(a) | At September 30, 2018, and December 31, 2017, by major product categoryincluded total U.S. government-sponsored enterprise obligations of $77.3 billion and fair value hierarchy. | | | | | | | | | | | | | | | | | | | Assets and liabilities measured at fair value on a recurring basis |
|
|
|
|
|
|
| Fair value hierarchy |
| Derivative netting adjustments |
| | | | | | | | March 31, 2018 (in millions) | Level 1 | Level 2 |
| Level 3 |
| Total fair value |
| Federal funds sold and securities purchased under resale agreements | $ | — |
| $ | 13,523 |
|
| $ | — |
|
| $ | — |
| $ | 13,523 |
| Securities borrowed | — |
| 3,023 |
|
| — |
|
| — |
| 3,023 |
| Trading assets: |
|
|
|
|
|
|
|
|
|
|
|
| Debt instruments: |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
| U.S. government agencies(a) | — |
| 34,849 |
|
| 508 |
|
| — |
| 35,357 |
| Residential – nonagency | — |
| 1,906 |
|
| 55 |
|
| — |
| 1,961 |
| Commercial – nonagency | — |
| 1,825 |
|
| 14 |
|
| — |
| 1,839 |
| Total mortgage-backed securities | — |
| 38,580 |
|
| 577 |
|
| — |
| 39,157 |
| U.S. Treasury and government agencies(a) | 35,122 |
| 7,350 |
|
| — |
|
| — |
| 42,472 |
| Obligations of U.S. states and municipalities | — |
| 9,004 |
|
| 704 |
|
| — |
| 9,708 |
| Certificates of deposit, bankers’ acceptances and commercial paper | — |
| 2,281 |
| | — |
| | — |
| 2,281 |
| Non-U.S. government debt securities | 30,555 |
| 34,174 |
| | 197 |
| | — |
| 64,926 |
| Corporate debt securities | — |
| 25,563 |
| | 306 |
| | — |
| 25,869 |
| Loans(b) | — |
| 38,908 |
| | 2,368 |
| | — |
| 41,276 |
| Asset-backed securities | — |
| 3,129 |
| | 63 |
| | — |
| 3,192 |
| Total debt instruments | 65,677 |
| 158,989 |
| | 4,215 |
| | — |
| 228,881 |
| Equity securities | 104,905 |
| 429 |
| | 300 |
| | — |
| 105,634 |
| Physical commodities(c) | 3,893 |
| 1,585 |
| | — |
| | — |
| 5,478 |
| Other | — |
| 14,626 |
| | 698 |
| | — |
| 15,324 |
| Total debt and equity instruments(d) | 174,475 |
| 175,629 |
| | 5,213 |
| | — |
| 355,317 |
| Derivative receivables: | | | | | | | | Interest rate | 562 |
| 301,549 |
| | 1,761 |
| | (280,094 | ) | 23,778 |
| Credit | — |
| 22,609 |
| | 1,118 |
| | (22,665 | ) | 1,062 |
| Foreign exchange | 1,106 |
| 164,190 |
| | 639 |
| | (149,332 | ) | 16,603 |
| Equity | — |
| 41,424 |
| | 2,564 |
| | (35,185 | ) | 8,803 |
| Commodity | — |
| 16,955 |
| | 165 |
| | (10,452 | ) | 6,668 |
| Total derivative receivables(e)(f) | 1,668 |
| 546,727 |
| | 6,247 |
| | (497,728 | ) | 56,914 |
| Total trading assets(g) | 176,143 |
| 722,356 |
| | 11,460 |
| | (497,728 | ) | 412,231 |
| Available-for-sale debt securities: | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies(a) | — |
| 67,209 |
| | — |
| | — |
| 67,209 |
| Residential – nonagency | — |
| 10,602 |
| | 1 |
| | — |
| 10,603 |
| Commercial – nonagency | — |
| 9,140 |
| | — |
| | — |
| 9,140 |
| Total mortgage-backed securities | — |
| 86,951 |
| | 1 |
| | — |
| 86,952 |
| U.S. Treasury and government agencies | 25,450 |
| — |
| | — |
| | — |
| 25,450 |
| Obligations of U.S. states and municipalities | — |
| 39,491 |
| | — |
| | — |
| 39,491 |
| Certificates of deposit | — |
| 60 |
| | — |
| | — |
| 60 |
| Non-U.S. government debt securities | 18,148 |
| 8,546 |
| | — |
| | — |
| 26,694 |
| Corporate debt securities | — |
| 2,268 |
| | — |
| | — |
| 2,268 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | — |
| 19,835 |
| | 204 |
| | — |
| 20,039 |
| Other | — |
| 8,192 |
| | — |
| | — |
| 8,192 |
| Total available-for-sale securities | 43,598 |
| 165,343 |
| | 205 |
| | — |
| 209,146 |
| Loans | — |
| 2,512 |
| | 396 |
| | — |
| 2,908 |
| Mortgage servicing rights | — |
| — |
| | 6,202 |
| | — |
| 6,202 |
| Other assets(g)(h) | 14,718 |
| 441 |
| | 1,220 |
| | — |
| 16,379 |
| Total assets measured at fair value on a recurring basis | $ | 234,459 |
| $ | 907,198 |
| | $ | 19,483 |
| | $ | (497,728 | ) | $ | 663,412 |
| Deposits | $ | — |
| $ | 16,153 |
| | $ | 4,017 |
| | $ | — |
| $ | 20,170 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| 735 |
| | — |
| | — |
| 735 |
| Short-term borrowings | — |
| 6,698 |
| | 2,125 |
| | — |
| 8,823 |
| Trading liabilities: | | | | | | |
|
| Debt and equity instruments(d) | 75,154 |
| 24,384 |
| | 50 |
| | — |
| 99,588 |
| Derivative payables: | | | | | | |
|
| Interest rate | 579 |
| 271,996 |
| | 1,289 |
| | (266,694 | ) | 7,170 |
| Credit | — |
| 22,583 |
| | 1,113 |
| | (21,983 | ) | 1,713 |
| Foreign exchange | 1,176 |
| 151,705 |
| | 927 |
| | (143,011 | ) | 10,797 |
| Equity | — |
| 43,162 |
| | 5,076 |
| | (37,913 | ) | 10,325 |
| Commodity | — |
| 17,544 |
| | 684 |
| | (11,284 | ) | 6,944 |
| Total derivative payables(e)(f) | 1,755 |
| 506,990 |
| | 9,089 |
| | (480,885 | ) | 36,949 |
| Total trading liabilities | 76,909 |
| 531,374 |
| | 9,139 |
| | (480,885 | ) | 136,537 |
| Accounts payable and other liabilities | 9,770 |
| 191 |
| | 7 |
| | — |
| 9,968 |
| Beneficial interests issued by consolidated VIEs | — |
| 6 |
| | 1 |
| | — |
| 7 |
| Long-term debt | — |
| 32,202 |
| | 16,950 |
| | — |
| 49,152 |
| Total liabilities measured at fair value on a recurring basis | $ | 86,679 |
| $ | 587,359 |
| | $ | 32,239 |
| | $ | (480,885 | ) | $ | 225,392 |
|
| | | | | | | | | | | | | | | | | | | |
| Fair value hierarchy |
| Derivative netting adjustments | |
| | | | | | | | | December 31, 2017 (in millions) | Level 1 |
| Level 2 |
|
| Level 3 |
|
| | Total fair value |
| Federal funds sold and securities purchased under resale agreements | $ | — |
| $ | 14,732 |
|
| $ | — |
|
| $ | — |
| | $ | 14,732 |
| Securities borrowed | — |
| 3,049 |
|
| — |
|
| — |
| | 3,049 |
| Trading assets: | | |
| |
| | | | Debt instruments: | | |
| |
| | | | Mortgage-backed securities: | | |
| |
| | | | U.S. government agencies(a) | — |
| 41,515 |
|
| 307 |
|
| — |
| | 41,822 |
| Residential – nonagency | — |
| 1,835 |
|
| 60 |
|
| — |
| | 1,895 |
| Commercial – nonagency | — |
| 1,645 |
|
| 11 |
|
| — |
| | 1,656 |
| Total mortgage-backed securities | — |
| 44,995 |
|
| 378 |
|
| — |
| | 45,373 |
| U.S. Treasury and government agencies(a) | 30,758 |
| 6,475 |
|
| 1 |
|
| — |
| | 37,234 |
| Obligations of U.S. states and municipalities | — |
| 9,067 |
|
| 744 |
|
| — |
| | 9,811 |
| Certificates of deposit, bankers’ acceptances and commercial paper | — |
| 226 |
|
| — |
|
| — |
| | 226 |
| Non-U.S. government debt securities | 28,887 |
| 28,831 |
|
| 78 |
|
| — |
| | 57,796 |
| Corporate debt securities | — |
| 24,146 |
|
| 312 |
|
| — |
| | 24,458 |
| Loans(b) | — |
| 35,242 |
|
| 2,719 |
|
| — |
| | 37,961 |
| Asset-backed securities | — |
| 3,284 |
|
| 153 |
|
| — |
| | 3,437 |
| Total debt instruments | 59,645 |
| 152,266 |
|
| 4,385 |
|
| — |
| | 216,296 |
| Equity securities | 87,346 |
| 197 |
|
| 295 |
|
| — |
| | 87,838 |
| Physical commodities(c) | 4,924 |
| 1,322 |
|
| — |
|
| — |
| | 6,246 |
| Other | — |
| 14,197 |
|
| 690 |
|
| — |
| | 14,887 |
| Total debt and equity instruments(d) | 151,915 |
| 167,982 |
|
| 5,370 |
|
| — |
| | 325,267 |
| Derivative receivables: | |
|
|
|
|
|
|
|
| |
|
| Interest rate | 181 |
| 314,107 |
|
| 1,704 |
|
| (291,319 | ) | | 24,673 |
| Credit | — |
| 21,995 |
|
| 1,209 |
|
| (22,335 | ) | | 869 |
| Foreign exchange | 841 |
| 158,834 |
|
| 557 |
|
| (144,081 | ) | | 16,151 |
| Equity | — |
| 37,722 |
|
| 2,318 |
|
| (32,158 | ) | | 7,882 |
| Commodity | — |
| 19,875 |
|
| 210 |
|
| (13,137 | ) | | 6,948 |
| Total derivative receivables(e)(f) | 1,022 |
| 552,533 |
|
| 5,998 |
|
| (503,030 | ) | | 56,523 |
| Total trading assets(g) | 152,937 |
| 720,515 |
|
| 11,368 |
|
| (503,030 | ) | | 381,790 |
| Available-for-sale debt securities: | |
|
|
|
|
|
|
|
| |
|
| Mortgage-backed securities: | |
|
|
|
|
|
|
|
| |
|
| U.S. government agencies(a) | — |
| 70,280 |
|
| — |
|
| — |
| | 70,280 |
| Residential – nonagency | — |
| 11,366 |
|
| 1 |
|
| — |
| | 11,367 |
| Commercial – nonagency | — |
| 5,025 |
|
| — |
|
| — |
| | 5,025 |
| Total mortgage-backed securities | — |
| 86,671 |
|
| 1 |
|
| — |
| | 86,672 |
| U.S. Treasury and government agencies | 22,745 |
| — |
|
| — |
|
| — |
| | 22,745 |
| Obligations of U.S. states and municipalities | — |
| 32,338 |
|
| — |
|
| — |
| | 32,338 |
| Certificates of deposit | — |
| 59 |
|
| — |
|
| — |
| | 59 |
| Non-U.S. government debt securities | 18,140 |
| 9,154 |
|
| — |
|
| — |
| | 27,294 |
| Corporate debt securities | — |
| 2,757 |
|
| — |
|
| — |
| | 2,757 |
| Asset-backed securities: | |
|
|
|
|
|
|
|
| |
|
| Collateralized loan obligations | — |
| 20,720 |
|
| 276 |
|
| — |
| | 20,996 |
| Other | — |
| 8,817 |
|
| — |
|
| — |
| | 8,817 |
| Equity securities(h) | 547 |
| — |
|
| — |
|
| — |
| | 547 |
| Total available-for-sale securities | 41,432 |
| 160,516 |
|
| 277 |
|
| — |
| | 202,225 |
| Loans | — |
| 2,232 |
|
| 276 |
|
| — |
| | 2,508 |
| Mortgage servicing rights | — |
| — |
|
| 6,030 |
|
| — |
| | 6,030 |
| Other assets(g)(h) | 13,795 |
| 343 |
|
| 1,265 |
|
| — |
| | 15,403 |
| Total assets measured at fair value on a recurring basis | $ | 208,164 |
| $ | 901,387 |
|
| $ | 19,216 |
|
| $ | (503,030 | ) | | $ | 625,737 |
| Deposits | $ | — |
| $ | 17,179 |
|
| $ | 4,142 |
|
| $ | — |
| | $ | 21,321 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| 697 |
|
| — |
|
| — |
| | 697 |
| Short-term borrowings | — |
| 7,526 |
|
| 1,665 |
|
| — |
| | 9,191 |
| Trading liabilities: | | |
| |
|
|
| |
|
| Debt and equity instruments(d) | 64,664 |
| 21,183 |
|
| 39 |
|
| — |
| | 85,886 |
| Derivative payables: | | |
|
|
|
| | | | Interest rate | 170 |
| 282,825 |
|
| 1,440 |
|
| (277,306 | ) | | 7,129 |
| Credit | — |
| 22,009 |
|
| 1,244 |
|
| (21,954 | ) | | 1,299 |
| Foreign exchange | 794 |
| 154,075 |
|
| 953 |
|
| (143,349 | ) | | 12,473 |
| Equity | — |
| 39,668 |
|
| 5,727 |
|
| (36,203 | ) | | 9,192 |
| Commodity | — |
| 21,017 |
|
| 884 |
|
| (14,217 | ) | | 7,684 |
| Total derivative payables(e)(f) | 964 |
| 519,594 |
|
| 10,248 |
|
| (493,029 | ) | | 37,777 |
| Total trading liabilities | 65,628 |
| 540,777 |
|
| 10,287 |
|
| (493,029 | ) | | 123,663 |
| Accounts payable and other liabilities | 9,074 |
| 121 |
|
| 13 |
|
| — |
| | 9,208 |
| Beneficial interests issued by consolidated VIEs | — |
| 6 |
|
| 39 |
|
| — |
| | 45 |
| Long-term debt | — |
| 31,394 |
|
| 16,125 |
|
| — |
| | 47,519 |
| Total liabilities measured at fair value on a recurring basis | $ | 74,702 |
| $ | 597,700 |
|
| $ | 32,271 |
|
| $ | (493,029 | ) | | $ | 211,644 |
|
| $78.0 billion, respectively, which were predominantly mortgage-related. |
(a) | At March 31, 2018, and December 31, 2017, included total U.S. government-sponsored enterprise obligations of $74.1 billion and $78.0 billion, respectively, which were predominantly mortgage-related. |
| | (b) | At March 31, 2018, and December 31, 2017, included within trading loans were $12.9 billion and $11.4 billion, respectively, of residential first-lien mortgages, and $2.4 billion and $4.2 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $7.9 billion and $5.7 billion, respectively, and reverse mortgages of $324 million | (b) | At September 30, 2018, and December 31, 2017, included within trading loans were $13.8 billion and $11.4 billion, respectively, of residential first-lien mortgages, and $2.6 billion and $4.2 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $9.2 billion and $5.7 billion, respectively, and reverse mortgages of zero and $836 million respectively. |
| | (c) | Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying |
value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of the Firm’s hedge accounting relationships, refer to Note 4. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented. | | (d) | Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions). |
| | (e) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. |
| | (f) | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At September 30, 2018, and December 31, 2017, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $767 million and $779 million, respectively. Included in these balances at September 30, 2018, and December 31, 2017, were trading assets of $55 million and $54 million, respectively, and other assets of $712 million and $725 million, respectively. |
| | (g) | Effective January 1, 2018, the Firm adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption. |
Transfers between levels for instruments carried at fair value on a recurring basis For both the three months ended September 30, 2018 and 2017 and the nine months ended September 30, 2017 there were no individually significant transfers. For the nine months ended September 30, 2018, the only significant transfers were between levels 2 and 3. Significant transfers from level 3 to level 2 included the following: $1.2 billion of total debt and equity instruments, the majority of which were trading loans, driven by an increase in observability. $1.0 billion of gross equity derivative receivables and $1.2 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs. Significant transfers from level 2 to level 3 included the following: $1.0 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs. All transfers are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
Level 3 valuations For further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments, refer to Note 2 of JPMorgan Chase’s 2017 Annual Report. The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and, for certain instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy. The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.
In the Firm’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date. For the Firm’s derivatives and structured notes positions classified within level 3 at September 30, 2018, interest rate correlation inputs used in estimating fair value were concentrated towards the upper end of the range; equity correlation, equity-FX, and equity-IR correlation inputs were concentrated in the middle of the range; commodity correlation inputs were concentrated in the middle of the range; credit correlation inputs were concentrated towards the lower end of the range; and the interest rate-foreign exchange (“IR-FX”) correlation inputs were distributed across the range. In addition, the interest rate spread volatility inputs used in estimating fair value were distributed across the range; equity volatilities and commodity volatilities were concentrated towards the lower end of the range; and forward commodity prices used in estimating the fair value of commodity derivatives were concentrated towards the lower end of the range. Prepayment speed inputs used in estimating fair value of interest rate derivatives were concentrated towards the lower end of the range. Recovery rate, yield and prepayment speed inputs used in estimating fair value of credit derivatives were distributed across the range; credit spreads and conditional default rates were concentrated towards the lower end of the range; loss severity and price inputs were concentrated towards the upper end of the range.
| | | | | | | | | | | | | | | | | | | | Level 3 inputs(a) | | | | | | | September 30, 2018 | | | | | | | Product/Instrument | Fair value (in millions) | | Principal valuation technique | Unobservable inputs(g) | Range of input values | Weighted average | | Residential mortgage-backed securities and loans(b) | $ | 823 |
| | Discounted cash flows | Yield | 0 | % | – | 28 | % | | 6 | % | | | | Prepayment speed | 0 | % | – | 39 | % | | 9 | % | | | | | Conditional default rate | 0 | % | – | 6 | % | | 1 | % | | | | | Loss severity | 0 | % | – | 100 | % | | 5 | % | Commercial mortgage-backed securities and loans(c) | 439 |
| | Market comparables | Price | $ | 4 |
| – | $ | 101 |
| | $ | 93 |
| Obligations of U.S. states and municipalities | 699 |
| | Market comparables | Price | $ | 60 |
| – | $ | 100 |
| | $ | 97 |
| Corporate debt securities | 395 |
| | Market comparables | Price | $ | 3 |
| – | $ | 110 |
| | $ | 80 |
| Loans(d) | 1,031 |
| | Market comparables | Price | $ | 3 |
| – | $ | 102 |
| | $ | 79 |
| Asset-backed securities | 61 |
| | Discounted cash flows | Credit spread | 219 | bps | | 219 | bps | | | | | Prepayment speed | 20 | % | | 20 | % | | | | | Conditional default rate | 2 | % | | 2 | % | | | | | Loss severity | 30 | % | | 30 | % | | 76 |
| | Market comparables | Price | $ | 0 |
| – | $ | 100 |
| | $ | 51 |
| Net interest rate derivatives | 528 |
| | Option pricing | Interest rate spread volatility | 16 | bps | – | 38 | bps | | | | | | Interest rate correlation | (45 | )% | – | 97 | % | | | | | | | IR-FX correlation | 55 | % | – | 60 | % | | | | 163 |
| | Discounted cash flows | Prepayment speed | 0 | % | – | 30 | % | | | Net credit derivatives | 26 |
| | Discounted cash flows | Credit correlation | 35 | % | – | 60 | % | | | | | | | Credit spread | 6 | bps | – | 1,543 | bps | | | | | | | Recovery rate | 20 | % | – | 70 | % | | | | | | | Yield | 3 | % | – | 52 | % | | | | | | | Prepayment speed | 5 | % | – | 17 | % | | | | | | | Conditional default rate | 0 | % | – | 100 | % | | | | | | | Loss severity | 0 | % | – | 100 | % | | | | 1 |
| | Market comparables | Price | $ | 10 |
| – | $ | 98 |
| | | Net foreign exchange derivatives | (121 | ) | | Option pricing | IR-FX correlation | (45 | )% | – | 60 | % | | | | (181 | ) | | Discounted cash flows | Prepayment speed | 8 | % | – | 9 | % | | | Net equity derivatives | (2,277 | ) | | Option pricing | Equity volatility | 10 | % | – | 60 | % | | | | | | | Equity correlation | 10 | % | – | 95 | % | | | | | | | Equity-FX correlation | (75 | )% | – | 60 | % | | | | | | | Equity-IR correlation | 20 | % | – | 60 | % | | | Net commodity derivatives | (525 | ) | | Option pricing | Forward commodity price | $ | 61 |
| – | $ 83 per barrel | | | | | Commodity volatility | 5 | % | – | 48 | % | | | | | | | Commodity correlation | (52 | )% | – | 95 | % | | | MSRs | 6,433 |
| | Discounted cash flows | Refer to Note 14 | | | Other assets | 322 |
| | Discounted cash flows | Credit spread | 70 | bps | | 70 | bps | | | | | Yield | 8 | % | – | 10 | % | | 8 | % | | 1,154 |
| | Market comparables | Price | $ | 34 |
| – | $ | 106 |
| | $ | 45 |
| | | | | EBITDA multiple
| 3.0x |
| – | 9.2x |
| | 8.4x |
| Long-term debt, short-term borrowings, and deposits(e) | 26,449 |
| | Option pricing | Interest rate spread volatility | 16 | bps | – | 38 | bps | | | | | Interest rate correlation | (45 | )% | – | 97 | % | | | | | | IR-FX correlation | (45 | )% | – | 60 | % | | | | | | Equity correlation | 10 | % | – | 95 | % | | | | | | Equity-FX correlation | (75 | )% | – | 60 | % | | | | | | Equity-IR correlation | 20 | % | – | 60 | % | | | Other level 3 assets and liabilities, net(f) | 384 |
| | | | | | | | |
| | (a) | The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. |
| | (b) | Includes U.S. government agency securities of $502 million, nonagency securities of $78 million and trading loans of $243 million. |
| | (c) | Includes U.S. government agency securities of $27 million, nonagency securities of $13 million, trading loans of $259 million and non-trading loans of $140 million. |
| | (d) | Comprises trading loans. |
| | (e) | Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. |
| | (f) | Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. |
| | (g) | Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100. |
Changes in and ranges of unobservable inputs For a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the Firm’s positions refer to Note 2 of JPMorgan Chase’s 2017 Annual Report. Changes in level 3 recurring fair value measurements The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three and nine months ended September 30, 2018 and 2017. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Three months ended September 30, 2018 (in millions) | Fair value at July 1, 2018 | Total realized/unrealized gains/(losses) | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2018 | Change in unrealized gains/(losses) related to financial instruments held at September 30, 2018 | Purchases(f) | Sales | | Settlements(g) | Assets: | | | | | | | | | | | | | | | | Trading assets: | | | | | | | | | | | | | | | | Debt instruments: | | | | | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | U.S. government agencies | $ | 478 |
| | $ | 2 |
| | $ | 14 |
| $ | (28 | ) | | $ | (17 | ) | $ | 83 |
| $ | (3 | ) | | $ | 529 |
| | $ | — |
| | Residential – nonagency | 87 |
| | 1 |
| | — |
| (6 | ) | | (3 | ) | 18 |
| (20 | ) | | 77 |
| | 1 |
| | Commercial – nonagency | 18 |
| | (1 | ) | | — |
| — |
| | — |
| 9 |
| (13 | ) | | 13 |
| | (1 | ) | | Total mortgage-backed securities | 583 |
| | 2 |
| | 14 |
| (34 | ) | | (20 | ) | 110 |
| (36 | ) | | 619 |
| | — |
| | U.S. Treasury and government agencies
| — |
| | — |
| | — |
| — |
| | — |
| — |
| — |
| | — |
| | — |
| | Obligations of U.S. states and municipalities | 736 |
| | 8 |
| | 26 |
| (70 | ) | | (1 | ) | — |
| — |
| | 699 |
| | 7 |
| | Non-U.S. government debt securities | 183 |
| | (9 | ) | | 44 |
| (29 | ) | | (2 | ) | 1 |
| (24 | ) | | 164 |
| | (9 | ) | | Corporate debt securities | 274 |
| | (2 | ) | | 156 |
| (87 | ) | | (4 | ) | 82 |
| (24 | ) | | 395 |
| | (3 | ) | | Loans | 1,986 |
| | 17 |
| | 188 |
| (146 | ) | | (199 | ) | 48 |
| (361 | ) | | 1,533 |
| | 3 |
| | Asset-backed securities | 87 |
| | 6 |
| | 5 |
| (7 | ) | | (13 | ) | 5 |
| (7 | ) | | 76 |
| | 3 |
| | Total debt instruments | 3,849 |
| | 22 |
| | 433 |
| (373 | ) | | (239 | ) | 246 |
| (452 | ) | | 3,486 |
| | 1 |
| | Equity securities | 288 |
| | 20 |
| | 6 |
| (48 | ) | | — |
| 82 |
| (19 | ) | | 329 |
| | (18 | ) | | Other | 406 |
| | 30 |
| | 13 |
| — |
| | (37 | ) | 2 |
| (1 | ) | | 413 |
| | 10 |
| | Total trading assets – debt and equity instruments | 4,543 |
| | 72 |
| (c) | 452 |
| (421 | ) | | (276 | ) | 330 |
| (472 | ) | | 4,228 |
| | (7 | ) | (c) | Net derivative receivables:(a) | | | | | | | | | | | | | | | | Interest rate | 489 |
| | 236 |
| | 28 |
| (22 | ) | | (101 | ) | 68 |
| (7 | ) | | 691 |
| | 216 |
| | Credit | (24 | ) | | (19 | ) | | 1 |
| — |
| | 47 |
| 6 |
| 16 |
| | 27 |
| | (15 | ) | | Foreign exchange | (245 | ) | | (56 | ) | | 29 |
| (7 | ) | | (49 | ) | (2 | ) | 28 |
| | (302 | ) | | (54 | ) | | Equity | (2,578 | ) | | (94 | ) | | 643 |
| (635 | ) | | 622 |
| (251 | ) | 16 |
| | (2,277 | ) | | (121 | ) | | Commodity | (752 | ) | | 318 |
| | — |
| — |
| | (113 | ) | 15 |
| 7 |
| | (525 | ) | | 138 |
| | Total net derivative receivables | (3,110 | ) | | 385 |
| (c) | 701 |
| (664 | ) | | 406 |
| (164 | ) | 60 |
| | (2,386 | ) | | 164 |
| (c) | Available-for-sale securities: | | | | | | | | | | | | | | | | Asset-backed securities | 147 |
| | — |
| | — |
| — |
| | (86 | ) | — |
| — |
| | 61 |
| | — |
| | Other | 1 |
| | — |
| | — |
| — |
| | — |
| — |
| — |
| | 1 |
| | — |
| | Total available-for-sale securities | 148 |
| | — |
|
| — |
| — |
| | (86 | ) | — |
| — |
| | 62 |
| | — |
|
| Loans | 159 |
| | (1 | ) | (c) | 1 |
| — |
| | (19 | ) | — |
| — |
| | 140 |
| | (1 | ) | (c) | Mortgage servicing rights | 6,241 |
| | 98 |
| (e) | 291 |
| (2 | ) | | (195 | ) | — |
| — |
| | 6,433 |
| | 98 |
| (e) | Other assets | 1,225 |
| | (160 | ) | (c) | 2 |
| — |
| | (7 | ) | 3 |
| — |
| | 1,063 |
| | (160 | ) | (c) | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Three months ended September 30, 2018 (in millions) | Fair value at July 1, 2018 | Total realized/unrealized (gains)/losses | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2018 | Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2018 | Purchases | Sales | Issuances | Settlements(g) | Liabilities:(b) | | | | | | | | | | | | | | | | Deposits | $ | 4,305 |
| | $ | (84 | ) | (c)(i) | $ | — |
| $ | — |
| $ | 517 |
| $ | (170 | ) | $ | 1 |
| $ | (129 | ) | | $ | 4,440 |
| | $ | (82 | ) | (c)(i) | Short-term borrowings | 2,209 |
| | (47 | ) | (c)(i) | — |
| — |
| 713 |
| (885 | ) | 6 |
| (25 | ) | | 1,971 |
| | (31 | ) | (c)(i) | Trading liabilities – debt and equity instruments | 43 |
| | 36 |
| (c) | (6 | ) | 19 |
| — |
| (2 | ) | 7 |
| (1 | ) | | 96 |
| | 36 |
| (c) | Accounts payable and other liabilities | 8 |
| | 1 |
| | — |
| — |
| — |
| — |
| 3 |
| — |
| | 12 |
| | 1 |
| | Beneficial interests issued by consolidated VIEs | 1 |
| | — |
|
| — |
| — |
| — |
| — |
| — |
| — |
| | 1 |
| | — |
|
| Long-term debt | 18,262 |
| | 194 |
| (c)(i) | — |
| — |
| 3,551 |
| (1,809 | ) | 59 |
| (219 | ) | | 20,038 |
| | 192 |
| (c)(i) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fair value measurements using significant unobservable inputs
|
| | Three months ended September 30, 2017 (in millions) | Fair value at July 1, 2017 | Total realized/unrealized gains/(losses) |
|
|
| |
| Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2017 | Change in unrealized gains/(losses) related to financial instruments held at September 30, 2017 | Purchases(f) | Sales |
| | Settlements(g) | Assets: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Trading assets: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Debt instruments: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| U.S. government agencies | $ | 365 |
| $ | (2 | ) |
| $ | — |
| $ | (15 | ) |
| | $ | (20 | ) | $ | 10 |
| $ | (15 | ) |
| $ | 323 |
|
| $ | (2 | ) |
| Residential – nonagency | 98 |
| 6 |
|
| 4 |
| (4 | ) |
| | (12 | ) | 50 |
| (35 | ) |
| 107 |
|
| 5 |
|
| Commercial – nonagency | 65 |
| 3 |
|
| 10 |
| (24 | ) |
| | — |
| 3 |
| (30 | ) |
| 27 |
|
| 3 |
|
| Total mortgage-backed securities | 528 |
| 7 |
|
| 14 |
| (43 | ) |
| | (32 | ) | 63 |
| (80 | ) |
| 457 |
|
| 6 |
|
| U.S. Treasury and government agencies | — |
| — |
| | — |
| — |
| | | — |
| 1 |
| — |
| | 1 |
| | — |
| | Obligations of U.S. states and municipalities | 681 |
| 3 |
|
| 31 |
| — |
|
| | — |
| — |
| — |
|
| 715 |
|
| 3 |
|
| Non-U.S. government debt securities | 37 |
| — |
|
| 252 |
| (217 | ) |
| | — |
| 23 |
| (15 | ) |
| 80 |
|
| — |
|
| Corporate debt securities | 461 |
| 7 |
|
| 193 |
| (327 | ) |
| | (22 | ) | 68 |
| (19 | ) |
| 361 |
|
| 8 |
|
| Loans | 4,488 |
| 131 |
|
| 564 |
| (1,498 | ) |
| | (421 | ) | 246 |
| (303 | ) |
| 3,207 |
|
| 71 |
|
| Asset-backed securities | 83 |
| 5 |
|
| 170 |
| (10 | ) |
| | (8 | ) | 36 |
| (5 | ) |
| 271 |
|
| 4 |
|
| Total debt instruments | 6,278 |
| 153 |
|
| 1,224 |
| (2,095 | ) |
| | (483 | ) | 437 |
| (422 | ) |
| 5,092 |
|
| 92 |
|
| Equity securities | 284 |
| 6 |
|
| 29 |
| (40 | ) |
| | — |
| 16 |
| (7 | ) |
| 288 |
|
| 7 |
|
| Other | 731 |
| 20 |
|
| 5 |
| (38 | ) |
| | (25 | ) | — |
| (2 | ) |
| 691 |
|
| 16 |
|
| Total trading assets – debt and equity instruments | 7,293 |
| 179 |
| (c) | 1,258 |
| (2,173 | ) |
| | (508 | ) | 453 |
| (431 | ) |
| 6,071 |
|
| 115 |
| (c) | Net derivative receivables:(a) |
|
|
|
|
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Interest rate | 712 |
| 101 |
|
| 16 |
| (23 | ) |
| | (182 | ) | 21 |
| 19 |
|
| 664 |
|
| (7 | ) |
| Credit | (45 | ) | (32 | ) |
| — |
| (1 | ) |
| | (2 | ) | 40 |
| 4 |
|
| (36 | ) |
| (22 | ) |
| Foreign exchange | (686 | ) | 16 |
|
| 9 |
| (2 | ) |
| | 68 |
| (39 | ) | 95 |
|
| (539 | ) |
| 37 |
|
| Equity | (2,444 | ) | (10 | ) |
| 355 |
| (184 | ) |
| | (132 | ) | (1 | ) | 41 |
|
| (2,375 | ) |
| 82 |
|
| Commodity | (58 | ) | (30 | ) |
| — |
| — |
|
| | (3 | ) | (2 | ) | (7 | ) |
| (100 | ) |
| (51 | ) |
| Total net derivative receivables | (2,521 | ) | 45 |
| (c) | 380 |
| (210 | ) |
| | (251 | ) | 19 |
| 152 |
|
| (2,386 | ) |
| 39 |
| (c) | Available-for-sale securities: | | |
| | |
| | | | |
| |
| |
| Asset-backed securities | 547 |
| 2 |
|
| — |
| — |
|
| | (63 | ) | — |
| — |
|
| 486 |
|
| 2 |
|
| Other | 1 |
| — |
|
| — |
| — |
|
| | — |
| — |
| — |
|
| 1 |
|
| — |
|
| Total available-for-sale securities | 548 |
| 2 |
| (d) | — |
| — |
|
| | (63 | ) | — |
| — |
|
| 487 |
|
| 2 |
| (d) | Loans | 305 |
| 8 |
| (c) | — |
| (26 | ) |
| | (10 | ) | — |
| — |
|
| 277 |
|
| 8 |
| (c) | Mortgage servicing rights | 5,753 |
| (66 | ) | (e) | 253 |
| (2 | ) |
| | (200 | ) | — |
| — |
|
| 5,738 |
|
| (66 | ) | (e) | Other assets | 1,934 |
| 18 |
| (c) | 3 |
| (2 | ) | | | (82 | ) | — |
| — |
| | 1,871 |
| | 16 |
| (c) | | | | | | | | | | | | | | | | |
| Fair value measurements using significant unobservable inputs |
|
| Three months ended September 30, 2017 (in millions) | Fair value at July 1, 2017 | Total realized/unrealized (gains)/losses |
|
|
| |
| Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2017 | Change in unrealized (gains)/losses related to financial instruments held at September 30, 2017 | Purchases | Sales | Issuances | Settlements(g) | Liabilities:(b) |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
| Deposits | $ | 2,131 |
| $ | 33 |
| (c) | $ | — |
| $ | — |
| $ | 1,909 |
| | $ | (58 | ) | $ | — |
| $ | (177 | ) |
| $ | 3,838 |
|
| $ | 27 |
| (c) | Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| — |
| | — |
| — |
| — |
| | — |
| 1 |
| — |
| | 1 |
| | — |
| | Short-term borrowings | 1,314 |
| 33 |
| (c) | — |
| — |
| 818 |
| | (631 | ) | 13 |
| (76 | ) |
| 1,471 |
|
| 21 |
| (c) | Trading liabilities – debt and equity instruments | 36 |
| 2 |
| (c) | (23 | ) | 28 |
| — |
| | — |
| — |
| — |
|
| 43 |
|
| 3 |
| (c) | Accounts payable and other liabilities | 10 |
| — |
|
| — |
| — |
| — |
| | (1 | ) | — |
| — |
|
| 9 |
|
| — |
|
| Beneficial interests issued by consolidated VIEs | 1 |
| — |
|
| — |
| 39 |
| — |
| | — |
| 78 |
| — |
|
| 118 |
|
| — |
|
| Long-term debt | 14,732 |
| 319 |
| (c)(j) | — |
| — |
| 3,023 |
| (j) | (3,552 | ) | 181 |
| (209 | ) |
| 14,494 |
| (j) | 242 |
| (c)(j) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Nine months ended September 30, 2018 (in millions) | Fair value at January 1, 2018 | Total realized/unrealized gains/(losses) | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2018 | Change in unrealized gains/(losses) related to financial instruments held at September 30, 2018 | Purchases(f) | Sales | | Settlements(g) | Assets: | | | | | | | | | | | | | | | | Trading assets: | | | | | | | | | | | | | | | | Debt instruments: | | | | | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | U.S. government agencies | $ | 307 |
| | $ | 5 |
| | $ | 348 |
| $ | (126 | ) | | $ | (56 | ) | $ | 92 |
| $ | (41 | ) | | $ | 529 |
| | $ | 3 |
| | Residential – nonagency | 60 |
| | 1 |
| | 45 |
| (19 | ) | | (6 | ) | 58 |
| (62 | ) | | 77 |
| | 4 |
| | Commercial – nonagency | 11 |
| | 2 |
| | 7 |
| (8 | ) | | (13 | ) | 30 |
| (16 | ) | | 13 |
| | (1 | ) | | Total mortgage-backed securities | 378 |
| | 8 |
| | 400 |
| (153 | ) | | (75 | ) | 180 |
| (119 | ) | | 619 |
| | 6 |
| | U.S. Treasury and government agencies
| 1 |
| | — |
| | — |
| — |
| | — |
| — |
| (1 | ) | | — |
| | — |
| | Obligations of U.S. states and municipalities | 744 |
| | (3 | ) | | 107 |
| (70 | ) | | (79 | ) | — |
| — |
| | 699 |
| | (3 | ) | | Non-U.S. government debt securities | 78 |
| | (19 | ) | | 395 |
| (213 | ) | | (2 | ) | 18 |
| (93 | ) | | 164 |
| | (18 | ) | | Corporate debt securities | 312 |
| | (6 | ) | | 297 |
| (227 | ) | | (15 | ) | 249 |
| (215 | ) | | 395 |
| | (1 | ) | | Loans | 2,719 |
| | 58 |
| | 1,223 |
| (1,680 | ) | | (528 | ) | 422 |
| (681 | ) | | 1,533 |
| | (22 | ) | | Asset-backed securities | 153 |
| | 15 |
| | 64 |
| (29 | ) | | (53 | ) | 18 |
| (92 | ) | | 76 |
| | 8 |
| | Total debt instruments | 4,385 |
| | 53 |
| | 2,486 |
| (2,372 | ) | | (752 | ) | 887 |
| (1,201 | ) | | 3,486 |
| | (30 | ) | | Equity securities | 295 |
| | (1 | ) | | 99 |
| (108 | ) | | (1 | ) | 86 |
| (41 | ) | | 329 |
| | 11 |
| | Other | 690 |
| | (209 | ) | | 47 |
| (40 | ) | | (75 | ) | 3 |
