The Jays were a prominent merchant family in New York City, descended from Huguenots who had come to New York to escape religious persecution in France. In 1685 the Edict of Nantes had been revoked, thereby abolishing the rights of Protestants and confiscating their property. Among those affected was Jay's paternal grandfather, Augustus Jay. He moved from France to New York, where he built a successful merchant empire. Jay's father, Peter Jay, born in New York City in 1704, became a wealthy trader in furs, wheat, timber, and other commodities.