tables credit portfolio CCB AWM Corporate.credit portfolio December 31, millions loans excluding credit Residential real estate,745 Auto,192 Total loans,753 Loans-sale Loans fair value,004 consumer excluding credit loans,375,325 Lending-related commitments consumer excluding credit,496 Credit Loans retained,175 credit card loans Lending-related commitments credit card exposure consumer credit portfolio,277,352 Credit-related December millions charge-offs loanretained charge-off rate Consumer excluding credit card Residential real estate,454. Auto,546,955. Total consumer excluding credit card,061,409. Credit card retained,403####191,412,335. Total consumer retained,330,473,744.


loans CCB AWM.


December 2023 2022 excluded lease $10. $12. billion. balance sheets. Note 18.


loans overdrafts.


loans CCB unsecured loans.


card home equity business banking commitments represent lines credit. Firm anticipate all lines used. credit card home equity business banking reduce cancel lines notice without notice. Note 28 information.


interest.


commercial card CB CIB.


notional protection credit notes estate auto loans consumer portfolio.


December 31, 2023 $102. First Republic. billion $2. billion.


December 2023 2022 nonaccrual loans excluded mortgage loans 90 days insured. $182 million $302 million. credit card loans nonaccrual.


excludes loans COVID-19.


December 2023 2022 loans excluded $15 $101 million loans.


loans $12. 9 billion $17. 4 billion 2023 2022. charge rates.


table loan maturities repayments class fixed interest rates terms. Firm estimated repayment residential estate auto classes weighted-average balance interest rates term. Note 12.December 2023 millions 1 year years years 15 Consumer excluding credit card Residential real estate,374 Auto,719 consumer credit card loans,762 credit card loans,418,123 consumer loans,439,462 one year fixed interest rates Residential real estate,337,603,044,236 Credit card variable interest rates Residential real,110,901,549 consumer loans,462#181,597


$3. $4. 6 $27. $56. 2 loans First Republic.


$3. $8. $15. billion 1-5 First Republic.


loans fixed interest rate resets variable prevailing life loan.


$1. $19. $41. billion 1-5 First Republic.


fair value.


Loans 2022 First Republic auto loans.


discussions loan. Note 12 delinquencies modifications credit indicators.


Residential real estate-sale value prime mortgage home equity lines.


loans increased 2022 First Republic. nonaccrual loans decreased loan sales offset paydowns additions. recoveries lower 2023 lower prepayments higher interest rates.


Loans value increased December 2022 Home Lending CIB purchases.


December 2023 2022 interest-only loans $90. 6 billion $36. 3 billion. increase First Republic. interest-only higher-balance-income borrowers. comparable prime mortgage portfolio.


home equity lines $16. 1 billion December 31, 2023 $2. 6 billion First Republic. $4. 2 billion HELOCs $4. 3 billion interest-only balloon HELOCs after 2030. manages risk undrawn line.


. agencies fair value. Firm monitors unrecoverable payments-insured loan losses. millions 31, 2023 2022 30-89 days 90 days government guaranteed loans


Geographic loan-value loans


2023 $228. billion 70% Florida Texas Massachusetts $147. billion 62% 2022.


loan-value ratios improved prices.


Note 12 geographic composition LTVs loans.


2023 residential real estate FDMs $136 million. Firm $69 million loans modification $9 million Chapter 7 bankruptcy. TDR eliminated criteria. modifications Chapter 7 loans TDRs FDMs. Note 1 12.


2022 residential TDRs $362 million. Note 12.


Auto loan portfolio prime-quality scored auto banking loans consumer unsecured loans overdrafts. portfolio increased 2022 auto unsecured loans First Republic offset paydowns. Net charge-offs December 2023 increased used vehicle valuations. charge-off rates. 24% 2023 2022.


table December 2023 2022 nonperforming assets. December Nonaccrual loans Residential real estate,015,196 Auto loans,203,325 Assets loan Real estate nonperforming assets,365


December 2023 2022 nonperforming assets excluded loans insured. $182 million $302 million.


excludes loans COVID-19.


December 2023 2022 loans excluded $15 $101 million loans.


table nonaccrual loans 2023 2022. loan activity millions balance,325,350 Additions,196 Reductions Principal payments,306 Charge-offs Foreclosures liquidations reductions,221 Net changes balance,203,325


reductions.


Note 12 consumer credit portfolio delinquencies indicators loan modifications foreclosure.


credit card loans increased 2022 accounts revolving balances pre-pandemic. December 31, 2023 30 90+ delinquency rates. 14%. 05%,. charge-offs increased 2023 delinquencies.


card loans accrual charged. losses uncollectible accrued interest fee income.


2023 $98. billion 46% California Texas York Illinois $85. billion 2022.


December 31, 2023 credit card FDMs $648 million. increased delinquencies normalized. Firm $27 million loans trial modification modified. TDR eliminated assessment criteria. trial modifications TDRs not FDMs.


TDRs $418 million.


Note 1 12 delinquencies composition modifications.


Firm exposed credit risk through underwriting market-making hedging operating services cash securities financing cash banks. loans retained balance sheet. distributes loans market portfolio concentrations credit risk. portfolio managed reviews client credit quality transaction structure collateral industry product client concentrations. industry discussion pages 122–125.


credit portfolio CIB CB AWM Corporate CCB wholesale methodology loan losses. operations clients services First Republic. reporting classifications risk rating change. Business Developments page 53.


December 2023 loans $68. billion First Republic. commitments $64. billion CIB.


December 2023 nonperforming increased $476 million loans Real Estate Healthcare First Republic name upgrade.


December 2023 wholesale charge-offs increased $698 million driven restructuring loan Real Estate Consumer Retail. credit portfolio December 31, millions exposure Loans retained,472 Loans held-sale fair value,097 Derivative receivables,880 Receivables customers,257 wholesale credit assets,234 loan Real estate Lending-related commitments,980 wholesale credit portfolio,341,765,696 Credit derivatives-related notes Liquid securities cash collateral derivatives


loans CIB CCB AWM accrued interest receivable balance sheets.


protection purchased credit derivatives notes qualify hedge accounting. GAAP. Credit derivatives page 130 Note 5.


. billion First Republic.


tables maturity risk wholesale credit portfolio 2023 2022. Firm considers ratings BBB-/Baa3 investment grade collateral structural support. Note 12.profile year 5 December 31, 2023 millions-grade Loans,104,821,547,472,838,634 Derivative receivables,864 Liquid securities collateral derivatives,461 derivative receivables collateral,426,403 Lending-related commitments,337,646,803,786,175,448,437,776,661,368,293 Loans-sale fair value,018 Receivables customers net securities collateral,319,304 Credit derivatives-related notes portfolio,353 profile year less 5 years December 31,2022 millions Loans retained,896,013,670,412,258,670 Derivative receivables,880 Liquid securities collateral derivatives derivative receivables net collateral,880,478,866 Lending-related commitments,456,441,980,168,352,232,123,516,811 Loans-sale fair value,427 Receivables customers,257 net liquid securities collateral Credit derivatives notes portfolio management(2,817),143,115


held-for-sale related syndicated transferred.


derivatives hedge accounting.


notional amounts presented net reference entity ratings profile protection purchased. credit derivatives Firm protection executed investment-grade counterparties. obtains credit protection loans credit-related notes.


maturity loans commitments receivables contractual maturity. contracts receivable December 2023 payable cash flow market.


Firm credit concerns. banking substandard doubtful. criticized exposure $41. 4 billion December 2023 $31. 3 billion 2022 3. 3% 2. 7% wholesale credit exposure. $38. 3 billion performing. increase driven Real Estate Technology Media Telecommunications Healthcare.


table summarizes exposures December 2023 2022. risk business activity. Note 4.


ended December 2023


metrics days past due accruing loans charge-offs-related notes exposure year December 31, 2022 millions Real Estate,857,866,609 Individuals Entities,815,006,104 Asset Managers,656,665 Consumer Retail,555,781,295 Technology Media Telecommunications,286,199,689,096 Industrials,483,052,500 Healthcare,839,117 Banks Finance Companies,994 Utilities,218,981,294State Municipal Govt,847,191 Oil Gas,668,547 Automotive,287,839 Chemicals Plastics,030,134,103 Insurance,468,396 Central Govt,095,698 Transportation,009####6,497 Metals Mining,825 Securities Firms,235,716 Financial Markets Infrastructure,307,284,555,435 Subtotal,146,530,772,587,714,698,143) Loans-sale fair value,427 Receivables,257 Total


industry rankings December 31, 2022 based December 31, 2023 not 2022.


Global Private Bank clients AWM. Morgan Wealth Management companies trusts.


governments. 2022 Firm $5. 9 $6. 6 billion trading assets $21. 4 $6. AFS securities $9. $19. 7 billion HTM securities. Note 2 10.


SPEs organizations 94% 6% December 2023 95% 5% 2022.


cash $614. $556. 6 billion 2023 2022 Federal Reserve.


exposure net risk excludes credit derivatives notes receivables liquid securities cash collateral.


value lending commitments.


. billion First Republic Real Estate Asset Managers.


protection purchased sold credit derivatives notes qualify hedge accounting. GAAP. category protection indices.


Firm’s industry exposures.


Estate. billion 2023. increased $5. billion $4. 2022 $9. billion downgrades upgrades.31, 2023 millions Lending Commitments Receivables exposure Investment Multifamily Industrial,254 Office,462 Services Non Income Producing,145 Income Properties,542,750 Retail,763 Lodging Real Estate Exposure,261 31, 2022 millions Lending Commitments Receivables Investment Multifamily,555 Industrial Office,942 Services Non Income Producing Other Income Properties,701,851Retail,192,200 Lodging,347,385 Real Estate,608,857


exposure California.


Income Producing Properties diversified outside categories table.


Estate 82% secured unsecured investment-grade Trusts Operating Companies assets diversified.


. billion First Republic Multifamily.


drawn percentage credit.


Consumer Retail $127. billion. $409 million $7. billion $8. 3 billion downgrades upgrades.31, millions Lending Commitments Receivables Investment Retail,376 Business Consumer Services,214 Food Beverage,256,186 Consumer Hard Goods,169,366 Leisure(b Total Consumer Retail,073,086 31, millions Lending Commitments Receivables Investment Retail,891,200 Business Consumer Services,256,640 Food Beverage,442 Consumer Hard Goods,879,051 Leisure(b,222 Total Consumer Retail,555


Home Supermarkets Discount Stores Apparel Department Stores.


