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Investment Securities
 9 Months Ended
Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment securities
Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in Note 2. Predominantly all of the Firm’s AFS and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities. At September 30, 2018, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). For additional information regarding the investment securities portfolio, refer to Note 10 of JPMorgan Chase’s 2017 Annual Report.
As a result of the adoption of the premium amortization accounting guidance in the first quarter of 2018, premiums
on purchased callable debt securities must be amortized to the earliest call date for debt securities with call features that are explicit, noncontingent and callable at fixed prices and on preset dates. The guidance primarily impacts obligations of U.S. states and municipalities held in the Firm’s investment securities portfolio. For additional information, refer to Note 17.
As permitted by the new hedge accounting guidance, the Firm also elected to transfer U.S. government agency MBS, commercial MBS, and obligations of U.S. states and municipalities with a carrying value of $22.4 billion from HTM to AFS in the first quarter of 2018. This transfer was a non-cash transaction. For additional information, refer to Note 17.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
 
September 30, 2018
 
December 31, 2017
(in millions)
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
 
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
Available-for-sale securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies(a) 
$
64,229

$
389

$
1,508

 
$
63,110

 
$
69,879

$
736

$
335

 
$
70,280

Residential:
 
 
 
 
 
 
 
 
 
 
 
U.S.
6,396

127

36

 
6,487

 
8,193

185

14

 
8,364

Non-U.S.
2,639

94

3

 
2,730

 
2,882

122

1

 
3,003

Commercial
7,151

79

182

 
7,048

 
4,932

98

5

 
5,025

Total mortgage-backed securities
80,415

689

1,729

 
79,375

 
85,886

1,141

355

 
86,672

U.S. Treasury and government agencies
27,526

486

196

 
27,816

 
22,510

266

31

 
22,745

Obligations of U.S. states and municipalities
36,659

1,580

118

 
38,121

 
30,490

1,881

33

 
32,338

Certificates of deposit
75

—

—

 
75

 
59

—

—

 
59

Non-U.S. government debt securities
24,398

321

45

 
24,674

 
26,900

426

32

 
27,294

Corporate debt securities
1,993

64

1

 
2,056

 
2,657

101

1

 
2,757

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Collateralized loan obligations
20,139

12

42

 
20,109

 
20,928

69

1

 
20,996

Other
7,761

70

27

 
7,804

 
8,764

77

24

 
8,817

Total available-for-sale debt securities
198,966

3,222

2,158

 
200,030

 
198,194

3,961

477

 
201,678

Available-for-sale equity securities(b)
—

—

—

 
—

 
547

—

—

 
547

Total available-for-sale securities
198,966

3,222

2,158

 
200,030

 
198,741

3,961

477

 
202,225

Held-to-maturity securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies(c)
26,537

5

493

 
26,049

 
27,577

558

40

 
28,095

Commercial
—

—

—

 
—

 
5,783

1

74

 
5,710

Total mortgage-backed securities
26,537

5

493

 
26,049

 
33,360

559

114

 
33,805

Obligations of U.S. states and municipalities
4,831

69

31

 
4,869

 
14,373

554

80

 
14,847

Total held-to-maturity securities
31,368

74

524

 
30,918

 
47,733

1,113

194

 
48,652

Total investment securities
$
230,334

$
3,296

$
2,682

 
$
230,948

 
$
246,474

$
5,074

$
671

 
$
250,877

(a)
Includes total U.S. government-sponsored enterprise obligations with fair values of $44.2 billion and $45.8 billion at September 30, 2018, and December 31, 2017, respectively.
(b)
Effective January 1, 2018, the Firm adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption.
(c)
Included total U.S. government-sponsored enterprise obligations with amortized cost of $20.6 billion and $22.0 billion at September 30, 2018, and December 31, 2017, respectively.

