Securities (Tables)

6 Months Ended

Jun. 30, 2011

Securities (Tables) [Abstract]

Securities gains and losses

	Three months ended June 30,						Six months ended June 30,
(in millions)	2011			2010			2011			2010
Realized gains	$	881		$	1,130		$	1,033		$	1,882
Realized losses	(31		)	(130		)	(51		)	(172		)
Net realized gains(a)	850			1,000			982			1,710
Credit losses included in securities gains(b)	(13		)	—			(43		)	(100		)
Net securities gains	$	837		$	1,000		$	939		$	1,610

(a) Proceeds from securities sold were within approximately 4% of amortized cost.

(b) Includes other-than-temporary impairment losses recognized in income on certain prime mortgage-backed securities for the three and six months ended June 30, 2011, and on certain prime mortgage-backed securities and obligations of U.S. states and municipalities for the six months ended June 30, 2010.

Amortized costs and estimated fair values

	June 30, 2011									December 31, 2010
(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)	$	115,271	$	3,838	$	208		$	118,901	$	117,364	$	3,159	$	297		$	120,226
Residential:
Prime and Alt-A	2,201		72		180		(d)	2,093		2,173		81		250		(d)	2,004
Subprime	1		—		—			1		1		—		—			1
Non-U.S.	56,824		332		317			56,839		47,089		290		409			46,970
Commercial	4,755		430		13			5,172		5,169		502		17			5,654
Total mortgage-backed securities	179,052		4,672		718			183,006		171,796		4,032		973			174,855
U.S. Treasury and government agencies(a)	5,197		112		22			5,287		11,258		118		28			11,348
Obligations of U.S. states and municipalities	11,353		340		115			11,578		11,732		165		338			11,559
Certificates of deposit	4,859		2		—			4,861		3,648		1		2			3,647
Non-U.S. government debt securities	30,662		217		63			30,816		20,614		191		28			20,777
Corporate debt securities(b)	55,927		393		514			55,806		61,717		495		419			61,793
Asset-backed securities:
Credit card receivables	5,124		277		—			5,401		7,278		335		5			7,608
Collateralized loan obligations	14,859		509		117			15,251		13,336		472		210			13,598
Other	9,318		177		10			9,485		8,968		130		16			9,082
Total available-for-sale debt securities	316,351		6,699		1,559		(d)	321,491		310,347		5,939		2,019		(d)	314,267
Available-for-sale equity securities	3,032		206		3			3,235		1,894		163		6			2,051
Total available-for-sale securities	$	319,383	$	6,905	$	1,562	(d)	$	324,726	$	312,241	$	6,102	$	2,025	(d)	$	316,318
Total held-to-maturity securities(c)	$	15	$	1	$	—		$	16	$	18	$	2	$	—		$	20

(a) Includes total U.S. government-sponsored enterprise obligations with fair values of $95.2 billion and $94.2 billion at June 30, 2011, and December 31, 2010, 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 $102 million and $133 million (pretax) of unrealized losses related to prime mortgage-backed securities for which credit losses have been recognized in income at June 30, 2011, and December 31, 2010, 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
June 30, 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	$	13,774	$	207	$	11	$	1	$	13,785	$	208
Residential:
Prime and Alt-A	325		1		1,119		179		1,444		180
Subprime	—		—		—		—		—		—
Non-U.S.	18,163		87		19,385		230		37,548		317
Commercial	790		13		—		—		790		13
Total mortgage-backed securities	33,052		308		20,515		410		53,567		718
U.S. Treasury and government agencies	479		22		—		—		479		22
Obligations of U.S. states and municipalities	3,905		107		27		8		3,932		115
Certificates of deposit	—		—		—		—		—		—
Non-U.S. government debt securities	10,713		63		—		—		10,713		63
Corporate debt securities	18,864		514		—		—		18,864		514
Asset-backed securities:
Credit card receivables	—		—		—		—		—		—
Collateralized loan obligations	988		4		5,750		113		6,738		117
Other	2,577		8		96		2		2,673		10
Total available-for-sale debt securities	70,578		1,026		26,388		533		96,966		1,559
Available-for-sale equity securities	4		3		—		—		4		3
Total securities with gross unrealized losses	$	70,582	$	1,029	$	26,388	$	533	$	96,970	$	1,562

	Securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 2010 (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	$	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

Credit losses in securities gains and losses

	Three months ended June 30,					Six months ended June 30,
(in millions)	2011			2010		2011			2010
Debt securities the Firm does not intend to sell that have credit losses
Total other-than-temporary impairment losses(a)	$	—		$	—	$	(27	)	$	(94	)
Losses recorded in/(reclassified from) other comprehensive income	(13		)	—		(16		)	(6		)
Total credit losses recognized in income(b)	$	(13	)	$	—	$	(43	)	$	(100	)

(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 of certain prime mortgage-backed securities for the three and six months ended June 30, 2011 and certain prime mortgage-backed securities and obligations of U.S. states and municipalities for the six months ended June 30, 2010, 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

	Three months ended June 30,					Six months ended June 30,
(in millions)	2011		2010			2011		2010
Balance, beginning of period	$	662	$	660		$	632	$	578
Additions:
Newly credit-impaired securities	—		—			4		—
Increase in losses on previously credit-impaired securities	—		—			—		94
Losses reclassified from other comprehensive income on previously credit-impaired securities	13		—			39		6
Reductions:
Sales of credit-impaired securities	—		(20		)	—		(23		)
Impact of new accounting guidance related to VIEs	—		—			—		(15		)
Balance, end of period	$	675	$	640		$	675	$	640

Amortized cost and estimated fair value by contractual maturity

	June 30, 2011
By remaining maturity (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	$	9		$	692		$	3,165		$	175,186		$	179,052
Fair value	9			726			3,194			179,077			183,006
Average yield(b)	5.02		%	4.22		%	2.20		%	3.72		%	3.69		%
U.S. Treasury and government agencies(a)
Amortized cost	$	1,655		$	3,289		$	1		$	252		$	5,197
Fair value	1,667			3,390			1			229			5,287
Average yield(b)	1.64		%	2.20		%	4.87		%	3.85		%	2.10		%
Obligations of U.S. states and municipalities
Amortized cost	$	22		$	261		$	242		$	10,828		$	11,353
Fair value	22			278			263			11,015			11,578
Average yield(b)	1.06		%	4.05		%	4.35		%	4.92		%	4.88		%
Certificates of deposit
Amortized cost	$	4,795		$	64		$	—		$	—		$	4,859
Fair value	4,797			64			—			—			4,861
Average yield(b)	4.54		%	0.96		%	—		%	—		%	4.50		%
Non-U.S. government debt securities
Amortized cost	$	10,410		$	17,601		$	2,647		$	4		$	30,662
Fair value	10,435			17,725			2,652			4			30,816
Average yield(b)	1.85		%	1.97		%	3.27		%	4.73		%	2.04		%
Corporate debt securities
Amortized cost	$	23,705		$	25,920		$	6,302		$	—		$	55,927
Fair value	23,935			25,646			6,225			—			55,806
Average yield(b)	2.07		%	2.73		%	4.80		%	—		%	2.68		%
Asset-backed securities
Amortized cost	$	19		$	5,430		$	10,781		$	13,071		$	29,301
Fair value	21			5,681			11,130			13,305			30,137
Average yield(b)	0.03		%	2.87		%	2.28		%	2.23		%	2.36		%
Total available-for-sale debt securities
Amortized cost	$	40,615		$	53,257		$	23,138		$	199,341		$	316,351
Fair value	40,886			53,510			23,465			203,630			321,491
Average yield(b)	2.28		%	2.49		%	3.09		%	3.68		%	3.26		%
Available-for-sale equity securities
Amortized cost	$	—		$	—		$	—		$	3,032		$	3,032
Fair value	—			—			—			3,235			3,235
Average yield(b)	—		%	—		%	—		%	0.32		%	0.32		%
Total available-for-sale securities
Amortized cost	$	40,615		$	53,257		$	23,138		$	202,373		$	319,383
Fair value	40,886			53,510			23,465			206,865			324,726
Average yield(b)	2.28		%	2.49		%	3.09		%	3.63		%	3.23		%
Total held-to-maturity securities
Amortized cost	$	—		$	7		$	7		$	1		$	15
Fair value	—			7			8			1			16
Average yield(b)	—		%	6.96		%	6.82		%	6.48		%	6.86		%

(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 June 30, 2011.

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