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Investment Securities
 6 Months Ended
Jun. 30, 2019
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 June 30, 2019, 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 2018 Form 10-K.

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
 
June 30, 2019
 
December 31, 2018
(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)
$
94,723

$
1,979

$
86

 
$
96,616

 
$
69,026

$
594

$
974

 
$
68,646

Residential:
 
 
 
 
 
 
 
 
 
 
 
U.S.
9,872

272

5

 
10,139

 
5,877

79

31

 
5,925

Non-U.S.
2,534

69

2

 
2,601

 
2,529

72

6

 
2,595

Commercial
5,910

90

11

 
5,989

 
6,758

43

147

 
6,654

Total mortgage-backed securities
113,039

2,410

104

 
115,345

 
84,190

788

1,158

 
83,820

U.S. Treasury and government agencies
73,919

240

169

 
73,990

 
55,771

366

78

 
56,059

Obligations of U.S. states and municipalities
29,869

2,033

1

 
31,901

 
36,221

1,582

80

 
37,723

Certificates of deposit
74

—

—

 
74

 
75

—

—

 
75

Non-U.S. government debt securities
22,017

483

8

 
22,492

 
23,771

351

20

 
24,102

Corporate debt securities
1,736

44

2

 
1,778

 
1,904

23

9

 
1,918

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Collateralized loan obligations
24,827

16

62

 
24,781

 
19,612

1

176

 
19,437

Other
5,945

61

10

 
5,996

 
7,225

57

22

 
7,260

Total available-for-sale securities
271,426

5,287

356

 
276,357

 
228,769

3,168

1,543

 
230,394

Held-to-maturity securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies(a)
26,097

915

12

 
27,000

 
26,610

134

200

 
26,544

Total mortgage-backed securities
26,097

915

12

 
27,000

 
26,610

134

200

 
26,544

Obligations of U.S. states and municipalities
4,810

262

—

 
5,072

 
4,824

105

15

 
4,914

Total held-to-maturity securities
30,907

1,177

12

 
32,072

 
31,434

239

215

 
31,458

Total investment securities
$
302,333

$
6,464

$
368

 
$
308,429

 
$
260,203

$
3,407

$
1,758

 
$
261,852


(a)
Includes AFS U.S. government-sponsored enterprise obligations with fair values of $69.8 billion and $50.7 billion, and HTM U.S. government-sponsored enterprise obligations with amortized cost of $20.7 billion and $20.9 billion, at June 30, 2019, and December 31, 2018, respectively. As of June 30, 2019, mortgage-backed securities issued by Fannie Mae and Freddie Mac each exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $59.7 billion and $61.4 billion, and $29.2 billion and $30.0 billion, respectively.

Investment securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category at June 30, 2019, and December 31, 2018.
 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
June 30, 2019 (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
$
5,701

$
48

 
$
5,704

$
38

$
11,405

$
86

Residential:
 
 
 
 
 
 
 
U.S. 
3

—

 
681

5

684

5

Non-U.S.
122

—

 
559

2

681

2

Commercial
420

1

 
843

10

1,263

11

Total mortgage-backed securities
6,246

49

 
7,787

55

14,033

104

U.S. Treasury and government agencies
38,553

169

 
—

—

38,553

169

Obligations of U.S. states and municipalities
—

—

 
205

1

205

1

Certificates of deposit
74

—

 
—

—

74

—

Non-U.S. government debt securities
3,923

5

 
897

3

4,820

8

Corporate debt securities
47

—

 
115

2

162

2

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
7,766

16

 
6,034

46

13,800

62

Other
604

3

 
2,055

7

2,659

10

Total available-for-sale securities
57,213

242

 
17,093

114

74,306

356

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. government agencies
1

—

 
2,747

12

2,748

12

Total mortgage-backed securities
1

—

 
2,747

12

2,748

12

Obligations of U.S. states and municipalities
—

—

 
—

—

—

—

Total held-to-maturity securities
1

—

 
2,747

12

2,748

12

Total investment securities
 with gross unrealized losses
$
57,214

$
242

 
$
19,840

$
126

$
77,054

$
368


 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
December 31, 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
$
17,656

$
318

 
$
22,728

$
656

$
40,384

$
974

Residential:
 
 
 
 
 
 
 
