For periods ending prior to January 1, 2023, modifications of credit card loans where the Firm granted concessions to borrowers who were experiencing financial difficulty were generally accounted for and reported as TDRs. The Firm granted concessions for most of the credit card loans under long-term programs. These concessions involved placing the customer’s credit card account on a fixed payment plan, generally for 60 months, and typically included reducing the interest rate on the credit card account. Substantially all modifications under the Firm’s long-term programs were considered to be TDRs. Loans with short-term or other insignificant modifications that were not considered concessions were not reported as TDRs.


JPM Financial effects of TDRs and redefaults

The following table provides information about the financial effects of the concessions granted on credit card loans modified in TDRs and redefaults for the periods presented. For all periods disclosed, new enrollments were less than 1% of total retained credit card loans. Year ended December 31, (in millions, except weighted-average data)####2022######2021## Balance of new TDRs(a)##$##418####$##393## Weighted-average interest rate of loans – before TDR####19.86##%####17.75##% Weighted-average interest rate of loans – after TDR####4.13######5.14## Balance of loans that redefaulted within one year of modification(b)##$##34####$##57##


(a)Represents the outstanding balance prior to modification.


(b)Represents loans 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 amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted.


For credit card loans modified in TDRs, payment default was deemed to have occurred when the borrower missed two consecutive contractual payments. Defaulted modified credit card loans remained in the modification program and continued to be charged of in accordance with the Firm’s standard charge-off policy.


JPM Wholesale loan portfolio

Wholesale loans include loans made to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals.


JPM Wholesale loan portfolio

The primary credit quality indicator for wholesale loans is the internal risk rating assigned to each loan. Risk ratings are used to identify the credit quality of loans and differentiate risk within the portfolio. Risk ratings on loans consider the PD and the LGD. The PD is the likelihood that a loan will default. The LGD is the estimated loss on the loan that would be realized upon the default of the borrower and takes into consideration collateral and structural support for each credit facility.


JPM Wholesale loan portfolio

Management considers several factors to determine an appropriate internal risk rating, including the obligor’s debt capacity and financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. 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., PD and LGD) may differ as they reflect internal historical experiences and assumptions. The Firm generally considers internal ratings with qualitative characteristics equivalent to BBB-/Baa3 or higher as investment grade, and these ratings have a lower PD and/or lower LGD than non-investment grade ratings.


JPM Wholesale loan portfolio

Noninvestment-grade ratings are further classified as noncriticized and criticized, and the criticized portion is further subdivided into performing and nonaccrual loans, representing management’s assessment of the collectibility of principal and interest. Criticized loans have a higher PD than noncriticized loans. The Firm’s definition of criticized aligns with the U.S. banking regulatory definition of criticized exposures, which consist of special mention, substandard and doubtful categories. Refer to Note 1 for additional information.


JPM Wholesale loan portfolio

Risk ratings are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary for updated information affecting the obligor’s ability to fulfill its obligations.


JPM Wholesale loan portfolio

As noted above, the risk rating of a loan considers the industry in which the obligor conducts its operations. As part of the overall credit risk management framework, the Firm focuses on the management and diversification of its industry and client exposures, with particular attention paid to industries with an actual or potential credit concern. Refer to Note 4 for further detail on industry concentrations.


JPM Notes to consolidated financial statements

Internal risk rating is the primary credit quality indicator for retained wholesale loans. The following tables provide information on internal risk rating and gross charge-offs for the year ended December 31, 2023. December 31, (in millions, except ratios)########Secured by real estate############Commercial and industrial##############Other(b)##############Total retained loans###### ####2023######2022######2023########2022######2023########2022######2023########2022## Loans by risk ratings###################################################### Investment-grade##$##120,405####$##99,552####$##72,624######$##76,275####$##265,809######$##249,585####$##458,838######$##425,412## Noninvestment- grade:###################################################### Noncriticized####34,241######23,272######80,637########81,393######75,178########57,888######190,056########162,553## Criticized performing####7,291######3,662######12,684########8,974######1,257########1,106######21,232########13,742## Criticized nonaccrual####401######246######1,221########1,018######724########699######2,346########1,963## Total noninvestment- grade####41,933######27,180######94,542########91,385######77,159########59,693######213,634########178,258## Total retained loans(a)##$##162,338####$##126,732####$##167,166######$##167,660####$##342,968######$##309,278####$##672,472######$##603,670## % of investment-grade to total retained loans####74.17##%####78.55##%####43.44##%######45.49##%####77.50##%######80.70##%####68.23##%######70.47##% % of total criticized to total retained loans####4.74######3.08######8.32########5.96######0.58########0.58######3.51########2.60## % of criticized nonaccrual to total retained loans####0.25######0.19######0.73########0.61######0.21########0.23######0.35########0.33##


(a)As of December 31, 2023 included $33.8 billion of Secured by real estate loans, $3.0 billion of Commercial and industrial loans, and $17.1 billion of Other loans associated with First Republic.


(b)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. As of December 31, 2023, predominantly consisted of $106.9 billion to individuals and individual entities, $91.2 billion to SPEs, and $87.5 billion to financial institutions, Refer to Note 14 for more information on SPEs. ########################Secured by real estate############ (in millions)########################December 31, 2023############ ##############Term loans by origination year################Revolving loans###### ####2023####2022####2021####2020####2019####Prior to 2019####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##10,687##$##28,874##$##25,784##$##16,820##$##15,677##$##21,108##$##1,455##$##—##$##120,405 Noninvestment-grade####4,477####12,579####7,839####3,840####3,987####7,918####1,291####2####41,933 Total retained loans(a)##$##15,164##$##41,453##$##33,623##$##20,660##$##19,664##$##29,026##$##2,746##$##2##$##162,338 Gross charge-offs##$##20##$##48##$##22##$##—##$##23##$##78##$##—##$##1##$##192 ########################Secured by real estate############ (in millions)########################December 31, 2022############ ##############Term loans by origination year################Revolving loans###### ####2022####2021####2020####2019####2018####Prior to 2018####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##24,134##$##22,407##$##14,773##$##14,666##$##5,277##$##17,289##$##1,006##$##—##$##99,552 Noninvestment-grade####6,072####5,602####3,032####3,498####2,395####5,659####920####2####27,180 Total retained loans##$##30,206##$##28,009##$##17,805##$##18,164##$##7,672##$##22,948##$##1,926##$##2##$##126,732


(a)As of December 31, 2023 included $3.3 billion, $11.2 billion, $6.2 billion, $4.3 billion, $2.9 billion, and $5.1 billion of retained loans originated in 2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $838 million of revolving loans within the revolving period associated with First Republic.


JPM 250 JPMorgan Chase & Co./2023 Form 10-K

########################Commercial and industrial############ (in millions)########################December 31, 2023############ ##############Term loans by origination year################Revolving loans###### ####2023####2022####2021####2020####2019####Prior to 2019####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##14,875##$##10,642##$##4,276##$##2,291##$##1,030##$##1,115##$##38,394##$##1##$##72,624 Noninvestment-grade####18,890####16,444####9,299####1,989####1,144####1,006####45,696####74####94,542 Total retained loans(a)##$##33,765##$##27,086##$##13,575##$##4,280##$##2,174##$##2,121##$##84,090##$##75##$##167,166 Gross charge-offs##$##25##$##8##$##110##$##55##$##2##$##12##$##259##$##8##$##479 ########################Commercial and industrial############ (in millions)########################December 31, 2022############ ##############Term loans by origination year################Revolving loans###### ####2022####2021####2020####2019####2018####Prior to 2018####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##21,072##$##8,338##$##3,045##$##1,995##$##748##$##989##$##40,087##$##1##$##76,275 Noninvestment-grade####24,088####12,444####3,459####2,506####525####1,014####47,267####82####91,385 Total retained loans##$##45,160##$##20,782##$##6,504##$##4,501##$##1,273##$##2,003##$##87,354##$##83##$##167,660


(a)As of December 31, 2023, included $364 million, $568 million, $471 million, $212 million, $53 million, and $121 million of retained loans originated in 2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $1.2 billion of revolving loans within the revolving period and $12 million converted to term loans associated with First Republic. ########################Other(a)############ (in millions)########################December 31, 2023############ ##############Term loans by origination year################Revolving loans###### ####2023####2022####2021####2020####2019####Prior to 2019####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##38,338##$##18,034##$##10,033##$##10,099##$##3,721##$##6,662##$##176,728##$##2,194##$##265,809 Noninvestment-grade####14,054####8,092####6,169####2,172####811####2,001####43,801####59####77,159 Total retained loans(b)##$##52,392##$##26,126##$##16,202##$##12,271##$##4,532##$##8,663##$##220,529##$##2,253##$##342,968 Gross charge-offs##$##5##$##298##$##8##$##8##$##—##$##8##$##13##$##—##$##340 ########################Other(a)############ (in millions)########################December 31, 2022############ ##############Term loans by origination year################Revolving loans###### ####2022####2021####2020####2019####2018####Prior to 2018####Within the revolving period####Converted to term loans####Total Loans by risk ratings#################################### Investment-grade##$##32,121##$##15,864##$##13,015##$##4,529##$##2,159##$##7,251##$##171,049##$##3,597##$##249,585 Noninvestment-grade####16,829####7,096####1,821####699####451####475####32,240####82####59,693 Total retained loans##$##48,950##$##22,960##$##14,836##$##5,228##$##2,610##$##7,726##$##203,289##$##3,679##$##309,278


(a)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.


