after five
By remaining maturity	Due in one			year through			years through			Due after
December 31, 2010 (in millions)	year or less			five years			10 years			10 years(c)			Total
Available-for-sale debt securities
Mortgage-backed securities:(a)
Amortized cost	$	15		$	259		$	2,781		$	168,740		$	171,795
Fair value		15			282			2,825			171,732			174,854
Average yield(b)		8.63	%		6.25	%		2.71	%		3.85	%		3.84	%
U.S. Treasury and government agencies:(a)
Amortized cost	$	1,843		$	4,913		$	4,251		$	251		$	11,258
Fair value		1,850			5,007			4,260			231			11,348
Average yield(b)		1.68	%		2.62	%		3.84	%		3.86	%		2.95	%
Obligations of U.S. states and municipalities:
Amortized cost	$	39		$	160		$	333		$	11,200		$	11,732
Fair value		39			167			351			11,002			11,559
Average yield(b)		3.21	%		4.30	%		5.25	%		5.07	%		5.06	%
Certificates of deposit:
Amortized cost	$	3,642		$	6		$	—		$	—		$	3,648
Fair value		3,641			6			—			—			3,647
Average yield(b)		5.16	%		10.75	%		—	%		—	%		5.17	%
Non-U.S. government debt securities:
Amortized cost	$	5,666		$	13,557		$	1,388		$	3		$	20,614
Fair value		5,673			13,712			1,389			3			20,777
Average yield(b)		1.81	%		2.23	%		3.56	%		5.34	%		2.21	%
Corporate debt securities:
Amortized cost	$	12,515		$	44,137		$	5,065		$	1		$	61,718
Fair value		12,597			44,100			5,096			1			61,794
Average yield(b)		2.25	%		2.19	%		4.81	%		1.07	%		2.42	%
Asset-backed securities:
Amortized cost	$	38		$	3,371		$	13,567		$	12,606		$	29,582
Fair value		38			3,454			14,041			12,755			30,288
Average yield(b)		8.94	%		2.05	%		2.48	%		2.19	%		2.32	%
Total available-for-sale debt securities
Amortized cost	$	23,758		$	66,403		$	27,385		$	192,801		$	310,347
Fair value		23,853			66,728			27,962			195,724			314,267
Average yield(b)		2.56	%		2.24	%		3.23	%		3.81	%		3.33	%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	1,894		$	1,894
Fair value		—			—			—			2,051			2,051
Average yield(b)		—	%		—	%		—	%		0.29	%		0.29	%
Total available-for-sale securities
Amortized cost	$	23,758		$	66,403		$	27,385		$	194,695		$	312,241
Fair value		23,853			66,728			27,962			197,775			316,318
Average yield(b)		2.56	%		2.24	%		3.23	%		3.78	%		3.31	%
Total held-to-maturity securities
Amortized cost	$	—		$	6		$	11		$	1		$	18
Fair value		—			6			12			2			20
Average yield(b)		—	%		6.97	%		6.83	%		6.49	%		6.85	%

(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 December 31, 2010.
(b)	Average yield was based on amortized cost balances at the end of the period and did not give effect to changes in fair value reflected in accumulated other comprehensive income/(loss). Yields are derived by dividing interest/dividend income (including the effect of related derivatives on AFS securities and the amortization of premiums and accretion of discounts) by total amortized cost. Taxable-equivalent yields 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 five years for agency residential mortgage-backed securities, three years for agency residential collateralized mortgage obligations and six years for nonagency residential collateralized mortgage obligations.