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Investment Securities
 6 Months Ended
Jun. 30, 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 June 30, 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.
June 30, 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$78,806 $428 $4,182 $75,052 $88,377 $870 $4,077 $85,170 
Residential:
U.S.2,326 8 62 2,272 2,086 10 68 2,028 
Non-U.S.749 3 — 752 1,608 4 1 1,611 
Commercial2,898 9 86 2,821 2,930 12 139 2,803 
Total mortgage-backed securities84,779 448 4,330 80,897 95,001 896 4,285 91,612 
U.S. Treasury and government agencies127,890 392 754 127,528 58,051 276 522 57,805 
Obligations of U.S. states and municipalities17,546 132 490 17,188 21,243 390 266 21,367 
Non-U.S. government debt securities31,442 76 419 31,099 21,387 254 359 21,282 
Corporate debt securities102 — 12 90 128 — 28 100 
Asset-backed securities:
Collateralized loan obligations6,784 31 7 6,808 6,769 11 28 6,752 
Other2,641 12 11 2,642 2,804 8 26 2,786 
Unallocated portfolio layer fair value
     basis adjustments(a)
(1,285)— (1,285)NA73 (73)—NA
Total available-for-sale securities269,899 1,091 4,738 266,252 

205,456 1,762 5,514 201,704 

Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies101,515 15 13,729 87,801 105,614 39 11,643 94,010 
U.S. Residential9,162 2 1,050 8,114 9,709 4 970 8,743 
Commercial9,879 12 491 9,400 10,534 13 581 9,966 
Total mortgage-backed securities120,556 29 15,270 105,315 125,857 56 13,194 112,719 
U.S. Treasury and government agencies140,281 — 13,104 127,177 173,666 — 13,074 160,592 
Obligations of U.S. states and municipalities9,490 38 673 8,855 9,945 74 591 9,428 
Asset-backed securities:
Collateralized loan obligations51,822 113 30 51,905 58,565 47 352 58,260 
Other1,597 3 49 1,551 1,815 1 61 1,755 
Total held-to-maturity securities(c)
323,746 183 29,126 294,803 369,848 178 27,272 342,754 
Total investment securities, net of allowance for credit losses$593,645 $1,274 $33,864 $561,055 $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 $555 million and $1.0 billion of HTM securities for the three and six months ended June 30, 2024, respectively, and $520 million and $4.1 billion for the three and six months ended June 30, 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 $177 million and $128 million at June 30, 2024 and December 31, 2023, respectively.
(e)Excludes $3.4 billion and $2.8 billion of accrued interest receivable at June 30, 2024 and December 31, 2023, respectively. The Firm did not reverse through interest income any accrued interest receivable for the three and six months ended June 30, 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 June 30, 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 $4.9 billion and $4.6 billion, at June 30, 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
June 30, 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.
$114 $1 $1,026 $61 $1,140 $62 
Non-U.S.— — 110 — 110 — 
Commercial398 4 1,383 82 1,781 86 
Total mortgage-backed securities512 5 2,519 143 3,031 148 
Obligations of U.S. states and municipalities8,602 184 3,003 306 11,605 490 
Non-U.S. government debt securities13,262 80 4,762 339 18,024 419 
Corporate debt securities4 — 52 12 56 12 
Asset-backed securities:
Collateralized loan obligations— — 615 7 615 7 
Other335 — 622 11 957 11 
Total available-for-sale securities with gross unrealized losses
$22,715 

$269 $11,573 $818 $34,288 $1,087 
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 June 30, 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 $177 million and $104 million as of June 30, 2024 and 2023, respectively, which included a cumulative-effect adjustment to retained earnings related to the transfer of HTM securities to AFS for the six months ended June 30, 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 June 30,Six months ended June 30,
(in millions)2024202320242023
Realized gains$64 $198 $237 $329 
Realized losses(611)(1,098)(1,150)(2,097)
Investment securities losses$(547)$(900)$(913)$(1,768)
Provision for credit losses$23 $13 $49 $14 
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at June 30, 2024, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
June 30, 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$3 $5,214 $4,659 $74,903 $84,779 
Fair value3 5,142 4,654 71,098 80,897 

Average yield(a)
4.67 %5.21 %6.01 %4.82 %4.91 %
U.S. Treasury and government agencies
Amortized cost$— $91,511 $29,421 $6,958 $127,890 
Fair value— 91,529 29,504 6,495 127,528 
Average yield(a)
— %5.03 %6.01 %6.54 %5.33 %
Obligations of U.S. states and municipalities
Amortized cost$15 $17 $80 $17,434 $17,546 
Fair value15 17 78 17,078 17,188 

Average yield(a)
2.25 %3.48 %4.26 %5.93 %5.91 %
Non-U.S. government debt securities
Amortized cost$12,698 $7,643 $3,231 $7,870 $31,442 
Fair value12,688 7,595 2,968 7,848 31,099 
Average yield(a)
4.50 %4.66 %1.78 %4.05 %4.15 %
Corporate debt securities
Amortized cost$140 $— $14 $— $154 
Fair value77 — 13 — 90 
Average yield(a)
11.11 %— %4.10 %— %10.48 %
Asset-backed securities
Amortized cost$24 $559 $2,519 $6,323 $9,425 
Fair value24 558 2,527 6,341 9,450 

Average yield(a)
4.68 %5.09 %6.39 %6.87 %6.63 %
Total available-for-sale securities
Amortized cost(b)
$12,880 $104,944 $39,924 $113,488 $271,236 
Fair value12,807 104,841 39,744 108,860 266,252 

Average yield(a)
4.57 %5.01 %5.69 %5.15 %5.15 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$— $7,374 $7,073 $106,197 $120,644 
Fair value— 6,803 6,203 92,309 105,315 
Average yield(a)
— %2.64 %2.61 %3.00 %2.96 %
U.S. Treasury and government agencies
Amortized cost$32,167 $60,115 $47,999 $— $140,281 
Fair value31,852 55,456 39,869 — 127,177 
Average yield(a)
0.85 %0.96 %1.25 %— %1.03 %
Obligations of U.S. states and municipalities
Amortized cost$— $— $271 $9,256 $9,527 
Fair value— — 239 8,616 8,855 
Average yield(a)
— %— %3.19 %3.92 %3.90 %
Asset-backed securities
Amortized cost$— $304 $19,032 $34,083 $53,419 
Fair value— 305 19,055 34,096 53,456 
Average yield(a)
— %6.76 %6.19 %6.52 %6.40 %
Total held-to-maturity securities
Amortized cost(b)
$32,167 $67,793 $74,375 $149,536 $323,871 
Fair value31,852 62,564 65,366 135,021 294,803 
Average yield(a)
0.85 %1.16 %2.65 %3.86 %2.72 %
(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 $52 million and the portfolio layer fair value hedge basis adjustments of $(1.3) billion at June 30, 2024. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $125 million at June 30, 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.