(b)As of December 31, 2023, included $610 million, $1.0 billion, $820 million, $1.1 billion, $244 million, and $1.4 billion of retained loans originated in 2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $11.8 billion of revolving loans within the revolving period and $56 million converted to term loans associated with First Republic.


The following table presents additional information on retained loans secured by real estate within the Wholesale portfolio, which consists of loans secured wholly or substantially by a lien or liens on real property at origination. Multifamily lending includes financing for acquisition, leasing and construction of apartment buildings. Other commercial lending largely includes financing for acquisition, leasing and construction, largely for office, retail and industrial real estate. Included in secured by real estate loans is $10.2 billion and $6.4 billion as of December 31, 2023 and 2022, respectively, of construction and development loans made to finance land development and on-site construction of commercial, industrial, residential, or farm buildings. December 31, (in millions, except ratios)########Multifamily############Other Commercial############Total retained loans secured by real estate###### ####2023######2022######2023######2022######2023########2022## Retained loans secured by real estate##$##100,725####$##79,139####$##61,613####$##47,593####$##162,338####(a)##$##126,732## Criticized####3,596######1,916######4,096######1,992######7,692########3,908## % of criticized to total retained loans secured by real estate####3.57##%####2.42##%####6.65##%####4.19##%####4.74##%######3.08##% Criticized nonaccrual##$##76####$##51####$##325####$##195####$##401######$##246## % of criticized nonaccrual loans to total retained loans secured by real estate####0.08##%####0.06##%####0.53##%####0.41##%####0.25##%######0.19##%


(a)Included $20.7 billion and $13.1 billion of Multifamily and Other commercial loans, respectively, associated with First Republic.


JPM Geographic distribution and delinquency

The following table provides information on the geographic distribution and delinquency for retained wholesale loans. ######Secured by real estate########Commercial and industrial########Other########Total retained loans## December 31, (in millions)####2023####2022####2023####2022####2023####2022####2023####2022 Loans by geographic distribution(a)(b)################################ Total U.S.##$##159,499##$##123,740##$##127,638##$##125,324##$##262,499##$##230,525##$##549,636##$##479,589 Total non-U.S.####2,839####2,992####39,528####42,336####80,469####78,753####122,836####124,081 Total retained loans##$##162,338##$##126,732##$##167,166##$##167,660##$##342,968##$##309,278##$##672,472##$##603,670 Loan delinquency################################ Current and less than 30 days past due and still accruing##$##161,314##$##126,083##$##164,899##$##165,415##$##341,128##$##307,511##$##667,341##$##599,009 30–89 days past due and still accruing####473####402####884####1,127####1,090####1,015####2,447####2,544 90 or more days past due and still accruing(c)####150####1####162####100####26####53####338####154 Criticized nonaccrual(c)####401####246####1,221####1,018####724####699####2,346####1,963 Total retained loans##$##162,338##$##126,732##$##167,166##$##167,660##$##342,968##$##309,278##$##672,472##$##603,670


(a)The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.


(b)Borrowers associated with First Republic are predominantly domiciled in the U.S.


(c)Represents loans that are considered well-collateralized and therefore still accruing interest.


JPM Nonaccrual loans

The following table provides information on retained wholesale nonaccrual loans. December 31, (in millions)######Secured by real estate########Commercial and industrial########Other########Total retained loans#### ####2023####2022####2023####2022####2023####2022####2023######2022 Nonaccrual loans################################## With an allowance##$##129##$##172##$##776##$##686##$##492##$##487##$##1,397####$##1,345 Without an allowance(a)####272####74####445####332####232####212####949######618 Total nonaccrual loans(b)##$##401##$##246##$##1,221##$##1,018##$##724##$##699##$##2,346####$##1,963


JPM Nonaccrual loans

(a)When the discounted cash flows or collateral value equals or exceeds the amortized cost of the loan, the loan does not require an allowance. This typically occurs when the loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.


JPM Nonaccrual loans

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


JPM Loan modifications

The Firm grants certain modifications of wholesale loans to borrowers experiencing financial difficulty, which effective January 1, 2023, are reported as FDMs.


JPM Financial effects of FDMs

The following tables provide information by loan class about modifications considered FDMs. (in millions)###### ##Year ended December 31, 2023#### ######Amortized cost basis Loan modification###### Single modifications###### Term extension####$##149 Other-than-insignificant payment deferral######3 Multiple modifications###### Interest rate reduction and term extension######3 Other-than-insignificant payment deferral and interest rate reduction######5 Total####$##160 (in millions)###### ##Year ended December 31, 2023#### ######Amortized cost basis Loan modification###### Single modifications###### Term extension####$##916 Other-than-insignificant payment deferral######402 Multiple modifications###### Other-than-insignificant payment deferral and term extension####$##35 Other-than-insignificant payment deferral and interest rate reduction and term extension######2 Term extension and principal forgiveness######7 Interest rate reduction and term extension######1 ####$##1,363


(in millions)###### ##Year ended December 31, 2023#### ######Amortized cost basis Loan modification###### Single modifications###### Interest rate reduction####$##9 Term extension######355 Multiple modifications###### Other-than-insignificant payment deferral and term extension######245 Total(a)####$##609


(a) Includes loans to nonprofits, financial institutions, and personal investment companies and trusts.


JPM Payment status of FDMs and redefaults

The following table provides information by loan class about the payment status of FDMs during the year ended December 31, 2023. ######Amortized cost basis#### ####Secured by real estate######Commercial and industrial (in millions)####Year ended December 31, 2023######Year ended December 31, 2023 Current and less than 30 days past due and still accruing##$##118####$##947 30-89 days past due and still accruing####2######42 Criticized nonaccrual####40######374 Total##$##160####$##1,363


The following table provides information by loan class about FDMs that re-defaulted during the year ended December 31, 2023. (in millions)######Amortized cost basis#### ####Secured by real estate######Commercial and industrial ####Year ended December 31, 2023######Year ended December 31, 2023 Loan modification########## Term extension##$##1####$##49 Other-than-insignificant payment deferral####2######— Interest rate reduction and term extension####3######1 Total(a)##$##6####$##50


(a)Represents FDMs that were 30 days or more past due.


As of December 31, 2023, additional unfunded commitments to lend to borrowers experiencing financial difficulty for Commercial and industrial and Other loan FDMs were $1.8 billion and $4 million, respectively. There were no additional unfunded commitments to lend to borrowers experiencing financial difficulties for Secured by real estate loan FDMs.


JPM Nature and extent of TDRs

Prior to January 1, 2023, certain loan modifications were considered TDRs. These loan modifications provided various concessions to borrower who were experiencing financial difficulty. Loans with short-term or other insignificant modifications that were not considered concessions were not TDRs nor were loans for which the Firm elected to suspend TDR accounting guidance under the option provided by the CARES Act.


JPM Nature and extent of TDRs

For the year ended December 31, 2022 and 2021, new TDRs were $801 million and $881 million, respectively. New TDRs for the year ended December 31, 2022 and 2021 reflected extended maturity dates and covenant waivers primarily in the Commercial and Industrial loan class. For the year ended December 31, 2022 and 2021, the impact of these modifications resulting in new TDRs was not material to the Firm.


JPM Nature and extent of TDRs

As a result of the elimination of the requirement to assess whether a modification is reasonably expected or involves a concession, the population of loans considered FDMs is greater than the population previously considered TDRs.


JPM Note 13 – Allowance for credit losses

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


The income statement effect of all changes in the allowance for credit losses is recognized in the provision for credit losses.


Determining the appropriateness of the allowance for credit losses is complex and requires significant judgment by management about the effect of matters that are inherently uncertain. At least quarterly, the allowance for credit losses is reviewed by the CRO, the CFO and the Controller of the Firm. Subsequent evaluations of credit exposures, considering the macroeconomic conditions, forecasts and other factors then prevailing, may result in significant changes in the allowance for credit losses in future periods.


The Firm’s policies used to determine its allowance for loan losses and its allowance for lending-related commitments are described in the following paragraphs. Refer to Note 10 for a description of the policies used to determine the allowance for credit losses on investment securities.