| (3 | ) | | 413 |
| | (250 | ) | | Total trading assets – debt and equity instruments | 5,370 |
| | (157 | ) | (c) | 2,632 |
| (2,520 | ) | | (828 | ) | 976 |
| (1,245 | ) | | 4,228 |
| | (269 | ) | (c) | Net derivative receivables:(a) | | | | | | | | | | | | | | | | Interest rate | 264 |
| | 576 |
| | 83 |
| (77 | ) | | (234 | ) | 40 |
| 39 |
| | 691 |
| | 498 |
| | Credit | (35 | ) | | 19 |
| | 3 |
| (7 | ) | | 22 |
| 5 |
| 20 |
| | 27 |
| | 7 |
| | Foreign exchange | (396 | ) | | 184 |
| | 42 |
| (15 | ) | | (46 | ) | (114 | ) | 43 |
| | (302 | ) | | 42 |
| | Equity | (3,409 | ) | | 688 |
| | 1,467 |
| (1,919 | ) | | 1,043 |
| (324 | ) | 177 |
| | (2,277 | ) | | 31 |
| | Commodity | (674 | ) | | 468 |
| | — |
| — |
| | (287 | ) | 7 |
| (39 | ) | | (525 | ) | | 158 |
| | Total net derivative receivables | (4,250 | ) | | 1,935 |
| (c) | 1,595 |
| (2,018 | ) | | 498 |
| (386 | ) | 240 |
| | (2,386 | ) | | 736 |
| (c) | Available-for-sale securities: |
|
| | | | | | | | | | | | | | | Asset-backed securities | 276 |
| | 1 |
| | — |
| — |
| | (216 | ) | — |
| — |
| | 61 |
| | 1 |
| | Other | 1 |
| | — |
| | — |
| — |
| | — |
| — |
| — |
| | 1 |
| | — |
| | Total available-for-sale securities | 277 |
| | 1 |
| (d) | — |
| — |
| | (216 | ) | — |
| — |
| | 62 |
| | 1 |
| (d) | Loans | 276 |
| | (5 | ) | (c) | 123 |
| — |
| | (180 | ) | — |
| (74 | ) | | 140 |
| | (5 | ) | (c) | Mortgage servicing rights | 6,030 |
| | 576 |
| (e) | 770 |
| (401 | ) | | (542 | ) | — |
| — |
| | 6,433 |
| | 576 |
| (e) | Other assets | 1,265 |
| | (210 | ) | (c) | 49 |
| (16 | ) | | (28 | ) | 4 |
| (1 | ) | | 1,063 |
| | (217 | ) | (c) | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Nine months ended September 30, 2018 (in millions) | Fair value at January 1, 2018 | Total realized/unrealized (gains)/losses | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2018 | Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2018 | Purchases | Sales | Issuances | Settlements(g) | Liabilities:(b) | | | | | | | | | | | | | | | | Deposits | $ | 4,142 |
| | $ | (125 | ) | (c)(i) | $ | — |
| $ | — |
| $ | 1,272 |
| $ | (425 | ) | $ | 2 |
| $ | (426 | ) | | $ | 4,440 |
| | $ | (115 | ) | (c)(i) | Short-term borrowings | 1,665 |
| | (229 | ) | (c)(i) | — |
| — |
| 2,783 |
| (2,245 | ) | 61 |
| (64 | ) | | 1,971 |
| | 26 |
| (c)(i) | Trading liabilities – debt and equity instruments | 39 |
| | 28 |
| (c) | (68 | ) | 95 |
| — |
| (1 | ) | 9 |
| (6 | ) | | 96 |
| | 11 |
| (c) | Accounts payable and other liabilities | 13 |
| | — |
| | (6 | ) | 1 |
| — |
| — |
| 4 |
| — |
| | 12 |
| | — |
| | Beneficial interests issued by consolidated VIEs | 39 |
| | — |
| | — |
| — |
| — |
| (38 | ) | — |
| — |
| | 1 |
| | — |
| | Long-term debt | 16,125 |
| | (396 | ) | (c)(i) | — |
| — |
| 10,382 |
| (6,155 | ) | 653 |
| (571 | ) | | 20,038 |
| | (576 | ) | (c)(i) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Nine months ended September 30, 2017 (in millions) | Fair value at January 1, 2017 | Total realized/unrealized gains/(losses) | | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2017 | Change in unrealized gains/(losses) related to financial instruments held at September 30, 2017 | Purchases(f) | Sales | | | Settlements(g) | Assets: | | | | | | | | | | | | | | | | | Trading assets: | | | | | | | | | | | | | | | | | Debt instruments: | | | | | | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | | U.S. government agencies | $ | 392 |
| | $ | (9 | ) | | $ | 161 |
| $ | (166 | ) | | | $ | (55 | ) | $ | 37 |
| $ | (37 | ) | | $ | 323 |
| | $ | (17 | ) | | Residential – nonagency | 83 |
| | 14 |
| | 40 |
| (24 | ) | | | (21 | ) | 111 |
| (96 | ) | | 107 |
| | 2 |
| | Commercial – nonagency | 17 |
| | 5 |
| | 27 |
| (38 | ) | | | (5 | ) | 63 |
| (42 | ) | | 27 |
| | 1 |
| | Total mortgage-backed securities | 492 |
| | 10 |
| | 228 |
| (228 | ) | | | (81 | ) | 211 |
| (175 | ) | | 457 |
| | (14 | ) | | U.S. Treasury and government agencies
| — |
| | — |
| | — |
| — |
| | | — |
| 1 |
| — |
| | 1 |
| | — |
| | Obligations of U.S. states and municipalities | 649 |
| | 15 |
| | 126 |
| (70 | ) | | | (5 | ) | — |
| — |
| | 715 |
| | 15 |
| | Non-U.S. government debt securities | 46 |
| | 3 |
| | 426 |
| (395 | ) | | | — |
| 50 |
| (50 | ) | | 80 |
| | — |
| | Corporate debt securities | 576 |
| | — |
| | 690 |
| (473 | ) | | | (398 | ) | 128 |
| (162 | ) | | 361 |
| | 11 |
| | Loans | 4,837 |
| | 309 |
| | 2,055 |
| (2,565 | ) | | | (1,186 | ) | 564 |
| (807 | ) | | 3,207 |
| | 73 |
| | Asset-backed securities | 302 |
| | 27 |
| | 279 |
| (178 | ) | | | (44 | ) | 50 |
| (165 | ) | | 271 |
| | 2 |
| | Total debt instruments | 6,902 |
| | 364 |
| | 3,804 |
| (3,909 | ) | | | (1,714 | ) | 1,004 |
| (1,359 | ) | | 5,092 |
| | 87 |
| | Equity securities | 231 |
| | 40 |
| | 142 |
| (87 | ) | | | — |
| 18 |
| (56 | ) | | 288 |
| | 34 |
| | Other | 761 |
| | 85 |
| | 27 |
| (45 | ) | | | (137 | ) | 10 |
| (10 | ) | | 691 |
| | 46 |
| | Total trading assets – debt and equity instruments | 7,894 |
| | 489 |
| (c) | 3,973 |
| (4,041 | ) | | | (1,851 | ) | 1,032 |
| (1,425 | ) | | 6,071 |
| | 167 |
| (c) | Net derivative receivables:(a) | | | | | | | | | | | | | | | | | Interest rate | 1,263 |
| | 182 |
| | 53 |
| (76 | ) | | | (833 | ) | 55 |
| 20 |
| | 664 |
| | (184 | ) | | Credit | 98 |
| | (126 | ) | | 1 |
| (4 | ) | | | (64 | ) | 57 |
| 2 |
| | (36 | ) | | (57 | ) | | Foreign exchange | (1,384 | ) | | 86 |
| | 13 |
| (6 | ) | | | 633 |
| (16 | ) | 135 |
| | (539 | ) | | (12 | ) | | Equity | (2,252 | ) | | 24 |
| | 840 |
| (312 | ) | | | (660 | ) | (182 | ) | 167 |
| | (2,375 | ) | | 76 |
| | Commodity | (85 | ) | | (34 | ) | | — |
| — |
| | | 22 |
| 2 |
| (5 | ) | | (100 | ) | | 27 |
| | Total net derivative receivables | (2,360 | ) | | 132 |
| (c) | 907 |
| (398 | ) | | | (902 | ) | (84 | ) | 319 |
| | (2,386 | ) | | (150 | ) | (c) | Available-for-sale securities: | | | | | | | | | | | | | | | | | Asset-backed securities | 663 |
| | 14 |
| | — |
| (50 | ) | | | (141 | ) | — |
| — |
| | 486 |
| | 12 |
| | Other | 1 |
| | — |
| | — |
| — |
| | | — |
| — |
| — |
| | 1 |
| | — |
| | Total available-for-sale securities | 664 |
| | 14 |
| (d) | — |
| (50 | ) | | | (141 | ) | — |
| — |
| | 487 |
| | 12 |
| (d) | Loans | 570 |
| | 32 |
| (c) | — |
| (26 | ) | | | (299 | ) | — |
| — |
| | 277 |
| | 8 |
| (c) | Mortgage servicing rights | 6,096 |
| | (223 | ) | (e) | 624 |
| (140 | ) | | | (619 | ) | — |
| — |
| | 5,738 |
| | (224 | ) | (e) | Other assets | 2,223 |
| | 248 |
| (c) | 35 |
| (157 | ) | | | (478 | ) | — |
| — |
| | 1,871 |
| | 126 |
| (c) | | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Nine months ended September 30, 2017 (in millions) | Fair value at January 1, 2017 | Total realized/unrealized (gains)/losses | | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at September 30, 2017 | Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2017 | Purchases | Sales | Issuances | | Settlements(g) | Liabilities:(b) | | | | | | | | | | | | | | | | | Deposits | $ | 2,117 |
| | $ | 39 |
| (c) | $ | — |
| $ | — |
| $ | 2,510 |
| | $ | (169 | ) | $ | — |
| $ | (659 | ) | | $ | 3,838 |
| | $ | 140 |
| (c) | Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| | — |
| | — |
| — |
| — |
| | — |
| 1 |
| — |
| | 1 |
| | — |
| | Short-term borrowings | 1,134 |
| | 80 |
| (c) | — |
| | 2,208 |
| | (1,873 | ) | 53 |
| (131 | ) | | 1,471 |
| | 50 |
| (c) | Trading liabilities – debt and equity instruments | 43 |
| | 1 |
| (c) | (31 | ) | 32 |
| — |
| | 1 |
| 3 |
| (6 | ) | | 43 |
| | 1 |
| (c) | Accounts payable and other liabilities | 13 |
| | — |
| | (1 | ) | — |
| — |
| | (3 | ) | — |
| — |
| | 9 |
| | — |
| | Beneficial interests issued by consolidated VIEs | 48 |
| | 3 |
| | (44 | ) | 39 |
| — |
| | (6 | ) | 78 |
| — |
| | 118 |
| | — |
| | Long-term debt | 12,850 |
| | 918 |
| (c)(j) | — |
| — |
| 9,756 |
| (j) | (8,637 | ) | 269 |
| (662 | ) | | 14,494 |
| (j) | 996 |
| (c)(j) |
| | (a) | All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty. |
| | (b) | Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 15% at both September 30, 2018 and December 31, 2017, respectively. |
| | (c) | Predominantly reported in principal transactions revenue, except for changes in fair value. For a further discussion ofvalue for CCB mortgage loans and lending-related commitments originated with the Firm’sintent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income. |
| | (d) | Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities losses. Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) or foreign exchange hedge accounting relationships, see Note 4. To provide consistent fair value disclosure information, all physical commodities inventories have been includedadjustments recorded in each period presented. | | (d) | Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions). |
| | (e) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balancesincome on AFS securities for the three and nine months ended September 30, 2018 and 2017, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero and $2 million for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. |
| | (f) | Reflects the Firm’s adoption of rulebook changes made by two CCPs that require or allow the Firm to treat certain OTC-cleared derivative transactions as daily settled. For |
further information, see Note 5 of JPMorgan Chase's 2017 Annual Report.
| | (g) | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At March 31, 2018, and December 31, 2017, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $796 million and $779 million, respectively. Included in these balances at March 31, 2018, and December 31, 2017, were trading assets of $51 million and $54 million, respectively, and other assets of $745 million and $725 million, respectively. |
| | (h) | Effective January 1, 2018, the Firm adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption.
|
Transfers between levels for instruments carried at fair
value on a recurring basis
For the three months ended March 31,September 30, 2018 and 2017, there were no individually significant transfers.
respectively and $1 million and $14 million for the nine months ended September 30, 2018 and 2017, respectively. |
| | (e) | Changes in fair value for CCB MSRs are reported in mortgage fees and related income. |
| | (f) | Loan originations are included in purchases. |
| | (g) | Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidation associated with beneficial interests in VIEs and other items. |
| | (h) | All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur. Level 3 valuations
For further information on the Firm’s valuation process and a detailed discussion of the determination of
|
| | (i) | Realized (gains)/losses due to DVA for fair value for individual financial instruments, see Note 2 of JPMorgan Chase’s 2017 Annual Report.The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and, for certain instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components thatoption elected liabilities are actively quoted and can be validated to external sources)reported in addition to the unobservable components. The level 1 and/or level 2 inputsprincipal transactions revenue. Unrealized (gains)/losses are not includedreported in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.
The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.
In the Firm’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.
For the Firm’s derivatives and structured notes positions classified within level 3 at March 31, 2018, interest rate correlation inputs used in estimating fair valueOCI. Unrealized (gains)/losses were concentrated towards the upper end of the range; equity correlation, equity-FX, and equity-IR correlation inputs were concentrated in the middle of the range; commodity correlation inputs were concentrated in the middle of the range; credit correlation inputs were concentrated towards the lower end of the range; and the interest rate-foreign exchange (“IR-FX”) correlation inputs were concentrated towards the lower end of the range. In addition, the interest rate spread volatility inputs used in estimating fair value were distributed across the range; equity volatilities and commodity volatilities were concentrated towards the lower end of the range; and forward commodity prices used in estimating the fair value of commodity derivatives were concentrated towards the lower end of the range. Recovery rate, yield and prepayment speed inputs used in estimating fair value of credit derivatives were distributed across the range; credit spreads and conditional default rates were concentrated towards the lower end of the range; loss severity and price inputs were concentrated towards the upper end of the range.
| | | | | | | | | | | | | | | | | | | | Level 3 inputs(a) | | | | | | | March 31, 2018 | | | | | | | Product/Instrument | Fair value (in millions) | | Principal valuation technique | Unobservable inputs(g) | Range of input values | Weighted average | | Residential mortgage-backed securities and loans(b) | $ | 1,122 |
| | Discounted cash flows | Yield | 1 | % | – | 32 | % | | 7 | % | | | | Prepayment speed | 0 | % | – | 27 | % | | 8 | % | | | | | Conditional default rate | 0 | % | – | 41 | % | | 1 | % | | | | | Loss severity | 0 | % | – | 60 | % | | 3 | % | Commercial mortgage-backed securities and loans(c) | 766 |
| | Market comparables | Price | $ | 12 |
| – | $ | 100 |
| | $ | 94 |
| Obligations of U.S. states and municipalities | 704 |
| | Market comparables | Price | $ | 59 |
| – | $ | 100 |
| | $ | 98 |
| Corporate debt securities | 306 |
| | Market comparables | Price | $ | 3 |
| – | $ | 110 |
| | $ | 83 |
| Loans(d) | 1,454 |
| | Market comparables | Price | $ | 4 |
| – | $ | 106 |
| | $ | 86 |
| Asset-backed securities | 204 |
| | Discounted cash flows | Credit spread | 201 | bps | | 201 | bps | | | | | Prepayment speed | 20 | % | | 20 | % | | | | | Conditional default rate | 2 | % | | 2 | % | | | | | Loss severity | 30 | % | | 30 | % | | 63 |
| | Market comparables | Price | $ | 1 |
| – | $ | 104 |
| | $ | 80 |
| Net interest rate derivatives | 257 |
| | Option pricing | Interest rate spread volatility | 27 | bps | – | 38 | bps | | | | | | Interest rate correlation | (50 | )% | – | 98 | % | | | | | | | IR-FX correlation | 60 | % | – | 70 | % | | | | 215 |
| | Discounted cash flows | Prepayment speed | 0 | % | – | 30 | % | | | Net credit derivatives | 1 |
| | Discounted cash flows | Credit correlation | 35 | % | – | 70 | % | | | | | | | Credit spread | 5 | bps | – | 1,463 | bps | �� | | | | | | Recovery rate | 20 | % | – | 70 | % | | | | | | | Yield | 1 | % | – | 36 | % | | | | | | | Prepayment speed | 3 | % | – | 20 | % | | | | | | | Conditional default rate | 1 | % | – | 86 | % | | | | | | | Loss severity | 11 | % | – | 100 | % | | | | 4 |
| | Market comparables | Price | $ | 10 |
| – | $ | 98 |
| | | Net foreign exchange derivatives | (106 | ) | | Option pricing | IR-FX correlation | (50 | )% | – | 70 | % | | | | (182 | ) | | Discounted cash flows | Prepayment speed | 8 | % | – | 9 | % | | | Net equity derivatives | (2,512 | ) | | Option pricing | Equity volatility | 20 | % | – | 60 | % | | | | | | | Equity correlation | 0 | % | – | 85 | % | | | | | | | Equity-FX correlation | (70 | )% | – | 30 | % | | | | | | | Equity-IR correlation | 20 | % | – | 40 | % | | | Net commodity derivatives | (519 | ) | | Option pricing | Forward commodity price | $ | 52 |
| – | $ 71 per barrel | | | | | Commodity volatility | 5 | % | – | 45 | % | | | | | | | Commodity correlation | (52 | )% | – | 88 | % | | | MSRs | 6,202 |
| | Discounted cash flows | Refer to Note 14 | | | Other assets | 417 |
| | Discounted cash flows | Credit spread | 70 | bps | | 70 | bps | | | | | Yield | 8 | % | – | 10 | % | | 8 | % | | 1,501 |
| | Market comparables | Price | $ | 70 |
| – | $ | 71 |
| | $ | 71 |
| | | | | EBITDA multiple
| 4.1x |
| – | 8.2x |
| | 7.8 | x | Long-term debt, short-term borrowings, and deposits(e) | 23,092 |
| | Option pricing | Interest rate spread volatility | 27 | bps | – | 38 | bps | | | | | Interest rate correlation | (50 | )% | – | 98 | % | | | | | | IR-FX correlation | (50 | )% | – | 70 | % | | | | | | Equity correlation | 0 | % | – | 85 | % | | | | | | Equity-FX correlation | (70 | )% | – | 30 | % | | | | | | Equity-IR correlation | 20 | % | – | 40 | % | | | Other level 3 assets and liabilities, net(f) | 439 |
| | | | | | | | |
| | (a) | The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. |
| | (b) | Includes U.S. government agency securities of $504$123 million nonagency securities of $56 million and trading loans of $562 million. |
| | (c) | Includes U.S. government agency securities of $4 million, nonagency securities of $14 million, trading loans of $352 million and non-trading loans of $396 million. |
| | (d) | Includes trading loans of $1.5 billion. |
| | (e) | Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. |
| | (f) | Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. |
| | (g) | Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100. |
Changes in and ranges of unobservable inputs
For a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the Firm’s positions see Note 2 of JPMorgan Chase’s 2017 Annual Report.
Changes in level 3 recurring fair value measurements
The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three months ended March 31,September 30, 2018 and 2017. When a determination is made to classify a financial instrument within level 3,unrealized (gains)/losses were not material for the determination is based onnine months ended September 30, 2018. There were no material realized (gains)/losses for the significance of the unobservable parameters to the overall
fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quotedthree and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Three months ended March 31, 2018 (in millions) | Fair value at Jan 1, 2018 | Total realized/unrealized gains/(losses) | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at March 31, 2018 | Change in unrealized gains/(losses) related to financial instruments held at March 31, 2018 | Purchases(f) | Sales | | Settlements(g) | Assets: | | | | | | | | | | | | | | | | Trading assets: | | | | | | | | | | | | | | | | Debt instruments: | | | | | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | | | | | U.S. government agencies | $ | 307 |
| | $ | 3 |
| | $ | 329 |
| $ | (87 | ) | | $ | (20 | ) | $ | 4 |
| $ | (28 | ) | | $ | 508 |
| | $ | 1 |
| | Residential – nonagency | 60 |
| | (2 | ) | | — |
| (2 | ) | | (2 | ) | 29 |
| (28 | ) | | 55 |
| | — |
| | Commercial – nonagency | 11 |
| | 1 |
| | 6 |
| (7 | ) | | (1 | ) | 4 |
| — |
| | 14 |
| | — |
| | Total mortgage-backed securities | 378 |
| | 2 |
| | 335 |
| (96 | ) | | (23 | ) | 37 |
| (56 | ) | | 577 |
| | 1 |
| | U.S. Treasury and government agencies
| 1 |
| | — |
| | — |
| — |
| | — |
| — |
| (1 | ) | | — |
| | — |
| | Obligations of U.S. states and municipalities | 744 |
| | (2 | ) | | 39 |
| — |
| | (77 | ) | — |
| — |
| | 704 |
| | (2 | ) | | Non-U.S. government debt securities | 78 |
| | 2 |
| | 225 |
| (92 | ) | | — |
| 17 |
| (33 | ) | | 197 |
| | 3 |
| | Corporate debt securities | 312 |
| | (1 | ) | | 81 |
| (100 | ) | | (1 | ) | 131 |
| (116 | ) | | 306 |
| | (1 | ) | | Loans | 2,719 |
| | 62 |
| | 470 |
| (728 | ) | | (137 | ) | 123 |
| (141 | ) | | 2,368 |
| | 30 |
| | Asset-backed securities | 153 |
| | 5 |
| | 14 |
| (13 | ) | | (34 | ) | 11 |
| (73 | ) | | 63 |
| | — |
| | Total debt instruments | 4,385 |
| | 68 |
| | 1,164 |
| (1,029 | ) | | (272 | ) | 319 |
| (420 | ) | | 4,215 |
| | 31 |
| | Equity securities | 295 |
| | (8 | ) | | 28 |
| (10 | ) | | — |
| 4 |
| (9 | ) | | 300 |
| | (7 | ) | | Other | 690 |
| | 15 |
| | 18 |
| (6 | ) | | (20 | ) | 1 |
| — |
| | 698 |
| | 15 |
| | Total trading assets – debt and equity instruments | 5,370 |
| | 75 |
| (c) | 1,210 |
| (1,045 | ) | | (292 | ) | 324 |
| (429 | ) | | 5,213 |
| | 39 |
| (c) | Net derivative receivables:(a) | | | | | | | | | | | | | | | | Interest rate | 264 |
| | 53 |
| | 17 |
| (4 | ) | | 46 |
| 26 |
| 70 |
| | 472 |
| | 131 |
| | Credit | (35 | ) | | 17 |
| | 1 |
| (2 | ) | | 4 |
| 3 |
| 17 |
| | 5 |
| | 11 |
| | Foreign exchange | (396 | ) | | 146 |
| | — |
| (5 | ) | | 11 |
| (38 | ) | (6 | ) | | (288 | ) | | 156 |
| | Equity | (3,409 | ) | | 639 |
| | 218 |
| (242 | ) | | 434 |
| (111 | ) | (41 | ) | | (2,512 | ) | | 448 |
| | Commodity | (674 | ) | | 185 |
| | — |
| — |
| | 12 |
| 1 |
| (43 | ) | | (519 | ) | | 227 |
| | Total net derivative receivables | (4,250 | ) | | 1,040 |
| (c) | 236 |
| (253 | ) | | 507 |
| (119 | ) | (3 | ) | | (2,842 | ) | | 973 |
| (c) | Available-for-sale securities: | | | | | | | | | | | | | | | | Asset-backed securities | 276 |
| | 1 |
| | — |
| — |
| | (73 | ) | — |
| — |
| | 204 |
| | 1 |
| | Other | 1 |
| | — |
| | — |
| — |
| | — |
| — |
| — |
| | 1 |
| | — |
| | Total available-for-sale securities | 277 |
| | 1 |
| (d) | — |
| — |
| | (73 | ) | — |
| — |
| | 205 |
| | 1 |
| (d) | Loans | 276 |
| | 5 |
| (c) | 122 |
| — |
| | (7 | ) | — |
| — |
| | 396 |
| | 5 |
| (c) | Mortgage servicing rights | 6,030 |
| | 384 |
| (e) | 243 |
| (295 | ) | | (160 | ) | — |
| — |
| | 6,202 |
| | 384 |
| (e) | Other assets | 1,265 |
| | (37 | ) | (c) | 23 |
| (14 | ) | | (16 | ) | — |
| (1 | ) | | 1,220 |
| | (38 | ) | (c) | | | | | | | | | | | | | | | | | | Fair value measurements using significant unobservable inputs | | | Three months ended March 31, 2018 (in millions) | Fair value at Jan 1, 2018 | Total realized/unrealized (gains)/losses | | | | | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at March 31, 2018 | Change in unrealized (gains)/ losses related to financial instruments held at March 31, 2018 | Purchases | Sales | Issuances | Settlements(g) | Liabilities:(b) | | | | | | | | | | | | | | | | Deposits | $ | 4,142 |
| | $ | (90 | ) | (c)(i) | $ | — |
| $ | — |
| $ | 321 |
| $ | (198 | ) | $ | — |
| $ | (158 | ) | | $ | 4,017 |
| | $ | (125 | ) | (c)(i) | Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| | — |
| | — |
| — |
| — |
| — |
| — |
| — |
| | — |
| | — |
| | Short-term borrowings | 1,665 |
| | 15 |
| (c)(i) | — |
| — |
| 1,208 |
| (746 | ) | 12 |
| (29 | ) | | 2,125 |
| | 43 |
| (c)(i) | Trading liabilities – debt and equity instruments | 39 |
| | 3 |
| (c) | (37 | ) | 43 |
| — |
| 1 |
| 2 |
| (1 | ) | | 50 |
| | 5 |
| (c) | Accounts payable and other liabilities | 13 |
| | — |
| | (6 | ) | — |
| — |
| — |
| — |
| — |
| | 7 |
| | — |
| | Beneficial interests issued by consolidated VIEs | 39 |
| | — |
|
| — |
| — |
| — |
| (38 | ) | — |
| — |
| | 1 |
| | — |
|
| Long-term debt | 16,125 |
| | (246 | ) | (c)(i) | — |
| — |
| 3,091 |
| (2,263 | ) | 375 |
| (132 | ) | | 16,950 |
| | (354 | ) | (c)(i) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fair value measurements using significant unobservable inputs
|
| | Three months ended March 31, 2017 (in millions) | Fair value at Jan 1, 2017 | Total realized/unrealized gains/(losses) |
|
|
| |
| Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at March 31, 2017 | Change in unrealized gains/(losses) related to financial instruments held at March 31, 2017 | Purchases(f) | Sales |
| | Settlements(g) | Assets: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Trading assets: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Debt instruments: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Mortgage-backed securities: |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| U.S. government agencies | $ | 392 |
| $ | 4 |
|
| $ | 79 |
| $ | (97 | ) |
| | $ | (16 | ) | $ | 7 |
| $ | (16 | ) |
| $ | 353 |
|
| $ | (1 | ) |
| Residential – nonagency | 83 |
| 9 |
|
| 5 |
| (17 | ) |
| | (4 | ) | 15 |
| (56 | ) |
| 35 |
|
| 1 |
|
| Commercial – nonagency | 17 |
| 3 |
|
| 7 |
| (8 | ) |
| | (3 | ) | 30 |
| (1 | ) |
| 45 |
|
| (1 | ) |
| Total mortgage-backed securities | 492 |
| 16 |
|
| 91 |
| (122 | ) |
| | (23 | ) | 52 |
| (73 | ) |
| 433 |
|
| (1 | ) |
| Obligations of U.S. states and municipalities | 649 |
| 8 |
|
| 85 |
| (69 | ) |
| | (5 | ) | — |
| — |
|
| 668 |
|
| 8 |
|
| Non-U.S. government debt securities | 46 |
| — |
|
| 72 |
| (83 | ) |
| | — |
| 26 |
| (14 | ) |
| 47 |
|
| — |
|
| Corporate debt securities | 576 |
| (9 | ) |
| 423 |
| (108 | ) |
| | (122 | ) | 33 |
| (55 | ) |
| 738 |
|
| (9 | ) |
| Loans | 4,837 |
| 110 |
|
| 762 |
| (744 | ) |
| | (375 | ) | 196 |
| (198 | ) |
| 4,588 |
|
| 61 |
|
| Asset-backed securities | 302 |
| 14 |
|
| 98 |
| (138 | ) |
| | (11 | ) | 8 |
| (28 | ) |
| 245 |
|
| 5 |
|
| Total debt instruments | 6,902 |
| 139 |
|
| 1,531 |
| (1,264 | ) |
| | (536 | ) | 315 |
| (368 | ) |
| 6,719 |
|
| 64 |
|
| Equity securities | 231 |
| 13 |
|
| 56 |
| (6 | ) |
| | — |
| 1 |
| (24 | ) |
| 271 |
|
| 12 |
|
| Other | 761 |
| 22 |
|
| 19 |
| — |
|
| | (47 | ) | 8 |
| — |
|
| 763 |
|
| 31 |
|
| Total trading assets – debt and equity instruments | 7,894 |
| 174 |
| (c) | 1,606 |
| (1,270 | ) |
| | (583 | ) | 324 |
| (392 | ) |
| 7,753 |
|
| 107 |
| (c) | Net derivative receivables:(a) |
|
|
|
|
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
|
| Interest rate | 1,263 |
| 44 |
|
| 16 |
| (23 | ) |
| | (303 | ) | 4 |
| 8 |
|
| 1,009 |
|
| 6 |
|
| Credit | 98 |
| (46 | ) |
| — |
| (2 | ) |
| | (42 | ) | 11 |
| (2 | ) |
| 17 |
|
| (43 | ) |
| Foreign exchange | (1,384 | ) | (24 | ) |
| — |
| (2 | ) |
| | (91 | ) | 11 |
| — |
|
| (1,490 | ) |
| (18 | ) |
| Equity | (2,252 | ) | 69 |
|
| 336 |
| (45 | ) |
| | (24 | ) | (73 | ) | 93 |
|
| (1,896 | ) |
| (89 | ) |
| Commodity | (85 | ) | 18 |
|
| — |
| — |
|
| | 2 |
| 6 |
| 3 |
|
| (56 | ) |
| 26 |
|
| Total net derivative receivables | (2,360 | ) | 61 |
| (c) | 352 |
| (72 | ) |
| | (458 | ) | (41 | ) | 102 |
|
| (2,416 | ) |
| (118 | ) | (c) | Available-for-sale securities: | | |
| | |
| | | | |
| |
| |
| Asset-backed securities | 663 |
| 10 |
|
| — |
| (50 | ) |
| | (1 | ) | — |
| — |
|
| 622 |
|
| 8 |
|
| Other | 1 |
| — |
|
| — |
| — |
|
| | — |
| — |
| — |
|
| 1 |
|
| — |
|
| Total available-for-sale securities | 664 |
| 10 |
| (d) | — |
| (50 | ) |
| | (1 | ) | — |
| — |
|
| 623 |
|
| 8 |
| (d) | Loans | 570 |
| 6 |
| (c) | — |
| — |
|
| | (172 | ) | — |
| — |
|
| 404 |
|
| 6 |
| (c) | Mortgage servicing rights | 6,096 |
| 43 |
| (e) | 217 |
| (71 | ) |
| | (206 | ) | — |
| — |
|
| 6,079 |
|
| 43 |
| (e) | Other assets | 2,223 |
| 37 |
| (c) | 3 |
| (77 | ) | | | (109 | ) | — |
| — |
| | 2,077 |
| | 33 |
| (c) |
| Fair value measurements using significant unobservable inputs |
|
| Three months ended March 31, 2017 (in millions) | Fair value at Jan 1, 2017 | Total realized/unrealized (gains)/losses |
|
|
| |
| Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at March 31, 2017 | Change in unrealized (gains)/losses related to financial instruments held at March 31, 2017 | Purchases | Sales | Issuances | Settlements(g) | Liabilities:(b) |
|
|
|
|
|
| |
|
| |
|
|
|
|
|
|
|
| Deposits | $ | 2,117 |
| $ | (24 | ) | (c) | $ | — |
| $ | — |
| $ | 309 |
| | $ | (80 | ) | $ | — |
| $ | (189 | ) |
| $ | 2,133 |
|
| $ | (25 | ) | (c) | Federal funds purchased and securities loaned or sold under repurchase agreements | — |
| — |
| | — |
| — |
| — |
| | — |
| — |
| — |
| | — |
| | — |
| | Short-term borrowings | 1,134 |
| 1 |
| (c) | — |
| — |
| 707 |
| | (585 | ) | 17 |
| (13 | ) |
| 1,261 |
|
| 2 |
| (c) | Trading liabilities – debt and equity instruments | 43 |
| — |
|
| (1 | ) | 2 |
| — |
| | 1 |
| 2 |
| (2 | ) |
| 45 |
|
| — |
|
| Accounts payable and other liabilities | 13 |
| — |
|
| — |
| — |
| — |
| | (2 | ) | — |
| — |
|
| 11 |
|
| — |
|
| Beneficial interests issued by consolidated VIEs | 48 |
| 3 |
| (c) | — |
| — |
| — |
| | — |
| — |
| — |
|
| 51 |
|
| 3 |
| (c) | Long-term debt | 12,850 |
| 529 |
| (c)(j) | — |
| — |
| 3,792 |
| (j) | (2,811 | ) | 35 |
| (301 | ) |
| 14,094 |
| (j) | 524 |
| (c)(j) |
| | (a) | All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty. |
| | (b) | Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 14% and 15% at March 31,nine months ended September 30, 2018, and December 31, 2017, respectively. |
| | (c) | Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income. |
| | (d) | Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities losses. Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) or foreign exchange hedge accounting adjustments recorded in income on AFS securities for the three months ended March 31, 2018 and 2017, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $1 million and $10 million for the three months ended March 31, 2018 and 2017, respectively. |
| | (e) | Changes in fair value for CCB MSRs are reported in mortgage fees and related income. |
| | (f) | Loan originations are included in purchases. |
| | (g) | Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidation associated with beneficial interests in VIEs and other items. |
| | (h) | All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur. |
| | (i) | Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue. Unrealized (gains)/losses are reported in OCI. Unrealized losses were $52 million for the three months ended March 31, 2018. There were no realized gains for three months ended March 31, 2018. |
| | (j) | The prior period amounts have been revised to conform with the current period presentation. |
Level 3 analysis Consolidated balance sheets changes Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 0.8% of total Firm assets at September 30, 2018. The following describes significant changes to level 3 assets since December 31, 2017, for those items measured at fair value on a recurring basis. For further information on changes impacting items measured at fair value on a nonrecurring basis, refer to Assets and liabilities measured at fair value on a nonrecurring basis onpage 105. Three months ended September 30, 2018 Level 3 assets were $19.0 billion at September 30, 2018, reflecting a decrease of $272 million from June 30, 2018 with no movements that were individually significant. Nine months ended September 30, 2018 Level 3 assets at September 30, 2018 decreased by $185 million from December 31, 2017 with no movements that were individually significant. Gains and losses The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the periods indicated. For further information on these instruments, refer to Changes in level 3 recurring fair value measurements rollforward tables onpages 99–104. Three months ended September 30, 2018 $394 million of net gains on assets and $100 million of net gains on liabilities, none of which were individually significant. Three months ended September 30, 2017 $186 million of net gains on assets and $387 million of net losses on liabilities, none of which were individually significant. Nine months ended September 30, 2018 $2.1 billion of net gains on assets predominantly driven by market movements in derivative receivables. $722 million of net gains on liabilities, none of which were individually significant. Nine months ended September 30, 2017 $692 million of of net gains on assets and $1.0 billion of net losses on liabilities, none of which were individually significant. Credit and funding adjustments — derivatives The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Credit and funding adjustments: | | | | | | | | Derivatives CVA | $ | 66 |
| | $ | 245 |
| | $ | 223 |
| | $ | 715 |
| Derivatives FVA | 88 |
| | (222 | ) | | 102 |
| | (289 | ) |
For further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities, refer to Note 2 of JPMorgan Chase’s 2017 Annual Report.
