JPM Nonperforming assets

The following table presents information as of December 31, 2023 and 2022, about consumer, excluding credit card, nonperforming assets. Nonperforming assets(a)######## December 31, (in millions)####2023####2022 Nonaccrual loans######## Residential real estate(b)##$##4,015##$##4,196 Auto and other(c)####188####129 Total nonaccrual loans####4,203####4,325 Assets acquired in loan satisfactions######## Real estate owned####120####129 Other####42####28 Total assets acquired in loan satisfactions####162####157 Total nonperforming assets##$##4,365##$##4,482


JPM Nonperforming assets

(a)At December 31, 2023 and 2022, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $182 million and $302 million, respectively. These amounts have been excluded based upon the government guarantee.


JPM Nonperforming assets

(b)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic.


JPM Nonperforming assets

(c)At December 31, 2023 and 2022, nonaccrual loans excluded $15 million and $101 million, respectively, of PPP loans 90 or more days past due and guaranteed by the SBA.


JPM Nonaccrual loans

The following table presents changes in consumer, excluding credit card, nonaccrual loans for the years ended December 31, 2023 and 2022. Nonaccrual loan activity######## Year ended December 31,######## (in millions)####2023####2022 Beginning balance##$##4,325##$##5,350 Additions:####2,894####2,196 Reductions:######## Principal payments and other(a)####1,306####1,393 Charge-offs####472####255 Returned to performing status####1,052####1,405 Foreclosures and other liquidations####186####168 Total reductions####3,016####3,221 Net changes####(122)####(1,025) Ending balance##$##4,203##$##4,325


JPM Nonaccrual loans

(a)Other reductions include loan sales.


JPM Nonaccrual loans

Refer to Note 12 for further information about the consumer credit portfolio, including information about delinquencies, other credit quality indicators, loan modifications and loans that were in the process of active or suspended foreclosure.


JPM Credit card

Total credit card loans increased from December 31, 2022 reflecting growth from new accounts and revolving balances which continued to normalize to pre-pandemic levels. The December 31, 2023 30+ and 90+ day delinquency rates of 2.14% and 1.05%, respectively, increased compared to the December 31, 2022 30+ and 90+ day delinquency rates of 1.45% and 0.68%, respectively. Net charge-offs increased for the year ended December 31, 2023 compared to the prior year as delinquencies have normalized.


JPM Credit card

Consistent with the Firm’s policy, all credit card loans typically remain on accrual status until charged off. However, the Firm’s allowance for loan losses includes the estimated uncollectible portion of accrued and billed interest and fee income.


JPM Geographic and FICO composition of credit card loans

At December 31, 2023, $98.1 billion, or 46% of the total retained credit card loan portfolio, was concentrated in California, Texas, New York, Florida and Illinois, compared with $85.4 billion, or 46%, at December 31, 2022.


JPM Modifications of credit card loans

For the year ended December 31, 2023, credit card FDMs were $648 million. FDMs increased for the year ended December 31, 2023 compared to credit card TDRs in the prior year, as delinquencies have normalized. In addition to FDMs, the Firm also had $27 million of loans subject to trial modification where the terms of the loans have not been permanently modified for the year ended December 31, 2023. The changes to the TDR accounting guidance eliminated the TDR reasonably expected and concession assessment criteria. Accordingly, trial modifications were considered TDRs, but not FDMs.


JPM Modifications of credit card loans

For the year ended December 31, 2022, credit card TDRs were $418 million.


JPM Modifications of credit card loans

Refer to Note 1 and Note 12 for further information about this portfolio, including information about delinquencies, geographic and FICO composition, and modifications.


JPM WHOLESALE CREDIT PORTFOLIO

In its wholesale businesses, the Firm is exposed to credit risk primarily through its underwriting, lending, market-making, and hedging activities with and for clients and counterparties, as well as through various operating services (such as cash management and clearing activities), securities financing activities and cash placed with banks. A portion of the loans originated or acquired by the Firm’s wholesale businesses is generally retained on the balance sheet. The Firm distributes a significant percentage of the loans that it originates into the market as part of its syndicated loan business and to manage portfolio concentrations and credit risk. The wholesale portfolio is actively managed, in part by conducting ongoing, in-depth reviews of client credit quality and transaction structure, inclusive of collateral where applicable, and of industry, product and client concentrations. Refer to the industry discussion on pages 122–125 for further information.


JPM WHOLESALE CREDIT PORTFOLIO

The Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM, and Corporate, and risk-rated exposure held in CCB, for which the wholesale methodology is applied when determining the allowance for loan losses. The Firm continues to convert certain operations, and to integrate clients, products and services, associated with First Republic. Accordingly, reporting classifications and internal risk rating profiles in the wholesale portfolio may change in future periods. Refer to Business Developments on page 53 for additional information.


JPM WHOLESALE CREDIT PORTFOLIO

As of December 31, 2023, retained loans increased $68.8 billion predominantly driven by the impact of First Republic. Lending-related commitments increased $64.8 billion, driven by the impact of First Republic, and net portfolio activity in CIB and CB.


JPM WHOLESALE CREDIT PORTFOLIO

As of December 31, 2023, nonperforming exposure increased $476 million predominantly driven by nonperforming retained loans in Real Estate and Healthcare, reflecting downgrades, and Individuals largely driven by the impact of First Republic, partially offset by a single name upgrade in Civic Organizations.


JPM WHOLESALE CREDIT PORTFOLIO

For the year ended December 31, 2023, wholesale net charge-offs increased $698 million, predominantly driven by the restructuring of a loan, increases in Real Estate (concentrated in Office) and Consumer & Retail. ########Wholesale credit portfolio########## December 31, (in millions)######Credit exposure##########Nonperforming## ####2023######2022####2023####2022 Loans retained##$##672,472####$##603,670##$##2,346##$##1,963 Loans held-for-sale####3,498######3,352####89####26 Loans at fair value####26,520######32,075####279####406 Loans####702,490######639,097####2,714####2,395 Derivative receivables####54,864######70,880####364####296 Receivables from customers(a)####47,625######49,257####—####— Total wholesale credit-related assets####804,979######759,234####3,078####2,691 Assets acquired in loan satisfactions################## Real estate owned####NA######NA####154####74 Other####NA######NA####—####— Total assets acquired in loan satisfactions####NA######NA####154####74 Lending-related commitments####536,786######471,980####464####455 Total wholesale credit portfolio##$##1,341,765##(c)##$##1,231,214##$##3,696##$##3,220 Credit derivatives and credit-related notes used in credit portfolio management activities(b)##$##(36,989)####$##(18,143)##$##—##$##— Liquid securities and other cash collateral held against derivatives####(22,461)######(23,014)####NA####NA


JPM WHOLESALE CREDIT PORTFOLIO

(a)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.


JPM WHOLESALE CREDIT PORTFOLIO

(b)Represents the net notional amount of protection purchased and sold through credit derivatives and credit-related notes used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 130 and Note 5 for additional information.


JPM WHOLESALE CREDIT PORTFOLIO

(c)Included credit exposure of $90.6 billion associated with First Republic.


JPM Wholesale credit exposure – maturity and ratings profile

The following tables present the maturity and internal risk ratings profiles of the wholesale credit portfolio as of December 31, 2023 and 2022. The Firm generally considers internal ratings with qualitative characteristics equivalent to BBB-/Baa3 or higher as investment grade, and takes into consideration collateral and structural support when determining the internal risk rating for each credit facility. Refer to Note 12 for further information on internal risk ratings. ##########Maturity profile(d)############Ratings profile## ####1 year or less####After 1 year through 5 years####After 5 years####Total######## December 31, 2023 (in millions, except ratios)####################Investment-grade####Noninvestment-grade Loans retained##$##211,104##$##280,821##$##180,547##$##672,472##$##458,838##$##213,634 Derivative receivables################54,864######## Less: Liquid securities and other cash collateral held against derivatives################(22,461)######## Total derivative receivables, net of collateral####8,007####8,970####15,426####32,403####24,919####7,484 Lending-related commitments####143,337####368,646####24,803####536,786####341,611####195,175 Subtotal####362,448####658,437####220,776####1,241,661####825,368####416,293 Loans held-for-sale and loans at fair value(a)################30,018######## Receivables from customers################47,625######## Total exposure – net of liquid securities and other cash collateral held against derivatives##############$##1,319,304######## Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)##$##(3,311)##$##(28,353)##$##(5,325)##$##(36,989)##$##(28,869)##$##(8,120) ##########Maturity profile(d)################Ratings profile#### ####1 year or less####After 1 year through 5 years####After 5 years####Total##############Total December 31, 2022 (in millions, except ratios)####################Investment-grade####Noninvestment-grade###### Loans retained##$##204,761##$##253,896##$##145,013##$##603,670##$##425,412##$##178,258####$##603,670 Derivative receivables################70,880##############70,880 Less: Liquid securities and other cash collateral held against derivatives################(23,014)##############(23,014) Total derivative receivables, net of collateral####13,508####14,880####19,478####47,866####36,231####11,635######47,866 Lending-related commitments####101,083####347,456####23,441####471,980####327,168####144,812######471,980 Subtotal####319,352####616,232####187,932####1,123,516####788,811####334,705######1,123,516 Loans held-for-sale and loans at fair value(a)################35,427##############35,427 Receivables from customers################49,257##############49,257 Total exposure – net of liquid securities and other cash collateral held against derivatives##############$##1,208,200############$##1,208,200 Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)##$##(2,817)##$##(13,530)##$##(1,796)##$##(18,143)##$##(15,115)##$##(3,028)####$##(18,143)


(a)Loans held-for-sale are primarily related to syndicated loans and loans transferred from the retained portfolio.