Investment securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category at September 30, 2018, and December 31, 2017.
 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
September 30, 2018 (in millions)
Fair value
Gross
unrealized losses
 
Fair value
Gross
unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. government agencies
$
37,109

$
988

 
$
10,492

$
520

$
47,601

$
1,508

Residential:
 
 
 
 
 
 
 
U.S. 
1,343

20

 
860

16

2,203

36

Non-U.S.
635

2

 
180

1

815

3

Commercial
914

11

 
3,018

171

3,932

182

Total mortgage-backed securities
40,001

1,021

 
14,550

708

54,551

1,729

U.S. Treasury and government agencies
4,556

100

 
1,416

96

5,972

196

Obligations of U.S. states and municipalities
4,171

63

 
1,291

55

5,462

118

Certificates of deposit
—

—

 
—

—

—

—

Non-U.S. government debt securities
4,237

16

 
1,798

29

6,035

45

Corporate debt securities
—

—

 
38

1

38

1

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
10,267

42

 
—

—

10,267

42

Other
2,018

6

 
2,545

21

4,563

27

Total available-for-sale securities
65,250

1,248

 
21,638

910

86,888

2,158

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. government agencies
22,131

356

 
2,595

137

24,726

493

Commercial
—

—

 
—

—

—

—

Total mortgage-backed securities
22,131

356

 
2,595

137

24,726

493

Obligations of U.S. states and municipalities
853

10

 
677

21

1,530

31

Total held-to-maturity securities
22,984

366

 
3,272

158

26,256

524

Total investment securities
 with gross unrealized losses
$
88,234

$
1,614

 
$
24,910

$
1,068

$
113,144

$
2,682


 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
December 31, 2017 (in millions)
Fair value
Gross
unrealized losses
 
Fair value
Gross
unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. government agencies
$
36,037

$
139

 
$
7,711

$
196

$
43,748

$
335

Residential:
 
 
 
 
 
 
 
U.S.
1,112

5

 
596

9

$
1,708

14

Non-U.S.
—

—

 
266

1

266

1

Commercial
528

4

 
335

1

863

5

Total mortgage-backed securities
37,677

148

 
8,908

207

46,585

355

U.S. Treasury and government agencies
1,834

11

 
373

20

2,207

31

Obligations of U.S. states and municipalities
949

7

 
1,652

26

2,601

33

Certificates of deposit
—

—

 
—

—

—

—

Non-U.S. government debt securities
6,500

15

 
811

17

7,311

32

Corporate debt securities
—

—

 
52

1

52

1

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
—

—

 
276

1

276

1

Other
3,521

20

 
720

4

4,241

24

Total available-for-sale securities
50,481

201

 
12,792

276

63,273

477

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. government agencies
4,070

38

 
205

2

4,275

40

Commercial
3,706

41

 
1,882

33

5,588

74

Total mortgage-backed securities
7,776

79

 
2,087

35

9,863

114

Obligations of U.S. states and municipalities
584

9

 
2,131

71

2,715

80

Total held-to-maturity securities
8,360

88

 
4,218

106

12,578

194

Total investment securities with gross unrealized losses
$
58,841

$
289

 
$
17,010

$
382

$
75,851

$
671


Gross unrealized losses
The Firm has recognized unrealized losses on investment securities that it intends to sell as OTTI. The Firm does not intend to sell any of the remaining investment securities with an unrealized loss in AOCI as of September 30, 2018, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities for which credit losses have been recognized in income, the Firm believes that the investment securities with an unrealized loss in AOCI as of September 30, 2018, are not other-than-temporarily impaired. For additional information on other-than-temporary impairment, refer to Note 10 of the JPMorgan Chase’s 2017 Annual Report.
Investment securities gains and losses
The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2018

2017

 
2018

2017

Realized gains
$
58

$
122

 
$
137

$
664

Realized losses
(103
)
(123
)
 
(507
)
(696
)
OTTI losses
(1
)
—

 
(1
)
(6
)
Net investment securities losses
$
(46
)
$
(1
)
 
$
(371
)
$
(38
)
 
 
 
 
 
 
OTTI losses
 
 
 
