Investment Securities (Tables)

6 Months Ended

Jun. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Amortized costs and estimated fair values

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

	June 30, 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	$	68,511	$	252	$	5,074	$	63,689	$	72,800	$	736	$	993	$	72,543
Residential:
U.S.	1,764		1		55		1,710		2,128		38		2		2,164
Non-U.S.	3,776		9		20		3,765		3,882		25		1		3,906
Commercial	2,271		—		118		2,153		4,944		22		17		4,949
Total mortgage-backed securities	76,322		262		5,267		71,317		83,754		821		1,013		83,562
U.S. Treasury and government agencies	113,811		323		4,150		109,984		178,038		668		1,243		177,463
Obligations of U.S. states and municipalities	10,381		98		346		10,133		14,890		972		2		15,860
Non-U.S. government debt securities	16,223		36		451		15,808		16,163		92		46		16,209
Corporate debt securities	353		—		34		319		332		8		19		321
Asset-backed securities:
Collateralized loan obligations	11,268		1		297		10,972		9,674		6		18		9,662
Other	3,546		23		33		3,536		5,403		47		2		5,448
Total available-for-sale securities	231,904		743		10,578		222,069		308,254		2,614		2,343		308,525
Held-to-maturity securities(a)
Mortgage-backed securities:
U.S. GSEs and government agencies	117,088		7		8,734		108,361		102,556		1,400		853		103,103
U.S. Residential	11,206		1		834		10,373		7,316		1		106		7,211
Commercial	10,076		2		545		9,533		3,730		11		54		3,687
Total mortgage-backed securities	138,370		10		10,113		128,267		113,602		1,412		1,013		114,001
U.S. Treasury and government agencies	226,362		—		13,506		212,856		185,204		169		2,103		183,270
Obligations of U.S. states and municipalities	19,167		78		939		18,306		13,985		453		44		14,394
Asset-backed securities:
Collateralized loan obligations	55,121		—		1,521		53,600		48,869		75		22		48,922
Other	2,629		—		71		2,558		2,047		1		7		2,041
Total held-to-maturity securities	441,649		88		26,150		415,587		363,707		2,110		3,189		362,628
Total investment securities, net of allowance for credit losses	$	673,553	$	831	$	36,728	$	637,656	$	671,961	$	4,724	$	5,532	$	671,153

(a)The Firm purchased $14.3 billion and $27.5 billion of HTM securities for the three and six months ended June 30, 2022, respectively, and $31.8 billion and $63.1 billion for the three and six months ended June 30, 2021, respectively.

(b)The amortized cost of investment securities is reported net of allowance for credit losses of $47 million and $42 million at June 30, 2022 and December 31, 2021, respectively.

(c)Excludes $2.0 billion and $1.9 billion of accrued interest receivables at June 30, 2022 and December 31, 2021, respectively. The Firm did not reverse through interest income any accrued interest receivables for the three and six months ended June 30, 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.

Securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at June 30, 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 $9.2 billion and $2.2 billion, at June 30, 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
June 30, 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.	$	1,603	$	54	$	30	$	1	$	1,633	$	55
Non-U.S.	3,392		20		—		—		3,392		20
Commercial	1,827		93		326		25		2,153		118
Total mortgage-backed securities	6,822		167		356		26		7,178		193
Obligations of U.S. states and municipalities	4,258		341		13		5		4,271		346
Non-U.S. government debt securities	9,832		374		1,313		77		11,145		451
Corporate debt securities	249		4		37		30		286		34
Asset-backed securities:
Collateralized loan obligations	9,392		258		1,538		39		10,930		297
Other	2,606		30		149		3		2,755		33
Total available-for-sale securities with gross unrealized losses	$	33,159	$	1,174	$	3,406	$	180	$	36,565	$	1,354

	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

Securities gains and losses and provision for credit loss

	Three months ended June 30,				Six months ended June 30,
(in millions)	2022		2021		2022		2021
Realized gains	$	69	$	184	$	82	$	421
Realized losses	(222)		(339)		(629)		(562)
Investment securities gains/(losses)	$	(153)	$	(155)	$	(547)	$	(141)
Provision for credit losses	$	6	$	(7)	$	5	$	9

Amortized cost and estimated fair value by contractual maturity

The following table presents the amortized cost and estimated fair value at June 30, 2022, of JPMorgan Chase’s investment securities portfolio by contractual maturity.

By remaining maturity June 30, 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	$	2		$	3,358		$	4,197		$	68,765		$	76,322
Fair value	2			3,197			4,296			63,822			71,317
Average yield(a)	0.23		%	1.08		%	2.56		%	2.73		%	2.64		%
U.S. Treasury and government agencies
Amortized cost	$	12,135		$	84,714		$	10,105		$	6,857		$	113,811
Fair value	12,106			81,398			9,460			7,020			109,984
Average yield(a)	1.56		%	0.54		%	1.60		%	1.89		%	0.83		%
Obligations of U.S. states and municipalities
Amortized cost	$	17		$	132		$	801		$	9,431		$	10,381
Fair value	17			132			812			9,172			10,133
Average yield(a)	5.75		%	4.91		%	4.71		%	4.32		%	4.36		%
Non-U.S. government debt securities
Amortized cost	$	6,924		$	4,608		$	3,530		$	1,161		$	16,223
Fair value	6,920			4,507			3,315			1,066			15,808
Average yield(a)	1.94		%	2.59		%	1.30		%	1.18		%	1.93		%
Corporate debt securities
Amortized cost	$	—		$	339		$	14		$	—		$	353
Fair value	—			306			13			—			319
Average yield(a)	—		%	12.26		%	2.33		%	—		%	11.86		%
Asset-backed securities
Amortized cost	$	112		$	1,730		$	3,697		$	9,275		$	14,814
Fair value	110			1,715			3,635			9,048			14,508
Average yield(a)	1.88		%	2.99		%	2.09		%	2.38		%	2.37		%
Total available-for-sale securities
Amortized cost	$	19,190		$	94,881		$	22,344		$	95,489		$	231,904
Fair value	19,155			91,255			21,531			90,128			222,069
Average yield(a)	1.70		%	0.75		%	1.93		%	2.77		%	1.78		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	1,736		$	11,890		$	124,754		$	138,380
Fair value	—			1,652			10,975			115,640			128,267
Average yield(a)	—		%	1.99		%	2.44		%	2.78		%	2.74		%
U.S. Treasury and government agencies
Amortized cost	$	24,373		$	132,070		$	69,919		$	—		$	226,362
Fair value	24,162			126,512			62,182			—			212,856
Average yield(a)	0.63		%	0.67		%	1.25		%	—		%	0.84		%
Obligations of U.S. states and municipalities
Amortized cost	$	—		$	79		$	2,014		$	17,111		$	19,204
Fair value	—			75			2,000			16,231			18,306
Average yield(a)	—		%	2.96		%	3.96		%	4.13		%	4.10		%
Asset-backed securities
Amortized cost	$	—		$	—		$	15,143		$	42,607		$	57,750
Fair value	—			—			14,928			41,230			56,158
Average yield(a)	—		%	—		%	2.01		%	2.02		%	2.02		%
Total held-to-maturity securities
Amortized cost	$	24,373		$	133,885		$	98,966		$	184,472		$	441,696
Fair value	24,162			128,239			90,085			173,101			415,587
Average yield(a)	0.63		%	0.69		%	1.56		%	2.73		%	1.73		%

(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 eight years for agency residential MBS, seven years for agency residential collateralized mortgage obligations and six years for nonagency residential collateralized mortgage obligations.