Investment Securities

9 Months Ended

Sep. 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 September 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.

	September 30, 2024								December 31, 2023
(in millions)	Amortized cost(d)(e)		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost(d)(e)		Gross unrealized gains		Gross unrealized losses		Fair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies	$	83,081	$	1,280	$	2,498	$	81,863	$	88,377	$	870	$	4,077	$	85,170
Residential:
U.S.	3,321		33		33		3,321		2,086		10		68		2,028
Non-U.S.	733		3		—		736		1,608		4		1		1,611
Commercial	3,651		32		74		3,609		2,930		12		139		2,803
Total mortgage-backed securities	90,786		1,348		2,605		89,529		95,001		896		4,285		91,612
U.S. Treasury and government agencies	170,989		1,433		240		172,182		58,051		276		522		57,805
Obligations of U.S. states and municipalities	18,112		340		247		18,205		21,243		390		266		21,367
Non-U.S. government debt securities	42,627		229		303		42,553		21,387		254		359		21,282
Corporate debt securities	70		—		9		61		128		—		28		100
Asset-backed securities:
Collateralized loan obligations	9,655		32		5		9,682		6,769		11		28		6,752
Other	2,318		26		8		2,336		2,804		8		26		2,786
Unallocated portfolio layer fair value      basis adjustments(a)	694		(694)		—		NA		73		(73)		—		NA
Total available-for-sale securities	335,251		2,714		3,417		334,548		205,456		1,762		5,514		201,704
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies	99,328		94		9,641		89,781		105,614		39		11,643		94,010
U.S. Residential	8,874		11		688		8,197		9,709		4		970		8,743
Commercial	9,324		48		315		9,057		10,534		13		581		9,966
Total mortgage-backed securities	117,526		153		10,644		107,035		125,857		56		13,194		112,719
U.S. Treasury and government agencies	123,504		—		9,343		114,161		173,666		—		13,074		160,592
Obligations of U.S. states and municipalities	9,426		54		542		8,938		9,945		74		591		9,428
Asset-backed securities:
Collateralized loan obligations	47,999		68		24		48,043		58,565		47		352		58,260
Other	1,499		2		37		1,464		1,815		1		61		1,755
Total held-to-maturity securities(c)	299,954		277		20,590		279,641		369,848		178		27,272		342,754
Total investment securities, net of allowance for credit losses	$	635,205	$	2,991	$	24,007	$	614,189	$	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 $1.4 billion and $2.4 billion of HTM securities for the three and nine months ended September 30, 2024, respectively, and $4.1 billion for the nine months ended September 30, 2023; there were no purchases of HTM securities for the three months ended September 30, 2023.

(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 $175 million and $128 million at September 30, 2024 and December 31, 2023, respectively.

(e)Excludes $3.7 billion and $2.8 billion of accrued interest receivable at September 30, 2024 and December 31, 2023, respectively. The Firm did not reverse through interest income any accrued interest receivable for the three and nine months ended September 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 September 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 $2.7 billion and $4.6 billion, at September 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 months				12 months or more
September 30, 2024 (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.	$	110	$	—	$	975	$	33	$	1,085	$	33
Non-U.S.	—		—		—		—		—		—
Commercial	164		2		1,304		72		1,468		74
Total mortgage-backed securities	274		2		2,279		105		2,553		107
Obligations of U.S. states and municipalities	1,931		19		2,337		228		4,268		247
Non-U.S. government debt securities	6,510		41		4,500		262		11,010		303
Corporate debt securities	—		—		17		9		17		9
Asset-backed securities:
Collateralized loan obligations	395		—		516		5		911		5
Other	119		—		316		8		435		8
Total available-for-sale securities with gross unrealized losses	$	9,229	$	62	$	9,965	$	617	$	19,194	$	679

	Available-for-sale securities with gross unrealized losses
	Less than 12 months				12 months or more
December 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.	$	81	$	—	$	1,160	$	68	$	1,241	$	68
Non-U.S.	—		—		722		1		722		1
Commercial	228		3		1,775		136		2,003		139
Total mortgage-backed securities	309		3		3,657		205		3,966		208
Obligations of U.S. states and municipalities	2,134		20		2,278		246		4,412		266
Non-U.S. government debt securities	7,145		23		4,987		336		12,132		359
Corporate debt securities	9		—		79		28		88		28
Asset-backed securities:
Collateralized loan obligations	932		2		3,744		26		4,676		28
Other	208		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 September 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+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings).

