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, 2023, 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).

Effective January 1, 2023, the Firm adopted the portfolio layer method hedge accounting guidance which permitted a transfer of HTM securities to AFS upon adoption. The Firm transferred obligations of U.S. states and municipalities with

a carrying value of $7.1 billion resulting in the recognition of $38 million net pre-tax unrealized losses in AOCI. This transfer was a noncash transaction. Refer to Note 1 and Note 19 for additional information.

During 2022, the Firm transferred $78.3 billion of investment securities from AFS to HTM for capital management purposes. AOCI included pretax unrealized losses of $4.8 billion on the securities at the date of transfer.

Refer to Note 10 of JPMorgan Chase’s 2022 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, 2023								December 31, 2022
(in millions)	Amortized cost(c)(d)		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost(c)(d)		Gross unrealized gains		Gross unrealized losses		Fair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies	$	71,570	$	592	$	4,857	$	67,305	$	77,194	$	479	$	6,170	$	71,503
Residential:
U.S.	1,695		1		103		1,593		1,576		1		111		1,466
Non-U.S.	2,885		4		11		2,878		3,176		5		27		3,154
Commercial	2,101		—		154		1,947		2,113		—		155		1,958
Total mortgage-backed securities	78,251		597		5,125		73,723		84,059		485		6,463		78,081
U.S. Treasury and government agencies	83,648		513		2,522		81,639		95,217		302		3,459		92,060
Obligations of U.S. states and municipalities	13,692		166		329		13,529		7,103		86		403		6,786
Non-U.S. government debt securities	19,960		13		543		19,430		20,360		14		678		19,696
Corporate debt securities	392		—		28		364		381		—		24		357
Asset-backed securities:
Collateralized loan obligations	5,607		2		89		5,520		5,916		1		125		5,792
Other	3,100		4		61		3,043		3,152		2		69		3,085
Unallocated portfolio layer fair value basis adjustments(a)	21		(21)		—		NA		NA		NA		NA		NA
Total available-for-sale securities	204,671		1,274		8,697		197,248		216,188		890		11,221		205,857
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies	112,980		84		11,893		101,171		113,492		35		13,709		99,818
U.S. Residential	10,602		5		1,132		9,475		10,503		3		1,244		9,262
Commercial	10,747		10		734		10,023		10,361		10		734		9,637
Total mortgage-backed securities	134,329		99		13,759		120,669		134,356		48		15,687		118,717
U.S. Treasury and government agencies	202,487		—		15,275		187,212		207,463		—		18,363		189,100
Obligations of U.S. states and municipalities	12,299		52		740		11,611		19,747		53		1,080		18,720
Asset-backed securities:
Collateralized loan obligations	61,528		50		1,175		60,403		61,414		4		1,522		59,896
Other	2,184		—		89		2,095		2,325		—		110		2,215
Total held-to-maturity securities	412,827		201		31,038		381,990		425,305		105		36,762		388,648
Total investment securities, net of allowance for credit losses	$	617,498	$	1,475	$	39,735	$	579,238	$	641,493	$	995	$	47,983	$	594,505

(a)Represents the amount of portfolio layer method basis adjustments related to AFS securities hedged in a closed portfolio. Under U.S. GAAP portfolio layer method basis adjustments are not allocated to individual securities, however the amounts impact the unrealized gains or losses for the individual securities being hedged. Refer to Note 1 and Note 4 for additional information.

(b)The Firm purchased $3.6 billion and $13.2 billion of HTM securities for the three months ended March 31, 2023 and 2022, respectively.

(c)The amortized cost of investment securities is reported net of allowance for credit losses of $90 million and $96 million at March 31, 2023 and December 31, 2022, respectively.

(d)Excludes $2.4 billion and $2.5 billion of accrued interest receivable at March 31, 2023 and December 31, 2022, respectively. The Firm did not reverse through interest income any accrued interest receivable for the three months ended March 31, 2023 and 2022. Refer to Note 10 of JPMorgan Chase’s 2022 Form 10-K for further discussion of accounting policies for accrued interest receivable 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, 2023 and December 31, 2022. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $7.4 billion and $9.6 billion, at March 31, 2023 and December 31, 2022, 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, 2023 (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.	$	474	$	16	$	1,062	$	87	$	1,536	$	103
Non-U.S.	966		4		1,653		7		2,619		11
Commercial	249		17		1,678		137		1,927		154
Total mortgage-backed securities	1,689		37		4,393		231		6,082		268
Obligations of U.S. states and municipalities	2,164		66		1,202		263		3,366		329
Non-U.S. government debt securities	7,592		70		5,475		473		13,067		543
Corporate debt securities	110		2		249		26		359		28
Asset-backed securities:
Collateralized loan obligations	352		4		4,882		85		5,234		89
Other	1,537		29		1,071		32		2,608		61
Total available-for-sale securities with gross unrealized losses	$	13,444	$	208	$	17,272	$	1,110	$	30,716	$	1,318