 
 
Credit-related losses recognized in income
$
—

$
—

 
$
—

$
—

Investment securities the Firm intends to sell(a)
(1
)
—

 
(1
)
(6
)
Total OTTI losses recognized in income
$
(1
)
$
—

 
$
(1
)
$
(6
)

(a)
Excludes realized losses on securities sold of $21 million and $6 million for the nine months ended September 30, 2018 and 2017 that had been previously reported as an OTTI loss due to the intention to sell the securities.
Changes in the credit loss component of credit-impaired debt securities
The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS securities that the Firm does not intend to sell was not material as of and during the nine month periods ended September 30, 2018 and 2017.
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2018, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 30, 2018 (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 securities
 
 
 
 
 
 
Mortgage-backed securities(a)
 
 
 
 
 
 
Amortized cost
$
258

$
377

$
5,746

$
74,034

 
$
80,415

Fair value
260

379

5,827

72,909

 
79,375

Average yield(b)
1.84
%
2.45
%
3.44
%
3.48
%
 
3.46
%
U.S. Treasury and government agencies








 
 
Amortized cost
$
84

$
8,565

$
13,644

$
5,233

 
$
27,526

Fair value
85

8,673

13,533

5,525

 
27,816

Average yield(b)
2.12
%
2.70
%
2.53
%
2.91
%
 
2.66
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
103

$
715

$
2,783

$
33,058

 
$
36,659

Fair value
104

728

2,872

34,417

 
38,121

Average yield(b)
2.07
%
3.89
%
5.05
%
5.01
%
 
4.98
%
Certificates of deposit








 
 
Amortized cost
$
75

$
—

$
—

$
—

 
$
75

Fair value
75

—

—

—

 
75

Average yield(b)
0.49
%
—
%
—
%
—
%
 
0.49
%
Non-U.S. government debt securities








 
 
Amortized cost
$
4,289

$
14,711

$
5,398

$
—

 
$
24,398

Fair value
4,289

14,886

5,499

—

 
24,674

Average yield(b)
3.00
%
1.86
%
1.30
%
—
%
 
1.94
%
Corporate debt securities








 
 
Amortized cost
$
70

$
914

$
872

$
137

 
$
1,993

Fair value
70

936

905

145

 
2,056

Average yield(b)
4.04
%
4.40
%
4.57
%
4.73
%
 
4.48
%
Asset-backed securities








 
 
Amortized cost
$
—

$
3,537

$
5,345

$
19,018

 
$
27,900

Fair value
—

3,515

5,347

19,051

 
27,913

Average yield(b)
—
%
2.83
%
3.19
%
3.04
%
 
3.04
%
Total available-for-sale securities








 
 
Amortized cost
$
4,879

$
28,819

$
33,788

$
131,480

 
$
198,966

Fair value
4,883

29,117

33,983

132,047

 
200,030

Average yield(b)
2.88
%
2.37
%
2.85
%
3.78
%
 
3.39
%
Held-to-maturity securities








 
 
Mortgage-backed securities(a)








 
 
Amortized cost
$
—

$
—

$
2,765

$
23,772

 
$
26,537

Fair value
—

—

2,725

23,324

 
26,049

Average yield(b)
—
%
—
%
3.52
%
3.33
%
 
3.35
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
—

$
—

$
20

$
4,811

 
$
4,831

Fair value
—

—

20

4,849

 
4,869

Average yield(b)
—
%
—
%
3.90
%
4.11
%
 
4.11
%
Total held-to-maturity securities








 
 
Amortized cost
$
—

$
—

$
2,785

$
28,583

 
$
31,368

Fair value
—

—

2,745

28,173

 
30,918

Average yield(b)
—
%
—
%
3.53
%
3.46
%
 
3.47
%
(a)
As of September 30, 2018, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $51.2 billion and $50.6 billion, respectively.
(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 investment securities with no stated maturity. Substantially all of the Firm’s U.S. residential MBS 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 7 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.