Gaming Arts Travel Sports Recreation. 90% portfolio secured.


Retail 59% unsecured 79%.


drawn percent credit.


Oil Gas exposure $34. 5 billion December 31, 2023 $123 million criticized. millions Lending Commitments Receivables Investment Exploration Production Oil Services,121 Gas Total Oil Gas,770 31, millions Lending Commitments Receivables Investment Exploration Production Oil Services,395 Other Oil Gas,273 Total Oil,547,121,668


Gas Integrated Midstream refineries.


Gas 35% secured half reserve Exploration unsecured 61%.


Firm provides loans high-net-worth. Note 12 loans delinquencies modifications credit quality indicators.


table nonaccrual loan portfolio 2023 2022. 2022 exposure increased $319 million Real Estate Healthcare First Republic upgrade Civic Organizations. nonaccrual loan activity balance,445 Additions,119 Reductions Paydowns charge-offs Sales reductions,224,169 changes Ending balance,714


table presents net charge-offs/recoveries 2023 2022. include gains losses sales nonaccrual loans. net charge-offs Year December 31, Average loans retained Gross charge-offs recoveries collected Net charge-offs-off rate.


amortized FDMs $2. billion. 1 12.


TDRs $801 million.


elimination requirement assess modification concession FDMs greater TDRs. Note 12 information TDRs periods.


table wholesale loan maturities fixed floating interest rates class. Note 12 classes. December 31, 2023 millions year 5 15 Wholesale loans Secured real estate,144,764,417,297 Commercial industrial,339,194,752,760,558,999 loans,247,863,999,381,490 one year fixed interest rates real estate,871,185 Commercial industrial variable interest rates real#45,893,787,696 Commercial industrial,334,093,497,902 Total wholesale,863,999,381


$6. $16. $9. 7 billion loans 1 5 First Republic.


. billion $4. billion loans 1 5 First Republic.


$9. 7 billion $5. 5 First Republic.


loans fixed interest rate resets variable prevailing life loan.


$7. billion $4. billion 5 First Republic.


$3. billion First Republic.


loans overdrafts.


table presents net charge-offs/recoveries average retained loans rate by loan class ended December 2023 2022. by real industrial millions except ratios Net charge-offs(recoveries Average retained loans,611 Net charge-off/(recovery rate.


Firm uses instruments commitments guarantees financing needs. contractual amounts represent maximum credit risk clients draw down commitments. commitments guarantees refinanced extended cancelled expired without default. Firm believe total contractual amount future credit exposure funding requirements. Note 28 information commitments.


Receivables reflect loans clients CIB CCB AWM collateralized by assets cash liquid debt securities. credit risk Firm establishes requirements monitors requires deposit cash collateral reduce positions. Credit risk mitigated by short-term fair value collateral right obligation additional margin. receivables require credit losses. estimates losses value collateral probability borrower default. receivables reported accrued interest accounts receivable balance sheets.


Note 13 policies credit losses.


Derivatives enable risk credit interest rates foreign exchange equities commodities prices. Firm makes markets derivatives risks counterparty credit risk receivables. uses instruments credit risk market. counterparty settlement mechanism affect credit risk. OTC derivatives exposed credit risk counterparty. exchange-traded futures cleared-counter derivatives


risk CCP. Firm risk derivative contracts master netting arrangements collateral agreements. OTC derivative transactions excluding exchange spot trades short 87% December 31, 2023 2022. Note 5 collateral agreements derivative contracts settlement types.


value derivative receivables $54. 9 billion $70. 9 billion December 2023 2022. decrease market movements. value agreements collateral.


Firm holds liquid securities cash collateral security favor. liquid securities high quality liquid assets LCR rule.


credit risk collateral securities high quality assets LCR rule. benefits additional collateral subject master netting agreement limited net derivative receivables.


Firm holds additional collateral cash G7 government securities guaranteed securities corporate debt equity securities delivered non-daily frequency return not settled. collateral reduce receivables not included tables security against exposure derivative contracts. Note 5 collateral derivative transactions.


tables summarize derivative receivables internal ratings. December 31, millions cash collateral,864,880 Liquid securities cash collateral(22,461) net liquid securities collateral,403,866 Other(993),261) net collateral#31,410,605 Ratings profile receivables December 31, millions net collateral Investment-grade,004,097 Noninvestment-grade,605


derivative receivables future variability. Firm calculates three measures loss Peak Derivative Risk Equivalent Average exposure. incorporate netting collateral benefits.


Peak derivative exposure collateral counterparty equivalent 97. 5% confidence. primary credit limits contracts senior management reporting exposure.


DRE exposure derivative exposure collateral loan exposures. less extreme credit loss Peak aggregating derivative credit risk loans.


AVG expected value Firm’s derivative exposures collateral future. contract primary metric pricing credit risk capital CVA.


Firm’s derivative receivables CVA credit quality counterparties. based Firm’s AVG counterparty credit spread. active risk management credit risk derivatives portfolio. wrong-way risk


defined risk exposure counterparty default exposure capacity obligations. factors influence correlations. correlations identified Firm adjust CVA counterparty’s AVG. manages exposure CVA credit interest rate foreign exchange equity commodity contracts.


graph exposure derivatives portfolio 10 years Peak DRE AVG metrics. exposure first year trades.


Firm uses credit derivatives two market-maker manage credit risk exposures.


Firm’s activities credit derivatives risk lending derivatives counterparty wholesale businesses portfolio management. Information table below.


Firm uses credit derivatives manage credit risk securities. not included credit portfolio management activities. derivatives notes protection purchased sold December 31, millions manage Loans commitments Derivative receivables,832 derivatives portfolio,143


presented net protection purchased sold entity.


credit derivatives qualify hedge accounting. GAAP reported at fair value gains losses recognized revenue. loans risk-managed accounted accrual. asymmetry derivatives causes earnings volatility not credit exposure.


effectiveness credit default swaps hedge against Firm’s exposures vary factors named reference entity. losses contractual terms loss maturity Firm’s CDS protection shorter than exposures. Firm seeks credit protection maturity date same or similar to exposure differences maturity monitored managed. Refer Credit derivatives Note 5 information portfolio management.


Firm’s allowance for credit losses represents estimate expected credit losses financial assets amortized cost off-balance sheet lending commitments. loan losses loan portfolios-related commitments reflected in accounts payable liabilities credit losses on investment securities.


credit losses December 2023 $24. billion. billion.


addition credit losses $1. 9 billion$1. 3 billion consumer CCB $1. 4 billion Card Services reduction $200 million Home Lending. loan growth revolving balances reduced borrower uncertainty. reduction Lending home prices$675 million wholesale downgrade macroeconomic commercial real estate accounts receivable loan lending.


$1. 2 billion First Republic loans 2023.


Firm outlook third quarter 2023 lower unemployment higher growth adverse scenarios first quarter 2023 recession risks high inflation financial conditions.


credit losses $587 million TDR January 1 2023. Note 1.


Firm's allowance credit losses estimated five scenarios. adverse scenarios punitive. unemployment 5. 5% fourth quarter 2024. GDP 1. 5% lower second quarter 2025.


table presents Firm’s central case assumptions December 31, U. S. unemployment rate. YoY growth U. GDP. assumptions December 31,. unemployment rate. YoY growth U. S. GDP.


quarterly average. unemployment


year over growth. GDP forecast calculated percentage change. prior year.


reflected credit losses


Accounting Estimates 155–158 credit losses judgments.


Consumer Credit pages 114–119 Wholesale 120–130.


Retained loans end period average Credit ratios Allowance losses


loan losses loans


impact loan losses TDR January 1 2023. Note 1.


collateral loans foreclosure risk-rated loans periods. collateral-dependent modified PCD loans.


December 31, 2023 2022 Firm $243 million $21 million accounts receivable CIB.


2023 losses First Republic.


credit card loans nonaccrual regulatory guidance.


table allowance loan losses class. Note 12. December 31, millions except ratios losses retained loans Residential real estate Auto other Consumer excluding credit card Credit card,450,200 Total consumer,306,240 Secured real estate,997 Commercial industrial Other,197 Total wholesale,420,726


2023 loan losses First Republic.


portfolio risk loss principal returns principal investments. securities portfolio held by Treasury CIO balance asset-liability. Principal investments privately-held managed LOBs Corporate. extended periods no expectation short-term gains.


securities risk default principal interest. mitigated Treasury CIO high-quality. December 31, 2023 Treasury CIO portfolio $569. 2 billion average credit rating AA+ internal risk ratings. Corporate segment results pages 84–85 Note 10 portfolio risk. Liquidity Risk Management 102–109. Market Risk Management 135–143 risk.


Risk Appetite reviewed CTC Committee Board Committee.


Firm’s carrying value investment securities. Approved levels each risk category capital credit.


Principal investments privately-held instruments junior capital. include tax-oriented business strategies consolidated. by businesses broader strategy. managed by LOBs Corporate reflected financial results. evolve market circumstances strategic initiatives environmental social goals.


table values portfolios 2023 2022. billions investments alternative energy affordable housing. Private equity debt instruments real assets. carrying value.


December 2023. billion CIB First.


principal investment risk governance structure. established risk policy framework investing approval executives independent.


Firm’s control carrying value investments policies. approved levels investments established monitored each business size. conducts stress testing portfolios losses market moves risk events.


Market risk interest rates equity commodity prices credit spreads volatilities value assets liabilities.


Risk Management defines policies procedures.


Market Risk Management decisions volatility transparency risk senior management Board regulators. policy framework measuring LOB Corporate Firmwide market risk limits stress testing risk assessments


no single measure market risk Management uses metrics-at-risk testing loss-at-risk Value Sensitivity measures


Market risk managed limits market environment business strategy. volatility liquidity business management judgment. Firm limits VaR stress. LOB Corporate VaR stress supplemented profit loss drawdowns. Limits LOBs Corporate legal entity level.


Market Risk Management sets limits reviews updates. Senior management limits. Limits not reviewed reported senior management. LOBs Corporate limits monitored.


Limit breaches approvers Market Risk Management senior management. Market Risk Management consults senior members action positions compliance reduction risk temporary increase limits activity volatility. Firm Corporate LOB-level breaches escalated.


Models market risk imprecise risks losses. imprecision shifts. uncertainty Estimations Model Risk Management page 154.


Market Risk Management reviews measures enhancement measures over time.


table summarizes business activities market risks positions measures LOB Corporate.


