JPM Gains and losses

Gains or losses resulting from changes in the benefit obligation and the fair value of plan assets are recorded in OCI. Amortization of net gains or losses are recognized as part of the net periodic benefit cost over subsequent periods, if, as of the beginning of the year, the net gain or loss exceeds 10% of the greater of the projected benefit obligation or the fair value of the plan assets. Amortization is generally over the average expected remaining lifetime of plan participants, given the frozen status of most plans. For the year ended December 31, 2023, the net gain was attributable to market-driven increases in the fair value of plan assets, partially offset by changes in the discount rate


JPM Gains and losses

and interest crediting rate. During the year ended December 31, 2022, a remeasurement of the Firm’s U.S. principal defined benefit plan in the third quarter, was required as a result of a pension settlement. The remeasurement resulted in a reduction in the fair value of the Firm’s U.S. principal defined benefit plan assets, reflecting market conditions at the time of remeasurement, and a reduction in the plan’s projected benefit obligation totaling $4.0 billion and $2.6 billion, respectively, resulting in a net decrease of $1.4 billion in pre-tax AOCI.


JPM Gains and losses

The following table presents the net periodic benefit costs reported in the Consolidated statements of income for the Firm’s defined benefit pension, defined contribution and OPEB plans, and in other comprehensive income for the defined benefit pension and OPEB plans. ##########Pension and OPEB plans######## Year ended December 31, (in millions)####2023####2022########2021## Total net periodic defined benefit plan cost/(credit)(a)##$##(393)##$##(192)####(b)##$##(201)##(b) Total defined contribution plans####1,609####1,408########1,333## Total pension and OPEB cost included in noninterest expense##$##1,216##$##1,216######$##1,132## Total recognized in other comprehensive (income)/loss##$##(421)##$##1,459######$##(1,129)##


JPM Gains and losses

(a)The service cost component of net periodic defined benefit cost is reported in compensation expense; all other components of net periodic defined benefit costs are reported in other expense in the Consolidated statements of income.


JPM Gains and losses

(b)Includes pension settlement losses of $92 million and $33 million, respectively, for the years ended December 31, 2022 and 2021.


JPM 222 JPMorgan Chase & Co./2023 Form 10-K

The following table presents the weighted-average actuarial assumptions used to determine the net periodic benefit costs for the defined benefit pension and OPEB plans. ##########Defined benefit pension and OPEB plans#### Year ended December 31,##2023####2022######2021## Discount rate##5.14##%##2.54##%####2.17##% Expected long-term rate of return on plan assets##5.74##%##3.68##%####2.97##%


JPM Plan assumptions

The Firm’s expected long-term rate of return is a blended weighted average, by asset allocation of the projected long-term returns for the various asset classes, taking into consideration local market conditions and the specific allocation of plan assets. Returns on asset classes are developed using a forward-looking approach and are not strictly based on historical returns, with consideration given to current market conditions and the portfolio mix of each plan.


JPM Plan assumptions

The discount rates used in determining the benefit obligations are generally provided by the Firm’s actuaries, with the Firm’s principal defined benefit pension plan using a rate that was selected by reference to the yields on portfolios of bonds with maturity dates and coupons that closely match each of the plan’s projected cash flows.


JPM Investment strategy and asset allocation

The assets of the Firm’s defined benefit pension plans are held in various trusts and are invested in well-diversified portfolios of equity and fixed income securities, cash and cash equivalents, and alternative investments. The Firm regularly reviews the asset allocations and asset managers, as well as other factors that could impact the portfolios, which are rebalanced when deemed necessary. As of December 31, 2023, the approved asset allocation ranges by asset class for the Firm’s principal defined benefit plan are 42-100% debt securities, 0-40% equity securities, 0-2% real estate, and 0-10% alternatives.


Assets held by the Firm’s defined benefit pension and OPEB plans do not include securities issued by JPMorgan Chase or its affiliates, except through indirect exposures through investments in exchange traded funds, mutual funds and collective investment funds managed by third-parties. The defined benefit pension and OPEB plans hold investments that are sponsored or managed by affiliates of JPMorgan Chase in the amount of $1.8 billion and $1.7 billion, as of December 31, 2023 and 2022, respectively.


JPM Fair value measurement of the plans’ assets and liabilities

Refer to Note 2 for information on fair value measurements, including descriptions of level 1, 2, and 3 of the fair value hierarchy and the valuation methods employed by the Firm. ########Pension plan assets and liabilities measured at fair value######################## ##################Defined benefit pension and OPEB plans############## ##########2023################2022###### December 31,  (in millions)####Level 1(a)####Level 2(b)####Level 3(c)####Total fair value####Level 1(a)####Level 2(b)####Level 3(c)####Total fair value Assets measured at fair value classified in the fair value hierarchy##$##6,521##$##10,713##$##3,124##$##20,358##$##5,308##$##9,617##$##2,613##$##17,538 Assets measured at fair value using NAV as a practical expedient################2,097################2,593 Net defined benefit pension plan payables################(442)################(241) Total fair value of plan assets##############$##22,013##############$##19,890


(a) Consists predominantly of equity securities, U.S. federal, state, and local and non-U.S. government debt securities, and cash equivalents.


(b) Consists predominantly of corporate debt securities and U.S. federal, state, and local and non-U.S. government debt securities.


(c) Consists of corporate-owned life insurance policies, fund investments, and participating annuity contracts in 2023, and corporate-owned life insurance policies and participating annuity contracts in 2022.


JPM Notes to consolidated financial statements

Changes in level 3 fair value measurements using significant unobservable inputs


Investments classified in level 3 of the fair value hierarchy increased in 2023 to $3.1 billion, due to $400 million in unrealized gains and $173 million of transfers in, partially offset by $59 million in settlements. The decline in 2022 was due to $501 million in unrealized losses and $54 million in settlements.


JPM Estimated future benefit payments

The following table presents benefit payments expected to be paid for the defined benefit pension and OPEB plans for the years indicated. Year ended December 31, (in millions)####Defined benefit pension and OPEB plans 2024##$##1,142 2025####1,125 2026####1,113 2027####1,077 2028####1,063 Years 2029–2033####5,143


JPM Employee share-based awards

In 2023, 2022 and 2021, JPMorgan Chase granted long-term share-based awards to certain employees under its LTIP, as amended and restated effective May 15, 2018, and subsequently amended effective May 18, 2021. Under the terms of the LTIP, as of December 31, 2023, 54 million shares of common stock were available for issuance through May 2025. The LTIP is the only active plan under which the Firm is currently granting share-based incentive awards. In the following discussion, the LTIP, plus prior Firm plans and plans assumed as the result of acquisitions, are referred to collectively as the “LTI Plans,” and such plans constitute the Firm’s share-based incentive plans.


JPM Employee share-based awards

RSUs are awarded at no cost to the recipient upon their grant. Generally, RSUs are granted annually and vest at a rate of 50% after two years and 50% after three years and are converted into shares of common stock as of the vesting date. In addition, RSUs typically include full-career eligibility provisions, which allow employees to continue to vest upon voluntary termination based on age and/or service-related requirements, subject to post-employment and other restrictions. All RSU awards are subject to forfeiture until vested and contain clawback provisions that may result in cancellation under certain specified circumstances. Predominantly all RSUs entitle the recipient to receive cash payments equivalent to any dividends paid on the underlying common stock during the period the RSUs are outstanding.


JPM Employee share-based awards

Performance share units (“PSUs”) are granted annually, and approved by the Firm’s Board of Directors, to members of the Firm’s Operating Committee under the variable compensation program. PSUs are subject to the Firm’s achievement of specified performance criteria over a three-year period. The number of awards that vest can range from zero to 150% of the grant amount. In addition, dividends that accrue during the vesting period are reinvested in dividend equivalent share units. PSUs and the related dividend equivalent share units are converted into shares of common stock after vesting.


JPM Employee share-based awards

Once the PSUs and dividend equivalent share units have vested, the shares of common stock that are delivered, after applicable tax withholding, must be retained for an additional holding period, for a total combined vesting and holding period of approximately five to eight years from the grant date depending on regulations in certain countries.


JPM Employee share-based awards

Under the LTI Plans, stock appreciation rights (“SARs”) were generally granted with an exercise price equal to the fair value of JPMorgan Chase’s common stock on the grant date. SARs generally expire ten years after the grant date. In 2021, the Firm awarded its Chairman and CEO and its President and Chief Operating Officer 1.5 million and 750,000 SARs, respectively. There were no grants of SARs in 2023 or 2022.


JPM Employee share-based awards

The Firm separately recognizes compensation expense for each tranche of each award, net of estimated forfeitures, as if it were a separate award with its own vesting date. Generally, for each tranche granted, compensation expense is recognized on a straight-line basis from the grant date until the vesting date of the respective tranche, provided that the employees will not become full-career eligible during the vesting period. For awards with full-career eligibility provisions and awards granted with no future substantive service requirement, the Firm accrues the estimated value of awards expected to be awarded to employees as of the grant date without giving consideration to the impact of post-employment restrictions. For each tranche granted to employees who will become full-career eligible during the vesting period, compensation expense is recognized on a straight-line basis from the grant date until the earlier of the employee’s full-career eligibility date or the vesting date of the respective tranche.


