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Investment Securities
 12 Months Ended
Dec. 31, 2022
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.
AFS securities are carried at fair value on the Consolidated balance sheets. Unrealized gains and losses, after any applicable hedge accounting adjustments or allowance for credit losses, are reported in AOCI. The specific identification method is used to determine realized gains and losses on AFS securities, which are included in investment securities gains/(losses) on the Consolidated statements of income. HTM securities, which the Firm has the intent and ability to hold until maturity, are carried at amortized cost, net of allowance for credit losses, on the Consolidated balance sheets.
For both AFS and HTM securities, purchase discounts or premiums are generally amortized into interest income on a level-yield basis over the contractual life of the security. However, premiums on certain callable debt securities are amortized to the earliest call date.
During 2022 and 2021, the Firm transferred $78.3 billion and $104.5 billion of investment securities, respectively, from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains/(losses) of $(4.8) billion and $425 million, respectively, 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.
20222021
December 31, (in millions)
Amortized cost(b)(c)
Gross unrealized gainsGross unrealized lossesFair
value
Amortized cost(b)(c)
Gross unrealized gainsGross unrealized lossesFair
value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies$77,194 $479 $6,170 $71,503 $72,800 $736 $993 $72,543 
Residential:
U.S.1,576 1 111 1,466 2,128 38 2 2,164 
Non-U.S.3,176 5 27 3,154 3,882 25 1 3,906 
Commercial2,113 — 155 1,958 4,944 22 17 4,949 
Total mortgage-backed securities84,059 485 6,463 78,081 83,754 821 1,013 83,562 
U.S. Treasury and government agencies95,217 302 3,459 92,060 178,038 668 1,243 177,463 
Obligations of U.S. states and municipalities7,103 86 403 6,786 14,890 972 2 15,860 
Non-U.S. government debt securities20,360 14 678 19,696 16,163 92 46 16,209 
Corporate debt securities381 — 24 357 332 8 19 321 
Asset-backed securities:
Collateralized loan obligations5,916 1 125 5,792 9,674 6 18 9,662 
Other3,152 2 69 3,085 5,403 47 2 5,448 
Total available-for-sale securities216,188 890 11,221 205,857 308,254 2,614 2,343 308,525 
Held-to-maturity securities(a)
Mortgage-backed securities:
U.S. GSEs and government agencies113,492 35 13,709 99,818 102,556 1,400 853 103,103 
U.S. Residential10,503 3 1,244 9,262 7,316 1 106 7,211 
Commercial10,361 10 734 9,637 3,730 11 54 3,687 
Total mortgage-backed securities134,356 48 15,687 118,717 113,602 1,412 1,013 114,001 
U.S. Treasury and government agencies207,463 — 18,363 189,100 185,204 169 2,103 183,270 
Obligations of U.S. states and municipalities19,747 53 1,080 18,720 13,985 453 44 14,394 
Asset-backed securities:
Collateralized loan obligations61,414 4 1,522 59,896 48,869 75 22 48,922 
Other2,325 — 110 2,215 2,047 1 7 2,041 
Total held-to-maturity securities425,305 105 36,762 388,648 363,707 2,110 3,189 362,628 
Total investment securities, net of allowance for credit losses$641,493 $995 $47,983 $594,505 $671,961 $4,724 $5,532 $671,153 
(a)The Firm purchased $33.7 billion, $111.8 billion and $12.4 billion of HTM securities for the years ended December 31, 2022, 2021 and 2020, respectively.
(b)The amortized cost of investment securities is reported net of allowance for credit losses of $96 million and $42 million at December 31, 2022 and 2021, respectively.
(c)Excludes $2.5 billion and $1.9 billion of accrued interest receivable at December 31, 2022 and 2021, respectively, included in accrued interest and accounts receivable on the Consolidated balance sheets. The Firm generally does not recognize an allowance for credit losses on accrued interest receivable, consistent with its policy to write them off no later than 90 days past due by reversing interest income. The Firm did not reverse through interest income any accrued interest receivable for the years ended December 31, 2022 and 2021.