LOB Corporate investing. investments reflected risk measures table. Investment Portfolio Risk Management page 134 principal investments.business activities market risks Risk Management earnings-at-risk measures mortgage loans mortgage commitments closing rate prepayment risk commitments derivatives loans instruments derivatives-only mortgage-backed securities trading assets instruments hedges value option liabilities loan portfolio fixed income foreign exchange equities commodities deposits loss market prices interest rate foreign exchange credit commodity equity risk asset values rate prepayment risk assets debt marketable equity instruments derivatives hedges portfolio securities purchased loaned sold resale borrowed value liabilities loans CVA hedges equity investments portfolio held equity investments real estate loansrisk hedges spreads loans deposits rate prepayment risk equity investments loan portfolio capital investments mutual third investors market factors. prices rates credit spreads securities trading assets instruments derivatives loan portfolio seed capital investments hedges deferred compensation third-party investors. liquidity funding capital interest rate foreign exchange risks interest rate risk non-USD foreign exchange risks positions noninterest revenue equity investments banks securities interest rate hedges-term debt hedges held equity investments fair value exchange exposure non-USD long-term debt hedges


Risk Management DVA sensitivity measures.


AWM CB contributions VaR 2023 2022.


JPMorgan Chase value loss market moves. single VaR framework Risk Management Regulatory VaR.


framework employed Firm historical simulation previous 12 months. assumes changes market potential outcomes future. Risk Management VaR daily measure risk aligned decisions LOBs Corporate information risk events.


Firm’s Risk Management VaR one-day holding tail-loss 95% confidence. risk profiles diversification limits. results senior management Board Risk Committee regulators.


VaR model framework market returns for risk factors product types. calculations performed daily for businesses market risk. models incorporate risk factors inputs daily changes market values inputs selected based on risk profile portfolio. results aggregated at Firm level.


VaR based on data imperfect market risk future losses. reliance data limited time horizons risks predict losses market illiquidity shifts.


products risk parameters VaR liquidity historical data. Firm uses proxies estimate VaR daily. price-based time series VaR results. considers nonstatistical measures


manage market risk positions.


VaR calculations daily consistent source valuation daily market data third-party data VCG monthly. market prices proxies data sources differ. Valuation process Note 2.


Firm’s VaR model calculations market conditions modeling techniques. affect comparisons. Estimations Model Risk Management page 154 reviews approvals.


Firm calculates daily VaR rules capital requirements Basel III rules. assumes ten business-day holding period expected loss methodology 99% confidence level. positions Basel III rules different Risk Management VaR. credit derivative hedges Regulatory VaR excludes. excludes diversification benefit certain models.


JPMorgan Basel III 3 Regulatory Capital Disclosures reports website VaR market risk regulatory capital. backtesting.


table Risk Management VaR measure 95% confidence. positions market volatility diversification benefits. year December millions.CIB trading risk type Fixed income#49 Foreign exchange Equities Commodities other Diversification benefit CIB trading CIB trading Credit Portfolio Diversification benefit CIB CIB VaR#### CCB VaR Corporate other LOB VaR Diversification benefit#### Diversification benefit CIB other Total VaR#43#26#242####


benefit difference portfolio VaR components. non-additive VaR imperfect correlation LOBs Corporate risk types. minimum benefit meaningful different days.


Portfolio VaR includes derivative CVA hedges retained loan portfolio reported transactions revenue. retained loan portfolio fair value. credit risk component CVA removed credit spreads. hedges removed. exposure reflected measures.


legacy private equity publicly traded.


March 2022 nickel price increases volatility Credit Portfolio Total.


VaR decreased $15 million 2023.


risk reductions income commodities equities.


graph Risk four quarters.


First Quarter Quarter Quarter


Firm performs daily VaR backtesting compares Risk Management VaR results gains losses. gains losses reflect revenue exclude revenue new transactions. fees commissions valuation adjustments interest income. excluded offset backtesting gain loss. consistent with Basel III capital rules.


backtesting exception daily loss exceeds Risk Management VaR. Firm’s Risk Management VaR methodology exceptions five times every 100 trading days. exceptions differ if market volatility different from 12 months historical data.


12 months December 2023 Firm posted gains 139 258 days observed 13 exceptions eight three months. backtesting loss days differ Fixed Income Markets Equity Markets exclusion revenue gains losses.


chart Firmwide daily backtesting gains losses 12 three months December 2023. losses Risk Management VaR. losses fifty percentage point intervals. exceptions. differ Market Risk Basel III Pillar 3 Regulatory Capital Disclosures reports VaR.


VaR stress testing risk. VaR reflects changes stress testing changes risk positions. testing measures vulnerability losses stressed economic market scenarios. results exposures losses measured against limits.


Firm’s stress framework covers market risk positions LOBs Corporate. stress market rallies sell-offs changes equity interest hypothetical economic market scenarios.


Firm generates scenarios events asset classes geographies market factors. idiosyncratic stress products. flexibility stress framework scenarios future stress. results reported senior management.


Stress scenarios framework Market Risk Management models Estimations Risk Management Policy. Firmwide Market Risk Methodology Committee reviews. changes senior management.


Firm’s stress testing framework CCAR results reported Board Directors. Risk Appetite reported Board Risk Committee.


Profit loss drawdowns losses risk tolerance. revenue peak.


effect interest rate exposure net income important risk market. risk trading activities


traditional banking activities loans deposits debt investment securities derivative instruments. page 136 summary LOB earnings-risk.


CTC Risk Committee establishes interest rate risk policy limits Board Risk Committee. calculates reviews senior management. oversight risk function CTC CRO. oversight limits Earnings-at-Risk Economic Value Sensitivity. Firm manages risk investment securities portfolio interest rate derivatives.


Structural interest rate risk due to factors •Differences timing maturity repricing assets liabilities off-balance instruments amounts short-term long-term market interest rates change yield curve impact maturity interest rates


Firm manages interest rate exposure. units transfer risk Treasury CIO pricing. asset liability balances contractual rates schedules prepayment experience reset dates maturities indices repricing ceilings adjustable products.


Firm rate risk earnings-at-risk. estimates interest rate exposure. presented baseline income fees. market interest rates


deposits. Firm conducts simulations interest rate-sensitive assets liabilities. dollars. simulations include retained loans deposits securities long debt interest rate hedges funds transfer pricing 136. exclude hedges non. dollar risk. hedges dollar. dollar non. dollar foreign exchange risk page 145.


Earnings-at-risk scenarios estimate potential change net interest income 12 months assumptions. scenarios include parallel shift short long rates steeper yield curve increasing flatter curve increasing. scenarios consider factors impact changes interest rates. balance sheet modeled prepayment reinvestment behavior assumptions actions rate changes. Mortgage prepayment assumptions based on interest rates time origination factors updated. Deposit forecasts key earnings-at-risk. baseline reflects assumptions reversal Quantitative Easing management judgment. deposits impacted by actions Federal Reserve Reverse Repurchase Facility. factors level loans competition for deposits. pricing of deposits betas rates change market interest rates. updated model 2023 deposit repricing lags


consumer wholesale deposits. model change pricing behavior interest rate. rates differ behavior competition.


Firm performs analyses earnings-at-risk deposit betas balances consumer deposits. results reported CTC Board Risk Committee.


Firm’s earnings-at-risk scenarios evaluated balance sheet market conditions simulation. interest rate earnings-at-risk analysis forecast net interest income Outlook page 52.


Firm’s. non. sensitivities table. December 31, billions. dollar Parallel +100 bps shift. -100 bps +200 bps. bps. Steeper yield curve +100 bps long. bps short-term. Flatter yield curve +100 bps short-term. bps long-term rates. Non-U. dollar Parallel shift +100 shift. -100 bps.


model update repricing lags. periods revised.


simultaneous shift. non. rates.


model update deposit repricing 2023 Firm's. dollar sensitivities December 31, $4. 1 billion +100 higher $3. 7 billion.


Firm’s. dollar sensitivities 2023 2022 balance sheet First Republic acquisition.


December 31, 2023 sensitivity shift rates assets repricing liabilities.


earnings-at-risk 12 months Firm measures Economic Value Sensitivity. economic value equity balance sheet retained loans deposits debt investment securities hedges interest rate scenarios. limits EVS TCE. long-term debt securities page 195 Note 2 instruments fair value.


Non. dollar FX risk assets liabilities future results. FX exposures capital investments expense revenue securities. debt issuance. Treasury CIO manage risks. hedge derivatives. Business Segment Results page 66.


Firm risk debt equity credit funding exposures impact revenue income noninterest expense market variables. business activities risk page 136 information.


table potential impact revenue OCI noninterest expense market risk instruments not VaR earnings-at-risk. instruments hedging reported net positions hedged. sensitivities gain loss December 31, 2023 2022 future changes.Gain millions Activity measure 31, 2023 31, 2022 Debt equity Asset Management activities seed capital hedges fund co-investments deferred compensation decline market value debt equity real estate loans privately held equity investments decline market value Credit funding Non-USD LTD cross-currency basis risk derivatives foreign exchange risk point tightening currency foreign exchange revaluation derivative hedges depreciation currency Derivatives funding spread risk spread increase credit risk credit spread widening Fair value option liabilities spread risk increase spread Fair value liabilities rate sensitivity credit spread increase spread credit spreadliabilities#1 basis spread


equity securities values. Refer Note 2 information.


Firm credit risk CVA removed Credit Portfolio widening credit spreads. hedges removed consistency. exposure reflected sensitivity measures.


recognized net.


noninterest.


recognized.


Firm LOBs Corporate exposed country risk financial economic political developments value exposures. Country Risk Management group monitors portfolios impacted measures exposures risk tolerance.


Country Risk Management manages monitors risk.


Firm’s country risk management policies procedures standards country risk framework ratings risks establishing risk tolerance risk exposure limits reporting breaches senior management surveillance tools risk risk analysis


Firm exposed risk lending deposits investing market-making cross-border. private.


Firm’s risk attribution exposure based largest assets counterparty issuer obligor guarantor revenue derived different than domicile. incorporation.


country exposures Firm’s risk default zero recovery counterparties issuers obligors guarantors. Activities exposure not services exposure collateral.


Assumptions required country exposure non-linear index products counterparty issuer obligor guarantor


. different measurement affect reported exposure.