JPM Employee share-based awards

The Firm’s policy for issuing shares upon settlement of employee share-based incentive awards is to issue either new shares of common stock or treasury shares. During 2023, 2022 and 2021, the Firm settled all of its employee share-based awards by issuing treasury shares.


JPM Employee share-based awards

Refer to Note 23 for further information on the classification of share-based awards for purposes of calculating earnings per share.


JPM RSUs, PSUs and SARs activity

Generally, compensation expense for RSUs and PSUs is measured based on the number of units granted multiplied by the stock price at the grant date, and for SARs, is measured at the grant date using the Black-Scholes valuation model. Compensation expense for these awards is recognized in net income as described previously. The following table summarizes JPMorgan Chase’s RSUs, PSUs and SARs activity for 2023. ####RSUs/PSUs##########SARs Year ended December 31, 2023##Number of units####Weighted-average grant date fair value##Number of awards####Weighted-average exercise price## (in thousands, except weighted-average data, and where otherwise stated)############## Outstanding, January 1##47,726##$##139.90##2,511##$##141.19## Granted##23,758####139.39##—####—## Exercised or vested##(17,773)####134.86##(261)####46.58## Forfeited##(1,468)####142.11##—####—## Canceled##NA####NA##—####—## Outstanding, December 31##52,243##$##141.31##2,250##$##152.19## Exercisable, December 31##NA####NA##—####—##


JPM RSUs, PSUs and SARs activity

The total fair value of RSUs and PSUs that vested during the years ended December 31, 2023, 2022 and 2021, was $2.5 billion, $3.2 billion and $2.9 billion, respectively. The total intrinsic value of options exercised during the years ended December 31, 2023, 2022 and 2021, was $24 million, $75 million and $232 million, respectively.


JPM Compensation expense

The Firm recognized the following noncash compensation expense related to its various employee share-based incentive plans in its Consolidated statements of income. Year ended December 31, (in millions)####2023####2022####2021 Cost of prior grants of RSUs, PSUs and SARs that are amortized over their applicable vesting periods##$##1,510##$##1,253##$##1,161 Accrual of estimated costs of share-based awards to be granted in future periods, predominantly those to full-career eligible employees####1,607####1,541####1,768 Total noncash compensation expense related to employee share-based incentive plans##$##3,117##$##2,794##$##2,929


JPM Compensation expense

At December 31, 2023, approximately $1.0 billion (pretax) of compensation expense related to unvested awards had not yet been charged to net income. That cost is expected to be amortized into compensation expense over a weighted-average period of 1.7 years. The Firm does not capitalize any compensation expense related to share-based compensation awards to employees.


JPM Tax benefits

Income tax benefits (including tax benefits from dividends or dividend equivalents) related to share-based incentive arrangements recognized in the Firm’s Consolidated statements of income for the years ended December 31, 2023, 2022 and 2021, were $836 million, $901 million and $957 million, respectively.


JPM Note 10 – Investment securities

Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in Note 2. Predominantly all of the Firm’s AFS and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities.


JPM Note 10 – Investment securities

AFS securities are carried at fair value on the Consolidated balance sheets. Unrealized gains and losses, after any applicable hedge accounting adjustments or allowance for credit losses, are reported in AOCI. The specific identification method is used to determine realized gains and losses on AFS securities, which are included in investment securities gains/(losses) on the Consolidated statements of income. HTM securities, which the Firm has the intent and ability to hold until maturity, are carried at amortized cost, net of allowance for credit losses, on the Consolidated balance sheets.


JPM Note 10 – Investment securities

For both AFS and HTM securities, purchase discounts or premiums are generally amortized into interest income on a level-yield basis over the contractual life of the security. However, premiums on certain callable debt securities are amortized to the earliest call date.


JPM Note 10 – Investment securities

Effective January 1, 2023, the Firm adopted the portfolio layer method hedge accounting guidance which permitted a transfer of HTM securities to AFS upon adoption. The Firm transferred obligations of U.S. states and municipalities with a carrying value of $7.1 billion resulting in the recognition of $38 million net pre-tax unrealized losses in AOCI. Refer to Note 1 and Note 24 for additional information.


JPM Note 10 – Investment securities

During 2022, the Firm transferred investment securities with a fair value of $78.3 billion from AFS to HTM for capital management purposes. AOCI included pretax unrealized losses of $4.8 billion on the securities at the date of transfer.


JPM Note 10 – Investment securities

Unrealized gains or losses at the date of transfer of these securities continue to be reported in AOCI and are amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the premium or discount resulting from the transfer recorded at fair value.


JPM Note 10 – Investment securities

Transfers of securities between AFS and HTM are non-cash transactions.


The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated. ##########2023####################2022###### December 31, (in millions)####Amortized cost(c)(d)####Gross unrealized gains####Gross unrealized losses####Fair value######Amortized cost(c)(d)####Gross unrealized gains######Gross unrealized losses####Fair value Available-for-sale securities#################################### Mortgage-backed securities:#################################### U.S. GSEs and government agencies##$##88,377##$##870##$##4,077##$##85,170####$##77,194##$##479##$##6,170####$##71,503 Residential:#################################### U.S.####2,086####10####68####2,028######1,576####1####111######1,466 Non-U.S.####1,608####4####1####1,611######3,176####5####27######3,154 Commercial####2,930####12####139####2,803######2,113####—####155######1,958 Total mortgage-backed securities####95,001####896####4,285####91,612######84,059####485####6,463######78,081 U.S. Treasury and government agencies####58,051####276####522####57,805######95,217####302####3,459######92,060 Obligations of U.S. states and municipalities####21,243####390####266####21,367######7,103####86####403######6,786 Non-U.S. government debt securities####21,387####254####359####21,282######20,360####14####678######19,696 Corporate debt securities####128####—####28####100######381####—####24######357 Asset-backed securities:#################################### Collateralized loan obligations####6,769####11####28####6,752######5,916####1####125######5,792 Other####2,804####8####26####2,786######3,152####2####69######3,085 Unallocated portfolio layer fair value  basis adjustments(a)####73####(73)####—####NA######NA####NA####NA######NA Total available-for-sale securities####205,456####1,762####5,514####201,704##(e)####216,188####890####11,221######205,857 Held-to-maturity securities(b)#################################### Mortgage-backed securities:#################################### U.S. GSEs and government agencies####105,614####39####11,643####94,010######113,492####35####13,709######99,818 U.S. Residential####9,709####4####970####8,743######10,503####3####1,244######9,262 Commercial####10,534####13####581####9,966######10,361####10####734######9,637 Total mortgage-backed securities####125,857####56####13,194####112,719######134,356####48####15,687######118,717 U.S. Treasury and government agencies####173,666####—####13,074####160,592######207,463####—####18,363######189,100 Obligations of U.S. states and municipalities####9,945####74####591####9,428######19,747####53####1,080######18,720 Asset-backed securities:#################################### Collateralized loan obligations####58,565####47####352####58,260######61,414####4####1,522######59,896 Other####1,815####1####61####1,755######2,325####—####110######2,215 Total held-to-maturity securities####369,848####178####27,272####342,754######425,305####105####36,762######388,648 Total investment securities, net of allowance for credit losses##$##575,304##$##1,940##$##32,786##$##544,458####$##641,493##$##995##$##47,983####$##594,505


(a)Represents the amount of portfolio layer method basis adjustments related to AFS securities hedged in a closed portfolio. Under U.S. GAAP portfolio layer method basis adjustments are not allocated to individual securities, however the amounts impact the unrealized gains or losses in the table for the types of securities being hedged. Refer to Note 1 and Note 5 for additional information.


(b)The Firm purchased $4.1 billion, $33.7 billion and $111.8 billion of HTM securities for the years ended December 31, 2023, 2022 and 2021, respectively.


(c)The amortized cost of investment securities is reported net of allowance for credit losses of $128 million and $96 million at December 31, 2023 and 2022, respectively.


(d)Excludes $2.8 billion and $2.5 billion of accrued interest receivable at December 31, 2023 and 2022, respectively, included in accrued interest and accounts receivable on the Consolidated balance sheets. The Firm generally does not recognize an allowance for credit losses on accrued interest receivable, consistent with its policy to write them off no later than 90 days past due by reversing interest income. The Firm did not reverse through interest income any accrued interest receivable for the years ended December 31, 2023 and 2022.


(e)As of December 31, 2023, included $24.2 billion of AFS securities associated with First Republic. Refer to Note 34 for additional information.


At December 31, 2023, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings). Risk ratings are used to identify the credit quality of securities and differentiate risk within the portfolio. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the economic environment) defined by S&P and Moody’s,


however the quantitative characteristics (e.g., probability of default (“PD”) and loss given default (“LGD”)) may differ as they reflect internal historical experiences and assumptions. Risk ratings are assigned at acquisition, reviewed on a regular and ongoing basis by Credit Risk Management and adjusted as necessary over the life of the investment for updated information affecting the issuer’s ability to fulfill its obligations.