(b)These derivatives do not qualify for hedge accounting under U.S. GAAP.


(c)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties. In addition, the Firm obtains credit protection against certain loans in the retained loan portfolio through the issuance of credit-related notes.


(d)The maturity profile of retained loans, lending-related commitments and derivative receivables is generally based on remaining contractual maturity. Derivative contracts that are in a receivable position at December 31, 2023, may become payable prior to maturity based on their cash flow profile or changes in market conditions.


JPM Wholesale credit exposure – industry exposures

The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns. Exposures that are deemed to be criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful categories. Total criticized exposure, excluding loans held-for-sale and loans at fair value, was $41.4 billion at December 31, 2023 and $31.3 billion at December 31, 2022, representing approximately 3.3% and 2.7% of total wholesale credit exposure, respectively; of the $41.4 billion, $38.3 billion was performing. The increase in criticized exposure was predominantly driven by Real Estate, Technology, Media & Telecommunications (predominantly Technology) and Healthcare, reflecting downgrades.


The table below summarizes by industry the Firm’s exposures as of December 31, 2023 and 2022. The industry of risk category is generally based on the client or counterparty’s primary business activity. Refer to Note 4 for additional information on industry concentrations.


As of or for the year ended  December 31, 2023 (in millions)


JPM 122 JPMorgan Chase & Co./2023 Form 10-K

################################Selected metrics ########################30 days or more past due and accruing loans####Net charge-offs/ (recoveries)####Credit derivative and credit-related notes (i) ##############Noninvestment-grade################## ####Credit exposure(f)(g)####Investment- grade####Noncriticized####Criticized performing####Criticized nonperforming############ As of or for the year ended December 31, 2022 (in millions)################################ Real Estate##$##170,857##$##129,866##$##36,945##$##3,609##$##437##$##543##$##19##$##(113) Individuals and Individual Entities(b)####130,815####112,006####18,104####360####345####1,038####1####— Asset Managers####95,656####78,925####16,665####61####5####15####(1)####— Consumer & Retail####120,555####60,781####51,871####7,295####608####321####49####(1,157) Technology, Media & Telecommunications####72,286####39,199####25,689####7,096####302####62####39####(1,766) Industrials####72,483####39,052####30,500####2,809####122####282####44####(1,258) Healthcare####62,613####43,839####17,117####1,479####178####43####27####(1,055) Banks & Finance Companies####51,816####27,811####22,994####961####50####36####—####(262) Utilities####36,218####25,981####9,294####807####136####21####15####(607) State & Municipal Govt(c)####33,847####33,191####529####126####1####36####—####(9) Oil & Gas####38,668####20,547####17,616####474####31####57####(6)####(414) Automotive####33,287####23,908####8,839####416####124####198####(2)####(513) Chemicals & Plastics####20,030####12,134####7,103####744####49####10####3####(298) Insurance####21,045####15,468####5,396####181####—####1####—####(273) Central Govt####19,095####18,698####362####35####—####—####10####(4,591) Transportation####15,009####6,497####6,862####1,574####76####24####2####(339) Metals & Mining####15,915####8,825####6,863####222####5####7####(1)####(27) Securities Firms####8,066####4,235####3,716####115####—####—####(13)####(26) Financial Markets Infrastructure####4,962####4,525####437####—####—####—####—####— All other(d)####123,307####105,284####17,555####223####245####4####(5)####(5,435) Subtotal##$##1,146,530##$##810,772##$##304,457##$##28,587##$##2,714##$##2,698##$##181##$##(18,143) Loans held-for-sale and loans at fair value####35,427############################ Receivables from customers####49,257############################ Total(e)##$##1,231,214############################


(a)The industry rankings presented in the table as of December 31, 2022, are based on the industry rankings of the corresponding exposures at December 31, 2023, not actual rankings of such exposures at December 31, 2022.


(b)Individuals and Individual Entities predominantly consists of Global Private Bank clients within AWM and J.P. Morgan Wealth Management within CCB, and includes exposure to personal investment companies and personal and testamentary trusts.


(c)In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at December 31, 2023 and 2022, noted above, the Firm held: $5.9 billion and $6.6 billion, respectively, of trading assets; $21.4 billion and $6.8 billion, respectively, of AFS securities; and $9.9 billion and $19.7 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.


(d)All other includes: SPEs and Private education and civic organizations, representing approximately 94% and 6%, respectively, at December 31, 2023 and 95% and 5%, respectively, at December 31, 2022.


(e)Excludes cash placed with banks of $614.1 billion and $556.6 billion, at December 31, 2023 and 2022, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.


(f)Credit exposure is net of risk participations and excludes the benefit of credit derivatives and credit-related notes used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.


(g)Credit exposure includes held-for-sale and fair value option elected lending-related commitments.


(h)Included credit exposure of $90.6 billion associated with First Republic predominantly in Real Estate, Asset Managers, and Individuals and Individual Entities.


(i)Represents the net notional amounts of protection purchased and sold through credit derivatives and credit-related notes used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The All other category includes purchased credit protection on certain credit indices.


JPM Management’s discussion and analysis

Presented below is additional detail on certain of the Firm’s industry exposures.


JPM Real Estate

Real Estate exposure was $208.3 billion as of December 31, 2023. Criticized exposure increased by $5.2 billion from $4.0 billion at December 31, 2022 to $9.2 billion at December 31, 2023, predominantly driven by client-specific downgrades, partially offset by client-specific upgrades. ############December 31, 2023############## (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure########% Investment-grade######% Drawn(e) Multifamily(a)##$##121,946##$##21##$##121,967####79##%####90##%## Industrial####20,254####18####20,272####70######72#### Office####16,462####32####16,494####51######81#### Services and Non Income Producing####16,145####74####16,219####62######46#### Other Income Producing Properties(b)####15,542####208####15,750####55######63#### Retail####12,763####48####12,811####75######73#### Lodging####4,729####19####4,748####30######48#### Total Real Estate Exposure(c)##$##207,841##$##420##$##208,261##(d)##71##%####80##%## ############December 31, 2022############## (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure########% Investment- grade######% Drawn(e) Multifamily(a)##$##99,555##$##17##$##99,572####82##%####87##%## Industrial####15,928####1####15,929####72######71#### Office####14,917####25####14,942####74######73#### Services and Non Income Producing####13,968####10####13,978####65######48#### Other Income Producing Properties(b)####12,701####150####12,851####70######62#### Retail####10,192####8####10,200####75######68#### Lodging####3,347####38####3,385####6######37#### Total Real Estate Exposure##$##170,608##$##249##$##170,857####76##%####77##%##


JPM Real Estate

(a)Multifamily exposure is largely in California.


JPM Real Estate

(b)Other Income Producing Properties consists of clients with diversified property types or other property types outside of categories listed in the table above.


JPM Real Estate

(c)Real Estate exposure is approximately 82% secured; unsecured exposure is predominantly investment-grade largely to Real Estate Investment Trusts (“REITs”) and Real Estate Operating Companies (“REOCs”) whose underlying assets are generally diversified.


JPM Real Estate

(d)Included $33.4 billion of credit exposure associated with First Republic, largely in Multifamily.


JPM Real Estate

(e)Represents drawn exposure as a percentage of credit exposure.


JPM Consumer & Retail

Consumer & Retail exposure was $127.1 billion as of December 31, 2023. Criticized exposure increased by $409 million from $7.9 billion at December 31, 2022 to $8.3 billion at December 31, 2023, driven by client-specific downgrades predominantly offset by client-specific upgrades and net portfolio activity. ############December 31, 2023############ (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure######% Investment-grade######% Drawn(d) Retail(a)##$##36,042##$##334##$##36,376##51##%####30##%## Business and Consumer Services####34,822####392####35,214##42######42#### Food and Beverage####32,256####930####33,186##57######36#### Consumer Hard Goods####13,169####197####13,366##43######33#### Leisure(b)####8,784####160####8,944##25######47#### Total Consumer & Retail(c)##$##125,073##$##2,013##$##127,086##47##%####36##%## ############December 31, 2022############ (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure######% Investment- grade######% Drawn(d) Retail(a)##$##33,891##$##309##$##34,200##50##%####33##%## Business and Consumer Services####31,256####384####31,640##50######40#### Food and Beverage####31,706####736####32,442##59######39#### Consumer Hard Goods####13,879####172####14,051##51######39#### Leisure(b)####8,173####49####8,222##21######45#### Total Consumer & Retail##$##118,905##$##1,650##$##120,555##50##%####38##%##


JPM Consumer & Retail

(a)Retail consists of Home Improvement & Specialty Retailers, Restaurants, Supermarkets, Discount & Drug Stores, Specialty Apparel and Department Stores.


JPM Consumer & Retail

(b)Leisure consists of Gaming, Arts & Culture, Travel Services and Sports & Recreation. As of December 31, 2023, approximately 90% of the noninvestment-grade Leisure portfolio is secured.


JPM Consumer & Retail

(c)Consumer & Retail exposure is approximately 59% secured; unsecured exposure is approximately 79% investment-grade.


JPM Consumer & Retail

(d)Represents drawn exposure as a percent of credit exposure.