U.S.
623

4

 
1,445

27

2,068

31

Non-U.S.
907

5

 
165

1

1,072

6

Commercial
974

6

 
3,172

141

4,146

147

Total mortgage-backed securities
20,160

333

 
27,510

825

47,670

1,158

U.S. Treasury and government agencies
4,792

7

 
2,391

71

7,183

78

Obligations of U.S. states and municipalities
1,808

15

 
2,477

65

4,285

80

Certificates of deposit
75

—

 
—

—

75

—

Non-U.S. government debt securities
3,123

5

 
1,937

15

5,060

20

Corporate debt securities
478

8

 
37

1

515

9

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
18,681

176

 
—

—

18,681

176

Other
1,208

6

 
2,354

16

3,562

22

Total available-for-sale securities
50,325

550

 
36,706

993

87,031

1,543

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. government agencies
4,385

23

 
7,082

177

11,467

200

Total mortgage-backed securities
4,385

23

 
7,082

177

11,467

200

Obligations of U.S. states and municipalities
12

—

 
1,114

15

1,126

15

Total held-to-maturity securities
4,397

23

 
8,196

192

12,593

215

Total investment securities with gross unrealized losses
$
54,722

$
573

 
$
44,902

$
1,185

$
99,624

$
1,758


Other-than-temporary impairment
The Firm does not intend to sell any investment securities with an unrealized loss in AOCI as of June 30, 2019, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Further, the Firm did not recognize any credit-related OTTI losses during the six months ended June 30, 2019 and 2018. Accordingly, the Firm believes that the investment securities with an unrealized loss in AOCI as of June 30, 2019, are not other-than-temporarily impaired. For additional information on other-than-temporary impairment, refer to Note 10 of JPMorgan Chase’s 2018 Form 10-K.
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 June 30,
 
 
Six months ended June 30,
(in millions)
2019

2018

 
 
2019

2018

Realized gains
$
115

$
9

 
 
$
376

$
79

Realized losses
(71
)
(88
)
 
 
(319
)
(403
)
OTTI losses(a)
—

(1
)
 
 
—

(1
)
Net investment securities gains/(losses)
$
44

$
(80
)
 
 
$
57

$
(325
)

(a) Represents OTTI losses recognized in income on investment securities the Firm intends to sell. Excludes realized losses on securities sold of $20 million for the six months ended June 30, 2018 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 was not material as of and during the six month periods ended June 30, 2019 and 2018.
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at June 30, 2019, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
June 30, 2019 (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(b)
 
Total
Available-for-sale securities
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
Amortized cost
$
287

$
89

$
9,642

$
103,021

 
$
113,039

Fair value
287

90

9,827

105,141

 
115,345

Average yield(a)
2.27
%
2.55
%
3.18
%
3.50
%
 
3.47
%
U.S. Treasury and government agencies








 
 
Amortized cost
$
4,550

$
42,673

$
18,309

$
8,387

 
$
73,919

Fair value
4,551

42,760

18,385

8,294

 
73,990

Average yield(a)
2.55
%
2.53
%
2.34
%
2.55
%
 
2.49
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
158

$
410

$
1,317

$
27,984

 
$
29,869

Fair value
159

417

1,365

29,960

 
31,901

Average yield(a)
2.83
%
4.27
%
5.69
%
4.99
%
 
5.00
%
Certificates of deposit








 
 
Amortized cost
$
74

$
—

$
—

$
—

 
$
74

Fair value
74

—

—

—

 
74

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








 
 
Amortized cost
$
6,497

$
11,961

$
3,559

$
—

 
$
22,017

Fair value
6,504

12,246

3,742

—

 
22,492

Average yield(a)
2.38
%
1.94
%
1.20
%
—
%
 
1.95
%
Corporate debt securities








 
 
Amortized cost
$
120

$
910

$
561

$
145

 
$
1,736

Fair value
121

932

572

153

 
1,778

Average yield(a)
4.89
%
4.34
%
4.12
%
4.58
%
 
4.33
%
Asset-backed securities








 
 
Amortized cost
$
—

$
2,345

$
8,197

$
20,230

 
$
30,772

Fair value
—

2,348

8,195

20,234

 
30,777

Average yield(a)
—
%
2.91
%
3.32
%
3.27
%
 
3.25
%
Total available-for-sale securities








 
 
Amortized cost
$
11,686

$
58,388

$
41,585

$
159,767

 
$
271,426

Fair value
11,696

58,793

42,086

163,782

 
276,357

Average yield(a)
2.46
%
2.46
%
2.76
%
3.68
%
 
3.23
%
Held-to-maturity securities








 
 
Mortgage-backed securities








 
 
Amortized cost
$
—

$
—

$
4,293

$
21,804

 
$
26,097

Fair value
—

—

4,576

22,424

 
27,000

Average yield(a)
—
%
—
%
3.37
%
3.33
%
 
3.34
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
—

$
—

$
32

$
4,778

 
$
4,810

Fair value
—

—

34

5,038

 
5,072

Average yield(a)
—
%
—
%
3.82
%
4.02
%
 
4.01
%
Total held-to-maturity securities








 
 
Amortized cost
$
—

$
—

$
4,325

$
26,582

 
$
30,907

Fair value
—

—

4,610

27,462

 
32,072

Average yield(a)
—
%
—
%
3.38
%
3.45
%
 
3.44
%
(a)
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.
(b)
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 6 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.