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, 2022, 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).

In April 2022, the Firm transferred $65.9 billion of investment securities from AFS to HTM for capital management purposes. AOCI included pretax unrealized losses of $4.7 billion on the securities at the date of transfer.

Refer to Note 10 of JPMorgan Chase’s 2021 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, 2022								December 31, 2021
(in millions)	Amortized cost(b)(c)		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost(b)(c)		Gross unrealized gains		Gross unrealized losses		Fair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies	$	94,270	$	311	$	4,681	$	89,900	$	72,800	$	736	$	993	$	72,543
Residential:
U.S.	1,970		3		39		1,934		2,128		38		2		2,164
Non-U.S.	3,572		15		6		3,581		3,882		25		1		3,906
Commercial	5,013		—		108		4,905		4,944		22		17		4,949
Total mortgage-backed securities	104,825		329		4,834		100,320		83,754		821		1,013		83,562
U.S. Treasury and government agencies	170,683		417		5,138		165,962		178,038		668		1,243		177,463
Obligations of U.S. states and municipalities	14,561		377		152		14,786		14,890		972		2		15,860

Non-U.S. government debt securities	16,463		58		220		16,301		16,163		92		46		16,209
Corporate debt securities	376		—		20		356		332		8		19		321
Asset-backed securities:
Collateralized loan obligations	10,554		4		85		10,473		9,674		6		18		9,662
Other	4,660		35		18		4,677		5,403		47		2		5,448


Total available-for-sale securities	322,122		1,220		10,467		312,875		308,254		2,614		2,343		308,525
Held-to-maturity securities(a)
Mortgage-backed securities:
U.S. GSEs and government agencies	98,079		258		5,117		93,220		102,556		1,400		853		103,103
U.S. Residential	9,377		1		462		8,916		7,316		1		106		7,211
Commercial	5,378		6		278		5,106		3,730		11		54		3,687
Total mortgage-backed securities	112,834		265		5,857		107,242		113,602		1,412		1,013		114,001
U.S. Treasury and government agencies	187,240		—		9,750		177,490		185,204		169		2,103		183,270
Obligations of U.S. states and municipalities	14,812		124		492		14,444		13,985		453		44		14,394
Asset-backed securities:
Collateralized loan obligations	49,569		25		375		49,219		48,869		75		22		48,922
Other	2,130		2		33		2,099		2,047		1		7		2,041
Total held-to-maturity securities	366,585		416		16,507		350,494		363,707		2,110		3,189		362,628
Total investment securities, net of allowance for credit losses	$	688,707	$	1,636	$	26,974	$	663,369	$	671,961	$	4,724	$	5,532	$	671,153

(a)The Firm purchased $13.2 billion and $31.3 billion of HTM securities for the three months ended March 31, 2022 and 2021, respectively.

(b)The amortized cost of investment securities is reported net of allowance for credit losses of $41 million and $42 million at March 31, 2022 and December 31, 2021, respectively.

(c)Excludes $2.0 billion and $1.9 billion of accrued interest receivables at March 31, 2022 and December 31, 2021, respectively. The Firm did not reverse through interest income any accrued interest receivables for the three months ended March 31, 2022 and 2021. Refer to Note 10 of JPMorgan Chase’s 2021 Form 10-K for further discussion of accounting policies for accrued interest receivables on investment securities.

AFS securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at March 31, 2022 and December 31, 2021. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $9.8 billion and $2.2 billion, at March 31, 2022 and December 31, 2021, 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, 2022 (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.	$	1,593	$	38	$	42	$	1	$	1,635	$	39
Non-U.S.	2,349		6		—		—		2,349		6
Commercial	4,406		86		336		22		4,742		108
Total mortgage-backed securities	8,348		130		378		23		8,726		153

Obligations of U.S. states and municipalities	1,456		152		—		—		1,456		152

Non-U.S. government debt securities	8,631		157		916		63		9,547		220
Corporate debt securities	264		3		45		17		309		20
Asset-backed securities:
Collateralized loan obligations	8,561		73		1,331		12		9,892		85
Other	2,900		15		156		3		3,056		18
Total available-for-sale securities with gross unrealized losses	$	30,160	$	530	$	2,826	$	118	$	32,986	$	648


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 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.	$	303	$	1	$	45	$	1	$	348	$	2
Non-U.S.	133		1		—		—		133		1
Commercial	2,557		5		349		12		2,906		17
Total mortgage-backed securities	2,993		7		394		13		3,387		20

Obligations of U.S. states and municipalities	120		2		—		—		120		2

Non-U.S. government debt securities	5,060		37		510		9		5,570		46
Corporate debt securities	166		1		46		18		212		19
Asset-backed securities:
Collateralized loan obligations	8,110		18		208		—		8,318		18
Other	89		—		178		2		267		2
Total available-for-sale securities with gross unrealized losses	$	16,538	$	65	$	1,336	$	42	$	17,874	$	107

HTM securities – credit risk

Credit quality indicator

The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At both March 31, 2022 and December 31, 2021, all HTM securities were rated investment grade and were current and accruing, with approximately 98% rated at least AA+.