JPM Oil & Gas

Oil & Gas exposure was $34.5 billion as of December 31, 2023 of which $123 million was considered criticized. ############December 31, 2023############ (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure######% Investment-grade######% Drawn(c) Exploration & Production ("E&P") and Oil field Services##$##18,121##$##536##$##18,657##51##%####26##%## Other Oil & Gas(a)####15,649####169####15,818##55######22#### Total Oil & Gas(b)##$##33,770##$##705##$##34,475##53##%####25##%## ############December 31, 2022############ (in millions, except ratios)####Loans and Lending-related Commitments####Derivative Receivables####Credit exposure######% Investment- grade######% Drawn(c) Exploration & Production ("E&P") and Oil field Services##$##17,729##$##4,666##$##22,395##50##%####25##%## Other Oil & Gas(a)####15,818####455####16,273##57######25#### Total Oil & Gas##$##33,547##$##5,121##$##38,668##53##%####25##%##


JPM Oil & Gas

(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.


JPM Oil & Gas

(b)Oil & Gas exposure is approximately 35% secured, approximately half of which is reserve-based lending to the Exploration & Production sub-sector; unsecured exposure is approximately 61% investment-grade.


JPM Oil & Gas

(c)Represents drawn exposure as a percent of credit exposure.


JPM Loans

In its wholesale businesses, the Firm provides loans to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals. Refer to Note 12 for a further discussion on loans, including information about delinquencies, loan modifications and other credit quality indicators.


JPM Loans

The following table presents the change in the nonaccrual loan portfolio for the years ended December 31, 2023 and 2022. Since December 31, 2022, nonaccrual loan exposure increased by $319 million driven by retained loans in Real Estate and Healthcare, reflecting downgrades, and Individuals largely driven by the impact of First Republic, partially offset by a single name upgrade in Civic Organizations. Wholesale nonaccrual loan activity######## Year ended December 31, (in millions)####2023####2022 Beginning balance##$##2,395##$##2,445 Additions####3,543####2,119 Reductions:######## Paydowns and other####1,336####1,329 Gross charge-offs####965####213 Returned to performing status####616####594 Sales####307####33 Total reductions####3,224####2,169 Net changes####319####(50) Ending balance##$##2,714##$##2,395


JPM Loans

The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the years ended December 31, 2023 and 2022. The amounts in the table below do not include gains or losses from sales of nonaccrual loans recognized in noninterest revenue. ####Wholesale net charge-offs/(recoveries)######## Year ended December 31, (in millions, except ratios)####2023######2022## Loans############ Average loans retained##$##646,875####$##582,021## Gross charge-offs####1,011######322## Gross recoveries collected####(132)######(141)## Net charge-offs/(recoveries)####879######181## Net charge-off/(recovery) rate####0.14##%####0.03##%


JPM Modified wholesale loans

The amortized cost of wholesale FDMs was $2.1 billion for the year ended December 31, 2023. Refer to Note 1 and Note 12 for further information.


JPM Modified wholesale loans

Wholesale TDRs were $801 million for the year ended December 31, 2022.


JPM Modified wholesale loans

As a result of the elimination of the requirement to assess whether a modification is reasonably expected or involves a concession, the population of loans considered FDMs is greater than the population previously considered TDRs. Refer to Note 12 for further information on TDRs in prior periods.


JPM Maturities and sensitivity to changes in interest rates

The table below sets forth wholesale loan maturities and the distribution between fixed and floating interest rates based on the stated terms of the loan agreements by loan class. Refer to Note 12 for further information on loan classes. December 31, 2023 (in millions, except ratios)####1 year or less(g)####After 1 year through 5 years####After 5 years through 15 years####After 15 years####Total Wholesale loans:#################### Secured by real estate(a)##$##16,144##$##61,764##$##48,972##$##42,417##$##169,297 Commercial and industrial####52,351####112,339####8,469####35####173,194 Other(b)####173,752####141,760####38,558####5,929####359,999 Total wholesale loans##$##242,247##$##315,863##$##95,999##$##48,381##$##702,490 Loans due after one year at fixed interest rates#################### Secured by real estate(c)######$##15,871##$##11,185##$##720#### Commercial and industrial########5,004####1,376####34#### Other########25,264####17,656####3,910#### Loans due after one year at variable interest rates(d)#################### Secured by real estate(e)######$##45,893##$##37,787##$##41,696#### Commercial and industrial########107,334####7,093####2#### Other(f)########116,497####20,902####2,019#### Total wholesale loans######$##315,863##$##95,999##$##48,381####


(a)Included $6.6 billion, $16.9 billion, and $9.7 billion of loans in 1 year or less, after 1 year through 5 years, and after 5 years though 15, respectively, associated with First Republic.


(b)Included $9.8 billion, and $4.1 billion of loans in 1 year or less, and after 1 year through 5 years, respectively, associated with First Republic.


(c)Included $9.7 billion, and $5.7 billion in after 1 year through 5 years, and after 5 years though 15, respectively, associated with First Republic.


(d)Includes loans that have an initial fixed interest rate that resets to a variable rate as the variable rate will be the prevailing rate over the life of the loan.


(e)Included $7.1 billion, and $4.0 billion in after 1 year through 5 years, and after 5 years though 15, respectively, associated with First Republic.


(f)Included $3.0 billion in after 1 year through 5 years associated with First Republic.


(g)Includes loans held-for-sale, demand loans and overdrafts.


The following table presents net charge-offs/recoveries, average retained loans and net charge-off/recovery rate by loan class for the year ended December 31, 2023 and 2022. ##########################Year ended December 31,######################## ########Secured by real estate############Commercial and industrial##############Other############Total#### (in millions, except ratios)####2023######2022######2023######2022########2023######2022######2023######2022## Net charge-offs/(recoveries)##$##178####$##6####$##370####$##145######$##331####$##30####$##879####$##181## Average retained loans####151,214######122,904######170,503######160,611########325,158######298,506######646,875######582,021## Net charge-off/(recovery) rate####0.12##%####—##%####0.22##%####0.09##%######0.10##%####0.01##%####0.14##%####0.03##%


JPM Lending-related commitments

The Firm uses lending-related financial instruments, such as commitments (including revolving credit facilities) and guarantees, to address the financing needs of its clients. The contractual amounts of these financial instruments represent the maximum possible credit risk should the clients draw down on these commitments or when the Firm fulfills its obligations under these guarantees, and the clients subsequently fail to perform according to the terms of these contracts. Most of these commitments and guarantees have historically been refinanced, extended, cancelled, or expired without being drawn upon or a default occurring. As a result, the Firm does not believe that the total contractual amount of these wholesale lending-related commitments is representative of the Firm’s expected future credit exposure or funding requirements. Refer to Note 28 for further information on wholesale lending-related commitments.


JPM Receivables from customers

Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (including cash on deposit, and primarily liquid and readily marketable debt or equity securities). To manage its credit risk, the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. Credit risk arising from lending activities subject to collateral maintenance requirements is generally mitigated by factors such as the short-term nature of the activity, the fair value of collateral held and the Firm’s right to call for, and the borrower’s obligation to provide, additional margin when the fair value of the collateral declines. Because of these mitigating factors, these receivables generally do not require an allowance for credit losses. However, if in management’s judgment, an allowance for credit losses is required, the Firm estimates expected credit losses based on the value of the collateral and probability of borrower default. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.


JPM Receivables from customers

Refer to Note 13 for further information on the Firm’s accounting policies for the allowance for credit losses.


JPM Derivative contracts

Derivatives enable clients and counterparties to manage risk, including credit risk and risks arising from fluctuations in interest rates, foreign exchange and equities and commodities prices. The Firm makes markets in derivatives in order to meet these needs and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. The Firm also uses derivative instruments to manage its own credit risk and other market risk exposure. The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Firm is exposed. For OTC derivatives, the Firm is exposed to the credit risk of the derivative counterparty. For exchange-traded derivatives (“ETD”), such as futures and options, and cleared over-the-counter (“OTC-cleared”) derivatives, the Firm can also be exposed to the


JPM Derivative contracts

credit risk of the relevant CCP. Where possible, the Firm seeks to mitigate its credit risk exposures arising from derivative contracts through the use of legally enforceable master netting arrangements and collateral agreements. The percentage of the Firm’s OTC derivative transactions subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity and centrally cleared trades that are settled daily — was approximately 87% at both December 31, 2023 and 2022. Refer to Note 5 for additional information on the Firm’s use of collateral agreements and further discussion of derivative contracts, counterparties and settlement types.


JPM Derivative contracts

The fair value of derivative receivables reported on the Consolidated balance sheets was $54.9 billion and $70.9 billion at December 31, 2023 and 2022, respectively. The decrease was primarily as a result of market movements. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and the related cash collateral held by the Firm.


JPM Derivative contracts

In addition, the Firm holds liquid securities and other cash collateral that may be used as security when the fair value of the client’s exposure is in the Firm’s favor. For these purposes, the definition of liquid securities is consistent with the definition of high quality liquid assets as defined in the LCR rule.


JPM Derivative contracts

In management’s view, the appropriate measure of current credit risk should also take into consideration other collateral, which generally represents securities that do not qualify as high quality liquid assets under the LCR rule. The benefits of these additional collateral amounts for each counterparty are subject to a legally enforceable master netting agreement and limited to the net amount of the derivative receivables for each counterparty.


JPM Derivative contracts

The Firm also holds additional collateral (primarily cash, G7 government securities, other liquid government agency and guaranteed securities, and corporate debt and equity securities) delivered by clients at the initiation of transactions, as well as collateral related to contracts that have a non-daily call frequency and collateral that the Firm has agreed to return but has not yet settled as of the reporting date. Although this collateral does not reduce the receivables balances and is not included in the tables below, it is available as security against potential exposure that could arise should the fair value of the client’s derivative contracts move in the Firm’s favor. Refer to Note 5 for additional information on the Firm’s use of collateral agreements for derivative transactions.