JPM Methodology for allowances for loan losses and lending-related commitments

The allowance for loan losses and allowance for lending-related commitments represents expected credit losses over the remaining expected life of retained loans and lending-related commitments that are not unconditionally cancellable. The Firm does not record an allowance for future draws on unconditionally cancellable lending-related commitments (e.g., credit cards). Expected losses related to accrued interest on credit card loans are considered in the Firm’s allowance for loan losses. However, the Firm does not record an allowance on other accrued interest receivables, due to its policy to write these receivables off no later than 90 days past due by reversing interest income.


The expected life of each instrument is determined by considering its contractual term, expected prepayments, cancellation features, and certain extension and call options. The expected life of funded credit card loans is generally estimated by considering expected future payments on the credit card account, and determining how much of those amounts should be allocated to repayments of the funded loan balance (as of the balance sheet date) versus other account activity. This allocation is made using


an approach that incorporates the payment application requirements of the Credit Card Accountability Responsibility and Disclosure Act of 2009, generally paying down the highest interest rate balances first.


The estimate of expected credit losses includes expected recoveries of amounts previously charged off or expected to be charged off, even if such recoveries result in a negative allowance.


JPM Collective and Individual Assessments

When calculating the allowance for loan losses and the allowance for lending-related commitments, the Firm assesses whether exposures share similar risk characteristics. If similar risk characteristics exist, the Firm estimates expected credit losses collectively, considering the risk associated with a particular pool and the probability that the exposures within the pool will deteriorate or default. The assessment of risk characteristics is subject to significant management judgment. Emphasizing one characteristic over another or considering additional characteristics could affect the allowance. •Relevant risk characteristics for the consumer portfolio include product type, delinquency status, current FICO scores, geographic distribution, and, for collateralized loans, current LTV ratios. •Relevant risk characteristics for the wholesale portfolio include risk rating, delinquency status, tenor, level and type of collateral, LOB, geography, industry, credit enhancement, product type, facility purpose, and payment terms.


The majority of the Firm’s credit exposures share risk characteristics with other similar exposures, and as a result are collectively assessed for impairment (“portfolio-based component”). The portfolio-based component covers consumer loans, performing risk-rated loans and certain lending-related commitments.


If an exposure does not share risk characteristics with other exposures, the Firm generally estimates expected credit losses on an individual basis, considering expected repayment and conditions impacting that individual exposure (“asset-specific component”). The asset-specific component covers collateral-dependent loans and risk-rated loans that have been placed on nonaccrual status.


JPM Portfolio-based component

The portfolio-based component begins with a quantitative calculation that considers the likelihood of the borrower changing delinquency status or moving from one risk rating to another. The quantitative calculation covers expected credit losses over an instrument’s expected life and is estimated by applying credit loss factors to the Firm’s estimated exposure at default. The credit loss factors incorporate the probability of borrower default as well as loss severity in the event of default. They are derived using a weighted average of five internally developed macroeconomic scenarios over an eight-quarter forecast period, followed by a single year straight-line interpolation


to revert to long run historical information for periods beyond the eight-quarter forecast period. The five macroeconomic scenarios consist of a central, relative adverse, extreme adverse, relative upside and extreme upside scenario, and are updated by the Firm’s central forecasting team. The scenarios take into consideration the Firm’s macroeconomic outlook, internal perspectives from subject matter experts across the Firm, and market consensus and involve a governed process that incorporates feedback from senior management across LOBs, Corporate Finance and Risk Management.


The quantitative calculation is adjusted to take into consideration model imprecision, emerging risk assessments, trends and other subjective factors that are not yet reflected in the calculation. These adjustments are accomplished in part by analyzing the historical loss experience, including during stressed periods, for each major product or model. Management applies judgment in making this adjustment, including taking into account uncertainties associated with the economic and political conditions, quality of underwriting standards, borrower behavior, credit concentrations or deterioration within an industry, product or portfolio, as well as other relevant internal and external factors affecting the credit quality of the portfolio. In certain instances, the interrelationships between these factors create further uncertainties.


The application of different inputs into the quantitative calculation, and the assumptions used by management to adjust the quantitative calculation, are 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 loan losses and the allowance for lending-related commitments.


JPM Asset-specific component

To determine the asset-specific component of the allowance, collateral-dependent loans (including those loans for which foreclosure is probable) and nonaccrual risk-rated loans in the wholesale portfolio segment are generally evaluated individually.


JPM Asset-specific component

On January 1, 2023 the Firm adopted the Financial Instruments - Credit Losses: Troubled Debt Restructurings accounting guidance as described in Note 1.


JPM Asset-specific component

The adoption of this guidance eliminated the requirement to measure the allowance for TDRs using a discounted cash flow (DCF) methodology and allowed the option of a non-DCF portfolio-based approach for modified loans to borrowers experiencing financial difficulty. If a DCF methodology is still applied for these modified loans, the discount rate must be the post-modification effective interest rate, instead of the pre-modification effective interest rate.


JPM Asset-specific component

The Firm elected to change from an asset-specific allowance approach to its non-DCF, portfolio-based allowance approach for modified loans to troubled borrowers for all portfolios except collateral-dependent loans and nonaccrual


JPM Asset-specific component

risk-rated loans, for which the asset-specific allowance approach will continue to apply. The adoption did not impact the collateral-dependent allowance approach or scope.


JPM Asset-specific component

This guidance was adopted under the modified retrospective method which resulted in a net decrease to the allowance for credit losses of $587 million and an increase to retained earnings of $446 million, after-tax predominantly driven by residential real estate and credit card.


JPM Asset-specific component

For collateral-dependent loans, the fair value of collateral less estimated costs to sell, as applicable, is used to determine the charge-off amount for declines in value (to reduce the amortized cost of the loan to the fair value of collateral) or the amount of negative allowance that should be recognized (for recoveries of prior charge-offs associated with improvements in the fair value of the collateral).


JPM Asset-specific component

For non-collateral dependent loans, the Firm generally measures the asset-specific allowance as the difference between the amortized cost of the loan and the present value of the cash flows expected to be collected, discounted at the loan’s effective interest rate. Subsequent changes in impairment are generally recognized as an adjustment to the allowance for loan losses. The asset-specific component of the allowance for non-collateral dependent loans incorporates the effect of the modification on the loan’s expected cash flows including changes in interest rates, principal forgiveness, and other concessions, as well as management’s expectation of the borrower’s ability to repay under the modified terms.


JPM Asset-specific component

Estimating the timing and amounts of future cash flows is highly judgmental as these cash flow projections rely upon estimates such as loss severities, asset valuations, the amounts and timing of interest or principal payments (including any expected prepayments) or other factors that are reflective of current and expected market conditions. These estimates are, in turn, dependent on factors such as the duration of current overall economic conditions, industry, portfolio, or borrower-specific factors, the expected outcome of insolvency proceedings as well as, in certain circumstances, other economic factors. All of these estimates and assumptions require significant management judgment and certain assumptions are highly subjective.


JPM Other financial assets

In addition to loans and investment securities, the Firm holds other financial assets that are measured at amortized cost on the Consolidated balance sheets, including credit exposures arising from lending activities subject to collateral maintenance requirements. Management estimates the allowance for other financial assets using various techniques considering historical losses and current economic conditions.


JPM Other financial assets

Credit risk arising from lending activities subject to collateral maintenance requirements is generally mitigated by factors such as the short-term nature of the activity, the


JPM 256 JPMorgan Chase & Co./2023 Form 10-K

fair value of collateral held and the Firm’s right to call for, and the borrower’s obligation to provide additional margin when the fair value of the collateral declines. Because of these mitigating factors, these exposures generally do not require an allowance for credit losses. However, management may also consider other factors such as the borrower’s ongoing ability to provide collateral to satisfy margin requirements, or whether collateral is significantly concentrated in an individual issuer or in securities with similar risk characteristics. If in management’s judgment, an allowance for credit losses for these exposures is required, the Firm estimates expected credit losses based on the value of the collateral and probability of borrower default.


