JP Morgan Chase 2009 Annual Report Download - page 198

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Notes to consolidated financial statements
JPMorgan Chase & Co./2009 Annual Report 196
Securities impairment
The following table presents the fair value and gross unrealized losses for AFS securities by aging category at December 31.
Securities with gross unrealized losses
Less than 12 months 12 months or more
December 31, 2009 (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 $ 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 debt and 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
Securities with gross unrealized losses
Less than 12 months 12 months or more
December 31, 2008 (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(a):
U.S. government agencies $ 6,016 $ 224 $ 469 $ 3 $ 6,485 $ 227
Residential:
Prime and Alt-A 6,254 1,838 333 97 6,587 1,935
Subprime — — 151 19 151 19
Non-U.S. 1,908 182 — — 1,908 182
Commercial 3,939 684 — — 3,939 684
Total mortgage-backed securities 18,117 2,928 953 119 19,070 3,047
U.S. Treasury and government agencies(a) 7,659 97 — — 7,659 97
Obligations of U.S. states and municipalities 1,129 232 16 6 1,145 238
Certificates of deposit 382 8 — — 382 8
Non-U.S. government debt securities 308 1 74 1 382 2
Corporate debt securities 558 54 30 7 588 61
Asset-backed securities(a):
Credit card receivables 10,267 1,964 472 304 10,739 2,268
Collateralized debt and loan obligations 9,059 820 — — 9,059 820
Other 813 134 17 1 830 135
Total available-for-sale debt securities 48,292 6,238 1,562 438 49,854 6,676
Available-for-sale equity securities 19 7 — — 19 7
Total securities with gross unrealized losses $ 48,311 $ 6,245 $1,562 $ 438 $ 49,873 $ 6,683
(a) Prior periods have been revised to conform to the current presentation.