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Investment Securities
 9 Months Ended
Sep. 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 September 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). Refer to Note 10 of JPMorgan Chase’s 2018 Form 10-K for additional information regarding the investment securities portfolio.

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
 
September 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. GSEs and government agencies(a)
$
103,086

$
2,556

$
61

 
$
105,581

 
$
69,026

$
594

$
974

 
$
68,646

Residential:
 
 
 
 
 
 
 
 
 
 
 
U.S.
10,083

273

6

 
10,350

 
5,877

79

31

 
5,925

Non-U.S.
2,490

64

2

 
2,552

 
2,529

72

6

 
2,595

Commercial
5,228

100

4

 
5,324

 
6,758

43

147

 
6,654

Total mortgage-backed securities
120,887

2,993

73

 
123,807

 
84,190

788

1,158

 
83,820

U.S. Treasury and government agencies
141,646

376

493

 
141,529

 
55,771

366

78

 
56,059

Obligations of U.S. states and municipalities
28,871

2,193

—

 
31,064

 
36,221

1,582

80

 
37,723

Certificates of deposit
74

—

—

 
74

 
75

—

—

 
75

Non-U.S. government debt securities
21,644

524

10

 
22,158

 
23,771

351

20

 
24,102

Corporate debt securities
1,596

39

1

 
1,634

 
1,904

23

9

 
1,918

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Collateralized loan obligations
27,942

18

52

 
27,908

 
19,612

1

176

 
19,437

Other
5,199

57

9

 
5,247

 
7,225

57

22

 
7,260

Total available-for-sale securities
347,859

6,200

638

 
353,421

 
228,769

3,168

1,543

 
230,394

Held-to-maturity securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies(a)
35,976

1,250

20

 
37,206

 
26,610

134

200

 
26,544

Total mortgage-backed securities
35,976

1,250

20

 
37,206

 
26,610

134

200

 
26,544

U.S. Treasury and government agencies

51

—

—

 
51

 
—

—

—

 
—

Obligations of U.S. states and municipalities
4,803

317

—

 
5,120

 
4,824

105

15

 
4,914

Total held-to-maturity securities
40,830

1,567

20

 
42,377

 
31,434

239

215

 
31,458

Total investment securities
$
388,689

$
7,767

$
658

 
$
395,798

 
$
260,203

$
3,407

$
1,758

 
$
261,852


(a)
Includes AFS U.S. GSE obligations with fair values of $78.8 billion and $50.7 billion, and HTM U.S. GSE obligations with amortized cost of $30.8 billion and $20.9 billion, at September 30, 2019, and December 31, 2018, respectively. As of September 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 $69.8 billion and $72.0 billion, and $37.8 billion and $38.8 billion, respectively.

Investment securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category at September 30, 2019, and December 31, 2018.
 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
September 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. GSEs and government agencies
$
8,505

$
37

 
$
2,952

$
24

$
11,457

$
61

Residential:
 
 
 
 
 
 
 
U.S. 
—

—

 
558

6

558

6

Non-U.S.
47

—

 
472

2

519

2

Commercial
752

4

 
165

—

917

4

Total mortgage-backed securities
9,304

41

 
4,147

32

13,451

73

U.S. Treasury and government agencies
84,152

489

 
540

4

84,692

493

Obligations of U.S. states and municipalities
41

—

 
23

—

64

—

Certificates of deposit
74

—

 
—

—

74

—

Non-U.S. government debt securities
3,189

6

 
1,357

4

4,546

10

Corporate debt securities
83

—

 
36

1

119

1

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
7,086

8

 
6,684

44

13,770

52

Other
506

3

 
1,598

6

2,104

9

Total available-for-sale securities
104,435

547

 
14,385

91

118,820

638

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. GSEs and government agencies
2,240

20

 
86

—

2,326

20

Total mortgage-backed securities
2,240

20

 
86

—

2,326

20

U.S. Treasury and government agencies

51

—

 
—

—

51

—

Obligations of U.S. states and municipalities
—

—

 
—

—

—

—

Total held-to-maturity securities
2,291

20

 
86

—

2,377

20

Total investment securities
 with gross unrealized losses
$
106,726

$
567

 
$
14,471

$
91

$
121,197

$
658


 
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. GSEs and 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. GSEs and government agencies
4,385

