| Securities |
Securities Securities are classified as trading, AFS or HTM. 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 December 31, 2017, 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 ratings which correspond to ratings as defined by S&P and Moody’s). AFS securities are carried at fair value on the Consolidated balance sheets. Unrealized gains and losses, after any applicable hedge accounting adjustments, are reported as net increases or decreases to AOCI. The specific identification method is used to determine realized gains and losses on AFS securities, which are included in securities gains/(losses) on the Consolidated statements of income. HTM debt securities, which management has the intent and ability to hold until maturity, are carried at amortized cost on the Consolidated balance sheets. For both AFS and HTM debt securities, purchase discounts or premiums are generally amortized into interest income over the contractual life of the security.
The amortized cost and estimated fair value of the investment securities portfolio were as follows for the dates indicated. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2017 | | 2016 | December 31, (in millions) | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Available-for-sale debt securities | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | U.S. government agencies(a) | $ | 69,879 |
| $ | 736 |
| $ | 335 |
| | $ | 70,280 |
| | $ | 63,367 |
| $ | 1,112 |
| $ | 474 |
| | $ | 64,005 |
| Residential: | | | | | | | | | | | | U.S(b) | 8,193 |
| 185 |
| 14 |
| | 8,364 |
| | 8,171 |
| 100 |
| 28 |
| | 8,243 |
| Non-U.S. | 2,882 |
| 122 |
| 1 |
| | 3,003 |
| | 6,049 |
| 158 |
| 7 |
| | 6,200 |
| Commercial | 4,932 |
| 98 |
| 5 |
| | 5,025 |
| | 9,002 |
| 122 |
| 20 |
| | 9,104 |
| Total mortgage-backed securities | 85,886 |
| 1,141 |
| 355 |
| | 86,672 |
| | 86,589 |
| 1,492 |
| 529 |
| | 87,552 |
| U.S. Treasury and government agencies(a) | 22,510 |
| 266 |
| 31 |
| | 22,745 |
| | 44,822 |
| 75 |
| 796 |
| | 44,101 |
| Obligations of U.S. states and municipalities | 30,490 |
| 1,881 |
| 33 |
| | 32,338 |
| | 30,284 |
| 1,492 |
| 184 |
| | 31,592 |
| Certificates of deposit | 59 |
| — |
| — |
| | 59 |
| | 106 |
| — |
| — |
| | 106 |
| Non-U.S. government debt securities | 26,900 |
| 426 |
| 32 |
| | 27,294 |
| | 34,497 |
| 836 |
| 45 |
| | 35,288 |
| Corporate debt securities | 2,657 |
| 101 |
| 1 |
| | 2,757 |
| | 4,916 |
| 64 |
| 22 |
| | 4,958 |
| Asset-backed securities: | | | | | | | | | | | | Collateralized loan obligations | 20,928 |
| 69 |
| 1 |
| | 20,996 |
| | 27,352 |
| 75 |
| 26 |
| | 27,401 |
| Other | 8,764 |
| 77 |
| 24 |
| | 8,817 |
| | 6,950 |
| 62 |
| 45 |
| | 6,967 |
| Total available-for-sale debt securities | 198,194 |
| 3,961 |
| 477 |
| | 201,678 |
| | 235,516 |
| 4,096 |
| 1,647 |
| | 237,965 |
| Available-for-sale equity securities | 547 |
| — |
| — |
| | 547 |
| | 914 |
| 12 |
| — |
| | 926 |
| Total available-for-sale securities | 198,741 |
| 3,961 |
| 477 |
| | 202,225 |
| | 236,430 |
| 4,108 |
| 1,647 |
| | 238,891 |
| Held-to-maturity debt securities | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | U.S. government agencies(c) | 27,577 |
| 558 |
| 40 |
| | 28,095 |
| | 29,910 |
| 638 |
| 37 |
| | 30,511 |
| Commercial | 5,783 |
| 1 |
| 74 |
| | 5,710 |
| | 5,783 |
| — |
| 129 |
| | 5,654 |
| Total mortgage-backed securities | 33,360 |
| 559 |
| 114 |
| | 33,805 |
| | 35,693 |
| 638 |
| 166 |
| | 36,165 |
| Obligations of U.S. states and municipalities | 14,373 |
| 554 |
| 80 |
| | 14,847 |
| | 14,475 |