Assets and liabilities measured at fair value on a nonrecurring basis The following tables present the assets still held as of September 30, 2018 and 2017, respectively, for which a nonrecurring fair value adjustment was recorded during the nine months ended September 30, 2018 and 2017, respectively, by major product category and fair value hierarchy. | | | | | | | | | | | | | | | | | Fair value hierarchy | | Total fair value | September 30, 2018 (in millions) | Level 1 |
| Level 2 |
| | Level 3 |
| | Loans | $ | — |
| $ | 492 |
|
| $ | 243 |
| (a) | $ | 735 |
| Other assets(b) | — |
| 216 |
| | 826 |
| | 1,042 |
| Total assets measured at fair value on a nonrecurring basis | $ | — |
| $ | 708 |
| | $ | 1,069 |
|
| $ | 1,777 |
|
| | | | | | | | | | | | | | | | | Fair value hierarchy | | Total fair value | September 30, 2017 (in millions) | Level 1 |
| Level 2 |
| | Level 3 |
| | Loans | $ | — |
| $ | 338 |
| | $ | 542 |
| | $ | 880 |
| Other assets | — |
| 7 |
| | 245 |
| | 252 |
| Total assets measured at fair value on a nonrecurring basis | $ | — |
| $ | 345 |
| | $ | 787 |
| | $ | 1,132 |
|
| | (a) | Of the $243 million in level 3 assets measured at fair value on a nonrecurring basis) were 0.8%basis as of total Firm assetsSeptember 30, 2018, $200 million related to residential real estate loans carried at March 31, 2018. The following describes significant changes tothe net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 assets since December 31, 2017, for those items measured at fair value onas they are valued using a recurring basis. For further information on changes impacting items measured at fair value on a nonrecurring basis, see Assetsbroker’s price opinion and liabilities measured at fair value on a nonrecurring basis on page 90.Three months ended March 31, 2018
Level 3 assets were $19.5 billion at March 31, 2018, reflecting an increase of $267 million from December 31, 2017 with no movements that were individually significant.
Gains and losses
The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the periods indicated. For further information on these instruments, see Changes in level 3 recurring fair value measurements rollforward tables on pages 86–89.
Three months ended March 31, 2018
$1.5 billion of net gains on assets and $318 million of net gains on liabilities, none of which were individually significant.
Three months ended March 31, 2017
$331 million of net gains on assets and $509 million of net losses on liabilities, none of which were individually significant.
Credit and funding adjustments — derivatives
The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact ofdiscounted based upon the Firm’s own credit quality onexperience with actual liquidation values. These discounts to the inception valuebroker price opinions ranged from 13% to 40% with a weighted average of liabilities as well as the impact of changes in the Firm’s own credit quality over time.
| | | | | | | | | | Three months ended March 31, 2017 | (in millions) | 2018 |
| | 2017 |
| Credit and funding adjustments: | | | | Derivatives CVA | $ | 84 |
| | $ | 221 |
| Derivatives FVA | (83 | ) | | (7 | ) |
For further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities, see Note 2 of JPMorgan Chase’s 2017 Annual Report.
Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three months ended 2018 and 2017, respectively, by major product category and fair value hierarchy. | | | | | | | | | | | | | | | | | Fair value hierarchy | | Total fair value | March 31, 2018 (in millions) | Level 1 |
| Level 2 |
| | Level 3 |
| | Loans | $ | — |
| $ | 690 |
|
| $ | 165 |
| (a) | $ | 855 |
| Other assets(b) | — |
| 236 |
| | 572 |
| | 808 |
| Total assets measured at fair value on a nonrecurring basis | $ | — |
| $ | 926 |
| | $ | 737 |
|
| $ | 1,663 |
|
| | | | | | | | | | | | | | | | | Fair value hierarchy | | Total fair value | March 31, 2017 (in millions) | Level 1 |
| Level 2 |
| | Level 3 |
| | Loans | $ | — |
| $ | 6,530 |
| | $ | 221 |
| | $ | 6,751 |
| Other assets | — |
| 4 |
| | 243 |
| | 247 |
| Total assets measured at fair value on a nonrecurring basis | $ | — |
| $ | 6,534 |
| | $ | 464 |
| | $ | 6,998 |
|
| | (a) | Of the $165 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2018, $89 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon the Firm’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 13% to 38% with a weighted average of 21%22%. |
| | (b) | Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative) as a result of the adoption of the recognition and measurement guidance. Of the $572 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2018, $406 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares. |
There were no material liabilities measured at fair value on a nonrecurring basis at March 31, 2018 and March 31, 2017.
Nonrecurring fair value changes
The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been recognized for the three months ended March 31, 2018 and 2017, related to financial instruments held at those dates.
| | | | | | | | | | Three months ended March 31, | | 2018 |
| | 2017 |
| Loans | $ | (15 | ) | | $ | (322 | ) | Other assets | 496 |
| (a) | (31 | ) | Total nonrecurring fair value gains/(losses) | $ | 481 |
| | $ | (353 | ) |
| | (a) | Included $505 million of fair value gains as a result of the measurement alternative. For additional information, see Note 1. |
For further information about the measurement of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance), see Note 12 of JPMorgan Chase’s 2017 Annual Report.
Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value
The following table presents by fair value hierarchy classification the carrying values and estimated fair values at March 31, 2018, and December 31, 2017, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value,see Note 2 of JPMorgan Chase’s 2017 Annual Report.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | (in billions) | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | Financial assets | | | | | | | | | | | | Cash and due from banks | $ | 24.8 |
| $ | 24.8 |
| $ | — |
| $ | — |
| $ | 24.8 |
| | $ | 25.9 |
| $ | 25.9 |
| $ | — |
| $ | — |
| $ | 25.9 |
| Deposits with banks | 390.0 |
| 387.0 |
| 3.0 |
| — |
| 390.0 |
| | 405.4 |
| 401.8 |
| 3.6 |
| — |
| 405.4 |
| Accrued interest and accounts receivable | 72.0 |
| — |
| 71.9 |
| 0.1 |
| 72.0 |
| | 67.0 |
| — |
| 67.0 |
| — |
| 67.0 |
| Federal funds sold and securities purchased under resale agreements | 234.1 |
| — |
| 234.1 |
| — |
| 234.1 |
| | 183.7 |
| — |
| 183.7 |
| — |
| 183.7 |
| Securities borrowed | 113.1 |
| — |
| 113.1 |
| — |
| 113.1 |
| | 102.1 |
| — |
| 102.1 |
| — |
| 102.1 |
| Securities, held-to-maturity | 29.0 |
| — |
| 29.1 |
| — |
| 29.1 |
| | 47.7 |
| — |
| 48.7 |
| — |
| 48.7 |
| Loans, net of allowance for loan losses(a) | 918.1 |
| — |
| 217.0 |
| 703.5 |
| 920.5 |
| | 914.6 |
| — |
| 213.2 |
| 707.1 |
| 920.3 |
| Other(b) | 55.5 |
| — |
| 54.6 |
| 1.0 |
| 55.6 |
| | 53.9 |
| — |
| 52.1 |
| 9.2 |
| 61.3 |
| Financial liabilities | | | | | | | | | | | | Deposits | $ | 1,466.8 |
| $ | — |
| $ | 1,466.9 |
| $ | — |
| $ | 1,466.9 |
| | $ | 1,422.7 |
| $ | — |
| $ | 1,422.7 |
| $ | — |
| $ | 1,422.7 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | 178.4 |
| — |
| 178.4 |
| — |
| 178.4 |
| | 158.2 |
| — |
| 158.2 |
| — |
| 158.2 |
| Short-term borrowings | 53.9 |
| — |
| 53.6 |
| 0.2 |
| 53.8 |
| | 42.6 |
| — |
| 42.4 |
| 0.2 |
| 42.6 |
| Accounts payable and other liabilities | 156.1 |
| — |
| 153.4 |
| 2.7 |
| 156.1 |
| | 152.0 |
| — |
| 148.9 |
| 2.9 |
| 151.8 |
| Beneficial interests issued by consolidated VIEs | 21.6 |
| — |
| 21.6 |
| — |
| 21.6 |
| | 26.0 |
| — |
| 26.0 |
| — |
| 26.0 |
| Long-term debt and junior subordinated deferrable interest debentures | 225.3 |
| — |
| 227.1 |
| 3.1 |
| 230.2 |
| | 236.6 |
| — |
| 240.3 |
| 3.2 |
| 243.5 |
|
Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, see Note 1.
| | (a) | Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 156–159 of JPMorgan Chase’s 2017 Annual Report. |
| | (b) | The prior period amounts have been revised to conform with the current period presentation. |
The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | (in billions) | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | Wholesale lending-related commitments | $ | 1.1 |
| $ | — |
| $ | — |
| $ | 1.5 |
| $ | 1.5 |
| | $ | 1.1 |
| $ | — |
| $ | — |
| $ | 1.6 |
| $ | 1.6 |
|
| | (a) | Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees. |
The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. For a further discussion of the valuation of lending-related commitments, see page 157 of JPMorgan Chase’s 2017 Annual Report.
Equity securities without readily determinable fair values
As a result of the adoption of the recognition and measurement guidanceguidance. Of the $826 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2018, $724 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.
|
There were no material liabilities measured at fair value on a nonrecurring basis at September 30, 2018 and at September 30, 2017. Nonrecurring fair value changes The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been recognized for the three and nine months ended September 30, 2018 and 2017, related to financial instruments held at those dates. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Loans | $ | (22 | ) | | $ | (52 | ) | | $ | (36 | ) |
| $ | (157 | ) | Other assets | (117 | ) | (a) | (11 | ) | | 383 |
| (a) | (44 | ) | Accounts payable and other liabilities | — |
| | — |
| | — |
| | (1 | ) | Total nonrecurring fair value gains/(losses) | $ | (139 | ) | | $ | (63 | ) | | $ | 347 |
| | $ | (202 | ) |
| | (a) | Included $(113) million and $384 million for the electionthree months and nine months ended September 30, 2018, respectively, of fair value gains/(losses) as a result of the measurement alternative,alternative. |
For further information about the measurement of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance), refer to Note 12 of JPMorgan Chase’s 2017 Annual Report.
Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value The following table presents by fair value hierarchy classification the carrying values and estimated fair values at September 30, 2018, and December 31, 2017, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, refer to Note2 of JPMorgan Chase’s 2017 Annual Report. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | (in billions) | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | Financial assets | | | | | | | | | | | | Cash and due from banks | $ | 23.2 |
| $ | 23.2 |
| $ | — |
| $ | — |
| $ | 23.2 |
| | $ | 25.9 |
| $ | 25.9 |
| $ | — |
| $ | — |
| $ | 25.9 |
| Deposits with banks | 395.9 |
| 392.2 |
| 3.7 |
| — |
| 395.9 |
| | 405.4 |
| 401.8 |
| 3.6 |
| — |
| 405.4 |
| Accrued interest and accounts receivable | 77.7 |
| — |
| 77.6 |
| 0.1 |
| 77.7 |
| | 67.0 |
| — |
| 67.0 |
| — |
| 67.0 |
| Federal funds sold and securities purchased under resale agreements | 205.4 |
| — |
| 205.4 |
| — |
| 205.4 |
| | 183.7 |
| — |
| 183.7 |
| — |
| 183.7 |
| Securities borrowed | 117.9 |
| — |
| 117.9 |
| — |
| 117.9 |
| | 102.1 |
| — |
| 102.1 |
| — |
| 102.1 |
| Securities, held-to-maturity | 31.4 |
| — |
| 30.9 |
| — |
| 30.9 |
| | 47.7 |
| — |
| 48.7 |
| — |
| 48.7 |
| Loans, net of allowance for loan losses(a) | 938.2 |
| — |
| 227.3 |
| 710.0 |
| 937.3 |
| | 914.6 |
| — |
| 213.2 |
| 707.1 |
| 920.3 |
| Other(b) | 55.0 |
| — |
| 54.1 |
| 1.0 |
| 55.1 |
| | 53.9 |
| — |
| 52.1 |
| 9.2 |
| 61.3 |
| Financial liabilities | | | | | | | | | | | | Deposits | $ | 1,438.3 |
| $ | — |
| $ | 1,438.4 |
| $ | — |
| $ | 1,438.4 |
| | $ | 1,422.7 |
| $ | — |
| $ | 1,422.7 |
| $ | — |
| $ | 1,422.7 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | 180.5 |
| — |
| 180.5 |
| — |
| 180.5 |
| | 158.2 |
| — |
| 158.2 |
| — |
| 158.2 |
| Short-term borrowings | 56.7 |
| — |
| 56.7 |
| — |
| 56.7 |
| | 42.6 |
| — |
| 42.4 |
| 0.2 |
| 42.6 |
| Accounts payable and other liabilities | 173.4 |
| — |
| 170.0 |
| 3.1 |
| 173.1 |
| | 152.0 |
| — |
| 148.9 |
| 2.9 |
| 151.8 |
| Beneficial interests issued by consolidated VIEs | 20.2 |
| — |
| 20.2 |
| — |
| 20.2 |
| | 26.0 |
| — |
| 26.0 |
| — |
| 26.0 |
| Long-term debt and junior subordinated deferrable interest debentures | 216.0 |
| — |
| 217.5 |
| 3.3 |
| 220.8 |
| | 236.6 |
| — |
| 240.3 |
| 3.2 |
| 243.5 |
|
Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. | | (a) | Fair value is typically estimated using a discounted cash flow model that incorporates the Firm measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investmentcharacteristics of the same issuer, with such changes recognized in earnings.In its determinationunderlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the new carrying values upon observable price changes,underlying collateral. The difference between the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflectvalue and carrying value of a financial asset or liability is the result of the different rights and obligations of similar securities, and other adjustments thatmethodologies used to determine fair value as compared with carrying value. For example, credit losses are consistent with the Firm’s valuation techniquesestimated for private equity direct investments.
The following table presents equity securities without readily determinablea financial asset’s remaining life in a fair values thatvalue calculation but are measured under the measurement alternative and the related adjustments recorded during theestimated for a loss emergence period for those securities with observable price changes. These securities are included in the nonrecurringallowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value tables when applicable price changes are observable.
| | | | | As of or for three months ended March 31, 2018 (in millions) | Carrying value(a) | | Upward carrying value changes | Other assets | $1,429 | | $505 |
(a) The amount of downward carrying value changes and impairment was immaterial.
Includedcalculation but is generally not considered in other assets above is the Firm’s interest in approximately 40 million Visa Class B shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be converted into Visa Class A shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B shares into Visa Class A shares is 1.6483 at March 31, 2018, and may be adjusted by Visa depending on developments related to the litigation matters.
Note 3 – Fair value option
allowance for loan losses. For a further discussion of the primary financial instrumentsFirm’s methodologies for whichestimating the fair value option was elected, including the basis for those electionsof loans and the determination of instrument-specific credit risk, where relevant, see Note 3lending-related commitments, refer to Valuation hierarchy on pages 156–159 of JPMorgan Chase’s 2017 Annual Report. Changes in fair value under
|
| | (b) | The prior period amounts have been revised to conform with the fair value option electioncurrent period presentation. |
The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated. | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | (in billions) | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | Wholesale lending-related commitments | $1.1 | $— | $— | $1.5 | $1.5 | | $1.1 | $— | $— | $1.6 | $1.6 |
The following table presents | | (a) | Excludes the changes in fair value included incurrent carrying values of the Consolidated statementsguarantee liability and the offsetting asset, each of income for the three months ended March 31, 2018 and 2017, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measuredis recognized at fair value are not included inat the table. | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended March 31, |
| 2018 | | 2017 | (in millions) | Principal transactions |
| All other income | Total changes in fair value recorded (e) | | Principal transactions | | All other income | Total changes in fair value recorded (e) | Federal funds sold and securities purchased under resale agreements | $ | 7 |
|
| $ | — |
|
| $ | 7 |
|
| | $ | (21 | ) | | $ | — |
| | $ | (21 | ) | Securities borrowed | (27 | ) |
| — |
|
| (27 | ) |
| | 77 |
| | — |
| | 77 |
| Trading assets: | |
| |
|
|
|
| | | | | | | Debt and equity instruments, excluding loans | (186 | ) |
| — |
|
| (186 | ) |
| | 361 |
| | — |
| | 361 |
| Loans reported as trading assets: | |
| |
|
|
|
| | | | | | | Changes in instrument-specific credit risk | 122 |
|
| 5 |
| (c) | 127 |
|
| | 174 |
| | 6 |
| (c) | 180 |
| Other changes in fair value | 41 |
|
| (90 | ) | (c) | (49 | ) |
| | 34 |
| | 123 |
| (c) | 157 |
| Loans: | |
| |
|
|
|
| | | | | | | Changes in instrument-specific credit risk | — |
|
| — |
|
| — |
|
| | (1 | ) | | — |
| | (1 | ) | Other changes in fair value | (1 | ) |
| — |
|
| (1 | ) |
| | — |
| | — |
| | — |
| Other assets | 2 |
|
| (7 | ) | (d) | (5 | ) |
| | 4 |
| | (6 | ) | (d) | (2 | ) | Deposits(a) | 210 |
|
| — |
|
| 210 |
|
| | (159 | ) | | — |
| | (159 | ) | Federal funds purchased and securities loaned or sold under repurchase agreements | 10 |
|
| — |
|
| 10 |
|
| | 5 |
| | — |
| | 5 |
| Short-term borrowings(a) | 273 |
|
| — |
|
| 273 |
|
| | (474 | ) | | — |
| | (474 | ) | Trading liabilities | (7 | ) |
| — |
|
| (7 | ) |
| | (1 | ) | | — |
| | (1 | ) | Beneficial interests issued by consolidated VIEs | — |
|
| — |
|
| — |
|
| | — |
| | — |
| | — |
| Long-term debt(a)(b) | 1,031 |
|
| — |
|
| 1,031 |
|
| | (753 | ) | | — |
| | (753 | ) |
inception of the guarantees. |
The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. For a further discussion of the valuation of lending-related commitments, refer to page 157 of JPMorgan Chase’s 2017 Annual Report. Equity securities without readily determinable fair values As a result of the adoption of the recognition and measurement guidance and the election of the measurement alternative in the first quarter of 2018, the Firm measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in earnings. In its determination of the new carrying values upon observable price changes, the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with the Firm’s valuation techniques for private equity direct investments. The following table presents the carrying value of equity securities without readily determinable fair values still held as of September 30, 2018, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable. | | | | | | | | | | As of or for the | (in millions) | Three months ended September 30, 2018 | | Nine months ended September 30, 2018 | Other assets | | | | Carrying value | $ | 1,801 |
| | $ | 1,801 |
| Upward carrying value changes | 14 |
| | 540 |
| Downward carrying value changes/impairment | (127 | ) | | (156 | ) |
Included in other assets above is the Firm’s interest in approximately 40 millionVisa Class B shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be convertible into Visa Class A shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B shares into Visa Class A shares is 1.6298 at September 30, 2018, and may be adjusted by Visa depending on developments related to the litigation matters.
Note 3 – Fair value option For a discussion of the primary financial instruments for which the fair value option was elected, including the basis for those elections and the determination of instrument-specific credit risk, where relevant, refer to Note3 of JPMorgan Chase’s 2017 Annual Report. Changes in fair value under the fair value option election The followingtable presentsthe changes in fair value included in the Consolidated statements of income for the three months ended September 30, 2018 and 2017, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table. | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, |
| 2018 | | 2017 | (in millions) | Principal transactions |
| All other income | Total changes in fair value recorded (e) | | Principal transactions | | All other income | Total changes in fair value recorded (e) | Federal funds sold and securities purchased under resale agreements | $ | (23 | ) |
| $ | — |
|
| $ | (23 | ) |
| | $ | (17 | ) | | $ | — |
| | $ | (17 | ) | Securities borrowed | (24 | ) |
| — |
|
| (24 | ) |
| | (10 | ) | | — |
| | (10 | ) | Trading assets: | |
| |
|
|
|
| | | | | | | Debt and equity instruments, excluding loans | (45 | ) |
| 5 |
| (c) | (40 | ) |
| | 412 |
| | — |
| | 412 |
| Loans reported as trading assets: | |
| |
|
|
|
| | | | | | | Changes in instrument-specific credit risk | 122 |
|
| 1 |
| (c) | 123 |
|
| | 139 |
| | (2 | ) | (c) | 137 |
| Other changes in fair value | (6 | ) |
| 49 |
| (c) | 43 |
|
| | 111 |
| | 249 |
| (c) | 360 |
| Loans: | |
| |
|
|
|
| | | | | | | Changes in instrument-specific credit risk | (1 | ) |
| — |
|
| (1 | ) |
| | — |
| | — |
| | — |
| Other changes in fair value | 1 |
|
| — |
|
| 1 |
|
| | 3 |
| | — |
| | 3 |
| Other assets | 2 |
|
| 16 |
| (d) | 18 |
|
| | 3 |
| | (4 | ) | (d) | (1 | ) | Deposits(a) | 32 |
|
| — |
|
| 32 |
|
| | (117 | ) | | — |
| | (117 | ) | Federal funds purchased and securities loaned or sold under repurchase agreements | 8 |
|
| — |
|
| 8 |
|
| | 2 |
| | — |
| | 2 |
| Short-term borrowings(a) | (25 | ) |
| — |
|
| (25 | ) |
| | (54 | ) | | — |
| | (54 | ) | Trading liabilities | 2 |
|
| — |
|
| 2 |
|
| | (3 | ) | | — |
| | (3 | ) | Long-term debt(a)(b) | 259 |
|
| — |
|
| 259 |
|
| | (793 | ) | | — |
| | (793 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, | | 2018 | | 2017 | (in millions) | Principal transactions | | All other income | Total changes in fair value recorded(e) | | Principal transactions | | All other income | Total changes in fair value recorded(e) | Federal funds sold and securities purchased under resale agreements | $ | (49 | ) | | $ | — |
| | $ | (49 | ) | | | $ | (50 | ) | | $ | — |
| | $ | (50 | ) | Securities borrowed | (22 | ) | | — |
| | (22 | ) | | | 80 |
| | — |
| | 80 |
| Trading assets: | | | — |
| | | | | | | | | | Debt and equity instruments, excluding loans | (490 | ) | | 6 |
| (c) | (484 | ) | | | 1,107 |
| | 2 |
| (c) | 1,109 |
| Loans reported as trading assets: | | | — |
| | | | | | | | | | Changes in instrument-specific credit risk | 458 |
| | 5 |
| (c) | 463 |
| | | 382 |
| | 13 |
| (c) | 395 |
| Other changes in fair value | 64 |
| | 24 |
| (c) | 88 |
| | | 188 |
| | 601 |
| (c) | 789 |
| Loans: | | | | | | | | | | | | | Changes in instrument-specific credit risk | (2 | ) | | — |
| | (2 | ) | | | (1 | ) | | — |
| | (1 | ) | Other changes in fair value | (1 | ) | |
|
| | (1 | ) | | | 4 |
| | 3 |
| (c) | 7 |
| Other assets | 4 |
| | 6 |
| (d) | 10 |
| | | 10 |
| | (26 | ) | (d) | (16 | ) | Deposits(a) | 371 |
| | — |
| | 371 |
| | | (362 | ) | | — |
| | (362 | ) | Federal funds purchased and securities loaned or sold under repurchase agreements | 27 |
| | — |
| | 27 |
| | | 4 |
| | — |
| | 4 |
| Other borrowed funds(a) | 86 |
| | — |
| | 86 |
| | | (485 | ) | | — |
| | (485 | ) | Trading liabilities | 1 |
| | — |
| | 1 |
| | | (4 | ) | | — |
| | (4 | ) | Long-term debt(a)(b) | 1,486 |
| | — |
| | 1,486 |
| | | (1,716 | ) | | — |
| | (1,716 | ) |
| | (a) | Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transaction revenue were not material for the three months ended March 31, 2018 and 2017, respectively. |
| | (b) | Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. |
| | (c) | Reported in mortgage fees and related income. |
| | (d) | Reported in other income. |
| | (e) | Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. For further information regarding interest income and interest expense, see Note 6. |
Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of March 31, 2018, and December 31, 2017, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
| | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Contractual principal outstanding |
| Fair value | Fair value over/(under) contractual principal outstanding | | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | Loans(a) |
|
|
|
|
|
|
| | | | | | Nonaccrual loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | $ | 4,368 |
|
| $ | 1,585 |
| $ | (2,783 | ) | | $ | 4,219 |
| | $ | 1,371 |
| $ | (2,848 | ) | Loans | — |
|
| — |
| — |
| | 39 |
| | — |
| (39 | ) | Subtotal | 4,368 |
|
| 1,585 |
| (2,783 | ) | | 4,258 |
| | 1,371 |
| (2,887 | ) | All other performing loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | 41,599 |
|
| 39,691 |
| (1,908 | ) | | 38,157 |
| | 36,590 |
| (1,567 | ) | Loans | 2,995 |
|
| 2,908 |
| (87 | ) | | 2,539 |
| | 2,508 |
| (31 | ) | Total loans | $ | 48,962 |
|
| $ | 44,184 |
| $ | (4,778 | ) | | $ | 44,954 |
| | $ | 40,469 |
| $ | (4,485 | ) | Long-term debt |
|
|
|
|
|
|
| | | | | | Principal-protected debt | $ | 28,378 |
| (c) | $ | 24,923 |
| $ | (3,455 | ) | | $ | 26,297 |
| (c) | $ | 23,848 |
| $ | (2,449 | ) | Nonprincipal-protected debt(b) | NA |
|
| 24,229 |
| NA |
| | NA |
| | 23,671 |
| NA |
| Total long-term debt | NA |
|
| $ | 49,152 |
| NA |
| | NA |
| | $ | 47,519 |
| NA |
| Long-term beneficial interests | | | |
|
| | | | | | Nonprincipal-protected debt | NA |
|
| $ | 7 |
| NA |
| | NA |
| | $ | 45 |
| NA |
| Total long-term beneficial interests | NA |
|
| $ | 7 |
| NA |
| | NA |
| | $ | 45 |
| NA |
|
| | (a) | There were no performing loans that were ninety days or more past due as of March 31,elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were not material for the three and nine months ended September 30, 2018 and December 31, 2017, respectively. |
| | (b) | Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. |
| | (c) | Reported in mortgage fees and related income. |
| | (d) | Reported in other income. |
| | (e) | Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. For further information regarding interest income and interest expense, refer to Note 6. |
Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of September 30, 2018, and December 31, 2017, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected. | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Contractual principal outstanding |
| Fair value | Fair value over/(under) contractual principal outstanding | | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | Loans(a) |
|
|
|
|
|
|
| | | | | | Nonaccrual loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | $ | 4,171 |
|
| $ | 1,189 |
| $ | (2,982 | ) | | $ | 4,219 |
| | $ | 1,371 |
| $ | (2,848 | ) | Loans | — |
|
| — |
| — |
| | 39 |
| | — |
| (39 | ) | Subtotal | 4,171 |
|
| 1,189 |
| (2,982 | ) | | 4,258 |
| | 1,371 |
| (2,887 | ) | All other performing loans |
|
|
|
|
|
|
| | | | | | Loans reported as trading assets | 41,986 |
|
| 40,395 |
| (1,591 | ) | | 38,157 |
| | 36,590 |
| (1,567 | ) | Loans | 3,039 |
|
| 2,987 |
| (52 | ) | | 2,539 |
| | 2,508 |
| (31 | ) | Total loans | $ | 49,196 |
|
| $ | 44,571 |
| $ | (4,625 | ) | | $ | 44,954 |
| | $ | 40,469 |
| $ | (4,485 | ) | Long-term debt |
|
|
|
|
|
|
| | | | | | Principal-protected debt | $ | 31,858 |
| (c) | $ | 27,518 |
| $ | (4,340 | ) | | $ | 26,297 |
| (c) | $ | 23,848 |
| $ | (2,449 | ) | Nonprincipal-protected debt(b) | NA |
|
| 26,594 |
| NA |
| | NA |
| | 23,671 |
| NA |
| Total long-term debt | NA |
|
| $ | 54,112 |
| NA |
| | NA |
| | $ | 47,519 |
| NA |
| Long-term beneficial interests | | | |
|
| | | | | | Nonprincipal-protected debt | NA |
|
| $ | 17 |
| NA |
| | NA |
| | $ | 45 |
| NA |
| Total long-term beneficial interests | NA |
|
| $ | 17 |
| NA |
| | NA |
| | $ | 45 |
| NA |
|
| | (b) | Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal protected notes. |
| | (c) | Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date. |
At March 31,
(a) | There were no performing loans that were ninety days or more past due as of September 30, 2018, and December 31, 2017, respectively. | |
| | (b) | Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes. |
| | (c) | Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date. |
At September 30, 2018, and December 31, 2017, the contractual amount of lending-related commitments for which the fair value option was elected was $9.1 billion and $7.4 billion, respectively,with a corresponding fair value of $(53) million and $(76) million, respectively. For further information regarding off-balance sheet lending-related financial instruments, refer to Note27 of JPMorgan Chase’s 2017 Annual Report, and Note 20 of this Form 10-Q. Structured note products by balance sheet classification and risk component The following table presents the fair value of the structured notes issued by the Firm, by balance sheet classification and the primary risk type. | | | | | | | | | | | | | | | | | | | | | | | | | | |
| September 30, 2018 |
| December 31, 2017 | (in millions) | Long-term debt | Short-term borrowings | Deposits | Total |
| Long-term debt | Short-term borrowings | Deposits | Total | Risk exposure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate | $ | 23,333 |
| $ | 616 |
| $ | 9,269 |
| $ | 33,218 |
|
| $ | 22,056 |
| $ | 69 |
| $ | 8,058 |
| $ | 30,183 |
| Credit | 3,771 |
| 483 |
| — |
| 4,254 |
|
| 4,329 |
| 1,312 |
| — |
| 5,641 |
| Foreign exchange | 2,930 |
| 96 |
| 37 |
| 3,063 |
|
| 2,841 |
| 147 |
| 38 |
| 3,026 |
| Equity | 21,950 |
| 6,258 |
| 7,330 |
| 35,538 |
|
| 17,581 |
| 7,106 |
| 6,548 |
| 31,235 |
| Commodity | 355 |
| 7 |
| 1,715 |
| 2,077 |
|
| 230 |
| 15 |
| 4,468 |
| 4,713 |
| Total structured notes | $ | 52,339 |
| $ | 7,460 |
| $ | 18,351 |
| $ | 78,150 |
|
| $ | 47,037 |
| $ | 8,649 |
| $ | 19,112 |
| $ | 74,798 |
|
Note 4 – Derivative instruments JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. For a further discussion of the Firm’s use of and accounting policies regarding derivative instruments, refer to Note5 of JPMorgan Chase’s 2017 Annual Report. The Firm’s disclosures are based on the accounting treatment and purpose of these derivatives. A limited number of the Firm’s derivatives are designated in hedge accounting relationships and are disclosed according to the type of hedge (fair value hedge, cash flow hedge, or net investment hedge). Derivatives not designated in hedge accounting relationships include certain derivatives that are used to manage certain risks associated with specified assets or liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes. Derivatives designated as hedges The adoption of the new hedge accounting guidance in the first quarter of 2018 better aligns hedge accounting with the economics of the Firm’s risk management activities. For additional information on the impact of the new guidance, refer to Note17. To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability or forecasted transaction and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, nonstatistical methods such as dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item, and qualitative comparisons of critical terms and the evaluation of any changes in those terms. The extent to which a derivative has been, and is expected to continue to be, highly effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued. For qualifying fair value hedges, changes in the fair value of the derivative, and in the value of the hedged item for the risk being hedged, are recognized in earnings. Certain amounts excluded from the assessment of effectiveness are recorded in OCI and recognized in earnings through an amortization approach over the life of the derivative. If the hedge relationship is terminated, then the adjustment to the hedged item continues to be reported as part of the basis of the hedged item, and for benchmark interest rate hedges, is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item - primarily net interest income and principal transactions revenue. For qualifying cash flow hedges, changes in the fair value of the derivative are recorded in OCI and recognized in earnings as the hedged item affects earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item - primarily interest income, interest expense, noninterest revenue and compensation expense. If the hedge relationship is terminated, then the change in value of the derivative recorded in AOCI is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings. For qualifying net investment hedges, changes in the fair value of the derivatives due to changes in spot foreign exchange rates are recorded in OCI as translation adjustments. Amounts excluded from the assessment of effectiveness are recorded directly in earnings.
The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category. | | | | | | Type of Derivative | Use of Derivative | Designation and disclosure | Affected segment or unit | 10-Q page reference | Manage specifically identified risk exposures in qualifying hedge accounting relationships: | | | | • Interest rate | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 118-119 | • Interest rate | Hedge floating-rate assets and liabilities | Cash flow hedge | Corporate | 120 | • Foreign exchange | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 118-119 | • Foreign exchange | Hedge foreign currency-denominated forecasted revenue and expense | Cash flow hedge | Corporate | 120 | • Foreign exchange | Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities | Net investment hedge | Corporate | 121 | • Commodity | Hedge commodity inventory | Fair value hedge | CIB | 118-119 | Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: | | | | • Interest rate | Manage the risk of the mortgage pipeline, warehouse loans and MSRs | Specified risk management | CCB | 121 | • Credit | Manage the credit risk of wholesale lending exposures | Specified risk management | CIB | 121 | • Interest rate and foreign exchange | Manage the risk of certain other specified assets and liabilities | Specified risk management | Corporate | 121 | Market-making derivatives and other activities: | | | | • Various | Market-making and related risk management | Market-making and other | CIB | 121 | • Various | Other derivatives | Market-making and other | CIB, Corporate | 121 |
Notional amount of derivative contracts The following table summarizes the notional amount of derivative contracts outstanding as of September 30, 2018, and December 31, 2017. | | | | | | | | | Notional amounts(b) | (in billions) | September 30, 2018 |
| December 31, 2017 |
| Interest rate contracts | | | Swaps | $ | 25,236 |
| $ | 21,043 |
| Futures and forwards | 7,326 |
| 4,904 |
| Written options | 4,718 |
| 3,576 |
| Purchased options | 5,233 |
| 3,987 |
| Total interest rate contracts | 42,513 |
| 33,510 |
| Credit derivatives(a) | 1,603 |
| 1,522 |
| Foreign exchange contracts | | | Cross-currency swaps | 3,893 |
| 3,953 |
| Spot, futures and forwards | 6,812 |
| 5,923 |
| Written options | 961 |
| 786 |
| Purchased options | 956 |
| 776 |
| Total foreign exchange contracts | 12,622 |
| 11,438 |
| Equity contracts | | | Swaps | 402 |
| 367 |
| Futures and forwards | 106 |
| 90 |
| Written options | 596 |
| 531 |
| Purchased options | 543 |
| 453 |
| Total equity contracts | 1,647 |
| 1,441 |
| Commodity contracts | | | Swaps | 140 |
| 116 |
| Spot, futures and forwards | 164 |
| 168 |
| Written options | 157 |
| 98 |
| Purchased options | 134 |
| 93 |
| Total commodity contracts | 595 |
| 475 |
| Total derivative notional amounts | $ | 58,980 |
| $ | 48,386 |
|
| | (a) | For more information on volumes and types of credit derivative contracts, refer to the Credit derivatives discussion on page 122. |
| | (b) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
While the notional amounts disclosed above give an indication of the volume of the Firm’s derivatives activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount is not exchanged; it is used simply as a reference to calculate payments.
Impact of derivatives on the Consolidated balance sheets The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of September 30, 2018, and December 31, 2017, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Free-standing derivative receivables and payables(a) | | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | September 30, 2018 (in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated as hedges | | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | | | | Interest rate | $ | 260,636 |
| | $ | 823 |
| | $ | 261,459 |
| | $ | 23,397 |
| | $ | 234,232 |
| | $ | 1 |
| | $ | 234,233 |
| | $ | 7,091 |
| Credit | 23,505 |
| | — |
| | 23,505 |
| | 582 |
| | 23,360 |
| | — |
| | 23,360 |
| | 1,452 |
| Foreign exchange | 188,261 |
| | 623 |
| | 188,884 |
| | 17,043 |
| | 176,771 |
| | 848 |
| | 177,619 |
| | 12,402 |
| Equity | 46,932 |
| | — |
| | 46,932 |
| | 10,104 |
| | 51,355 |
| | — |
| | 51,355 |
| | 11,978 |
| Commodity | 22,175 |
| | 193 |
| | 22,368 |
| | 8,936 |
| | 22,749 |
| | 90 |
| | 22,839 |
| | 8,770 |
| Total fair value of trading assets and liabilities | $ | 541,509 |
| | $ | 1,639 |
| | $ | 543,148 |
| | $ | 60,062 |
| | $ | 508,467 |
| | $ | 939 |
| | $ | 509,406 |
| | $ | 41,693 |
| | | | | | | | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | December 31, 2017 (in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated as hedges | | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | | | | Interest rate | $ | 314,962 |
| (c) | $ | 1,030 |
| (c) | $ | 315,992 |
| | $ | 24,673 |
| | $ | 284,433 |
| (c) | $ | 3 |
| (c) | $ | 284,436 |
| | $ | 7,129 |
| Credit | 23,205 |
| | — |
| | 23,205 |
| | 869 |
| | 23,252 |
| | — |
| | 23,252 |
| | 1,299 |
| Foreign exchange | 159,740 |
| | 491 |
| | 160,231 |
| | 16,151 |
| | 154,601 |
| | 1,221 |
| | 155,822 |
| | 12,473 |
| Equity | 40,040 |
| | — |
| | 40,040 |
| | 7,882 |
| | 45,395 |
| | — |
| | 45,395 |
| | 9,192 |
| Commodity | 20,066 |
| | 19 |
| | 20,085 |
| | 6,948 |
| | 21,498 |
| | 403 |
| | 21,901 |
| | 7,684 |
| Total fair value of trading assets and liabilities | $ | 558,013 |
| (c) | $ | 1,540 |
| (c) | $ | 559,553 |
| | $ | 56,523 |
| | $ | 529,179 |
| (c) | $ | 1,627 |
| (c) | $ | 530,806 |
| | $ | 37,777 |
|
| | (a) | Balances exclude structured notes for which the fair value option was elected was $9.8 billion and $7.4 billion, respectively, with a corresponding fair value of $(584) million and $(76) million, respectively. For further information regarding off-balance sheet lending-related financial instruments, see Note 27 of JPMorgan Chase’s 2017 Annual Report, and Note 20 of this Form 10-Q.Structured note products by balance sheet classification and risk component
The following table presents the fair value of the structured notes issued by the Firm, by balance sheet classification and the primary risk type.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| March 31, 2018 |
| December 31, 2017 | (in millions) | Long-term debt | Short-term borrowings | Deposits | Total |
| Long-term debt | Short-term borrowings | Deposits | Total | Risk exposure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate | $ | 22,793 |
| $ | 149 |
| $ | 7,961 |
| $ | 30,903 |
|
| $ | 22,056 |
| $ | 69 |
| $ | 8,058 |
| $ | 30,183 |
| Credit | 4,811 |
| 1,503 |
| — |
| 6,314 |
|
| 4,329 |
| 1,312 |
| — |
| 5,641 |
| Foreign exchange | 2,790 |
| 122 |
| 39 |
| 2,951 |
|
| 2,841 |
| 147 |
| 38 |
| 3,026 |
| Equity | 18,147 |
| 6,797 |
| 6,470 |
| 31,414 |
|
| 17,581 |
| 7,106 |
| 6,548 |
| 31,235 |
| Commodity | 215 |
| 14 |
| 3,530 |
| 3,759 |
|
| 230 |
| 15 |
| 4,468 |
| 4,713 |
| Total structured notes | $ | 48,756 |
| $ | 8,585 |
| $ | 18,000 |
| $ | 75,341 |
|
| $ | 47,037 |
| $ | 8,649 |
| $ | 19,112 |
| $ | 74,798 |
|
Note 4 – Derivative instruments
JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. For a further discussion of the Firm’s use of and accounting policies regarding derivative instruments, see Note 5 of JPMorgan Chase’s 2017 Annual Report.