23

 
7,082

177

11,467

200

Total mortgage-backed securities
4,385

23

 
7,082

177

11,467

200

U.S. Treasury and government agencies

—

—

 
—

—

—

—

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 recognizes 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, 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 nine months ended September 30, 2019 and 2018. Accordingly, the Firm believes that the investment securities with an unrealized loss in AOCI as of September 30, 2019, are not other-than-temporarily impaired. Refer to Note 10 of JPMorgan Chase’s 2018 Form 10-K for additional information on other-than-temporary impairment.
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)
2019

2018

 
 
2019

2018

Realized gains
$
78

$
58

 
 
$
454

$
137

Realized losses
—

(103
)
 
 
(319
)
(507
)
OTTI losses(a)
—

(1
)
 
 
—

(1
)
Net investment securities gains/(losses)
$
78

$
(46
)
 
 
$
135

$
(371
)

(a) Represents OTTI losses recognized in income on investment securities the Firm intends to sell. Excludes realized losses on securities sold of $21 million for the nine months ended September 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 nine month periods ended September 30, 2019 and 2018.
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2019, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 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
$
14

$
59

$
10,230

$
110,584

 
$
120,887

Fair value
14

60

10,476

113,257

 
123,807

Average yield(a)
3.59
%
2.73
%
2.92
%
3.45
%
 
3.40
%
U.S. Treasury and government agencies








 
 
Amortized cost
$
10,904

$
95,139

$
25,557

$
10,046

 
$
141,646

Fair value
10,901

95,231

25,659

9,738

 
141,529

Average yield(a)
1.99
%
1.96
%
2.02
%
2.04
%
 
1.98
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
170

$
228

$
1,089

$
27,384

 
$
28,871

Fair value
172

236

1,135

29,521

 
31,064

Average yield(a)
3.32
%
4.00
%
5.60
%
4.94
%
 
4.95
%
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
$
6,342

$
11,580

$
3,416

$
306

 
$
21,644

Fair value
6,350

11,870

3,633

305

 
22,158

Average yield(a)
2.23
%
1.99
%
1.34
%
1.67
%
 
1.95
%
Corporate debt securities








 
 
Amortized cost
$
216

$
718

$
662

$
—

 
$
1,596

Fair value
218

737

679

—

 
1,634

Average yield(a)
4.83
%
3.91
%
3.78
%
—
%
 
3.98
%
Asset-backed securities








 
 
Amortized cost
$
—

$
1,873

$
9,411

$
21,857

 
$
33,141

Fair value
—

1,876

9,412

21,867

 
33,155

Average yield(a)
—
%
2.94
%
3.17
%
3.03
%
 
3.06
%
Total available-for-sale securities








 
 
Amortized cost
$
17,720

$
109,597

$
50,365

$
170,177

 
$
347,859

Fair value
17,729

110,010

50,994

174,688

 
353,421

Average yield(a)
2.12
%
2.00
%
2.47
%
3.55
%
 
2.83
%
Held-to-maturity securities








 
 
Mortgage-backed securities








 
 
Amortized cost
$
—

$
—

$
4,655

$
31,321

 
$
35,976

Fair value
—

—

5,049

32,157

 
37,206

Average yield(a)
—
%
—
%
3.29
%
3.12
%
 
3.14
%
U.S. Treasury and government agencies

 
 
 
 
 
 
Amortized cost

$
—

$
51

$
—

$
—

 
$
51

Fair value

—

51

—

—

 
51

Average yield(a)

—
%
1.47
%
—
%
—
%
 
1.47
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
—

$
—

$
55

$
4,748

 
$
4,803

Fair value
—

—

58

5,062

 
5,120

Average yield(a)
—
%
—
%
3.89
%
4.02
%
 
4.02
%
Total held-to-maturity securities








 
 
Amortized cost
$
—

$
51

$
4,710

$
36,069

 
$
40,830

Fair value
—

51

5,107

37,219

 
42,377

Average yield(a)
—
%
1.47
%
3.30
%
3.24
%
 
3.24
%
(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 5 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.