JPM Allowance for credit losses and related information

The table below summarizes information about the allowances for credit losses, and includes a breakdown of loans and lending-related commitments by impairment methodology. Refer to Note 10 for further information on the allowance for credit losses on investment securities. (Table continued on next page)################## ##########2023######## Year ended December 31, (in millions)####Consumer, excluding credit card####Credit card######Wholesale####Total Allowance for loan losses################## Beginning balance at January 1,##$##2,040##$##11,200####$##6,486##$##19,726 Cumulative effect of a change in accounting principle(a)####(489)####(100)######2####(587) Gross charge-offs####1,151####5,491######1,011####7,653 Gross recoveries collected####(519)####(793)######(132)####(1,444) Net charge-offs####632####4,698######879####6,209 Provision for loan losses####936####6,048######2,484####9,468 Other####1####—######21####22 Ending balance at December 31,##$##1,856##$##12,450####$##8,114##$##22,420 Allowance for lending-related commitments################## Beginning balance at January 1,##$##76##$##—####$##2,306##$##2,382 Cumulative effect of a change in accounting principle(a)####—####NA######—####NA Provision for lending-related commitments####(1)####—######(407)####(408) Other####—####—######—####— Ending balance at December 31,##$##75##$##—####$##1,899##$##1,974 Total allowance for investment securities####NA####NA######NA##$##128 Total allowance for credit losses(b)(c)##$##1,931##$##12,450####$##10,013##$##24,522 Allowance for loan losses by impairment methodology################## Asset-specific(d)##$##(876)##$##—####$##392##$##(484) Portfolio-based####2,732####12,450######7,722####22,904 Total allowance for loan losses##$##1,856##$##12,450####$##8,114##$##22,420 Loans by impairment methodology################## Asset-specific(d)##$##3,287##$##—####$##2,338##$##5,625 Portfolio-based####393,988####211,123######670,134####1,275,245 Total retained loans##$##397,275##$##211,123####$##672,472##$##1,280,870 Collateral-dependent loans################## Net charge-offs##$##6##$##—####$##180##$##186 Loans measured at fair value of collateral less cost to sell####3,216####—######1,012####4,228 Allowance for lending-related commitments by impairment methodology################## Asset-specific##$##—##$##—####$##89##$##89 Portfolio-based####75####—######1,810####1,885 Total allowance for lending-related commitments(e)##$##75##$##—####$##1,899##$##1,974 Lending-related commitments by impairment methodology################## Asset-specific##$##—##$##—####$##464##$##464 Portfolio-based(f)####28,248####—######516,577####544,825 Total lending-related commitments##$##28,248##$##—####$##517,041##$##545,289


(a)Represents the impact to the allowance for loan losses upon the adoption of the Financial Instruments - Credit Losses: Troubled Debt Restructurings accounting guidance. Refer to Note 1 for further information.


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


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


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


(e)The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.


(f)At December 31, 2023, 2022 and 2021, lending-related commitments excluded $17.2 billion, $13.1 billion and $15.7 billion, respectively, for the consumer, excluding credit card portfolio segment; $915.7 billion, $821.3 billion and $730.5 billion, respectively, for the credit card portfolio segment; and $19.7 billion, $9.8 billion and $32.1 billion, respectively, for the wholesale portfolio segment, which were not subject to the allowance for lending-related commitments.


JPM 258 JPMorgan Chase & Co./2023 Form 10-K

######(table continued from previous page)############################## ########2022####################2021######## ##Consumer, excluding credit card####Credit card######Wholesale####Total######Consumer, excluding credit card####Credit card######Wholesale####Total $##1,765##$##10,250####$##4,371##$##16,386####$##3,636##$##17,800####$##6,892##$##28,328 ##NA####NA######NA####NA######NA####NA######NA####NA ##812####3,192######322####4,326######630####3,651######283####4,564 ##(543)####(789)######(141)####(1,473)######(619)####(939)######(141)####(1,699) ##269####2,403######181####2,853######11####2,712######142####2,865 ##543####3,353######2,293####6,189######(1,858)####(4,838)######(2,375)####(9,071) ##1####—######3####4######(2)####—######(4)####(6) $##2,040##$##11,200####$##6,486##$##19,726####$##1,765##$##10,250####$##4,371##$##16,386 $##113##$##—####$##2,148##$##2,261####$##187##$##—####$##2,222##$##2,409 ##NA####NA######NA####NA######NA####NA######NA####NA ##(37)####—######157####120######(75)####—######(74)####(149) ##—####—######1####1######1####—######—####1 $##76##$##—####$##2,306##$##2,382####$##113##$##—####$##2,148##$##2,261 ##NA####NA######NA##$####96####NA####NA######NA##$##42 $##2,116##$##11,200####$##8,792##$##22,204####$##1,878##$##10,250####$##6,519##$##18,689 $##(624)##$##223####$##467##$##66####$##(665)##$##313####$##263##$##(89) ##2,664####10,977######6,019####19,660######2,430####9,937######4,108####16,475 $##2,040##$##11,200####$##6,486##$##19,726####$##1,765##$##10,250####$##4,371##$##16,386 $##11,978##$##796####$##2,189##$##14,963####$##13,919##$##987####$##2,255##$##17,161 ##288,775####184,379######601,481####1,074,635######281,637####153,309######558,099####993,045 $##300,753##$##185,175####$##603,670##$##1,089,598####$##295,556##$##154,296####$##560,354##$##1,010,206 $##(33)##$##—####$##16##$##(17)####$##33##$##—####$##38##$##71 ##3,585####—######464####4,049######4,472####—######617####5,089 $##—##$##—####$##90##$##90####$##—##$##—####$##167##$##167 ##76####—######2,216####2,292######113####—######1,981####2,094 $##76##$##—####$##2,306##$##2,382####$##113##$##—####$##2,148##$##2,261 $##—##$##—####$##455##$##455####$##—##$##—####$##764##$##764 ##20,423####—######461,688####482,111######29,588####—######453,571####483,159 $##20,423##$##—####$##462,143##$##482,566####$##29,588##$##—####$##454,335##$##483,923


JPM Discussion of changes in the allowance

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


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


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


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


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


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


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


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


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


JPM Subsequent changes to this forecast and related estimates

will be reflected in the provision for credit losses in future


periods.


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


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


JPM Note 14 – Variable interest entities

Refer to Note 1 on page 171 for a further description of the Firm’s accounting policies regarding consolidation of and involvement with VIEs.


The following table summarizes the most significant types of Firm-sponsored VIEs by business segment. The Firm considers a “Firm-sponsored” VIE to include any entity where: (1) JPMorgan Chase is the primary beneficiary of the structure; (2) the VIE is used by JPMorgan Chase to securitize Firm assets; (3) the VIE issues financial instruments with the JPMorgan Chase name; or (4) the entity is a JPMorgan Chase–administered asset-backed commercial paper conduit. Line of Business##Transaction Type##Activity##2023 Form 10-K page references CCB##Credit card securitization trusts##Securitization of originated credit card receivables##pages 261–262 ##Mortgage securitization trusts##Servicing and securitization of both originated and purchased residential mortgages##pages 262–264 CIB##Mortgage and other securitization trusts##Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans##pages 262–264 ##Multi-seller conduits##Assisting clients in accessing the financial markets in a cost-efficient manner and structuring transactions to meet investor needs##page 264 ##Municipal bond vehicles##Financing of municipal bond investments##pages 264–265


The Firm’s other business segments are also involved with VIEs (both third-party and Firm-sponsored), but to a lesser extent, as follows: •Asset & Wealth Management: AWM sponsors and manages certain funds that are deemed VIEs. As asset manager of the funds, AWM earns a fee based on assets managed; the fee varies with each fund’s investment objective and is competitively priced. For fund entities that qualify as VIEs, AWM’s interests are, in certain cases, considered to be significant variable interests that result in consolidation of the financial results of these entities. •Commercial Banking: CB provides financing and lending-related services to a wide spectrum of clients, including certain third-party-sponsored entities that may meet the definition of a VIE. CB does not control the activities of these entities and does not consolidate these entities. CB’s maximum loss exposure, regardless of whether the entity is a VIE, is generally limited to loans and lending-related commitments which are reported and disclosed in the same manner as any other third-party transaction. •Corporate: Corporate is involved with entities that may meet the definition of VIEs; however these entities are generally subject to specialized investment company accounting, which does not require the consolidation of investments, including VIEs. In addition, Treasury and CIO invest in securities generally issued by third parties which may meet the definition of VIEs (e.g., issuers of asset-backed securities). In general, the Firm does not have the power to direct the significant activities of these entities and therefore does not consolidate these entities. Refer to Note 10 for further information on the Firm’s investment securities portfolio.


In addition, CIB also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to page 266 of this Note for more information on the VIEs sponsored by third parties.


JPM Credit card securitizations

CCB’s Card Services business may securitize originated credit card loans, primarily through the Chase Issuance Trust (the “Trust”). The Firm’s continuing involvement in credit card securitizations includes servicing the receivables, retaining an undivided seller’s interest in the receivables, retaining certain senior and subordinated securities and maintaining escrow accounts.


JPM Credit card securitizations

The Firm consolidates the assets and liabilities of its sponsored credit card trusts as it is considered to be the primary beneficiary of these securitization trusts based on the Firm’s ability to direct the activities of these VIEs through its servicing responsibilities and other duties, including making decisions as to the receivables that are transferred into those trusts and as to any related modifications and workouts. Additionally, the nature and extent of the Firm’s other continuing involvement with the


JPM Credit card securitizations

trusts, as indicated above, obligates the Firm to absorb losses and gives the Firm the right to receive certain benefits from these VIEs that could potentially be significant.


JPM Credit card securitizations

The underlying securitized credit card receivables and other assets of the securitization trusts are available only for payment of the beneficial interests issued by the securitization trusts; they are not available to pay the Firm’s other obligations or the claims of the Firm’s creditors.


