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 March 31, 2021, 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). Refer to Note 10 of JPMorgan Chase’s 2020 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.


	March 31, 2021								December 31, 2020
(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)	$	112,356	$	1,479	$	1,376	$	112,459	$	110,979	$	2,372	$	50	$	113,301
Residential:
U.S.	5,788		180		5		5,963		6,246		224		3		6,467
Non-U.S.	4,607		31		—		4,638		3,751		20		5		3,766
Commercial	3,004		52		27		3,029		2,819		71		34		2,856
Total mortgage-backed securities	125,755		1,742		1,408		126,089		123,795		2,687		92		126,390
U.S. Treasury and government agencies	195,423		1,586		2,225		194,784		199,910		2,141		100		201,951
Obligations of U.S. states and municipalities	18,651		1,276		5		19,922		18,993		1,404		1		20,396

Non-U.S. government debt securities	20,745		192		64		20,873		22,587		354		13		22,928
Corporate debt securities	210		4		4		210		215		4		3		216
Asset-backed securities:
Collateralized loan obligations	11,309		25		5		11,329		10,055		24		31		10,048
Other	6,663		79		7		6,735		6,174		91		16		6,249


Total available-for-sale securities(b)	378,756		4,904		3,718		379,942		381,729		6,705		256		388,178
Held-to-maturity securities(c)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	97,626		2,020		630		99,016		107,889		2,968		29		110,828
U.S. Residential	4,640		3		43		4,600		4,345		8		30		4,323
Commercial	2,826		19		8		2,837		2,602		77		—		2,679
Total mortgage-backed securities	105,092		2,042		681		106,453		114,836		3,053		59		117,830
U.S. Treasury and government agencies	76,107		13		1,575		74,545		53,184		50		—		53,234
Obligations of U.S. states and municipalities	12,658		389		52		12,995		12,751		519		—		13,270
Asset-backed securities:
Collateralized loan obligations	23,595		125		3		23,717		21,050		90		2		21,138
Total held-to-maturity securities, net of allowance for credit losses(d)	217,452		2,569		2,311		217,710		201,821		3,712		61		205,472
Total investment securities, net of allowance for credit losses(d)	$	596,208	$	7,473	$	6,029	$	597,652	$	583,550	$	10,417	$	317	$	593,650

(a)Includes AFS U.S. GSE obligations with fair values of $61.0 billion and $65.8 billion, and HTM U.S. GSE obligations with amortized cost of $78.8 billion and $86.3 billion, at March 31, 2021 and December 31, 2020, respectively. As of March 31, 2021, 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 $108.2 billion and $108.7 billion, and $31.9 billion and $32.3 billion, respectively.

(b)There was no allowance for credit losses on AFS securities at both March 31, 2021 and December 31, 2020.

(c)The Firm purchased $31.3 billion and $205 million of HTM securities for the three months ended March 31, 2021 and 2020, respectively.

(d)HTM securities measured at amortized cost are reported net of allowance for credit losses of $94 million and $78 million at March 31, 2021 and December 31, 2020, respectively.

(e)Excludes $1.8 billion and $2.1 billion of accrued interest receivables at March 31, 2021 and December 31, 2020, respectively. The Firm did not reverse through interest income any accrued interest receivables for the three months ended March 31, 2021 and 2020.

AFS securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at March 31, 2021 and December 31, 2020. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $3.6 billion and $150 million, at March 31, 2021 and December 31, 2020, 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
March 31, 2021 (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.	$	801	$	5	$	53	$	—	$	854	$	5
Non-U.S.	769		—		33		—		802		—
Commercial	501		12		344		15		845		27
Total mortgage-backed securities	2,071		17		430		15		2,501		32

Obligations of U.S. states and municipalities	218		5		—		—		218		5

Non-U.S. government debt securities	6,620		61		580		3		7,200		64
Corporate debt securities	52		3		42		1		94		4
Asset-backed securities:
Collateralized loan obligations	1,808		4		2,254		1		4,062		5
Other	325		1		489		6		814		7
Total available-for-sale securities with gross unrealized losses	$	11,094	$	91	$	3,795	$	26	$	14,889	$	117


	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

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

Allowance for credit losses

Based on its assessment, the Firm did not recognize an allowance for credit losses on impaired AFS securities as of March 31, 2021 and 2020.