JPM AFS securities impairment

The following tables present the fair value and gross unrealized losses by aging category for AFS securities at December 31, 2023 and 2022. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $4.6 billion and $9.6 billion, at December 31, 2023 and 2022, respectively; changes in the value of these securities are generally driven by changes in interest rates rather than changes in their credit profile given the explicit or implicit guarantees provided by the U.S. government. ############Available-for-sale securities with gross unrealized losses############## ######Less than 12 months##########12 months or more########## Year ended December 31, 2023 (in millions)####Fair value######Gross unrealized losses####Fair value####Gross unrealized losses####Total fair value####Total gross unrealized losses Available-for-sale securities########################## Mortgage-backed securities:########################## Residential:########################## U.S.##$##81####$##—##$##1,160##$##68##$##1,241##$##68 Non-U.S.####—######—####722####1####722####1 Commercial####228######3####1,775####136####2,003####139 Total mortgage-backed securities####309######3####3,657####205####3,966####208 Obligations of U.S. states and municipalities####2,134######20####2,278####246####4,412####266 Non-U.S. government debt securities####7,145######23####4,987####336####12,132####359 Corporate debt securities####9######—####79####28####88####28 Asset-backed securities:########################## Collateralized loan obligations####932######2####3,744####26####4,676####28 Other####208######1####1,288####25####1,496####26 Total available-for-sale securities with gross unrealized losses##$##10,737##(a)##$##49##$##16,033##$##866##$##26,770##$##915 ############Available-for-sale securities with gross unrealized losses############ ######Less than 12 months########12 months or more########## Year ended December 31, 2022 (in millions)####Fair value####Gross unrealized losses####Fair value####Gross unrealized losses####Total fair value####Total gross unrealized losses Available-for-sale securities######################## Mortgage-backed securities:######################## Residential:######################## U.S.##$##1,187##$##71##$##260##$##40##$##1,447##$##111 Non-U.S.####2,848####25####70####2####2,918####27 Commercial####1,131####74####813####81####1,944####155 Total mortgage-backed securities####5,166####170####1,143####123####6,309####293 Obligations of U.S. states and municipalities####3,051####241####364####162####3,415####403 Non-U.S. government debt securities####6,941####321####3,848####357####10,789####678 Corporate debt securities####150####2####207####22####357####24 Asset-backed securities:######################## Collateralized loan obligations####3,010####61####2,701####64####5,711####125 Other####2,586####51####256####18####2,842####69 Total available-for-sale securities with gross unrealized losses##$##20,904##$##846##$##8,519##$##746##$##29,423##$##1,592


JPM AFS securities impairment

(a)Includes the impact of First Republic, primarily obligations of U.S. states and municipalities. Refer to Note 34 for additional information.


AFS securities are considered impaired if the fair value is less than the amortized cost.


The Firm recognizes impairment losses in earnings if the Firm has the intent to sell the debt security, or if it is more likely than not that the Firm will be required to sell the debt security before recovery of its amortized cost. In these circumstances the impairment loss is recognized in investment securities gains/(losses) in the Consolidated Statements of Income and is equal to the full difference between the amortized cost (net of allowance if applicable) and the fair value of the security.


For impaired debt securities that the Firm has the intent and ability to hold, the securities are evaluated to determine if a credit loss exists. If it is determined that a credit loss exists, that loss is recognized as an allowance for credit losses through the provision for credit losses in the Consolidated Statements of Income, limited by the amount of impairment. Any impairment on debt securities that the Firm has the intent and ability to hold not due to credit losses is recorded in OCI.


Factors considered in evaluating credit losses include adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; and payment structure of the security.


When assessing securities issued in a securitization for credit losses, the Firm estimates cash flows considering relevant market and economic data, underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the underlying collateral (“pool losses”) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss exists.


For beneficial interests in securitizations that are rated below “AA” at their acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment, the Firm evaluates impairment for credit losses when there is an adverse change in expected cash flows.


JPM Allowance for credit losses

The allowance for credit losses on HTM securities represents expected credit losses over the remaining expected life of the securities.


JPM Allowance for credit losses

The allowance for credit losses on HTM obligations of U.S. states and municipalities and commercial mortgage-backed securities is calculated by applying statistical credit loss factors (estimated PD and LGD) to the amortized cost. The credit loss factors are derived using a weighted average of five internally developed eight-quarter macroeconomic scenarios, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the forecast period. Refer to Note 13 for further information on the eight-quarter macroeconomic forecast.


JPM Allowance for credit losses

The allowance for credit losses on HTM collateralized loan obligations and U.S. residential mortgage-backed securities


JPM Allowance for credit losses

is calculated as the difference between the amortized cost and the present value of the cash flows expected to be collected, discounted at the security’s effective interest rate. These cash flow estimates are developed based on expectations of underlying collateral performance derived using the eight-quarter macroeconomic forecast and the single year straight-line interpolation, as well as considering the structural features of the security.


JPM Allowance for credit losses

The application of different inputs and assumptions into the calculation of the allowance for credit losses is subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for credit losses on HTM securities.


JPM Credit quality indicator

The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At December 31, 2023 and 2022, all HTM securities were rated investment grade and were current and accruing, with approximately 99% and 98% rated at least AA+, respectively.


JPM Allowance for credit losses on investment securities

The allowance for credit losses on investment securities was $128 million, $96 million and $42 million as of December 31, 2023, 2022 and 2021, respectively, which included a cumulative-effect adjustment to retained earnings related to the transfer of HTM securities to AFS for the year ended December 31, 2023.


Selected impacts of investment securities on the Consolidated statements of income Year ended December 31, (in millions)####2023####2022####2021 Realized gains##$##622##$##198##$##595 Realized losses####(3,802)####(2,578)####(940) Investment securities losses##$##(3,180)##$##(2,380)##$##(345) Provision for credit losses##$##38##$##54##$##(36)


JPM Contractual maturities and yields

The following table presents the amortized cost and estimated fair value at December 31, 2023, of JPMorgan Chase’s investment securities portfolio by contractual maturity. By remaining maturity December 31, 2023 (in millions)####Due in one year or less######Due after one year through five years######Due after five years through 10 years######Due after  10 years(c)######Total#### Available-for-sale securities################################ Mortgage-backed securities################################ Amortized cost##$##—####$##5,166####$##5,660####$##84,175####$##95,001#### Fair value####—######5,072######5,662######80,878######91,612####(d) Average yield(a)####—##%####5.27##%####6.15##%####4.96##%####5.05##%## U.S. Treasury and government agencies################################ Amortized cost##$##1####$##27,430####$##23,884####$##6,736####$##58,051#### Fair value####1######27,212######23,933######6,659######57,805#### Average yield(a)####5.44##%####5.84##%####6.15##%####6.60##%####6.06##%## Obligations of U.S. states and municipalities################################ Amortized cost##$##10####$##55####$##531####$##20,647####$##21,243#### Fair value####10######54######533######20,770######21,367####(d) Average yield(a)####3.70##%####3.03##%####4.51##%####5.93##%####5.89##%## Non-U.S. government debt securities################################ Amortized cost##$##8,841####$##4,553####$##3,658####$##4,335####$##21,387#### Fair value####8,814######4,537######3,470######4,461######21,282#### Average yield(a)####3.68##%####4.35##%####2.00##%####3.79##%####3.55##%## Corporate debt securities################################ Amortized cost##$##81####$##67####$##14####$##—####$##162#### Fair value####20######66######14######—######100#### Average yield(a)####15.37##%####6.25##%####4.10##%####—##%####10.62##%## Asset-backed securities################################ Amortized cost##$##23####$##869####$##3,506####$##5,175####$##9,573#### Fair value####23######861######3,503######5,151######9,538####(d) Average yield(a)####6.13##%####3.72##%####6.48##%####6.82##%####6.41##%## Total available-for-sale securities################################ Amortized cost(b)##$##8,956####$##38,140####$##37,253####$##121,068####$##205,417#### Fair value####8,868######37,802######37,115######117,919######201,704####(d) Average yield(a)####3.79##%####5.53##%####5.75##%####5.25##%####5.33##%## Held-to-maturity securities################################ Mortgage-backed securities################################ Amortized cost##$##—####$##5,868####$##8,382####$##111,649####$##125,899#### Fair value####—######5,480######7,448######99,791######112,719#### Average yield(a)####—##%####2.56##%####2.58##%####3.02##%####2.97##%## U.S. Treasury and government agencies################################ Amortized cost##$##63,974####$##60,763####$##48,929####$##—####$##173,666#### Fair value####63,012######56,064######41,516######—######160,592#### Average yield(a)####0.63##%####0.97##%####1.26##%####—##%####0.93##%## Obligations of U.S. states and municipalities################################ Amortized cost##$##—####$##—####$##283####$##9,714####$##9,997#### Fair value####—######—######254######9,174######9,428#### Average yield(a)####—##%####—##%####3.21##%####3.94##%####3.92##%## Asset-backed securities################################ Amortized cost##$##—####$##16####$##20,345####$##40,019####$##60,380#### Fair value####—######16######20,262######39,737######60,015#### Average yield(a)####—##%####6.86##%####6.36##%####6.58##%####6.50##%## Total held-to-maturity securities################################ Amortized cost(b)##$##63,974####$##66,647####$##77,939####$##161,382####$##369,942#### Fair value####63,012######61,560######69,480######148,702######342,754#### Average yield(a)####0.63##%####1.11##%####2.74##%####3.96##%####2.61##%##


JPM Contractual maturities and yields

(a)Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives, including closed portfolio hedges. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. However, for certain callable debt securities, the average yield is calculated to the earliest call date.