JPM Credit card securitizations

The agreements with the credit card securitization trusts require the Firm to maintain a minimum undivided interest in the credit card trusts (generally 5%). As of December 31, 2023 and 2022, the Firm held undivided interests in Firm-sponsored credit card securitization trusts of $4.9 billion and $6.1 billion, respectively. The Firm maintained an average undivided interest in principal receivables owned by those trusts of approximately 65%


and 62% for the years ended December 31, 2023 and 2022, respectively. The Firm did not retain any senior securities and retained $1.5 billion of subordinated securities in certain of its credit card securitization trusts at both December 31, 2023 and 2022. The Firm’s undivided interests in the credit card trusts and securities retained are eliminated in consolidation.


JPM Firm-sponsored mortgage and other securitization trusts

The Firm securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans primarily in its CCB and CIB businesses. Depending on the particular transaction, as well as the respective business involved, the Firm may act as the servicer of the loans and/or retain certain beneficial interests in the securitization trusts.


The following tables present the total unpaid principal amount of assets held in Firm-sponsored private-label securitization entities, including those in which the Firm has continuing involvement, and those that are consolidated by the Firm. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. The Firm’s maximum loss exposure from retained and purchased interests is the carrying value of these interests. ########Principal amount outstanding##############JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)###### December 31, 2023 (in millions)####Total assets held by securitization VIEs####Assets held in consolidated securitization VIEs####Assets held in nonconsolidated securitization VIEs with continuing involvement####Trading assets####Investment securities####Other financial assets####Total interests held by JPMorgan Chase Securitization-related(a)############################ Residential mortgage:############################ Prime/Alt-A and option ARMs##$##58,570##$##675##$##39,319##$##595##$##1,981##$##60##$##2,636 Subprime####8,881####—####1,312####3####—####—####3 Commercial and other(b)####168,042####—####120,262####831####5,638####1,354####7,823 Total##$##235,493##$##675##$##160,893##$##1,429##$##7,619##$##1,414##$##10,462 ########Principal amount outstanding##############JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)###### December 31, 2022 (in millions)####Total assets held by securitization VIEs####Assets held in consolidated securitization VIEs####Assets held in nonconsolidated securitization VIEs with continuing involvement####Trading assets####Investment securities####Other financial assets####Total interests held by JPMorgan Chase Securitization-related(a)############################ Residential mortgage:############################ Prime/Alt-A and option ARMs##$##55,362##$##754##$##37,058##$##744##$##1,918##$##—##$##2,662 Subprime####9,709####—####1,743####10####—####—####10 Commercial and other(b)####164,915####—####127,037####888####5,373####670####6,931 Total##$##229,986##$##754##$##165,838##$##1,642##$##7,291##$##670##$##9,603


(a)Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored.


(b)Consists of securities backed by commercial real estate loans and non-mortgage-related consumer receivables.


(c)Excludes the following: retained servicing; securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities; senior securities of $52 million and $134 million at December 31, 2023 and 2022, respectively, and subordinated securities were not material for both December 31, 2023 and 2022, which the Firm purchased in connection with CIB’s secondary market-making activities.


(d)Includes interests held in re-securitization transactions.


(e)As of December 31, 2023 and 2022, 77% and 84%, respectively, of the Firm’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $2.5 billion and $2.6 billion of investment-grade retained interests at December 31, 2023 and 2022, respectively, and $88 million and $27 million of noninvestment-grade retained interests at December 31, 2023 and 2022, respectively. The retained interests in commercial and other securitization trusts consisted of $6.1 billion and $5.8 billion of investment-grade retained interests, and $1.7 billion and $1.1 billion of noninvestment-grade retained interests at December 31, 2023 and 2022, respectively.


JPM Residential mortgage

The Firm securitizes residential mortgage loans originated by CCB, as well as residential mortgage loans purchased from third parties by either CCB or CIB. CCB generally retains servicing for all residential mortgage loans it originated or purchased, and for certain mortgage loans purchased by CIB. For securitizations of loans serviced by CCB, the Firm has the power to direct the significant activities of the VIE because it is responsible for decisions related to loan modifications and workouts. CCB may also retain an interest upon securitization.


JPM Residential mortgage

In addition, CIB engages in underwriting and trading activities involving securities issued by Firm-sponsored securitization trusts. As a result, CIB at times retains senior and/or subordinated interests (including residual interests and amounts required to be held pursuant to credit risk retention rules) in residential mortgage securitizations at the time of securitization, and/or reacquires positions in the secondary market in the normal course of business. In certain instances, as a result of the positions retained or reacquired by CIB or held by Treasury and CIO or CCB, when considered together with the servicing arrangements entered into by CCB, the Firm is deemed to be the primary beneficiary of certain securitization trusts.


JPM Residential mortgage

The Firm does not consolidate residential mortgage securitizations (Firm-sponsored or third-party-sponsored) when it is not the servicer (and therefore does not have the power to direct the most significant activities of the trust) or does not hold a beneficial interest in the trust that could potentially be significant to the trust.


JPM Commercial mortgages and other consumer securitizations

CIB originates and securitizes commercial mortgage loans, and engages in underwriting and trading activities involving the securities issued by securitization trusts. CIB may retain unsold senior and/or subordinated interests (including amounts required to be held pursuant to credit risk retention rules) in commercial mortgage securitizations at the time of securitization but, generally, the Firm does not service commercial loan securitizations. Treasury and CIO may choose to invest in these securitizations as well. For commercial mortgage securitizations the power to direct the significant activities of the VIE generally is held by the servicer or investors in a specified class of securities (“controlling class”). The Firm generally does not retain an interest in the controlling class in its sponsored commercial mortgage securitization transactions.


JPM Re-securitizations

The Firm engages in certain re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. These transfers occur in connection with both U.S. GSEs and government agency sponsored VIEs, which are backed by residential mortgages. The Firm’s consolidation analysis is largely dependent on the Firm’s role and interest in the re-securitization trusts.


JPM Re-securitizations

The following table presents the principal amount of securities transferred to re-securitization VIEs. Year ended December 31, (in millions)####2023####2022####2021 Transfers of securities to VIEs############ U.S. GSEs and government agencies##$##18,864##$##16,128##$##53,923


JPM Re-securitizations

Most re-securitizations with which the Firm is involved are client-driven transactions in which a specific client or group of clients is seeking a specific return or risk profile. For these transactions, the Firm has concluded that the decision-making power of the entity is shared between the Firm and its clients, considering the joint effort and decisions in establishing the re-securitization trust and its assets, as well as the significant economic interest the client holds in the re-securitization trust; therefore the Firm does not consolidate the re-securitization VIE.


JPM Re-securitizations

The Firm did not transfer any private label securities to re-securitization VIEs during 2023, 2022 and 2021, and retained interests in any such Firm-sponsored VIEs as of December 31, 2023 and 2022 were not material.


JPM Re-securitizations

Additionally, the Firm may invest in beneficial interests of third-party-sponsored re-securitizations and generally purchases these interests in the secondary market. In these circumstances, the Firm does not have the unilateral ability to direct the most significant activities of the re-securitization trust, either because it was not involved in the initial design of the trust, or the Firm was involved with an independent third-party sponsor and demonstrated shared power over the creation of the trust; therefore, the Firm does not consolidate the re-securitization VIE.


The following table presents information on the Firm's interests in nonconsolidated re-securitization VIEs. ######Nonconsolidated re-securitization VIEs#### December 31, (in millions)####2023######2022 U.S. GSEs and government agencies########## Interest in VIEs##$##3,371####$##2,580


As of December 31, 2023 and 2022, the Firm did not consolidate any U.S. GSE and government agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs.


JPM Multi-seller conduits

Multi-seller conduit entities are separate bankruptcy remote entities that provide secured financing, collateralized by pools of receivables and other financial assets, to customers of the Firm. The conduits fund their financing facilities through the issuance of highly rated commercial paper. The primary source of repayment of the commercial paper is the cash flows from the pools of assets. In most instances, the assets are structured with deal-specific credit enhancements provided to the conduits by the customers (i.e., sellers) or other third parties. Deal-specific credit enhancements are generally structured to cover a multiple of historical losses expected on the pool of assets, and are typically in the form of overcollateralization provided by the seller. The deal-specific credit enhancements mitigate the Firm’s potential losses on its agreements with the conduits.


JPM Multi-seller conduits

To ensure timely repayment of the commercial paper, and to provide the conduits with funding to provide financing to customers in the event that the conduits do not obtain funding in the commercial paper market, each asset pool financed by the conduits has a minimum 100% deal-specific liquidity facility associated with it provided by JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. also provides the multi-seller conduit vehicles with uncommitted program-wide liquidity facilities and program-wide credit enhancement in the form of standby letters of credit. The amount of program-wide credit enhancement required is based upon commercial paper issuance and approximates 10% of the outstanding balance of commercial paper.


