JP Morgan Chase 2012 Annual Report Download - page 238

Notes to consolidated financial statements
248 JPMorgan Chase & Co./2012 Annual Report
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2012, of JPMorgan Chase’s AFS and
HTM securities by contractual maturity.
By remaining maturity
December 31, 2012
(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)
Amortized cost $ 102 $ 11,915 $ 10,568 $ 156,412 $ 178,997
Fair value 103 12,268 11,008 162,851 186,230
Average yield(b) 1.91% 1.94% 2.81% 3.15% 3.05%
U.S. Treasury and government agencies(a)
Amortized cost $ 7,779 $ 1,502 $ 1,651 $ 1,090 $ 12,022
Fair value 7,805 1,558 1,653 1,114 12,130
Average yield(b) 0.51% 2.29% 1.17% 0.78% 0.85%
Obligations of U.S. states and municipalities
Amortized cost $ 23 $ 436 $ 972 $ 18,445 $ 19,876
Fair value 23 471 1,033 20,184 21,711
Average yield(b) 3.45% 5.52% 4.08% 6.02% 5.91%
Certificates of deposit
Amortized cost $ 2,730 $ 51 $ — $ — $ 2,781
Fair value 2,729 54 — — 2,783
Average yield(b) 5.78% 3.28% —% —% 5.73%
Non-U.S. government debt securities
Amortized cost $ 18,248 $ 21,937 $ 22,870 $ 2,113 $ 65,168
Fair value 18,254 22,172 23,386 2,232 66,044
Average yield(b) 1.23% 2.03% 1.40% 1.65% 1.57%
Corporate debt securities
Amortized cost $ 5,605 $ 23,342 $ 8,899 $ 153 $ 37,999
Fair value 5,618 23,732 9,098 161 38,609
Average yield(b) 2.09% 2.37% 2.57% 3.99% 2.38%
Asset-backed securities
Amortized cost $ 500 $ 3,104 $ 17,129 $ 19,566 $ 40,299
Fair value 501 3,145 17,468 19,753 40,867
Average yield(b) 1.08% 2.10% 1.75% 2.09% 1.93%
Total available-for-sale debt securities
Amortized cost $ 34,987 $ 62,287 $ 62,089 $ 197,779 $ 357,142
Fair value 35,033 63,400 63,646 206,295 368,374
Average yield(b) 1.57% 2.17% 1.94% 3.29% 2.69%
Available-for-sale equity securities
Amortized cost $ — $ — $ — $ 2,750 $ 2,750
Fair value — — — 2,771 2,771
Average yield(b) —% —% —% 0.36% 0.36%
Total available-for-sale securities
Amortized cost $ 34,987 $ 62,287 $ 62,089 $ 200,529 $ 359,892
Fair value 35,033 63,400 63,646 209,066 371,145
Average yield(b) 1.57% 2.17% 1.94% 3.25% 2.67%
Total held-to-maturity securities
Amortized cost $ — $ 6 $ 1 $ — $ 7
Fair value — 7 1 — 8
Average yield(b) —% 6.85% 6.64% —% 6.83%
(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, 2012.
(b) Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each
security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging
derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly,
actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid.
(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 dealers in the market, is approximately three years for agency residential mortgage-backed securities, two years for agency residential collateralized
mortgage obligations and four years for nonagency residential collateralized mortgage obligations.