The Firm’s disclosures are based on the accounting treatment and purpose of these derivatives. A limited number of the Firm’s derivatives are designated in hedge accounting relationships and are disclosed according to the type of hedge (fair value hedge, cash flow hedge, or net investment hedge). Derivatives not designated in hedge accounting relationships include certain derivatives that are used to manage certain risks associated with specified assets or liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes.
Derivatives designated as hedges
The adoption of the new hedge accounting guidance better aligns hedge accounting with the economics of the Firm’s risk management activities. For additional information, see Notes 1 and 17.
To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability or forecasted transaction and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, nonstatistical methods such as dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item, and qualitative comparisons of critical terms and the evaluation of any changes in those terms. The extent to which a derivative has been and is expectedelected. Refer to continue to be, highly effective at offsetting changes in the fair value or
cash flows of the hedged item must be assessed and documented at least quarterly. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued.
For qualifying fair value hedges, changes in the fair value of the derivative, and in the value of the hedged item for the risk being hedged, are recognized in earnings. Certain amounts excluded from the assessment of effectiveness are recorded in OCI and recognized in earnings through an amortization approach over the life of the derivative. If the hedge relationship is terminated, then the adjustment to the hedged item continues to be reported as part of the basis of the hedged item, and for benchmark interest rate hedges, is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item - primarily net interest income and principal transactions revenue.
For qualifying cash flow hedges, changes in the fair value of the derivative are recorded in OCI and recognized in earnings as the hedged item affects earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item - primarily interest income, interest expense, noninterest revenue and compensation expense. If the hedge relationship is terminated, then the change in value of the derivative recorded in AOCI is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings.
For qualifying net investment hedges, changes in the fair value of the derivatives due to changes in spot foreign exchange rates are recorded in OCI as translation adjustments. Amounts excluded from the assessment of effectiveness are recorded directly in earnings.
The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category.
| | | | | | Type of Derivative | Use of Derivative | Designation and disclosure | Affected
segment or unit
| 10-Q page reference | Manage specifically identified risk exposures in qualifying hedge accounting relationships: | | | | ◦ Interest rate | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 102 | ◦ Interest rate | Hedge floating-rate assets and liabilities | Cash flow hedge | Corporate | 103 | | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 102 | | Hedge foreign currency-denominated forecasted revenue and expense | Cash flow hedge | Corporate | 103 | | Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities | Net investment hedge | Corporate | 104 | | Hedge commodity inventory | Fair value hedge | CIB | 102 | Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: | | | | | Manage the risk of the mortgage pipeline, warehouse loans and MSRs | Specified risk management | CCB | 104 | | Manage the credit risk of wholesale lending exposures | Specified risk management | CIB | 104 | ◦
Interest rate and foreign exchange | Manage the risk of certain other specified assets and liabilities | Specified risk management | Corporate | 104 | Market-making derivatives and other activities: | | | | | Market-making and related risk management | Market-making and other | CIB | 104 | | Other derivatives | Market-making and other | CIB, Corporate | 104 |
Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of March 31, 2018, and December 31, 2017.
| | | | | | | | | Notional amounts(b) | (in billions) | March 31, 2018 |
| December 31, 2017 |
| Interest rate contracts | | | Swaps | $ | 23,090 |
| $ | 21,043 |
| Futures and forwards | 7,216 |
| 4,904 |
| Written options | 4,058 |
| 3,576 |
| Purchased options | 4,380 |
| 3,987 |
| Total interest rate contracts | 38,744 |
| 33,510 |
| Credit derivatives(a) | 1,605 |
| 1,522 |
| Foreign exchange contracts | | | Cross-currency swaps | 4,195 |
| 3,953 |
| Spot, futures and forwards | 7,016 |
| 5,923 |
| Written options | 873 |
| 786 |
| Purchased options | 878 |
| 776 |
| Total foreign exchange contracts | 12,962 |
| 11,438 |
| Equity contracts | | | Swaps | 377 |
| 367 |
| Futures and forwards | 97 |
| 90 |
| Written options | 594 |
| 531 |
| Purchased options | 516 |
| 453 |
| Total equity contracts | 1,584 |
| 1,441 |
| Commodity contracts | | | Swaps | 130 |
| 116 |
| Spot, futures and forwards | 179 |
| 168 |
| Written options | 112 |
| 98 |
| Purchased options | 102 |
| 93 |
| Total commodity contracts | 523 |
| 475 |
| Total derivative notional amounts | $ | 55,418 |
| $ | 48,386 |
|
| | (a) | For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on page 105. |
| | (b) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
While the notional amounts disclosed above give an indication of the volume of the Firm’s derivatives activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount is not exchanged; it is used simply as a reference to calculate payments.
Impact of derivatives on the Consolidated balance sheets
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of March 31, 2018, and December 31, 2017, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Free-standing derivative receivables and payables(a) | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | March 31, 2018 (in millions) | Not designated as hedges | | Designated as hedges | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated as hedges | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | | Interest rate | $ | 301,480 |
| | $ | 2,391 |
| $ | 303,871 |
| | $ | 23,778 |
| | $ | 271,093 |
| | $ | 2,770 |
| $ | 273,863 |
| | $ | 7,170 |
| Credit | 23,727 |
| | — |
| 23,727 |
| | 1,062 |
| | 23,697 |
| | — |
| 23,697 |
| | 1,713 |
| Foreign exchange | 165,482 |
| | 453 |
| 165,935 |
| | 16,603 |
| | 152,846 |
| | 963 |
| 153,809 |
| | 10,797 |
| Equity | 43,989 |
| | — |
| 43,989 |
| | 8,803 |
| | 48,239 |
| | — |
| 48,239 |
| | 10,325 |
| Commodity | 16,927 |
| | 193 |
| 17,120 |
| | 6,668 |
| | 18,144 |
| | 82 |
| 18,226 |
| | 6,944 |
| Total fair value of trading assets and liabilities | $ | 551,605 |
| | $ | 3,037 |
| $ | 554,642 |
| | $ | 56,914 |
| | $ | 514,019 |
| | $ | 3,815 |
| $ | 517,834 |
| | $ | 36,949 |
| | | | | | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | December 31, 2017 (in millions) | Not designated as hedges | | Designated as hedges | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated as hedges | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | | Interest rate | $ | 313,276 |
| | $ | 2,716 |
| $ | 315,992 |
| | $ | 24,673 |
| | $ | 283,092 |
| | $ | 1,344 |
| $ | 284,436 |
| | $ | 7,129 |
| Credit | 23,205 |
| | — |
| 23,205 |
| | 869 |
| | 23,252 |
| | — |
| 23,252 |
| | 1,299 |
| Foreign exchange | 159,740 |
| | 491 |
| 160,231 |
| | 16,151 |
| | 154,601 |
| | 1,221 |
| 155,822 |
| | 12,473 |
| Equity | 40,040 |
| | — |
| 40,040 |
| | 7,882 |
| | 45,395 |
| | — |
| 45,395 |
| | 9,192 |
| Commodity | 20,066 |
| | 19 |
| 20,085 |
| | 6,948 |
| | 21,498 |
| | 403 |
| 21,901 |
| | 7,684 |
| Total fair value of trading assets and liabilities | $ | 556,327 |
| | $ | 3,226 |
| $ | 559,553 |
| | $ | 56,523 |
| | $ | 527,838 |
| | $ | 2,968 |
| $ | 530,806 |
| | $ | 37,777 |
|
| | (a) | Balances exclude structured notes for which the fair value option has been elected. See Note 3 for further information. |
| | (b) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists. |
Derivatives netting
| | (c) | The following tables present, as of March 31, 2018, and December 31, 2017, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterpartyprior period amounts have been netted on the Consolidated balance sheets where the Firm has obtained an appropriate legal opinion with respectrevised to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below.In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associatedconform with the Firm’s derivative instruments, but are not eligible for net presentation:current period presentation.
|
Derivatives netting The following tables present, as of September 30, 2018, and December 31, 2017, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty have been netted on the Consolidated balance sheets where the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below. In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with the Firm’s derivative instruments, but are not eligible for net presentation: | | • | collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government securities) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount. |
| | • | the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and |
| | • | collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below. | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | | Gross derivative receivables | | Amounts netted on the Consolidated balance sheets | Net derivative receivables | U.S. GAAP nettable derivative receivables | | | | | | | | | | | Interest rate contracts: | | | | | | | | | | | Over-the-counter (“OTC”) | $ | 291,712 |
| $ | (272,007 | ) | | $ | 19,705 |
| | $ | 305,569 |
| | $ | (284,917 | ) | | $ | 20,652 |
| OTC–cleared | 8,080 |
| (7,930 | ) | | 150 |
| | 6,531 |
| | (6,318 | ) | | 213 |
| Exchange-traded(a) | 321 |
| (157 | ) | | 164 |
| | 185 |
| | (84 | ) | | 101 |
| Total interest rate contracts | 300,113 |
| (280,094 | ) | | 20,019 |
| | 312,285 |
| | (291,319 | ) | | 20,966 |
| Credit contracts: | | | | | | | | | | | OTC | 14,755 |
| (14,520 | ) | | 235 |
| | 15,390 |
| | (15,165 | ) | | 225 |
| OTC–cleared | 8,366 |
| (8,145 | ) | | 221 |
| | 7,225 |
| | (7,170 | ) | | 55 |
| Total credit contracts | 23,121 |
| (22,665 | ) | | 456 |
| | 22,615 |
| | (22,335 | ) | | 280 |
| Foreign exchange contracts: | | | | | | | | | | | OTC | 161,340 |
| (148,205 | ) | | 13,135 |
| | 155,289 |
| | (142,420 | ) | | 12,869 |
| OTC–cleared | 1,104 |
| (1,097 | ) | | 7 |
| | 1,696 |
| | (1,654 | ) | | 42 |
| Exchange-traded(a) | 131 |
| (30 | ) | | 101 |
| | 141 |
| | (7 | ) | | 134 |
| Total foreign exchange contracts | 162,575 |
| (149,332 | ) | | 13,243 |
| | 157,126 |
| | (144,081 | ) | | 13,045 |
| Equity contracts: | | | | | | | | | | | OTC | 23,957 |
| (21,172 | ) | | 2,785 |
| | 22,024 |
| | (19,917 | ) | | 2,107 |
| Exchange-traded(a) | 16,443 |
| (14,013 | ) | | 2,430 |
| | 14,188 |
| | (12,241 | ) | | 1,947 |
| Total equity contracts | 40,400 |
| (35,185 | ) | | 5,215 |
| | 36,212 |
| | (32,158 | ) | | 4,054 |
| Commodity contracts: | | | | | | | | | | | OTC | 9,701 |
| (3,686 | ) | | 6,015 |
| | 10,903 |
| | (4,436 | ) | | 6,467 |
| Exchange-traded(a) | 7,063 |
| (6,766 | ) | | 297 |
| | 8,854 |
| | (8,701 | ) | | 153 |
| Total commodity contracts | 16,764 |
| (10,452 | ) | | 6,312 |
| | 19,757 |
| | (13,137 | ) | | 6,620 |
| Derivative receivables with appropriate legal opinion | 542,973 |
| (497,728 | ) | (b) | 45,245 |
| | 547,995 |
| | (503,030 | ) | (b) | 44,965 |
| Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 11,669 |
| | | 11,669 |
| | 11,558 |
| | | | 11,558 |
| Total derivative receivables recognized on the Consolidated balance sheets | $ | 554,642 |
| | | $ | 56,914 |
| | $ | 559,553 |
| | | | $ | 56,523 |
| Collateral not nettable on the Consolidated balance sheets(c)(d) | | | | (13,101 | ) | | | | | | (13,363 | ) | Net amounts | | | | $ | 43,813 |
| | | | | | $ | 43,160 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | | Gross derivative payables | | Amounts netted on the Consolidated balance sheets | Net derivative payables | U.S. GAAP nettable derivative payables | | | | | | | | | | | Interest rate contracts: | | | | | | | | | | | OTC | $ | 264,684 |
| $ | (259,233 | ) | | $ | 5,451 |
| | $ | 276,960 |
| | $ | (271,294 | ) | | $ | 5,666 |
| OTC–cleared | 7,315 |
| (7,305 | ) | | 10 |
| | 6,004 |
| | (5,928 | ) | | 76 |
| Exchange-traded(a) | 186 |
| (156 | ) | | 30 |
| | 127 |
| | (84 | ) | | 43 |
| Total interest rate contracts | 272,185 |
| (266,694 | ) | | 5,491 |
| | 283,091 |
| | (277,306 | ) | | 5,785 |
| Credit contracts: | | | | | | | | | | | OTC | 15,423 |
| (14,247 | ) | | 1,176 |
| | 16,194 |
| | (15,170 | ) | | 1,024 |
| OTC–cleared | 7,797 |
| (7,736 | ) | | 61 |
| | 6,801 |
| | (6,784 | ) | | 17 |
| Total credit contracts | 23,220 |
| (21,983 | ) | | 1,237 |
| | 22,995 |
| | (21,954 | ) | | 1,041 |
| Foreign exchange contracts: | | | | | | | | | | | OTC | 149,559 |
| (142,008 | ) | | 7,551 |
| | 150,966 |
| | (141,789 | ) | | 9,177 |
| OTC–cleared | 1,005 |
| (997 | ) | | 8 |
| | 1,555 |
| | (1,553 | ) | | 2 |
| Exchange-traded(a) | 115 |
| (6 | ) | | 109 |
| | 98 |
| | (7 | ) | | 91 |
| Total foreign exchange contracts | 150,679 |
| (143,011 | ) | | 7,668 |
| | 152,619 |
| | (143,349 | ) | | 9,270 |
| Equity contracts: | | | | | | | | | | | OTC | 28,082 |
| (23,802 | ) | | 4,280 |
| | 28,193 |
| | (23,969 | ) | | 4,224 |
| Exchange-traded(a) | 14,693 |
| (14,111 | ) | | 582 |
| | 12,720 |
| | (12,234 | ) | | 486 |
| Total equity contracts | 42,775 |
| (37,913 | ) | | 4,862 |
| | 40,913 |
| | (36,203 | ) | | 4,710 |
| Commodity contracts: | | | | | | | | | | | OTC | 10,661 |
| (4,592 | ) | | 6,069 |
| | 12,645 |
| | (5,508 | ) | | 7,137 |
| Exchange-traded(a) | 6,796 |
| (6,692 | ) | | 104 |
| | 8,870 |
| | (8,709 | ) | | 161 |
| Total commodity contracts | 17,457 |
| (11,284 | ) | | 6,173 |
| | 21,515 |
| | (14,217 | ) | | 7,298 |
| Derivative payables with appropriate legal opinion | 506,316 |
| (480,885 | ) | (b) | 25,431 |
| | 521,133 |
| | (493,029 | ) | (b) | 28,104 |
| Derivative payables where an appropriate legal opinion has not been either sought or obtained | 11,518 |
| | | 11,518 |
| | 9,673 |
| | | | 9,673 |
| Total derivative payables recognized on the Consolidated balance sheets | $ | 517,834 |
| | | $ | 36,949 |
| | $ | 530,806 |
| | | | $ | 37,777 |
| Collateral not nettable on the Consolidated balance sheets(c)(d) | | | | (3,711 | ) | | | | | | (4,180 | ) | Net amounts | | | | $ | 33,238 |
| | | | | | $ | 33,597 |
|
| | (a) | Exchange-traded derivative balances that relate to futures contracts are settled daily. |
| | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | | Gross derivative receivables | | Amounts netted on the Consolidated balance sheets | Net derivative receivables | U.S. GAAP nettable derivative receivables | | | | | | | | | | | Interest rate contracts: | | | | | | | | | | | Over-the-counter (“OTC”) | $ | 250,181 |
| $ | (230,533 | ) | | $ | 19,648 |
| | $ | 305,569 |
| | $ | (284,917 | ) | | $ | 20,652 |
| OTC–cleared | 7,512 |
| (7,374 | ) | | 138 |
| | 6,531 |
| | (6,318 | ) | | 213 |
| Exchange-traded(a) | 300 |
| (155 | ) | | 145 |
| | 185 |
| | (84 | ) | | 101 |
| Total interest rate contracts | 257,993 |
| (238,062 | ) | | 19,931 |
| | 312,285 |
| | (291,319 | ) | | 20,966 |
| Credit contracts: | | | | | | | | | | | OTC | 12,502 |
| (12,153 | ) | | 349 |
| | 15,390 |
| | (15,165 | ) | | 225 |
| OTC–cleared | 10,806 |
| (10,770 | ) | | 36 |
| | 7,225 |
| | (7,170 | ) | | 55 |
| Total credit contracts | 23,308 |
| (22,923 | ) | | 385 |
| | 22,615 |
| | (22,335 | ) | | 280 |
| Foreign exchange contracts: | | | | | | | | | | | OTC | 184,421 |
| (171,163 | ) | | 13,258 |
| | 155,289 |
| | (142,420 | ) | | 12,869 |
| OTC–cleared | 676 |
| (659 | ) | | 17 |
| | 1,696 |
| | (1,654 | ) | | 42 |
| Exchange-traded(a) | 42 |
| (19 | ) | | 23 |
| | 141 |
| | (7 | ) | | 134 |
| Total foreign exchange contracts | 185,139 |
| (171,841 | ) | | 13,298 |
| | 157,126 |
| | (144,081 | ) | | 13,045 |
| Equity contracts: | | | | | | | | | | | OTC | 25,197 |
| (22,380 | ) | | 2,817 |
| | 22,024 |
| | (19,917 | ) | | 2,107 |
| Exchange-traded(a) | 16,789 |
| (14,448 | ) | | 2,341 |
| | 14,188 |
| | (12,241 | ) | | 1,947 |
| Total equity contracts | 41,986 |
| (36,828 | ) | | 5,158 |
| | 36,212 |
| | (32,158 | ) | | 4,054 |
| Commodity contracts: | | | | | | | | | | | OTC | 12,497 |
| (4,916 | ) | | 7,581 |
| | 10,903 |
| | (4,436 | ) | | 6,467 |
| Exchange-traded(a) | 9,198 |
| (8,516 | ) | | 682 |
| | 8,854 |
| | (8,701 | ) | | 153 |
| Total commodity contracts | 21,695 |
| (13,432 | ) | | 8,263 |
| | 19,757 |
| | (13,137 | ) | | 6,620 |
| Derivative receivables with appropriate legal opinion | 530,121 |
| (483,086 | ) | (b) | 47,035 |
| | 547,995 |
| | (503,030 | ) | (b) | 44,965 |
| Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 13,027 |
| | | 13,027 |
| | 11,558 |
| | | | 11,558 |
| Total derivative receivables recognized on the Consolidated balance sheets | $ | 543,148 |
| | | $ | 60,062 |
| | $ | 559,553 |
| | | | $ | 56,523 |
| Collateral not nettable on the Consolidated balance sheets(c)(d) | | | | (13,826 | ) | | | | | | (13,363 | ) | Net amounts | | | | $ | 46,236 |
| | | | | | $ | 43,160 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | | Gross derivative payables | | Amounts netted on the Consolidated balance sheets | Net derivative payables | U.S. GAAP nettable derivative payables | | | | | | | | | | | Interest rate contracts: | | | | | | | | | | | OTC | $ | 225,999 |
| $ | (220,369 | ) | | $ | 5,630 |
| | $ | 276,960 |
| | $ | (271,294 | ) | | $ | 5,666 |
| OTC–cleared | 6,650 |
| (6,618 | ) | | 32 |
| | 6,004 |
| | (5,928 | ) | | 76 |
| Exchange-traded(a) | 172 |
| (155 | ) | | 17 |
| | 127 |
| | (84 | ) | | 43 |
| Total interest rate contracts | 232,821 |
| (227,142 | ) | | 5,679 |
| | 283,091 |
| | (277,306 | ) | | 5,785 |
| Credit contracts: | | | | | | | | | | | OTC | 13,133 |
| (11,852 | ) | | 1,281 |
| | 16,194 |
| | (15,170 | ) | | 1,024 |
| OTC–cleared | 10,062 |
| (10,056 | ) | | 6 |
| | 6,801 |
| | (6,784 | ) | | 17 |
| Total credit contracts | 23,195 |
| (21,908 | ) | | 1,287 |
| | 22,995 |
| | (21,954 | ) | | 1,041 |
| Foreign exchange contracts: | | | | | | | | | | | OTC | 173,389 |
| (164,557 | ) | | 8,832 |
| | 150,966 |
| | (141,789 | ) | | 9,177 |
| OTC–cleared | 679 |
| (654 | ) | | 25 |
| | 1,555 |
| | (1,553 | ) | | 2 |
| Exchange-traded(a) | 25 |
| (6 | ) | | 19 |
| | 98 |
| | (7 | ) | | 91 |
| Total foreign exchange contracts | 174,093 |
| (165,217 | ) | | 8,876 |
| | 152,619 |
| | (143,349 | ) | | 9,270 |
| Equity contracts: | | | | | | | | | | | OTC | 28,618 |
| (24,869 | ) | | 3,749 |
| | 28,193 |
| | (23,969 | ) | | 4,224 |
| Exchange-traded(a) | 16,234 |
| (14,508 | ) | | 1,726 |
| | 12,720 |
| | (12,234 | ) | | 486 |
| Total equity contracts | 44,852 |
| (39,377 | ) | | 5,475 |
| | 40,913 |
| | (36,203 | ) | | 4,710 |
| Commodity contracts: | | | | | | | | | | | OTC | 13,607 |
| (5,600 | ) | | 8,007 |
| | 12,645 |
| | (5,508 | ) | | 7,137 |
| Exchange-traded(a) | 8,558 |
| (8,469 | ) | | 89 |
| | 8,870 |
| | (8,709 | ) | | 161 |
| Total commodity contracts | 22,165 |
| (14,069 | ) | | 8,096 |
| | 21,515 |
| | (14,217 | ) | | 7,298 |
| Derivative payables with appropriate legal opinion | 497,126 |
| (467,713 | ) | (b) | 29,413 |
| | 521,133 |
| | (493,029 | ) | (b) | 28,104 |
| Derivative payables where an appropriate legal opinion has not been either sought or obtained | 12,280 |
| | | 12,280 |
| | 9,673 |
| | | | 9,673 |
| Total derivative payables recognized on the Consolidated balance sheets | $ | 509,406 |
| | | $ | 41,693 |
| | $ | 530,806 |
| | | | $ | 37,777 |
| Collateral not nettable on the Consolidated balance sheets(c)(d) | | | | (3,566 | ) | | | | | | (4,180 | ) | Net amounts | | | | $ | 38,127 |
| | | | | | $ | 33,597 |
|
| | (a) | Exchange-traded derivative balances that relate to futures contracts are settled daily. | (b) | Net derivatives receivable included cash collateral netted of $61.9 billion and $55.5 billion at March 31, 2018, and December 31, 2017, respectively. Net derivatives payable included cash collateral netted of $45.1 |
| | (b) | Net derivatives receivable included cash collateral netted of $55.5 billion at both September 30, 2018, and December 31, 2017, respectively. Net derivatives payable included cash collateral netted of $40.1 billion and $45.5 billion related to OTC and OTC-cleared derivatives at March 31, 2018, and December 31, 2017, respectively. |
| | (c) | Represents liquid security collateral as well as cash collateral held at third party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. |
| | (d) | Derivative collateral relates only to OTC and OTC-cleared derivative instruments. |
Liquidity risk and credit-related contingent features
For a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts, see Note 5 of JPMorgan Chase’s 2017 Annual Report.
The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at March 31, 2018, and December 31, 2017.
| | | | | | | | OTC and OTC-cleared derivative payables containing downgrade triggers | (in millions) | March 31, 2018 |
| December 31, 2017 |
| Aggregate fair value of net derivative payables | $ | 11,022 |
| $ | 11,916 |
| Collateral posted | 9,836 |
| 9,973 |
|
The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries, predominantly JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”),
at March 31,September 30, 2018, and December 31, 2017, respectively.
|
| | (c) | Represents liquid security collateral as well as cash collateral held at third party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. |
| | (d) | Derivative collateral relates only to OTC and OTC-cleared derivative instruments. |
Liquidity risk and credit-related contingent features For a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts, refer to Note5of JPMorgan Chase’s 2017 Annual Report. The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at September 30, 2018, and December 31, 2017. | | | | | | | | OTC and OTC-cleared derivative payables containing downgrade triggers | (in millions) | September 30, 2018 |
| December 31, 2017 |
| Aggregate fair value of net derivative payables | $ | 10,103 |
| $ | 11,916 |
| Collateral posted | 8,926 |
| 9,973 |
|
The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries, predominantly JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”), at September 30, 2018, and December 31, 2017, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral, (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract. | | | | | | | | | | | | | | | Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | Amount of additional collateral to be posted upon downgrade(a) | $ | 116 |
| $ | 2,046 |
| | $ | 79 |
| $ | 1,989 |
| Amount required to settle contracts with termination triggers upon downgrade(b) | 317 |
| 861 |
| | 320 |
| 650 |
|
| | (a) | Includes the additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that doesfor initial margin. |
| | (b) | Amounts represent fair values of derivative payables, and do not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additionalreflect collateral (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract. | | | | | | | | | | | | | | | Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | Amount of additional collateral to be posted upon downgrade(a) | $ | 80 |
| $ | 1,929 |
| | $ | 79 |
| $ | 1,989 |
| Amount required to settle contracts with termination triggers upon downgrade(b) | 344 |
| 679 |
| | 320 |
| 650 |
|
| | (a) | Includes the additional collateral to be posted for initial margin.posted. |
| | (b) | Amounts represent fair values of derivative payables, and do not reflect collateral posted. |
Derivatives executed in contemplation of a sale of the underlying financial asset
In certain instances the Firm enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. The Firm generally accounts for such transfers as collateralized financing transactions as described in Note 10, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding at March 31, 2018 was not material, and there were no such transfers at December 31, 2017.
Impact of derivatives on the Consolidated statements of income
The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose.
Fair value hedge gains and losses
The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the three months ended March 31, 2018 and 2017, respectively. The Firm includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item.
| | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact of excluded components(f) | | OCI impact | Three months ended March 31, 2018 (in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(g) | Contract type | | | | | | | | | Interest rate(a)(b) | $ | (1,477 | ) | $ | 1,629 |
| $ | 152 |
| | $ | — |
| $ | 147 |
| | $ | — |
| Foreign exchange(c) | 144 |
| (33 | ) | 111 |
| | (122 | ) | 111 |
| | (52 | ) | Commodity(d) | 184 |
| (147 | ) | 37 |
| | — |
| 18 |
| | — |
| Total | $ | (1,149 | ) | $ | 1,449 |
| $ | 300 |
| | $ | (122 | ) | $ | 276 |
| | $ | (52 | ) |
| | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | | Three months ended March 31, 2017 (in millions) | Derivatives | Hedged items | Income statement impact | | Hedge ineffectiveness(e) | Excluded components(f) | | | Contract type | | | | | | | | | Interest rate(a)(b) | $ | (281 | ) | $ | 531 |
| $ | 250 |
| | $ | (1 | ) | $ | 251 |
| | | Foreign exchange(c) | (775 | ) | 740 |
| (35 | ) | | — |
| (35 | ) | | | Commodity(d) | (463 | ) | 464 |
| 1 |
| | 16 |
| (15 | ) | | | Total | $ | (1,519 | ) | $ | 1,735 |
| $ | 216 |
| | $ | 15 |
| $ | 201 |
| | |
Derivatives executed in contemplation of a sale of the underlying financial asset In certain instances the Firm enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. The Firm generally accounts for such transfers as collateralized financing transactions as described in Note10, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding at September 30, 2018 was not material, and there were no such transfers at December 31, 2017.
Impact of derivatives on the Consolidated statements of income The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose. Fair value hedge gains and losses The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for thethree and nine months ended September 30, 2018 and 2017, respectively. The Firm includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item. | | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact of excluded components(f) | | OCI impact | Three months ended September 30, 2018 (in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(g) | Contract type | | | | | | | | | Interest rate(a)(b) | $ | (870 | ) | $ | 1,032 |
| $ | 162 |
| | $ | — |
| $ | 160 |
| | $ | — |
| Foreign exchange(c) | 277 |
| (165 | ) | 112 |
| | (137 | ) | 112 |
| | 45 |
| Commodity(d) | 454 |
| (461 | ) | (7 | ) | | — |
| (5 | ) | | — |
| Total | $ | (139 | ) | $ | 406 |
| $ | 267 |
| | $ | (137 | ) | $ | 267 |
| | $ | 45 |
|
| | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | | Three months ended September 30, 2017 (in millions) | Derivatives | Hedged items | Income statement impact | | Hedge ineffectiveness(e) | Excluded components(f) | | | Contract type | | | | | | | | | Interest rate(a)(b) | $ | 22 |
| $ | 182 |
| $ | 204 |
| | $ | (2 | ) | $ | 206 |
| | | Foreign exchange(c) | (982 | ) | 1,002 |
| 20 |
| | — |
| 20 |
| | | Commodity(d) | (457 | ) | 461 |
| 4 |
| | 4 |
| — |
| | | Total | $ | (1,417 | ) | $ | 1,645 |
| $ | 228 |
| | $ | 2 |
| $ | 226 |
| | |
| | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact of excluded components(f) | | OCI impact | Nine months ended September 30, 2018 (in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(g) | Contract type | | | | | | | | | Interest rate(a)(b) | $ | (2,747 | ) | $ | 3,214 |
| $ | 467 |
| | $ | — |
| $ | 459 |
| | $ | — |
| Foreign exchange(c) | 797 |
| (452 | ) | 345 |
| | (404 | ) | 345 |
| | (96 | ) | Commodity(d) | 649 |
| (626 | ) | 23 |
| | — |
| 29 |
| | — |
| Total | $ | (1,301 | ) | $ | 2,136 |
| $ | 835 |
| | $ | (404 | ) | $ | 833 |
| | $ | (96 | ) |
| | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | | Nine months ended September 30, 2017 (in millions) | Derivatives | Hedged items | Income statement impact | | Hedge ineffectiveness(e) | Excluded components(f) | | | Contract type | | | | | | | | | Interest rate(a)(b) | $ | (131 | ) | $ | 759 |
| $ | 628 |
| | $ | (16 | ) | $ | 644 |
| | | Foreign exchange(c) | (3,254 | ) | 3,235 |
| (19 | ) | | — |
| (19 | ) | | | Commodity(d) | (823 | ) | 861 |
| 38 |
| | 23 |
| 15 |
| | | Total | $ | (4,208 | ) | $ | 4,855 |
| $ | 647 |
| | $ | 7 |
| $ | 640 |
| | |
| | (a) | Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income. |
| | (b) | Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. Also excludes the accrual of interest on interest rate swaps and the related hedged items. |
| | (c) | Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items due to changes in foreign currency rates and the income statement impact of excluded components were recorded primarily in principal transactions revenue and net interest income. |
| | (d) | Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue. |
| | (e) | Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. |
| | (f) | The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. Under the new hedge accounting guidance, the initial amount of the excluded components may be amortized into income over the life of the derivative, or changes in fair value may be recognized in current period earnings. |
| | (g) | Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative. |
As of September 30, 2018, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future periods as an adjustment to yield. | | | | | | | | | | | | | | | | | | Carrying amount of the hedged items(a)(b) | | Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
| September 30, 2018 (in millions) | | | Active hedging relationships | Discontinued hedging relationships(d) | Total | Assets | | | | | | | Investment securities - AFS
| | $ | 47,896 |
| (c) | $ | (2,292 | ) | $ | 438 |
| $ | (1,854 | ) | Liabilities | | | | | | | Long-term debt | | $ | 135,239 |
| | $ | (2,693 | ) | $ | (5 | ) | $ | (2,698 | ) | Beneficial interests issued by consolidated VIEs | | 6,976 |
| | — |
| (42 | ) | (42 | ) |
| | (a) | Excludes physical commodities with a carrying value of $4.6 billion to which the Firm applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Given the Firm exits these positions at fair value, there is no incremental impact to net income in future periods. |
| | (b) | Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges will not reverse through the income statement in future periods. The carrying amount excluded for available-for-sale securities is $14.7 billion and for long-term debt is $7.2 billion. |
| | (c) | Carrying amount represents the amortized cost. |
| | (d) | Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date. |
Cash flow hedge gains and losses The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the three and nine months ended September 30, 2018 and 2017, respectively. The Firm includes the gain/(loss) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item. | | | | | | | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Three months ended September 30, 2018 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | 10 |
| $ | (30 | ) | $ | (40 | ) | Foreign exchange(b) | (19 | ) | (92 | ) | (73 | ) | Total | $ | (9 | ) | $ | (122 | ) | $ | (113 | ) | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Three months ended September 30, 2017 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI(c) | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | 1 |
| $ | (1 | ) | $ | (2 | ) | Foreign exchange(b) | (11 | ) | 30 |
| 41 |
| Total | $ | (10 | ) | $ | 29 |
| $ | 39 |
|
| | | | | | | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Nine months ended September 30, 2018 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | 36 |
| $ | (141 | ) | $ | (177 | ) | Foreign exchange(b) | 26 |
| (224 | ) | (250 | ) | Total | $ | 62 |
| $ | (365 | ) | $ | (427 | ) | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Nine months ended September 30, 2017 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI(c) | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | (16 | ) | $ | 11 |
| $ | 27 |
| Foreign exchange(b) | (144 | ) | 100 |
| 244 |
| Total | $ | (160 | ) | $ | 111 |
| $ | 271 |
|
| | (a) | Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. |
| | (b) | Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. |
| | (c) | Represents the effective portion of changes in value of the related hedging derivative. Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. The Firm did not recognize any ineffectiveness on cash flow hedges during the three and nine months ended September 30, 2017. |
The Firm did not experience any forecasted transactions that failed to occur for the three and nine months ended September 30, 2018 and 2017. Over the next 12 months, the Firm expects that approximately $(118) million (after-tax) of net losses recorded in AOCI at September 30, 2018, related to cash flow hedges will be recognized in income. For terminated cash flow hedges, the maximum length of time over which forecasted transactions are remaining is approximately six years. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately six years. The Firm’s longer-dated forecasted transactions relate to core lending and borrowing activities.
Net investment hedge gains and losses The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three and nine months ended September 30, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | Three months ended September 30, (in millions) | Amounts recorded in income(a)(c) | Amounts recorded in OCI | | Amounts recorded in income(a)(c) | Amounts recorded in OCI(b) | Foreign exchange derivatives | | $ | 2 |
| | $ | 311 |
| | | $ | (39 | ) | | $ | (286 | ) | | | | | | | | | | | | 2018 | | 2017 | Nine months ended September 30, (in millions) | Amounts recorded in income(a)(c) | Amounts recorded in OCI | | Amounts recorded in income(a)(c) | Amounts recorded in OCI(b) | Foreign exchange derivatives | | $ | (5 | ) | | $ | 1,126 |
| | | $ | (150 | ) | | $ | (1,161 | ) |
| | (a) | Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. The Firm elects to record changes in fair value of these amounts directly in other income. |
| | (b) | Represents the effective portion of changes in value of the related hedging derivative. The Firm did not recognize any ineffectiveness on net investment hedges directly in income during the three and nine months ended September 30, 2017. |
| | (c) | Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. For additional information, refer to Note 17. |
Gains and losses on derivatives used for specified risk management purposes The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from the mortgage pipeline, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities. | | | | | | | | | | | | | | | | Derivatives gains/(losses) recorded in income | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 | 2017 | | 2018 | 2017 | Contract type | | | | | | Interest rate(a) | $ | (42 | ) | $ | 97 |
| | $ | (277 | ) | $ | 318 |
| Credit(b) | (7 | ) | (18 | ) | | (17 | ) | (70 | ) | Foreign exchange(c) | 52 |
| (18 | ) | | 152 |
| (52 | ) | Total | $ | 3 |
| $ | 61 |
| | $ | (142 | ) | $ | 196 |
|
| | (a) | Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income. |
| | (b) | Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue. |
| | (c) | Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue. |
| | (e) | Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. |
| | (f) | The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. Under the new hedge accounting guidance, the initial amount of the excluded components may be amortized into income over the life of the derivative, or changes in fair value may be recognized in current period earnings. |
| | (g) | Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative. |
As of March 31, 2018, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to impact the income statement in future periods (e.g., as adjustments to yield or to securities gains/losses).
| | | | | | | | | | | | | | Carrying amount of the hedged items(a)(b) | | Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
| March 31, 2018 (in millions) | | | Active hedging relationships | Discontinued hedging relationships(d) | Total | Assets | | | | | | | Available-for-sale debt securities
| | 47,977 |
| (c) | (1,557 | ) | 555 |
| (1,002 | ) | Liabilities | | | | | | | Long-term debt | | 131,268 |
| | (851 | ) | 85 |
| (766 | ) | Beneficial interests issued by consolidated VIEs | | 8,752 |
| | (2 | ) | (61 | ) | (63 | ) |
| | (a) | Excludes physical commodities with a carrying value of $5.2 billion to which the Firm applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Given the Firm exits these positions at fair value, there is no incremental impact to net income in future periods. |
| | (b) | Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges generally will not impact the income statement in future periods. The carrying amount excluded for available-for-sale debt securities is $15.8 billion and for long-term debt is $5.5 billion. |
| | (c) | Carrying amount represents the amortized cost. |
| | (d) | Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date. |
Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the three months ended March 31, 2018 and 2017, respectively. The Firm includes the gain/(loss) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.
| | | | | | | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Three months ended March 31, 2018 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | 13 |
| $ | (78 | ) | $ | (91 | ) | Foreign exchange(b) | 39 |
| 34 |
| (5 | ) | Total | $ | 52 |
| $ | (44 | ) | $ | (96 | ) | | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Three months ended March 31, 2017 (in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI(c) | Total change in OCI for period | Contract type | | | | Interest rate(a) | $ | (11 | ) | $ | 11 |
| $ | 22 |
| Foreign exchange(b) | (74 | ) | 48 |
| 122 |
| Total | $ | (85 | ) | $ | 59 |
| $ | 144 |
|
| | (a) | Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. |
| | (b) | Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. |
| | (c) | Represents the effective portion of changes in value of the related hedging derivative. Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. The Firm did not recognize any ineffectiveness on cash flow hedges during the three months ended March 31, 2017. |
The Firm did not experience any forecasted transactions that failed to occur for the three months ended March 31, 2018 and 2017.