JPM Multi-seller conduits

The Firm consolidates its Firm-administered multi-seller conduits, as the Firm has both the power to direct the significant activities of the conduits and a potentially significant economic interest in the conduits. As administrative agent and in its role in structuring transactions, the Firm makes decisions regarding asset types and credit quality, and manages the commercial paper funding needs of the conduits. The Firm’s interests that could potentially be significant to the VIEs include the fees received as administrative agent and liquidity and program-wide credit enhancement provider, as well as the potential exposure created by the liquidity and credit enhancement facilities provided to the conduits.


JPM Multi-seller conduits

In the normal course of business, JPMorgan Chase makes markets in and invests in commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $9.8 billion and $13.8 billion of the commercial paper issued by the Firm-administered multi-seller conduits at December 31, 2023 and 2022, respectively, which have been eliminated in consolidation. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. Other than the amounts required to be held pursuant to credit risk retention rules, the Firm is not obligated under any agreement to purchase the commercial paper issued by the Firm-administered multi-seller conduits.


JPM Multi-seller conduits

Deal-specific liquidity facilities, program-wide liquidity and credit enhancement provided by the Firm have been eliminated in consolidation. The Firm or the Firm-administered multi-seller conduits provide lending-related commitments to certain clients of the Firm-administered multi-seller conduits. The unfunded commitments were $10.8 billion and $10.6 billion at December 31, 2023 and 2022, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 28 for more information on off-balance sheet lending-related commitments.


JPM Municipal bond vehicles

Municipal bond vehicles or tender option bond (“TOB”) trusts allow institutions to finance their municipal bond investments at short-term rates. In a typical TOB transaction, the trust purchases highly rated municipal bond(s) of a single issuer and funds the purchase by issuing two types of securities: (1) puttable floating-rate certificates (“floaters”) and (2) inverse floating-rate residual interests (“residuals”). The floaters are typically purchased by money market funds or other short-term investors and may be tendered, with requisite notice, to the TOB trust. The residuals are retained by the investor seeking to finance its municipal bond investment. TOB transactions where the residual is held by a third-party investor are typically known as customer TOB trusts, and non-customer TOB trusts are transactions where the Residual is retained by the Firm. Customer TOB trusts are sponsored by a third party. The Firm serves as sponsor for all non-customer TOB transactions. The Firm may provide various services to a TOB trust, including remarketing agent, liquidity or tender option provider, and/or sponsor.


JPM Municipal bond vehicles

J.P. Morgan Securities LLC may serve as a remarketing agent on the floaters for TOB trusts. The remarketing agent is responsible for establishing the periodic variable rate on the floaters, conducting the initial placement and remarketing tendered floaters. The remarketing agent may, but is not obligated to, make markets in floaters. Floaters held by the Firm were not material during 2023 and 2022.


JPM Municipal bond vehicles

JPMorgan Chase Bank, N.A. or J.P. Morgan Securities LLC often serves as the sole liquidity or tender option provider for the TOB trusts. The liquidity provider’s obligation to perform is conditional and is limited by certain events


JPM 264 JPMorgan Chase & Co./2023 Form 10-K

(“Termination Events”), which include bankruptcy or failure to pay by the municipal bond issuer or credit enhancement provider, an event of taxability on the municipal bonds or the immediate downgrade of the municipal bond to below investment grade. In addition, the liquidity provider’s exposure is typically further limited by the high credit quality of the underlying municipal bonds, the excess collateralization in the vehicle, or, in certain transactions, the reimbursement agreements with the Residual holders.


Holders of the floaters may “put,” or tender, their floaters to the TOB trust. If the remarketing agent cannot successfully remarket the floaters to another investor, the


liquidity provider either provides a loan to the TOB trust for the TOB trust’s purchase of the floaters, or it directly purchases the tendered floaters.


TOB trusts are considered to be variable interest entities. The Firm consolidates non-customer TOB trusts because as the Residual holder, the Firm has the right to make decisions that significantly impact the economic performance of the municipal bond vehicle, and it has the right to receive benefits and bear losses that could potentially be significant to the municipal bond vehicle.


JPM Consolidated VIE assets and liabilities

The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of December 31, 2023 and 2022. ##########Assets################Liabilities#### December 31, 2023 (in millions)####Trading assets####Loans######Other(b)####Total  assets(c)####Beneficial interests in  VIE assets(d)####Other(e)####Total liabilities VIE program type############################## Firm-sponsored credit card trusts##$##—##$##9,460####$##117##$##9,577##$##2,998##$##6##$##3,004 Firm-administered multi-seller conduits####1####27,372######194####27,567####17,781####30####17,811 Municipal bond vehicles####2,056####—######22####2,078####2,116####11####2,127 Mortgage securitization entities(a)####—####693######8####701####125####57####182 Other####113####86######250####449####—####159####159 Total##$##2,170##$##37,611####$##591##$##40,372##$##23,020##$##263##$##23,283 ##########Assets################Liabilities#### December 31, 2022 (in millions)####Trading assets####Loans######Other(b)####Total  assets(c)####Beneficial interests in  VIE assets(d)####Other(e)####Total liabilities VIE program type############################## Firm-sponsored credit card trusts##$##—##$##9,699####$##100##$##9,799##$##1,999##$##2##$##2,001 Firm-administered multi-seller conduits####—####22,819######170####22,989####9,236####39####9,275 Municipal bond vehicles####2,089####—######7####2,096####1,232####10####1,242 Mortgage securitization entities(a)####—####781######10####791####143####67####210 Other####62####1,112##(f)####263####1,437####—####161####161 Total##$##2,151##$##34,411####$##550##$##37,112##$##12,610##$##279##$##12,889


(a)Includes residential mortgage securitizations.


(b)Includes assets classified as cash and other assets on the Consolidated balance sheets.


(c)The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.


(d)The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated VIEs”. The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $3.1 billion and $2.1 billion at December 31, 2023 and 2022, respectively.


(e)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.


(f)Primarily includes purchased supply chain finance receivables and purchased auto loan securitizations in CIB.


JPM VIEs sponsored by third parties

The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.


JPM Tax credit vehicles

The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that own and operate affordable housing, energy, and other projects. These entities are primarily considered VIEs. A third party is typically the general partner or managing member and has control over the significant activities of the tax credit vehicles, and accordingly the Firm does not consolidate tax credit vehicles. The Firm generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits allocated to the projects. The maximum loss exposure, represented by equity investments and funding commitments, was $35.1 billion and $30.2 billion, of which $14.7 billion and $10.6 billion was unfunded at December 31, 2023 and 2022, respectively. The Firm assesses each project and to reduce the risk of loss, may withhold varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 25 for further information on affordable housing tax credits and Note 28 for more information on off-balance sheet lending-related commitments.


JPM Customer municipal bond vehicles (TOB trusts)

The Firm may provide various services to customer TOB trusts, including remarketing agent, liquidity or tender option provider. In certain customer TOB transactions, the Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder. In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate customer TOB trusts, since the Firm does not have the power to make decisions that significantly impact the economic performance of the municipal bond vehicle.


The Firm’s maximum exposure as a liquidity provider to customer TOB trusts at December 31, 2023 and 2022, was $5.1 billion and $5.8 billion, respectively. The fair value of assets held by such VIEs at December 31, 2023 and 2022 was $7.3 billion and $8.2 billion respectively.


JPM Loan securitizations

The Firm has securitized and sold a variety of loans, including residential mortgages, credit card receivables, commercial mortgages and other consumer loans. The purposes of these securitization transactions were to satisfy investor demand and to generate liquidity for the Firm.


JPM Loan securitizations

For loan securitizations in which the Firm is not required to consolidate the trust, the Firm records the transfer of the loan receivable to the trust as a sale when all of the following accounting criteria for a sale are met: (1) the transferred financial assets are legally isolated from the Firm’s creditors; (2) the transferee or beneficial interest holder can pledge or exchange the transferred financial assets; and (3) the Firm does not maintain effective control over the transferred financial assets (e.g., the Firm cannot repurchase the transferred assets before their maturity and it does not have the ability to unilaterally cause the holder to return the transferred assets).


JPM Loan securitizations

For loan securitizations accounted for as a sale, the Firm recognizes a gain or loss based on the difference between the value of proceeds received (including cash, beneficial interests, or servicing assets received) and the carrying value of the assets sold. Gains and losses on securitizations are reported in noninterest revenue.


JPM Securitization activity

The following table provides information related to the Firm’s securitization activities for the years ended December 31, 2023, 2022 and 2021, related to assets held in Firm-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved at the time of the securitization. ######2023########2022########2021## Year ended December 31, (in millions)####Residential mortgage(d)####Commercial and other(e)####Residential mortgage(d)####Commercial and other(e)####Residential mortgage(d)####Commercial and other(e) Principal securitized##$##7,678##$##3,901##$##10,218##$##9,036##$##23,876##$##14,917 All cash flows during the period:(a)######################## Proceeds received from loan sales as financial instruments(b)(c)##$##7,251##$##3,896##$##9,783##$##8,921##$##24,450##$##15,044 Servicing fees collected####24####5####62####2####153####1 Cash flows received on interests####325####425####489####285####578####273


JPM Securitization activity

(a)Excludes re-securitization transactions.