At December 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). 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, reviewed on a regular and ongoing basis by Credit Risk Management and 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, 2022 and 2021. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $9.6 billion and $2.2 billion, at December 31, 2022 and 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 months12 months or more
December 31, 2022 (in millions)
Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
Available-for-sale securities
Mortgage-backed securities:
Residential:
U.S.$1,187 $71 $260 $40 $1,447 $111 
Non-U.S.2,848 25 70 2 2,918 27 
Commercial1,131 74 813 81 1,944 155 
Total mortgage-backed securities5,166 170 1,143 123 6,309 293 
Obligations of U.S. states and municipalities3,051 241 364 162 3,415 403 
Non-U.S. government debt securities6,941 321 3,848 357 10,789 678 
Corporate debt securities150 2 207 22 357 24 
Asset-backed securities:
Collateralized loan obligations3,010 61 2,701 64 5,711 125 
Other2,586 51 256 18 2,842 69 
Total available-for-sale securities with gross unrealized losses$20,904 $846 $8,519 $746 $29,423 $1,592 
Available-for-sale securities with gross unrealized losses
Less than 12 months12 months or more
December 31, 2021 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal 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 
Commercial2,557 5 349 12 2,906 17 
Total mortgage-backed securities2,993 7 394 13 3,387 20 
Obligations of U.S. states and municipalities120 2 — — 120 2 
Non-U.S. government debt securities5,060 37 510 9 5,570 46 
Corporate debt securities166 1 46 18 212 19 
Asset-backed securities:
Collateralized loan obligations8,110 18 208 — 8,318 18 
Other89 — 178 2 267 2 
Total available-for-sale securities with gross unrealized losses$16,538 $65 $1,336 $42 $17,874 $107 
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 is recognized in investment securities gains/(losses) in the Consolidated Statements of Income and is equal to the full difference between the amortized cost (net of allowance if applicable) and the fair value of the security.
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 on debt securities that the Firm has the intent and ability to hold 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.


HTM securities – credit risk
Allowance for credit losses
The allowance for credit losses represents expected credit losses over the remaining expected life of HTM securities.
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.
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At both December 31, 2022 and 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 $96 million, $42 million and $78 million as of December 31, 2022, 2021 and 2020, respectively.

Selected impacts of investment securities on the Consolidated statements of income
Year ended December 31,
(in millions)		202220212020
Realized gains$198 $595 $3,080 
Realized losses(2,578)(940)(2,278)
Investment securities gains/(losses)$(2,380)$(345)$802 
Provision for credit losses$54 $(36)$68 

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2022, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
December 31, 2022 (in millions)		Due in one
year or less		Due after one year through five yearsDue after five years through 10 years
Due after
10 years(b)
Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost$14 $3,634 $4,534 $75,877 $84,059 
Fair value14 3,459 4,573 70,035 78,081 
Average yield(a)
2.21 %3.58 %5.25 %3.62 %3.71 %
U.S. Treasury and government agencies
Amortized cost$16,335 $54,936 $17,749 $6,197 $95,217 
Fair value16,011 52,703 17,167 6,179 92,060 
Average yield(a)
1.27 %3.00 %3.99 %6.01 %3.08 %
Obligations of U.S. states and municipalities
Amortized cost$18 $47 $215 $6,823 $7,103 
Fair value18 46 216 6,506 6,786 
Average yield(a)
5.03 %3.96 %5.24 %5.85 %5.81 %
Non-U.S. government debt securities
Amortized cost$12,803 $3,228 $4,329 $— $20,360 
Fair value12,795 3,107 3,794 — 19,696 
Average yield(a)
3.54 %2.59 %1.37 %— %2.93 %
Corporate debt securities
Amortized cost$125 $272 $13 $— $410 
Fair value76 268 13 — 357 
Average yield(a)
16.22 %12.07 %5.78 %— %13.14 %
Asset-backed securities
Amortized cost$99 $1,517 $3,665 $3,787 $9,068 
Fair value95 1,487 3,605 3,690 8,877 
Average yield(a)
5.11 %3.11 %4.98 %5.19 %4.76 %
Total available-for-sale securities
Amortized cost$29,394 $63,634 $30,505 $92,684 $216,217 
Fair value29,009 61,070 29,368 86,410 205,857 
Average yield(a)
2.34 %3.05 %3.94 %4.01 %3.49 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$98 $1,718 $12,350 $120,206 $134,372 
Fair value96 1,584 10,909 106,128 118,717 
Average yield(a)
5.54 %2.23 %2.56 %2.93 %2.89 %
U.S. Treasury and government agencies
Amortized cost$34,157 $106,325 $66,981 $— $207,463 
Fair value33,433 99,345 56,322 — 189,100 
Average yield(a)
0.57 %0.71 %1.27 %— %0.87 %
Obligations of U.S. states and municipalities
Amortized cost$— $106 $2,741 $16,951 $19,798 
Fair value— 100 2,710 15,910 18,720 
Average yield(a)
— %3.39 %4.03 %4.24 %4.21 %
Asset-backed securities
Amortized cost$— $30 $19,398 $44,311 $63,739 
Fair value— 29 19,085 42,997 62,111 
Average yield(a)
— %5.69 %4.80 %4.74 %4.76 %
Total held-to-maturity securities
Amortized cost$34,255 $108,179 $101,470 $181,468 $425,372 
Fair value33,529 101,058 89,026 165,035 388,648 
Average yield(a)
0.58 %0.74 %2.18 %3.50 %2.25 %
(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, and six years for both agency residential collateralized mortgage obligations and nonagency residential collateralized mortgage obligations.