JP Morgan Chase 2014 Annual Report Download - page 236

Notes to consolidated financial statements
234 JPMorgan Chase & Co./2014 Annual Report
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2014, of JPMorgan Chase’s
investment securities portfolio by contractual maturity.
By remaining maturity
December 31, 2014
(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 $ 996 $ 14,132 $ 5,768 $ 112,702 $ 133,598
Fair value 1,003 14,467 5,974 115,878 137,322
Average yield(b) 2.65% 1.85% 3.12% 2.93% 2.82%
U.S. Treasury and government agencies(a)
Amortized cost $ 2,209 $ — $ 10,284 $ 1,110 $ 13,603
Fair value 2,215 — 10,275 1,155 13,645
Average yield(b) 0.80% —% 0.62% 0.35% 0.63%
Obligations of U.S. states and municipalities
Amortized cost $ 65 $ 498 $ 1,432 $ 25,846 $ 27,841
Fair value 66 515 1,508 27,979 30,068
Average yield(b) 2.13% 4.00% 4.93% 6.78% 6.63%
Certificates of deposit
Amortized cost $ 1,052 $ 51 $ — $ — $ 1,103
Fair value 1,050 53 — — 1,103
Average yield(b) 0.84% 3.28% —% —% 0.95%
Non-U.S. government debt securities
Amortized cost $ 13,559 $ 14,276 $ 21,220 $ 2,437 $ 51,492
Fair value 13,588 14,610 21,957 2,588 52,743
Average yield(b) 3.31% 2.04% 1.04% 1.19% 1.90%
Corporate debt securities
Amortized cost $ 3,830 $ 9,619 $ 4,523 $ 186 $ 18,158
Fair value 3,845 9,852 4,651 184 18,532
Average yield(b) 2.39% 2.40% 2.56% 3.43% 2.45%
Asset-backed securities
Amortized cost $ — $ 2,240 $ 17,439 $ 22,992 $ 42,671
Fair value — 2,254 17,541 23,014 42,809
Average yield(b) —% 1.66% 1.75% 1.73% 1.73%
Total available-for-sale debt securities
Amortized cost $ 21,711 $ 40,816 $ 60,666 $ 165,273 $ 288,466
Fair value 21,767 41,751 61,906 170,798 296,222
Average yield(b) 2.74% 2.06% 1.58% 3.32% 2.73%
Available-for-sale equity securities
Amortized cost $ — $ — $ — $ 2,513 $ 2,513
Fair value — — — 2,530 2,530
Average yield(b) —% —% —% 0.25% 0.25%
Total available-for-sale securities
Amortized cost $ 21,711 $ 40,816 $ 60,666 $ 167,786 $ 290,979
Fair value 21,767 41,751 61,906 173,328 298,752
Average yield(b) 2.74% 2.06% 1.58% 3.28% 2.71%
Total held-to-maturity securities
Amortized cost $ — $ 54 $ 487 $ 48,711 $ 49,252
Fair value — 54 512 50,588 51,154
Average yield(b) —% 4.33% 4.81% 3.98% 3.98%
(a) U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at
December 31, 2014.
(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, is approximately five
years for agency residential mortgage-backed securities, three years for agency residential collateralized mortgage obligations and four years for
nonagency residential collateralized mortgage obligations.