XML 80 R53.htm IDEA: XBRL DOCUMENT v3.22.4
Investment Securities (Tables)
 12 Months Ended
Dec. 31, 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.
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.
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 
Securities gains and losses and provision for credit loss
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 
Amortized cost and estimated fair value by contractual maturity
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.