| 374 |
| 125 |
| | 14,724 |
| Total held-to-maturity debt securities | 47,733 |
| 1,113 |
| 194 |
| | 48,652 |
| | 50,168 |
| 1,012 |
| 291 |
| | 50,889 |
| Total securities | $ | 246,474 |
| $ | 5,074 |
| $ | 671 |
| | $ | 250,877 |
| | $ | 286,598 |
| $ | 5,120 |
| $ | 1,938 |
| | $ | 289,780 |
|
| | (a) | Includes total U.S. government-sponsored enterprise obligations with a fair value of $45.8 billion for the years ended December 31, 2017 and 2016, which were predominantly mortgage-related. |
| | (b) | Prior period amounts have been revised to conform with the current period presentation. |
| | (c) | Included total U.S. government-sponsored enterprise obligations with amortized cost of $22.0 billion and $25.6 billion at December 31, 2017 and 2016, respectively, which were mortgage-related. |
Securities impairment The following tables present the fair value and gross unrealized losses for the investment securities portfolio by aging category at December 31, 2017 and 2016. | | | | | | | | | | | | | | | | | | | | | | Securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | December 31, 2017 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale debt securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 36,037 |
| $ | 139 |
| | $ | 7,711 |
| $ | 196 |
| $ | 43,748 |
| $ | 335 |
| Residential: | | | | | | | | U.S | 1,112 |
| 5 |
| | 596 |
| 9 |
| 1,708 |
| 14 |
| Non-U.S. | — |
| — |
| | 266 |
| 1 |
| 266 |
| 1 |
| Commercial | 528 |
| 4 |
| | 335 |
| 1 |
| 863 |
| 5 |
| Total mortgage-backed securities | 37,677 |
| 148 |
| | 8,908 |
| 207 |
| 46,585 |
| 355 |
| U.S. Treasury and government agencies | 1,834 |
| 11 |
| | 373 |
| 20 |
| 2,207 |
| 31 |
| Obligations of U.S. states and municipalities | 949 |
| 7 |
| | 1,652 |
| 26 |
| 2,601 |
| 33 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 6,500 |
| 15 |
| | 811 |
| 17 |
| 7,311 |
| 32 |
| Corporate debt securities | — |
| — |
| | 52 |
| 1 |
| 52 |
| 1 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | — |
| — |
| | 276 |
| 1 |
| 276 |
| 1 |
| Other | 3,521 |
| 20 |
| | 720 |
| 4 |
| 4,241 |
| 24 |
| Total available-for-sale debt securities | 50,481 |
| 201 |
| | 12,792 |
| 276 |
| 63,273 |
| 477 |
| Available-for-sale equity securities | — |
| — |
| | — |
| — |
| — |
| — |
| Held-to-maturity securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government securities | 4,070 |
| 38 |
| | 205 |
| 2 |
| 4,275 |
| 40 |
| Commercial | 3,706 |
| 41 |
| | 1,882 |
| 33 |
| 5,588 |
| 74 |
| Total mortgage-backed securities | 7,776 |
| 79 |
| | 2,087 |
| 35 |
| 9,863 |
| 114 |
| Obligations of U.S. states and municipalities | 584 |
| 9 |
| | 2,131 |
| 71 |
| 2,715 |
| 80 |
| Total held-to-maturity securities | 8,360 |
| 88 |
| | 4,218 |
| 106 |
| 12,578 |
| 194 |
| Total securities with gross unrealized losses | $ | 58,841 |
| $ | 289 |
| | $ | 17,010 |
| $ | 382 |
| $ | 75,851 |
| $ | 671 |
|
| | | | | | | | | | | | | | | | | | | | | | Securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | December 31, 2016 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale debt securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 29,856 |
| $ | 463 |
| | $ | 506 |
| $ | 11 |
| $ | 30,362 |
| $ | 474 |
| Residential: | | | | | | | | U.S.(a) | 1,373 |
| 6 |
| | 1,073 |
| 22 |
| 2,446 |
| 28 |
| Non-U.S. | — |
| — |
| | 886 |
| 7 |
| 886 |
| 7 |
| Commercial | 2,328 |
| 17 |
| | 1,078 |
| 3 |
| 3,406 |
| 20 |
| Total mortgage-backed securities | 33,557 |
| 486 |
| | 3,543 |
| 43 |
| 37,100 |
| 529 |
| U.S. Treasury and government agencies | 23,543 |