Firm’s risk with banks measured cash balances central commercial exposures measured committed amount net credit losses cash collateral financing receivable balance net collateral equity securities measured fair value positions exposure on derivative receivables measured fair value net collateral derivatives net protection purchased entity fair value derivative receivable


internal risk differs FFIEC requirements.


Stress testing country risk management framework losses crisis impact adverse asset price movements assumptions. designs stress scenarios market events sector sovereign actions geopolitical risks. stress results inform risk reduction.


exposure stress measured Risk Management usages breaches.


risk Firm report exposure autonomous Special Administrative Regions dependent territories states.


table top 20 exposures. December 31, 2023 December 31, 2022. 20 largest exposures. exposures fluctuate client activity market liquidity management.


exposure Japan December 31, 2022 reduction cash bank liquidity management Firm.


exposure Australia compared December 2022 reduction cash central bank interest rates.


Firm exposure to Russia approximately $350 million as of December 31, 2023. excludes deposits clients Depository Insurance Agency of Russia. 20 country exposures (excluding U. S December 31, billions ####Deposits with banks####Lending####Trading investing exposure Germany#69. 2 United Kingdom. 1 Japan. 8 Australia. 7 Brazil. 8 Canada. 4 China. 7 Switzerland. 3 France. 1 Singapore. India. 7 0 Mexico. 7 4####8####5. Belgium. 6####2 1 3 South Korea.####7 Saudi Arabia. 6####5 9####7 Spain 3####5 Italy 1####5 1####6 4 3####5 6####7. 5 4####4####5 Luxembourg 9 9


exposures reflect 88% Firmwide non-U. exposure December 31, 2023 2022.


represents cash.


loans interest collateral credit losses. Excludes exposures settlement clearing.


market-making positions hedging investment securities counterparty exposure derivative securities financings net collateral. single transactions country table.


funds commodities.


country rankings December 31, 2022 based December 31, 2023 not 2022.


Climate risk impacts change Firm’s clients customers operations business strategy. risks. categorized physical transition risk.


Physical risk financial loss changing climate. Acute floods wildfires cyclones. Chronic shifts sea level rise precipitation temperatures.


Transition risk financial economic implications adjustment low-carbon economy. drivers policy technologies consumer preferences. climate.


Firm Climate Risk Management function establishing framework strategy managing climate risks. engages climate risk frameworks.


responsibilities Climate Risk Management policies standards procedures processes risk metrics scenarios climate financial economic impacts Firmwide risk data strategy infrastructure


LOBs Corporate identification climate risks climate laws rules regulations.


Firm’s climate risk consistent with governance structure. LOBs Corporate climate risk.


LOBs Corporate Climate Risk Management Board Committee initiatives.


Operational risk adverse outcome inadequate processes human factors external events. includes compliance conduct legal estimations model risk. activities fraudulent acts business disruptions cyber attacks inappropriate employee behavior failure laws vendors providers agreements. Risk Management Firm’s financial position characteristics markets regulatory environments.


Firm’s Compliance Conduct Operational Risk Management Framework govern report risk.


LOBs Corporate operational risk. Control Management Organization LOB-day execution CCOR Framework.


Firm’s Global Chief Compliance Officer CCOR Management Framework standards. LOB CCOR Officers report CCO independent businesses. CCOR Management Framework Risk Governance Oversight Policy Board Risk Committee.


Firm utilizes risk control self-assessment executed by LOBs Corporate. LOBs evaluate effectiveness control environment determine remediation. Operational Risk Compliance organization oversight independent assessments risk events risk.


Operational Risk Compliance risks LOBs Corporate control reporting senior management.


Operational Risk Compliance capital losses baseline stressed conditions.


operational risk capital estimate Loss Distribution Approach model simulates projected frequency severity losses historical data. model aggregate operational risk loss one-year 99. 9% confidence level. incorporates risk losses quarter after remediated.


Basel III Firm’s operational risk methodology Advanced Measurement Approach incorporates external losses risk analysis business control metrics. reflect insurance estimate.


Firm considers economic risk develops view risk events. risk stress testing framework results CCAR testing processes.


Capital Risk pages 91-101 operational.


risk assessments Operational Risk Compliance monitoring compliance LOBs Corporate laws rules regulations. operational risk tests controls LOBs.


operational risk escalated LOBs Corporate action plans. Risk Compliance advise LOBs action plans.


employees Firm escalate risks. Risks identified Operational Risk Compliance LOB Corporate Control Committees. standards operational risk reporting Firmwide. risk performance indicators risk. standards establish escalation protocols senior management Board Directors.


operational risk insurance Firm. purchases insurance maintains-owned Park Assurance Company. Insurance required third parties.


Operational risk. Compliance Conduct Legal Estimations Model. pages 151 152 153 154 Compliance. business technology resiliency payment fraud third outsourcing cybersecurity.


war Ukraine financial economic sanctions imposed Russia-associated entities governments including U. S. K. EU. sanctions complex. Firm increased operational risks compliance. implemented controls mitigate non-compliance prevent sanctioned persons block restrict payments.


Disruptions control diseases severe weather disasters climate change power loss failure third party cyberattacks unrest terrorism. Firmwide Business Resiliency Program disruptions functions. includes governance training planning recovery strategies strategic initiatives resiliency risks. Operational Risk Management technology cybersecurity data physical security crisis management real estate outsourcing programs.


Payment fraud risk obtaining benefit improper payment. Firm employs controls education trainings.


Third-Party-affiliates assist LOBs Corporate supplier relationships. TPO suppliers performance mitigate risks data loss disruptions. Corporate Third-Party Oversight training monitoring reporting standards third-party outsourcing risks.


Cybersecurity harm technology unauthorized disclosure data.


Cybersecurity risk focus Firm. resources computer systems software networks storage technology. security efforts attacks unauthorized access information destruction data service sabotaging damage.


Firm experienced expects higher volume cyber attacks geopolitical tensions. implemented measures controls enhanced threat monitoring. continues capabilities risks administrative access systems.


Third parties Firm business. vendors supply chain exchanges clearing houses depositories financial intermediaries sources cybersecurity risk. Third party incidents system breakdowns misconduct cyber attacks ransomware supply-chain compromises Firm including deliver product service compromised software lost information.


Clients customers cybersecurity risk Firm beyond security systems. Firm engages discussions clients cybersecurity risks improve.


cybersecurity threats previous events not affected Firm business strategy operations financial condition. approach Firm may preventing mitigating future incident business strategy condition.


Global Chief Information Security Officer reports member cybersecurity forums. leads Global Cybersecurity Technology Controls identifying cybersecurity risks implementing controls. Information Security Program cyber attacks confidentiality integrity availability infrastructure resources information. program cybersecurity operations centers training simulation exercises policies standards enhancing capabilities.


Firm’s Program


Cyber Operations controls Firm attacks incident response monitoring cybersecurity threats vulnerabilities-party suppliers.


Technology Governance Risk Controls risk control analyzing control catalogs assessments governance reporting risk.


Security Awareness information risk security Firm policies standards practices. training mandatory supplemented Firmwide testing phishing tests. specialized security training. Global Privacy Program requires training data privacy confidentiality security unauthorized access.


Technology Resiliency recovery degradation outage data backup recovery Firmwide Business Resiliency Program risk management.


Firm cybersecurity incident response plan coordinate with law enforcement notify clients customers recover. partners with government law enforcement industry forums discussions simulations cybersecurity risks defenses resiliency.


governance structure Global Cybersecurity Technology Controls identify escalate mitigate cybersecurity risks. governance oversight integrated operational risk framework escalation issues development risk mitigation plans. IRM assesses challenges activities risk practices. engages third-party assessors review framework processes controls.


governance cybersecurity risk management forums prevention detection remediation.


Cybersecurity Technology Controls Committee cybersecurity risk controls Information Security Program. membership representatives Global Cybersecurity Technology Controls functions IRM Internal Audit. experience technology information security disciplines Firm financial services-regulated industries.


CTOC escalates risk issues Global Technology Operating Committee LOB Corporate Control Committees. GTOC Firmwide Global Technology organization strategies delivery technology operations use resources risk matters.


Firm’s risk management framework Board receives updates from CIO CISO members CTOC cybersecurity. updates include cybersecurity developments Information Security Program policies initiatives cybersecurity incidents. Audit Committee Risk Committee assist.


Compliance risk operational failing laws rules self-regulatory organizations.


LOBs Corporate ownership compliance risk. Firm’s Operational Risk Compliance Organization independent provides review business operations laws rules regulations Firm’s products services.


compliance risks relate laws rules regulations across LOBs jurisdictions financial products services relationships clients employee activities. anti-money laundering trading market conduct across jurisdictional borders. Firm’s fiduciary activities failure standard of care treat fairly.


functions regulatory obligations areas.


Operational Risk Compliance implements policies standards.


Risk Compliance Global CCO FRE.


Firm oversight compliance risk CCOR Management Framework. updates Board Audit Committee compliance risk issues.


Firm has Code of Conduct integrity. principles conduct with clients customers suppliers vendors shareholders regulators employees markets communities. requires report violation policy law regulation. illegal unethical conduct employees consultants clients customers suppliers contract workers business partners agents. Training assigned to newly employees current employees. affirm compliance annually.


Employees report violations Firm’s Conduct Hotline phone internet. anonymous permitted law available globally translation services administered outside provider. prohibits retaliation. Audit Committee reports Conduct.


Conduct risk operational risk misconduct employee unfair outcomes impact markets harm employees compromise reputation.


LOB Corporate accountable conduct risk engagement ownership sustainability culture Firm’s Business Principles. Principles employees. Firm’s Code expectations provides resources business ethically laws rules regulations. Compliance Risk Management page 151.


Firm maintains CCOR Framework.


Firm senior forum conduct initiatives holistic risks programs opportunities focus. program direction conduct framework Firmwide Conduct Risk Appetite Assessment.


risk management people management recruiting onboarding training performance promotion compensation. LOB Treasury CIO corporate function reviews metrics provides education.


Legal risk operational risk loss failure meet legal obligations rule law Firm operates agreements products services.


global Legal function provides services advice Firm. legal risk litigation enforcement reviews investigations products services contract negotiation marketing documents new business initiatives dispute resolution laws rules changes advocacy legal advice LOBs Corporate Board.


Legal selects engages manages outside counsel. advises Conflicts Office wholesale transactions conflicts interest.


Firm’s General Counsel reports CEO member Operating Risk Control Committee. report matters Board Audit Committee.


Legal advises committees LOBs reputation.


Estimations Model risk operational adverse estimation outputs.


