JP Morgan Chase 2010 Annual Report Download - page 215

JPMorgan Chase & Co./2010 Annual Report 215
The amortized costs and estimated fair values of AFS and HTM securities were as follows at December 31, 2010 and 2009.
2010
2009
December 31, (in millions)
Amortized
cost
Gross
unrealized
gains
Gro
ss
unrealized
losses
Fair
value Amortized cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair.
value
Available
-
for
-
sale debt secur
i
ties
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 secur
i
ties
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
20,7
77
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 recog-
nized in income at December 31, 2010 and 2009, respectively. These unrealized losses are not credit-related and remain reported in AOCI.