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Investment Securities
 9 Months Ended
Sep. 30, 2023
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. At September 30, 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 21 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.
September 30, 2023December 31, 2022
(in millions)
Amortized cost(c)(d)
Gross unrealized gainsGross unrealized lossesFair value
Amortized cost(c)(d)
Gross unrealized gainsGross unrealized lossesFair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies$90,398 $86 $7,967 $82,517 $77,194 $479 $6,170 $71,503 
Residential:
U.S.2,063 1 137 1,927 1,576 1 111 1,466 
Non-U.S.1,649 4 2 1,651 3,176 5 27 3,154 
Commercial2,723 1 166 2,558 2,113 — 155 1,958 
Total mortgage-backed securities96,833 92 8,272 88,653 84,059 485 6,463 78,081 
U.S. Treasury and government agencies54,823 237 1,701 53,359 95,217 302 3,459 92,060 
Obligations of U.S. states and municipalities21,648 66 2,052 19,662 7,103 86 403 6,786 
Non-U.S. government debt securities27,064 13 564 26,513 20,360 14 678 19,696 
Corporate debt securities218 — 24 194 381 — 24 357 
Asset-backed securities:
Collateralized loan obligations5,730 7 34 5,703 5,916 1 125 5,792 
Other3,075 4 44 3,035 3,152 2 69 3,085 
Unallocated portfolio layer fair value
     basis adjustments(a)
(2,891)— (2,891)NANANANANA
Total available-for-sale securities206,500 419 9,800 197,119 
(e)
216,188 890 11,221 205,857 
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies107,718 — 17,696 90,022 113,492 35 13,709 99,818 
U.S. Residential9,979 1 1,413 8,567 10,503 3 1,244 9,262 
Commercial10,598 2 796 9,804 10,361 10 734 9,637 
Total mortgage-backed securities128,295 3 19,905 108,393 134,356 48 15,687 118,717 
U.S. Treasury and government agencies187,819 — 17,813 170,006 207,463 — 18,363 189,100 
Obligations of U.S. states and municipalities10,730 1 1,304 9,427 19,747 53 1,080 18,720 
Asset-backed securities:
Collateralized loan obligations59,487 64 531 59,020 61,414 4 1,522 59,896 
Other1,930 1 76 1,855 2,325 — 110 2,215 
Total held-to-maturity securities388,261 69 39,629 348,701 425,305 105 36,762 388,648 
Total investment securities, net of allowance for credit losses$594,761 $488 $49,429 $545,820 $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 in the table for the types of securities being hedged. Refer to Note 1 and Note 5 for additional information.
(b)There were no purchases of HTM securities for the three months ended September 30, 2023; the Firm purchased $4.1 billion of HTM securities for the nine months ended September 30, 2023, and $1.8 billion and $29.3 billion for the three and nine months ended September 30, 2022, respectively.
(c)The amortized cost of investment securities is reported net of allowance for credit losses of $117 million and $96 million at September 30, 2023 and December 31, 2022, respectively.
(d)Excludes $2.8 billion and $2.5 billion of accrued interest receivable at September 30, 2023 and December 31, 2022, respectively. The Firm did not reverse through interest income any accrued interest receivable for the three and nine months ended September 30, 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.
(e)As of September 30, 2023, included $22.9 billion of AFS securities associated with First Republic. Refer to Note 28 for additional information.
AFS securities impairment
The following tables present the fair value and gross unrealized losses by aging category for AFS securities at September 30, 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 $9.7 billion and $9.6 billion, at September 30, 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 months12 months or more
September 30, 2023 (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.
$682 $15 $1,232 $122 $1,914 $137 
Non-U.S.— — 1,317 2 1,317 2 
Commercial480 7 1,751 159 2,231 166 
Total mortgage-backed securities1,162 22 4,300 283 5,462 305 
Obligations of U.S. states and municipalities15,200 1,585 2,285 467 17,485 2,052 
Non-U.S. government debt securities14,499 76 4,974 488 19,473 564 
Corporate debt securities13 1 83 23 96 24 
Asset-backed securities:
Collateralized loan obligations100 — 4,231 34 4,331 34 
Other672 14 1,600 30 2,272 44 
Total available-for-sale securities with gross unrealized losses
$31,646 
(a)
$1,698 $17,473 $1,325 $49,119 $3,023 
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 
(a)Includes the impact of First Republic, primarily obligations of U.S. states and municipalities. Refer to Note 28 for additional information.