Firm uses models estimations businesses functions. estimation methods varying valuation risk capital requirements stress testing credit losses business decisions. Model Risk Governance Review defines governs policies model risk estimations budget forecasting capital planning.


governance analytical judgment estimations approach models.


Model risks owned by users LOBs Corporate purposes. responsible developing implementing testing to MRGR for review approval. robust operating environment monitor performance. enhance models portfolios product market developments improvements modeling techniques systems capabilities.


Models tiered internal standard complexity exposure Firm’s reliance. tiering subject approval MRGR. MRGR considers specific purposes. analyzes challenges methodology assumptions additional testing back-testing. reviews approved by management MRGR model.


Firm’s Estimations Model Risk Management Policy MRGR reviews approves new models changes use. exceptions granted model review. mitigate model risk interim. actions model include limitation trading activity.


models imprecise heightened by market economic environment. when current forecasted different from historical. increased uncertainty greater judgment analytics adjustments model. increased uncertainty if assets acquired differ from models.


Accounting Estimates pages Note 2 model valuations.


JPMorgan Chase’s accounting policies estimates integral results. complex estimates require judgment carrying value assets liabilities. policies procedures estimation methods judgments-controlled reviewed applied. methods judgments reflect assets business risk management strategies vary businesses portfolios. policies procedures changing methodologies. believes estimates value appropriate. description accounting estimates judgments.


Firm’s allowance for credit losses losses financial assets amortized cost lending commitments. loan losses loan portfolios lending-related commitments losses investment securities.


allowance credit losses judgment forecasts historical loss experience risk characteristics risk ratings valuation collateral expected life. Note 10 13 Firm’s policies methodologies.


credit losses macroeconomic forecasts eight-quarter.-quarter forecast macroeconomic variables credit losses driven less twenty variables. variables losses vary by portfolio geography. consumer portfolio regional. unemployment rates. HPI. wholesale portfolio. unemployment. equity prices. interest rates. corporate credit spreads oil prices. commercial real estate prices. HPI.


Firm’s assumptions forecasts economic affect estimate credit losses balance sheet lead changes.


First Republic acquisition Firm recorded allowance credit losses loans commitments May 1, 2023. differences risk rating integration allowance losses measured facilities not modeled estimates. First Republic portfolio excluded modeled estimates. allowance credit losses consumer portfolio measured approach residential real estate reflected analysis. Note 34 First Republic acquisition.


difficult estimate changes factor allowance credit losses management considers variety. Changes not occur same rate consistent across geographies product types directionally inconsistent improvement offset deterioration.


macroeconomic forecast Firm compared credit losses central adverse scenarios two five loan losses commitments. scenarios MEVs differed levels paths peaks eight-quarter.


Firm’s 131 Note 13, scenario elevated. unemployment 2. 1% higher peak. 7% fourth quarter 2024 lower. GDP slower recovery 3. 3% lower


3. 2024 HPI. 9% third quarter 2025.


analysis estimate allowance credit losses allowance December 31, 2023 reflects losses central scenario adverse scenarios. impacts MEVs interrelated nonlinear macroeconomic. portfolio borrower behavior affect allowance credit losses.


credit loss estimates forecasts December 31, 2023 Firm compared estimates adverse central. differences $850 million residential real estate loans $3. 1 billion credit card loans $3. 9 billion wholesale loans


analysis modeled credit loss estimates not allowance credit losses adjustments quantitative calculation management applies modeled lifetime loss estimates uncertainty imprecision circumstances.


forecasts uncertain Firm believes risks governed estimates credit losses reasonable December 31, 2023.


JPMorgan Chase carries assets liabilities fair value. majority derivatives structured note products securities financing agreements. mortgage home equity loans based collateral.


table includes assets value level 3. Note 2 information. December 31, 2023 millions assets value level 3 assets Federal funds sold securities purchased Securities borrowed Trading assets Trading-debt equity instruments,701 Derivative receivables,864 trading assets,297 AFS securities Loans,851 MSRs assets,130,863,656,141,490,134,004,146 Total Firm assets,875 Level 3 assets assets Level 3 assets


derivative receivables netting adjustments $8. 9 billion level 3 reflect netting adjustment. level 3 balances reduced netting including benefit cash collateral.


Firm’s processes determining fair value Note 2. Estimating value requires judgment. level observable market information. instruments valued valuation models unobservable inputs level 3 judgments significant instruments levels 1 2.


value level 3 valuation model. lack observability inputs data transaction details yield curves interest rates prepayment speeds default rates volatilities correlations prices credit curves. Note 2 valuation level 3 instruments unobservable inputs.


instruments levels 2 3 management judgment valuation adjustments credit creditworthiness market funding rates liquidity unobservable parameters net open risk position. judgments affected product contractual terms liquidity. market volatility valuation estimates positions less liquid. Note 2 valuation adjustments Firm.


estimating market inputs affect gain loss position. Firm believes valuation methods reflect management judgment vary businesses portfolios.


Firm uses methodologies assumptions fair value. different fair value reporting. Note 2 valuation process determination fair value financial instruments.


. GAAP goodwill allocated units tested annually. process methodology Note 15.


Management judgment testing goodwill impairment. business allocated units.


December 31, 2023 Firm reviewed economic conditions market cost equity business results. goodwill not impaired. fair value exceeded carrying value no risk goodwill impairment.


projections units consistent business assumptions estimates long-term growth return equity. uses third-party peer data assumptions.


Note 15 goodwill impairment December.


JPMorgan Chase offers credit cards rewards programs points account activity. no limits points redeemed for rewards cash gift cards travel. maintains rewards liability estimated cost rewards points. accrued reduced points. $13. 2 billion $11. 3 billion at December 31, 2023 2022 recorded accounts payable balance sheets. increase driven rewards points redemptions adjustments reward program terms 2023.


rewards liability redemption rate cost per point assumptions. RR points redeemed. CPP cost future redemptions. assumptions evaluated


behavior management judgment. rewards liability. 25 RR 1 CPP liability $376 million.


JPMorgan Chase subject income tax laws jurisdictions U. S. federal non-U. jurisdictions. laws complex interpretations. financial impact taxes expense benefits assumptions judgments tax laws transactions business events timing taxable income. non. jurisdictions.


JPMorgan Chase’s interpretations tax laws by taxing authorities disputes tax position. disputes settled by audit appeals adjudication in court. reviews additional income taxes records unrecognized tax benefits. may revise income taxes due to changes in laws legal interpretations business strategies. revisions may affect results.


Deferred taxes differences assets liabilities financial income tax. assets recognized if realizability likely. measured enacted tax rates taxable income differences. effect change tax rates recognized income taxes.


Firm recognized deferred tax assets net operating loss foreign tax credit carryforwards. performs reviews deferred assets. reviews include estimates future income tax planning strategies NOLs FTCs before.


deferred tax asset not realizable valuation allowance established. reversed determines deferred asset realizable. December 31, 2023 management Firm realize deferred tax assets net valuation allowance.


Firm adjusts unrecognized tax benefits new information tax law interactions taxing authorities. Uncertain tax positions recognition threshold measured benefit. uncertain tax position measured largest benefit settlement. reassessment JPMorgan Chase’s tax benefits income tax rate. estimates final tax amount income tax provisions accruals. differences impact provision income taxes.


Firm’s provision for taxes current deferred taxes. calculated estimates assumptions results returns. Adjustments returns recorded tax implications impact Firm’s tax rate.


Note 25.


Note 30 estimates litigation reserves.


Accounting Standards Board Standards January 2021 financial statements Reform updated 2021 December 2022 expedients exceptions instruments transactions reform. March 12 2020. January 7 2021 December 21, 2022 updates. Standards January 1 2023 Derivatives Hedging Fair Value Hedging Portfolio Method March 2022. derivatives balance sheet disclosure accounting. reclassification HTM AFS. January 1, 2023. Credit Losses Troubled Debt Restructurings Disclosures March 2022 accounting disclosure requirements Troubled Debt Restructurings discounted cash flow. loan modifications principal forgiveness interest rate reduction delay. loan charge-off origination year. modified retrospective method retained earnings. January 1, 2023.Note 1.


Standards Adopted December 31, 2023 financial statements Investments Equity Method Joint Ventures Accounting Tax Credit Structures Proportional Amortization Method March 2023 proportional amortization tax-oriented investments. adopted full modified retained earnings. modified retrospective method January 1, 2024 decrease retained earnings $200 million. Segment Reporting Improvements Disclosures November 2023 expenses profit loss. segment items. title position CODM. Annual financial statements December 31, 2024 interim statements December 31, 2025. assessing impact segment disclosures. Income Taxes Improvements Disclosures December 2023 taxes disaggregated federal state foreign individual jurisdiction threshold 5 percent total income taxes paid.tax rate reconciliation categories qualitative disclosures reconciling items quantitative thresholds. thresholds met. date Annual financial statements December 31, 2025. guidance option retrospectively. Firm evaluating impact Consolidated Financial Statements date.


Early.


Firm made forward-looking statements. to historical facts. use “anticipate. provide JPMorgan current expectations future events. disclosures 2023 Form 10-K contain statements Private Securities Litigation Reform Act 1995. statements other documents SEC. senior management make statements orally to investors analysts media.


forward-looking statements subject to risks uncertainties beyond Firm’s control. JPMorgan Chase’s future results may differ from. no results differ regional global business economic political conditions geopolitical events laws rules regulatory requirements capital liquidity requirements •Heightened regulatory oversight trade monetary fiscal policies laws inflation income tax laws FDIC assessments •Securities capital markets behavior market liquidity volatility investor sentiment consumer spending savings behavior capital liquidity credit ratings reputation address social environmental sustainability concerns deal with economic slowdown disruption


•Technology changes by Firm control agenda develop discontinue products services liabilities losses of new products services increase market share attract retain employees control expenses •Competitive pressures credit quality risk management framework disclosure controls procedures internal control financial reporting judicial regulatory proceedings determine values assets liabilities natural disasters calamities health emergencies infectious diseases epidemics pandemics hostilities geopolitical instabilities climate change extraordinary events beyond control deal with disruptions security of financial accounting technology data processing operational systems facilities withstand disruptions against cyber attacks other risks uncertainties in Part I, Item 1A Factors in JPMorgan Chase’s 2023 Form 10-K.


forward-looking statements Firm speak date JPMorgan Chase update. reader consult further disclosures Annual Reports Quarterly 10-Qs Current Reports 8-K.


