JP Morgan Chase 2015 Annual Report Download - page 247

JPMorgan Chase & Co./2015 Annual Report 237
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2015, of JPMorgan Chase’s
investment securities portfolio by contractual maturity.
By remaining maturity
December 31, 2015
(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 $ 2,415 $ 9,728 $ 6,562 $ 85,275 $ 103,980
Fair value 2,421 9,886 6,756 86,519 105,582
Average yield(b) 1.48% 1.86% 3.15% 3.08% 2.93%
U.S. Treasury and government agencies(a)
Amortized cost $ — $ — $ 10,069 $ 1,133 $ 11,202
Fair value — — 9,932 1,104 11,036
Average yield(b) —% —% 0.31% 0.48% 0.33%
Obligations of U.S. states and municipalities
Amortized cost $ 184 $ 754 $ 1,520 $ 28,870 $ 31,328
Fair value 187 774 1,600 30,989 33,550
Average yield(b) 5.21% 3.50% 5.57% 6.68% 6.54%
Certificates of deposit
Amortized cost $ 230 $ 52 $ — $ — $ 282
Fair value 231 52 — — 283
Average yield(b) 8.66% 3.28% —% —% 7.68%
Non-U.S. government debt securities
Amortized cost $ 6,126 $ 11,177 $ 16,575 $ 1,986 $ 35,864
Fair value 6,422 11,429 16,747 2,078 36,676
Average yield(b) 3.11% 1.84% 1.06% 0.67% 1.63%
Corporate debt securities
Amortized cost $ 2,761 $ 7,175 $ 2,385 $ 143 $ 12,464
Fair value 2,776 7,179 2,347 134 12,436
Average yield(b) 2.87% 2.32% 3.09% 4.46% 2.61%
Asset-backed securities
Amortized cost $ 39 $ 442 $ 20,501 $ 19,289 $ 40,271
Fair value 40 449 20,421 19,194 40,104
Average yield(b) 0.71% 1.72% 1.79% 1.84% 1.81%
Total available-for-sale debt securities
Amortized cost $ 11,755 $ 29,328 $ 57,612 $ 136,696 $ 235,391
Fair value 12,077 29,769 57,803 140,018 239,667
Average yield(b) 2.85% 2.00% 1.63% 3.61% 2.89%
Available-for-sale equity securities
Amortized cost $ — $ — $ — $ 2,067 $ 2,067
Fair value — — — 2,087 2,087
Average yield(b) —% —% —% 0.30% 0.30%
Total available-for-sale securities
Amortized cost $ 11,755 $ 29,328 $ 57,612 $ 138,763 $ 237,458
Fair value 12,077 29,769 57,803 142,105 241,754
Average yield(b) 2.85% 2.00% 1.63% 3.56% 2.87%
Total held-to-maturity securities
Amortized cost $ 51 $ — $ 931 $ 48,091 $ 49,073
Fair value 50 — 976 49,561 50,587
Average yield(b) 4.42% —% 5.01% 3.98% 4.00%
(a) U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at
December 31, 2015.
(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 weighted-average life, which reflects anticipated future prepayments, is
approximately five years for agency residential mortgage-backed securities, two years for agency residential collateralized mortgage obligations and four
years for nonagency residential collateralized mortgage obligations.