JPM Securitization activity

(b)Predominantly includes Level 2 assets.


JPM Securitization activity

(c)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.


JPM Securitization activity

(d)Represents prime mortgages. Excludes loan securitization activity related to U.S. GSEs and government agencies.


JPM Securitization activity

(e)Includes commercial mortgage and other consumer loans.


JPM Securitization activity

Key assumptions used to value retained interests originated during the year are shown in the table below. Year ended December 31,##2023######2022####2021## ######Residential mortgage retained interest:######## Weighted-average life (in years)##9.6######10.8####3.9## Weighted-average discount rate##4.8##%####4.0##%##3.3##% ##Commercial mortgage retained interest:############ Weighted-average life (in years)##3.0######5.9####6.0## Weighted-average discount rate##4.6##%####2.9##%##1.2##%


JPM Securitization activity

Loans and excess MSRs sold to U.S. government-sponsored enterprises and loans in securitization transactions pursuant to Ginnie Mae guidelines


JPM Securitization activity

In addition to the amounts reported in the securitization activity tables above, the Firm, in the normal course of business, sells originated and purchased mortgage loans and certain originated excess MSRs on a nonrecourse basis, predominantly to U.S. GSEs. These loans and excess MSRs are sold primarily for the purpose of securitization by the U.S. GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). The Firm also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. The Firm does not consolidate the securitization vehicles underlying these transactions as it is not the primary beneficiary. For a limited number of loan sales, the Firm is obligated to share a portion of the credit risk associated with the sold loans with the purchaser. Refer to Note 28 for additional information about the Firm’s loan sales- and securitization-related indemnifications and Note 15 for additional information about the impact of the Firm’s sale of certain excess MSRs.


JPM Notes to consolidated financial statements

The following table summarizes the activities related to loans sold to the U.S. GSEs, and loans in securitization transactions pursuant to Ginnie Mae guidelines. Year ended December 31, (in millions)####2023####2022####2021 Carrying value of loans sold##$##19,906##$##48,891##$##105,035 Proceeds received from loan sales as cash##$##300##$##22##$##161 Proceeds from loan sales as securities(a)(b)####19,389####48,096####103,286 Total proceeds received from loan sales(c)##$##19,689##$##48,118##$##103,447 Gains/(losses) on loan sales(d)(e)##$##—##$##(25)##$##9


(a)Includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt or retained as part of the Firm’s investment securities portfolio.


(b)Included in level 2 assets.


(c)Excludes the value of MSRs retained upon the sale of loans.


(d)Gains/(losses) on loan sales include the value of MSRs.


(e)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.


JPM Options to repurchase delinquent loans

In addition to the Firm’s obligation to repurchase certain loans due to material breaches of representations and warranties as discussed in Note 28, the Firm also has the option to repurchase delinquent loans that it services for Ginnie Mae loan pools, as well as for other U.S. government agencies under certain arrangements. The Firm typically


elects to repurchase delinquent loans from Ginnie Mae loan pools as it continues to service them and/or manage the foreclosure process in accordance with the applicable requirements, and such loans continue to be insured or guaranteed. When the Firm’s repurchase option becomes exercisable, such loans must be reported on the Consolidated balance sheets as a loan with a corresponding liability. Refer to Note 12 for additional information.


The following table presents loans the Firm repurchased or had an option to repurchase, real estate owned, and foreclosed government-guaranteed residential mortgage loans recognized on the Firm’s Consolidated balance sheets as of December 31, 2023 and 2022. Substantially all of the loans and real estate owned are insured or guaranteed by U.S. government agencies. December 31, (in millions)####2023####2022 Loans repurchased or option to repurchase(a)##$##597##$##839 Real estate owned####8####10 Foreclosed government-guaranteed residential mortgage loans(b)####22####27


(a)Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools.


(b)Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable.


JPM Loan delinquencies and liquidation losses

The table below includes information about components of and delinquencies related to nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement as of December 31, 2023 and 2022. As of or for the year ended December 31, (in millions)######Securitized assets########90 days past due########Net liquidation losses / (recoveries)## ####2023####2022####2023####2022####2023####2022 Securitized loans######################## Residential mortgage:######################## Prime/ Alt-A & option ARMs##$##39,319##$##37,058##$##440##$##511##$##14##$##(29) Subprime####1,312####1,743####131####212####5####(1) Commercial and other####120,262####127,037####2,874####948####60####50 Total loans securitized##$##160,893##$##165,838##$##3,445##$##1,671##$##79##$##20


JPM Goodwill

Goodwill is recorded upon completion of a business combination as the difference between the purchase price and the fair value of the net assets acquired, and can be adjusted up to one year from the acquisition date as additional information pertaining to facts and circumstances that existed as of the acquisition date is obtained about the fair value of assets acquired and liabilities assumed. Subsequent to initial recognition, goodwill is not amortized but is tested for impairment during the fourth quarter of each fiscal year, or more often if events or circumstances, such as adverse changes in the business climate, indicate that there may be an impairment.


JPM Goodwill

The goodwill associated with each business combination is allocated to the related reporting units, which are generally determined based on how the Firm’s businesses are managed and how they are reviewed. The following table presents goodwill attributed to the reportable business segments and Corporate. December 31, (in millions)####2023####2022####2021 Consumer & Community Banking##$##32,116##$##32,121##$##31,474 Corporate & Investment Bank####8,266####8,008####7,906 Commercial Banking####2,985####2,985####2,986 Asset & Wealth Management####8,582####7,902####7,222 Corporate####685####646####727 Total goodwill##$##52,634##$##51,662##$##50,315


JPM Goodwill

The following table presents changes in the carrying amount of goodwill. Year ended December 31, (in millions)####2023####2022####2021 Balance at beginning of period##$##51,662##$##50,315##$##49,248 Changes during the period from:############ Business combinations(a)####917####1,426####1,073 Other(b)####55####(79)####(6) Balance at December 31,##$##52,634##$##51,662##$##50,315


JPM Goodwill

(a)For 2023, predominantly represents estimated goodwill associated with the acquisition of the remaining 51% interest in CIFM in AWM and the acquisition of Aumni Inc. in CIB. For 2022, represents estimated goodwill associated with the acquisitions of Global Shares PLC in AWM, Frosch Travel Group, LLC and Figg, Inc. in CCB, and Renovite Technologies, Inc. and Volkswagen Payments S.A. in CIB. For 2021, represents goodwill associated with the acquisitions of Nutmeg in Corporate, OpenInvest and Campbell Global in AWM, and Frank and The Infatuation in CCB.


JPM Goodwill

(b)Predominantly foreign currency adjustments.


JPM Goodwill impairment testing

The Firm’s goodwill was not impaired at December 31, 2023, 2022 and 2021.


JPM Goodwill impairment testing

The goodwill impairment test is generally performed by comparing the current fair value of each reporting unit with its carrying value. If the fair value is in excess of the carrying value, then the reporting unit’s goodwill is considered not to be impaired. If the fair value is less than the carrying value, then an impairment is recognized for the amount by which the reporting unit’s carrying value exceeds its fair value, up to the amount of goodwill allocated to that reporting unit.


JPM Goodwill impairment testing

The Firm uses the reporting units’ allocated capital plus goodwill and other intangible assets as a proxy for the carrying values of equity for the reporting units in the goodwill impairment testing. Reporting unit equity is determined on a similar basis as the allocation of capital to the LOBs which takes into consideration a variety of factors including capital levels of similarly rated peers and applicable regulatory capital requirements. LOB’s allocated capital levels are incorporated into the Firm’s annual budget process, which is reviewed by the Firm’s Board of Directors and Operating Committee. Allocated capital is further reviewed at least annually and updated as needed.


JPM Goodwill impairment testing

The primary method the Firm uses to estimate the fair value of its reporting units is the income approach. This approach projects cash flows for the forecast period and uses the perpetuity growth method to calculate terminal values. These cash flows and terminal values, which are based on the reporting units’ annual budgets and forecasts are then discounted using an appropriate discount rate. The discount rate used for each reporting unit represents an estimate of the cost of equity for that reporting unit and is determined considering the Firm’s overall estimated cost of equity (estimated using the Capital Asset Pricing Model), as adjusted for the risk characteristics specific to each reporting unit (for example, for higher levels of risk or uncertainty associated with the business or management’s forecasts and assumptions). To assess the reasonableness of the discount rates used for each reporting unit, management compares the discount rate to the estimated cost of equity for publicly traded institutions with similar businesses and risk characteristics. In addition, the weighted average cost of equity (aggregating the various reporting units) is compared with the Firm’s overall estimated cost of equity for reasonableness. The valuations derived from the discounted cash flow analysis are then compared with market-based trading and transaction multiples for relevant competitors. Trading and transaction comparables are used as general indicators to assess the overall reasonableness of the estimated fair values, although precise conclusions generally cannot be drawn due to the differences that naturally exist between the Firm’s businesses and competitor institutions.