JPM 128 JPMorgan Chase & Co./2023 Form 10-K

The following tables summarize the net derivative receivables and the internal ratings profile for the periods presented. Derivative receivables######## December 31, (in millions)####2023####2022 Total, net of cash collateral##$##54,864##$##70,880 Liquid securities and other cash collateral held against derivative receivables####(22,461)####(23,014) Total, net of liquid securities and other cash collateral##$##32,403##$##47,866 Other collateralheld against derivative receivables####(993)####(1,261) Total, net of collateral##$##31,410##$##46,605 Ratings profile of derivative receivables#################### ######2023##########2022#### December 31, (in millions, except ratios)####Exposure net of collateral####% of exposure net of collateral######Exposure net of collateral####% of exposure net of collateral## Investment-grade##$##24,004####76##%##$##35,097####75##% Noninvestment-grade####7,406####24######11,508####25## Total##$##31,410####100##%##$##46,605####100##%


While useful as a current view of credit exposure, the net fair value of the derivative receivables does not capture the potential future variability of that credit exposure. To capture this variability, the Firm calculates, on a client-by-client basis, three measures of potential derivatives-related credit loss: Peak, Derivative Risk Equivalent (“DRE”), and Average exposure (“AVG”). These measures all incorporate netting and collateral benefits, where applicable.


Peak represents a conservative measure of potential derivative exposure, including the benefit of collateral, to a counterparty calculated in a manner that is broadly equivalent to a 97.5% confidence level over the life of the transaction. Peak is the primary measure used by the Firm for setting credit limits for derivative contracts, senior management reporting and derivatives exposure management.


DRE exposure is a measure that expresses the risk of derivative exposure, including the benefit of collateral, on a basis intended to be equivalent to the risk of loan exposures. DRE is a less extreme measure of potential credit loss than Peak and is used as an input for aggregating derivative credit risk exposures with loans and other credit risk.


Finally, AVG is a measure of the expected fair value of the Firm’s derivative exposures, including the benefit of collateral, at future time periods. AVG over the total life of the derivative contract is used as the primary metric for pricing purposes and is used to calculate credit risk capital and CVA, as further described below.


The fair value of the Firm’s derivative receivables incorporates CVA to reflect the credit quality of counterparties. CVA is based on the Firm’s AVG to a counterparty and the counterparty’s credit spread in the credit derivatives market. The Firm believes that active risk management is essential to controlling the dynamic credit risk in the derivatives portfolio. In addition, the Firm’s risk management process for derivatives exposures takes into consideration the potential impact of wrong-way risk, which


is broadly defined as the risk that exposure to a counterparty is positively correlated with the impact of a default by the same counterparty, which could cause exposure to increase at the same time as the counterparty’s capacity to meet its obligations is decreasing. Many factors may influence the nature and magnitude of these correlations over time. To the extent that these correlations are identified, the Firm may adjust the CVA associated with a particular counterparty’s AVG. The Firm risk manages exposure to changes in CVA by entering into credit derivative contracts, as well as interest rate, foreign exchange, equity and commodity derivative contracts.


The below graph shows exposure profiles to the Firm’s current derivatives portfolio over the next 10 years as calculated by the Peak, DRE and AVG metrics. The three measures generally show that exposure will decline after the first year, if no new trades are added to the portfolio.


JPM Credit derivatives

The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker, and second, as an end-user to manage the Firm’s own credit risk associated with various exposures.


JPM Credit portfolio management activities

Included in the Firm’s end-user activities are credit derivatives used to mitigate the credit risk associated with traditional lending activities (loans and lending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “credit portfolio management activities”). Information on credit portfolio management activities is provided in the table below.


The Firm also uses credit derivatives as an end-user to manage other exposures, including credit risk arising from certain securities held in the Firm’s market-making businesses. These credit derivatives are not included in credit portfolio management activities. ######Credit derivatives and credit-related notes used in credit portfolio management activities###### ########Notional amount of protection  purchased and sold(a)#### December 31, (in millions)######2023######2022 Credit derivatives and credit-related notes used to manage:############ Loans and lending-related commitments##$##24,157######$##6,422 Derivative receivables####12,832########11,721 Credit derivatives and credit-related notes used in credit portfolio management activities##$##36,989######$##18,143


(a)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index.


The credit derivatives used in credit portfolio management activities do not qualify for hedge accounting under U.S. GAAP; these derivatives are reported at fair value, with gains and losses recognized in principal transactions revenue. In contrast, the loans and lending-related commitments being risk-managed are accounted for on an accrual basis. This asymmetry in accounting treatment, between loans and lending-related commitments and the credit derivatives used in credit portfolio management activities, causes earnings volatility that is not representative, in the Firm’s view, of the true changes in value of the Firm’s overall credit exposure.


The effectiveness of credit default swaps (“CDS”) as a hedge against the Firm’s exposures may vary depending on a number of factors, including the named reference entity (i.e., the Firm may experience losses on specific exposures that are different than the named reference entities in the purchased CDS); the contractual terms of the CDS (which may have a defined credit event that does not align with an actual loss realized by the Firm); and the maturity of the Firm’s CDS protection (which in some cases may be shorter than the Firm’s exposures). However, the Firm generally seeks to purchase credit protection with a maturity date that is the same or similar to the maturity date of the exposure for which the protection was purchased, and remaining differences in maturity are actively monitored and managed by the Firm. Refer to Credit derivatives in Note 5 for further information on credit derivatives and derivatives used in credit portfolio management activities.


JPM ALLOWANCE FOR CREDIT LOSSES

The Firm’s allowance for credit losses represents management's estimate of expected credit losses over the remaining expected life of the Firm's financial assets measured at amortized cost and certain off-balance sheet lending-related commitments. The Firm’s allowance for credit losses generally consists of: •the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the Consolidated balance sheets, •the allowance for lending-related commitments, which is reflected in accounts payable and other liabilities on the Consolidated balance sheets, and •the allowance for credit losses on investment securities, which is reflected in investment securities on the Consolidated balance sheets.


JPM Discussion of changes in the allowance

The allowance for credit losses as of December 31, 2023 was $24.8 billion, reflecting a net addition of $3.1 billion from December 31, 2022.


The net addition to the allowance for credit losses included $1.9 billion, consisting of: •$1.3 billion in consumer, predominantly driven by CCB, comprised of $1.4 billion in Card Services, partially offset by a net reduction of $200 million in Home Lending. The net addition in Card Services was driven by loan growth, including an increase in revolving balances, partially offset by reduced borrower uncertainty. The net reduction in Home Lending was driven by improvements in the outlook for home prices, and •$675 million in wholesale, driven by net downgrade activity, the net effect of changes in the Firm’s weighted average macroeconomic outlook, including deterioration in the outlook for commercial real estate in CB, and an addition for certain accounts receivable in CIB, partially offset by the impact of changes in the loan and lending-related commitment portfolios.


The net addition also included $1.2 billion to establish the allowance for the First Republic loans and lending-related commitments in the second quarter of 2023.


The changes in the Firm's weighted average macroeconomic outlook also included updates to the central scenario in the third quarter of 2023 to reflect a lower forecasted unemployment rate consistent with a higher growth rate in GDP, and the impact of the additional weight placed on the adverse scenarios in the first quarter of 2023, reflecting elevated recession risks due to high inflation and tightening financial conditions.


The allowance for credit losses also reflected a reduction of $587 million as a result of the adoption of changes to the TDR accounting guidance on January 1, 2023. Refer to Note 1 for further information.


The Firm's allowance for credit losses is estimated using a weighted average of five internally developed macroeconomic scenarios. The adverse scenarios incorporate more punitive macroeconomic factors than the central case assumptions provided in the table below, resulting in a weighted average U.S. unemployment rate peaking at 5.5% in the fourth quarter of 2024, and a weighted average U.S. real GDP level that is 1.5% lower than the central case at the end of the second quarter of 2025.


The following table presents the Firm’s central case assumptions for the periods presented: ######Central case assumptions at December 31, 2023###### ##2Q24####4Q24####2Q25## U.S. unemployment rate(a)##4.1##%##4.4##%##4.1##% YoY growth in U.S. real GDP(b)##1.8##%##0.7##%##1.0##% ######Central case assumptions at December 31, 2022###### ##2Q23####4Q23####2Q24## U.S. unemployment rate(a)##3.8##%##4.3##%##5.0##% YoY growth in U.S. real GDP(b)##1.5##%##0.4##%##—##%


(a)Reflects quarterly average of forecasted U.S. unemployment rate.


(b)The year over year growth in U.S. real GDP in the forecast horizon of the central scenario is calculated as the percentage change in U.S. real GDP levels from the prior year.


JPM Subsequent changes to this forecast and related estimates

will be reflected in the provision for credit losses in future


periods.


Refer to Critical Accounting Estimates Used by the Firm on pages 155–158 for further information on the allowance for credit losses and related management judgments.


Refer to Consumer Credit Portfolio on pages 114–119, Wholesale Credit Portfolio on pages 120–130 for additional information on the consumer and wholesale credit portfolios.


JPM Total allowance for credit losses(c)(d)

Memo: Retained loans, end of period Retained loans, average Credit ratios Allowance for loan losses to retained loans Allowance for loan losses to retained nonaccrual loans(e)


Allowance for loan losses to retained nonaccrual loans excluding credit card


JPM Net charge-off rates

(a)Represents the impact to the allowance for loan losses upon the adoption of changes to the TDR accounting guidance on January 1, 2023. Refer to Note 1 for further information.