	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 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.	$	1,187	$	71	$	260	$	40	$	1,447	$	111
Non-U.S.	2,848		25		70		2		2,918		27
Commercial	1,131		74		813		81		1,944		155
Total mortgage-backed securities	5,166		170		1,143		123		6,309		293
Obligations of U.S. states and municipalities	3,051		241		364		162		3,415		403
Non-U.S. government debt securities	6,941		321		3,848		357		10,789		678
Corporate debt securities	150		2		207		22		357		24
Asset-backed securities:
Collateralized loan obligations	3,010		61		2,701		64		5,711		125
Other	2,586		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

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, 2023 and December 31, 2022, all HTM securities were rated investment grade and were current and accruing, with approximately 99% and 98% rated at least AA+, respectively.

Allowance for credit losses on investment securities

The allowance for credit losses on investment securities was $90 million and $41 million as of March 31, 2023 and 2022, respectively, which included a cumulative-effect adjustment to retained earnings related to the transfer of HTM securities to AFS for the period ended March 31, 2023.

Refer to Note 10 of JPMorgan Chase’s 2022 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)	2023		2022
Realized gains	$	131	$	13
Realized losses	(999)		(407)
Investment securities losses	$	(868)	$	(394)
Provision for credit losses	$	1	$	(1)

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at March 31, 2023, of JPMorgan Chase’s investment securities portfolio by contractual maturity.


By remaining maturity March 31, 2023 (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(c)			Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost	$	14		$	3,406		$	4,644		$	70,187		$	78,251
Fair value	14			3,259			4,678			65,772			73,723
Average yield(a)	2.14		%	4.16		%	5.69		%	4.04		%	4.14		%
U.S. Treasury and government agencies
Amortized cost	$	11,298		$	45,163		$	20,706		$	6,481		$	83,648
Fair value	11,030			43,602			20,506			6,501			81,639
Average yield(a)	0.36		%	3.87		%	4.33		%	6.33		%	3.70		%
Obligations of U.S. states and municipalities
Amortized cost	$	18		$	140		$	2,380		$	11,154		$	13,692
Fair value	18			142			2,403			10,966			13,529
Average yield(a)	4.84		%	4.51		%	4.46		%	5.44		%	5.26		%
Non-U.S. government debt securities
Amortized cost	$	12,348		$	2,802		$	4,436		$	374		$	19,960
Fair value	12,339			2,710			4,006			375			19,430
Average yield(a)	3.89		%	2.20		%	1.47		%	3.51		%	3.11		%
Corporate debt securities
Amortized cost	$	187		$	221		$	13		$	—		$	421
Fair value	134			217			13			—			364
Average yield(a)	15.98		%	11.40		%	6.11		%	—		%	13.26		%
Asset-backed securities
Amortized cost	$	103		$	1,406		$	3,645		$	3,553		$	8,707
Fair value	98			1,382			3,598			3,485			8,563
Average yield(a)	5.25		%	3.13		%	5.52		%	5.68		%	5.20		%

Total available-for-sale securities
Amortized cost(b)	$	23,968		$	53,138		$	35,824		$	91,749		$	204,679
Fair value	23,633			51,312			35,204			87,099			197,248
Average yield(a)	2.33		%	3.82		%	4.29		%	4.43		%	4.00		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	99		$	2,755		$	11,506		$	119,996		$	134,356
Fair value	96			2,575			10,332			107,666			120,669
Average yield(a)	5.70		%	2.61		%	2.55		%	2.98		%	2.94		%
U.S. Treasury and government agencies
Amortized cost	$	57,971		$	77,514		$	67,002		$	—		$	202,487
Fair value	56,374			72,935			57,903			—			187,212
Average yield(a)	0.45		%	0.84		%	1.27		%	—		%	0.87		%
Obligations of U.S. states and municipalities
Amortized cost	$	—		$	—		$	738		$	11,595		$	12,333
Fair value	—			—			711			10,900			11,611
Average yield(a)	—		%	—		%	4.20		%	4.06		%	4.06		%
Asset-backed securities
Amortized cost	$	—		$	82		$	19,511		$	44,119		$	63,712
Fair value	—			82			19,262			43,154			62,498
Average yield(a)	—		%	5.72		%	5.37		%	5.48		%	5.45		%
Total held-to-maturity securities
Amortized cost(b)	$	58,070		$	80,351		$	98,757		$	175,710		$	412,888
Fair value	56,470			75,592			88,208			161,720			381,990
Average yield(a)	0.46		%	0.91		%	2.25		%	3.68		%	2.35		%

(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, including closed portfolio hedges. 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)For purposes of this table, the amortized cost of available-for-sale securities excludes the allowance for credit losses of $(29) million and the portfolio layer fair value hedge basis adjustments of $21 million at March 31, 2023. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $(61) million at March 31, 2023.

(c)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 seven years for agency residential MBS, and six years for both agency residential collateralized mortgage obligations and nonagency residential collateralized mortgage obligations.