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Investment Securities
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024, 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).
Refer to Note 10 of JPMorgan Chase’s 2023 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, 2024December 31, 2023
(in millions)
Amortized cost(d)(e)
Gross unrealized gainsGross unrealized lossesFair value
Amortized cost(d)(e)
Gross unrealized gainsGross unrealized lossesFair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies$75,141 $423 $4,327 $71,237 $88,377 $870 $4,077 $85,170 
Residential:
U.S.1,997 7 68 1,936 2,086 10 68 2,028 
Non-U.S.1,021 4 — 1,025 1,608 4 1 1,611 
Commercial2,730 14 85 2,659 2,930 12 139 2,803 
Total mortgage-backed securities80,889 448 4,480 76,857 95,001 896 4,285 91,612 
U.S. Treasury and government agencies111,133 342 699 110,776 58,051 276 522 57,805 
Obligations of U.S. states and municipalities19,077 160 426 18,811 21,243 390 266 21,367 
Non-U.S. government debt securities20,084 156 361 19,879 21,387 254 359 21,282 
Corporate debt securities118 — 29 89 128 — 28 100 
Asset-backed securities:
Collateralized loan obligations7,155 23 14 7,164 6,769 11 28 6,752 
Other2,585 11 20 2,576 2,804 8 26 2,786 
Unallocated portfolio layer fair value
     basis adjustments(a)
(1,228)— (1,228)NA73 (73)—NA
Total available-for-sale securities239,813 1,140 4,801 236,152 

205,456 1,762 5,514 201,704 

Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies103,691 23 13,343 90,371 105,614 39 11,643 94,010 
U.S. Residential9,455 3 1,030 8,428 9,709 4 970 8,743 
Commercial10,126 21 471 9,676 10,534 13 581 9,966 
Total mortgage-backed securities123,272 47 14,844 108,475 125,857 56 13,194 112,719 
U.S. Treasury and government agencies143,724 — 13,552 130,172 173,666 — 13,074 160,592 
Obligations of U.S. states and municipalities9,648 42 677 9,013 9,945 74 591 9,428 
Asset-backed securities:
Collateralized loan obligations56,178 82 129 56,131 58,565 47 352 58,260 
Other1,705 2 55 1,652 1,815 1 61 1,755 
Total held-to-maturity securities(c)
334,527 173 29,257 305,443 369,848 178 27,272 342,754 
Total investment securities, net of allowance for credit losses$574,340 $1,313 $34,058 $541,595 $575,304 $1,940 $32,786 $544,458 
(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 4 for additional information.
(b)The Firm purchased $479 million and $3.6 billion of HTM securities for the three months ended March 31, 2024 and 2023, respectively.
(c)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 non-cash transaction. Refer to Note 19 of this Form 10-Q and Note 1 of JPMorgan Chase’s 2023 Form 10-K for additional information.
(d)The amortized cost of investment securities is reported net of allowance for credit losses of $154 million and $128 million at March 31, 2024 and December 31, 2023, respectively.
(e)Excludes $3.4 billion and $2.8 billion of accrued interest receivable at March 31, 2024 and December 31, 2023, respectively. The Firm did not reverse through interest income any accrued interest receivable for the three months ended March 31, 2024 and 2023. Refer to Note 10 of JPMorgan Chase’s 2023 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, 2024 and December 31, 2023. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $5.0 billion and $4.6 billion, at March 31, 2024 and December 31, 2023, 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
March 31, 2024 (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.
$143 $1 $1,089 $67 $1,232 $68 
Non-U.S.— — 212 — 212 — 
Commercial58 3 1,386 82 1,444 85 
Total mortgage-backed securities201 4 2,687 149 2,888 153 
Obligations of U.S. states and municipalities9,704 158 2,181 268 11,885 426 
Non-U.S. government debt securities7,355 32 4,493 329 11,848 361 
Corporate debt securities9 — 47 29 56 29 
Asset-backed securities:
Collateralized loan obligations458 — 1,122 14 1,580 14 
Other169 1 1,015 19 1,184 20 
Total available-for-sale securities with gross unrealized losses
$17,896 

