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Notes to consolidated financial statements
216 JPMorgan Chase & Co./2010 Annual Report
Securities impairment
The following table presents the fair value and gross unrealized losses for AFS securities by aging category at December 31, 2010 and 2009.
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
6,9
6
0
28
—
—
6,9
6
0
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,
09
2
504
97,2
4
5
2,019
Available-for-sale equity securities
—
—
2
6
2
6
Total securities with gross unrealized losses
$
88,153
$
1,515
$
9,
09
4
$
510
$
97,2
4
7
$
2,025
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. go
vernment 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 loan oblig
a
tions
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