JPM Net charge-off rates

(b)Includes collateral-dependent loans, including those for which foreclosure is deemed probable, and nonaccrual risk-rated loans for all periods presented. Prior periods also include non collateral-dependent TDRs or reasonably expected TDRs and modified PCD loans.


JPM Net charge-off rates

(c)At December 31, 2023 and 2022, in addition to the allowance for credit losses in the table above, the Firm also had an allowance for credit losses of $243 million and $21 million, respectively, associated with certain accounts receivable in CIB.


JPM Net charge-off rates

(d)As of December 31, 2023, included the allowance for credit losses associated with First Republic.


JPM Net charge-off rates

(e)The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.


JPM Allocation of allowance for loan losses

The table below presents a breakdown of the allowance for loan losses by loan class. Refer to Note 12 for further information on loan classes. ######2023##########2022#### December 31, (in millions, except ratios)####Allowance for loan losses####Percent of retained loans to total retained loans######Allowance for loan losses####Percent of retained loans to total retained loans## Residential real estate##$##817####25##%##$##1,070####22##% Auto and other####1,039####6######970####6## Consumer, excluding credit card####1,856####31######2,040####28## Credit card####12,450####16######11,200####17## Total consumer####14,306####47######13,240####45## Secured by real estate####2,997####13######1,782####12## Commercial and industrial####3,519####13######3,507####15## Other####1,598####27######1,197####28## Total wholesale####8,114####53######6,486####55## Total(a)##$##22,420####100##%##$##19,726####100##%


(a) As of December 31, 2023, included the allowance for loan losses associated with First Republic.


JPM INVESTMENT PORTFOLIO RISK MANAGEMENT

Investment portfolio risk is the risk associated with the loss of principal or a reduction in expected returns on investments arising from the investment securities portfolio or from principal investments. The investment securities portfolio is predominantly held by Treasury and CIO in connection with the Firm's balance sheet and asset-liability management objectives. Principal investments are predominantly privately-held financial instruments and are managed in the LOBs and Corporate. Investments are typically intended to be held over extended periods and, accordingly, the Firm has no expectation for short-term realized gains with respect to these investments.


JPM Investment securities risk

Investment securities risk includes the exposure associated with a default in the payment of principal and interest. This risk is mitigated given that the investment securities portfolio held by Treasury and CIO predominantly consists of high-quality securities. At December 31, 2023, the Treasury and CIO investment securities portfolio, net of the allowance for credit losses, was $569.2 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings). Refer to Corporate segment results on pages 84–85 and Note 10 for further information on the investment securities portfolio and internal risk ratings. Refer to Liquidity Risk Management on pages 102–109 for further information on related liquidity risk. Refer to Market Risk Management on pages 135–143 for further information on the market risk inherent in the portfolio.


JPM Governance and oversight

Investment securities risks are governed by the Firm’s Risk Appetite framework, and reviewed at the CTC Risk Committee with regular updates provided to the Board Risk Committee.


JPM Governance and oversight

The Firm’s independent control functions are responsible for reviewing the appropriateness of the carrying value of investment securities in accordance with relevant policies. Approved levels for investment securities are established for each risk category, including capital and credit risks.


JPM Principal investment risk

Principal investments are typically privately-held financial instruments representing ownership interests or other forms of junior capital. In general, principal investments include tax-oriented investments and investments made to enhance or accelerate the Firm’s business strategies and exclude those that are consolidated on the Firm's balance sheets. These investments are made by dedicated investing businesses or as part of a broader business strategy. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results. The Firm’s investments will continue to evolve based on market circumstances and in line with its strategic initiatives, including the Firm’s environmental and social goals.


JPM Principal investment risk

The table below presents the aggregate carrying values of the principal investment portfolios as of December 31, 2023 and 2022. (in billions)####December 31, 2023####December 31, 2022 Tax-oriented investments, primarily in alternative energy and affordable housing(a)##$##28.8##$##26.2 Private equity, various debt and equity instruments, and real assets####10.5####10.8 Total carrying value##$##39.3##$##37.0


JPM Principal investment risk

(a)As of December 31, 2023, included approximately $1.0 billion in tax-oriented investments in CIB associated with First Republic.


JPM Governance and oversight

The Firm’s approach to managing principal investment risk is consistent with the Firm’s risk governance structure. The Firm has established a Firmwide risk policy framework for all principal investing activities that includes approval by executives who are independent from the investing businesses, as appropriate.


JPM Governance and oversight

The Firm’s independent control functions are responsible for reviewing the appropriateness of the carrying value of investments in accordance with relevant policies. As part of the risk governance structure, approved levels for investments are established and monitored for each relevant business or segment in order to manage the overall size of the portfolios. The Firm also conducts stress testing on these portfolios using specific scenarios that estimate losses based on significant market moves and/or other risk events.


JPM MARKET RISK MANAGEMENT

Market risk is the risk associated with the effect of changes in market factors such as interest and foreign exchange rates, equity and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long term.


JPM Market Risk Management

Market Risk Management monitors market risks throughout the Firm and defines market risk policies and procedures.


JPM Market Risk Management

Market Risk Management seeks to manage risk, facilitate efficient risk/return decisions, reduce volatility in operating performance and provide transparency into the Firm’s market risk profile for senior management, the Board of Directors and regulators. Market Risk Management is responsible for the following functions: •Maintaining a market risk policy framework •Independently measuring, monitoring and controlling LOB, Corporate, and Firmwide market risk •Defining, approving and monitoring limits •Performing stress testing and qualitative risk assessments


JPM Measures used to capture market risk

There is no single measure to capture market risk and therefore Market Risk Management uses various metrics, both statistical and nonstatistical, to assess risk including: •Value-at-risk •Stress testing •Profit and loss drawdowns •Earnings-at-risk •Economic Value Sensitivity •Other sensitivity-based measures


JPM Risk monitoring and control

Market risk exposure is managed primarily through a series of limits set in the context of the market environment and business strategy. In setting limits, Market Risk Management takes into consideration factors such as market volatility, product liquidity, accommodation of client business, and management judgment. Market Risk Management maintains different levels of limits. Firm level limits include VaR and stress limits. Similarly, LOB and Corporate limits include VaR and stress limits and may be supplemented by certain nonstatistical risk measures such as profit and loss drawdowns. Limits may also be set within the LOBs and Corporate, as well as at the legal entity level.


JPM Risk monitoring and control

Market Risk Management sets limits and regularly reviews and updates them as appropriate. Senior management is responsible for reviewing and approving certain of these risk limits on an ongoing basis. Limits that have not been reviewed within specified time periods by Market Risk Management are reported to senior management. The LOBs and Corporate are responsible for adhering to established limits against which exposures are monitored and reported.


JPM Risk monitoring and control

Limit breaches are required to be reported in a timely manner to limit approvers, which include Market Risk Management and senior management. In the event of a breach, Market Risk Management consults with senior members of appropriate groups within the Firm to determine the suitable course of action required to return the applicable positions to compliance, which may include a reduction in risk in order to remedy the breach or granting a temporary increase in limits to accommodate an expected increase in client activity and/or market volatility. Firm, Corporate or LOB-level limit breaches are escalated as appropriate.


JPM Risk monitoring and control

Models used to measure market risk are inherently imprecise and are limited in their ability to measure certain risks or to predict losses. This imprecision may be heightened when sudden or severe shifts in market conditions occur. For additional discussion on model uncertainty refer to Estimations and Model Risk Management on page 154.


JPM Risk monitoring and control

Market Risk Management periodically reviews the Firm’s existing market risk measures to identify opportunities for enhancement, and to the extent appropriate, will calibrate those measures accordingly over time.


The following table summarizes the predominant business activities and related market risks, as well as positions which give rise to market risk and certain measures used to capture those risks, for each LOB and Corporate.


In addition to the predominant business activities, each LOB and Corporate may engage in principal investing activities. To the extent principal investments are deemed market risk sensitive, they are reflected in relevant risk measures and captured in the table below. Refer to Investment Portfolio Risk Management on page 134 for additional discussion on principal investments. LOBs and Corporate##Predominant business activities##Related market risks##Positions included in Risk Management VaR##Positions included in earnings-at-risk##Positions included in other sensitivity-based measures CCB##•Originates and services mortgage loans  •Originates loans and takes deposits##•Risk from changes in the probability of newly originated mortgage commitments closing •Interest rate risk and prepayment risk##•Mortgage commitments, classified as derivatives •Warehouse loans that are fair value option elected, classified as loans – debt instruments •MSRs •Hedges of mortgage commitments, warehouse loans and MSRs, classified as derivatives •Interest-only and mortgage-backed securities, classified as trading assets debt instruments, and related hedges, classified as derivatives •Fair value option elected liabilities(a)##•Retained loan portfolio •Deposits##•Fair value option elected liabilities DVA(a) CIB##•Makes markets and services clients across fixed income, foreign exchange, equities and commodities •Originates loans and takes deposits##•Risk of loss from adverse movements in market prices and implied volatilities across interest rate, foreign exchange, credit, commodity and equity instruments •Basis and correlation risk from changes in the way asset values move relative to one another  •Interest rate risk and prepayment risk##•Trading assets/liabilities – debt and marketable equity instruments, and derivatives, including hedges of the retained loan portfolio •Certain securities purchased, loaned or sold under resale agreements and securities borrowed •Fair value option elected liabilities(a) •Certain fair value option elected loans •Derivative CVA and associated hedges •Marketable equity investments##•Retained loan portfolio •Deposits##•Privately held equity and other investments measured at fair value; and certain real estate-related fair value option elected loans •Derivatives FVA and fair value option elected liabilities DVA(a) •Credit risk component of CVA and associated hedges for counterparties with credit spreads that have widened to elevated levels    C CB##•Originates loans and takes deposits##•Interest rate risk and prepayment risk##•Marketable equity investments(b)##•Retained loan portfolio •Deposits## AWM##•Provides initial capital investments in products such as mutual funds and capital invested alongside third-party investors •Originates loans and takes deposits##•Risk from adverse movements in market factors (e.g., market prices, rates and credit spreads) •Interest rate risk and prepayment risk##•Debt securities held in advance of distribution to clients, classified as trading assets - debt instruments(b) •Trading assets/liabilities - derivatives that hedge the retained loan portfolio(b)##•Retained loan portfolio •Deposits##•Initial seed capital investments and related hedges, classified as derivatives •Certain deferred compensation and related hedges, classified as derivatives •Capital invested alongside third-party investors, typically in privately distributed collective vehicles managed by AWM (i.e., co-investments) Corporate##•Manages the Firm’s liquidity, funding, capital, structural interest rate and foreign exchange risks##•Structural interest rate risk from the Firm’s traditional banking activities •Structural non-USD foreign exchange risks##•Derivative positions measured through noninterest revenue in earnings •Marketable equity investments##•Deposits with banks •Investment securities portfolio and related interest rate hedges •Long-term debt and related interest rate hedges •Deposits##•Privately held equity and other investments measured at fair value •Foreign exchange exposure related to Firm-issued non-USD long-term debt (“LTD”) and related hedges


