XML 48 R19.htm IDEA: XBRL DOCUMENT v3.24.0.1
Investment Securities
 12 Months Ended
Dec. 31, 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.
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.
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. Refer to Note 1 and Note 24 for additional information.
During 2022, the Firm transferred investment securities with a fair value of $78.3 billion 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.
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 between AFS and HTM are non-cash transactions.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
20232022
December 31, (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$88,377 $870 $4,077 $85,170 $77,194 $479 $6,170 $71,503 
Residential:
U.S.2,086 10 68 2,028 1,576 1 111 1,466 
Non-U.S.1,608 4 1 1,611 3,176 5 27 3,154 
Commercial2,930 12 139 2,803 2,113 — 155 1,958 
Total mortgage-backed securities95,001 896 4,285 91,612 84,059 485 6,463 78,081 
U.S. Treasury and government agencies58,051 276 522 57,805 95,217 302 3,459 92,060 
Obligations of U.S. states and municipalities21,243 390 266 21,367 7,103 86 403 6,786 
Non-U.S. government debt securities21,387 254 359 21,282 20,360 14 678 19,696 
Corporate debt securities128 — 28 100 381 — 24 357 
Asset-backed securities:
Collateralized loan obligations6,769 11 28 6,752 5,916 1 125 5,792 
Other2,804 8 26 2,786 3,152 2 69 3,085 
Unallocated portfolio layer fair value
     basis adjustments(a)
73 (73)— NANANANANA
Total available-for-sale securities205,456 1,762 5,514 201,704 
(e)
216,188 890 11,221 205,857 
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies105,614 39 11,643 94,010 113,492 35 13,709 99,818 
U.S. Residential9,709 4 970 8,743 10,503 3 1,244 9,262 
Commercial10,534 13 581 9,966 10,361 10 734 9,637 
Total mortgage-backed securities125,857 56 13,194 112,719 134,356 48 15,687 118,717 
U.S. Treasury and government agencies173,666 — 13,074 160,592 207,463 — 18,363 189,100 
Obligations of U.S. states and municipalities9,945 74 591 9,428 19,747 53 1,080 18,720 
Asset-backed securities:
Collateralized loan obligations58,565 47 352 58,260 61,414 4 1,522 59,896 
Other1,815 1 61 1,755 2,325 — 110 2,215 
Total held-to-maturity securities369,848 178 27,272 342,754 425,305 105 36,762 388,648 
Total investment securities, net of allowance for credit losses$575,304 $1,940 $32,786 $544,458 $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)The Firm purchased $4.1 billion, $33.7 billion and $111.8 billion of HTM securities for the years ended December 31, 2023, 2022 and 2021, respectively.
(c)The amortized cost of investment securities is reported net of allowance for credit losses of $128 million and $96 million at December 31, 2023 and 2022, respectively.
(d)Excludes $2.8 billion and $2.5 billion of accrued interest receivable at December 31, 2023 and 2022, 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, 2023 and 2022.
(e)As of December 31, 2023, included $24.2 billion of AFS securities associated with First Republic. Refer to Note 34 for additional information.

At December 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). 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, 2023 and 2022. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $4.6 billion and $9.6 billion, at December 31, 2023 and 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
Year ended December 31, 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.$81 $— $1,160 $68 $1,241 $68 
Non-U.S.— — 722 1 722 1 
Commercial228 3 1,775 136 2,003 139 
Total mortgage-backed securities309 3 3,657 205 3,966 208 
Obligations of U.S. states and municipalities2,134 20 2,278 246 4,412 266 
Non-U.S. government debt securities7,145 23 4,987 336 12,132 359 
Corporate debt securities9 — 79 28 88 28 
Asset-backed securities:
Collateralized loan obligations932 2 3,744 26 4,676 28 
Other208 1 1,288 25 1,496 26 
Total available-for-sale securities with gross unrealized losses$10,737 (a)$49 $16,033 $866 $26,770 $915 
Available-for-sale securities with gross unrealized losses
Less than 12 months12 months or more
Year ended 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 34 for additional information.
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 on HTM securities represents expected credit losses over the remaining expected life of the 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 December 31, 2023 and 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 $128 million, $96 million and $42 million as of December 31, 2023, 2022 and 2021, respectively, which included a cumulative-effect adjustment to retained earnings related to the transfer of HTM securities to AFS for the year ended December 31, 2023.
Selected impacts of investment securities on the Consolidated statements of income
Year ended December 31,
(in millions)		202320222021
Realized gains$622 $198 $595 
Realized losses(3,802)(2,578)(940)
Investment securities losses$(3,180)$(2,380)$(345)
Provision for credit losses$38 $54 $(36)

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2023, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
December 31, 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$— $5,166 $5,660 $84,175 $95,001 
Fair value— 5,072 5,662 80,878 91,612 
(d)
Average yield(a)
— %5.27 %6.15 %4.96 %5.05 %
U.S. Treasury and government agencies
Amortized cost$1 $27,430 $23,884 $6,736 $58,051 
Fair value1 27,212 23,933 6,659 57,805 
Average yield(a)
5.44 %5.84 %6.15 %6.60 %6.06 %
Obligations of U.S. states and municipalities
Amortized cost$10 $55 $531 $20,647 $21,243 
Fair value10 54 533 20,770 21,367 
(d)
Average yield(a)
3.70 %3.03 %4.51 %5.93 %5.89 %
Non-U.S. government debt securities
Amortized cost$8,841 $4,553 $3,658 $4,335 $21,387 
Fair value8,814 4,537 3,470 4,461 21,282 
Average yield(a)
3.68 %4.35 %2.00 %3.79 %3.55 %
Corporate debt securities
Amortized cost$81 $67 $14 $— $162 
Fair value20 66 14 — 100 
Average yield(a)
15.37 %6.25 %4.10 %— %10.62 %
Asset-backed securities
Amortized cost$23 $869 $3,506 $5,175 $9,573 
Fair value23 861 3,503 5,151 9,538 
(d)
Average yield(a)
6.13 %3.72 %6.48 %6.82 %6.41 %
Total available-for-sale securities
Amortized cost(b)
$8,956 $38,140 $37,253 $121,068 $205,417 
Fair value8,868 37,802 37,115 117,919 201,704 
(d)
Average yield(a)
3.79 %5.53 %5.75 %5.25 %5.33 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$— $5,868 $8,382 $111,649 $125,899 
Fair value— 5,480 7,448 99,791 112,719 
Average yield(a)
— %2.56 %2.58 %3.02 %2.97 %
U.S. Treasury and government agencies
Amortized cost$63,974 $60,763 $48,929 $— $173,666 
Fair value63,012 56,064 41,516 — 160,592 
Average yield(a)
0.63 %0.97 %1.26 %— %0.93 %
Obligations of U.S. states and municipalities
Amortized cost$— $— $283 $9,714 $9,997 
Fair value— — 254 9,174 9,428 
Average yield(a)
— %— %3.21 %3.94 %3.92 %
Asset-backed securities
Amortized cost$— $16 $20,345 $40,019 $60,380 
Fair value— 16 20,262 39,737 60,015 
Average yield(a)
— %6.86 %6.36 %6.58 %6.50 %
Total held-to-maturity securities
Amortized cost(b)
$63,974 $66,647 $77,939 $161,382 $369,942 
Fair value63,012 61,560 69,480 148,702 342,754 
Average yield(a)
0.63 %1.11 %2.74 %3.96 %2.61 %
(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 $34 million and the portfolio layer fair value hedge basis adjustments of $73 million at December 31, 2023. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $94 million at December 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, 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 34 for additional information.