Investment 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 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 securities 50,481 201 12,792 276 63,273 477 Held-to-maturity securities Mortgage-backed securities U.S. government agencies 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 investment securities with gross unrealized losses $ 58,841 $ 289 $ 17,010 $ 382 $ 75,851 $ 671 Other-than-temporary impairment AFS and HTM debt securities in unrealized loss positions are analyzed as part of the Firm’s ongoing assessment of OTTI. 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 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 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. Factors considered in evaluating potential OTTI include 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. 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. When assessing securities issued in a securitization for OTTI, 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 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. JPMorgan Chase & Co./2018 Form 10-K 213