JPM Contractual maturities and yields

(b)For purposes of this table, the amortized cost of available-for-sale securities excludes the allowance for credit losses of $34 million and the portfolio layer fair value hedge basis adjustments of $73 million at December 31, 2023. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $94 million at December 31, 2023.


JPM Contractual maturities and yields

(c)Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately seven years for agency residential MBS, seven years for agency residential collateralized mortgage obligations, and six years for nonagency residential collateralized mortgage obligations.


JPM Contractual maturities and yields

(d)Includes AFS securities associated with First Republic, primarily due after 10 years. Refer to Note 34 for additional information.


JPM Note 11 – Securities financing activities

JPMorgan Chase enters into resale, repurchase, securities borrowed and securities loaned agreements (collectively, “securities financing agreements”) primarily to finance the Firm’s inventory positions, acquire securities to cover short sales, accommodate customers’ financing needs, settle other securities obligations and to deploy the Firm’s excess cash.


Securities financing agreements are treated as collateralized financings on the Firm’s Consolidated balance sheets. Where appropriate under applicable accounting guidance, securities financing agreements with the same counterparty are reported on a net basis. Refer to Note 1 for further discussion of the offsetting of assets and liabilities. Fees received and paid in connection with securities financing agreements are recorded over the life of the agreement in interest income and interest expense on the Consolidated statements of income.


The Firm has elected the fair value option for certain securities financing agreements. Refer to Note 3 for further information regarding the fair value option. The securities financing agreements for which the fair value option has been elected are reported within securities purchased under resale agreements, securities loaned or sold under repurchase agreements, and securities borrowed on the Consolidated balance sheets. Generally, for agreements carried at fair value, current-period interest accruals are recorded within interest income and interest expense, with changes in fair value reported in principal transactions revenue. However, for financial instruments containing embedded derivatives that would be separately accounted for in accordance with accounting guidance for hybrid instruments, all changes in fair value, including any interest elements, are reported in principal transactions revenue.


Securities financing agreements not elected under the fair value option are measured at amortized cost. As a result of the Firm’s credit risk mitigation practices described below, the Firm did not hold any allowance for credit losses with respect to resale and securities borrowed arrangements as of December 31, 2023 and 2022.


JPM Credit risk mitigation practices

Securities financing agreements expose the Firm primarily to credit and liquidity risk. To manage these risks, the Firm monitors the value of the underlying securities (predominantly high-quality securities collateral, including government-issued debt and U.S. GSEs and government agencies MBS) that it has received from or provided to its counterparties compared to the value of cash proceeds and exchanged collateral, and either requests additional collateral or returns securities or collateral when appropriate. Margin levels are initially established based upon the counterparty, the type of underlying securities, and the permissible collateral, and are monitored on an ongoing basis.


JPM Credit risk mitigation practices

In resale and securities borrowed agreements, the Firm is exposed to credit risk to the extent that the value of the securities received is less than initial cash principal advanced and any collateral amounts exchanged. In repurchase and securities loaned agreements, credit risk exposure arises to the extent that the value of underlying securities advanced exceeds the value of the initial cash principal received, and any collateral amounts exchanged.


JPM Credit risk mitigation practices

Additionally, the Firm typically enters into master netting agreements and other similar arrangements with its counterparties, which provide for the right to liquidate the underlying securities and any collateral amounts exchanged in the event of a counterparty default. It is also the Firm’s policy to take possession, where possible, of the securities underlying resale and securities borrowed agreements. Refer to Note 29 for further information regarding assets pledged and collateral received in securities financing agreements.


JPM 232 JPMorgan Chase & Co./2023 Form 10-K

The table below summarizes the gross and net amounts of the Firm’s securities financing agreements, as of December 31, 2023 and 2022. When the Firm has obtained an appropriate legal opinion with respect to a master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparty to reduce the economic exposure with the counterparty, but such collateral is not eligible for net Consolidated balance sheet presentation. Where the Firm has obtained an appropriate legal opinion with respect to the counterparty master netting agreement, such collateral, along with


securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented in the table below as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below. In transactions where the Firm is acting as the lender in a securities-for-securities lending agreement and receives securities that can be pledged or sold as collateral, the Firm recognizes the securities received at fair value within other assets and the obligation to return those securities within accounts payable and other liabilities on the Consolidated balance sheets. ##############December 31, 2023######## (in millions)####Gross amounts####Amounts netted on the Consolidated balance sheets####Amounts presented on the Consolidated balance sheets######Amounts not nettable on the Consolidated balance sheets(b)####Net amounts(c) Assets###################### Securities purchased under resale agreements##$##523,308##$##(247,181)##$##276,127##$##(267,582)####$##8,545 Securities borrowed####244,046####(43,610)####200,436####(144,543)######55,893 Liabilities###################### Securities sold under repurchase agreements##$##459,985##$##(247,181)##$##212,804##$##(182,011)####$##30,793 Securities loaned and other(a)####52,142####(43,610)####8,532####(8,501)######31 ##############December 31, 2022######## (in millions)####Gross amounts####Amounts netted on the Consolidated balance sheets####Amounts presented on the Consolidated balance sheets######Amounts not nettable on the Consolidated balance sheets(b)####Net amounts(c) Assets###################### Securities purchased under resale agreements##$##597,912##$##(282,411)##$##315,501##$##(304,120)####$##11,381 Securities borrowed####228,279####(42,910)####185,369####(131,578)######53,791 Liabilities###################### Securities sold under repurchase agreements##$##480,793##$##(282,411)##$##198,382##$##(167,427)####$##30,955 Securities loaned and other(a)####52,443####(42,910)####9,533####(9,527)######6


(a)Includes securities-for-securities lending agreements of $5.6 billion and $7.0 billion at December 31, 2023 and 2022, respectively, accounted for at fair value, where the Firm is acting as lender.


(b)In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related net asset or liability with that counterparty.


(c)Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At December 31, 2023 and 2022, included $7.1 billion and $6.0 billion, respectively, of securities purchased under resale agreements; $50.7 billion and $49.0 billion, respectively, of securities borrowed; $30.0 billion and $29.1 billion, respectively, of securities sold under repurchase agreements; and securities loaned and other which were not material at both December 31, 2023 and 2022.


The tables below present as of December 31, 2023 and 2022 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements. ############Gross liability balance########## ######2023############2022#### December 31, (in millions)####Securities sold under repurchase agreements######Securities loaned and other######Securities sold under repurchase agreements######Securities loaned and other Mortgage-backed securities:###################### U.S. GSEs and government agencies##$##71,064####$##—####$##58,050####$##— Residential - nonagency####2,292######—######2,414######— Commercial - nonagency####2,669######—######2,007######— U.S. Treasury, GSEs and government agencies####216,467######1,034######191,254######1,464 Obligations of U.S. states and municipalities####2,323######—######1,735######5 Non-U.S. government debt####97,400######1,455######155,156######1,259 Corporate debt securities####39,247######2,025######37,121######461 Asset-backed securities####2,703######—######2,981######— Equity securities####25,820######47,628######30,075######49,254 Total##$##459,985####$##52,142####$##480,793####$##52,443 ############Remaining contractual maturity of the agreements######## December 31, 2023(in millions)####Overnight and continuous############Greater than 90 days#### ########Up to 30 days####30 – 90 days########Total Total securities sold under repurchase agreements##$##259,048##$##102,941##$##20,960##$##77,036##$##459,985 Total securities loaned and other####49,610####1,544####—####988####52,142 ############Remaining contractual maturity of the agreements######## December 31, 2022 (in millions)####Overnight and continuous############Greater than 90 days#### ########Up to 30 days####30 – 90 days########Total Total securities sold under repurchase agreements##$##205,235##$##170,696##$##37,120##$##67,742##$##480,793 Total securities loaned and other####50,138####1,285####3####1,017####52,443


JPM Transfers not qualifying for sale accounting

At December 31, 2023 and 2022, the Firm held $505 million and $692 million, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded primarily in short-term borrowings and long-term debt on the Consolidated balance sheets.


JPM Loan accounting framework

The accounting for a loan depends on management’s strategy for the loan. The Firm accounts for loans based on the following categories: •Originated or purchased loans held-for-investment (i.e., “retained”) •Loans held-for-sale •Loans at fair value


JPM Loan accounting framework

The following provides a detailed accounting discussion of the Firm’s loans by category: Loans held-for-investment


JPM Loan accounting framework

Originated or purchased loans held-for-investment, including PCD, are recorded at amortized cost, reflecting the principal amount outstanding, net of the following: unamortized deferred loan fees, costs, premiums or discounts; charge-offs; collection of cash; and foreign exchange. Credit card loans also include billed finance charges and fees.


JPM Interest income

Interest income on performing loans held-for-investment is accrued and recognized as interest income at the contractual rate of interest. Purchase price discounts or premiums, as well as net deferred loan fees or costs, are recognized in interest income over the contractual life of the loan as an adjustment of yield.


JPM Interest income

The Firm classifies accrued interest on loans, including accrued but unbilled interest on credit card loans, in accrued interest and accounts receivables on the Consolidated balance sheets. For credit card loans, accrued interest once billed is then recognized in the loan balances, with the related allowance recorded in the allowance for credit losses. Changes in the allowance for credit losses on accrued interest on credit card loans are recognized in the provision for credit losses and charge-offs are recognized by reversing interest income. For other loans, the Firm generally does not recognize an allowance for credit losses on accrued interest receivables, consistent with its policy to write them off no later than 90 days past due by reversing interest income.