JPM Goodwill impairment testing

The Firm also takes into consideration a comparison between the aggregate fair values of the Firm’s reporting


units and JPMorgan Chase’s market capitalization. In evaluating this comparison, the Firm considers several factors, including (i) a control premium that would exist in a market transaction, (ii) factors related to the level of execution risk that would exist at the Firmwide level that do not exist at the reporting unit level and (iii) short-term market volatility and other factors that do not directly affect the value of individual reporting units.


Unanticipated declines in business performance, increases in credit losses, increases in capital requirements, as well as deterioration in economic or market conditions, adverse regulatory or legislative changes or increases in the estimated market cost of equity, could cause the estimated fair values of the Firm’s reporting units to decline in the future, which could result in a material impairment loss to earnings in a future period related to some portion of the associated goodwill.


JPM Mortgage servicing rights

MSRs represent the fair value of expected future cash flows for performing servicing activities for others. The fair value considers estimated future servicing fees and ancillary revenue, offset by estimated costs to service the loans, and generally declines over time as net servicing cash flows are received, effectively amortizing the MSR asset against contractual servicing and ancillary fee income. MSRs are either purchased from third parties or recognized upon sale or securitization of mortgage loans if servicing is retained.


JPM Mortgage servicing rights

As permitted by U.S. GAAP, the Firm has elected to account for its MSRs at fair value. The Firm treats its MSRs as a single class of servicing assets based on the availability of market inputs used to measure the fair value of its MSR asset and its treatment of MSRs as one aggregate pool for risk management purposes. The Firm estimates the fair value of MSRs using an option-adjusted spread (“OAS”) model, which projects MSR cash flows over multiple interest rate scenarios in conjunction with the Firm’s prepayment model, and then discounts these cash flows at risk-adjusted rates. The model considers portfolio characteristics, contractually specified servicing fees, prepayment assumptions, delinquency rates, costs to service, late charges and other ancillary revenue, and other economic factors. The Firm compares fair value estimates and assumptions to observable market data where available, and also considers recent market activity and actual portfolio experience.


JPM 270 JPMorgan Chase & Co./2023 Form 10-K

The fair value of MSRs is sensitive to changes in interest rates, including their effect on prepayment speeds. MSRs typically decrease in value when interest rates decline because declining interest rates tend to increase prepayments and therefore reduce the expected life of the net servicing cash flows that comprise the MSR asset. Conversely, securities (e.g., mortgage-backed securities), and certain derivatives (e.g., those for which the Firm


receives fixed-rate interest payments) increase in value when interest rates decline. JPMorgan Chase uses combinations of derivatives and securities to manage the risk of changes in the fair value of MSRs. The intent is to offset any interest-rate related changes in the fair value of MSRs with changes in the fair value of the related risk management instruments.


The following table summarizes MSR activity for the years ended December 31, 2023, 2022 and 2021. As of or for the year ended December 31, (in millions, except where otherwise noted)####2023####2022####2021 Fair value at beginning of period##$##7,973##$##5,494##$##3,276 MSR activity:############ Originations of MSRs####253####798####1,659 Purchase of MSRs(a)####1,028####1,400####1,363 Disposition of MSRs(b)####(188)####(822)####(114) Net additions/(dispositions)####1,093####1,376####2,908 Changes due to collection/realization of expected cash flows####(1,011)####(936)####(788) Changes in valuation due to inputs and assumptions:############ Changes due to market interest rates and other(c)####424####2,022####404 Changes in valuation due to other inputs and assumptions:############ Projected cash flows (e.g., cost to service)####(22)####14####109 Discount rates####14####—####— Prepayment model changes and other(d)####51####3####(415) Total changes in valuation due to other inputs and assumptions####43####17####(306) Total changes in valuation due to inputs and assumptions####467####2,039####98 Fair value at December 31,##$##8,522##$##7,973##$##5,494 Change in unrealized gains/(losses) included in income related to MSRs held at December 31,##$##467##$##2,039##$##98 Contractual service fees, late fees and other ancillary fees included in income####1,590####1,535####1,298 Third-party mortgage loans serviced at December 31, (in billions)####632####584####520 Servicer advances, net of an allowance for uncollectible amounts, at December 31(e)####659####758####1,611


(a)Includes purchase price adjustments associated with MSRs purchased, primarily as a result of loans that prepaid within 90 days of settlement, allowing the Firm to recover the purchase price.


(b)Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage-backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired the remaining balance of those SMBS as trading securities.


(c)Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.


(d)Represents changes in prepayments other than those attributable to changes in market interest rates.


(e)Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.


The following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the years ended December 31, 2023, 2022 and 2021. Year ended December 31, (in millions)####2023####2022####2021 CCB mortgage fees and related income############ Production revenue##$##421##$##497##$##2,215 Net mortgage servicing revenue:############ Operating revenue:############ Loan servicing revenue####1,634####1,582####1,257 Changes in MSR asset fair value due to collection/realization of expected cash flows####(1,011)####(936)####(788) Total operating revenue####623####646####469 Risk management:############ Changes in MSR asset fair value due to market interest rates and other(a)####424####2,022####404 Other changes in MSR asset fair value due to other inputs and assumptions in model(b)####43####17####(306) Change in derivative fair value and other####(336)####(1,946)####(623) Total risk management####131####93####(525) Total net mortgage servicing revenue####754####739####(56) Total CCB mortgage fees and related income####1,175####1,236####2,159 All other####1####14####11 Mortgage fees and related income##$##1,176##$##1,250##$##2,170


(a)Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.


(b)Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).


Changes in fair value based on variations in assumptions generally cannot be easily extrapolated, because the relationship of the change in the assumptions to the change in fair value are often highly interrelated and may not be linear. In the following table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which would either magnify or counteract the impact of the initial change.


The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at December 31, 2023 and 2022, and outlines the sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below. December 31, (in millions, except rates)####2023######2022## Weighted-average prepayment speed assumption (constant prepayment rate)####6.29##%####6.12##% Impact on fair value of 10% adverse change##$##(206)####$##(183)## Impact on fair value of 20% adverse change####(401)######(356)## Weighted-average option adjusted spread(a)####6.10##%####5.77##% Impact on fair value of 100 basis points adverse change##$##(369)####$##(341)## Impact on fair value of 200 basis points adverse change####(709)######(655)##


(a)Includes the impact of operational risk and regulatory capital.


JPM Other intangible assets

The Firm’s finite-lived and indefinite-lived other intangible assets are initially recorded at their fair value primarily upon completion of a business combination. Subsequently, the Firm’s finite-lived intangible assets, including core deposit intangibles, customer relationship intangibles, and certain other intangible assets, are amortized over their useful lives, estimated based on the expected future economic benefits to the Firm of the intangible asset. The Firm’s intangible assets with indefinite lives, such as asset management contracts, are not subject to amortization and are assessed periodically for impairment.


JPM Other intangible assets

As of December 31, 2023 and 2022, the gross carrying values of other intangible assets were $4.2 billion and $1.9 billion, respectively, and the accumulated amortization was $994 million and $679 million, respectively.


JPM Other intangible assets

As of December 31, 2023 and 2022, the net carrying values consist of finite-lived intangible assets of $2.0 billion and $707 million, respectively, as well as indefinite-lived intangible assets, which are not subject to amortization, of $1.2 billion and $517 million, respectively.


JPM Other intangible assets

As of December 31, 2023, other intangible assets reflected core deposit and certain wealth management customer relationship intangibles related to the First Republic acquisition, and asset management contracts related to the Firm’s acquisition of the remaining 51% interest in CIFM. Refer to Note 34 for additional information on the First Republic acquisition.


JPM Other intangible assets

As of December 31, 2023 and 2022, amortization expense was $315 million and $145 million, respectively.


JPM Other intangible assets

The following table presents estimated future amortization expense. December 31, (millions)####Finite-lived intangible assets 2024##$##330 2025####294 2026####290 2027####288 2028####272


JPM Impairment testing

The Firm’s finite-lived and indefinite-lived other intangible assets are assessed for impairment annually or more often if events or changes in circumstances indicate that the asset might be impaired. Once the Firm determines that an impairment exists for an intangible asset, the impairment is recognized in other expense.


JPM Note 16 – Premises and equipment

Premises and equipment includes land carried at cost, as well as buildings, leasehold improvements, internal-use software and furniture and equipment carried at cost less accumulated depreciation and amortization. The Firm’s operating lease right-of-use assets are also included in Premises and equipment. Refer to Note 18 for a further discussion of the Firm’s right-of-use assets.