Allowance for credit losses on investment securities

The allowance for credit losses on investment securities was $175 million and $117 million as of September 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 nine months ended September 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 September 30,				Nine months ended September 30,
(in millions)	2024		2023		2024		2023
Realized gains	$	298	$	16	$	535	$	345
Realized losses	(314)		(685)		(1,464)		(2,782)
Investment securities losses	$	(16)	$	(669)	$	(929)	$	(2,437)
Provision for credit losses	$	(2)	$	13	$	47	$	27

Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at September 30, 2024, of JPMorgan Chase’s investment securities portfolio by contractual maturity.

By remaining maturity September 30, 2024 (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	$	3		$	6,666		$	4,501		$	79,616		$	90,786
Fair value	3			6,674			4,557			78,295			89,529
Average yield(a)	4.65		%	4.80		%	5.54		%	4.91		%	4.94		%
U.S. Treasury and government agencies
Amortized cost	$	—		$	124,332		$	39,682		$	6,975		$	170,989
Fair value	—			125,501			39,785			6,896			172,182
Average yield(a)	—		%	4.90		%	5.40		%	5.79		%	5.05		%
Obligations of U.S. states and municipalities
Amortized cost	$	9		$	14		$	66		$	18,023		$	18,112
Fair value	9			13			66			18,117			18,205
Average yield(a)	1.47		%	3.19		%	4.25		%	5.82		%	5.81		%
Non-U.S. government debt securities
Amortized cost	$	19,745		$	10,621		$	6,796		$	5,465		$	42,627
Fair value	19,753			10,615			6,685			5,500			42,553
Average yield(a)	4.64		%	4.45		%	2.85		%	3.86		%	4.21		%
Corporate debt securities
Amortized cost	$	108		$	9		$	5		$	—		$	122
Fair value	47			9			5			—			61
Average yield(a)	13.80		%	4.06		%	4.19		%	—		%	12.70		%
Asset-backed securities
Amortized cost	$	5		$	342		$	2,248		$	9,378		$	11,973
Fair value	5			343			2,259			9,411			12,018
Average yield(a)	6.16		%	5.91		%	6.36		%	6.51		%	6.47		%
Total available-for-sale securities
Amortized cost(b)	$	19,870		$	141,984		$	53,298		$	119,457		$	334,609
Fair value	19,817			143,155			53,357			118,219			334,548
Average yield(a)	4.69		%	4.86		%	5.12		%	5.18		%	5.02		%
Held-to-maturity securities
Mortgage-backed securities
Amortized cost	$	—		$	7,383		$	6,988		$	103,255		$	117,626
Fair value	—			7,034			6,387			93,614			107,035
Average yield(a)	—		%	2.63		%	2.61		%	2.99		%	2.94		%
U.S. Treasury and government agencies
Amortized cost	$	18,840		$	56,638		$	48,026		$	—		$	123,504
Fair value	18,652			53,670			41,839			—			114,161
Average yield(a)	0.84		%	0.99		%	1.25		%	—		%	1.07		%
Obligations of U.S. states and municipalities
Amortized cost	$	—		$	—		$	304		$	9,145		$	9,449
Fair value	—			—			278			8,660			8,938
Average yield(a)	—		%	—		%	3.29		%	3.94		%	3.92		%
Asset-backed securities
Amortized cost	$	—		$	125		$	20,626		$	28,747		$	49,498
Fair value	—			125			20,645			28,737			49,507
Average yield(a)	—		%	6.52		%	6.05		%	6.51		%	6.32		%
Total held-to-maturity securities
Amortized cost(b)	$	18,840		$	64,146		$	75,944		$	141,147		$	300,077
Fair value	18,652			60,829			69,149			131,011			279,641
Average yield(a)	0.84		%	1.19		%	2.69		%	3.77		%	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 $52 million and the portfolio layer fair value hedge basis adjustments of $694 million at September 30, 2024. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $123 million at September 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 seven years for agency residential MBS, six years for agency residential collateralized mortgage obligations, and five years for nonagency residential collateralized mortgage obligations.