Management JPMorgan Chase & Co. responsible internal control financial reporting. designed Firm’s principal executive financial officers Board Directors management personnel assurance reliability financial reporting preparation financial statements accounting principles.


JPMorgan Chase’s control financial reporting includes policies procedures maintenance records reflect transactions dispositions assets transactions recorded financial statements U. S. GAAP receipts expenditures authorizations management directors prevention unauthorized acquisition use disposition assets financial statements.


limitations internal control financial reporting prevent misstatements. projections future risk compliance. completed assessment internal control financial reporting December 31, 2023. used “Internal Control — Integrated Committee Sponsoring Organizations Treadway Commission.


assessment management concluded December 31, 2023 JPMorgan Chase’s control effective COSO 2013 framework. no weaknesses.


control financial reporting December 31, 2023 audited PricewaterhouseCoopers LLP report.


Shareholders JPMorgan Chase.


Statements Control Reporting


audited balance sheets JPMorgan Chase Co. subsidiaries December 31, 2023 2022 income stockholders’ equity cash flows three years December 2023 financial. audited control financial reporting December 2023 Internal Control - Integrated Framework Sponsoring.


consolidated financial statements present position December 31, 2023 2022 results operations cash flows three 2023 accounting principles. Firm maintained internal control financial reporting December 2023 Internal Control – Integrated Framework (2013).


management responsible for consolidated financial statements internal control assessment report. express opinions financial statements internal control based audits. public accounting firm registered Public Company Accounting Oversight Board independent. federal securities laws rules Securities and Exchange Commission PCAOB.


conducted audits PCAOB. standards plan perform assurance


consolidated financial statements free misstatement error internal control maintained.


audits of consolidated financial statements included risks misstatement error or fraud. examining evidence amounts disclosures. accounting principles estimates management presentation. audit of internal control over financial reporting included understanding risk material weakness testing design effectiveness control risk. other procedures necessary. audits provide reasonable basis for opinions.


internal control over financial reporting assurance reliability financial reporting preparation financial statements for accounting principles. includes policies procedures maintenance of records transactions dispositions assets assurance transactions recorded necessary preparation financial statements receipts expenditures with authorizations management directors prevention of unauthorized acquisition use disposition assets financial statements.


limitations internal control financial reporting prevent misstatements. projections effectiveness future risk controls compliance policies deteriorate.


critical audit matters from current period audit of consolidated financial statements communicated to audit committee relate to accounts disclosures material challenging complex judgments. communication alter our opinion on financial statements not providing separate opinions.


Loan Losses Wholesale Credit


Note 13 financial statements allowance for loan losses wholesale credit card loan portfolios $20. 2 billion loans $881. 3 billion at December 31, 2023. allowance losses estimate expected credit losses future changes macroeconomic. calculation losses loss factors exposure default. factors determined average five macroeconomic scenarios U. unemployment. gross domestic product. calculation adjusted model imprecision risk assessments trends subjective factors.


considerations procedures loan losses portfolio wholesale credit card loan portfolios critical audit judgment estimation macroeconomic variables. unemployment. gross domestic product affect credit losses balance quantitative calculation credit loss estimates adjustments model imprecision risk assessments trends subjective factors credit loss estimate auditor judgment subjectivity effort


audit evidence credit loss estimates adjustments audit professionals specialized skill knowledge.


matter involved evaluating audit evidence forming opinion consolidated financial statements. procedures controls Firm’s allowance loan losses model validation macroeconomic scenarios. process estimating evaluating models methodologies forecasts. unemployment. gross domestic product testing accuracy data adjustments output model imprecision risk assessments trends subjective factors loss. procedures included professionals specialized models methodologies macroeconomic variables.


Notes 2 3 Firm carries $1. 1 trillion assets $541. 4 billion liabilities. $11. 3 billion trading assets $42. 2 billion liabilities financial instruments level 3 unobservable. valuation models unobservable inputs 3 instruments. interest rate spread Bermudan switch value correlation interest rates exchange equity prices credit.


considerations procedures fair value level 3 financial instruments critical audit significant judgment estimation management led to auditor judgment subjectivity effort evaluating audit evidence professionals specialized skill knowledge.


matter evaluating audit evidence forming opinion consolidated financial statements. procedures testing controls Firm’s determination fair value models inputs data. professionals independent estimate fair value financial instruments comparing estimate. estimate testing data developing independent inputs unobservable inputs.


auditor 1965.


Chase.


December 31, Investment banking fees,216 Principal transactions,460,304 Lending fees Asset management fees,096 Commissions Investment securities losses Mortgage fees Card income income,322 Noninterest revenue,837,985,338 Interest income,588,864 expense interest income,267 net revenue,104,695,649 Provision credit losses,320,389 Noninterest Compensation,465 Occupancy Technology services Marketing,045 noninterest expense,172,140,343,228 income,552,676,334 Net income stockholders,760,503 common share Basic earnings share. Diluted earnings. Weighted-average shares,938.,965.-average diluted shares.,970.


Notes Consolidated Statements.


December millions Net income,552,676 income gains investment securities,381 adjustments hedges value hedges Cash flow hedges,360 pension OPEB plans fair value liabilities income(17,257)(8,070) income,450,419,264


December Cash,066,697 Deposits,085,537 Federal funds securities $259,813 $311,883,152 Securities borrowed $70,086 $70,041,436,369 Trading assets $128,994 $93,687,607,799 securities $205,456 $216,188 $9,219 $9,158,848,305,552,162 Loans $38,851 $42,079,706,647,301,286 interest receivable,363,189 Premises equipment Goodwill,381,859 $12,306 $14,921 $6,764 $7,998),308,393 Liabilities Deposits $78,384 $28,620,688Federal funds securities $169,003 $151,999 borrowings $20,042 $15,792 Trading,428 Accounts $5,637 $7,038,307,141 interests $1 $5 Long debt $87,924 $72,281 liabilities,373,411 Commitments contingencies Notes 28, 29 30 equity Preferred stock$1 200,000,000 2,740,375 Common stock,104,933,895 capital,128,044 earnings,901,456 losses Treasury stock,275,301,170,676,094 equity liabilities,875,393


table presents assets liabilities VIEs consolidated December 2023 2022. assets liabilities. beneficial interests credit JPMorgan Chase. include third-party exclude intercompany balances. Note 14. December 31, Assets Trading assets,170,151 Loans assets assets,372,112 Liabilities Beneficial interests,020,610 liabilities liabilities,283,889


December millions Preferred January 1,404,838,063 Issuance,350 Redemption December 31,838 Common January 1 December 31 Additional paid January 1,044,415 Shares issued compensation tax effects December 31,128 Retained January 1,456,268 accounting principles Net income,552,676,334 Dividends Preferred stock Common stock.share 2023 2022 2021,055 December 31,901,456,268 income January 1,341),257) December 31,443 Treasury stock January 1,336),415),184) Repurchase,122,448 December 31,217),336),415) equity,127


January 2023 Financial Instruments Credit Losses Debt Restructurings Portfolio. Note 1.


December millions income,552,676,334 Adjustments Provision credit losses,389 Depreciation amortization Deferred tax,748 gain First Republic,301,174,274 purchases loans,245),167,864 sales paydowns loans,709 change Trading assets,091) Securities borrowed,203 Accrued interest accounts receivable Other assets,970 liabilities Accounts payable liabilities adjustments Net cash,974,119 Investing change Federal funds securities purchased,740,278 securities paydowns maturities,626,897 Purchases,141,676,756 securities paydowns maturities,744,159 sales,434,748 Purchases,499),258),785 sales loans,312 loans,343)(91,797) First Republic Acquisition activities(137,819),344 Financing Deposits,196),895,764 Federal funds securities loaned sold,801,455,799 Short borrowings(8,984) interests,029,205,254) long borrowings,417,442,409 preferred stock,350 Redemption Treasury stock repurchased,162),408 Dividends(12,858) financing activities net(1,521),477) Net cash financing(126,257) Effect exchange rate changes cash deposits increase cash deposits(173,600),225 Cash,234,834 end#624,151,234,834 Cash interest paid,114,143,142 Cash taxes net,355,737


JPMorgan Chase & Co. Delaware 1968 leading financial services. operations worldwide. investment banking financial services commercial banking processing asset management. May 1, 2023 acquired assets liabilities First Republic Bank Federal Deposit Insurance. operations clients products services. reporting classification risk rating change. Note 34 First Republic acquisition.


accounting financial JPMorgan Chase subsidiaries conform. GAAP. guidelines regulatory.


Consolidated Financial Statements JPMorgan Chase. balances transactions eliminated.


Assets Firm not JPMorgan Chase included balance sheets.


Firm determines controlling interest evaluating voting variable.


Voting interest entities sufficient equity provide voting rights significant decisions operations. Firm’s determination interest based on voting equity interests. controlling financial interest majority contractual rights consolidated.


Investments in companies Firm majority equity interests accounted equity or fair value. investments included in assets income loss noninterest revenue.


Firm-sponsored management funds limited partnerships liability companies. Firm general partner managing member non-affiliated partners members remove without cause. majority vote or decisions. Firm consolidate voting entities. limited cases partners kick-out rights Firm evaluates funds consolidates if power significant interest.


Firm’s investment companies funds entities buyouts growth equity venture opportunities. accounted guidelines carried Consolidated balance sheets recorded assets noninterest revenue. consolidated retains accounting.


VIEs are entities lack equity without financial support equity investors make decisions through voting rights obligation absorb losses right receive residual returns.


common VIE SPE. used securitization transactions isolate assets distribute cash to investors. SPE structure company selling assets to SPE SPE funds issuing securities. legal documents specify cash investors. insulate investors from claims creditors.


primary beneficiary VIE. party controlling financial interest required consolidate assets liabilities. beneficiary party power direct activities impact economic performance interests


obligation absorb losses receive benefits.


Firm direct activities VIE economic performance considers facts circumstances role rights responsibilities. assessment includes identifying activities performance party power over. parties significant decisions VIE asset managers collateral managers servicers owners call options liquidation rights remove decision-makers direct activities VIE.


Firm absorb losses right receive benefits considers economic interests debt equity investments servicing fees derivatives variable interests. assessment requires judgment interests significant. Factors significance include design capitalization structure subordination interests payment priority share interests capital structure reasons interests held.


Firm performs reassessments entities evaluated majority VIEs subject VIE consolidation framework changes facts VIE consolidation conclusion.