(a)Reflects structured notes in Risk Management VaR and the DVA on structured notes in other sensitivity-based measures.


(b)The AWM and CB contributions to Firmwide average VaR were not material for the years ended December 31, 2023 and 2022.


JPM Value-at-risk

JPMorgan Chase utilizes value-at-risk (“VaR”), a statistical risk measure, to estimate the potential loss from adverse market moves in the current market environment. The Firm has a single VaR framework used as a basis for calculating Risk Management VaR and Regulatory VaR.


JPM Value-at-risk

The framework is employed across the Firm using historical simulation based on data for the previous 12 months. The framework’s approach assumes that historical changes in market values are representative of the distribution of potential outcomes in the immediate future. The Firm believes the use of Risk Management VaR provides a daily measure of risk that is closely aligned to risk management decisions made by the LOBs and Corporate and, along with other market risk measures, provides the appropriate information needed to respond to risk events.


JPM Value-at-risk

The Firm’s Risk Management VaR is calculated assuming a one-day holding period and an expected tail-loss methodology which approximates a 95% confidence level. Risk Management VaR provides a consistent framework to measure risk profiles and levels of diversification across product types and is used for aggregating risks and monitoring limits across businesses. VaR results are reported as appropriate to various groups including senior management, the Board Risk Committee and regulators.


JPM Value-at-risk

Underlying the overall VaR model framework are individual VaR models that simulate historical market returns for individual risk factors and/or product types. To capture material market risks as part of the Firm’s risk management framework, comprehensive VaR model calculations are performed daily for businesses whose activities give rise to market risk. These VaR models are granular and incorporate numerous risk factors and inputs to simulate daily changes in market values over the historical period; inputs are selected based on the risk profile of each portfolio, as sensitivities and historical time series used to generate daily market values may be different across product types or risk management systems. The VaR model results across all portfolios are aggregated at the Firm level.


JPM Value-at-risk

As VaR is based on historical data, it is an imperfect measure of market risk exposure and potential future losses. In addition, based on their reliance on available historical data, limited time horizons, and other factors, VaR measures are inherently limited in their ability to measure certain risks and to predict losses, particularly those associated with market illiquidity and sudden or severe shifts in market conditions.


JPM Value-at-risk

For certain products, specific risk parameters are not captured in VaR due to the lack of liquidity and availability of appropriate historical data. The Firm uses proxies to estimate the VaR for these and other products when daily time series are not available. It is likely that using an actual price-based time series for these products, if available, would affect the VaR results presented. The Firm therefore considers other nonstatistical measures such as stress


JPM Value-at-risk

testing, in addition to VaR, to capture and manage its market risk positions.


JPM Value-at-risk

As VaR model calculations require daily data and a consistent source for valuation, the daily market data used may be different than the independent third-party data collected for VCG price testing in its monthly valuation process. For example, in cases where market prices are not observable, or where proxies are used in VaR historical time series, the data sources may differ. Refer to Valuation process in Note 2 for further information on the Firm’s valuation process.


JPM Value-at-risk

The Firm’s VaR model calculations are periodically evaluated and enhanced in response to changes in the composition of the Firm’s portfolios, changes in market conditions, improvements in the Firm’s modeling techniques and measurements, and other factors. Such changes may affect historical comparisons of VaR results. Refer to Estimations and Model Risk Management on page 154 for information regarding model reviews and approvals.


JPM Value-at-risk

The Firm calculates separately a daily aggregated VaR in accordance with regulatory rules (“Regulatory VaR”), which is used to derive the Firm’s regulatory VaR-based capital requirements under Basel III capital rules. This Regulatory VaR model framework currently assumes a ten business-day holding period and an expected tail loss methodology which approximates a 99% confidence level. Regulatory VaR is applied to “covered” positions as defined by Basel III capital rules, which may be different than the positions included in the Firm’s Risk Management VaR. For example, credit derivative hedges of accrual loans are included in the Firm’s Risk Management VaR, while Regulatory VaR excludes these credit derivative hedges. In addition, in contrast to the Firm’s Risk Management VaR, Regulatory VaR currently excludes the diversification benefit for certain VaR models.


JPM Value-at-risk

Refer to JPMorgan Chase’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for additional information on Regulatory VaR and the other components of market risk regulatory capital for the Firm (e.g., VaR-based measure, stressed VaR-based measure and the respective backtesting).


The table below shows the results of the Firm’s Risk Management VaR measure using a 95% confidence level. VaR can vary significantly as positions change, market volatility fluctuates, and diversification benefits change. ##############Total VaR######################## As of or for the year ended December 31,############2023##################2022######## (in millions)######Avg.######Min######Max######Avg.######Min######Max## CIB trading VaR by risk type###################################### Fixed income##$##49####$##31####$##71####$##59####$##33####$##82#### Foreign exchange####12######6######26######8######3######15#### Equities####7######3######11######12######7######20#### Commodities and other####11######6######19######15######10######28#### Diversification benefit to CIB trading VaR (a)####(42)######NM######NM######(43)######NM######NM#### CIB trading VaR####37######24######55######51######34######69#### Credit Portfolio VaR(b)####14######8######26######16######4######235####(d) Diversification benefit to CIB VaR(a)####(11)######NM######NM######(10)######NM######NM#### CIB VaR####40######23######58######57######35######240#### CCB VaR####7######1######15######6######2######20#### Corporate and other LOB VaR(c)####12######9######17######12######9######16#### Diversification benefit to other VaR(a)####(5)######NM######NM######(4)######NM######NM#### Other VaR####14######9######22######14######10######24#### Diversification benefit to CIB and other VaR(a)####(11)######NM######NM######(13)######NM######NM#### Total VaR##$##43####$##26####$##57####$##58####$##34####$##242####(d)


(a)Diversification benefit represents the difference between the portfolio VaR and the sum of its individual components. This reflects the non-additive nature of VaR due to imperfect correlation across LOBs, Corporate, and risk types. For maximum and minimum VaR, diversification benefit is not meaningful as the maximum and minimum VaR for each portfolio may have occurred on different trading days than the components.


(b)Credit Portfolio VaR includes the derivative CVA, hedges of the CVA and hedges of the retained loan portfolio, which are reported in principal transactions revenue. This VaR does not include the retained loan portfolio, which is not reported at fair value. In line with the Firm's internal model governance, the credit risk component of CVA related to certain counterparties was removed from Credit Portfolio VaR due to the widening of the credit spreads for those counterparties to elevated levels. The related hedges were also removed to maintain consistency. This exposure is now reflected in other sensitivity-based measures.


(c)Corporate and other LOB VaR includes a legacy private equity position in Corporate which is publicly traded.


(d)In March 2022, the effects of nickel price increases and the associated volatility in the nickel market resulted in elevated maximum Credit Portfolio VaR, as well as maximum Total VaR.


JPM 2023 compared with 2022

Average Total VaR decreased by $15 million for the year ended December 31, 2023 when compared with the prior year.


JPM 2023 compared with 2022

The decrease was driven by reduced market volatility and risk reductions predominantly impacting fixed income, commodities and equities.


JPM 2023 compared with 2022

The following graph presents daily Risk Management VaR for the four trailing quarters.


JPM Daily Risk Management VaR

First Quarter 2023##Second Quarter 2023##Third Quarter 2023##Fourth Quarter 2023


JPM VaR backtesting

The Firm performs daily VaR model backtesting, which compares the daily Risk Management VaR results with the daily gains and losses that are utilized for VaR backtesting purposes. The gains and losses depicted in the chart below do not reflect the Firm’s reported revenue as they exclude certain components of total net revenue, such as those associated with the execution of new transactions (i.e., intraday client-driven trading and intraday risk management activities), fees, commissions, other valuation adjustments and net interest income. These excluded components of total net revenue may more than offset the backtesting gain or loss on a particular day. The definition of backtesting gains and losses above is consistent with the requirements for backtesting under Basel III capital rules.