HTM securities – credit risk

Credit quality indicator

The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At March 31, 2021 and December 31, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 97% and 98% rated at least AA+, respectively.

Allowance for credit losses

The allowance for credit losses on HTM securities was $94 million and $19 million as of March 31, 2021 and 2020, respectively.

Refer to Note 10 of JPMorgan Chase’s 2020 Form 10-K for further discussion of accounting policies for AFS and HTM securities.

Selected impacts of investment securities on the Consolidated statements of income


	Three months ended March 31,
(in millions)	2021		2020
Realized gains	$	237	$	1,095
Realized losses	(223)		(862)


Net investment securities gains	$	14	$	233

Provision for credit losses	$	16	$	9

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at March 31, 2021, of JPMorgan Chase’s investment securities portfolio by contractual maturity.


By remaining maturity March 31, 2021 (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	$	—		$	2,226		$	5,998		$	117,531		$	125,755
Fair value	—			2,251			6,283			117,555			126,089
Average yield(a)	—		%	1.40		%	1.79		%	2.50		%	2.44		%
U.S. Treasury and government agencies
Amortized cost	$	4,058		$	129,668		$	53,799		$	7,898		$	195,423
Fair value	4,088			129,830			52,724			8,142			194,784
Average yield(a)	0.95		%	0.52		%	0.95		%	0.54		%	0.65		%
Obligations of U.S. states and municipalities
Amortized cost	$	33		$	207		$	1,152		$	17,259		$	18,651
Fair value	33			214			1,219			18,456			19,922
Average yield(a)	4.16		%	4.74		%	4.96		%	4.96		%	4.96		%




Non-U.S. government debt securities
Amortized cost	$	7,029		$	5,581		$	4,511		$	3,624		$	20,745
Fair value	7,038			5,698			4,530			3,607			20,873
Average yield(a)	1.19		%	2.05		%	0.78		%	0.52		%	1.21		%
Corporate debt securities
Amortized cost	$	—		$	139		$	71		$	—		$	210
Fair value	—			136			74			—			210
Average yield(a)	—		%	1.18		%	1.89		%	—		%	1.42		%
Asset-backed securities
Amortized cost	$	1,544		$	1,995		$	6,812		$	7,621		$	17,972
Fair value	1,545			2,011			6,831			7,677			18,064
Average yield(a)	1.28		%	1.94		%	1.30		%	1.42		%	1.42		%
Total available-for-sale securities
Amortized cost	$	12,664		$	139,816		$	72,343		$	153,933		$	378,756
Fair value	12,704			140,140			71,661			155,437			379,942
Average yield(a)	1.13		%	0.62		%	1.11		%	2.57		%	1.52		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	423		$	11,858		$	92,851		$	105,132
Fair value	—			423			12,214			93,816			106,453
Average yield(a)	—		%	1.12		%	2.36		%	2.93		%	2.86		%
U.S. Treasury and government agencies
Amortized cost	$	1,318		$	42,176		$	32,613		$	—		$	76,107
Fair value	1,319			42,161			31,065			—			74,545
Average yield(a)	0.17		%	0.66		%	1.18		%	—		%	0.88		%
Obligations of U.S. states and municipalities
Amortized cost	$	—		$	65		$	688		$	11,959		$	12,712
Fair value	—			66			724			12,205			12,995
Average yield(a)	—		%	3.23		%	3.76		%	3.77		%	3.77		%
Asset-backed securities
Amortized cost	$	—		$	—		$	11,137		$	12,458		$	23,595
Fair value	—			—			11,192			12,525			23,717
Average yield(a)	—		%	—		%	1.34		%	1.33		%	1.33		%
Total held-to-maturity securities
Amortized cost	$	1,318		$	42,664		$	56,296		$	117,268		$	217,546
Fair value	1,319			42,650			55,195			118,546			217,710
Average yield(a)	0.17		%	0.67		%	1.49		%	2.84		%	2.05		%

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