JP Morgan Chase 2015 Annual Report Download - page 116

Management’s discussion and analysis
106 JPMorgan Chase & Co./2015 Annual Report
Treasury and CIO overview
Treasury and CIO are predominantly responsible for
measuring, monitoring, reporting and managing the Firm’s
liquidity, funding and structural interest rate and foreign
exchange risks, as well as executing the Firm’s capital plan.
The risks managed by Treasury and CIO arise from the
activities undertaken by the Firm’s four major reportable
business segments to serve their respective client bases,
which generate both on- and off-balance sheet assets and
liabilities.
Treasury and CIO achieve the Firm’s asset-liability
management objectives generally by investing in high-
quality securities that are managed for the longer-term as
part of the Firm’s investment securities portfolio. Treasury
and CIO also use derivatives to meet the Firm’s asset-
liability management objectives. For further information on
derivatives, see Note 6. The investment securities portfolio
primarily consists of U.S. and non-U.S. government
securities, agency and nonagency mortgage-backed
securities, other asset-backed securities, corporate debt
securities and obligations of U.S. states and municipalities.
At December 31, 2015, the investment securities portfolio
was $287.8 billion, and the average credit rating of the
securities comprising the portfolio was AA+ (based upon
external ratings where available and where not available,
based primarily upon internal ratings that correspond to
ratings as defined by S&P and Moody’s). See Note 12 for
further information on the details of the Firm’s investment
securities portfolio.
For further information on liquidity and funding risk, see
Liquidity Risk Management on pages 159–164. For
information on interest rate, foreign exchange and other
risks, Treasury and CIO VaR and the Firm’s earnings-at-risk,
see Market Risk Management on pages 133–139.
Selected income statement and balance sheet data
As of or for the year ended
December 31, (in millions) 2015 2014 2013
Securities gains $ 190 $ 71 $ 659
Investment securities portfolio
(average) (a) 314,802 349,285 353,712
Investment securities portfolio
(period–end)(b) 287,777 343,146 347,562
Mortgage loans (average) 2,501 3,308 5,145
Mortgage loans (period-end) 2,136 2,834 3,779
(a) Average investment securities included held-to-maturity balances of $50.0
billion and $47.2 billion for the years ended December 31, 2015 and 2014
respectively. The held-to-maturity balance for full year 2013 was not
material.
(b) Period-end investment securities included held-to-maturity securities of
$49.1 billion, $49.3 billion, $24.0 billion at December 31, 2015, 2014 and
2013, respectively.
Private equity portfolio information(a)
December 31, (in millions) 2015 2014 2013
Carrying value $ 2,103 $ 5,866 $ 7,868
Cost 3,798 6,281 8,491
(a) For more information on the Firm’s methodologies regarding the valuation
of the Private Equity portfolio, see Note 3. For information on the sale of a
portion of the Private Equity business completed on January 9, 2015, see
Note 2.
2015 compared with 2014
The carrying value of the private equity portfolio at
December 31, 2015 was $2.1 billion, down from $5.9
billion at December 31, 2014, driven by the sale of a
portion of the Private Equity business.
2014 compared with 2013
The carrying value of the private equity portfolio at
December 31, 2014 was $5.9 billion, down from $7.9
billion at December 31, 2013. The decrease in the portfolio
was predominantly driven by sales of investments, partially
offset by unrealized gains.