| 796 |
| | — |
| — |
| 23,543 |
| 796 |
| Obligations of U.S. states and municipalities | 7,215 |
| 181 |
| | 55 |
| 3 |
| 7,270 |
| 184 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 4,436 |
| 36 |
| | 421 |
| 9 |
| 4,857 |
| 45 |
| Corporate debt securities | 797 |
| 2 |
| | 829 |
| 20 |
| 1,626 |
| 22 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | 766 |
| 2 |
| | 5,263 |
| 24 |
| 6,029 |
| 26 |
| Other | 739 |
| 6 |
| | 1,992 |
| 39 |
| 2,731 |
| 45 |
| Total available-for-sale debt securities | 71,053 |
| 1,509 |
| | 12,103 |
| 138 |
| 83,156 |
| 1,647 |
| Available-for-sale equity securities | — |
| — |
| | — |
| — |
| — |
| — |
| Held-to-maturity debt securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government agencies | 3,129 |
| 37 |
| | — |
| — |
| 3,129 |
| 37 |
| Commercial | 5,163 |
| 114 |
| | 441 |
| 15 |
| 5,604 |
| 129 |
| Total mortgage-backed securities | 8,292 |
| 151 |
| | 441 |
| 15 |
| 8,733 |
| 166 |
| Obligations of U.S. states and municipalities | 4,702 |
| 125 |
| | — |
| — |
| 4,702 |
| 125 |
| Total held-to-maturity securities | 12,994 |
| 276 |
| | 441 |
| 15 |
| 13,435 |
| 291 |
| Total securities with gross unrealized losses | $ | 84,047 |
| $ | 1,785 |
| | $ | 12,544 |
| $ | 153 |
| $ | 96,591 |
| $ | 1,938 |
|
| | (a) | Prior period amounts have been revised to conform with the current period presentation. |
Gross unrealized losses The Firm has recognized unrealized losses on securities that it intends to sell as OTTI. The Firm does not intend to sell any of the remaining securities with an unrealized loss in AOCI as of December 31, 2017, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities for which credit losses have been recognized in income, the Firm believes that the securities with an unrealized loss in AOCI are not other-than-temporarily impaired as of December 31, 2017. Other-than-temporary impairment AFS debt and equity securities and HTM debt securities in unrealized loss positions are analyzed as part of the Firm’s ongoing assessment of OTTI. For most types of debt securities, the Firm considers a decline in fair value to be other-than-temporary when the Firm does not expect to recover the entire amortized cost basis of the security. 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 considers an impairment to be other-than-temporary when there is an adverse change in expected cash flows. For AFS equity securities, the Firm considers a decline in fair value to be other-than-temporary if it is probable that the Firm will not recover its cost basis. Potential OTTI is considered using a variety of factors, including the length of time and extent to which the market value has been less than cost; adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; payment structure of the security; changes to the rating of the security by a rating agency; the volatility of the fair value changes; and the Firm’s intent and ability to hold the security until recovery. For AFS debt securities, the Firm recognizes OTTI 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 basis. In these circumstances the impairment loss is equal to the full difference between the amortized cost basis and the fair value of the securities. For debt securities in an unrealized loss position that the Firm has the intent and ability to hold, the expected cash flows to be received from the securities are evaluated to determine if a credit loss exists. In the event of a credit loss, only the amount of impairment associated with the credit loss is recognized in