Allowance for credit losses on investment securities

The allowance for credit losses on investment securities was $41 million and $94 million as of March 31, 2022 and 2021, respectively.

Refer to Note 10 of JPMorgan Chase’s 2021 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)	2022		2021
Realized gains	$	13	$	237
Realized losses	(407)		(223)


Investment securities gains/(losses)	$	(394)	$	14

Provision for credit losses	$	(1)	$	16

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at March 31, 2022, of JPMorgan Chase’s investment securities portfolio by contractual maturity.


By remaining maturity March 31, 2022 (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	$	5		$	3,740		$	4,314		$	96,768		$	104,827
Fair value	5			3,599			4,467			92,249			100,320
Average yield(a)	0.27		%	1.61		%	1.93		%	2.49		%	2.43		%
U.S. Treasury and government agencies
Amortized cost	$	11,814		$	136,391		$	14,640		$	7,838		$	170,683
Fair value	11,803			132,200			13,921			8,038			165,962
Average yield(a)	0.83		%	0.59		%	1.20		%	0.85		%	0.67		%
Obligations of U.S. states and municipalities
Amortized cost	$	13		$	144		$	1,408		$	12,996		$	14,561
Fair value	13			145			1,439			13,189			14,786
Average yield(a)	4.09		%	4.58		%	4.84		%	4.90		%	4.89		%




Non-U.S. government debt securities
Amortized cost	$	6,901		$	5,305		$	3,453		$	804		$	16,463
Fair value	6,907			5,276			3,313			805			16,301
Average yield(a)	2.67		%	2.58		%	1.12		%	1.09		%	2.24		%
Corporate debt securities
Amortized cost	$	—		$	362		$	14		$	—		$	376
Fair value	—			342			14			—			356
Average yield(a)	—		%	11.08		%	1.25		%	—		%	10.71		%
Asset-backed securities
Amortized cost	$	2,000		$	881		$	3,155		$	9,178		$	15,214
Fair value	1,999			875			3,145			9,131			15,150
Average yield(a)	1.48		%	1.89		%	1.34		%	1.59		%	1.54		%
Total available-for-sale securities
Amortized cost	$	20,733		$	146,823		$	26,984		$	127,584		$	322,124
Fair value	20,727			142,437			26,299			123,412			312,875
Average yield(a)	1.51		%	0.73		%	1.51		%	2.56		%	1.57		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	1,435		$	11,279		$	100,127		$	112,841
Fair value	—			1,379			10,774			95,089			107,242
Average yield(a)	—		%	1.88		%	2.38		%	2.82		%	2.77		%
U.S. Treasury and government agencies
Amortized cost	$	29,406		$	91,162		$	66,672		$	—		$	187,240
Fair value	29,221			86,797			61,472			—			177,490
Average yield(a)	0.58		%	0.74		%	1.26		%	—		%	0.90		%
Obligations of U.S. states and municipalities
Amortized cost	$	34		$	76		$	1,519		$	13,215		$	14,844
Fair value	34			72			1,526			12,812			14,444
Average yield(a)	3.75		%	2.78		%	3.79		%	3.82		%	3.81		%
Asset-backed securities
Amortized cost	$	—		$	—		$	13,503		$	38,196		$	51,699
Fair value	—			—			13,475			37,843			51,318
Average yield(a)	—		%	—		%	1.30		%	1.37		%	1.35		%
Total held-to-maturity securities
Amortized cost	$	29,440		$	92,673		$	92,973		$	151,538		$	366,624
Fair value	29,255			88,248			87,247			145,744			350,494
Average yield(a)	0.59		%	0.76		%	1.44		%	2.54		%	1.66		%

(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 7 years for agency residential MBS, 4 years for agency residential collateralized mortgage obligations and 5 years for nonagency residential collateralized mortgage obligations.