Over the next 12 months, the Firm expects that approximately $88 million (after-tax) of net gains recorded in AOCI at March 31, 2018, related to cash flow hedges will be recognized in income. For terminated cash flow hedges, the maximum length of time over which forecasted transactions are remaining is approximately five years.
For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. The Firm’s longer-dated forecasted transactions relate to core lending and borrowing activities.
Net investment hedge gains and losses
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three months ended March 31, 2018 and 2017.
| | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | Three months ended March 31, (in millions) | Amounts recorded in income(a) | Amounts recorded in OCI | | Amounts recorded in income(a) | Amounts recorded in OCI(b) | Foreign exchange derivatives | | $ | (11 | ) | | $ | (389 | ) | | | $ | (62 | ) | | $ | (556 | ) |
Gains and losses on derivatives related to market-making activities and other derivatives | | (a)
| Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. The Firm elects to record changes in fair value of these amounts directly in other income. |
| | (b) | Represents the effective portion of changes in value of the related hedging derivative. The Firm did not recognize any ineffectiveness on net investment hedges directly in income during the three months ended March 31, 2017. |
Gains and losses on derivatives used for specified risk management purposes
The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from the mortgage pipeline, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities.
| | | | | | | | | Derivatives gains/(losses) recorded in income | | Three months ended March 31, | (in millions) | 2018 | 2017 | Contract type | | | Interest rate(a) | $ | (210 | ) | $ | (17 | ) | Credit(b) | (7 | ) | (45 | ) | Foreign exchange(c) | (30 | ) | (20 | ) | Total | $ | (247 | ) | $ | (82 | ) |
The Firm makes markets in derivatives in order to meet the needs of customers and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. All derivatives not included in the hedge accounting or specified risk management categories above are included in this category. Gains and losses on these derivatives are primarily recorded in principal transactions revenue. Refer to Note5for information on principal transactions revenue. | | (a) | Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income. |
| | (b) | Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue. |
| | (c) | Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue. |
Gains and losses on derivatives related to market-making activities and other derivatives
The Firm makes markets in derivatives in order to meet the needs of customers and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. All derivatives not included in the hedge accounting or specified risk management categories above are included in this category. Gains and losses on these derivatives are primarily recorded in principal transactions revenue. See Note 5 for information on principal transactions revenue.
Credit derivatives
For a more detailed discussion of credit derivatives, see Note
Credit derivatives For a more detailed discussion of credit derivatives, refer to Note5 of JPMorgan Chase’s 2017 Annual Report. The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives. Total credit derivatives and credit-related notes | | | | | | | | | | | | | | | | | Maximum payout/Notional amount | September 30, 2018 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | | Other protection purchased(d) | Credit derivatives | | | | | | | Credit default swaps | $ | (746,195 | ) | | $ | 754,889 |
| $ | 8,694 |
| | $ | 6,341 |
| Other credit derivatives(a) | (38,928 | ) | | 45,393 |
| 6,465 |
| | 11,563 |
| Total credit derivatives | (785,123 | ) | | 800,282 |
| 15,159 |
| | 17,904 |
| Credit-related notes | (18 | ) | | — |
| (18 | ) | | 7,653 |
| Total | $ | (785,141 | ) | | $ | 800,282 |
| $ | 15,141 |
| | $ | 25,557 |
| | | | | | | | | Maximum payout/Notional amount | December 31, 2017 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | | Other protection purchased(d) | Credit derivatives | | | | | | | Credit default swaps | $ | (690,224 | ) | | $ | 702,098 |
| $ | 11,874 |
| | $ | 5,045 |
| Other credit derivatives(a) | (54,157 | ) | | 59,158 |
| 5,001 |
| | 11,747 |
| Total credit derivatives | (744,381 | ) | | 761,256 |
| 16,875 |
| | 16,792 |
| Credit-related notes | (18 | ) | | — |
| (18 | ) | | 7,915 |
| Total | $ | (744,399 | ) | | $ | 761,256 |
| $ | 16,857 |
| | $ | 24,707 |
|
| | (a) | Other credit derivatives largely consists of credit swap options. |
| | (b) | Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. |
| | (c) | Does not take into account the probability of the occurrence of a credit event, the recoveryfair value of the reference obligation or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives.Total credit derivatives and credit-related notes
| | | | | | | | | | | | | | | | | Maximum payout/Notional amount | March 31, 2018 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | | Other protection purchased(d) | Credit derivatives | | | | | | | Credit default swaps | $ | (731,898 | ) | | $ | 739,263 |
| $ | 7,365 |
| | $ | 6,024 |
| Other credit derivatives(a) | (58,210 | ) | | 58,466 |
| 256 |
| | 11,409 |
| Total credit derivatives | (790,108 | ) | | 797,729 |
| 7,621 |
| | 17,433 |
| Credit-related notes | (18 | ) | | — |
| (18 | ) | | 9,098 |
| Total | $ | (790,126 | ) | | $ | 797,729 |
| $ | 7,603 |
| | $ | 26,531 |
| | | | | | | | | Maximum payout/Notional amount | December 31, 2017 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | | Other protection purchased(d) | Credit derivatives | | | | | | | Credit default swaps | $ | (690,224 | ) | | $ | 702,098 |
| $ | 11,874 |
| | $ | 5,045 |
| Other credit derivatives(a) | (54,157 | ) | | 59,158 |
| 5,001 |
| | 11,747 |
| Total credit derivatives | (744,381 | ) | | 761,256 |
| 16,875 |
| | 16,792 |
| Credit-related notes | (18 | ) | | — |
| (18 | ) | | 7,915 |
| Total | $ | (744,399 | ) | | $ | 761,256 |
| $ | 16,857 |
| | $ | 24,707 |
|
| | (a) | Other credit derivatives largely consists of credit swap options. |
| | (b) | Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. |
| | (c) | Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. |
| | (d) | Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument. |
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of March 31, 2018, and December 31, 2017, where JPMorgan Chase is the seller of protection pays to the buyer of protection in determining settlement value.
|
| | (d) | Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument. |
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of September 30, 2018, and December 31, 2017, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile | | | | September 30, 2018 (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | Risk rating of reference entity | | | | | | | | | | | | | | Investment-grade | $ | (116,930 | ) | | $ | (364,470 | ) | | $ | (71,226 | ) | | $ | (552,626 | ) | | $ | 8,043 |
| | $ | (1,859 | ) | | $ | 6,184 |
| Noninvestment-grade | (53,103 | ) | | (147,117 | ) | | (32,295 | ) | | (232,515 | ) | | 8,337 |
| | (4,519 | ) | | 3,818 |
| Total | $ | (170,033 | ) | | $ | (511,587 | ) | | $ | (103,521 | ) | | $ | (785,141 | ) | | $ | 16,380 |
| | $ | (6,378 | ) | | $ | 10,002 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | Risk rating of reference entity | | | | | | | | | | | | | | Investment-grade | $ | (159,286 | ) | | $ | (319,726 | ) | | $ | (39,429 | ) | | $ | (518,441 | ) | | $ | 8,516 |
| | $ | (1,134 | ) | | $ | 7,382 |
| Noninvestment-grade | (73,394 | ) | | (134,125 | ) | | (18,439 | ) | | (225,958 | ) | | 7,407 |
| | (5,313 | ) | | 2,094 |
| Total | $ | (232,680 | ) | | $ | (453,851 | ) | | $ | (57,868 | ) | | $ | (744,399 | ) | | $ | 15,923 |
| | $ | (6,447 | ) | | $ | 9,476 |
|
| | (a) | The ratings scale is primarily based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile | | | | March 31, 2018 (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | Risk rating of reference entity | | | | | | | | | | | | | | Investment-grade | $ | (160,144 | ) | | $ | (305,679 | ) | | $ | (71,789 | ) | | $ | (537,612 | ) | | $ | 8,231 |
| | $ | (1,022 | ) | | $ | 7,209 |
| Noninvestment-grade | (75,170 | ) | | (142,517 | ) | | (34,827 | ) | | (252,514 | ) | | 8,160 |
| | (5,384 | ) | | 2,776 |
| Total | $ | (235,314 | ) | | $ | (448,196 | ) | | $ | (106,616 | ) | | $ | (790,126 | ) | | $ | 16,391 |
| | $ | (6,406 | ) | | $ | 9,985 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | Risk rating of reference entity | | | | | | | | | | | | | | Investment-grade | $ | (159,286 | ) | | $ | (319,726 | ) | | $ | (39,429 | ) | | $ | (518,441 | ) | | $ | 8,516 |
| | $ | (1,134 | ) | | $ | 7,382 |
| Noninvestment-grade | (73,394 | ) | | (134,125 | ) | | (18,439 | ) | | (225,958 | ) | | 7,407 |
| | (5,313 | ) | | 2,094 |
| Total | $ | (232,680 | ) | | $ | (453,851 | ) | | $ | (57,868 | ) | | $ | (744,399 | ) | | $ | 15,923 |
| | $ | (6,447 | ) | | $ | 9,476 |
|
| | (a) | The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s. |
| | (b) | Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm. |
| | (b) | Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm. |
Note 5 – Noninterest revenue and noninterest
expense
Noninterest revenue
For a discussion of the components of and accounting policies for the Firm’s noninterest revenue, see Note 6 of JPMorgan Chase’s 2017 Annual Report.
The adoption of the revenue recognition guidance requires gross presentation of certain costs previously offset against revenue, predominantly associated with certain distribution costs (previously offset against asset management, administration and commissions), with the remainder associated with certain underwriting costs (previously offset against investment banking fees). Adoption of the guidance did not result in any material changes in the timing of revenue recognition. This guidance was adopted retrospectively and, accordingly, prior period amounts were revised, which resulted in an increase in both noninterest revenue and noninterest expense. For additional information, see Note 1.
Investment banking fees
The following table presents the components of investment banking fees.
| | | | | | | | |
| Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Underwriting |
|
|
| Equity | $ | 352 |
|
| $ | 424 |
| Debt | 796 |
|
| 960 |
| Total underwriting | 1,148 |
|
| 1,384 |
| Advisory | 588 |
|
| 496 |
| Total investment banking fees | $ | 1,736 |
|
| $ | 1,880 |
|
Principal transactions
Note 5 – Noninterest revenue and noninterest expense Noninterest revenue For a discussion of the components of and accounting policies for the Firm’s noninterest revenue, refer to Note 6 of JPMorgan Chase’s 2017 Annual Report. The adoption of the revenue recognition guidance in the first quarter of 2018, required gross presentation of certain costs previously offset against revenue, predominantly associated with certain distribution costs (previously offset against asset management, administration and commissions), with the remainder associated with certain underwriting costs (previously offset against investment banking fees). Adoption of the guidance did not result in any material changes in the timing of revenue recognition. This guidance was adopted retrospectively and, accordingly, prior period amounts were revised, which resulted in an increase in both noninterest revenue and noninterest expense. For additional information, refer to Note1. Investment banking fees The following table presents the components of investment banking fees. | | | | | | | | | | | | | | | | |
| Three months ended September 30, |
| Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
|
| 2018 |
| 2017 | Underwriting |
|
|
|
|
|
|
| Equity | $ | 417 |
|
| $ | 302 |
|
| $ | 1,342 |
|
| $ | 1,105 |
| Debt | 836 |
|
| 945 |
|
| 2,596 |
|
| 2,873 |
| Total underwriting | 1,253 |
|
| 1,247 |
|
| 3,938 |
|
| 3,978 |
| Advisory | 579 |
|
| 621 |
|
| 1,798 |
|
| 1,616 |
| Total investment banking fees | $ | 1,832 |
|
| $ | 1,868 |
|
| $ | 5,736 |
|
| $ | 5,594 |
|
Principal transactions The following table presents all realized and unrealized gains and losses recorded in principal transactions revenue. This table excludes interest income and interest expense on trading assets and liabilities, which are an integral part of the overall performance of the Firm’s client-driven market-making activities. Refer to Note 6 for further information on interest income and interest expense. Trading revenue is presented primarily by instrument type. The Firm’s client-driven market-making businesses generally utilize a variety of instrument types in connection with their market-making and related risk-management activities; accordingly, the trading revenue presented in the table below is not representative of the total revenue of any individual line of busi
ness. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 | | 2017 | Trading revenue by instrument type | | | | | | | | Interest rate | $ | 338 |
| | $ | 649 |
| | $ | 1,784 |
| | $ | 2,032 |
| Credit | 202 |
| | 330 |
| | 1,230 |
| | 1,288 |
| Foreign exchange | 937 |
| | 681 |
| | 2,706 |
| | 2,363 |
| Equity | 1,363 |
| | 915 |
| | 4,376 |
| | 3,153 |
| Commodity | 277 |
| | 156 |
| | 800 |
| | 461 |
| Total trading revenue | 3,117 |
| | 2,731 |
| | 10,896 |
| | 9,297 |
| Private equity gains/(losses)(a) | (153 | ) | | (10 | ) | | (198 | ) | | 143 |
| Principal transactions | $ | 2,964 |
| | $ | 2,721 |
| | $ | 10,698 |
| | $ | 9,440 |
|
| | (a) | The third quarter of 2018 included markdowns of approximately $220 million on certain private equity investments in Corporate, with $170 million recorded within principal transactions revenue and $50 million in other income. |
Lending- and deposit-related fees The following table presents the components of lending- and deposit-related fees. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 | Lending-related fees | $ | 284 |
| | $ | 280 |
| | $ | 838 |
| | $ | 824 |
| Deposit-related fees | 1,258 |
| | 1,217 |
| | 3,676 |
| | 3,603 |
| Total lending- and deposit-related fees | $ | 1,542 |
| | $ | 1,497 |
| | $ | 4,514 |
| | $ | 4,427 |
|
Asset management, administration and commissions The following table presents the components of Firmwide asset management, administration and commissions. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 | | 2017 | Asset management fees | | | | | | | | Investment management fees(a) | $ | 2,716 |
| | $ | 2,636 |
| | $ | 8,081 |
| | $ | 7,603 |
| All other asset management fees(b) | 79 |
| | 63 |
| | 211 |
| | 226 |
| Total asset management fees | 2,795 |
| | 2,699 |
| | 8,292 |
| | 7,829 |
| | | | | | | | | Total administration fees(c) | 533 |
| | 514 |
| | 1,651 |
| | 1,500 |
| | | | | | | | | Commission and other fees | | | | | | | | Brokerage commissions | 604 |
| | 546 |
| | 1,887 |
| | 1,691 |
| All other commissions and fees | 378 |
| | 313 |
| | 1,093 |
| | 976 |
| Total commissions and fees | 982 |
| | 859 |
| | 2,980 |
| | 2,667 |
| Total asset management, administration and commissions | $ | 4,310 |
| | $ | 4,072 |
| | $ | 12,923 |
| | $ | 11,996 |
|
| | (a) | Represents fees earned from managing assets on behalf of the Firm’s client-driven market-making activities. See Note 6clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts. |
| | (b) | Represents fees for further informationservices that are ancillary to investment management services, such as commissions earned on interest incomethe sales or distribution of mutual funds to clients. |
| | (c) | Predominantly includes fees for custody, securities lending, funds services and interest expense. Trading revenue is presented primarily by instrument type. The Firm’s client-driven market-making businesses generally utilize a variety of instrument types in connection with their market-makingsecurities clearance. |
Card income The following table presents the components of card income: | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Interchange and merchant processing income | $ | 4,781 |
| | $ | 4,342 |
| | $ | 13,863 |
| | $ | 12,557 |
| Rewards costs and partner payments | (3,276 | ) | | (2,727 | ) | | (9,687 | ) | (b) | (7,941 | ) | Other card income(a) | (177 | ) | | (373 | ) | | (553 | ) | | (1,293 | ) | Total card income | $ | 1,328 |
| | $ | 1,242 |
| | $ | 3,623 |
| | $ | 3,323 |
|
| | (a) | Predominantly represents annual fees and related risk-management activities; accordingly, the trading revenue presented in the table below is not representative of the total revenue of any individual line of business. | | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Trading revenue by instrument type | | | | Interest rate | $ | 774 |
| | $ | 795 |
| Credit | 380 |
| | 680 |
| Foreign exchange | 1,024 |
| | 781 |
| Equity | 1,627 |
| | 1,120 |
| Commodity | 277 |
| | 185 |
| Total trading revenue | 4,082 |
| | 3,561 |
| Private equity gains/(losses) | (130 | ) | | 21 |
| Principal transactions | $ | 3,952 |
| | $ | 3,582 |
|
Lending- and deposit-related fees
The following table presents the components of lending- and deposit-related fees.
| | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Lending-related fees | $ | 274 |
| | $ | 275 |
| Deposit-related fees | 1,203 |
| | 1,173 |
| Total lending- and deposit-related fees | $ | 1,477 |
| | $ | 1,448 |
|
Asset management, administration and commissions
The following table presents the components of Firmwide asset management, administration and commissions. | | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Asset management fees | | | | Investment management fees(a) | $ | 2,694 |
| | $ | 2,416 |
| All other asset management fees(b) | 66 |
| | 79 |
| Total asset management fees | 2,760 |
| | 2,495 |
| | | | | Total administration fees(c) | 561 |
| | 482 |
| | | | | Commission and other fees | | | | Brokerage commissions | 652 |
| | 578 |
| All other commissions and fees | 336 |
| | 322 |
| Total commissions and fees | 988 |
| | 900 |
| Total asset management, administration and commissions(a) | $ | 4,309 |
| | $ | 3,877 |
|
| | (a) | Represents fees earned from managing assets on behalf of the Firm’s clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts. |
| | (b) | Represents fees for services that are ancillary to investment management services, such as commissions earned on the sales or distribution of mutual funds to clients. |
| | (c) | Predominantly includes fees for custody, securities lending, funds services and securities clearance. |
Card income
The following table presents the components of card income:
| | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Interchange and merchant processing income | $ | 4,359 |
| | $ | 3,906 |
| Reward costs and partner payments | (2,884 | ) | | (2,525 | ) | Other card income(a) | (200 | ) | | (467 | ) | Total card income | $ | 1,275 |
| | $ | 914 |
|
| | (a) | Predominantly represents annual and other lending fees andnew account origination costs, (including new account origination costs), which are deferred and recognized on a straight-line basis over a 12-month period. |
| | (b) | Includes an adjustment to the credit card rewards liability of approximately $330 million, recorded in the second quarter of 2018. |
Other income Other income on the Firm’s Consolidated statements of income included the following: | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Operating lease income | $ | 1,157 |
| | $ | 928 |
| | $ | 3,316 |
| | $ | 2,625 |
|
Noninterest expense Other expense Other expense on the Firm’s Consolidated statements of income included the following: | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Legal expense | $ | 20 |
| | $ | (107 | ) | | $ | 90 |
| | $ | 172 |
| FDIC-related expense | 349 |
| | 353 |
| | 1,100 |
| | 1,110 |
|
Note 6 – Interest income and Interest expense For a description of JPMorgan Chase’s accounting policies regarding interest income and interest expense, refer to Note7 of JPMorgan Chase’s 2017 Annual Report. The following table presents the components of interest income and interest expense. | | | | | | | | | | | | | | | | |
| Three months ended September 30, |
| Nine months ended September 30, | (in millions) | 2018 |
|
| 2017 |
|
| 2018 |
|
| 2017 |
| Interest income |
|
|
|
|
|
|
|
|
|
|
| Loans(a) | $ | 12,207 |
|
| $ | 10,519 |
|
| $ | 34,915 |
|
| $ | 30,265 |
| Taxable securities | 1,402 |
|
| 1,362 |
|
| 4,098 |
|
| 4,202 |
| Non-taxable securities(b) | 394 |
|
| 456 |
|
| 1,199 |
|
| 1,393 |
| Total investment securities(a) | 1,796 |
|
| 1,818 |
|
| 5,297 |
|
| 5,595 |
| Trading assets | 2,155 |
|
| 1,947 |
|
| 6,369 |
|
| 5,611 |
| Federal funds sold and securities purchased under resale agreements | 952 |
|
| 622 |
|
| 2,490 |
|
| 1,676 |
| Securities borrowed(c) | 200 |
|
| — |
|
| 410 |
|
| (65 | ) | Deposits with banks | 1,585 |
|
| 1,259 |
|
| 4,449 |
|
| 3,002 |
| All other interest-earning assets(d) | 945 |
|
| 522 |
|
| 2,474 |
|
| 1,295 |
| Total interest income | 19,840 |
|
| 16,687 |
|
| 56,404 |
|
| 47,379 |
| Interest expense |
|
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits | 1,621 |
|
| 837 |
|
| 4,021 |
|
| 1,949 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | 827 |
|
| 451 |
|
| 2,164 |
|
| 1,131 |
| Short-term borrowings(e) | 288 |
|
| 149 |
|
| 757 |
|
| 318 |
| Trading liabilities – debt and all other interest-bearing liabilities(f) | 1,018 |
|
| 570 |
|
| 2,579 |
|
| 1,490 |
| Long-term debt | 2,056 |
| | 1,759 |
| | 5,812 |
| | 5,035 |
| Beneficial interest issued by consolidated VIEs | 122 |
|
| 123 |
|
| 366 |
|
| 386 |
| Total interest expense | 5,932 |
|
| 3,889 |
|
| 15,699 |
|
| 10,309 |
| Net interest income | 13,908 |
|
| 12,798 |
|
| 40,705 |
|
| 37,070 |
| Provision for credit losses | 948 |
|
| 1,452 |
|
| 3,323 |
|
| 3,982 |
| Net interest income after provision for credit losses | $ | 12,960 |
|
| $ | 11,346 |
|
| $ | 37,382 |
|
| $ | 33,088 |
|
| | (a) | Includes the amortization/accretion of unearned income Other(e.g., purchase premiums/discounts, net deferred fees/costs, etc.).
|
| | (b) | Represents securities which are tax-exempt for U.S. federal income ontax purposes. |
| | (c) | Negative interest income is related to client-driven demand for certain securities combined with the Firm’s Consolidated statementsimpact of income includedlow interest rates. This is matched book activity and the following: | | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Operating lease income | $ | 1,047 |
| | $ | 824 |
|
Noninterest expense
Other expense
Othernegative interest expense on the Firm’scorresponding securities loaned is recognized in interest expense.
|
| | (d) | Includes held-for-investment margin loans, which are classified in accrued interest and accounts receivable, and all other interest-earning assets included in other assets on the Consolidated statements of income included the following: | | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Legal expense | $ | 70 |
| | $ | 218 |
| FDIC-related expense | 383 |
| | 381 |
|
Note 6 – Interest income and Interest expense
For a description of JPMorgan Chase’s accounting policies regarding interest income and interest expense, see Note 7 of JPMorgan Chase’s 2017 Annual Report.
The following table presents the components of interest income and interest expense.
| | | | | | | | |
| Three months ended March 31, | (in millions) | 2018 |
|
| 2017 |
| Interest income |
|
|
|
|
| Loans(a) | $ | 11,074 |
|
| $ | 9,751 |
| Taxable securities | 1,313 |
|
| 1,430 |
| Non-taxable securities(b) | 410 |
|
| 458 |
| Total investment securities(a) | 1,723 |
|
| 1,888 |
| Trading assets | 2,103 |
|
| 1,858 |
| Federal funds sold and securities purchased under resale agreements | 731 |
|
| 526 |
| Securities borrowed(c) | 62 |
|
| (44 | ) | Deposits with banks | 1,321 |
|
| 725 |
| All other interest-earning assets(d) | 681 |
|
| 338 |
| Total interest income | 17,695 |
|
| 15,042 |
| Interest expense |
|
|
|
|
| Interest-bearing deposits | 1,060 |
|
| 483 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | 578 |
|
| 293 |
| Short-term borrowings(e) | 209 |
|
| 73 |
| Trading liabilities – debt and all other interest-bearing liabilities(f) | 660 |
|
| 405 |
| Long-term debt | 1,753 |
| | 1,589 |
| Beneficial interest issued by consolidated VIEs | 123 |
|
| 135 |
| Total interest expense | 4,383 |
|
| 2,978 |
| Net interest income | 13,312 |
|
| 12,064 |
| Provision for credit losses | 1,165 |
|
| 1,315 |
| Net interest income after provision for credit losses | $ | 12,147 |
|
| $ | 10,749 |
|
| balance sheets. | (a) | Includes the amortization/accretion of unearned income (e.g., purchase premiums/discounts, net deferred fees/costs, etc.). |
| | (e) | Includes commercial paper. |
| | (f) | Other interest-bearing liabilities include brokerage customer payables. |
| | (b) | Represents securities which are tax-exempt for U.S. federal income tax purposes. |
| | (c) | Negative interest income is related to client-driven demand for certain securities combined with the impact of low interest rates. This is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense. |
| | (d) | Includes held-for-investment margin loans, which are classified in accrued interest and accounts receivable, and all other interest-earning assets included in other assets on the Consolidated balance sheets. |
| | (e) | Includes commercial paper. |
| | (f) | Other interest-bearing liabilities include brokerage customer payables. |
Note 7 – Pension and other postretirement employee benefit plans
For a discussion of JPMorgan Chase’s pension and OPEB plans, see Note 8 of JPMorgan Chase’s 2017 Annual Report.
Note 7 – Pension and other postretirement employee benefit plans For a discussion of JPMorgan Chase’s pension and OPEB plans, refer to Note8 of JPMorgan Chase’s 2017 Annual Report. The following table presents the components of net periodic benefit costs reported in the Consolidated statements of income for the Firm’s U.S. and non-U.S. defined benefit pension, defined contribution and OPEB plans. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | Three months ended September 30, | | Nine months ended September 30, | 2018 | 2017 | | 2018 | 2017 | | 2018 | 2017 | | 2018 | 2017 | Defined benefit pension plans | | OPEB plans | | Defined benefit pension plans | | OPEB plans | Components of net periodic benefit cost | | | | | | | | | | | | Benefits earned during the period | $ | 88 |
| $ | 83 |
| | $ | — |
| $ | — |
| | $ | 267 |
| $ | 247 |
| | $ | — |
| $ | — |
| Interest cost on benefit obligations | 139 |
| 148 |
| | 6 |
| 7 |
| | 417 |
| 447 |
| | 18 |
| 21 |
| Expected return on plan assets | (246 | ) | (242 | ) | | (25 | ) | (24 | ) | | (741 | ) | (725 | ) | | (77 | ) | (72 | ) | Amortization: | | | | | | | | | | | |
| Net (gain)/loss | 26 |
| 63 |
| | — |
| — |
| | 78 |
| 187 |
| | — |
| — |
| Prior service cost/(credit) | (7 | ) | (9 | ) | | — |
| — |
| | (19 | ) | (27 | ) | | — |
| — |
| Settlement | — |
| — |
| | — |
| — |
| | — |
| (3 | ) | | — |
| — |
| Net periodic defined benefit cost(a) | — |
| 43 |
| | (19 | ) | (17 | ) | | 2 |
| 126 |
| | (59 | ) | (51 | ) | Other defined benefit pension plans(b) | 6 |
| 6 |
| | NA |
| NA |
| | 21 |
| 16 |
| | NA |
| NA |
| Total defined benefit plans | 6 |
| 49 |
| | (19 | ) | (17 | ) | | 23 |
| 142 |
| | (59 | ) | (51 | ) | Total defined contribution plans | 229 |
| 221 |
| | NA |
| NA |
| | 661 |
| 617 |
| | NA |
| NA |
| Total pension and OPEB cost included in noninterest expense | $ | 235 |
| $ | 270 |
| | $ | (19 | ) | $ | (17 | ) | | $ | 684 |
| $ | 759 |
| | $ | (59 | ) | $ | (51 | ) |
| | (a) | Effective January 1, 2018, benefits earned during the period are reported in compensation expense; all other components of net periodic defined benefit costs are reported within other expense in the Consolidated statements of income for the Firm’s U.S. and non-U.S.income. |
| | (b) | Includes various defined benefit pension defined contribution and OPEB plans. | | | | | | | | | | | | | | | | Defined benefit pension plans | | OPEB plans | | Three months ended March 31, (in millions) | 2018 |
| 2017 |
| 2018 |
| 2017 |
| Components of net periodic benefit cost | | | | | | Benefits earned during the period | $ | 90 |
| $ | 82 |
| | $ | — |
| $ | — |
| Interest cost on benefit obligations | 139 |
| 149 |
| | 6 |
| 7 |
| Expected return on plan assets | (248 | ) | (241 | ) | | (26 | ) | (24 | ) | Amortization: | | | | | | Net (gain)/loss | 26 |
| 62 |
| | — |
| — |
| Prior service cost/(credit) | (6 | ) | (9 | ) | | — |
| — |
| Settlement | — |
| (3 | ) | | — |
| — |
| Net periodic defined benefit cost(a) | 1 |
| 40 |
| | (20 | ) | (17 | ) | Other defined benefit pension plans(b) | 6 |
| 4 |
| | NA |
| NA |
| Total defined benefit plans | 7 |
| 44 |
| | (20 | ) | (17 | ) | Total defined contribution plans | 210 |
| 186 |
| | NA |
| NA |
| Total pension and OPEB cost included in noninterest expense | $ | 217 |
| $ | 230 |
| | $ | (20 | ) | $ | (17 | ) |
| | (a) | Effective January 1, 2018, benefits earned during the period are reported in compensation expense; all other components of net periodic defined benefit costs are reported within other expense in the Consolidated statements of income. For additional information, see Note 1. |
| | (b) | Includes various defined benefit pension plans which are individually immaterial. |
The following table presents the fair values of plan assets for the U.S. defined benefit pension and OPEB plans and for the material non-U.S. defined benefit pension plans. | | | | | | | | | (in billions) | September 30, 2018 |
| | December 31, 2017 |
| Fair value of plan assets | | | | Defined benefit pension plans | $ | 19.2 |
| | $ | 19.6 |
| OPEB plans | 2.8 |
| | 2.8 |
|
There are no expected contributions to the U.S. defined benefit pension plan for 2018.
Note 8 – Employee share-based incentives For a discussion of the accounting policies and other information relating to employee share-based incentives, refer to Note9 of JPMorgan Chase’s 2017 Annual Report. The Firm recognized the following noncash compensation expense related to its various employee share-based incentive plans in its Consolidated statements of income. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Cost of prior grants of RSUs, stock appreciation rights (“SARs”) and performance share units (“PSUs”) that are amortized over their applicable vesting periods | $ | 282 |
| | $ | 267 |
| | $ | 956 |
| | $ | 867 |
| Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees | 240 |
| | 224 |
| | 852 |
| | 750 |
| Total noncash compensation expense related to employee share-based incentive plans | $ | 522 |
| | $ | 491 |
| | $ | 1,808 |
| | $ | 1,617 |
|
In the first quarter of 2018, in connection with its annual incentive grant for the 2017 performance year, the Firm granted 17 million RSUs and 516 thousand PSUswith weighted-average grant date fair values of $111.17 per RSU and $110.46 per PSU.
Note 9 – Investment securities Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in Note2. Predominantly all of the Firm’s AFS and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities. At September 30, 2018, the investment securities portfolio consisted of debt securities with an average credit rating ofAA+(based upon external ratings where available, and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). For additional information regarding the investment securities portfolio, refer to Note10 of JPMorgan Chase’s 2017 Annual Report. As a result of the adoption of the premium amortization accounting guidance in the first quarter of 2018, premiums on purchased callable debt securities must be amortized to the earliest call date for debt securities with call features that are explicit, noncontingent and callable at fixed prices and on preset dates. The guidance primarily impacts obligations of U.S. states and municipalities held in the Firm’s investment securities portfolio. For additional information, refer to Note17. As permitted by the new hedge accounting guidance, the Firm also elected to transfer U.S. government agency MBS, commercial MBS, and obligations of U.S. states and municipalities with a carrying value of $22.4 billion from HTM to AFS in the first quarter of 2018. This transfer was a non-cash transaction. For additional information, refer to Note17. The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Available-for-sale securities | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | U.S. government agencies(a) | $ | 64,229 |
| $ | 389 |
| $ | 1,508 |
| | $ | 63,110 |
| | $ | 69,879 |
| $ | 736 |
| $ | 335 |
| | $ | 70,280 |
| Residential: | | | | | | | | | | | | U.S. | 6,396 |
| 127 |
| 36 |
| | 6,487 |
| | 8,193 |
| 185 |
| 14 |
| | 8,364 |
| Non-U.S. | 2,639 |
| 94 |
| 3 |
| | 2,730 |
| | 2,882 |
| 122 |
| 1 |
| | 3,003 |
| Commercial | 7,151 |
| 79 |
| 182 |
| | 7,048 |
| | 4,932 |
| 98 |
| 5 |
| | 5,025 |
| Total mortgage-backed securities | 80,415 |
| 689 |
| 1,729 |
| | 79,375 |
| | 85,886 |
| 1,141 |
| 355 |
| | 86,672 |
| U.S. Treasury and government agencies | 27,526 |
| 486 |
| 196 |
| | 27,816 |
| | 22,510 |
| 266 |
| 31 |
| | 22,745 |
| Obligations of U.S. states and municipalities | 36,659 |
| 1,580 |
| 118 |
| | 38,121 |
| | 30,490 |
| 1,881 |
| 33 |
| | 32,338 |
| Certificates of deposit | 75 |
| — |
| — |
| | 75 |
| | 59 |
| — |
| — |
| | 59 |
| Non-U.S. government debt securities | 24,398 |
| 321 |
| 45 |
| | 24,674 |
| | 26,900 |
| 426 |
| 32 |
| | 27,294 |
| Corporate debt securities | 1,993 |
| 64 |
| 1 |
| | 2,056 |
| | 2,657 |
| 101 |
| 1 |
| | 2,757 |
| Asset-backed securities: | | | | | | | | | | | | Collateralized loan obligations | 20,139 |
| 12 |
| 42 |
| | 20,109 |
| | 20,928 |
| 69 |
| 1 |
| | 20,996 |
| Other | 7,761 |
| 70 |
| 27 |
| | 7,804 |
| | 8,764 |
| 77 |
| 24 |
| | 8,817 |
| Total available-for-sale debt securities | 198,966 |
| 3,222 |
| 2,158 |
| | 200,030 |
| | 198,194 |
| 3,961 |
| 477 |
| | 201,678 |
| Available-for-sale equity securities(b) | — |
| — |
| — |
| | — |
| | 547 |
| — |
| — |
| | 547 |
| Total available-for-sale securities | 198,966 |
| 3,222 |
| 2,158 |
| | 200,030 |
| | 198,741 |
| 3,961 |
| 477 |
| | 202,225 |
| Held-to-maturity securities | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | U.S. government agencies(c) | 26,537 |
| 5 |
| 493 |
| | 26,049 |
| | 27,577 |
| 558 |
| 40 |
| | 28,095 |
| Commercial | — |
| — |
| — |
| | — |
| | 5,783 |
| 1 |
| 74 |
| | 5,710 |
| Total mortgage-backed securities | 26,537 |
| 5 |
| 493 |
| | 26,049 |
| | 33,360 |
| 559 |
| 114 |
| | 33,805 |
| Obligations of U.S. states and municipalities | 4,831 |
| 69 |
| 31 |
| | 4,869 |
| | 14,373 |
| 554 |
| 80 |
| | 14,847 |
| Total held-to-maturity securities | 31,368 |
| 74 |
| 524 |
| | 30,918 |
| | 47,733 |
| 1,113 |
| 194 |
| | 48,652 |
| Total investment securities | $ | 230,334 |
| $ | 3,296 |
| $ | 2,682 |
| | $ | 230,948 |
| | $ | 246,474 |
| $ | 5,074 |
| $ | 671 |
| | $ | 250,877 |
|
| | (a) | Includes total U.S. government-sponsored enterprise obligations with fair values of plan assets for the U.S. defined benefit pension$44.2 billion and OPEB plans$45.8 billion at September 30, 2018, and for the material non-U.S. defined benefit pension plans: | | | | | | | | | (in billions) | March 31, 2018 |
| | December 31, 2017 |
| Fair value of plan assets | | | | Defined benefit pension plans | $ | 19.5 |
| | $ | 19.6 |
| OPEB plans | 2.7 |
| | 2.8 |
|
There are no expected contributions to the U.S. defined benefit pension plan for 2018.
Note 8 – Employee share-based incentives
For a discussion of the accounting policies and other information relating to employee share-based incentives, see Note 9 of JPMorgan Chase’sDecember 31, 2017, Annual Report.