income. Amounts relating to factors other than credit losses are recorded in OCI. The Firm’s cash flow evaluations take into account the factors noted above and expectations of relevant market and economic data as of the end of the reporting period. For securities issued in a securitization, the Firm estimates cash flows considering 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. The Firm also performs other analyses to support its cash flow projections, such as first-loss analyses or stress scenarios. For equity securities, OTTI losses are recognized in earnings if the Firm intends to sell the security. In other cases the Firm considers the relevant factors noted above, as well as the Firm’s intent and ability to retain its investment for a period of time sufficient to allow for any anticipated recovery in market value, and whether evidence exists to support a realizable value equal to or greater than the cost basis. Any impairment loss on an equity security is equal to the full difference between the cost basis and the fair value of the security. Securities gains and losses The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income. | | | | | | | | | | | | | Year ended December 31,
(in millions) | 2017 |
| | 2016 |
| | 2015 |
| Realized gains | $ | 1,013 |
| | $ | 401 |
| | $ | 351 |
| Realized losses | (1,072 | ) | | (232 | ) | | (127 | ) | OTTI losses(a) | (7 | ) | | (28 | ) | | (22 | ) | Net securities gains/(losses) | (66 | ) | | 141 |
| | 202 |
| | | | | | | OTTI losses | | | | | | Credit losses recognized in income | — |
| | (1 | ) | | (1 | ) | Securities the Firm intends to sell(a) | (7 | ) | | (27 | ) | | (21 | ) | Total OTTI losses recognized in income | $ | (7 | ) | | $ | (28 | ) | | $ | (22 | ) |
| | (a) | Excludes realized losses on securities sold of $6 million, $24 million and $5 million for the years ended December 31, 2017, 2016 and 2015, respectively that had been previously reported as an OTTI loss due to the intention to sell the securities. |
Changes in the credit loss component of credit-impaired debt securities The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS debt securities was not material as of and during the years ended December 31, 2017, 2016 and 2015. Contractual maturities and yields The following table presents the amortized cost and estimated fair value at December 31, 2017, of JPMorgan Chase’s investment securities portfolio by contractual maturity. | | | | | | | | | | | | | | | | | | | | | By remaining maturity December 31, 2017 (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 debt securities | | | | | | | | | | Mortgage-backed securities(a) | | | | | | | | | | Amortized cost | $ | 3 |
| | $ | 698 |
| | $ | 6,134 |
| | $ | 79,051 |
| | $ | 85,886 |
| Fair value | 3 |
| | 708 |
| | 6,294 |
| | 79,667 |
| | 86,672 |
| Average yield(b) | 4.76 | % | | 2.10 | % | | 3.10 | % | | 3.35 | % | | 3.32 | % | U.S. Treasury and government agencies | | | | | | | | | | Amortized cost | $ | 60 |
| | $ | — |
| | $ | 17,437 |
| | $ | 5,013 |
| | $ | 22,510 |
| Fair value | 60 |
| | — |
| | 17,542 |
| | 5,143 |
| | 22,745 |
| Average yield(b) | 1.72 | % | | — | % | | 1.96 | % | | 1.76 | % | | 1.91 | % | Obligations of U.S. states and municipalities | | | | | | | | | | Amortized cost | $ | 73 |
| | $ | 750 |
| | $ | 1,265 |
| | $ | 28,402 |
| | $ | 30,490 |
| Fair value | 72 |
| | 765 |
| | 1,324 |
| | 30,177 |
| | 32,338 |
| Average yield(b) | 1.78 | % | | 3.28 | % | | 5.40 | % | | 5.50 | % | | 5.43 | % | Certificates of deposit | | | | | | | | | | Amortized cost | $ | 59 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 59 |