JPM Nonaccrual loans

Nonaccrual loans are those on which the accrual of interest has been suspended. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status and considered nonperforming when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest has been in default for a period of 90 days or more, unless the loan is both well-secured and in the process of collection. A loan is determined to be past due when the minimum payment is not received from the borrower by the contractually specified due date or for certain loans (e.g., residential real estate loans), when a monthly payment is due and unpaid for 30 days or more.


JPM Nonaccrual loans

Finally, collateral-dependent loans are typically maintained on nonaccrual status.


JPM Nonaccrual loans

On the date a loan is placed on nonaccrual status, all interest accrued but not collected is reversed against interest income. In addition, the amortization of deferred amounts is suspended. Interest income on nonaccrual loans may be recognized as cash interest payments are received (i.e., on a cash basis) if the recorded loan balance is deemed fully collectible; however, if there is doubt regarding the ultimate collectibility of the recorded loan balance, all interest cash receipts are applied to reduce the carrying value of the loan (the cost recovery method). For consumer loans, application of this policy typically results in the Firm recognizing interest income on nonaccrual consumer loans on a cash basis.


JPM Nonaccrual loans

A loan may be returned to accrual status when repayment is reasonably assured and there has been demonstrated performance under the terms of the loan or, if applicable, the terms of the restructured loan.


JPM Nonaccrual loans

As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full.


JPM Allowance for loan losses

The allowance for loan losses represents the estimated expected credit losses in the held-for-investment loan portfolio at the balance sheet date and is recognized on the balance sheet as a contra asset, which brings the amortized cost to the net carrying value. Changes in the allowance for loan losses are recorded in the provision for credit losses on the Firm’s Consolidated statements of income. Refer to Note 13 for further information on the Firm’s accounting policies for the allowance for loan losses.


JPM Charge-offs

Consumer loans are generally charged off or charged down to the lower of the amortized cost or the net realizable value of the underlying collateral (i.e., fair value less estimated costs to sell), with an offset to the allowance for loan losses, upon reaching specified stages of delinquency in accordance with standards established by the FFIEC. Residential real estate loans, unmodified credit card loans and scored business banking loans are generally charged off no later than 180 days past due. Scored auto and closed-end consumer loans, including modified credit card accounts placed on a fixed payment plan, are charged off no later than 120 days past due.


JPM Charge-offs

Certain consumer loans are charged off or charged down to their net realizable value earlier than the FFIEC charge-off standards in the following circumstances: •Loans modified to borrowers experiencing financial difficulty that are determined to be collateral-dependent.


•Loans to borrowers who have experienced an event that suggests a loss is either known or highly certain are subject to accelerated charge-off standards (e.g., residential real estate and auto loans are charged off or charged down within 60 days of receiving notification of a bankruptcy filing). •Auto loans upon repossession of the automobile.


Other than in certain limited circumstances, the Firm typically does not recognize charge-offs on the government-guaranteed portion of loans.


Wholesale loans are charged off when it is highly certain that a loss has been realized. The determination of whether to recognize a charge-off includes many factors, including the prioritization of the Firm’s claim in bankruptcy, expectations of the workout/restructuring of the loan and valuation of the borrower’s equity or the loan collateral.


When a loan is charged down to the lower of its amortized cost or the estimated net realizable value of the underlying collateral, the determination of the fair value of the collateral depends on the type of collateral (e.g., securities, real estate). In cases where the collateral is in the form of liquid securities, the fair value is based on quoted market prices or broker quotes. For illiquid securities or other financial assets, the fair value of the collateral is generally estimated using a discounted cash flow model.


For residential real estate loans, collateral values are based upon external valuation sources. When it becomes likely that a borrower is either unable or unwilling to pay, the Firm utilizes a broker’s price opinion, appraisal and/or an automated valuation model of the home based on an exterior-only valuation (“exterior opinions”), which is then updated at least every 12 months, or more frequently depending on various market factors. As soon as practicable after the Firm receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession), the Firm generally obtains an appraisal based on an inspection that includes the interior of the home (“interior appraisals”). Exterior opinions and interior appraisals are discounted based upon the Firm’s experience with actual liquidation values as compared with the estimated values provided by exterior opinions and interior appraisals, considering state-specific factors.


For commercial real estate loans, collateral values are generally based on appraisals from internal and external valuation sources. Collateral values are typically updated every six to twelve months, either by obtaining a new appraisal or by performing an internal analysis, in accordance with the Firm’s policies. The Firm also considers both borrower- and market-specific factors, which may result in obtaining appraisal updates or broker price opinions at more frequent intervals.


JPM Loans held-for-sale

Loans held-for-sale are measured at the lower of cost or fair value, with valuation changes recorded in noninterest revenue. For consumer loans, the valuation is performed on a portfolio basis. For wholesale loans, the valuation is performed on an individual loan basis.


JPM Loans held-for-sale

Interest income on loans held-for-sale is accrued and recognized based on the contractual rate of interest.


JPM Loans held-for-sale

Loan origination fees or costs and purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred fees or costs and discounts or premiums are an adjustment to the basis of the loan and therefore are included in the periodic determination of the lower of cost or fair value adjustments and/or the gain or loss recognized at the time of sale.


JPM Loans held-for-sale

Because these loans are recognized at the lower of cost or fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans held-for-sale are subject to the Firm’s nonaccrual policies.


JPM Loans at fair value

Loans for which the fair value option has been elected are measured at fair value, with changes in fair value recorded in noninterest revenue.


JPM Loans at fair value

Interest income on these loans is accrued and recognized based on the contractual rate of interest. Changes in fair value are recognized in noninterest revenue. Loan origination fees are recognized upfront in noninterest revenue. Loan origination costs are recognized in the associated expense category as incurred.


JPM Loans at fair value

Because these loans are recognized at fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans at fair value are subject to the Firm’s nonaccrual policies.


JPM Loans at fair value

Refer to Note 3 for further information on the Firm’s elections of fair value accounting under the fair value option. Refer to Note 2 and Note 3 for further information on loans carried at fair value and classified as trading assets.


JPM Loan classification changes

Loans in the held-for-investment portfolio that management decides to sell are transferred to the held-for-sale portfolio at the lower of cost or fair value on the date of transfer. Credit-related losses are charged against the allowance for loan losses; non-credit related losses such as those due to changes in interest rates or foreign currency exchange rates are recognized in noninterest revenue.


JPM Loan classification changes

In the event that management decides to retain a loan in the held-for-sale portfolio, the loan is transferred to the held-for-investment portfolio at amortized cost on the date of transfer. These loans are subsequently assessed for impairment based on the Firm’s allowance methodology. Refer to Note 13 for a further discussion of the methodologies used in establishing the Firm’s allowance for loan losses.


JPM Loan modifications

The Firm seeks to modify certain loans in conjunction with its loss mitigation activities. Through the modification, JPMorgan Chase grants one or more concessions to a borrower who is experiencing financial difficulty in order to minimize the Firm’s economic loss and avoid foreclosure or repossession of the collateral, and to ultimately maximize payments received by the Firm from the borrower. The concessions granted vary by program and by borrower-specific characteristics, and may include interest rate reductions, term extensions, other-than-insignificant payment delays or principal forgiveness. Effective January 1, 2023 the Firm adopted the Financial Instruments - Credit Losses: Troubled Debt Restructurings and Vintage Disclosure accounting guidance, which changed the accounting for loan modifications from TDRs to FDMs. Refer to Note 1 for further information.


JPM Loan modifications

Loans, except for credit card loans, reported as FDMs are generally placed on nonaccrual status, although in many cases such loans were already on nonaccrual status prior to modification. These loans may be returned to performing status (the accrual of interest is resumed) if the following criteria are met: (i) the borrower has performed under the modified terms for a minimum of six months and/or six payments, and (ii) the Firm has an expectation that repayment of the modified loan is reasonably assured based on, for example, the borrower’s debt capacity and level of future earnings, collateral values, LTV ratios, and other current market considerations. In certain limited and well-defined circumstances in which the loan is current at the modification date, such loans are not placed on nonaccrual status at the time of modification.


JPM Loan modifications

The allowance for credit losses associated with FDMs is measured using the Firm’s established allowance methodology, which considers the expected re-default rates for the modified loans. Refer to Note 13 for further discussion.


JPM Loan modifications

For periods ending prior to January 1, 2023, modifications of loans where the Firm granted concessions to a borrower experiencing financial difficulty were accounted for and


JPM Loan modifications

reported as TDRs. The concessions granted varied by program and by borrower-specific characteristics, and included interest rate reductions, term extensions, payment delays, principal forgiveness, or the acceptance of equity or other assets in lieu of payments. Loans with short-term and other insignificant modifications that were not considered concessions were not TDRs.


JPM Loan modifications

Loans modified in TDRs were generally measured for impairment using the Firm’s established asset-specific allowance methodology, which considers the expected redefault rates for the modified loans. A loan modified in a TDR generally remained subject to the asset-specific component of the allowance throughout its remaining life, regardless of whether the loan was performing and had been returned to accrual status. Refer to Note 13 for further discussion.