JPM VaR backtesting

A backtesting exception occurs when the daily backtesting loss exceeds the daily Risk Management VaR for the prior day. Under the Firm’s Risk Management VaR methodology, assuming current changes in market values are consistent with the historical changes used in the simulation, the Firm would expect to incur VaR backtesting exceptions five times every 100 trading days on average. The number of VaR backtesting exceptions observed can differ from the statistically expected number of backtesting exceptions if the current level of market volatility is materially different from the level of market volatility during the 12 months of historical data used in the VaR calculation.


JPM VaR backtesting

For the 12 months ended December 31, 2023, the Firm posted backtesting gains on 139 of the 258 days, and observed 13 VaR backtesting exceptions, of which eight were in the three months ended December 31, 2023. Firmwide backtesting loss days can differ from the loss days for which Fixed Income Markets and Equity Markets posted losses, as disclosed in CIB Markets revenue, as the population of positions which comprise each metric are different and due to the exclusion of certain components of total net revenue in backtesting gains and losses as described above.


JPM VaR backtesting

The following chart presents the distribution of Firmwide daily backtesting gains and losses for the trailing 12 months and three months ended December 31, 2023. The daily backtesting losses are displayed as a percentage of the corresponding daily Risk Management VaR. The count of days with backtesting losses are shown in aggregate, in fifty percentage point intervals. Backtesting exceptions are displayed within the intervals that are greater than one hundred percent. The results in the chart below differ from the results of backtesting disclosed in the Market Risk section of the Firm’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are based on Regulatory VaR applied to the Firm’s covered positions.


JPM Stress testing

Along with VaR, stress testing is an important tool used to assess risk. While VaR reflects the risk of loss due to adverse changes in markets using recent historical market behavior, stress testing reflects the risk of loss from hypothetical changes in the value of market risk sensitive positions applied simultaneously. Stress testing measures the Firm’s vulnerability to losses under a range of stressed but possible economic and market scenarios. The results are used to understand the exposures responsible for those potential losses and are measured against limits.


JPM Stress testing

The Firm’s stress framework covers market risk sensitive positions in the LOBs and Corporate. The framework is used to calculate multiple magnitudes of potential stress for both market rallies and market sell-offs, assuming significant changes in market factors such as credit spreads, equity prices, interest rates, currency rates and commodity prices, and combines them in multiple ways to capture an array of hypothetical economic and market scenarios.


JPM Stress testing

The Firm generates a number of scenarios that focus on tail events in specific asset classes and geographies, including how the event may impact multiple market factors simultaneously. Scenarios also incorporate specific idiosyncratic risks and stress basis risk between different products. The flexibility in the stress framework allows the Firm to construct new scenarios that can test the outcomes against possible future stress events. Stress testing results are reported periodically to senior management of the Firm, as appropriate.


JPM Stress testing

Stress scenarios are governed by the overall stress framework, under the oversight of Market Risk Management, and the models to calculate the stress results are subject to the Firm’s Estimations and Model Risk Management Policy. The Firmwide Market Risk Stress Methodology Committee reviews and approves changes to stress testing methodology and scenarios across the Firm. Significant changes to the framework are escalated to senior management, as appropriate.


JPM Stress testing

The Firm’s stress testing framework is utilized in calculating the Firm’s CCAR and other stress test results, which are reported periodically to the Board of Directors. In addition, stress testing results are incorporated into the Firm’s Risk Appetite framework, and are reported periodically to the Board Risk Committee.


JPM Profit and loss drawdowns

Profit and loss drawdowns are used to highlight trading losses above certain levels of risk tolerance. A profit and loss drawdown is a decline in revenue from its year-to-date peak level.


JPM Structural interest rate risk management

The effect of interest rate exposure on the Firm’s reported net income is important as interest rate risk represents one of the Firm’s significant market risks. Interest rate risk arises not only from trading activities which are included in


VaR, but also from the Firm’s traditional banking activities, which include extension of loans and credit facilities, taking deposits, issuing debt, as well as the investment securities portfolio, and associated derivative instruments. Refer to the table on page 136 for a summary by LOB and Corporate identifying positions included in earnings-at-risk.


JPM Governance

The CTC Risk Committee establishes the Firm’s interest rate risk management policy and related limits, which are subject to approval by the Board Risk Committee. Treasury and CIO, working in partnership with the LOBs, calculates the Firm’s structural interest rate risk profile and reviews it with senior management, including the CTC Risk Committee. In addition, oversight of structural interest rate risk is managed through a dedicated risk function reporting to the CTC CRO. This risk function is responsible for providing independent oversight and governance around assumptions and establishing and monitoring limits for structural interest rate risk, including limits related to Earnings-at-Risk and Economic Value Sensitivity. The Firm manages structural interest rate risk generally through its investment securities portfolio and interest rate derivatives.


JPM Key Risk Drivers and Risk Management Process

Structural interest rate risk can arise due to a variety of factors, including: •Differences in timing among the maturity or repricing of assets, liabilities and off-balance sheet instruments •Differences in the amounts of assets, liabilities and off-balance sheet instruments that are maturing or repricing at the same time •Differences in the amounts by which short-term and long-term market interest rates change (for example, changes in the slope of the yield curve) •The impact of changes in the maturity of various assets, liabilities or off-balance sheet instruments as interest rates change


The Firm manages interest rate exposure related to its assets and liabilities on a consolidated, Firmwide basis. Business units transfer their interest rate risk to Treasury and CIO through funds transfer pricing, which takes into account the elements of interest rate exposure that can be risk-managed in financial markets. These elements include asset and liability balances and contractual rates of interest, contractual principal payment schedules, expected prepayment experience, interest rate reset dates and maturities, rate indices used for repricing, and any interest rate ceilings or floors for adjustable rate products.


JPM Earnings-at-Risk

One way that the Firm evaluates its structural interest rate risk is through earnings-at-risk. Earnings-at-risk estimates the Firm’s interest rate exposure for a given interest rate scenario. It is presented as a sensitivity to a baseline, which includes net interest income and certain interest rate sensitive fees. The baseline uses market interest rates and,


JPM 140 JPMorgan Chase & Co./2023 Form 10-K

in the case of deposits, pricing assumptions. The Firm conducts simulations of changes to this baseline for interest rate-sensitive assets and liabilities denominated in U.S. dollars and other currencies (“non-U.S. dollar” currencies). These simulations primarily include retained loans, deposits, deposits with banks, investment securities, long-term debt and any related interest rate hedges, and funds transfer pricing of other positions in risk management VaR and other sensitivity-based measures as described on page 136. These simulations exclude hedges of exposure from non-U.S. dollar foreign exchange risk arising from the Firm’s capital investments. The inclusion of the hedges in these simulations would increase U.S. dollar sensitivities and decrease non-U.S. dollar sensitivities. Refer to non-U.S. dollar foreign exchange risk on page 145 for more information.


Earnings-at-risk scenarios estimate the potential change to a net interest income baseline over the following 12 months utilizing multiple assumptions. These scenarios include a parallel shift involving changes to both short-term and long-term rates by an equal amount; a steeper yield curve involving holding short-term rates constant and increasing long-term rates; and a flatter yield curve involving increasing short-term rates and holding long-term rates constant or holding short-term rates constant and decreasing long-term rates. These scenarios consider many different factors, including: •The impact on exposures as a result of instantaneous changes in interest rates from baseline rates. •Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but excluding assumptions about actions that could be taken by the Firm or its clients and customers in response to instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience. Deposit forecasts are a key assumption in the Firm’s earnings-at-risk. The baseline reflects certain assumptions relating to the reversal of Quantitative Easing that are highly uncertain and require management judgment. Therefore, the actual amount of deposits held by the Firm at any particular time could be impacted by actions the Federal Reserve may take as part of monetary policy, including through the use of the Reverse Repurchase Facility. In addition, there are other factors that impact the amount of deposits held at the Firm such as the level of loans across the industry and competition for deposits. •The pricing sensitivity of deposits, known as deposit betas, represent the amount by which deposit rates paid could change upon a given change in market interest rates. As part of the Firm's continuous evaluation and periodic enhancements to its earnings-at-risk calculations, the Firm updated its model in the second quarter of 2023 to incorporate deposit repricing lags


impacting both consumer and wholesale deposits. The model change incorporated observed pricing and customer behavior in both rising and falling interest rate environments. Actual deposit rates paid may differ from the modeled assumptions, primarily due to customer behavior and competition for deposits.


The Firm performs sensitivity analyses of the assumptions used in earnings-at-risk scenarios, including with respect to deposit betas and forecasts of deposit balances, both of which are especially significant in the case of consumer deposits. The results of these sensitivity analyses are reported to the CTC Risk Committee and the Board Risk Committee.


The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings-at-risk analysis does not represent a forecast of the Firm’s net interest income (Refer to Outlook on page 52 for additional information).


The Firm’s U.S. dollar and non-U.S. dollar sensitivities are presented in the table below. December 31, (in billions)####2023####2022 U.S. dollar: (a)######## Parallel shift: (b)######## +100 bps shift in rates##$##2.4##$##(2.0) -100 bps shift in rates####(2.1)####2.4 +200 bps shift in rates####4.8####(4.2) -200 bps shift in rates####(4.6)####3.3 Steeper yield curve:######## +100 bps shift in long-term rates####0.6####0.8 -100 bps shift in short-term rates####(1.5)####3.2 Flatter yield curve:######## +100 bps shift in short-term rates####1.8####(2.8) -100 bps shift in long-term rates####(0.5)####(0.9) Non-U.S. dollar:######## Parallel shift: (b)######## +100 bps shift in rates##$##0.7##$##0.7 -100 bps shift in rates####(0.7)####(0.6)


(a)Reflects the impact of the aforementioned model update to incorporate deposit repricing lags. Prior periods have not been revised.


