JP Morgan Chase 2010 Annual Report Download - page 218

Notes to consolidated financial statements
218 JPMorgan Chase & Co./2010 Annual Report
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2010, of JPMorgan Chase’s AFS and HTM securities
by contractual maturity.
By remaining maturity
December 31, 2010 (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
)
Amortiz
ed cost
$
15
$
259
$
2,781
$
16
8
,
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
$
11,73
2
Fair value
39
16
7
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
:
A
mortized 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
$
6
6,403
$
27,
385
$
192,801
$
310,347
Fair value
23,853
66,72
8
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
197,7
75
316,318
Average yield
(b)
2.56% 2.24% 3.23% 3.78% 3.31
%
Total held
-
to
-
maturity securities
Amortized cost
$
—
$
6
$
1
1
$
1
$
1
8
Fair value
—
6
1
2
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 deal-
ers 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.