JPM Foreclosed property

The Firm acquires property from borrowers through loan restructurings, workouts, and foreclosures. Property acquired may include real property (e.g., residential real estate, land, and buildings) and other commercial and personal property (e.g., automobiles, aircraft, railcars, and ships).


JPM Foreclosed property

The Firm recognizes foreclosed property upon receiving assets in satisfaction of a loan (e.g., by taking legal title or physical possession). For loans collateralized by real property, the Firm generally recognizes the asset received at foreclosure sale or upon the execution of a deed in lieu of foreclosure transaction with the borrower. Foreclosed assets are reported in other assets on the Consolidated balance sheets and initially recognized at fair value less estimated costs to sell. Each quarter the fair value of the acquired property is reviewed and adjusted, if necessary, to the lower of cost or fair value. Subsequent adjustments to fair value are charged/credited to noninterest revenue. Operating expense, such as real estate taxes and maintenance, are charged to other expense.


JPM Loan portfolio

The Firm’s loan portfolio is divided into three portfolio segments, which are the same segments used by the Firm to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment the Firm monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class. Consumer, excluding  credit card##Credit card##Wholesale(c)(d) • Residential real estate(a) • Auto and other(b)##• Credit card loans##• Secured by real estate • Commercial and industrial • Other(e)


JPM Loan portfolio

(a)Includes scored mortgage and home equity loans held in CCB and AWM, and scored mortgage loans held in CIB.


JPM Loan portfolio

(b)Includes scored auto, business banking and consumer unsecured loans as well as overdrafts, primarily in CCB.


JPM Loan portfolio

(c)Includes loans held in CIB, CB, AWM, Corporate, and risk-rated exposure held in CCB, for which the wholesale methodology is applied when determining the allowance for loan losses.


JPM Loan portfolio

(d)The wholesale portfolio segment's classes align with loan classifications as defined by the bank regulatory agencies, based on the loan's collateral, purpose, and type of borrower.


JPM Loan portfolio

(e)Includes loans to SPEs, financial institutions, personal investment companies and trusts, individuals and individual entities (predominantly Global Private Bank clients within AWM and J.P. Morgan Wealth Management within CCB), states and political subdivisions, as well as loans to nonprofits. Refer to Note 14 for more information on SPEs.


JPM Loan portfolio

The following tables summarize the Firm’s loan balances by portfolio segment. December 31, 2023####Consumer, excluding credit card######Credit card####Wholesale####Total(b)(c)## (in millions)#################### Retained##$##397,275##(a)##$##211,123##$##672,472##(a)##$##1,280,870 Held-for-sale####487######—####3,498######3,985 At fair value####12,331##(a)####—####26,520######38,851 Total##$##410,093####$##211,123##$##702,490####$##1,323,706 December 31, 2022####Consumer, excluding credit card######Credit card####Wholesale######Total(b)(c) (in millions)#################### Retained##$##300,753####$##185,175##$##603,670####$##1,089,598 Held-for-sale####618######—####3,352######3,970 At fair value####10,004######—####32,075######42,079 Total##$##311,375####$##185,175##$##639,097####$##1,135,647


JPM Loan portfolio

(a)Includes loans associated with First Republic consisting of $90.7 billion of retained loans and $1.9 billion of loans at fair value in consumer, excluding credit card and $53.9 billion of retained loans in wholesale.


JPM Loan portfolio

(b)Excludes $6.8 billion and $5.2 billion of accrued interest receivable at December 31, 2023 and 2022, respectively. The Firm wrote off accrued interest receivable of $49 million and $39 million for the years ended December 31, 2023 and 2022, respectively.


JPM Loan portfolio

(c)Loans (other than those for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of December 31, 2023 and 2022.


JPM Loan portfolio

The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table. ############2023########## Year ended December 31, (in millions)####Consumer, excluding credit card######Credit card######Wholesale####Total## Purchases##$##92,205##(b)(c)(d)##$##—####$##60,300##(d)##$##152,505 Sales####2,202######—######43,949######46,151 Retained loans reclassified to held-for-sale(a)####274######—######1,486######1,760 ############2022######## Year ended December 31, (in millions)####Consumer, excluding credit card######Credit card######Wholesale##Total## Purchases##$##1,625##(b)(c)##$##—####$##1,088##$##2,713 Sales####2,884######—######41,934####44,818 Retained loans reclassified to held-for-sale(a)####229######—######1,055####1,284


JPM 238 JPMorgan Chase & Co./2023 Form 10-K

############2021######## Year ended December 31, (in millions)####Consumer, excluding credit card######Credit card######Wholesale##Total## Purchases##$##515##(b)(c)##$##—####$##1,122##$##1,637 Sales####799######—######31,022####31,821 Retained loans reclassified to held-for-sale(a)####1,225######—######2,178####3,403


(a)Reclassifications of loans to held-for-sale are non-cash transactions.


(b)Includes purchases of residential real estate loans, including the Firm’s voluntary repurchases of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines for the years ended December 31, 2023, 2022 and 2021. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA.


(c)Excludes purchases of retained loans of $5.1 billion, $12.4 billion and $25.8 billion for the years ended December 31, 2023, 2022 and 2021, respectively, which are predominantly sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards.


(d)Includes loans acquired in the First Republic acquisition consisting of $91.9 billion in Consumer, excluding credit card and $59.2 billion in Wholesale. Refer to Note 34 for additional information.


JPM Gains and losses on sales of loans

Net gains/(losses) on sales of loans and lending-related commitments (including adjustments to record loans and lending-related commitments held-for-sale at the lower of cost or fair value) recognized in noninterest revenue was $56 million for the year ended December 31, 2023 of which $62 million was related to loans. Net gains/(losses) on sales of loans and lending-related commitments was $(186) million for the year ended December 31, 2022 of which $(48) million was related to loans. Net gains/(losses) on sales of loans and lending-related commitments was $261 million for the year ended December 31, 2021 of which $253 million was related to loans. In addition, the sale of loans may also result in write downs, recoveries or changes in the allowance recognized in the provision for credit losses.


JPM Consumer, excluding credit card loan portfolio

Consumer loans, excluding credit card loans, consist primarily of scored residential mortgages, home equity loans and lines of credit, auto and business banking loans, with a focus on serving the prime consumer credit market. These loans include home equity loans secured by junior liens, prime mortgage loans with an interest-only payment period, and certain payment-option loans that may result in negative amortization.


The following table provides information about retained consumer loans, excluding credit card, by class. December 31, (in millions)####2023######2022 Residential real estate##$##326,409##(a)##$##237,561 Auto and other####70,866######63,192 Total retained loans##$##397,275####$##300,753


(a)Included $90.7 billion of loans associated with First Republic.


Delinquency rates are the primary credit quality indicator for consumer loans. Loans that are more than 30 days past due provide an early warning of borrowers who may be experiencing financial difficulties and/or who may be unable or unwilling to repay the loan. As the loan continues to age, it becomes more clear whether the borrower is likely to be unable or unwilling to pay. In the case of residential real estate loans, late-stage delinquencies (greater than 150 days past due) are a strong indicator of loans that will ultimately result in a foreclosure or similar liquidation transaction. In addition to delinquency rates, other credit quality indicators for consumer loans vary based on the class of loan, as follows: •For residential real estate loans, the current estimated LTV ratio, or the combined LTV ratio in the case of junior lien loans, is an indicator of the potential loss severity in the event of default. Additionally, LTV or combined LTV ratios can provide insight into a borrower’s continued willingness to pay, as the delinquency rate of high-LTV loans tends to be greater than that for loans where the borrower has equity in the collateral. The geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events such as natural disasters, will affect credit quality. The borrower’s current or “refreshed” FICO score is a secondary credit quality indicator for certain loans, as FICO scores are an indication of the borrower’s credit payment history. Thus, a loan to a borrower with a low FICO score (less than 660) is considered to be of higher risk than a loan to a borrower with a higher FICO score. Further, a loan to a borrower with a high LTV ratio and a low FICO score is at greater risk of default than a loan to a borrower that has both a high LTV ratio and a high FICO score. •For scored auto and business banking loans, geographic distribution is an indicator of the credit performance of the portfolio. Similar to residential real estate loans, geographic distribution provides insights into the portfolio performance based on regional economic activity and events.