The Firm recognized the following noncash compensation expense related to its various employee share-based incentive plans in its Consolidated statements of income.
| | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Cost of prior grants of RSUs, stock appreciation rights (“SARs”) and performance share units (“PSUs”) that are amortized over their applicable vesting periods | $ | 398 |
| | $ | 310 |
| Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees | 308 |
| | 291 |
| Total noncash compensation expense related to employee share-based incentive plans | $ | 706 |
| | $ | 601 |
|
In the first quarter ofrespectively.
|
| | (b) | Effective January 1, 2018, in connection with its annual incentive grant for the 2017 performance year, the Firm granted 17 million RSUsadopted the recognition and 516 thousand PSUs with weighted-average grant date fair value of $111.17 per RSU and $110.46 per PSU.
Note 9 – Investment securities
Investment securities consist of debtmeasurement guidance. Equity securities that are classifiedwere previously reported as AFS or HTM. Debt securities classified as tradingwere reclassified to other assets are discussed in Note 2. Predominantly allupon adoption.
|
| | (c) | Included total U.S. government-sponsored enterprise obligations with amortized cost of the Firm’s AFS$20.6 billion and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities. At March 31, 2018, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). For additional information regarding the investment securities portfolio, see Note 10 of JPMorgan Chase’s 2017 Annual Report.As a result of the adoption of the premium amortization accounting guidance, premiums on purchased callable debt securities must be amortized to the earliest call date for
debt securities with call features that are explicit, noncontingent and callable$22.0 billion at fixed prices and on preset dates. The guidance primarily impacts obligations of U.S. states and municipalities held in the Firm’s investment securities portfolio. For additional information, see Notes 1 and 17.
As permitted by the new hedge accounting guidance, the Firm also elected to transfer U.S. government agency MBS, commercial MBS, and obligations of U.S. states and municipalities with a carrying value of $22.4 billion from HTM to AFS. The transfer of these investment securities resulted in the recognition of a net pre-tax unrealized
gain of $221 million within AOCI. This transfer was a non-cash transaction. For additional information, see Notes 1 and 17.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Available-for-sale debt securities | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | U.S. government agencies(a) | $ | 67,614 |
| $ | 633 |
| $ | 1,038 |
| | $ | 67,209 |
| | $ | 69,879 |
| $ | 736 |
| $ | 335 |
| | $ | 70,280 |
| Residential: | | | | | | | | | | | | U.S. | 7,659 |
| 166 |
| 26 |
| | 7,799 |
| | 8,193 |
| 185 |
| 14 |
| | 8,364 |
| Non-U.S. | 2,686 |
| 118 |
| — |
| | 2,804 |
| | 2,882 |
| 122 |
| 1 |
| | 3,003 |
| Commercial | 9,262 |
| 84 |
| 206 |
| | 9,140 |
| | 4,932 |
| 98 |
| 5 |
| | 5,025 |
| Total mortgage-backed securities | 87,221 |
| 1,001 |
| 1,270 |
| | 86,952 |
| | 85,886 |
| 1,141 |
| 355 |
| | 86,672 |
| U.S. Treasury and government agencies | 25,164 |
| 408 |
| 122 |
| | 25,450 |
| | 22,510 |
| 266 |
| 31 |
| | 22,745 |
| Obligations of U.S. states and municipalities | 37,573 |
| 1,982 |
| 64 |
| | 39,491 |
| | 30,490 |
| 1,881 |
| 33 |
| | 32,338 |
| Certificates of deposit | 60 |
| — |
| — |
| | 60 |
| | 59 |
| — |
| — |
| | 59 |
| Non-U.S. government debt securities | 26,348 |
| 380 |
| 34 |
| | 26,694 |
| | 26,900 |
| 426 |
| 32 |
| | 27,294 |
| Corporate debt securities | 2,191 |
| 79 |
| 2 |
| | 2,268 |
| | 2,657 |
| 101 |
| 1 |
| | 2,757 |
| Asset-backed securities: | | | | | | | | | | | | Collateralized loan obligations | 19,989 |
| 51 |
| 1 |
| | 20,039 |
| | 20,928 |
| 69 |
| 1 |
| | 20,996 |
| Other | 8,149 |
| 75 |
| 32 |
| | 8,192 |
| | 8,764 |
| 77 |
| 24 |
| | 8,817 |
| Total available-for-sale debt securities | 206,695 |
| 3,976 |
| 1,525 |
| | 209,146 |
| | 198,194 |
| 3,961 |
| 477 |
| | 201,678 |
| Available-for-sale equity securities(b) | — |
| — |
| — |
| | — |
| | 547 |
| — |
| — |
| | 547 |
| Total available-for-sale securities | 206,695 |
| 3,976 |
| 1,525 |
| | 209,146 |
| | 198,741 |
| 3,961 |
| 477 |
| | 202,225 |
| Held-to-maturity debt securities | | | | | | | | | | | | Mortgage-backed securities: | | | | | | | | | | | | U.S. government agencies(c) | 24,197 |
| 124 |
| 189 |
| | 24,132 |
| | 27,577 |
| 558 |
| 40 |
| | 28,095 |
| Commercial | — |
| — |
| — |
| | — |
| | 5,783 |
| 1 |
| 74 |
| | 5,710 |
| Total mortgage-backed securities | 24,197 |
| 124 |
| 189 |
| | 24,132 |
| | 33,360 |
| 559 |
| 114 |
| | 33,805 |
| Obligations of U.S. states and municipalities | 4,845 |
| 102 |
| 21 |
| | 4,926 |
| | 14,373 |
| 554 |
| 80 |
| | 14,847 |
| Total held-to-maturity debt securities | 29,042 |
| 226 |
| 210 |
| | 29,058 |
| | 47,733 |
| 1,113 |
| 194 |
| | 48,652 |
| Total investment securities | $ | 235,737 |
| $ | 4,202 |
| $ | 1,735 |
| | $ | 238,204 |
| | $ | 246,474 |
| $ | 5,074 |
| $ | 671 |
| | $ | 250,877 |
|
| | (a) | Includes total U.S. government-sponsored enterprise obligations with fair values of $45.9 billion and $45.8 billion at March 31,September 30, 2018, and December 31, 2017, respectively. |
| | (b) | Effective January 1, 2018, the Firm adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption.
Investment securities impairment The following tables present the fair value and gross unrealized losses for investment securities by aging category at September 30, 2018, and December 31, 2017. | | | | | | | | | | | | | | | | | | | | | | Investment securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | September 30, 2018 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 37,109 |
| $ | 988 |
| | $ | 10,492 |
| $ | 520 |
| $ | 47,601 |
| $ | 1,508 |
| Residential: | | | | | | | | U.S. | 1,343 |
| 20 |
| | 860 |
| 16 |
| 2,203 |
| 36 |
| Non-U.S. | 635 |
| 2 |
| | 180 |
| 1 |
| 815 |
| 3 |
| Commercial | 914 |
| 11 |
| | 3,018 |
| 171 |
| 3,932 |
| 182 |
| Total mortgage-backed securities | 40,001 |
| 1,021 |
| | 14,550 |
| 708 |
| 54,551 |
| 1,729 |
| U.S. Treasury and government agencies | 4,556 |
| 100 |
| | 1,416 |
| 96 |
| 5,972 |
| 196 |
| Obligations of U.S. states and municipalities | 4,171 |
| 63 |
| | 1,291 |
| 55 |
| 5,462 |
| 118 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 4,237 |
| 16 |
| | 1,798 |
| 29 |
| 6,035 |
| 45 |
| Corporate debt securities | — |
| — |
| | 38 |
| 1 |
| 38 |
| 1 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | 10,267 |
| 42 |
| | — |
| — |
| 10,267 |
| 42 |
| Other | 2,018 |
| 6 |
| | 2,545 |
| 21 |
| 4,563 |
| 27 |
| Total available-for-sale securities | 65,250 |
| 1,248 |
| | 21,638 |
| 910 |
| 86,888 |
| 2,158 |
| Held-to-maturity securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government agencies | 22,131 |
| 356 |
| | 2,595 |
| 137 |
| 24,726 |
| 493 |
| Commercial | — |
| — |
| | — |
| — |
| — |
| — |
| Total mortgage-backed securities | 22,131 |
| 356 |
| | 2,595 |
| 137 |
| 24,726 |
| 493 |
| Obligations of U.S. states and municipalities | 853 |
| 10 |
| | 677 |
| 21 |
| 1,530 |
| 31 |
| Total held-to-maturity securities | 22,984 |
| 366 |
| | 3,272 |
| 158 |
| 26,256 |
| 524 |
| Total investment securities with gross unrealized losses | $ | 88,234 |
| $ | 1,614 |
| | $ | 24,910 |
| $ | 1,068 |
| $ | 113,144 |
| $ | 2,682 |
|
| | | | | | | | | | | | | | | | | | | | | | Investment securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | December 31, 2017 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 36,037 |
| $ | 139 |
| | $ | 7,711 |
| $ | 196 |
| $ | 43,748 |
| $ | 335 |
| Residential: | | | | | | | | U.S. | 1,112 |
| 5 |
| | 596 |
| 9 |
| $ | 1,708 |
| 14 |
| Non-U.S. | — |
| — |
| | 266 |
| 1 |
| 266 |
| 1 |
| Commercial | 528 |
| 4 |
| | 335 |
| 1 |
| 863 |
| 5 |
| Total mortgage-backed securities | 37,677 |
| 148 |
| | 8,908 |
| 207 |
| 46,585 |
| 355 |
| U.S. Treasury and government agencies | 1,834 |
| 11 |
| | 373 |
| 20 |
| 2,207 |
| 31 |
| Obligations of U.S. states and municipalities | 949 |
| 7 |
| | 1,652 |
| 26 |
| 2,601 |
| 33 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 6,500 |
| 15 |
| | 811 |
| 17 |
| 7,311 |
| 32 |
| Corporate debt securities | — |
| — |
| | 52 |
| 1 |
| 52 |
| 1 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | — |
| — |
| | 276 |
| 1 |
| 276 |
| 1 |
| Other | 3,521 |
| 20 |
| | 720 |
| 4 |
| 4,241 |
| 24 |
| Total available-for-sale securities | 50,481 |
| 201 |
| | 12,792 |
| 276 |
| 63,273 |
| 477 |
| Held-to-maturity securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government agencies | 4,070 |
| 38 |
| | 205 |
| 2 |
| 4,275 |
| 40 |
| Commercial | 3,706 |
| 41 |
| | 1,882 |
| 33 |
| 5,588 |
| 74 |
| Total mortgage-backed securities | 7,776 |
| 79 |
| | 2,087 |
| 35 |
| 9,863 |
| 114 |
| Obligations of U.S. states and municipalities | 584 |
| 9 |
| | 2,131 |
| 71 |
| 2,715 |
| 80 |
| Total held-to-maturity securities | 8,360 |
| 88 |
| | 4,218 |
| 106 |
| 12,578 |
| 194 |
| Total investment securities with gross unrealized losses | $ | 58,841 |
| $ | 289 |
| | $ | 17,010 |
| $ | 382 |
| $ | 75,851 |
| $ | 671 |
|
Gross unrealized losses The Firm has recognized unrealized losses on investment securities that it intends to sell as OTTI. The Firm does not intend to sell any of the remaining investment securities with an unrealized loss in AOCI as of September 30, 2018, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities for which credit losses have been recognized in income, the Firm believes that the investment securities with an unrealized loss in AOCI as of September 30, 2018, are not other-than-temporarily impaired. For additional information on other-than-temporary impairment, refer to Note10 of the JPMorgan Chase’s 2017 Annual Report. Investment securities gains and losses The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income. | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Realized gains | $ | 58 |
| $ | 122 |
| | $ | 137 |
| $ | 664 |
| Realized losses | (103 | ) | (123 | ) | | (507 | ) | (696 | ) | OTTI losses | (1 | ) | — |
| | (1 | ) | (6 | ) | Net investment securities losses | $ | (46 | ) | $ | (1 | ) | | $ | (371 | ) | $ | (38 | ) | | | | | | | OTTI losses | | | | | | Credit-related losses recognized in income | $ | — |
| $ | — |
| | $ | — |
| $ | — |
| Investment securities the Firm intends to sell(a) | (1 | ) | — |
| | (1 | ) | (6 | ) | Total OTTI losses recognized in income | $ | (1 | ) | $ | — |
| | $ | (1 | ) | $ | (6 | ) |
| | (a) | Excludes realized losses on securities sold of $21 million and $6 million for the nine months ended September 30, 2018 and 2017 that had been previously reported as an OTTI loss due to the intention to sell the securities. |
| | (c) | Included total U.S. government-sponsored enterprise obligations with amortized cost of $18.1Changes in the credit loss component of credit-impaired debt securities The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS securities that the Firm does not intend to sell was not material as of and during the nine month periods ended September 30, 2018 and 2017.
Contractual maturities and yields The following table presents the amortized cost and estimated fair value at September 30, 2018, of JPMorgan Chase’s investment securities portfolio by contractual maturity. | | | | | | | | | | | | | | | | | | By remaining maturity September 30, 2018 (in millions) | Due in one year or less | Due after one year through five years | Due after five years through 10 years | Due after 10 years(c) | | Total | Available-for-sale securities | | | | | | | Mortgage-backed securities(a) | | | | | | | Amortized cost | $ | 258 |
| $ | 377 |
| $ | 5,746 |
| $ | 74,034 |
| | $ | 80,415 |
| Fair value | 260 |
| 379 |
| 5,827 |
| 72,909 |
| | 79,375 |
| Average yield(b) | 1.84 | % | 2.45 | % | 3.44 | % | 3.48 | % | | 3.46 | % | U.S. Treasury and government agencies |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 84 |
| $ | 8,565 |
| $ | 13,644 |
| $ | 5,233 |
| | $ | 27,526 |
| Fair value | 85 |
| 8,673 |
| 13,533 |
| 5,525 |
| | 27,816 |
| Average yield(b) | 2.12 | % | 2.70 | % | 2.53 | % | 2.91 | % | | 2.66 | % | Obligations of U.S. states and municipalities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 103 |
| $ | 715 |
| $ | 2,783 |
| $ | 33,058 |
| | $ | 36,659 |
| Fair value | 104 |
| 728 |
| 2,872 |
| 34,417 |
| | 38,121 |
| Average yield(b) | 2.07 | % | 3.89 | % | 5.05 | % | 5.01 | % | | 4.98 | % | Certificates of deposit |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 75 |
| $ | — |
| $ | — |
| $ | — |
| | $ | 75 |
| Fair value | 75 |
| — |
| — |
| — |
| | 75 |
| Average yield(b) | 0.49 | % | — | % | — | % | — | % | | 0.49 | % | Non-U.S. government debt securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 4,289 |
| $ | 14,711 |
| $ | 5,398 |
| $ | — |
| | $ | 24,398 |
| Fair value | 4,289 |
| 14,886 |
| 5,499 |
| — |
| | 24,674 |
| Average yield(b) | 3.00 | % | 1.86 | % | 1.30 | % | — | % | | 1.94 | % | Corporate debt securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 70 |
| $ | 914 |
| $ | 872 |
| $ | 137 |
| | $ | 1,993 |
| Fair value | 70 |
| 936 |
| 905 |
| 145 |
| | 2,056 |
| Average yield(b) | 4.04 | % | 4.40 | % | 4.57 | % | 4.73 | % | | 4.48 | % | Asset-backed securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | — |
| $ | 3,537 |
| $ | 5,345 |
| $ | 19,018 |
| | $ | 27,900 |
| Fair value | — |
| 3,515 |
| 5,347 |
| 19,051 |
| | 27,913 |
| Average yield(b) | — | % | 2.83 | % | 3.19 | % | 3.04 | % | | 3.04 | % | Total available-for-sale securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 4,879 |
| $ | 28,819 |
| $ | 33,788 |
| $ | 131,480 |
| | $ | 198,966 |
| Fair value | 4,883 |
| 29,117 |
| 33,983 |
| 132,047 |
| | 200,030 |
| Average yield(b) | 2.88 | % | 2.37 | % | 2.85 | % | 3.78 | % | | 3.39 | % | Held-to-maturity securities |
|
|
|
|
|
|
|
| | | Mortgage-backed securities(a) |
|
|
|
|
|
|
|
| | | Amortized cost | $ | — |
| $ | — |
| $ | 2,765 |
| $ | 23,772 |
| | $ | 26,537 |
| Fair value | — |
| — |
| 2,725 |
| 23,324 |
| | 26,049 |
| Average yield(b) | — | % | — | % | 3.52 | % | 3.33 | % | | 3.35 | % | Obligations of U.S. states and municipalities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | — |
| $ | — |
| $ | 20 |
| $ | 4,811 |
| | $ | 4,831 |
| Fair value | — |
| — |
| 20 |
| 4,849 |
| | 4,869 |
| Average yield(b) | — | % | — | % | 3.90 | % | 4.11 | % | | 4.11 | % | Total held-to-maturity securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | — |
| $ | — |
| $ | 2,785 |
| $ | 28,583 |
| | $ | 31,368 |
| Fair value | — |
| — |
| 2,745 |
| 28,173 |
| | 30,918 |
| Average yield(b) | — | % | — | % | 3.53 | % | 3.46 | % | | 3.47 | % |
| | (a) | As of September 30, 2018, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $51.2 billion and $50.6 billion, and $22.0 billion at March 31, 2018, and December 31, 2017, respectively. |
Investment | | (b) | Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities impairmentThe following tables present the fair value and gross unrealized losses formay differ from their contractual or expected maturities as certain securities may be prepaid.
|
| | (c) | Includes investment securities by aging categorywith no stated maturity. Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 7 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations. |
Note 10 – Securities financing activities For a discussion of accounting policies relating to securities financing activities, refer to Note 11 of JPMorgan Chase’s 2017 Annual Report. For further information regarding securities borrowed and securities lending agreements for which the fair value option has been elected, refer to Note 3. For further information regarding assets pledged and collateral received in securities financing agreements, refer to Note 21. The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of September 30, 2018 and December 31, 2017. When the Firm has obtained an appropriate legal opinion with respect to the master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparties; this collateral also reduces the economic exposure with the Firm has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented.the Firm has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented.the counterparty. Such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented below, if the Firm has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented. | | | | | | | | | | | | | | | | | | | September 30, 2018 | (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | Assets | | | | | | | Securities purchased under resale agreements | $ | 521,732 |
| $ | (304,110 | ) | $ | 217,622 |
| $ | (205,345 | ) | | $ | 12,277 |
| Securities borrowed | 143,644 |
| (21,210 | ) | 122,434 |
| (89,771 | ) | | 32,663 |
| Liabilities | | | | | | | Securities sold under repurchase agreements | $ | 472,560 |
| $ | (304,110 | ) | $ | 168,450 |
| $ | (154,335 | ) | | $ | 14,115 |
| Securities loaned and other(a) | 38,720 |
| (21,210 | ) | 17,510 |
| (17,146 | ) | | 364 |
|
| | | | | | | | | | | | | | | | | | | December 31, 2017 | (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | Assets | | | | | | | Securities purchased under resale agreements | $ | 448,608 |
| $ | (250,505 | ) | $ | 198,103 |
| $ | (188,502 | ) |
| $ | 9,601 |
| Securities borrowed | 113,926 |
| (8,814 | ) | 105,112 |
| (76,805 | ) | | 28,307 |
| Liabilities | | | | | | | Securities sold under repurchase agreements | $ | 398,218 |
| $ | (250,505 | ) | $ | 147,713 |
| $ | (129,178 | ) |
| $ | 18,535 |
| Securities loaned and other(a) | 27,228 |
| (8,814 | ) | 18,414 |
| (18,151 | ) | | 263 |
|
| | (a) | Includes securities-for-securities lending transactions of $5.2 billion and $9.2 billion at March 31,September 30, 2018 and December 31, 2017. | | | | | | | | | | | | | | | | | | | | | | Investment securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | March 31, 2018 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale debt securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 34,422 |
| $ | 711 |
| | $ | 7,033 |
| $ | 327 |
| $ | 41,455 |
| $ | 1,038 |
| Residential: | | | | | | | | U.S. | 1,527 |
| 17 |
| | 545 |
| 9 |
| 2,072 |
| 26 |
| Non-U.S. | — |
| — |
| | — |
| — |
| — |
| — |
| Commercial | 3,457 |
| 123 |
| | 1,712 |
| 83 |
| 5,169 |
| 206 |
| Total mortgage-backed securities | 39,406 |
| 851 |
| | 9,290 |
| 419 |
| 48,696 |
| 1,270 |
| U.S. Treasury and government agencies | 4,129 |
| 94 |
| | 364 |
| 28 |
| 4,493 |
| 122 |
| Obligations of U.S. states and municipalities | 2,244 |
| 24 |
| | 1,276 |
| 40 |
| 3,520 |
| 64 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 4,953 |
| 12 |
| | 1,196 |
| 22 |
| 6,149 |
| 34 |
| Corporate debt securities | 98 |
| 1 |
| | 41 |
| 1 |
| 139 |
| 2 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | 907 |
| 1 |
| | — |
| — |
| 907 |
| 1 |
| Other | 3,904 |
| 28 |
| | 479 |
| 4 |
| 4,383 |
| 32 |
| Total available-for-sale debt securities | 55,641 |
| 1,011 |
| | 12,646 |
| 514 |
| 68,287 |
| 1,525 |
| Held-to-maturity securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government agencies | 10,193 |
| 182 |
| | 192 |
| 7 |
| 10,385 |
| 189 |
| Commercial | — |
| — |
| | — |
| — |
| — |
| — |
| Total mortgage-backed securities | 10,193 |
| 182 |
| | 192 |
| 7 |
| 10,385 |
| 189 |
| Obligations of U.S. states and municipalities | 489 |
| 4 |
| | 683 |
| 17 |
| 1,172 |
| 21 |
| Total held-to-maturity securities | 10,682 |
| 186 |
| | 875 |
| 24 |
| 11,557 |
| 210 |
| Total investment securities with gross unrealized losses | $ | 66,323 |
| $ | 1,197 |
| | $ | 13,521 |
| $ | 538 |
| $ | 79,844 |
| $ | 1,735 |
|
| | | | | | | | | | | | | | | | | | | | | | Investment securities with gross unrealized losses | | Less than 12 months | | 12 months or more | | | December 31, 2017 (in millions) | Fair value | Gross unrealized losses | | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | Available-for-sale debt securities | | | | | | | | Mortgage-backed securities: | | | | | | | | U.S. government agencies | $ | 36,037 |
| $ | 139 |
| | $ | 7,711 |
| $ | 196 |
| $ | 43,748 |
| $ | 335 |
| Residential: | | | | | | | | U.S. | 1,112 |
| 5 |
| | 596 |
| 9 |
| $ | 1,708 |
| 14 |
| Non-U.S. | — |
| — |
| | 266 |
| 1 |
| 266 |
| 1 |
| Commercial | 528 |
| 4 |
| | 335 |
| 1 |
| 863 |
| 5 |
| Total mortgage-backed securities | 37,677 |
| 148 |
| | 8,908 |
| 207 |
| 46,585 |
| 355 |
| U.S. Treasury and government agencies | 1,834 |
| 11 |
| | 373 |
| 20 |
| 2,207 |
| 31 |
| Obligations of U.S. states and municipalities | 949 |
| 7 |
| | 1,652 |
| 26 |
| 2,601 |
| 33 |
| Certificates of deposit | — |
| — |
| | — |
| — |
| — |
| — |
| Non-U.S. government debt securities | 6,500 |
| 15 |
| | 811 |
| 17 |
| 7,311 |
| 32 |
| Corporate debt securities | — |
| — |
| | 52 |
| 1 |
| 52 |
| 1 |
| Asset-backed securities: | | | | | | | | Collateralized loan obligations | — |
| — |
| | 276 |
| 1 |
| 276 |
| 1 |
| Other | 3,521 |
| 20 |
| | 720 |
| 4 |
| 4,241 |
| 24 |
| Total available-for-sale debt securities | 50,481 |
| 201 |
| | 12,792 |
| 276 |
| 63,273 |
| 477 |
| Held-to-maturity debt securities | | | | | | | | Mortgage-backed securities | | | | | | | | U.S. government agencies | 4,070 |
| 38 |
| | 205 |
| 2 |
| 4,275 |
| 40 |
| Commercial | 3,706 |
| 41 |
| | 1,882 |
| 33 |
| 5,588 |
| 74 |
| Total mortgage-backed securities | 7,776 |
| 79 |
| | 2,087 |
| 35 |
| 9,863 |
| 114 |
| Obligations of U.S. states and municipalities | 584 |
| 9 |
| | 2,131 |
| 71 |
| 2,715 |
| 80 |
| Total held-to-maturity securities | 8,360 |
| 88 |
| | 4,218 |
| 106 |
| 12,578 |
| 194 |
| Total investment securities with gross unrealized losses | $ | 58,841 |
| $ | 289 |
| | $ | 17,010 |
| $ | 382 |
| $ | 75,851 |
| $ | 671 |
|
Gross unrealized losses
The Firm has recognized unrealized losses on investment securities that it intends to sell as OTTI. The Firm does not intend to sell any of the remaining investment securities with an unrealized loss in AOCI as of March 31, 2018, and it is not likely that2017, respectively, accounted for at fair value, where the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities for which credit losses have been recognized in income, the Firm believes that the investment securities with an unrealized loss in AOCIis acting as of March 31, 2018,lender. These amounts are not other-than-temporarily impaired. For additional information on other-than-temporary impairment, see Note10 of the JPMorgan Chase’s 2017 Annual Report.
Investment securities gains and losses
The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income.
| | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| 2017 |
| Realized gains | $ | 70 |
| $ | 149 |
| Realized losses | (295 | ) | (140 | ) | OTTI losses | (20 | ) | (12 | ) | Net investment securities gains/(losses) | $ | (245 | ) | $ | (3 | ) | | | | OTTI losses | | | Credit-related losses recognized in income | $ | — |
| $ | — |
| Investment securities the Firm intends to sell | (20 | ) | (12 | ) | Total OTTI losses recognized in income | $ | (20 | ) | $ | (12 | ) |
Changespresented within other liabilities in the credit loss component of credit-impaired debt securities
The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS securities that the Firm does not intend to sell was not material as of and during the three month periods ended March 31, 2018 and 2017.
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at March 31, 2018, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
| | | | | | | | | | | | | | | | | | By remaining maturity March 31, 2018 (in millions) | Due in one year or less | Due after one year through five years | Due after five years through 10 years | Due after 10 years(c) | | Total | Available-for-sale debt securities | | | | | | | Mortgage-backed securities(a) | | | | | | | Amortized cost | 276 |
| 431 |
| 5,837 |
| 80,677 |
| | $ | 87,221 |
| Fair value | 281 |
| 436 |
| 5,953 |
| 80,282 |
| | $ | 86,952 |
| Average yield(b) | 1.79 | % | 2.28 | % | 3.27 | % | 3.40 | % | | 3.38 | % | U.S. Treasury and government agencies |
|
|
|
|
|
|
|
| | | Amortized cost | 55 |
| — |
| 19,552 |
| 5,557 |
| | $ | 25,164 |
| Fair value | 55 |
| — |
| 19,631 |
| 5,764 |
| | $ | 25,450 |
| Average yield(b) | 1.46 | % | — | % | 2.34 | % | 2.26 | % | | 2.32 | % | Obligations of U.S. states and municipalities |
|
|
|
|
|
|
|
| | | Amortized cost | 64 |
| 801 |
| 2,474 |
| 34,234 |
| | $ | 37,573 |
| Fair value | 64 |
| 816 |
| 2,576 |
| 36,035 |
| | $ | 39,491 |
| Average yield(b) | 1.85 | % | 3.46 | % | 4.94 | % | 4.94 | % | | 4.91 | % | Certificates of deposit |
|
|
|
|
|
|
|
| | | Amortized cost | 60 |
| — |
| — |
| — |
| | $ | 60 |
| Fair value | 60 |
| — |
| — |
| — |
| | $ | 60 |
| Average yield(b) | 0.50 | % | — | % | — | % | — | % | | 0.50 | % | Non-U.S. government debt securities |
|
|
|
|
|
|
|
| | | Amortized cost | 4,853 |
| 13,831 |
| 7,664 |
| — |
| | $ | 26,348 |
| Fair value | 4,855 |
| 13,999 |
| 7,840 |
| — |
| | $ | 26,694 |
| Average yield(b) | 2.84 | % | 1.63 | % | 1.24 | % | — | % | | 1.74 | % | Corporate debt securities |
|
|
|
|
|
|
|
| | | Amortized cost | 110 |
| 882 |
| 1,056 |
| 143 |
| | $ | 2,191 |
| Fair value | 110 |
| 909 |
| 1,098 |
| 151 |
| | $ | 2,268 |
| Average yield(b) | 4.16 | % | 4.04 | % | 4.01 | % | 3.39 | % | | 3.99 | % | Asset-backed securities |
|
|
|
|
|
|
|
| | | Amortized cost | — |
| 3,109 |
| 10,038 |
| 14,991 |
| | $ | 28,138 |
| Fair value | — |
| 3,083 |
| 10,048 |
| 15,100 |
| | $ | 28,231 |
| Average yield(b) | — | % | 2.12 | % | 2.79 | % | 2.53 | % | | 2.58 | % | Total available-for-sale debt securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | 5,418 |
| $ | 19,054 |
| $ | 46,621 |
| $ | 135,602 |
| | $ | 206,695 |
| Fair value | $ | 5,425 |
| $ | 19,243 |
| $ | 47,146 |
| $ | 137,332 |
| | $ | 209,146 |
| Average yield(b) | 2.76 | % | 1.92 | % | 2.55 | % | 3.65 | % | | 3.22 | % | Held-to-maturity debt securities |
|
|
|
|
|
|
|
| | | Mortgage-backed securities(a) |
|
|
|
|
|
|
|
| | | Amortized cost | — |
| — |
| 282 |
| 23,915 |
| | $ | 24,197 |
| Fair value | — |
| — |
| 281 |
| 23,851 |
| | $ | 24,132 |
| Average yield(b) | — | % | — | % | 3.30 | % | 3.32 | % | | 3.32 | % | Obligations of U.S. states and municipalities |
|
|
|
|
|
|
|
| | | Amortized cost | — |
| — |
| — |
| 4,845 |
| | $ | 4,845 |
| Fair value | — |
| — |
| — |
| 4,926 |
| | $ | 4,926 |
| Average yield(b) | — | % | — | % | — | % | 4.11 | % | | 4.11 | % | Total held-to-maturity securities |
|
|
|
|
|
|
|
| | | Amortized cost | $ | — |
| $ | — |
| $ | 282 |
| $ | 28,760 |
| | $ | 29,042 |
| Fair value | $ | — |
| $ | — |
| $ | 281 |
| $ | 28,777 |
| | $ | 29,058 |
| Average yield(b) | — | % | — | % | 3.30 | % | 3.45 | % | | 3.45 | % |
| | (a) | As of March 31, 2018, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $51.7 billion and $51.8 billion, respectively.Consolidated balance sheets. |
| | (b) | Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. |
| | (c) | Includes investment securities with no stated maturity. Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 7 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations. |
Note 10 – Securities financing activities
For a discussion of accounting policies relating to securities financing activities, see Note 11 of JPMorgan Chase’s 2017 Annual Report. For further information regarding securities borrowed and securities lending agreements for which the fair value option has been elected, see Note 3. For further information regarding assets pledged and collateral received in securities financing agreements see Note 21.
The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of March 31,accounted for at fair value. At September 30, 2018 and December 31, 2017. When2017, included securities purchased under resale agreements of $12.2 billion and $14.7 billion, respectively and securities sold under agreements to repurchase of $1.1 billion and $697 million, respectively. There were $4.5 billion and $3.0 billion of securities borrowed at September 30, 2018 and December 31, 2017, respectively. There were no securities loaned accounted for at fair value in either period.
|
| | (c) | In some cases, collateral exchanged with a counterparty exceeds the Firm has obtainednet asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty. |
| | (d) | Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparties; this collateral also reduces the economic exposure withthe counterparty. Such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented below, if the Firm has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented. | | | | | | | | | | | | | | | | | | | March 31, 2018 | (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | Assets | | | | | | | Securities purchased under resale agreements | $ | 529,164 |
| $ | (281,634 | ) | $ | 247,530 |
| $ | (238,149 | ) | | $ | 9,381 |
| Securities borrowed | 131,750 |
| (15,618 | ) | 116,132 |
| (85,976 | ) | | 30,156 |
| Liabilities | | | | | | | Securities sold under repurchase agreements | $ | 444,114 |
| $ | (281,634 | ) | $ | 162,480 |
| $ | (147,387 | ) | | $ | 15,093 |
| Securities loaned and other(a) | 40,974 |
| (15,618 | ) | 25,356 |
| (25,028 | ) | | 328 |
|
| | | | | | | | | | | | | | | | | | | December 31, 2017 | (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | Assets | | | | | | | Securities purchased under resale agreements | $ | 448,608 |
| $ | (250,505 | ) | $ | 198,103 |
| $ | (188,502 | ) |
| $ | 9,601 |
| Securities borrowed | 113,926 |
| (8,814 | ) | 105,112 |
| (76,805 | ) | | 28,307 |
| Liabilities | | | | | | | Securities sold under repurchase agreements | $ | 398,218 |
| $ | (250,505 | ) | $ | 147,713 |
| $ | (129,178 | ) |
| $ | 18,535 |
| Securities loaned and other(a) | 27,228 |
| (8,814 | ) | 18,414 |
| (18,151 | ) | | 263 |
|
| | (a) | Includes securities-for-securities lending transactions of $10.0 billion and $9.2 billion at March 31, 2018 and December 31, 2017, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities in the Consolidated balance sheets. |
| | (b) | Includes securities financing agreements accounted for at fair value. At March 31, 2018 and December 31, 2017, included securities purchased under resale agreements of $13.5 billion and $14.7 billion, respectively and securities sold under agreements to repurchase of $735 million and $697 million, respectively. There were $3.0 billion of securities borrowed at both March 31, 2018 and December 31, 2017. There were no securities loaned accounted for at fair value in either period. |
| | (c) | In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty. |
| | (d) | Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At March 31, 2018 and December 31, 2017, included $7.3 billion and $7.5 billion, respectively, of securities purchased under resale agreements; $28.2 billion and $25.5 billion, respectively, of securities borrowed; $13.6 billion and $16.5 billion, respectively, of securities sold under agreements to repurchase; and $19 million and $29 million, respectively, of securities loaned and other. |
The tables below present as of March 31,obtained. At September 30, 2018 and December 31, 2017, the typesincluded $6.4 billion and $7.5 billion, respectively, of financial assets pledged in securities financingpurchased under resale agreements; $29.7 billion and $25.5 billion, respectively, of securities borrowed; $13.2 billion and $16.5 billion, respectively, of securities sold under agreements to repurchase; and the remaining contractual maturity$45 million and $29 million, respectively, of the securities financing agreements.
| | | | | | | | | | | | | | | | Gross liability balance | | March 31, 2018 | | December 31, 2017 | (in millions) | Securities sold under repurchase agreements | Securities loaned and other(a) | | Securities sold under repurchase agreements | Securities loaned and other(a) | Mortgage-backed securities | | | | | | U.S. government agencies | 10,608 |
| — |
| | 13,100 |
| — |
| Residential - nonagency | 1,932 |
| — |
| | 2,972 |
| — |
| Commercial - nonagency | 1,224 |
| — |
| | 1,594 |
| — |
| U.S. Treasury and government agencies | 200,550 |
| 46 |
| | 177,581 |
| 14 |
| Obligations of U.S. states and municipalities | 1,397 |
| — |
| | 1,557 |
| — |
| Non-U.S. government debt | 193,011 |
| 3,638 |
| | 170,196 |
| 2,485 |
| Corporate debt securities | 14,847 |
| 418 |
| | 14,231 |
| 287 |
| Asset-backed securities | 3,016 |
| 1 |
| | 3,508 |
| — |
| Equity securities | 17,529 |
| 36,871 |
| | 13,479 |
| 24,442 |
| Total | $ | 444,114 |
| $ | 40,974 |
| | $ | 398,218 |
| $ | 27,228 |
|
| | | | | | | | | | | | | | | | | | Remaining contractual maturity of the agreements | | Overnight and continuous | | | Greater than 90 days | | March 31, 2018 (in millions) | Up to 30 days | 30 – 90 days | Total | Total securities sold under repurchase agreements | $ | 210,365 |
| $ | 154,243 |
| $ | 38,400 |
| $ | 41,106 |
| $ | 444,114 |
| Total securities loaned and other(a) | 31,051 |
| 765 |
| 2,773 |
| 6,385 |
| 40,974 |
|
| | | | | | | | | | | | | | | | | | Remaining contractual maturity of the agreements | | Overnight and continuous | | | Greater than 90 days | | December 31, 2017 (in millions) | Up to 30 days | 30 – 90 days | Total | Total securities sold under repurchase agreements | $ | 166,425 |
| $ | 156,434 |
| $ | 41,611 |
| $ | 33,748 |
| $ | 398,218 |
| Total securities loaned and other(a) | 22,876 |
| 375 |
| 2,328 |
| 1,649 |
| 27,228 |
|
| loaned and other. | (a) | Includes securities-for-securities lending transactions of $10.0 billion and $9.2 billion at March |
The tables below present as of September 30, 2018, and December 31, 2017 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements. | | | | | | | | | | | | | | | | Gross liability balance | | September 30, 2018 | | December 31, 2017 | (in millions) | Securities sold under repurchase agreements | Securities loaned and other(a) | | Securities sold under repurchase agreements | Securities loaned and other(a) | Mortgage-backed securities | | | | | | U.S. government agencies | 25,116 |
| — |
| | 13,100 |
| — |
| Residential - nonagency | 1,861 |
| — |
| | 2,972 |
| — |
| Commercial - nonagency | 1,431 |
| — |
| | 1,594 |
| — |
| U.S. Treasury and government agencies | 236,939 |
| 14 |
| | 177,581 |
| 14 |
| Obligations of U.S. states and municipalities | 1,161 |
| — |
| | 1,557 |
| — |
| Non-U.S. government debt | 174,400 |
| 2,294 |
| | 170,196 |
| 2,485 |
| Corporate debt securities | 15,474 |
| 216 |
| | 14,231 |
| 287 |
| Asset-backed securities | 2,543 |
| — |
| | 3,508 |
| — |
| Equity securities | 13,635 |
| 36,196 |
| | 13,479 |
| 24,442 |
| Total | $ | 472,560 |
| $ | 38,720 |
| | $ | 398,218 |
| $ | 27,228 |
|
| | | | | | | | | | | | | | | | | | | | Remaining contractual maturity of the agreements | | Overnight and continuous | | | | | Greater than 90 days | | September 30, 2018 (in millions) | | Up to 30 days | | 30 – 90 days | Total | Total securities sold under repurchase agreements | $ | 195,713 |
| | $ | 166,754 |
| | $ | 46,511 |
| $ | 63,582 |
| $ | 472,560 |
| Total securities loaned and other(a) | 29,415 |
| | 138 |
| | 1,805 |
| 7,362 |
| 38,720 |
|
| | | | | | | | | | | | | | | | | | | | Remaining contractual maturity of the agreements | | Overnight and continuous | | | | | Greater than 90 days | | December 31, 2017 (in millions) | | Up to 30 days | | 30 – 90 days | Total | Total securities sold under repurchase agreements | $ | 142,185 |
| (b) | $ | 180,674 |
| (b) | $ | 41,611 |
| $ | 33,748 |
| $ | 398,218 |
| Total securities loaned and other(a) | 22,876 |
| | 375 |
| | 2,328 |
| 1,649 |
| 27,228 |
|
| | (a) | Includes securities-for-securities lending transactions of $5.2 billion and $9.2 billion at September 30, 2018 and December 31, 2017, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities on the Consolidated balance sheets. |
Transfers not qualifying for sale accounting
At both March 31, 2018, and December 31, 2017, the Firm held $1.5 billion of financial assets for which the rights | | (b) | The prior period amounts have been transferredrevised to third parties; however,conform with the current period presentation. |
Transfers not qualifying for sale accounting At September 30, 2018, and December 31, 2017, the Firm held $1.6 billion and $1.5 billion respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets.
