JP Morgan Chase 2009 Annual Report Download - page 201

JPMorgan Chase & Co./2009 Annual Report 199
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2009, of JPMorgan Chase’s AFS and HTM securities
by contractual maturity.
2009
By remaining maturity
December 31, (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(b)
Amortized cost $ 1 $ 321 $ 6,707 $ 178,840 $ 185,869
Fair value 1 335 6,804 180,146 187,286
Average yield(a) 3.40% 5.17% 4.75% 4.54% 4.54 %
U.S. Treasury and government agencies(b)
Amortized cost $ 307 $ 23,985 $ 5,527 $ 225 $ 30,044
Fair value 307 24,044 5,423 223 29,997
Average yield(a) 0.34% 2.34% 3.34% 5.38% 2.53 %
Obligations of U.S. states and municipalities
Amortized cost $ 14 $ 249 $ 353 $ 5,654 $ 6,270
Fair value 14 260 364 5,899 6,537
Average yield(a) 0.25% 4.80% 5.13% 4.75% 4.75
%
Certificates of deposit
Amortized cost $ 2,649 — — — $ 2,649
Fair value 2,650 — — — 2,650
Average yield(a) 3.12% — — — 3.12
%
Non-U.S. government debt securities
Amortized cost $ 10,726 $ 12,830 $ 616 $ 148 $ 24,320
Fair value 10,732 12,994 627 150 24,503
Average yield(a) 0.95% 2.13% 3.21% 1.71% 1.64
%
Corporate debt securities
Amortized cost $ 6,694 $ 53,081 $ 1,253 $ 198 $ 61,226
Fair value 6,786 53,706 1,308 208 62,008
Average yield(a) 1.78% 2.15% 5.88% 6.15% 2.19
%
Asset-backed securities
Amortized cost $ 13,826 $ 8,365 $ 10,386 $ 11,580 $ 44,157
Fair value 13,902 8,646 10,507 11,630 44,685
Average yield(a) 2.04% 1.70% 1.38% 1.43% 1.66
%
Total available-for-sale debt securities
Amortized cost $ 34,217 $ 98,831 $ 24,842 $ 196,645 $ 354,535
Fair value 34,392 99,985 25,033 198,256 357,666
Average yield(a) 1.72% 2.17% 3.05% 4.36% 3.40
%
Available-for-sale equity securities
Amortized cost — — — $ 2,518 $ 2,518
Fair value — — — 2,699 2,699
Average yield(a) — — — 0.42% 0.42 %
Total available-for-sale securities
Amortized cost $ 34,217 $ 98,831 $ 24,842 $ 199,163 $ 357,053
Fair value 34,392 99,985 25,033 200,955 360,365
Average yield(a) 1.72% 2.17% 3.05% 4.31% 3.38 %
Total held-to-maturity securities
Amortized cost — $ 3 $ 20 $ 2 $ 25
Fair value — 3 22 2 27
Average yield(a) — 6.96% 6.87% 6.49% 6.85
%
(a) 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 available-for-sale securities
and the amortization of premiums and accretion of discounts) by total amortized cost. Taxable-equivalent yields are used where applicable.
(b) 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, 2009.
(c) Includes securities with no stated maturity. Substantially all of the Firm’s 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 nonagency mortgage-backed securities and three years for collateralized mortgage obligations.