JPM Residential real estate

Delinquency is the primary credit quality indicator for retained residential real estate loans. The following tables provide information on delinquency and gross charge-offs for the year ended December 31, 2023. (in millions, except ratios)##################################December 31, 2023############## ####################Term loans by origination year(f)########################Revolving loans#### ####2023######2022######2021######2020######2019######Prior to 2019######Within the revolving period######Converted to term loans## Loan delinquency(a)(b)################################################ Current(c)##$##23,216####$##64,366####$##84,496####$##55,546####$##21,530####$##59,563####$##7,479####$##8,151## 30–149 days past due####33######74######89######70######41######801######49######223## 150 or more days past due####1######10######17######8######21######456######5######164## Total retained loans##$##23,250####$##64,450####$##84,602####$##55,624####$##21,592####$##60,820####$##7,533####$##8,538## % of 30+ days past due to total retained loans(d)(e)####0.15##%####0.13##%####0.13##%####0.14##%####0.29##%####2.04##%####0.72##%####4.53##% Gross charge-offs##$##—####$##—####$##—####$##—####$##4####$##167####$##26####$##7## (in millions, except ratios)##################################December 31, 2022############## ####################Term loans by origination year(f)########################Revolving loans#### ####2022######2021######2020######2019######2018######Prior to 2018######Within the revolving period######Converted to term loans## Loan delinquency(a)(b)################################################ Current##$##39,934####$##66,072####$##43,315####$##15,397####$##6,339####$##49,632####$##5,589####$##9,685## 30–149 days past due####29######11######14######20######20######597######15######208## 150 or more days past due####1######1######6######10######7######480######4######175## Total retained loans##$##39,964####$##66,084####$##43,335####$##15,427####$##6,366####$##50,709####$##5,608####$##10,068## % of 30+ days past due to total retained loans(d)####0.08##%####0.02##%####0.05##%####0.19##%####0.42##%####2.07##%####0.34##%####3.80##%


JPM Residential real estate

(a)Individual delinquency classifications include mortgage loans insured by U.S. government agencies which were not material at December 31, 2023 and 2022.


JPM Residential real estate

(b)At December 31, 2023 and 2022, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.


JPM Residential real estate

(c)Included $6.4 billion, $26.3 billion, $21.9 billion, $14.8 billion, $7.4 billion, and $10.9 billion of term loans originated in 2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $2.5 billion of revolving loans within the revolving period associated with First Republic.


JPM Residential real estate

(d)Excludes mortgage loans that are 30 or more days past due insured by U.S. government agencies which were not material at December 31, 2023 and 2022. These amounts have been excluded based upon the government guarantee.


JPM Residential real estate

(e)Included $343 million of 30 or more days past due loans associated with First Republic.


JPM Residential real estate

(f)Purchased loans are included in the year in which they were originated.


JPM Residential real estate

Approximately 37% of the total revolving loans are senior lien loans; the remaining balance are junior lien loans. The lien position the Firm holds is considered in the Firm’s allowance for credit losses. Revolving loans that have been converted to term loans have higher delinquency rates than those that are still within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for revolving loans within the revolving period.


JPM Nonaccrual loans and other credit quality indicators

The following table provides information on nonaccrual and other credit quality indicators for retained residential real estate loans. (in millions, except weighted-average data)####December 31, 2023########December 31, 2022## Nonaccrual loans(a)(b)(c)(d)(e)##$##3,466######$##3,745## Current estimated LTV ratios(f)(g)(h)############## Greater than 125% and refreshed FICO scores:############## Equal to or greater than 660##$##72######$##2## Less than 660####—########—## 101% to 125% and refreshed FICO scores:############## Equal to or greater than 660####223########174## Less than 660####4########6## 80% to 100% and refreshed FICO scores:############## Equal to or greater than 660####6,491####(l)####12,034## Less than 660####102########184## Less than 80% and refreshed FICO scores:############## Equal to or greater than 660####309,251####(l)####215,096## Less than 660####9,277####(l)####8,659## No FICO/LTV available(i)####989########1,406## Total retained loans##$##326,409####(m)##$##237,561## Weighted average LTV ratio(f)(j)####49##%######51##% Weighted average FICO(g)(j)####770########769## Geographic region(i)(k)############## California##$##127,072####(n)##$##73,112## New York####48,815####(n)####34,471## Florida####22,778####(n)####18,870## Texas####15,506########14,968## Massachusetts####14,213####(n)####6,380## Illinois####10,856########11,296## Colorado####10,800########9,968## Washington####9,923########9,060## New Jersey####8,050########7,108## Connecticut####7,163########5,432## All other####51,233########46,896## Total retained loans##$##326,409######$##237,561##


(a)Includes collateral-dependent residential real estate loans that are charged down to the fair value of the underlying collateral less costs to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual loans, regardless of their delinquency status. At December 31, 2023, approximately 9% of Chapter 7 residential real estate loans were 30 days or more past due.


(b)Mortgage loans insured by U.S. government agencies excluded from nonaccrual loans were not material at December 31, 2023 and 2022.


(c)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral improves subsequent to charge down, the related allowance may be negative.


(d)Interest income on nonaccrual loans recognized on a cash basis was $180 million and $175 million for the years ended December 31, 2023 and 2022, respectively.


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


(f)Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.


(g)Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.


(h)Includes residential real estate loans, primarily held in LLCs in AWM that did not have a refreshed FICO score. These loans have been included in a FICO band based on management’s estimation of the borrower’s credit quality.


(i)Included U.S. government-guaranteed loans as of December 31, 2023 and 2022.


(j)Excludes loans with no FICO and/or LTV data available.


(k)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at December 31, 2023.


(l)Included $1.1 billion in equal to or greater than 660 FICO scores within 80% to 100% LTV ratio, and $87.9 billion and $1.1 billion in equal to or greater than 660 and less than 660 FICO scores, respectively, within less than 80% LTV ratio associated with First Republic.


(m)Included $90.7 billion of loans associated with First Republic.


(n)Included $54.9 billion, $14.9 billion, $3.5 billion, and $7.8 billion in California, New York, Florida and Massachusetts, respectively, associated with First Republic.


JPM Loan modifications

The Firm grants certain modifications of residential real estate loans to borrowers experiencing financial difficulty, which effective January 1, 2023, are reported as FDMs. The Firm's proprietary modification programs as well as government programs, including U.S. GSE programs, that generally provide various modifications to borrowers experiencing financial difficulty including, but not limited to, interest rate reductions, term extensions, other-than-insignificant payment delay and principal forgiveness that would otherwise have been required under the terms of the original agreement, are considered FDMs.


JPM Financial effects of FDMs

For the year ended December 31, 2023, residential real estate FDMs were $136 million. The financial effects of the FDMs, which were predominantly in the form of term extensions and interest rate reductions, included extending the weighted-average life of the loans by 20 years, and reducing the weighted-average contractual interest rate from 7.21% to 4.44% for the year ended December 31, 2023. There were no additional commitments to lend to borrowers experiencing financial difficulty whose loans have been modified as FDMs.


JPM Financial effects of FDMs

In addition to FDMs, the Firm also had $69 million of loans subject to a trial modification, and $9 million of Chapter 7 loans 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 and Chapter 7 loans were considered TDRs, but not FDMs. Refer to Note 1 for further information.


JPM Payment status of FDMs and redefaults

For the year ended December 31, 2023, residential real estate FDMs of $29 million were 30 or more days past due and FDMs that re-defaulted were $17 million.


JPM Nature and extent of TDRs

For periods ending prior to January 1, 2023, modifications of residential real estate loans where the Firm granted concessions to borrowers who were experiencing financial difficulty were generally accounted for and reported as TDRs. Loans with short-term or other insignificant modifications that were not considered concessions were not TDRs. For the years ended December 31, 2022 and 2021, new TDRs were $362 million and $866 million, and there were no additional commitments to lend to borrowers whose residential real estate loans were modified in TDRs.


JPM Nature and extent of TDRs

The Firm’s proprietary modification programs as well as government programs, including U.S. GSE programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and delays of principal and/or interest payments that would otherwise have been required under the terms of the original agreement.


JPM Nature and extent of TDRs

The following table provides information about how residential real estate loans were modified in TDRs during


JPM Nature and extent of TDRs

the period presented. This table excludes loans with short-term or other insignificant modifications that are not considered concessions. Year ended December 31,##2022####2021## Number of loans approved for a trial modification##3,902####6,246## Number of loans permanently modified##4,182####4,588## Concession granted:(a)######## Interest rate reduction##54##%##74##% Term or payment extension##67####53## Principal and/or interest deferred##10####23## Principal forgiveness##1####2## Other(b)##37####36##


JPM Nature and extent of TDRs

(a)Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. Concessions offered on trial modifications are generally consistent with those granted on permanent modifications.


JPM Nature and extent of TDRs

(b)Includes variable interest rate to fixed interest rate modifications and payment delays that meet the definition of a TDR.


JPM Financial effects of TDRs and redefaults

The following table provides information about the financial effects of the various concessions granted in modifications of residential real estate loans and about redefaults of certain loans modified in TDRs for the periods presented. The following table presents only the financial effects of permanent modifications and does not include temporary concessions offered through trial modifications. This table also excludes loans with short-term or other insignificant modifications that were not considered concessions. Year ended December 31, (in millions, except weighted - average data)####2022######2021## Weighted-average interest rate of loans with interest rate reductions – before TDR####4.75##%####4.54##% Weighted-average interest rate of loans with interest rate reductions – after TDR####3.35######2.92## Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR####22######23## Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR####38######38## Charge-offs recognized upon permanent modification##$##1####$##—## Principal deferred####16######28## Principal forgiven####2######1## Balance of loans that redefaulted within one year of permanent modification(a)##$##147####$##160##


(a)Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted.


JPM Active and suspended foreclosure

At December 31, 2023 and 2022, the Firm had residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $566 million and $565 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.