$195 $11,545 $808 $29,441 $1,003 
Available-for-sale securities with gross unrealized losses
Less than 12 months12 months or more
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 

$49 $16,033 $866 $26,770 $915 
HTM securities – credit risk
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At both March 31, 2024 and December 31, 2023, all HTM securities were rated investment grade and were current and accruing, with approximately 99% rated at least AA+.
Allowance for credit losses on investment securities
The allowance for credit losses on investment securities was $154 million and $90 million as of March 31, 2024 and 2023, 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 2023 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)20242023
Realized gains$173 $131 
Realized losses(539)(999)
Investment securities losses$(366)$(868)
Provision for credit losses$26 $1 
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at March 31, 2024, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
March 31, 2024 (in millions)		Due in one
year or less		Due after one year through five yearsDue after five years through 10 years
Due after
10 years(c)
Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost$— $5,331 $4,742 $70,816 $80,889 
Fair value— 5,252 4,773 66,832 76,857 

Average yield(a)
— %5.32 %6.20 %4.65 %4.79 %
U.S. Treasury and government agencies
Amortized cost$— $74,048 $30,318 $6,767 $111,133 
Fair value— 73,880 30,464 6,432 110,776 
Average yield(a)
— %5.00 %6.17 %6.70 %5.42 %
Obligations of U.S. states and municipalities
Amortized cost$9 $22 $115 $18,931 $19,077 
Fair value8 21 114 18,668 18,811 

Average yield(a)
3.64 %1.94 %3.92 %5.95 %5.93 %
Non-U.S. government debt securities
Amortized cost$4,996 $5,337 $3,980 $5,771 $20,084 
Fair value4,979 5,304 3,754 5,842 19,879 
Average yield(a)
3.31 %4.56 %2.10 %3.98 %3.59 %
Corporate debt securities
Amortized cost$74 $64 $14 $— $152 
Fair value12 64 13 — 89 
Average yield(a)
15.50 %6.19 %4.10 %— %10.51 %
Asset-backed securities
Amortized cost$35 $724 $2,637 $6,344 $9,740 
Fair value35 720 2,641 6,344 9,740 

Average yield(a)
5.17 %4.41 %6.36 %6.80 %6.50 %
Total available-for-sale securities
Amortized cost(b)
$5,114 $85,526 $41,806 $108,629 $241,075 
Fair value5,034 85,241 41,759 104,118 236,152 

Average yield(a)
3.50 %4.99 %5.79 %5.09 %5.12 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$— $6,244 $8,239 $108,871 $123,354 
Fair value— 5,782 7,275 95,418 108,475 
Average yield(a)
— %2.57 %2.65 %3.02 %2.97 %
U.S. Treasury and government agencies
Amortized cost$35,177 $60,356 $48,191 $— $143,724 
Fair value34,608 55,446 40,118 — 130,172 
Average yield(a)
0.88 %0.96 %1.25 %— %1.04 %
Obligations of U.S. states and municipalities
Amortized cost$— $— $268 $9,418 $9,686 
Fair value— — 239 8,774 9,013 
Average yield(a)
— %— %3.15 %3.92 %3.90 %
Asset-backed securities
Amortized cost$— $7 $20,412 $37,464 $57,883 
Fair value— 7 20,394 37,382 57,783 
Average yield(a)
— %6.59 %6.26 %6.52 %6.43 %
Total held-to-maturity securities
Amortized cost(b)
$35,177 $66,607 $77,110 $155,753 $334,647 
Fair value34,608 61,235 68,026 141,574 305,443 
Average yield(a)
0.88 %1.11 %2.73 %3.91 %2.76 %
(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 $(1.2) billion at March 31, 2024. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $120 million at March 31, 2024.
(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 and six years for both agency residential collateralized mortgage obligations and nonagency residential collateralized mortgage obligations.