Note 14 VIEs.


Firm recognizes loans securities instruments level-yield rate. Note 7.


JPMorgan Chase recognizes noninterest revenue contracts deposit management commissions card income obligations. Note 6 revenue.


JPMorgan Chase assets liabilities fair value. Changes transactions. Notes 2 3 value. Note 6.


Consolidated Financial Statements estimates assumptions assets liabilities revenue expense disclosures. results.


JPMorgan Chase revalues liabilities revenue expense.


Gains losses translating currency statements. S Consolidated statements income. nonfunctional currency transactions. dollar statements income.


. GAAP permits present derivative receivables payables Consolidated balance sheets master netting agreement exists. permits securities sold purchased borrowed loaned net conditions met netting agreement. Firm elected net balances conditions.


Firm uses master netting agreements counterparty credit risk derivative contracts resale repurchase borrowed loaned. master netting agreement transactions terminated settled single payment currency default. bankruptcy failure payment transfer collateral. derivatives termination rights non-defaulting party transactions terminated valued positive netted against remaining payment netted termination amount. default repurchase


loan transactions terminated accelerated values securities cash calculated sums netted remaining payment obligation netted termination amount.


master netting agreements contain collateral/margin agreement security interest title transfer securities cash to margin. requires transfer collateral/margin value equal to margin deficit across transactions. grants party default right set-off amounts payable against collateral cash equivalent. liquidate collateral/margin apply proceeds to payable counterparty.


Note 5 instruments. 11 securities financing agreements.


JPMorgan Chase’s cash defined amounts due banks deposits.


adoption guidance expanded ability fixed-rate assets more. clarified derivatives balance sheet presentation disclosure requirements hedge accounting adjustments. Firm HTM securities AFS designated portfolio layer hedge. impact earnings not material.


5 10 information.


adoption guidance eliminated accounting disclosure requirements TDRs discounted cash flow allowed non-DCF approach loans troubled borrowers. DCF discount rate post-modification.


Firm non-DCF portfolio-based modified loans borrowers except collateral-dependent risk-rated loans. Note 13 portfolio-based asset-specific approach.


adopted January 2023 credit losses $587 million earnings $446 million residential real estate credit.


guidance eliminated disclosure requirements TDRs. new guidance requires loan modifications principal forgiveness interest rate reduction payment delay term extension. Firm defined financial difficulty modifications. elimination loans FDMs differs TDRs. requires disclosure current charge-offs origination year.


Note 12.


table JPMorgan accounting policies. 175 197 instruments 203 Noninterest revenue expense 217 221 Pension 222 incentives 225 securities 227 232 Loans 235 credit losses 255 interest entities 261 Goodwill intangible assets 269 Premises equipment 274 Leases 275 Accounts payable liabilities 277 debt 278 Earnings share 283 Income taxes 285 instruments guarantees commitments 291 Litigation 298


JPMorgan Chase carries assets liabilities fair value. predominantly carried recurring. Consolidated balance sheets. Certain assets unfunded commitments measured nonrecurring subject adjustments certain circumstances evidence impairment.


Fair value price sell transfer liability transaction market participants. based quoted market prices. models techniques transaction characteristics market parameters yield curves interest rates volatilities prices correlations foreign exchange rates credit curves. valuation adjustments.


precision estimating market inputs gain loss position. Firm believes valuation methods reflect management judgment vary across businesses portfolios.


Firm uses methodologies assumptions fair value. different participants different estimate fair value reporting date.


Risk-taking functions fair value estimates assets liabilities Consolidated balance sheets. Firm’s Valuation Control Group Finance independent estimates fair value adjustments. Firm’s Valuation Governance Forum finance risk executives risks valuation activities. chaired head VCG sub-forums CIB CCB CB AWM corporate functions Treasury CIO.


VCG verifies value estimates leveraging prices valuation inputs market data. additional review. market activity benchmarking valuation inputs decomposing valuation comparing cash flows profit loss trends collateral valuation. additional management review for significant positions.


VCG determines valuation adjustments estimates risk-taking. No adjustments to prices for instruments level 1 fair value hierarchy. judgment valuation adjustments liquidity unobservable parameters size net open risk position. determination follows framework valuation adjustments where observable external price valuation parameter exists lower reliability lower market activity. on market conditions. Factors include estimated bid-offer spread alternative pricing points reasonable values. Firm manages portfolios net open risk exposure. fair value transfer entire net open risk position. valuation adjustments reflect cost exiting larger net risk position. adjustments based on factors adverse market move. •Uncertainty adjustments to unobservable parameters when positions valued using prices parameters lack market activity


market data. prices estimated subject to management judgment. Adjustments reflect uncertainty valuation estimate. Firm applies adjustments estimates fair value credit quality creditworthiness impact funding. Credit funding adjustments page 192.


prices quotes available fair value determined using valuation models transaction terms maturity market. price verification process applied inputs.


Firm’s Estimations Model Risk Management Policy MRGR reviews approves new models changes implementation operating. exceptions granted model review. mitigate model risk interim. actions model limitation trading activity.


three-level fair value hierarchy established under U. S. GAAP measurements. based on observability inputs valuation asset measurement date. three levels defined. 1 quoted prices identical assets active markets. 2 similar observable full term financial instrument. 3 more inputs unobservable significant.


financial categorization fair value based lowest input.


table valuation methodologies Firm products fair value classification value hierarchy.


Loans commitments wholesale Loans value-trading commitments


Loans value residential sold


methodology traded. valued quoted prices. Black-Scholes option pricing simulation valuation inputs contractual terms. key valuation inputs derivative underlying instruments equity prices commodity prices foreign exchange rates volatilities correlations CDS spreads recovery rates prepayment speed. unobservable inputs rate derivatives curve volatility spread Bermudan switch value-FX Foreign exchange correlation derivatives Credit correlation debt instruments derivatives equity price volatility derivatives price volatility correlation adjustments reflect counterparty credit quality impact funding. page 192. Mortgage servicing rights.Private equity investments value estimated information inputs Transaction prices Trading multiples companies Operating performance Adjustments-specific issues liquidity Additional inputs. mutual private equity hedge real estate asset value supported redeem purchase Adjustments restrictions redemption. lock-up withdrawal limitations activity limited Beneficial interests consolidated VIEs market information. valuations based fair value underlying assets.


investments measured value net asset value per share.


methodology fair value hierarchy Structured notes deposits borrowings long-term debt based discounted cash flow analyses embedded derivative terms payment structure. Black-Scholes option pricing simulation inputs. inputs vary embedded derivative. Adjustments valuation Firm’s credit risk. page 192. 2 3


table assets liabilities December 2023 2022 product category hierarchy. liabilities December 31, 2023 millions adjustments Federal funds sold securities purchased resale Securities borrowed Trading assets Debt instruments Mortgage-backed securities. government agencies Residential Commercial mortgage-backed securities. Treasury GSEs government agencies Obligations. states municipalities Certificates deposit acceptances commercial.debt,582 Corporate,338 Loans Asset-backed securities,205 debt,843,198 Equity securities commodities,479,980 debt equity instruments,248,701 Derivative receivables Interest rate,298,367 Credit Foreign exchange Equity Commodity,042 derivative receivables,964,384,864 trading assets,212,297-sale securities Mortgage-backed securities.government agencies Residential nonagency Commercial mortgage securities. Treasury government agencies,683 Obligations. states municipalities Non-U.government debt securities,282 Corporate debt Asset-backed securities Collateralized loan obligations-sale securities,778 Loans,851 Mortgage servicing rights Other assets,322 Total assets,966,384,863 Deposits,551,384 Federal funds securities loaned sold Short borrowings,042 Trading liabilities Debt equity instruments,292 Derivative payables Interest rate Credit Foreign exchangeEquity,368 Commodity,504) derivative payables,776,125,847 trading liabilities,848,813,125,428 Accounts payable liabilities interests VIEs Long debt liabilities value recurring,546,182,125)


value December 31, 2022 millions 3 adjustments Federal funds securities purchased resale Securities borrowed Trading assets Debt instruments Mortgage securities. GSEs agencies Residential Commercial mortgage-backed securities. Treasury GSEs Obligations. states municipalities Certificates deposit acceptances commercial.debt,213 Corporate Loans Asset-backed securities debt,404,188 Equity securities,483,208 commodities,270,210 debt instruments,909 Derivative receivables Interest rate,390,419 Credit Foreign exchange,214),365 Equity,774 Commodity,867 derivative receivables,880 trading assets,041,756 Available-sale securities Mortgage-backed securities.government agencies Residential nonagency Commercial mortgage-backed securities. Treasury government agencies,060 Obligations. states municipalities Non-U.government debt,591,696 Corporate debt Asset-backed securities Collateralized loan obligations-sale securities Loans Mortgage servicing rights Other assets,014 assets,239,365,451,626,105,603 Deposits,620 Federal funds securities loaned sold Short borrowings,792 Trading liabilities Debt equity instruments,835 Derivative payables Interest rate,970 Credit Foreign exchange,665,85Equity,657,804 Commodity derivative payables,009,372,141 trading liabilities,093,372 Accounts payable liabilities,038 interests VIEs Long debt,092,281 liabilities recurring,224,058(586,372),711


2023 2022. obligations $78. $73. mortgage.


commodities inventories accounted cost net realizable value. GAAP not exceeding fair value less costs. costs not applicable immaterial value. net realizable value approximates fair value. fair value hedging below carrying value approximates fair value adjusted changes. Note 5 hedge accounting relationships. inventories included period.


reflect reduction securities owned identical securities sold.


investments net hierarchy. December 31, 2023 2022 values hedge equity real estate $1. 0 billion $950 million. trading assets $42 million $43 million other assets $984 million $907 million.


December 2023 2022. $9. 7 billion residential $6. 8 billion commercial. sell. $2. 9 billion $2. 4 billion.


. GAAP Firm receivables payables cash collateral netting agreement. level 3 balances netting benefit cash collateral.


Firm established processes fair value unobservable inputs 3). pages 175–179 valuation process fair value instruments.


Estimating fair value requires judgment. type level observable market information. instruments valued models unobservable inputs classified level 3 value judgments significant than levels 1 2.


value instrument level 3 determine valuation model. assess data transaction details yield curves interest rates prepayment speed default rates volatilities correlations prices foreign exchange credit curves.


table presents Firm’s level 3 financial instruments valuation techniques unobservable inputs range values weighted averages. 3 unobservable inputs instruments include observable components quoted validated. level 1 2 inputs not included. Firm manages risk observable components 3 using securities derivative positions levels 1 or 2.


range values table highest lowest level input significant groups instruments product classification. weighted averages calculated fair value instruments.