| Fair value | 59 |
| | — |
| | — |
| | — |
| | 59 |
| Average yield(b) | 0.50 | % | | — | % | | — | % | | — | % | | 0.50 | % | Non-U.S. government debt securities | | | | | | | | | | Amortized cost | $ | 5,020 |
| | $ | 13,665 |
| | $ | 8,215 |
| | $ | — |
| | $ | 26,900 |
| Fair value | 5,022 |
| | 13,845 |
| | 8,427 |
| | — |
| | 27,294 |
| Average yield(b) | 3.09 | % | | 1.55 | % | | 1.19 | % | | — | % | | 1.73 | % | Corporate debt securities | | | | | | | | | | Amortized cost | $ | 150 |
| | $ | 1,159 |
| | $ | 1,203 |
| | $ | 145 |
| | $ | 2,657 |
| Fair value | 151 |
| | 1,197 |
| | 1,255 |
| | 154 |
| | 2,757 |
| Average yield(b) | 3.07 | % | | 3.60 | % | | 3.58 | % | | 3.22 | % | | 3.54 | % | Asset-backed securities | | | | | | | | | | Amortized cost | $ | — |
| | $ | 3,372 |
| | $ | 13,046 |
| | $ | 13,274 |
| | $ | 29,692 |
| Fair value | — |
| | 3,353 |
| | 13,080 |
| | 13,380 |
| | 29,813 |
| Average yield(b) | — | % | | 2.14 | % | | 2.58 | % | | 2.36 | % | | 2.43 | % | Total available-for-sale debt securities | | | | | | | | | | Amortized cost | $ | 5,365 |
| | $ | 19,644 |
| | $ | 47,300 |
| | $ | 125,885 |
| | $ | 198,194 |
| Fair value | 5,367 |
| | 19,868 |
| | 47,922 |
| | 128,521 |
| | 201,678 |
| Average yield(b) | 3.03 | % | | 1.86 | % | | 2.28 | % | | 3.66 | % | | 3.14 | % | Available-for-sale equity securities | | | | | | | | | | Amortized cost | $ | — |
| | $ | — |
| | $ | — |
| | $ | 547 |
| | $ | 547 |
| Fair value | — |
| | — |
| | — |
| | 547 |
| | 547 |
| Average yield(b) | — | % | | — | % | | — | % | | 0.71 | % | | 0.71 | % | Total available-for-sale securities | | | | | | | | | | Amortized cost | $ | 5,365 |
| | $ | 19,644 |
| | $ | 47,300 |
| | $ | 126,432 |
| | $ | 198,741 |
| Fair value | 5,367 |
| | 19,868 |
| | 47,922 |
| | 129,068 |
| | 202,225 |
| Average yield(b) | 3.03 | % | | 1.86 | % | | 2.28 | % | | 3.65 | % | | 3.13 | % | Held-to-maturity debt securities | | | | | | | | | | Mortgage-backed securities(a) | | | | | | | | | | Amortized Cost | $ | — |
| | $ | — |
| | $ | 49 |
| | $ | 33,311 |
| | $ | 33,360 |
| Fair value | — |
| | — |
| | 49 |
| | 33,756 |
| | 33,805 |
| Average yield(b) | — | % | | — | % | | 2.88 | % | | 3.27 | % | | 3.27 | % | Obligations of U.S. states and municipalities | | | | | | | | | | Amortized cost | $ | — |
| | $ | 66 |
| | $ | 2,019 |
| | $ | 12,288 |
| | $ | 14,373 |
| Fair value | — |
| | 65 |
| | 2,067 |
| | 12,715 |
| | 14,847 |
| Average yield(b) | — | % | | 4.74 | % | | 4.30 | % | | 4.72 | % | | 4.66 | % | Total held-to-maturity securities | | | | | | | | | | Amortized cost | $ | — |
| | $ | 66 |
| | $ | 2,068 |
| | $ | 45,599 |
| | $ | 47,733 |
| Fair value | — |
| | 65 |
| | 2,116 |
| | 46,471 |
| | 48,652 |
| Average yield(b) | — | % | | 4.75 | % | | 4.26 | % | | 3.66 | % | | 3.69 | % |
| | (a) | As of December 31, 2017, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $55.1 billion and $56.0 billion, respectively. |
| | (b) | 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. Taxable-equivalent amounts are used where applicable and reflect the estimated impact of the enactment of the Tax Cuts and Jobs Act (“TCJA”). 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. |
| | (c) | Includes securities with no stated maturity. 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 six years for agency residential MBS, three years for agency residential collateralized mortgage obligations and three years for nonagency residential collateralized mortgage obligations. |
|