Note 11 – Loans Loan accounting framework The accounting for a loan depends on management’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. The Firm accounts for loans based on the following categories: | | • |
Note 11 – Loans
Loan accounting framework
The accounting for a loan depends on management’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. The Firm accounts for loans based on the following categories:
Originated or purchased loans held-for-investment (i.e., “retained”), other than PCI loans |
Loans held-for-sale Loans at fair value PCI loans held-for-investment For a detailed discussion of loans, including accounting policies, refer to Note12 of JPMorgan Chase’s 2017 Annual Report. Refer to Note3 of this Form 10-Q for further information on the Firm’s elections of fair value accounting under the fair value option. Refer to Note2 of this Form 10-Q for information on loans carried at fair value and classified as trading assets.
Loan portfolio The Firm’s loan portfolio is divided into three portfolio segments, which are the same segments used by the Firm to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment the Firm monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class. Loans held-for-sale | | | | | | Consumer, excluding Loans at fair valuecredit card(a)
| | Credit card | | Wholesale(f) | Residential real estate – excluding PCI • Residential mortgage(b) • Home equity(c) Other consumer loans(d) • Auto • Consumer & Business Banking(e) Residential real estate – PCI • Home equity • Prime mortgage • Subprime mortgage • Option ARMs | | • Credit card loans | | • Commercial and industrial • Real estate • Financial institutions • Government agencies • Other(g) |
| | (a) | Includes loans held-for-investmentheld in CCB, prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. |
| | (b) | Predominantly includes prime (including option ARMs) and subprime loans. |
| | (c) | Includes senior and junior lien home equity loans. |
| | (d) | Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included with the other consumer loan classes. |
| | (e) | Predominantly includes Business Banking loans. |
| | (f) | Includes loans held in CIB, CB, AWM and Corporate. Excludes prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. Classes are internally defined and may not align with regulatory definitions. |
| | (g) | Includes loans to: individuals (predominantly Wealth Management clients within AWM), SPEs, and private education and civic organizations. For a detailed discussion of loans, including accounting policies, seemore information on SPEs, refer to Note 1214 of JPMorgan Chase’s 2017 Annual Report. See Note 3 |
The following tables summarize the Firm’s loan balances by portfolio segment. | | | | | | | | | | | | | | | | | | September 30, 2018 | Consumer, excluding credit card | | Credit card(a) | | Wholesale | | Total | | (in millions) | | Retained | $ | 375,958 |
| | $ | 147,856 |
| | $ | 423,837 |
| | $ | 947,651 |
| (b) | Held-for-sale | 104 |
| | 25 |
| | 3,551 |
| | 3,680 |
| | At fair value | — |
| | — |
| | 2,987 |
| | 2,987 |
| | Total | $ | 376,062 |
| | $ | 147,881 |
| | $ | 430,375 |
| | $ | 954,318 |
| | | | | | | | | | | December 31, 2017 | Consumer, excluding credit card | | Credit card(a) | | Wholesale | | Total | | (in millions) | | Retained | $ | 372,553 |
| | $ | 149,387 |
| | $ | 402,898 |
| | $ | 924,838 |
| (b) | Held-for-sale | 128 |
| | 124 |
| | 3,099 |
| | 3,351 |
| | At fair value | — |
| | — |
| | 2,508 |
| | 2,508 |
| | Total | $ | 372,681 |
| | $ | 149,511 |
| | $ | 408,505 |
| | $ | 930,697 |
| |
| | (a) | Includes accrued interest and fees net of this Form 10-Qan allowance for further information on the Firm’s electionsuncollectible portion of fair value accounting underaccrued interest and fee income. |
| | (b) | Loans (other than PCI loans and loans for which the fair value option. See Note 2option has been elected) are presented net of this Form 10-Q unamortized discounts and premiums, and net deferred loan fees or costs. These amounts were not material as of September 30, 2018, and December 31, 2017. |
The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Reclassifications of loans to held-for sale are non-cash transactions. The Firm manages its exposure to credit risk on an ongoing basis. Selling loans is one way that the Firm reduces its credit exposures.Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| 2018 | | 2017 | Three months ended September 30, (in millions) | |
| Consumer, excluding credit card | Credit card | Wholesale | Total | | Consumer, excluding credit card | Credit card | Wholesale | Total | Purchases | |
| $ | 561 |
| (a)(b) | $ | — |
| $ | 285 |
| $ | 846 |
| | $ | 711 |
| (a)(b) | $ | — |
| $ | 479 |
| $ | 1,190 |
| Sales | |
| 1,789 |
|
| — |
| 4,197 |
| 5,986 |
| | 672 |
| | — |
| 3,342 |
| 4,014 |
| Retained loans reclassified to held-for-sale | |
| — |
| | — |
| 666 |
| 666 |
| | — |
|
| — |
| 367 |
| 367 |
| | | | | | | | | | | | | | | | | | 2018 | | 2017 | Nine months ended September 30, (in millions) | | | Consumer, excluding credit card | Credit card | Wholesale | Total | | Consumer, excluding credit card | Credit card | Wholesale | Total | Purchases | | | $ | 2,164 |
| (a)(b) | $ | — |
| $ | 1,915 |
| $ | 4,079 |
| | $ | 2,277 |
| (a)(b) | $ | — |
| $ | 1,357 |
| $ | 3,634 |
| Sales | | | 4,661 |
| | — |
| 12,829 |
| 17,490 |
| | 2,025 |
| | — |
| 8,166 |
| 10,191 |
| Retained loans reclassified to held-for-sale | | | 36 |
| | — |
| 1,926 |
| 1,962 |
| | 6,340 |
| (c) | — |
| 961 |
| 7,301 |
|
| | (a) | Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA. |
| | (b) | Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $5.6 billionand $6.9 billionfor information on loans carried at fair value the three months ended September 30, 2018and classified as trading assets.2017, respectively, and $14.5 billion and $18.2 billion for the nine months ended September 30, 2018 and 2017, respectively.
Loan portfolio
The
|
| | (c) | Includes the Firm’s student loan portfolio is divided into three portfolio segments,which was sold in 2017. |
Gains and losses on sales of loans Gains and losses on sales of loans (including adjustments to record loans held-for-sale at the lower of cost or fair value) recognized in other income were not material to the Firm for the three and nine months ended September 30, 2018 and 2017. In addition, the sale of loans may also result in write downs, recoveries or changes in the allowance recognized in the provision for credit losses. Consumer, excluding credit card loan portfolio Consumer loans, excluding credit card loans, consist primarily of residential mortgages, home equity loans and lines of credit, auto loans and consumer and business banking loans, with a focus on serving the prime consumer credit market. The portfolio also includes home equity loans secured by junior liens, prime mortgage loans with an interest-only payment period, and certain payment-option loans that may result in negative amortization. The following table provides information about retained consumer loans, excluding credit card, by class. In 2017, the Firm sold its student loan portfolio. | | | | | | | | (in millions) | September 30, 2018 |
| December 31, 2017 |
| Residential real estate – excluding PCI | | | Residential mortgage | $ | 231,361 |
| $ | 216,496 |
| Home equity | 29,318 |
| 33,450 |
| Other consumer loans | | | Auto | 63,619 |
| 66,242 |
| Consumer & Business Banking | 26,451 |
| 25,789 |
| Residential real estate – PCI | | | Home equity | 9,393 |
| 10,799 |
| Prime mortgage | 4,931 |
| 6,479 |
| Subprime mortgage | 2,072 |
| 2,609 |
| Option ARMs | 8,813 |
| 10,689 |
| Total retained loans | $ | 375,958 |
| $ | 372,553 |
|
For further information on consumer credit quality indicators, refer to Note12 of JPMorgan Chase’s 2017 Annual Report.
Residential real estate – excluding PCI loans The following table provides information by class for retained residential real estate – excluding PCI loans. | | | | | | | | | | | | | | | | | | | | | | | | Residential real estate – excluding PCI loans | | | | | | | (in millions, except ratios) | Residential mortgage | | | Home equity | | | Total residential real estate – excluding PCI | Sep 30, 2018 |
| Dec 31, 2017 |
| | | Sep 30, 2018 |
| Dec 31, 2017 |
| | | Sep 30, 2018 |
| Dec 31, 2017 |
| Loan delinquency(a) | | | | | | | | | | | Current | $ | 225,799 |
| $ | 208,713 |
| | | $ | 28,554 |
| $ | 32,391 |
| | | $ | 254,353 |
| $ | 241,104 |
| 30–149 days past due | 2,825 |
| 4,234 |
| | | 470 |
| 671 |
| | | 3,295 |
| 4,905 |
| 150 or more days past due | 2,737 |
| 3,549 |
| | | 294 |
| 388 |
| | | 3,031 |
| 3,937 |
| Total retained loans | $ | 231,361 |
| $ | 216,496 |
| | | $ | 29,318 |
| $ | 33,450 |
| | | $ | 260,679 |
| $ | 249,946 |
| % of 30+ days past due to total retained loans(b) | 0.51 | % | 0.77 | % | | | 2.61 | % | 3.17 | % | | | 0.75 | % | 1.09 | % | 90 or more days past due and government guaranteed(c) | $ | 2,828 |
| $ | 4,172 |
| | | $ | — |
| $ | — |
| | | $ | 2,828 |
| $ | 4,172 |
| Nonaccrual loans | 1,880 |
| 2,175 |
| | | 1,382 |
| 1,610 |
| | | 3,262 |
| 3,785 |
| Current estimated LTV ratios(d)(e) | | | | | | | | | |
|
| Greater than 125% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | $ | 28 |
| $ | 37 |
| | | $ | 6 |
| $ | 10 |
| | | $ | 34 |
| $ | 47 |
| Less than 660 | 30 |
| 19 |
| | | 1 |
| 3 |
| | | 31 |
| 22 |
| 101% to 125% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 20 |
| 36 |
| | | 138 |
| 296 |
| | | 158 |
| 332 |
| Less than 660 | 60 |
| 88 |
| | | 46 |
| 95 |
| | | 106 |
| 183 |
| 80% to 100% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 3,606 |
| 4,369 |
| | | 1,059 |
| 1,676 |
| | | 4,665 |
| 6,045 |
| Less than 660 | 314 |
| 483 |
| | | 359 |
| 569 |
| | | 673 |
| 1,052 |
| Less than 80% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 212,585 |
| 194,758 |
| | | 22,851 |
| 25,262 |
| | | 235,436 |
| 220,020 |
| Less than 660 | 6,734 |
| 6,952 |
| | | 3,501 |
| 3,850 |
| | | 10,235 |
| 10,802 |
| No FICO/LTV available | 888 |
| 1,259 |
| | | 1,357 |
| 1,689 |
| | | 2,245 |
| 2,948 |
| U.S. government-guaranteed | 7,096 |
| 8,495 |
| | | — |
| — |
| | | 7,096 |
| 8,495 |
| Total retained loans | $ | 231,361 |
| $ | 216,496 |
| | | $ | 29,318 |
| $ | 33,450 |
| | | $ | 260,679 |
| $ | 249,946 |
| Geographic region | | | | | | | | | | | California | $ | 74,324 |
| $ | 68,855 |
| | | $ | 5,852 |
| $ | 6,582 |
| | | $ | 80,176 |
| $ | 75,437 |
| New York | 29,146 |
| 27,473 |
| | | 6,016 |
| 6,866 |
| | | 35,162 |
| 34,339 |
| Illinois | 15,242 |
| 14,501 |
| | | 2,208 |
| 2,521 |
| | | 17,450 |
| 17,022 |
| Texas | 13,926 |
| 12,508 |
| | | 1,843 |
| 2,021 |
| | | 15,769 |
| 14,529 |
| Florida | 10,624 |
| 9,598 |
| | | 1,619 |
| 1,847 |
| | | 12,243 |
| 11,445 |
| New Jersey | 7,448 |
| 7,142 |
| | | 1,702 |
| 1,957 |
| | | 9,150 |
| 9,099 |
| Washington | 8,057 |
| 6,962 |
| | | 904 |
| 1,026 |
| | | 8,961 |
| 7,988 |
| Colorado | 8,131 |
| 7,335 |
| | | 525 |
| 632 |
| | | 8,656 |
| 7,967 |
| Massachusetts | 6,545 |
| 6,323 |
| | | 246 |
| 295 |
| | | 6,791 |
| 6,618 |
| Arizona | 4,519 |
| 4,109 |
| | | 1,211 |
| 1,439 |
| | | 5,730 |
| 5,548 |
| All other(f) | 53,399 |
| 51,690 |
| | | 7,192 |
| 8,264 |
| | | 60,591 |
| 59,954 |
| Total retained loans | $ | 231,361 |
| $ | 216,496 |
| | | $ | 29,318 |
| $ | 33,450 |
| | | $ | 260,679 |
| $ | 249,946 |
|
| | (a) | Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $2.7 billion and $2.4 billion; 30–149 days past due included $2.2 billion and $3.2 billion; and 150 or more days past due included $2.2 billion and $2.9 billion at September 30, 2018, and December 31, 2017, respectively. |
| | (b) | At September 30, 2018, and December 31, 2017, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $4.4 billion and $6.1 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. |
| | (c) | These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the same segments usedloans are guaranteed by U.S government agencies. Typically the Firmprincipal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to determine the allowance for loan losses: Consumer, excluding credit card; Credit card;meeting agreed-upon servicing guidelines. At September 30, 2018, and Wholesale. Within each portfolio segment the Firm monitorsDecember 31, 2017, these balances included $1.3 billion and assesses the credit risk in the following classes$1.5 billion, respectively, of loans that are no longer accruing interest based on the risk characteristics of each loan class. | | | | | | Consumer, excluding
credit card(a)
| | Credit card | | Wholesale(f)
| Residential real estate – excluding PCI
• Residential mortgage(b)
• Home equity(c)
Other consumer loans(d)
• Auto
• Consumer & Business Banking(e)
Residential real estate – PCI
• Home equity
• Prime mortgage
• Subprime mortgage
• Option ARMs
| | • Credit card loans | | • Commercial and industrial
• Real estate
• Financial institutions
• Government agencies
• Other(g)
|
| | (a) | Includes loans held in CCB, prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. |
| | (b) | Predominantly includes prime (including option ARMs) and subprime loans. |
| | (c) | Includes senior and junior lien home equity loans. |
| | (d) | Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included with the other consumer loan classes. |
| | (e) | Predominantly includes Business Banking loans. |
| | (f) | Includes loans held in CIB, CB, AWM and Corporate. Excludes prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. Classes are internally defined and may not align with regulatory definitions. |
| | (g) | Includes loans to: individuals; SPEs; and private education and civic organizations.agreed-upon servicing guidelines. For more information on SPEs, see Note 14 of JPMorgan Chase’s 2017 Annual Report. |
The following tables summarize the Firm’s loan balances by portfolio segment.
| | | | | | | | | | | | | | | | | | March 31, 2018 | Consumer, excluding credit card | | Credit card(a) | | Wholesale | | Total | | (in millions) | | Retained | $ | 373,243 |
| | $ | 140,348 |
| | $ | 412,020 |
| | $ | 925,611 |
| (b) | Held-for-sale | 152 |
| | 66 |
| | 5,687 |
| | 5,905 |
| | At fair value | — |
| | — |
| | 2,908 |
| | 2,908 |
| | Total | $ | 373,395 |
| | $ | 140,414 |
| | $ | 420,615 |
| | $ | 934,424 |
| | | | | | | | | | | December 31, 2017 | Consumer, excluding credit card | | Credit card(a) | | Wholesale | | Total | | (in millions) | | Retained | $ | 372,553 |
| | $ | 149,387 |
| | $ | 402,898 |
| | $ | 924,838 |
| (b) | Held-for-sale | 128 |
| | 124 |
| | 3,099 |
| | 3,351 |
| | At fair value | — |
| | — |
| | 2,508 |
| | 2,508 |
| | Total | $ | 372,681 |
| | $ | 149,511 |
| | $ | 408,505 |
| | $ | 930,697 |
| |
| | (a) | Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income. |
| | (b) | Loans (other than PCI loans and loans for which the fair value option has been elected) are presented net of unamortized discounts and premiums, and net deferred loan fees or costs. These amounts were not material as of March 31, 2018, and December 31, 2017. |
The following table provides information aboutremaining balance, interest is being accrued at the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Loans reclassified to held-for sale are non-cash transactions. The Firm manages its exposure to credit risk on an ongoing basis. Selling loans is one way that the Firm reduces its credit exposures. Loans sold out of the held-for-sale portfolio are excluded from this table.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| 2018 | | 2017 | Three months ended March 31, (in millions) |
| Consumer, excluding credit card | Credit card | Wholesale | Total | | Consumer, excluding credit card | Credit card | Wholesale | Total | Purchases |
| $ | 1,071 |
| (a)(b) | $ | — |
| $ | 1,098 |
| $ | 2,169 |
| | $ | 940 |
| (a)(b) | $ | — |
| $ | 284 |
| $ | 1,224 |
| Sales |
| 481 |
|
| — |
| 3,689 |
| 4,170 |
| | 590 |
| | — |
| 2,447 |
| 3,037 |
| Retained loans reclassified to held-for-sale |
| 36 |
| | — |
| 868 |
| 904 |
| | 6,309 |
| (c) | — |
| 461 |
| 6,770 |
|
| | (a)
| Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA. |
| | (b) | Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $3.6 billionand $5.4 billionfor the three months ended March 31, 2018and 2017, respectively.
|
| | (c) | Includes the Firm’s student loan portfolio which was sold in 2017. |
The following table provides information about gains and losses on loan sales, including lower of cost or fair value adjustments, by portfolio segment.
| | | | | | | | | | Three months ended March 31, | | (in millions) | 2018 | 2017 | | Net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)(a) | | | | Consumer, excluding credit card | $ | 9 |
| $ | (226 | ) | (b) | Credit card | 19 |
| 1 |
| | Wholesale | (2 | ) | 5 |
| | Total net gains on sales of loans (including lower of cost or fair value adjustments) | $ | 26 |
| $ | (220 | ) | |
| | (a) | Excludes sales related to loans accounted for at fair value. |
| | (b) | Includes the amounts related to the Firm’s student loan portfolio which was sold in 2017. |
Consumer, excluding credit card loan portfolio
Consumer loans, excluding credit card loans, consist primarily of residential mortgages, home equity loans and lines of credit, auto loans and consumer and business banking loans, with a focus on serving the prime consumer credit market. The portfolio also includes home equity loans secured by junior liens, prime mortgage loans with an interest-only payment period, and certain payment-optionguaranteed reimbursement rate. There were no loans that may result in negative amortization.
The accompanying table provides information about retained consumer loans, excluding credit card,were not guaranteed by class. In 2017, the Firm sold its student loan portfolio.
| | | | | | | | (in millions) | March 31, 2018 |
| December 31, 2017 |
| Residential real estate – excluding PCI | | | Residential mortgage | $ | 220,048 |
| $ | 216,496 |
| Home equity | 31,792 |
| 33,450 |
| Other consumer loans | | | Auto | 66,042 |
| 66,242 |
| Consumer & Business Banking | 25,856 |
| 25,789 |
| Residential real estate – PCI | | | Home equity | 10,332 |
| 10,799 |
| Prime mortgage | 6,259 |
| 6,479 |
| Subprime mortgage | 2,549 |
| 2,609 |
| Option ARMs | 10,365 |
| 10,689 |
| Total retained loans | $ | 373,243 |
| $ | 372,553 |
|
For further information on consumer credit quality indicators, see Note 12 of JPMorgan Chase’s 2017 Annual Report.
Residential real estate – excluding PCI loans
The following table provides information by class for residential real estate – excluding retained PCI loans.
| | | | | | | | | | | | | | | | | | | | | | | | Residential real estate – excluding PCI loans | | | | | | | (in millions, except ratios) | Residential mortgage | | | Home equity | | | Total residential real estate – excluding PCI | Mar 31, 2018 |
| Dec 31, 2017 |
| | | Mar 31, 2018 |
| Dec 31, 2017 |
| | | Mar 31, 2018 |
| Dec 31, 2017 |
| Loan delinquency(a) | | | | | | | | | | | Current | $ | 213,081 |
| $ | 208,713 |
| | | $ | 30,894 |
| $ | 32,391 |
| | | $ | 243,975 |
| $ | 241,104 |
| 30–149 days past due | 3,176 |
| 4,234 |
| | | 498 |
| 671 |
| | | 3,674 |
| 4,905 |
| 150 or more days past due | 3,791 |
| 3,549 |
| | | 400 |
| 388 |
| | | 4,191 |
| 3,937 |
| Total retained loans | $ | 220,048 |
| $ | 216,496 |
| | | $ | 31,792 |
| $ | 33,450 |
| | | $ | 251,840 |
| $ | 249,946 |
| % of 30+ days past due to total retained loans(b) | 0.62 | % | 0.77 | % | | | 2.82 | % | 3.17 | % | | | 0.90 | % | 1.09 | % | 90 or more days past due and government guaranteed(c) | $ | 3,873 |
| $ | 4,172 |
| | | $ | — |
| $ | — |
| | | $ | 3,873 |
| $ | 4,172 |
| Nonaccrual loans | 2,240 |
| 2,175 |
| | | 1,585 |
| 1,610 |
| | | 3,825 |
| 3,785 |
| Current estimated LTV ratios(d)(e) | | | | | | | | | |
|
| Greater than 125% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | $ | 65 |
| $ | 37 |
| | | $ | 7 |
| $ | 10 |
| | | $ | 72 |
| $ | 47 |
| Less than 660 | 18 |
| 19 |
| | | 2 |
| 3 |
| | | 20 |
| 22 |
| 101% to 125% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 38 |
| 36 |
| | | 219 |
| 296 |
| | | 257 |
| 332 |
| Less than 660 | 76 |
| 88 |
| | | 69 |
| 95 |
| | | 145 |
| 183 |
| 80% to 100% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 3,477 |
| 4,369 |
| | | 1,410 |
| 1,676 |
| | | 4,887 |
| 6,045 |
| Less than 660 | 410 |
| 483 |
| | | 476 |
| 569 |
| | | 886 |
| 1,052 |
| Less than 80% and refreshed FICO scores: | | | | | | | | | |
|
| Equal to or greater than 660 | 199,245 |
| 194,758 |
| | | 24,260 |
| 25,262 |
| | | 223,505 |
| 220,020 |
| Less than 660 | 6,861 |
| 6,952 |
| | | 3,785 |
| 3,850 |
| | | 10,646 |
| 10,802 |
| No FICO/LTV available | 1,248 |
| 1,259 |
| | | 1,564 |
| 1,689 |
| | | 2,812 |
| 2,948 |
| U.S. government-guaranteed | 8,610 |
| 8,495 |
| | | — |
| — |
| | | 8,610 |
| 8,495 |
| Total retained loans | $ | 220,048 |
| $ | 216,496 |
| | | $ | 31,792 |
| $ | 33,450 |
| | | $ | 251,840 |
| $ | 249,946 |
| Geographic region | | | | | | | | | | | California | $ | 70,090 |
| $ | 68,855 |
| | | $ | 6,307 |
| $ | 6,582 |
| | | $ | 76,397 |
| $ | 75,437 |
| New York | 27,877 |
| 27,473 |
| | | 6,528 |
| 6,866 |
| | | 34,405 |
| 34,339 |
| Illinois | 14,644 |
| 14,501 |
| | | 2,396 |
| 2,521 |
| | | 17,040 |
| 17,022 |
| Texas | 12,848 |
| 12,508 |
| | | 1,946 |
| 2,021 |
| | | 14,794 |
| 14,529 |
| Florida | 9,797 |
| 9,598 |
| | | 1,750 |
| 1,847 |
| | | 11,547 |
| 11,445 |
| New Jersey | 7,166 |
| 7,142 |
| | | 1,850 |
| 1,957 |
| | | 9,016 |
| 9,099 |
| Washington | 7,175 |
| 6,962 |
| | | 975 |
| 1,026 |
| | | 8,150 |
| 7,988 |
| Colorado | 7,533 |
| 7,335 |
| | | 567 |
| 632 |
| | | 8,100 |
| 7,967 |
| Massachusetts | 6,310 |
| 6,323 |
| | | 279 |
| 295 |
| | | 6,589 |
| 6,618 |
| Arizona | 4,210 |
| 4,109 |
| | | 1,352 |
| 1,439 |
| | | 5,562 |
| 5,548 |
| All other(f) | 52,398 |
| 51,690 |
| | | 7,842 |
| 8,264 |
| | | 60,240 |
| 59,954 |
| Total retained loans | $ | 220,048 |
| $ | 216,496 |
| | | $ | 31,792 |
| $ | 33,450 |
| | | $ | 251,840 |
| $ | 249,946 |
|
| | (a) | Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $3.0 billion and $2.4 billion; 30–149 days past due included $2.5 billion and $3.2 billion; and 150 or more days past due included $3.1 billion and $2.9 billion at March 31, 2018, and December 31, 2017, respectively. |
| | (b) | At March 31, 2018 and December 31, 2017, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $5.6 billion and $6.1 billion, respectively, that are 90 or more days past due and still accruing interest at September 30, or more days past due. These amounts have been excluded based upon the government guarantee. |
| | (c) | These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the loans are guaranteed by U.S government agencies. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At March 31, 2018, and December 31, 2017, these balances included $1.4 billion and $1.5 billion, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at March 31, 2018, and December 31, 2017. |
| | (d) | Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. |
| | (e) | Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis. |
| | (f) | At September 30, 2018, and December 31, 2017, included mortgage loans insured by U.S. government agencies of $7.1 billion and $8.5 billion, respectively. These amounts have been excluded from the geographic regions presented based upon the government guarantee. |
Approximately 37% of the home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table represents the Firm’s delinquency statistics for junior lien home equity loans and lines of credit as of September 30, 2018, and December 31, 2017. | | | | | | | | | | | | | | Total loans | | Total 30+ day delinquency rate | (in millions, except ratios) | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | HELOCs:(a) | | | | | | Within the revolving period(b) | $ | 5,482 |
| $ | 6,363 |
| | 0.22 | % | 0.50 | % | Beyond the revolving period | 11,982 |
| 13,532 |
| | 2.78 |
| 3.56 |
| HELOANs | 1,104 |
| 1,371 |
| | 2.99 |
| 3.50 |
| Total | $ | 18,568 |
| $ | 21,266 |
| | 2.04 | % | 2.64 | % |
| | (a) | These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period. |
| | (b) | The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are experiencing financial difficulty. |
HELOCs beyond the revolving period and HELOANs have higher delinquency rates than HELOCs within the revolving period.That is primarily because the fully-amortizing payment that is generally required for thoseproducts is higher than the minimum payment optionsavailable for HELOCs within the revolving period. The higher delinquency rates associated with amortizing HELOCs and HELOANs are factored into the Firm’s allowance for loan losses.
Impaired loans The table below sets forth information about the Firm’s residential real estate impaired loans, excluding PCI loans. These loans are considered to be impaired as they have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note13 of JPMorgan Chase’s 2017 Annual Report. | | | | | | | | | | | | | | | | | | | | | | (in millions) | Residential mortgage | | Home equity | | Total residential real estate – excluding PCI | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| Impaired loans | | | | | | | | | With an allowance | $ | 3,558 |
| $ | 4,407 |
| | $ | 1,177 |
| $ | 1,236 |
| | $ | 4,735 |
| $ | 5,643 |
| Without an allowance(a) | 1,164 |
| 1,213 |
| | 879 |
| 882 |
| | 2,043 |
| 2,095 |
| Total impaired loans(b)(c) | $ | 4,722 |
| $ | 5,620 |
| | $ | 2,056 |
| $ | 2,118 |
| | $ | 6,778 |
| $ | 7,738 |
| Allowance for loan losses related to impaired loans | $ | 97 |
| $ | 62 |
| | $ | 42 |
| $ | 111 |
| | $ | 139 |
| $ | 173 |
| Unpaid principal balance of impaired loans(d) | 6,439 |
| 7,741 |
| | 3,537 |
| 3,701 |
| | 9,976 |
| 11,442 |
| Impaired loans on nonaccrual status(e) | 1,536 |
| 1,743 |
| | 993 |
| 1,032 |
| | 2,529 |
| 2,775 |
|
| | (a) | Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less cost to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At September 30, 2018, Chapter 7 residential real estate loans included approximately 13% of residential mortgages and 9% of home equity that were 30 days or more past due. |
| | (b) | At September 30, 2018, and December 31, 2017, $4.0 billion and $3.8 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. |
| | (c) | Predominantly all residential real estate impaired loans, excluding PCI loans, are in the U.S. |
| | (d) | Represents the contractual amount of principal owed at September 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors including charge-offs, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. |
| | (e) | At September 30, 2018 and December 31, 2017, nonaccrual loans included $2.0 billion and $2.2 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status refer to the Loan accounting framework in Note 12 of JPMorgan Chase’s 2017 Annual Report. |
The following tables present average impaired loans and the related interest income reported by the Firm. | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, (in millions) | Average impaired loans | | Interest income on impaired loans(a) | | Interest income on impaired loans on a cash basis(a) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Residential mortgage | $ | 4,872 |
| $ | 5,743 |
| | $ | 61 |
| $ | 71 |
| | $ | 19 |
| $ | 19 |
| Home equity | 2,065 |
| 2,150 |
| | 33 |
| 32 |
| | 21 |
| 20 |
| Total residential real estate – excluding PCI | $ | 6,937 |
| $ | 7,893 |
| | $ | 94 |
| $ | 103 |
| | $ | 40 |
| $ | 39 |
| | | | | | | | | | Nine months ended September 30, 2018 (in millions) | Average impaired loans | | Interest income on impaired loans(a) | | Interest income on impaired loans on a cash basis(a) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Residential mortgage | $ | 5,242 |
| $ | 5,861 |
| | $ | 197 |
| $ | 217 |
| | $ | 58 |
| $ | 57 |
| Home equity | 2,092 |
| 2,213 |
| | 98 |
| 95 |
| | 63 |
| 60 |
| Total residential real estate – excluding PCI | $ | 7,334 |
| $ | 8,074 |
| | $ | 295 |
| $ | 312 |
| | $ | 121 |
| $ | 117 |
|
| | (a) | Generally, interest income on loans modified in TDRs is recognized on a cash basis until the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent. |
Loan modifications Modifications of residential real estate loans, excluding PCI loans, are generally accounted for and reported as TDRs. There were no additional commitments to lend to borrowers whose residential real estate loans, excluding PCI loans, have been modified in TDRs. The following table presents new TDRs reported by the Firm. | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Residential mortgage | $ | 67 |
| $ | 57 |
| | $ | 314 |
| $ | 225 |
| Home equity | 55 |
| 82 |
| | 241 |
| 232 |
| Total residential real estate – excluding PCI | $ | 122 |
| $ | 139 |
| | $ | 555 |
| $ | 457 |
|
Nature and extent of modifications The U.S. Treasury’s Making Home Affordable programs, as well as the Firm’s proprietary modification programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement. The following tables provide information about how residential real estate loans, excluding PCI loans, were modified under the Firm’sloss mitigation programs described above during the periods presented. These tables exclude Chapter 7 loans where the sole concession granted is the discharge of debt. | | | | | | | | | | | | | | | | Three months ended September 30, | | | Total residential real estate – excluding PCI | Residential mortgage | | Home equity | | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Number of loans approved for a trial modification | 513 |
| 206 |
| | 586 |
| 536 |
| | 1,099 |
| 742 |
| Number of loans permanently modified | 719 |
| 510 |
| | 939 |
| 1,228 |
| | 1,658 |
| 1,738 |
| Concession granted:(a) | | | | | | | | | Interest rate reduction | 58 | % | 64 | % | | 77 | % | 60 | % | | 69 | % | 61 | % | Term or payment extension | 83 |
| 80 |
| | 88 |
| 66 |
| | 86 |
| 70 |
| Principal and/or interest deferred | 30 |
| 22 |
| | 11 |
| 8 |
| | 19 |
| 12 |
| Principal forgiveness | 9 |
| 17 |
| | 7 |
| 19 |
| | 8 |
| 19 |
| Other(b) | 36 |
| 15 |
| | 58 |
| 32 |
| | 49 |
| 27 |
| | | | | | | | | | Nine months ended September 30, | | | Total residential real estate – excluding PCI | Residential mortgage | | Home equity | | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Number of loans approved for a trial modification | 1,789 |
| 1,052 |
| | 1,895 |
| 1,844 |
| | 3,684 |
| 2,896 |
| Number of loans permanently modified | 2,374 |
| 1,952 |
| | 4,005 |
| 4,028 |
| | 6,379 |
| 5,980 |
| Concession granted:(a) | | | | | | | | | Interest rate reduction | 36 | % | 73 | % | | 57 | % | 68 | % | | 49 | % | 69 | % | Term or payment extension | 49 |
| 84 |
| | 62 |
| 78 |
| | 57 |
| 80 |
| Principal and/or interest deferred | 47 |
| 16 |
| | 22 |
| 12 |
| | 31 |
| 13 |
| Principal forgiveness | 7 |
| 18 |
| | 7 |
| 12 |
| | 7 |
| 14 |
| Other(b) | 40 |
| 24 |
| | 58 |
| 19 |
| | 52 |
| 21 |
|
| | (a) | Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. Concessions offered on trial modifications are generally consistent with those granted on permanent modifications. |
| | (b) | Includes variable interest rate to fixed interest rate modifications for the three and nine months ended September 30, 2018 and 2017. Also includes forbearances that meet the definition of a TDR for the three and nine months ended September 30, 2018. Forbearances suspend or reduce monthly payments for a specific period of time to address a temporary hardship. |
Financial effects of modifications and redefaults The following tables provide information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI loans, under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented.The following tables present only the financial effects of permanent modifications and does not include temporary concessions offered through trial modifications. These tables also exclude Chapter 7 loans where the sole concession granted is the discharge of debt. | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, (in millions, except weighted-average data) | Residential mortgage | | Home equity | | Total residential real estate – excluding PCI | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Weighted-average interest rate of loans with interest rate reductions – before TDR | 6.13 | % | 4.92 | % | | 5.69 | % | 5.26 | % | | 5.89 | % | 5.06 | % | Weighted-average interest rate of loans with interest rate reductions – after TDR | 4.23 |
| 2.89 |
| | 3.83 |
| 2.96 |
| | 4.01 |
| 2.92 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 22 |
| 24 |
| | 18 |
| 18 |
| | 21 |
| 22 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 39 |
| 38 |
| | 39 |
| 38 |
| | 39 |
| 38 |
| Charge-offs recognized upon permanent modification | $ | — |
| $ | — |
| | $ | — |
| $ | — |
| | $ | — |
| $ | — |
| Principal deferred | 7 |
| 3 |
| | 2 |
| 1 |
| | 9 |
| 4 |
| Principal forgiven | 3 |
| 5 |
| | 1 |
| 4 |
| | 4 |
| 9 |
| Balance of loans that redefaulted within one year of permanent modification(a) | $ | 27 |
| $ | 32 |
| | $ | 19 |
| $ | 17 |
| | $ | 46 |
| $ | 49 |
| | | | | | | | | | Nine months ended September 30, (in millions, except weighted-average) | Residential mortgage | | Home equity | | Total residential real estate – excluding PCI | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Weighted-average interest rate of loans with interest rate reductions – before TDR | 5.45 | % | 5.16 | % | | 5.34 | % | 4.92 | % | | 5.39 | % | 5.06 | % | Weighted-average interest rate of loans with interest rate reductions – after TDR | 3.64 |
| 2.97 |
| | 3.39 |
| 2.55 |
| | 3.49 |
| 2.79 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 24 |
| 24 |
| | 18 |
| 22 |
| | 22 |
| 23 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 38 |
| 38 |
| | 39 |
| 39 |
| | 38 |
| 38 |
| Charge-offs recognized upon permanent modification | $ | — |
| $ | 1 |
| | $ | 1 |
| $ | 1 |
| | $ | 1 |
| $ | 2 |
| Principal deferred | 17 |
| 10 |
| | 7 |
| 8 |
| | 24 |
| 18 |
| Principal forgiven | 9 |
| 16 |
| | 5 |
| 9 |
| | 14 |
| 25 |
| Balance of loans that redefaulted within one year of permanent modification(a) | $ | 69 |
| $ | 86 |
| | $ | 49 |
| $ | 36 |
| | $ | 118 |
| $ | 122 |
|
| | (a) | Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels. |
At September 30, 2018, the weighted-average estimated remaining lives of residential real estate loans, excluding PCI loans, permanently modified in TDRs were 10 years for residential mortgage and 9 years for home equity. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).
