Effective January 1, 2020, the Firm adopted the CECL accounting guidance, which also amended the AFS securities impairment guidance. Refer to Note 1 for further information.

During 2020, the Firm transferred $164.2 billion of investment securities from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains of $5.0 billion on the securities at the dates of transfer.

Unrealized gains or losses at the date of transfer of these securities continue to be reported in AOCI and are amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the premium or discount resulting from the transfer recorded at fair value.

Transfers of securities from AFS to HTM are non-cash transactions and are recorded at fair value.

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.


	2020								2019
December 31, (in millions)	Amortized cost(e)		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost(e)		Gross unrealized gains		Gross unrealized losses		Fair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	$	110,979	$	2,372	$	50	$	113,301	$	107,811	$	2,395	$	89	$	110,117
Residential:
U.S.	6,246		224		3		6,467		10,223		233		6		10,450
Non-U.S.	3,751		20		5		3,766		2,477		64		1		2,540
Commercial	2,819		71		34		2,856		5,137		64		13		5,188
Total mortgage-backed securities	123,795		2,687		92		126,390		125,648		2,756		109		128,295
U.S. Treasury and government agencies	199,910		2,141		100		201,951		139,162		449		175		139,436
Obligations of U.S. states and municipalities	18,993		1,404		1		20,396		27,693		2,118		1		29,810
Certificates of deposit	—		—		—		—		77		—		—		77
Non-U.S. government debt securities	22,587		354		13		22,928		21,427		377		17		21,787
Corporate debt securities	215		4		3		216		823		22		—		845
Asset-backed securities:
Collateralized loan obligations	10,055		24		31		10,048		25,038		9		56		24,991
Other	6,174		91		16		6,249		5,438		40		20		5,458
Total available-for-sale securities(b)	381,729		6,705		256		388,178		345,306		5,771		378		350,699
Held-to-maturity securities(c)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	107,889		2,968		29		110,828		36,523		1,165		62		37,626
U.S. Residential	4,345		8		30		4,323		—		—		—		—
Commercial	2,602		77		—		2,679		—		—		—		—
Total mortgage-backed securities	114,836		3,053		59		117,830		36,523		1,165		62		37,626
U.S. Treasury and government agencies	53,184		50		—		53,234		51		—		1		50
Obligations of U.S. states and municipalities	12,751		519		—		13,270		4,797		299		—		5,096
Asset-backed securities:
Collateralized loan obligations	21,050		90		2		21,138		6,169		—		—		6,169
Total held-to-maturity securities, net of allowance for credit losses(d)	201,821		3,712		61		205,472		47,540		1,464		63		48,941
Total investment securities, net of allowance for credit losses(d)	$	583,550	$	10,417	$	317	$	593,650	$	392,846	$	7,235	$	441	$	399,640

(a)Includes AFS U.S. GSE obligations with fair values of $65.8 billion and $78.5 billion, and HTM U.S. GSE obligations with amortized cost of $86.3 billion and $31.6 billion, at December 31, 2020 and 2019, respectively. As of December 31, 2020, 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 were $95.7 billion and $98.8 billion, and $54.7 billion and $55.8 billion, respectively.

(b)There was no allowance for credit losses on AFS securities at December 31, 2020.

(c)The Firm purchased $12.4 billion, $13.4 billion and $9.4 billion of HTM securities for the years ended December 31, 2020, 2019 and 2018, respectively.

(d)HTM securities measured at amortized cost are reported net of allowance for credit losses of $78 million at December 31, 2020.

(e)Excludes $2.1 billion and $1.9 billion of accrued interest receivables at December 31, 2020 and 2019, respectively. The Firm did not reverse through interest income any accrued interest receivables for the years ended December 31, 2020 and 2019.

At December 31, 2020, 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 risk ratings). Risk ratings are used to identify the credit quality of securities and differentiate risk within the portfolio. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the economic environment) defined by S&P and Moody’s,

however the quantitative characteristics (e.g., probability of default (“PD”) and loss given default (“LGD”)) may differ as they reflect internal historical experiences and assumptions. Risk ratings are assigned at acquisition, are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary over the life of the investment for updated information affecting the issuer’s ability to fulfill its obligations.

