JP Morgan Chase 2013 Annual Report Download - page 248

Notes to consolidated financial statements
254 JPMorgan Chase & Co./2013 Annual Report
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2013, of JPMorgan Chase’s
investment securities portfolio by contractual maturity.
By remaining maturity
December 31, 2013
(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 $ 209 $ 13,689 $ 8,239 $ 131,282 $ 153,419
Fair value 210 14,117 8,489 133,893 156,709
Average yield(b) 2.17% 2.10% 2.83% 2.93% 2.85%
U.S. Treasury and government agencies(a)
Amortized cost $ 8,781 $ 10,246 $ 1,425 $ 858 $ 21,310
Fair value 8,792 10,257 1,425 915 21,389
Average yield(b) 0.36% 0.39% 0.34% 0.59% 0.38%
Obligations of U.S. states and municipalities
Amortized cost $ 57 $ 479 $ 1,644 $ 27,561 $ 29,741
Fair value 58 505 1,664 27,234 29,461
Average yield(b) 3.12% 4.91% 4.27% 6.19% 6.06%
Certificates of deposit
Amortized cost $ 990 $ 51 $ — $ — $ 1,041
Fair value 988 53 — — 1,041
Average yield(b) 6.37% 3.28% —% —% 6.22%
Non-U.S. government debt securities
Amortized cost $ 11,210 $ 16,999 $ 24,735 $ 2,563 $ 55,507
Fair value 11,223 17,191 25,166 2,668 56,248
Average yield(b) 2.72% 2.26% 1.39% 1.64% 1.94%
Corporate debt securities
Amortized cost $ 2,871 $ 12,318 $ 5,854 $ — $ 21,043
Fair value 2,873 12,638 6,001 — 21,512
Average yield(b) 1.94% 2.41% 2.60% —% 2.40%
Asset-backed securities
Amortized cost $ 42 $ 2,412 $ 15,135 $ 22,603 $ 40,192
Fair value 42 2,438 15,258 22,737 40,475
Average yield(b) 2.17% 1.98% 1.74% 1.80% 1.79%
Total available-for-sale debt securities
Amortized cost $ 24,160 $ 56,194 $ 57,032 $ 184,867 $ 322,253
Fair value 24,186 57,199 58,003 187,447 326,835
Average yield(b) 1.91% 1.93% 1.87% 3.25% 2.67%
Available-for-sale equity securities
Amortized cost $ — $ — $ — $ 3,125 $ 3,125
Fair value — — — 3,142 3,142
Average yield(b) —% —% —% 0.20% 0.20%
Total available-for-sale securities
Amortized cost $ 24,160 $ 56,194 $ 57,032 $ 187,992 $ 325,378
Fair value 24,186 57,199 58,003 190,589 329,977
Average yield(b) 1.91% 1.93% 1.87% 3.20% 2.65%
Total held-to-maturity securities
Amortized cost $ — $ 3 $ 1 $ 24,022 $ 24,026
Fair value — 4 1 23,726 23,731
Average yield(b) —% 6.86% 6.48% 3.53% 3.53%
(a) U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at
December 31, 2013.
(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 five years for agency residential mortgage-backed securities, two years for agency residential collateralized
mortgage obligations and three years for nonagency residential collateralized mortgage obligations.