(b)Reflects the simultaneous shift of U.S. dollar and non-U.S. dollar rates.


In the absence of the model update to incorporate deposit repricing lags in the second quarter of 2023, the Firm's U.S. dollar sensitivities as of December 31, 2023, would have been lower by $4.1 billion to the +100 basis points shift in short-term and parallel rate scenarios and higher by $3.7 billion to the -100 basis points shift in short-term and parallel rate scenarios.


The change in the Firm’s U.S. dollar sensitivities as of December 31, 2023 compared to December 31, 2022 also reflected the impact of changes in the Firm’s balance sheet including the impact of the First Republic acquisition.


As of December 31, 2023, the Firm’s sensitivity to a parallel shift in rates is primarily the result of a greater impact from assets repricing compared to the impact of liabilities repricing.


JPM Economic Value Sensitivity

In addition to earnings-at-risk, which is measured as a sensitivity to a baseline of earnings over the next 12 months, the Firm also measures Economic Value Sensitivity (“EVS”). EVS stress tests the longer-term economic value of equity by measuring the sensitivity of the Firm’s current balance sheet, primarily retained loans, deposits, debt and investment securities as well as related hedges, under various interest rate scenarios. In accordance with the CTC interest rate risk management policy, the Firm has established limits on EVS as a percentage of TCE. Additional information on long-term debt and held to maturity investment securities is disclosed on page 195 in Note 2 financial instruments that are not carried at fair value on the Consolidated balance sheets.


JPM Non-U.S. dollar foreign exchange risk

Non-U.S. dollar FX risk is the risk that changes in foreign exchange rates affect the value of the Firm’s assets or liabilities or future results. The Firm has structural non-U.S. dollar FX exposures arising from capital investments, forecasted expense and revenue, the investment securities portfolio and non-U.S. dollar-denominated debt issuance. Treasury and CIO, working in partnership with the LOBs, primarily manage these risks on behalf of the Firm. Treasury and CIO may hedge certain of these risks using derivatives. Refer to Business Segment Results on page 66 for additional information.


JPM Other sensitivity-based measures

The Firm quantifies the market risk of certain debt and equity and credit and funding-related exposures by assessing the potential impact on net revenue, other comprehensive income (“OCI”) and noninterest expense due to changes in relevant market variables. Refer to the predominant business activities that give rise to market risk on page 136 for additional information on the positions captured in other sensitivity-based measures.


JPM Other sensitivity-based measures

The table below represents the potential impact to net revenue, OCI or noninterest expense for market risk sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported net of the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at December 31, 2023 and 2022, as the movement in market parameters across maturities may vary and are not intended to imply management’s expectation of future changes in these sensitivities. Gain/(loss) (in millions)############ Activity##Description##Sensitivity measure####December 31, 2023####December 31, 2022 Debt and equity(a)############ Asset Management activities##Consists of seed capital and related hedges; fund co-investments(c); and certain deferred compensation and related hedges(d)##10% decline in market value##$##(61)##$##(56) Other debt and equity##Consists of certain real estate-related fair value option elected loans, privately held equity and other investments held at fair value(c)##10% decline in market value####(1,044)####(1,046) Credit- and funding-related exposures############ Non-USD LTD cross-currency basis##Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(e)##1 basis point parallel tightening of cross currency basis####(12)####(12) Non-USD LTD hedges foreign currency (“FX”) exposure##Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(e)##10% depreciation of currency####16####3 Derivatives – funding spread risk##Impact of changes in the spread related to derivatives FVA(c)##1 basis point parallel increase in spread####(3)####(4) CVA - counterparty credit risk(b)##Credit risk component of CVA and associated hedges##10% credit spread widening####—####(1) Fair value option elected liabilities - funding spread risk##Impact of changes in the spread related to fair value option elected liabilities DVA(e)##1 basis point parallel increase in spread####46####43 Fair value option elected liabilities –interest rate sensitivity##Interest rate sensitivity on fair value option elected liabilities resulting from a change in the Firm’s own credit spread(e)##1 basis point parallel increase in spread####—####— ##Interest rate sensitivity related to risk management of changes in the Firm’s own credit spread on the fair value option elected liabilities noted above(c)##1 basis point parallel increase in spread####—####—


JPM Other sensitivity-based measures

(a)Excludes equity securities without readily determinable fair values that are measured under the measurement alternative. Refer to Note 2 for additional information.


JPM Other sensitivity-based measures

(b)In line with the Firm's internal model governance, the credit risk component of CVA related to certain counterparties was removed from Credit Portfolio VaR due to the widening of the credit spreads for those counterparties to elevated levels. The related hedges were also removed to maintain consistency. This exposure is now reflected in other sensitivity-based measures.


JPM Other sensitivity-based measures

(c)Impact recognized through net revenue.


JPM Other sensitivity-based measures

(d)Impact recognized through noninterest expense.


JPM Other sensitivity-based measures

(e)Impact recognized through OCI.


JPM COUNTRY RISK MANAGEMENT

The Firm, through its LOBs and Corporate, may be exposed to country risk resulting from financial, economic, political or other significant developments which adversely affect the value of the Firm’s exposures related to a particular country or set of countries. The Country Risk Management group actively monitors the various portfolios which may be impacted by these developments and measures the extent to which the Firm’s exposures are diversified given the Firm’s strategy and risk tolerance relative to a country.


JPM Organization and management

Country Risk Management is an independent risk management function that assesses, manages and monitors exposure to country risk across the Firm.


JPM Organization and management

The Firm’s country risk management function includes the following activities: •Maintaining policies, procedures and standards consistent with a comprehensive country risk framework •Assigning sovereign ratings, assessing country risks and establishing risk tolerance relative to a country •Measuring and monitoring country risk exposure and stress across the Firm •Managing and approving country limits and reporting trends and limit breaches to senior management •Developing surveillance tools, such as signaling models and ratings indicators, for early identification of potential country risk concerns •Providing country risk scenario analysis


JPM Sources and measurement

The Firm is exposed to country risk through its lending and deposits, investing, and market-making activities, whether cross-border or locally funded. Country exposure includes activity with both government and private-sector entities in a country.


JPM Sources and measurement

Under the Firm’s internal country risk management approach, attribution of exposure to an individual country is based on the country where the largest proportion of the assets of the counterparty, issuer, obligor or guarantor are located or where the largest proportion of its revenue is derived, which may be different than the domicile (i.e. legal residence) or country of incorporation.


JPM Sources and measurement

Individual country exposures reflect an aggregation of the Firm’s risk to an immediate default, with zero recovery, of the counterparties, issuers, obligors or guarantors attributed to that country. Activities which result in contingent or indirect exposure to a country are not included in the country exposure measure (for example, providing clearing services or secondary exposure to collateral on securities financing receivables).


JPM Sources and measurement

Assumptions are sometimes required in determining the measurement and allocation of country exposure, particularly in the case of certain non-linear or index products, or where the nature of the counterparty, issuer, obligor or guarantor is not suitable for attribution to an


JPM Sources and measurement

individual country. The use of different measurement approaches or assumptions could affect the amount of reported country exposure.


JPM Sources and measurement

Under the Firm’s internal country risk measurement framework: •Deposits with banks are measured as the cash balances placed with central banks, commercial banks, and other financial institutions •Lending exposures are measured at the total committed amount (funded and unfunded), net of the allowance for credit losses and eligible cash and marketable securities collateral received •Securities financing exposures are measured at their receivable balance, net of eligible collateral received •Debt and equity securities are measured at the fair value of all positions, including both long and short positions •Counterparty exposure on derivative receivables is measured at the derivative’s fair value, net of the fair value of the eligible collateral received •Credit derivatives exposure is measured at the net notional amount of protection purchased or sold for the same underlying reference entity, inclusive of the fair value of the derivative receivable or payable, reflecting the manner in which the Firm manages these exposures


JPM Sources and measurement

The Firm’s internal country risk reporting differs from the reporting provided under the FFIEC bank regulatory requirements.


JPM Stress testing

Stress testing is an important component of the Firm’s country risk management framework, which aims to estimate and limit losses arising from a country crisis by measuring the impact of adverse asset price movements to a country based on market shocks combined with counterparty specific assumptions. Country Risk Management periodically designs and runs tailored stress scenarios to test vulnerabilities to individual countries or sets of countries in response to specific or potential market events, sector performance concerns, sovereign actions and geopolitical risks. These tailored stress results are used to inform potential risk reduction across the Firm, as necessary.


JPM Risk reporting

Country exposure and stress are measured and reported regularly, and used by Country Risk Management to identify trends and monitor high usages and breaches against limits.


JPM Risk reporting

For country risk management purposes, the Firm may report exposure to jurisdictions that are not fully autonomous, including Special Administrative Regions (“SAR”) and dependent territories, separately from the independent sovereign states with which they are associated.


JPM Risk reporting

The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of December 31, 2023, and their comparative exposures as of December 31, 2022. The top 20 country exposures represent the Firm’s largest total exposures by individual country. Country exposures may fluctuate from period to period due to a variety of factors, including client activity, market flows and liquidity management activities undertaken by the Firm.


JPM Risk reporting

The decrease in exposure to Japan when compared to December 31, 2022, was driven by a reduction in cash placed with the central bank of Japan as a result of liquidity management activities undertaken by the Firm.


JPM Risk reporting

The decrease in exposure to Australia when compared to December 31, 2022, was predominantly driven by a reduction in cash placed with the central bank of Australia due to client-driven activities resulting from changes in interest rates.