AFS securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at December 31, 2020 and 2019. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $150 million and $264 million, at December 31, 2020 and 2019, respectively; changes in the value of these securities are generally driven by changes in interest rates rather than changes in their credit profile given the explicit or implicit guarantees provided by the U.S. government.


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 2020 (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:

Residential:
U.S.	$	562	$	3	$	32	$	—	$	594	$	3
Non-U.S.	2,507		4		235		1		2,742		5
Commercial	699		18		124		16		823		34
Total mortgage-backed securities	3,768		25		391		17		4,159		42

Obligations of U.S. states and municipalities	49		1		—		—		49		1
Certificates of deposit	—		—		—		—		—		—
Non-U.S. government debt securities	2,709		9		968		4		3,677		13
Corporate debt securities	91		3		5		—		96		3
Asset-backed securities:
Collateralized loan obligations	5,248		18		2,645		13		7,893		31
Other	268		1		685		15		953		16
Total available-for-sale securities with gross unrealized losses	$	12,133	$	57	$	4,694	$	49	$	16,827	$	106


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 31, 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:

Residential:
U.S.	$	1,072	$	3	$	423	$	3	$	1,495	$	6
Non-U.S.	13		—		420		1		433		1
Commercial	1,287		12		199		1		1,486		13
Total mortgage-backed securities	2,372		15		1,042		5		3,414		20

Obligations of U.S. states and municipalities	186		1		—		—		186		1
Certificates of deposit	77		—		—		—		77		—
Non-U.S. government debt securities	3,970		13		1,406		4		5,376		17
Corporate debt securities	—		—		—		—		—		—
Asset-backed securities:
Collateralized loan obligations	10,364		11		7,756		45		18,120		56
Other	1,639		9		753		11		2,392		20
Total available-for-sale securities with gross unrealized losses	$	18,608	$	49	$	10,957	$	65	$	29,565	$	114

As a result of the adoption of the amended AFS securities impairment guidance, an allowance for credit losses on AFS securities is required for impaired securities if a credit loss exists.

AFS securities are considered impaired if the fair value is less than the amortized cost.

The Firm recognizes impairment losses in earnings if the Firm has the intent to sell the debt security, or if it is more likely than not that the Firm will be required to sell the debt security before recovery of its amortized cost. In these circumstances the impairment loss recognized in investment securities gains/(losses) is equal to the full difference between the amortized cost (net of allowance if applicable) and the fair value of the securities.

For impaired debt securities that the Firm has the intent and ability to hold, the securities are evaluated to determine if a credit loss exists. If it is determined that a credit loss exists, that loss is recognized as an allowance for credit losses through the provision for credit losses in the Consolidated Statements of Income, limited by the amount of impairment. Any impairment not due to credit losses is recorded in OCI.

Factors considered in evaluating credit losses include adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; and payment structure of the security.

When assessing securities issued in a securitization for credit losses, the Firm estimates cash flows considering relevant market and economic data, underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the underlying collateral (“pool losses”) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss exists.

For beneficial interests in securitizations that are rated below “AA” at their acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment, the Firm evaluates impairment for credit losses when there is an adverse change in expected cash flows.

Allowance for credit losses

Based on its assessment, the Firm did not recognize an allowance for credit losses on impaired AFS securities as of January 1, 2020 or December 31, 2020.

HTM securities – credit risk

The adoption of the CECL accounting guidance requires management to estimate expected credit losses on HTM securities over the remaining expected life and recognize this estimate as an allowance for credit losses. As a result of the adoption of this guidance, the Firm recognized an allowance for credit losses on HTM obligations of U.S. states and municipalities of $10 million as a cumulative-effect adjustment to retained earnings as of January 1, 2020.

Credit quality indicator

The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At December 31, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 98% rated at least AA+.

Allowance for credit losses

The allowance for credit losses on HTM obligations of U.S. states and municipalities and commercial mortgage-backed securities is calculated by applying statistical credit loss factors (estimated PD and LGD) to the amortized cost. The credit loss factors are derived using a weighted average of five internally developed eight-quarter macroeconomic scenarios, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the forecast period. Refer to Note 13 for further information on the eight-quarter macroeconomic forecast.