HTM securities – credit risk
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At September 30, 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 $117 million and $61 million as of September 30, 2023 and 2022, respectively, which included a cumulative-effect adjustment to retained earnings related to the transfer of HTM securities to AFS for the nine months ended September 30, 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 September 30,Nine months ended September 30,
(in millions)2023202220232022
Realized gains$16 $88 $345 $170 
Realized losses(685)(1,047)(2,782)(1,676)
Investment securities losses$(669)$(959)$(2,437)$(1,506)
Provision for credit losses$13 $14 $27 $19 
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2023, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 30, 2023 (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(c)
Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost$14 $4,401 $5,996 $86,422 $96,833 
Fair value15 4,241 5,881 78,516 88,653 
(d)
Average yield(a)
2.16 %4.87 %6.21 %4.54 %4.66 %
U.S. Treasury and government agencies
Amortized cost$1 $30,294 $18,147 $6,381 $54,823 
Fair value1 29,643 18,146 5,569 53,359 
Average yield(a)
5.47 %5.16 %6.37 %7.14 %5.77 %
Obligations of U.S. states and municipalities
Amortized cost$9 $63 $833 $20,743 $21,648 
Fair value9 61 806 18,786 19,662 
(d)
Average yield(a)
3.63 %3.03 %4.29 %5.88 %5.81 %
Non-U.S. government debt securities
Amortized cost$15,132 $4,367 $3,680 $3,885 $27,064 
Fair value15,128 4,273 3,285 3,827 26,513 
Average yield(a)
4.68 %3.60 %1.94 %3.88 %4.02 %
Corporate debt securities
Amortized cost$133 $101 $14 $— $248 
Fair value81 100 13 — 194 
Average yield(a)
16.24 %9.80 %4.10 %— %12.95 %
Asset-backed securities
Amortized cost$14 $1,136 $3,692 $3,963 $8,805 
Fair value14 1,121 3,675 3,928 8,738 
(d)
Average yield(a)
6.09 %3.67 %6.38 %6.52 %6.09 %
Total available-for-sale securities
Amortized cost(b)
$15,303 $40,362 $32,362 $121,394 $209,421 
Fair value15,248 39,439 31,806 110,626 197,119 
(d)
Average yield(a)
4.78 %4.92 %5.78 %4.94 %5.06 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$100 $4,850 $9,354 $114,039 $128,343 
Fair value97 4,411 7,898 95,987 108,393 
Average yield(a)
6.41 %2.66 %2.55 %3.00 %2.96 %
U.S. Treasury and government agencies
Amortized cost$64,545 $74,372 $48,902 $— $187,819 
Fair value63,263 67,504 39,239 — 170,006 
Average yield(a)
0.56 %0.95 %1.26 %— %0.89 %
Obligations of U.S. states and municipalities
Amortized cost$— $— $485 $10,284 $10,769 
Fair value— — 447 8,980 9,427 
Average yield(a)
— %— %4.20 %4.00 %4.01 %
Asset-backed securities
Amortized cost$— $13 $20,219 $41,185 $61,417 
Fair value— 13 20,097 40,765 60,875 
Average yield(a)
— %6.49 %6.24 %6.34 %6.31 %
Total held-to-maturity securities
Amortized cost(b)
$64,645 $79,235 $78,960 $165,508 $388,348 
Fair value63,360 71,928 67,681 145,732 348,701 
Average yield(a)
0.57 %1.05 %2.71 %3.89 %2.52 %
(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 $(30) million and the portfolio layer fair value hedge basis adjustments of $(2.9) billion at September 30, 2023. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $(87) million at September 30, 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 eight years for agency residential MBS, seven years for agency residential collateralized mortgage obligations, and six years for nonagency residential collateralized mortgage obligations.
(d)Includes AFS securities associated with First Republic, primarily due after 10 years. Refer to Note 28 for additional information.