Firm’s input range average values reflect uncertainty estimates assumptions. reflect characteristics instruments distribution. two option contracts similar market risk valuation uncertainty different implied volatility levels different underlyings tenors strike prices. input range values vary characteristics balance sheet date.


3 inputs December 31, Product value millions valuation technique inputs values Residential mortgage securities loans cash flows speed default rate severity Commercial securities loans Corporate debt securities$242 Loans,335.debt securities comparables$2$109$91 interest rate derivatives rate volatility spread switch value rate correlation-FX correlation% cash flows speed credit derivatives correlation spread,617bps rate comparables$0$115$73 foreign exchange derivatives-FX correlation% cash flows speed rate curve equity derivatives equity price volatility correlation-FX correlation-IR correlation commodity derivatives commodity forward$84 BBL$270BBL$177 gas commodity forward$2$6$4 volatility correlation% MSRs cash flows Note 15 Long-term debt short borrowings deposits pricing rate volatility switch value rate correlation-FX correlation% correlation-FX correlation-IR correlation cash flows correlation severity level 3 assets liabilities


categories table product type differ Consolidated balance sheets. inputs valuation technique not applicable every instrument characteristics differ.


. $758 million $5 million loans $980 million.


securities $12 million loans $65 million.


$619 million $716 million.


-term debt borrowings deposits include structured notes derivatives. fair value derivative features. inputs derivative receivables.


equity securities $671 million $544 million assets prices value EBITDA. level 3 assets liabilities insignificant.


input instruments. quoted prices price-based valuation techniques. price par value $100.


equity price percentage current.


weighted averages arithmetic averages.


discussion impact fair value measurement change unobservable input interrelationship between. impact changes inputs independent change. relationships between two unobservable inputs discussed. Relationships between observable unobservable inputs observable interest rates rise unobservable prepayment rates not included. inverse relationship.


discussion attributes underlying instruments market factors Firm’s positions.


Yield asset interest rate future cash flows. increase yield fair value measurement.


Credit spread annualized return over market interest rate credit risk. discount rate discounted cash flow calculation. increase spread fair value measurement.


yield credit spread mortgage-backed security reflect risk. impacted by coupon risk. yield credit spreads risk instruments. risk driven by subordination characteristics mortgages borrower FICO scores LTV ratios property tenants. corporate debt securities obligations. states municipalities credit spreads reflect credit quality obligor tenor.


Prepayment speed voluntary unscheduled repayments prepayable obligation collateralized pool. decline borrower delinquencies rise. increase assets premium par increase discount par.


Prepayment speeds vary driven by type location borrower tenor obligation. interest rate paid. pools higher credit quality higher prepayment rate factors equal.


Conditional default rate reduction collateral balance collateralized obligation defaults. no direct relationship between prepayment speeds collateralized obligations high prepayment speeds lower rates. increase in rates by loss severity credit spreads. increase rate fair value. rates reflect quality collateral structure. securities rates lower end range.


Loss severity recovery rate expected future losses liquidation loan net loss relative loan balance. increase loss severity conditional default rates. increase fair value measurement.


loss severity mortgage-backed security mortgages LTV ratio lender’s lien factors.


Correlation relationship variables. pricing input derivative product payoff driven underlying risks. inputs related type derivative. interest rate credit equity foreign exchange commodity risks. positively correlated increase. negatively correlated increase. increase correlation fair value measurement. short correlation position increase decrease fair value.


correlation in valuation derivatives with multiple risks depends on factors nature. correlation between credit different interest rate. tenor transaction impact correlation. correlation levels dependent on market conditions asset classes volatile market conditions.


Volatility variability returns instrument market index value. pricing input options equity commodity interest rate. higher volatility riskier instrument. long position increase volatility increase fair value measurement.


volatility in valuation option-based derivative depends on factors risk. volatility equity security commodity tenor derivative strike price option.


Bermudan switch value difference between Bermudan swaption European swaption reflects additional value multiple exercise dates. market conditions vary tenor swap strike price option. increase switch value fair value measurement.


Interest rate curve relationship rates differing tenors. exchange cash flows pricing input discounting cash.


Forward price buyer purchase asset contract future delivery date value zero inception.


forward price derivatives depends interest rates current price underlying asset expected income costs seller holding asset until delivery date. increase forward fair value.


tables include Consolidated balance changes fair value financial instruments 3 years 2023 2022 2021. 3 unobservable inputs value. level 3 instruments include observable components quoted validated gains losses include changes fair value due to observable factors valuation. Firm risk-manages observable components 3 instruments using securities derivative positions classified level 1 or 2 risk management instruments gains losses reflect risk management activities.


value measurements inputs Year December 31, 2023 millions value January 1, gains value Dec. 31, unrealized gains financial instruments Dec. 31, 2023 Assets Federal funds sold securities purchased resale Trading assets Debt instruments Mortgage-backed securities. government agencies Residential Commercial mortgage-backed securities Obligations.states municipalities####7.debt securities Corporate debt securities(172(41) Loans Asset-backed securities Total debt instruments,178(840),138 Equity securities(53)(384 Physical commodities(58) Total trading assets debt equity instruments,909,135,315)(984) Net derivative receivables Interest rate,117(60)(29) Foreign exchange(80) Equity(384(1,931),306)(600,402) Commodity(51) derivative receivables,329(2,645)(843),120(1,852)-sale securities Corporate debt securities-sale securities Loans,398,147,306(1,065) Mortgage servicing rights Other assets(36)(82) value measurements Year December 31, 2023 value January 1, realized(gains/losses level 3 value Dec. 31, in unrealized/losses financial instruments Dec. 31, 2023 level 3 Liabilities Deposits#2,162#95 Short-term borrowings####201,345 Trading liabilities debt equity instruments Accounts payable liabilities Long-term debt,092####3,010,679####2,870


value measurements Year December 2022 January 1 2022 gains 3 Federal funds sold securities purchased resale Trading assets Debt instruments Mortgage securities. GSEs government agencies Residential Commercial mortgage-backed securities Obligations. states municipalities.debt securities Corporate debt securities(51) Asset-backed securities debt instruments,249 Equity securities(1,036)(377 Physical commodities trading assets debt equity instruments(1,082),762(1,653) Net derivative receivables Interest rate Foreign exchange Equity net derivative receivables Available-for-sale securities Corporate debt securities-for-sale securities(261)(886) Mortgage rights,198(822)(936) assets value measurements Year December 31, 2022 millions value January 1, 2022 3 Liabilities Deposits Short-term borrowings(4,685) Trading liabilities debt instruments Accounts payable liabilities(16) Long debt,869)(8,876)


value measurements inputs Year December 2021 value January 1 gains Federal funds securities purchased resale Trading assets Debt instruments Mortgage securities. GSEs government agencies Residential Commercial mortgage-backed securities Obligations. states municipalities.debt securities Corporate debt securities Loans Asset-backed securities debt instruments Equity securities(77 Physical commodities trading assets debt equity instruments(1,855) Net derivative receivables Interest rate,789 Foreign exchange Equity net derivative receivables(4,993) Available-for-sale securities Corporate debt securities available-for-sale securities Loans(87)(965) Mortgage rights,276(788 assets value Year December 31, 2021 millions value January 1, Liabilities Deposits,913(80) Short-term borrowings,420,391),308) Trading liabilities debt equity Accounts payable liabilities Long-term debt,397(c)(f,191)


3 assets fair value Firm 2% at December 31, 2023 2022 2021. Level 3 liabilities 8% December 2023 2022 10% December 31, 2021.


level 3 derivatives basis counterparty.


reported transactions changes value CCB mortgage loans purchase commitments mortgage fees income.


gains AFS securities investment. OCI. level 3 securities not material years 2023 2022 2021.


MSRs mortgage fees income.


DVA value option transactions 2023 2022 2021. Unrealized OCI $(158) $(529) million $258 million 2023 2022 2021.


purchases.


assets liabilities matured repaid modifications deconsolidations interests.


describes changes level 3 assets since December 2022 measured fair value. Assets liabilities measured page 193 changes.


$23. billion 2023 $30 million.


2023$1. 7 billion non-trading loans. CIB First Republic.$549 million MSRs


offset. billion receivables settlements gains purchases.


Note 15.


sections information.


December 2023 transfers 2 3$951 million interest rate receivables $2. 1 billion payables transition SOFR.$1. 5 billion equity receivables $829 million payables observability unobservable.$1. 3 billion non-trading loans observability.


2023 transfers 3 2$1. 1 billion debt equity trading loans observability.$921 million interest rate receivables observability.$2. 3 billion equity receivables $1. 7 billion equity payables observability.$1. 1 billion non-trading loans observability.


December 2022 transfers 2 3$2. 4 billion debt equity instruments equity securities $1. 1 billion restricted access trading loans $925 million.$1. 6 billion interest rate receivables $878 million payables.$1. 6 billion equity receivables $2. 3 billion payables.$1. 1 billion non-trading loans.$793 million long-term debt unobservable.


December 2022 transfers 3 2$1. 2 billion debt equity instruments trading loans observability.$1. 2 billion interest rate receivables $807 million payables observability.$2. 2 billion equity receivables $2. 3 billion payables.$831 million non-trading loans.$1. 0 billion long-term debt.


2021 transfers 2 3$1. billion debt equity trading loans observability.$1. 5 billion equity receivables $1. 2 billion payables unobservable. billion non-trading loans.


2021 transfers 3 2$1. 4 billion debt equity instruments trading loans observability.$1. 9 billion equity receivables $2. 1 billion payables observability.$794 million non-trading loans.$809 million long-term debt.


transfers based changes valuation inputs assumed quarterly reporting period.


describes gains instruments measured fair value December 2023 2022 2021. exclude risk management activities level 1 2. Changes level 3 fair value measurements pages 186–190 information.$1. 8 billion gains assets interest rate receivables MSRs.$3. 3 billion losses liabilities long debt.$7. 7 billion gains assets equity receivables MSRs.$4. 6 billion gains liabilities decline value long-term debt.$495 million gains assets interest rate offset losses equity commodity.$1. 1 billion gains liabilities short borrowings.


Derivatives valued using models market parameters. counterparty nonperformance risk credit quality funding costs. necessary adjustments reflect.