The allowance for credit losses on HTM collateralized loan obligations and U.S. residential mortgage-backed securities

is calculated as the difference between the amortized cost and the present value of the cash flows expected to be collected, discounted at the security’s effective interest rate. These cash flow estimates are developed based on expectations of underlying collateral performance derived using the eight-quarter macroeconomic forecast and the single year straight-line interpolation, as well as considering the structural features of the security.

The application of different inputs and assumptions into the calculation of the allowance for credit losses is subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for credit losses on HTM securities.

The allowance for credit losses on HTM securities was $78 million as of December 31, 2020, reflecting $68 million recognized in the provision for credit losses for the year ended December 31, 2020.

Selected impacts of investment securities on the Consolidated statements of income


Year ended December 31, (in millions)	2020		2019		2018
Realized gains	$	3,080	$	650	$	211
Realized losses	(2,278)		(392)		(606)

Net investment securities gains/(losses)	$	802	$	258	$	(395)
Provision for credit losses	$	68	NA		NA

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at December 31, 2020, of JPMorgan Chase’s investment securities portfolio by contractual maturity.


By remaining maturity December 31, 2020 (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	$	—		$	741		$	7,797		$	115,257		$	123,795
Fair value	—			756			8,139			117,495			126,390
Average yield(a)	—		%	1.66		%	1.67		%	2.57		%	2.51		%
U.S. Treasury and government agencies
Amortized cost	$	33,633		$	110,033		$	46,827		$	9,417		$	199,910
Fair value	33,678			111,014			47,675			9,584			201,951
Average yield(a)	0.42		%	0.53		%	0.79		%	0.48		%	0.57		%
Obligations of U.S. states and municipalities
Amortized cost	$	33		$	203		$	1,047		$	17,710		$	18,993
Fair value	33			211			1,111			19,041			20,396
Average yield(a)	4.11		%	4.59		%	4.84		%	4.80		%	4.80		%




Non-U.S. government debt securities
Amortized cost	$	8,282		$	8,011		$	5,615		$	679		$	22,587
Fair value	8,297			8,225			5,726			680			22,928
Average yield(a)	1.25		%	1.70		%	0.68		%	0.17		%	1.24		%
Corporate debt securities
Amortized cost	$	—		$	141		$	74		$	—		$	215
Fair value	—			139			77			—			216
Average yield(a)	—		%	1.21		%	1.92		%	—		%	1.45		%
Asset-backed securities
Amortized cost	$	554		$	2,569		$	5,987		$	7,119		$	16,229
Fair value	554			2,591			5,990			7,162			16,297
Average yield(a)	1.31		%	2.00		%	1.33		%	1.48		%	1.50		%
Total available-for-sale securities








Amortized cost	$	42,502		$	121,698		$	67,347		$	150,182		$	381,729
Fair value	42,562			122,936			68,718			153,962			388,178
Average yield(a)	0.59		%	0.65		%	1.00		%	2.64		%	1.49		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	158		$	11,908		$	102,791		$	114,857
Fair value	—			160			12,707			104,963			117,830
Average yield(a)	—		%	1.56		%	2.42		%	2.94		%	2.88		%
U.S. Treasury and government agencies
Amortized cost	$	501		$	42,477		$	10,206		$	—		$	53,184
Fair value	501			42,511			10,222			—			53,234
Average yield(a)	1.86		%	0.60		%	0.94		%	—		%	0.67		%
Obligations of U.S. states and municipalities
Amortized cost	$	—		$	65		$	532		$	12,211		$	12,808
Fair value	—			67			565			12,638			13,270
Average yield(a)	—		%	3.09		%	3.57		%	3.62		%	3.62		%
Asset-backed securities
Amortized cost	$	—		$	—		$	11,617		$	9,433		$	21,050
Fair value	—			—			11,658			9,480			21,138
Average yield(a)	—		%	—		%	1.40		%	1.33		%	1.37		%
Total held-to-maturity securities
Amortized cost	$	501		$	42,700		$	34,263		$	124,435		$	201,899
Fair value	501			42,738			35,152			127,081			205,472
Average yield(a)	1.86		%	0.60		%	1.65		%	2.88		%	2.19		%

(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. However, for certain callable debt securities, the average yield is calculated to the earliest call date.

(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, 4 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.