JPM Auto and other

Delinquency is the primary credit quality indicator for retained auto and other loans. The following tables provide information on delinquency and gross charge-offs for the year ended December 31, 2023. ##############################December 31, 2023########################## (in millions, except ratios)##################Term loans by origination year############################Revolving loans########## ####2023######2022######2021########2020######2019######Prior to 2019######Within the revolving period######Converted to term loans######Total## Loan delinquency######################################################## Current##$##30,328####$##14,797####$##12,825######$##6,538####$##1,777####$##511####$##2,984####$##102####$##69,862## 30–119 days past due####276######279######231########78######43######17######19######24######967## 120 or more days past due####1######1######7########8######—######—######3######17######37## Total retained loans##$##30,605####$##15,077####$##13,063######$##6,624####$##1,820####$##528####$##3,006####$##143####$##70,866## % of 30+ days past due to total retained loans(a)####0.91##%####1.86##%####1.75####%####1.15##%####2.36##%####3.22##%####0.73##%####28.67##%####1.39##% Gross charge-offs##$##333####$##297####$##161######$##53####$##35####$##64####$##—####$##4####$##947## ##############################December 31, 2022########################## (in millions, except ratios)##################Term loans by origination year############################Revolving loans########## ####2022######2021######2020########2019######2018######Prior to 2018######Within the revolving period######Converted to term loans######Total## Loan delinquency######################################################## Current##$##22,187####$##20,212####$##11,401######$##3,991####$##1,467####$##578####$##2,342####$##118####$##62,296## 30–119 days past due####263######308######100########68######33######17######12######10######811## 120 or more days past due####—######53######24########—######—######1######2######5######85## Total retained loans##$##22,450####$##20,573####$##11,525######$##4,059####$##1,500####$##596####$##2,356####$##133####$##63,192## % of 30+ days past due to total retained loans(a)####1.17##%####1.15##%####0.83####%####1.68##%####2.20##%####3.02##%####0.59##%####11.28##%####1.18##%


JPM Auto and other

(a)At December 31, 2023 and 2022, auto and other loans excluded $20 million and $153 million, respectively, of PPP loans guaranteed by the SBA that are 30 or more days past due. These amounts have been excluded based upon the SBA guarantee.


JPM Nonaccrual and other credit quality indicators

The following table provides information on nonaccrual and other credit quality indicators for retained auto and other consumer loans. (in millions)######Total Auto and other## ####December 31, 2023####December 31, 2022 Nonaccrual loans(a)(b)(c)##$##177##$##129 Geographic region(d)######## California##$##10,959##$##9,689 Texas####8,502####7,216 Florida####5,684####4,847 New York####4,938####4,345 Illinois####3,147####2,839 New Jersey####2,609####2,219 Georgia####1,912####1,708 Pennsylvania####1,900####1,822 Arizona####1,779####1,551 North Carolina####1,714####1,481 All other####27,722####25,475 Total retained loans##$##70,866##$##63,192


(a)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, of which $15 million and $76 million, respectively, were no longer accruing interest based on the guidelines set by the SBA. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting the guidelines set by the SBA. There were no loans that were not guaranteed by the SBA that are 90 or more days past due and still accruing interest at December 31, 2023 and 2022.


(b)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral improves subsequent to charge down, the related allowance may be negative.


(c)Interest income on nonaccrual loans recognized on a cash basis was not material for the years ended December 31, 2023 and 2022.


(d)The geographic regions presented in this table are ordered based on the magnitude of the corresponding loan balances at December 31, 2023.


JPM Loan modifications

The Firm grants certain modifications of auto and other loans to borrowers experiencing financial difficulty, which effective January 1, 2023, are reported as FDMs. For the year ended December 31, 2023, auto and other FDMs were not material and there were no additional commitments to lend to borrowers modified as FDMs.


JPM Loan modifications

For periods ending prior to January 1, 2023, modifications of auto and other loans where the Firm granted concessions to borrowers who were experiencing financial difficulty were generally accounted for and reported as TDRs. Loans with short-term or other insignificant modifications that were not considered concessions were not TDRs. For the years ended December 31, 2022 and 2021, auto and other TDRs were not material.


JPM Credit card loan portfolio

The credit card portfolio segment includes credit card loans originated and purchased by the Firm. Delinquency rates are the primary credit quality indicator for credit card loans as they provide an early warning that borrowers may be experiencing difficulties (30 days past due); information on those borrowers that have been delinquent for a longer period of time (90 days past due) is also considered. In addition to delinquency rates, the geographic distribution of the loans provides insight as to the credit quality of the portfolio based on the regional economy.


JPM Credit card loan portfolio

While the borrower’s credit score is another general indicator of credit quality, the Firm does not view credit scores as a primary indicator of credit quality because the borrower’s credit score tends to be a lagging indicator. The distribution of such scores provides a general indicator of


JPM Credit card loan portfolio

credit quality trends within the portfolio; however, the score does not capture all factors that would be predictive of future credit performance. Refreshed FICO score information, which is obtained at least quarterly, for a statistically significant random sample of the credit card portfolio is indicated in other credit quality indicators. FICO is considered to be the industry benchmark for credit scores.


JPM Credit card loan portfolio

The Firm generally originates new credit card accounts to prime consumer borrowers. However, certain cardholders’ FICO scores may decrease over time, depending on the performance of the cardholder and changes in the credit score calculation.


JPM Credit card loan portfolio

The following tables provide information on delinquency and gross charge-offs for the year ended December 31, 2023. (in millions, except ratios)##########December 31, 2023######## ####Within the revolving period######Converted to term loans######Total## Loan delinquency################## Current and less than 30 days past due and still accruing##$##205,731####$##882####$##206,613## 30–89 days past due and still accruing####2,217######84######2,301## 90 or more days past due and still accruing####2,169######40######2,209## Total retained loans##$##210,117####$##1,006####$##211,123## Loan delinquency ratios################## % of 30+ days past due to total retained loans####2.09##%####12.33##%####2.14##% % of 90+ days past due to total retained loans####1.03######3.98######1.05## Gross charge-offs##$##5,325####$##166####$##5,491## (in millions, except ratios)##########December 31, 2022######## ####Within the revolving period######Converted to term loans######Total## Loan delinquency################## Current and less than 30 days past due and still accruing##$##181,793####$##696####$##182,489## 30–89 days past due and still accruing####1,356######64######1,420## 90 or more days past due and still accruing####1,230######36######1,266## Total retained loans##$##184,379####$##796####$##185,175## Loan delinquency ratios################## % of 30+ days past due to total retained loans####1.40##%####12.56##%####1.45##% % of 90+ days past due to total retained loans####0.67######4.52######0.68##


JPM Other credit quality indicators

The following table provides information on other credit quality indicators for retained credit card loans. (in millions, except ratios)####December 31, 2023######December 31, 2022## Geographic region(a)############ California##$##32,652####$##28,154## Texas####22,086######19,171## New York####16,915######15,046## Florida####15,103######12,905## Illinois####11,364######10,089## New Jersey####8,688######7,643## Ohio####6,424######5,792## Colorado####6,307######5,493## Pennsylvania####6,088######5,517## Arizona####5,209######4,487## All other####80,287######70,878## Total retained loans##$##211,123####$##185,175## Percentage of portfolio based on carrying value with estimated refreshed FICO scores############ Equal to or greater than 660####85.8##%####86.8##% Less than 660####14.0######13.0## No FICO available####0.2######0.2##


JPM Other credit quality indicators

(a)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at December 31, 2023.


JPM Loan modifications

The Firm grants certain modifications of credit card loans to borrowers experiencing financial difficulty, which effective January 1, 2023, are reported as FDMs. These modifications may involve placing the customer’s credit card account on a fixed payment plan, generally for 60 months, which typically includes reducing the interest rate on the credit card account. If the borrower does not make the contractual payments when due under the modified payment terms, the credit card loan continues to age and will be charged-off in accordance with the Firm's standard charge-off policy. In most cases, the Firm does not reinstate the borrower's line of credit.


JPM Financial effects of FDMs

The following table provides information on credit card loan modifications considered FDMs. Year ended December 31, 2023 (in millions)####Amortized cost basis##% of loan modifications to total retained credit card loans####Financial effect of loan modification Loan modification########## Term extension and interest rate reduction(a)(b)##$##648##0.31##%##Term extension with a reduction in the weighted average contractual interest rate from 23.19% to 3.64% Total##$##648######


JPM Financial effects of FDMs

(a)Term extension includes credit card loans whose terms have been modified under long-term programs by placing the customer’s credit card account on a fixed payment plan.


JPM Financial effects of FDMs

(b)The interest rates represent weighted average at enrollment.


JPM Financial effects of FDMs

For the year ended December 31, 2023, the Firm also had $27 million of credit card loans subject to trial modifications. The changes to the TDR accounting guidance eliminated the TDR reasonably expected and concession assessment criteria. Accordingly, trial modifications are not considered FDMs.


The following table provides information on the payment status of FDMs during the year ended December 31, 2023. Year ended December 31, 2023 (in millions)####Amortized cost basis Current and less than 30 days past due and still accruing##$##558 30-89 days past due and still accruing####59 90 or more days past due and still accruing####31 Total##$##648


There were $50 million FDMs that re-defaulted during the year ended December 31, 2023 which were a combination of term extension and interest rate reduction.


For credit card loans modified as FDMs, payment default is deemed to have occurred when the borrower misses two consecutive contractual payments. Defaulted modified credit card loans remain in the modification program and continue to be charged off in accordance with the Firm's standard charge-off policy.