Active and suspended foreclosure At September 30, 2018, and December 31, 2017, the Firm had non-PCI residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $719 million and $787 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.
Other consumer loans The table below provides information for other consumer retained loan classes, including auto and business banking loans. | | | | | | | | | | | | | | | | | | | | | | (in millions, except ratios) | Auto | | Consumer & Business Banking | | Total other consumer | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| Loan delinquency | | | | | | | | | Current | $ | 63,095 |
| $ | 65,651 |
| | $ | 26,170 |
| $ | 25,454 |
| | $ | 89,265 |
| $ | 91,105 |
| 30–119 days past due | 517 |
| 584 |
| | 183 |
| 213 |
| | 700 |
| 797 |
| 120 or more days past due | 7 |
| 7 |
| | 98 |
| 122 |
| | 105 |
| 129 |
| Total retained loans | $ | 63,619 |
| $ | 66,242 |
| | $ | 26,451 |
| $ | 25,789 |
| | $ | 90,070 |
| $ | 92,031 |
| % of 30+ days past due to total retained loans | 0.82 | % | 0.89 | % | | 1.06 | % | 1.30 | % | | 0.89 | % | 1.01 | % | Nonaccrual loans(a) | 137 |
| 141 |
| | 237 |
| 283 |
| | 374 |
| 424 |
| Geographic region | | | | | | | | | California | $ | 8,382 |
| $ | 8,445 |
| | $ | 5,375 |
| $ | 5,032 |
| | $ | 13,757 |
| $ | 13,477 |
| Texas | 6,497 |
| 7,013 |
| | 3,002 |
| 2,916 |
| | 9,499 |
| 9,929 |
| New York | 3,843 |
| 4,023 |
| | 4,218 |
| 4,195 |
| | 8,061 |
| 8,218 |
| Illinois | 3,667 |
| 3,916 |
| | 2,045 |
| 2,017 |
| | 5,712 |
| 5,933 |
| Florida | 3,332 |
| 3,350 |
| | 1,484 |
| 1,424 |
| | 4,816 |
| 4,774 |
| Arizona | 2,061 |
| 2,221 |
| | 1,451 |
| 1,383 |
| | 3,512 |
| 3,604 |
| Ohio | 1,987 |
| 2,105 |
| | 1,346 |
| 1,380 |
| | 3,333 |
| 3,485 |
| New Jersey | 1,990 |
| 2,044 |
| | 738 |
| 721 |
| | 2,728 |
| 2,765 |
| Michigan | 1,378 |
| 1,418 |
| | 1,332 |
| 1,357 |
| | 2,710 |
| 2,775 |
| Louisiana | 1,570 |
| 1,656 |
| | 860 |
| 849 |
| | 2,430 |
| 2,505 |
| All other | 28,912 |
| 30,051 |
| | 4,600 |
| 4,515 |
| | 33,512 |
| 34,566 |
| Total retained loans | $ | 63,619 |
| $ | 66,242 |
| | $ | 26,451 |
| $ | 25,789 |
| | $ | 90,070 |
| $ | 92,031 |
| Loans by risk ratings(b) | | | | | | | | | Noncriticized | $ | 14,193 |
| $ | 15,604 |
| | $ | 18,644 |
| $ | 17,938 |
| | $ | 32,837 |
| $ | 33,542 |
| Criticized performing | 337 |
| 93 |
| | 760 |
| 791 |
| | 1,097 |
| 884 |
| Criticized nonaccrual | 3 |
| 9 |
| | 195 |
| 213 |
| | 198 |
| 222 |
|
| | (a) | There were no loans that were 90 or more days past due and still accruing interest at September 30, 2018, and December 31, 2017. |
| | (b) | For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual. |
Other consumer impaired loans and loan modifications The table below sets forth information about the Firm’s other consumer impaired loans, including risk-rated business banking and auto loans that have been placed on nonaccrual status, and loans that have been modified in TDRs. | | | | | | | | | (in millions) | September 30, 2018 |
| | December 31, 2017 |
| Impaired loans | | | | With an allowance | $ | 227 |
| | $ | 272 |
| Without an allowance(a) | 41 |
| | 26 |
| Total impaired loans(b)(c) | $ | 268 |
| | $ | 298 |
| Allowance for loan losses related to impaired loans | $ | 65 |
| | $ | 73 |
| Unpaid principal balance of impaired loans(d) | 372 |
| | 402 |
| Impaired loans on nonaccrual status | 244 |
| | 268 |
|
| | (a) | When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance. |
| | (b) | Predominantly all other consumer impaired loans are in the U.S. |
| | (c) | Other consumer average impaired loans were $271 million and $366 million for the three months ended September 30, 2018 and 2017, respectively, and $281 million and $459 million for the nine months ended September 30, 2018 and 2017, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the three and nine months ended September 30, 2018 and 2017. |
| | (d) | Represents the contractual amount of principal owed at September 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, interest payments received and applied to the principal balance, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. |
Loan modifications Certain other consumer loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All of these TDRs are reported as impaired loans. Refer to Note12 of JPMorgan Chase’s 2017 Annual Report for further information on other consumer loans modified in TDRs. At September 30, 2018 and December 31, 2017, other consumer loans modified in TDRs were $90 million and $102 million, respectively. The impact of these modifications, as well as new TDRs, were not material to the Firm for the three and nine months ended September 30, 2018 and 2017. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of September 30, 2018 and December 31, 2017 were not material. TDRs on nonaccrual status were $66 million and $72 million at September 30, 2018 and December 31, 2017, respectively.
Purchased credit-impaired loans For a detailed discussion of PCI loans, including the related accounting policies, refer to Note12 of JPMorgan Chase’s 2017 Annual Report. Residential real estate – PCI loans The table below sets forth information about the Firm’s consumer, excluding credit card, PCI loans. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions, except ratios) | Home equity |
| Prime mortgage |
| Subprime mortgage |
| Option ARMs |
| Total PCI | Sep 30, 2018 |
| Dec 31, 2017 |
|
| Sep 30, 2018 |
| Dec 31, 2017 |
|
| Sep 30, 2018 |
| Dec 31, 2017 |
|
| Sep 30, 2018 |
| Dec 31, 2017 |
|
| Sep 30, 2018 |
| Dec 31, 2017 |
| Carrying value(a) | $ | 9,393 |
| $ | 10,799 |
|
| $ | 4,931 |
| $ | 6,479 |
|
| $ | 2,072 |
| $ | 2,609 |
|
| $ | 8,813 |
| $ | 10,689 |
|
| $ | 25,209 |
| $ | 30,576 |
| Loan delinquency (based on unpaid principal balance) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Current | $ | 9,047 |
| $ | 10,272 |
|
| $ | 4,429 |
| $ | 5,839 |
|
| $ | 2,152 |
| $ | 2,640 |
|
| $ | 7,904 |
| $ | 9,662 |
|
| $ | 23,532 |
| $ | 28,413 |
| 30–149 days past due | 257 |
| 356 |
|
| 269 |
| 336 |
|
| 297 |
| 381 |
|
| 427 |
| 547 |
|
| 1,250 |
| 1,620 |
| 150 or more days past due | 263 |
| 392 |
|
| 257 |
| 327 |
|
| 143 |
| 176 |
|
| 526 |
| 689 |
|
| 1,189 |
| 1,584 |
| Total loans | $ | 9,567 |
| $ | 11,020 |
|
| $ | 4,955 |
| $ | 6,502 |
|
| $ | 2,592 |
| $ | 3,197 |
|
| $ | 8,857 |
| $ | 10,898 |
|
| $ | 25,971 |
| $ | 31,617 |
| % of 30+ days past due to total loans | 5.44 | % | 6.79 | % |
| 10.62 | % | 10.20 | % |
| 16.98 | % | 17.42 | % |
| 10.76 | % | 11.34 | % |
| 9.39 | % | 10.13 | % | Current estimated LTV ratios (based on unpaid principal balance)(b)(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greater than 125% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | $ | 17 |
| $ | 33 |
|
| $ | 1 |
| $ | 4 |
|
| $ | — |
| $ | 2 |
|
| $ | 3 |
| $ | 6 |
|
| $ | 21 |
| $ | 45 |
| Less than 660 | 15 |
| 21 |
|
| 10 |
| 16 |
|
| 12 |
| 20 |
|
| 8 |
| 9 |
|
| 45 |
| 66 |
| 101% to 125% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 153 |
| 274 |
|
| 7 |
| 16 |
|
| 8 |
| 20 |
|
| 24 |
| 43 |
|
| 192 |
| 353 |
| Less than 660 | 73 |
| 132 |
|
| 24 |
| 42 |
|
| 38 |
| 75 |
|
| 46 |
| 71 |
|
| 181 |
| 320 |
| 80% to 100% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 846 |
| 1,195 |
|
| 92 |
| 221 |
|
| 62 |
| 119 |
|
| 145 |
| 316 |
|
| 1,145 |
| 1,851 |
| Less than 660 | 394 |
| 559 |
|
| 132 |
| 230 |
|
| 192 |
| 309 |
|
| 220 |
| 371 |
|
| 938 |
| 1,469 |
| Lower than 80% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 5,627 |
| 6,134 |
|
| 2,791 |
| 3,551 |
|
| 753 |
| 895 |
|
| 5,235 |
| 6,113 |
|
| 14,406 |
| 16,693 |
| Less than 660 | 1,940 |
| 2,095 |
|
| 1,649 |
| 2,103 |
|
| 1,403 |
| 1,608 |
|
| 2,792 |
| 3,499 |
|
| 7,784 |
| 9,305 |
| No FICO/LTV available | 502 |
| 577 |
|
| 249 |
| 319 |
|
| 124 |
| 149 |
|
| 384 |
| 470 |
|
| 1,259 |
| 1,515 |
| Total unpaid principal balance | $ | 9,567 |
| $ | 11,020 |
|
| $ | 4,955 |
| $ | 6,502 |
|
| $ | 2,592 |
| $ | 3,197 |
|
| $ | 8,857 |
| $ | 10,898 |
|
| $ | 25,971 |
| $ | 31,617 |
| Geographic region (based on unpaid principal balance) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California | $ | 5,678 |
| $ | 6,555 |
|
| $ | 2,706 |
| $ | 3,716 |
|
| $ | 627 |
| $ | 797 |
|
| $ | 4,966 |
| $ | 6,225 |
|
| $ | 13,977 |
| $ | 17,293 |
| Florida | 1,014 |
| 1,137 |
|
| 351 |
| 428 |
|
| 249 |
| 296 |
|
| 753 |
| 878 |
|
| 2,367 |
| 2,739 |
| New York | 543 |
| 607 |
|
| 383 |
| 457 |
|
| 282 |
| 330 |
|
| 538 |
| 628 |
|
| 1,746 |
| 2,022 |
| Washington | 442 |
| 532 |
|
| 103 |
| 135 |
|
| 46 |
| 61 |
|
| 185 |
| 238 |
|
| 776 |
| 966 |
| Illinois | 242 |
| 273 |
|
| 164 |
| 200 |
|
| 131 |
| 161 |
|
| 211 |
| 249 |
|
| 748 |
| 883 |
| New Jersey | 217 |
| 242 |
|
| 145 |
| 178 |
|
| 94 |
| 110 |
|
| 283 |
| 336 |
|
| 739 |
| 866 |
| Massachusetts | 67 |
| 79 |
|
| 118 |
| 149 |
|
| 78 |
| 98 |
|
| 252 |
| 307 |
|
| 515 |
| 633 |
| Maryland | 51 |
| 57 |
|
| 104 |
| 129 |
|
| 106 |
| 132 |
|
| 188 |
| 232 |
|
| 449 |
| 550 |
| Virginia | 56 |
| 66 |
|
| 94 |
| 123 |
|
| 39 |
| 51 |
|
| 234 |
| 280 |
|
| 423 |
| 520 |
| Arizona | 175 |
| 203 |
|
| 70 |
| 106 |
|
| 45 |
| 60 |
|
| 121 |
| 156 |
|
| 411 |
| 525 |
| All other | 1,082 |
| 1,269 |
|
| 717 |
| 881 |
|
| 895 |
| 1,101 |
|
| 1,126 |
| 1,369 |
|
| 3,820 |
| 4,620 |
| Total unpaid principal balance | $ | 9,567 |
| $ | 11,020 |
|
| $ | 4,955 |
| $ | 6,502 |
|
| $ | 2,592 |
| $ | 3,197 |
|
| $ | 8,857 |
| $ | 10,898 |
|
| $ | 25,971 |
| $ | 31,617 |
|
| | (a) | Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition. |
| | (b) | Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. |
| | (c) | Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis. |
| | (f) | At March 31, 2018, and December 31, 2017, included mortgage loans insured by U.S. government agencies of $8.6 billion and $8.5 billion, respectively.
Approximately 25% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs.The following table represents the Firm’s delinquency statistics for PCI junior lien home equity loans and lines of credit based on the unpaid principal balance as of September 30, 2018, and December 31, 2017. | | | | | | | | | | | | | | Total loans | | Total 30+ day delinquency rate | (in millions, except ratios) | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | HELOCs:(a) | | | | | | Within the revolving period(b) | $ | 6 |
| $ | 51 |
| | — | % | 1.96 | % | Beyond the revolving period(c) | 6,837 |
| 7,875 |
| | 3.79 |
| 4.63 |
| HELOANs | 296 |
| 360 |
| | 3.38 |
| 5.28 |
| Total | $ | 7,139 |
| $ | 8,286 |
| | 3.77 | % | 4.65 | % |
| | (a) | In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term. |
The following table represents the Firm’s delinquency statistics for junior lien home equity loans and lines as of March 31, 2018, and December 31, 2017.
| | | | | | | | | | | | | | Total loans | | Total 30+ day delinquency rate | (in millions, except ratios) | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | HELOCs:(a) | | | | | | Within the revolving period(b) | $ | 5,645 |
| $ | 6,363 |
| | 0.32 | % | 0.50 | % | Beyond the revolving period | 13,207 |
| 13,532 |
| | 3.04 |
| 3.56 |
| HELOANs | 1,280 |
| 1,371 |
| | 2.89 |
| 3.50 |
| Total | $ | 20,132 |
| $ | 21,266 |
| | 2.27 | % | 2.64 | % |
| | (a) | These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period. |
| | (b) | The Firm manages the risk of HELOCs during their revolving period by closing or reducing the | (b) | Substantially all undrawn line to the extent permitted by law when borrowers are experiencing financial difficulty. |
HELOCs beyond the revolving period and HELOANs have higher delinquency rates than HELOCs within the revolving period. That is primarily becauseperiod have been closed.
|
| | (c) | Includes loans modified into fixed rate amortizing loans. |
The table below sets forth the accretable yield activity for the Firm’s PCI consumer loans for the three and nine months endedSeptember 30, 2018 and 2017, and represents the Firm’s estimate of gross interest income expected to be earned over the remaining life of the PCI loan portfolios. The table excludes the cost to fund the PCI portfolios, and therefore the accretable yield does not represent net interest income expected to be earned on these portfolios. | | | | | | | | | | | | | | | | Total PCI | (in millions, except ratios) | Three months ended September 30, | | Nine months ended September 30, | 2018 | 2017 | | 2018 | 2017 | Beginning balance | $ | 8,722 |
| $ | 12,639 |
| | $ | 11,159 |
| $ | 11,768 |
| Accretion into interest income | (303 | ) | (345 | ) | | (958 | ) | (1,061 | ) | Changes in interest rates on variable-rate loans | 37 |
| 51 |
| | (231 | ) | 218 |
| Other changes in expected cash flows(a) | 46 |
| (1,333 | ) | | (1,468 | ) | 87 |
| Balance at September 30 | $ | 8,502 |
| $ | 11,012 |
| | $ | 8,502 |
| $ | 11,012 |
| Accretable yield percentage | 4.95 | % | 4.54 | % | | 4.88 | % | 4.48 | % |
| | (a) | Other changes in expected cash flows may vary from period to period as the fully-amortizing payment that is generally requiredFirm continues to refine its cash flow model, for those products is higher thanexample cash flows expected to be collected due to the minimum payment options available for HELOCs within the revolving period. The higher delinquency rates associated with amortizing HELOCsimpact of modifications and HELOANs are factored into the Firm’s allowance for loan losses.
Impaired loans
The table below sets forth information about the Firm’schanges in prepayment assumptions.
|
Active and suspended foreclosure At September 30, 2018, and December 31, 2017, the Firm had PCI residential real estate loans with an unpaid principal balance of $1.1 billion and $1.3 billion, respectively,that were not included in REO, but were in the process of active or suspended foreclosure.
Credit card loan portfolio For further information on the credit card loan portfolio, including credit quality indicators, refer to Note 12 of JPMorgan Chase’s 2017 Annual Report. The table below sets forth information about the Firm’s credit card loans. | | | | | | | | (in millions, except ratios) | September 30, 2018 |
| December 31, 2017 |
| Loan delinquency | | | Current and less than 30 days past due and still accruing | $ | 145,271 |
| $ | 146,704 |
| 30–89 days past due and still accruing | 1,323 |
| 1,305 |
| 90 or more days past due and still accruing | 1,262 |
| 1,378 |
| Total retained credit card loans | $ | 147,856 |
| $ | 149,387 |
| Loan delinquency ratios | | | % of 30+ days past due to total retained loans | 1.75 | % | 1.80 | % | % of 90+ days past due to total retained loans | 0.85 |
| 0.92 |
| Credit card loans by geographic region | | | California | $ | 22,166 |
| $ | 22,245 |
| Texas | 14,171 |
| 14,200 |
| New York | 12,908 |
| 13,021 |
| Florida | 9,064 |
| 9,138 |
| Illinois | 8,482 |
| 8,585 |
| New Jersey | 6,345 |
| 6,506 |
| Ohio | 4,803 |
| 4,997 |
| Pennsylvania | 4,677 |
| 4,883 |
| Colorado | 4,090 |
| 4,006 |
| Michigan | 3,710 |
| 3,826 |
| All other | 57,440 |
| 57,980 |
| Total retained credit card loans | $ | 147,856 |
| $ | 149,387 |
| Percentage of portfolio based on carrying value with estimated refreshed FICO scores | | | Equal to or greater than 660 | 83.7 | % | 84.0 | % | Less than 660 | 14.9 |
| 14.6 |
| No FICO available | 1.4 |
| 1.4 |
|
Credit card impaired loans and loan modifications For a detailed discussion of impaired credit card loans, including credit card loan modifications, refer to Note12 of JPMorgan Chase’s 2017 Annual Report. The table below sets forth information about the Firm’s impaired credit card loans. All of these loans are considered to be impaired as they have been modified in TDRs. | | | | | | | | (in millions) | September 30, 2018 |
| December 31, 2017 |
| Impaired credit card loans with an allowance(a)(b) | | | Credit card loans with modified payment terms(c) | $ | 1,228 |
| $ | 1,135 |
| Modified credit card loans that have reverted to pre-modification payment terms(d) | 56 |
| 80 |
| Total impaired credit card loans(e) | $ | 1,284 |
| $ | 1,215 |
| Allowance for loan losses related to impaired credit card loans | $ | 421 |
| $ | 383 |
|
| | (a) | The carrying value and the unpaid principal balance are the same for credit card impaired loans. |
| | (b) | There were no impaired loans excluding PCI loans. Thesewithout an allowance. |
| | (c) | Represents credit card loans are consideredoutstanding to be impairedborrowers enrolled in a credit card modification program as they have beenof the date presented. |
| | (d) | Represents credit card loans that were modified in a TDR. AllTDRs but that have subsequently reverted back to the loans’ pre-modification payment terms. |
At September 30, 2018, and December 31, 2017, $26 million and $43 million, respectively, of loans have reverted back to the pre-modification payment terms of the loans due to noncompliance with the terms of the modified loans. The remaining $30 million and $37 million at September 30, 2018, and December 31, 2017, respectively, of these loans are to borrowers who have successfully completed a short-term modification program. The Firm continues to report these loans as TDRs since the borrowers’ credit lines remain closed. | | (e) | Predominantly all impaired loans are evaluated for an asset-specific allowance as described in Note 13 of JPMorgan Chase’s 2017 Annual Report. | | | | | | | | | | | | | | | | | | | | | | (in millions) | Residential mortgage | | Home equity | | Total residential real estate – excluding PCI | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| Impaired loans | | | | | | | | | With an allowance | $ | 4,324 |
| $ | 4,407 |
| | $ | 1,236 |
| $ | 1,236 |
| | $ | 5,560 |
| $ | 5,643 |
| Without an allowance(a) | 1,221 |
| 1,213 |
| | 877 |
| 882 |
| | 2,098 |
| 2,095 |
| Total impaired loans(b)(c) | $ | 5,545 |
| $ | 5,620 |
| | $ | 2,113 |
| $ | 2,118 |
| | $ | 7,658 |
| $ | 7,738 |
| Allowance for loan losses related to impaired loans | $ | 77 |
| $ | 62 |
| | $ | 118 |
| $ | 111 |
| | $ | 195 |
| $ | 173 |
| Unpaid principal balance of impaired loans(d) | 7,618 |
| 7,741 |
| | 3,656 |
| 3,701 |
| | 11,274 |
| 11,442 |
| Impaired loans on nonaccrual status(e) | 1,796 |
| 1,743 |
| | 1,057 |
| 1,032 |
| | 2,853 |
| 2,775 |
|
| | (a) | Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less cost to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At March 31, 2018, Chapter 7 residential real estate loans included approximately 14% of residential mortgages and 11% of home equity that were 30 days or more past due. |
| | (b) | At March 31, 2018, and December 31, 2017, $4.2 billion and $3.8 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. |
| | (c) | Predominantly all residential real estate impaired loans, excluding PCIcredit card loans are in the U.S. |
| | (d) | Represents the contractual amount of principal owed at March 31, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors including charge-offs, net deferred loan fees or costs, and unamortized discounts or premiums on purchasedThe following table presents average balances of impaired credit card loans and interest income recognized on those loans. | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Average impaired credit card loans | $ | 1,267 |
| $ | 1,205 |
| | $ | 1,245 |
| $ | 1,215 |
| Interest income on impaired credit card loans | 17 |
| 15 |
| | 48 |
| 44 |
|
Loan modifications The Firm may offer one of a number of loan modification programs to credit card borrowers who are experiencing financial difficulty. Most of these loans have been modified under long-term programs for borrowers who are experiencing financial difficulties. Modifications under long-term programs involve placing the customer on a fixed payment plan, generally for 60 months. Substantially all modifications are considered to be TDRs. New enrollments in these loan modification programs were $215 million and $191 million for the three months ended September 30, 2018 and 2017, respectively, and $640 million and $552 million for the nine months ended September 30, 2018 and 2017, respectively. For all periods disclosed, new enrollments were less than 1% of total retained credit card loans. For additional information about credit card loan modifications, refer to Note12 of JPMorgan Chase’s 2017 Annual Report. Financial effects of modifications 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. | | | | | | | | | | | | | | | (in millions, except weighted-average data) | Three months ended September 30, | | Nine months ended September 30, | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Weighted-average interest rate of loans – before TDR | 18.25 | % | 16.84 | % | | 17.82 | % | 16.52 | % | Weighted-average interest rate of loans – after TDR | 5.10 |
| 4.95 |
| | 5.12 |
| 4.84 |
| Loans that redefaulted within one year of modification(a) | $ | 31 |
| $ | 27 |
| | $ | 82 |
| $ | 72 |
|
| | (a) | 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 is deemed to have occurred when the borrower misses two consecutive contractual payments. A substantial portion of these loans are expected to be charged-off in accordance with the Firm’s standard charge-off policy. Based on historical experience, the estimated weighted-average default rate for modified credit card loans was expected to be 32.78% and 31.54% as of September 30, 2018, and December 31, 2017, respectively.
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. The primary credit quality indicator for wholesale loans is the risk rating assigned to each loan. For further information on these risk ratings, refer to Note12and Note13 of JPMorgan Chase’s 2017 Annual Report.
The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Commercial and industrial | | Real estate | | Financial institutions | Government agencies | | Other(d) | Total retained loans | (in millions, except ratios) | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | Sep 30, 2018 | Dec 31, 2017 | Loans by risk ratings | | | | | | | | | | | | | | | | Investment-grade | $ | 66,968 |
| $ | 68,071 |
| | $ | 100,036 |
| $ | 98,467 |
| | $ | 31,194 |
| $ | 26,791 |
| $ | 14,435 |
| $ | 15,140 |
| | $ | 111,710 |
| $ | 103,212 |
| $ | 324,343 |
| $ | 311,681 |
| Noninvestment-grade: | | | | | | | | | | | | | | | | Noncriticized | 51,758 |
| 46,558 |
| | 14,526 |
| 14,335 |
| | 14,374 |
| 13,071 |
| 168 |
| 369 |
| | 13,288 |
| 9,988 |
| 94,114 |
| 84,321 |
| Criticized performing | 3,429 |
| 3,983 |
| | 604 |
| 710 |
| | 142 |
| 210 |
| — |
| — |
| | 211 |
| 259 |
| 4,386 |
| 5,162 |
| Criticized nonaccrual | 696 |
| 1,357 |
| | 130 |
| 136 |
| | 2 |
| 2 |
| — |
| — |
| | 166 |
| 239 |
| 994 |
| 1,734 |
| Total noninvestment- grade | 55,883 |
| 51,898 |
| | 15,260 |
| 15,181 |
| | 14,518 |
| 13,283 |
| 168 |
| 369 |
| | 13,665 |
| 10,486 |
| 99,494 |
| 91,217 |
| Total retained loans | $ | 122,851 |
| $ | 119,969 |
| | $ | 115,296 |
| $ | 113,648 |
| | $ | 45,712 |
| $ | 40,074 |
| $ | 14,603 |
| $ | 15,509 |
| | $ | 125,375 |
| $ | 113,698 |
| $ | 423,837 |
| $ | 402,898 |
| % of total criticized exposure to total retained loans | 3.36 | % | 4.45 | % | | 0.64 | % | 0.74 | % | | 0.32 | % | 0.53 | % | — | % | — | % | | 0.30 | % | 0.44 | % | 1.27 | % | 1.71 | % | % of criticized nonaccrual to total retained loans | 0.57 |
| 1.13 |
| | 0.11 |
| 0.12 |
| | — |
| — |
| — |
| — |
| | 0.13 |
| 0.21 |
| 0.23 |
| 0.43 |
| | | | | | | | | | | | | | | | | Loans by geographic distribution(a) | | | | | | | | | | | | | | | | Total non-U.S. | $ | 30,435 |
| $ | 28,470 |
| | $ | 2,741 |
| $ | 3,101 |
| | $ | 17,748 |
| $ | 16,790 |
| $ | 2,973 |
| $ | 2,906 |
| | $ | 49,030 |
| $ | 44,112 |
| $ | 102,927 |
| $ | 95,379 |
| Total U.S. | 92,416 |
| 91,499 |
| | 112,555 |
| 110,547 |
| | 27,964 |
| 23,284 |
| 11,630 |
| 12,603 |
| | 76,345 |
| 69,586 |
| 320,910 |
| 307,519 |
| Total retained loans | $ | 122,851 |
| $ | 119,969 |
| | $ | 115,296 |
| $ | 113,648 |
| | $ | 45,712 |
| $ | 40,074 |
| $ | 14,603 |
| $ | 15,509 |
| | $ | 125,375 |
| $ | 113,698 |
| $ | 423,837 |
| $ | 402,898 |
| | | | | | | | | | | | | | | | | Loan delinquency(b) | | | | | | | | | | | | | | | | Current and less than 30 days past due and still accruing | $ | 121,913 |
| $ | 118,288 |
| | $ | 115,098 |
| $ | 113,258 |
| | $ | 45,671 |
| $ | 40,042 |
| $ | 14,585 |
| $ | 15,493 |
| | $ | 124,097 |
| $ | 112,559 |
| $ | 421,364 |
| $ | 399,640 |
| 30–89 days past due and still accruing | 211 |
| 216 |
| | 52 |
| 242 |
| | 38 |
| 15 |
| 15 |
| 12 |
| | 1,110 |
| 898 |
| 1,426 |
| 1,383 |
| 90 or more days past due and still accruing(c) | 31 |
| 108 |
| | 16 |
| 12 |
| | 1 |
| 15 |
| 3 |
| 4 |
| | 2 |
| 2 |
| 53 |
| 141 |
| Criticized nonaccrual | 696 |
| 1,357 |
| | 130 |
| 136 |
| | 2 |
| 2 |
| — |
| — |
| | 166 |
| 239 |
| 994 |
| 1,734 |
| Total retained loans | $ | 122,851 |
| $ | 119,969 |
| | $ | 115,296 |
| $ | 113,648 |
| | $ | 45,712 |
| $ | 40,074 |
| $ | 14,603 |
| $ | 15,509 |
| | $ | 125,375 |
| $ | 113,698 |
| $ | 423,837 |
| $ | 402,898 |
|
| | (a) | The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower. | (e) | As of March 31, 2018 and December 31, 2017, nonaccrual loans included $2.3 billion and $2.2 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual |
| | (b) | The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For a further discussion, refer to the Loan accounting framework in Note 12 of JPMorgan Chase’s 2017 Annual Report. |
The following table presents average impaired loans and the related interest income reported by the Firm.
| | | | | | | | | | | | | | | | | | | | | | Three months ended March 31, (in millions) | Average impaired loans | | Interest income on impaired loans(a) | | Interest income on impaired loans on a cash basis(a) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Residential mortgage | $ | 5,608 |
| $ | 5,977 |
| | $ | 70 |
| $ | 73 |
| | $ | 19 |
| $ | 19 |
| Home equity | 2,123 |
| 2,250 |
| | 32 |
| 31 |
| | 21 |
| 20 |
| Total residential real estate – excluding PCI | $ | 7,731 |
| $ | 8,227 |
| | $ | 102 |
| $ | 104 |
| | $ | 40 |
| $ | 39 |
|
| | (a) | Generally, interest income on loans modified in TDRs is recognized on a cash basis until such time as the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent. |
Loan modifications
Modifications of residential real estate loans, excluding PCI loans, are generally accounted for and reported as TDRs. There were no additional commitments to lend to borrowers whose residential real estate loans, excluding PCI loans, have been modified in TDRs.
The following table presents new TDRs reported by the Firm.
| | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| 2017 |
| Residential mortgage | $ | 147 |
| $ | 72 |
| Home equity | 103 |
| 81 |
| Total residential real estate – excluding PCI | $ | 250 |
| $ | 153 |
|
Nature and extent of modifications
The U.S. Treasury’s Making Home Affordable programs, as well as the Firm’s proprietary modification programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement.
The following table provides information about how residential real estate loans, excluding PCI loans, were modified under the Firm’sloss mitigation programs described above during the periods presented. These tables exclude Chapter 7 loans where the sole concession granted is the discharge of debt.
| | | | | | | | | | | | | | | | Three months ended March 31, | | | Total residential real estate – excluding PCI | Residential mortgage | | Home equity | | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Number of loans approved for a trial modification | 299 |
| 456 |
| | 460 |
| 743 |
| | 759 |
| 1,199 |
| Number of loans permanently modified | 969 |
| 783 |
| | 1,798 |
| 1,217 |
| | 2,767 |
| 2,000 |
| Concession granted:(a) | | | | | | | | | Interest rate reduction | 20 | % | 82 | % | | 49 | % | 85 | % | | 39 | % | 84 | % | Term or payment extension | 28 |
| 89 |
| | 51 |
| 90 |
| | 43 |
| 90 |
| Principal and/or interest deferred | 57 |
| 10 |
| | 25 |
| 18 |
| | 36 |
| 15 |
| Principal forgiveness | 6 |
| 19 |
| | 5 |
| 9 |
| | 5 |
| 13 |
| Other(b) | 49 |
| 30 |
| | 60 |
| 11 |
| | 56 |
| 19 |
|
| | (a) | (c) | Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. A significant portion of trial modifications include interest rate reductions and/or term or payment extensions. |
| | (b) | Predominantly represents variable interest rate to fixed interest rate modifications. |
Financial effects of modifications and redefaults
The following table provides information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI loans, under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented. The following table presents only the financial effects of permanent modifications and does not include temporary concessions offered through trial modifications. This table also excludes Chapter 7 loans where the sole concession granted is the discharge of debt.
| | | | | | | | | | | | | | | | | | | | | | Three months ended March 31, (in millions, except weighted-average data) | Residential mortgage | | Home equity | | Total residential real estate – excluding PCI | 2018 | 2017 | | 2018 | 2017 | | 2018 | 2017 | Weighted-average interest rate of loans with interest rate reductions – before TDR | 5.11 | % | 5.36 | % | | 5.11 | % | 4.63 | % | | 5.11 | % | 5.03 | % | Weighted-average interest rate of loans with interest rate reductions – after TDR | 3.45 |
| 2.90 |
| | 3.05 |
| 2.45 |
| | 3.19 |
| 2.70 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 24 |
| 24 |
| | 19 |
| 20 |
| | 21 |
| 22 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 36 |
| 38 |
| | 38 |
| 39 |
| | 37 |
| 38 |
| Charge-offs recognized upon permanent modification | $ | — |
| $ | 1 |
| | $ | 1 |
| $ | 1 |
| | $ | 1 |
| $ | 2 |
| Principal deferred | 6 |
| 3 |
| | 2 |
| 5 |
| | 8 |
| 8 |
| Principal forgiven | 3 |
| 5 |
| | 2 |
| 2 |
| | 5 |
| 7 |
| Balance of loans that redefaulted within one year of permanent modification(a) | $ | 23 |
| $ | 32 |
| | $ | 15 |
| $ | 11 |
| | $ | 38 |
| $ | 43 |
|
| | (a) | Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels. |
At March 31, 2018, the weighted-average estimated remaining lives of residential real estate loans, excluding PCI loans, permanently modified in TDRs were 9 years for residential mortgage and 8 years for home equity. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).
Active and suspended foreclosure
At March 31, 2018, and December 31, 2017, the Firm had non-PCI residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $822 million and $787 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.
Other consumer loans
The table below provides information for other consumer retained loan classes, including auto and business banking loans.
| | | | | | | | | | | | | | | | | | | | | | (in millions, except ratios) | Auto | | Consumer & Business Banking | | Total other consumer | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| Loan delinquency | | | | | | | | | Current | $ | 65,574 |
| $ | 65,651 |
| | $ | 25,570 |
| $ | 25,454 |
| | $ | 91,144 |
| $ | 91,105 |
| 30–119 days past due | 462 |
| 584 |
| | 165 |
| 213 |
| | 627 |
| 797 |
| 120 or more days past due | 6 |
| 7 |
| | 121 |
| 122 |
| | 127 |
| 129 |
| Total retained loans | $ | 66,042 |
| $ | 66,242 |
| | $ | 25,856 |
| $ | 25,789 |
| | $ | 91,898 |
| $ | 92,031 |
| % of 30+ days past due to total retained loans | 0.71 | % | 0.89 | % | | 1.11 | % | 1.30 | % | | 0.82 | % | 1.01 | % | Nonaccrual loans(a) | 127 |
| 141 |
| | 274 |
| 283 |
| | 401 |
| 424 |
| Geographic region | | | | | | | | | California | $ | 8,540 |
| $ | 8,445 |
| | $ | 5,088 |
| $ | 5,032 |
| | $ | 13,628 |
| $ | 13,477 |
| Texas | 6,866 |
| 7,013 |
| | 2,955 |
| 2,916 |
| | 9,821 |
| 9,929 |
| New York | 4,070 |
| 4,023 |
| | 4,174 |
| 4,195 |
| | 8,244 |
| 8,218 |
| Illinois | 3,888 |
| 3,916 |
| | 2,014 |
| 2,017 |
| | 5,902 |
| 5,933 |
| Florida | 3,386 |
| 3,350 |
| | 1,391 |
| 1,424 |
| | 4,777 |
| 4,774 |
| Arizona | 2,155 |
| 2,221 |
| | 1,415 |
| 1,383 |
| | 3,570 |
| 3,604 |
| Ohio | 2,095 |
| 2,105 |
| | 1,357 |
| 1,380 |
| | 3,452 |
| 3,485 |
| Michigan | 1,458 |
| 1,418 |
| | 1,348 |
| 1,357 |
| | 2,806 |
| 2,775 |
| New Jersey | 2,044 |
| 2,044 |
| | 721 |
| 721 |
| | 2,765 |
| 2,765 |
| Louisiana | 1,628 |
| 1,656 |
| | 877 |
| 849 |
| | 2,505 |
| 2,505 |
| All other | 29,912 |
| 30,051 |
| | 4,516 |
| 4,515 |
| | 34,428 |
| 34,566 |
| Total retained loans | $ | 66,042 |
| $ | 66,242 |
| | $ | 25,856 |
| $ | 25,789 |
| | $ | 91,898 |
| $ | 92,031 |
| Loans by risk ratings(b) | | | | | | | | | Noncriticized | $ | 15,691 |
| $ | 15,604 |
| | $ | 18,060 |
| $ | 17,938 |
| | $ | 33,751 |
| $ | 33,542 |
| Criticized performing | 225 |
| 93 |
| | 800 |
| 791 |
| | 1,025 |
| 884 |
| Criticized nonaccrual | 8 |
| 9 |
| | 210 |
| 213 |
| | 218 |
| 222 |
|
| | (a) | There were no loans that were 90 or more days past due and still accruing interest at March 31, 2018, and December 31, 2017. |
| | (b) | For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual. |
Other consumer impaired loans and loan
modifications
The table below sets forth information about the Firm’s other consumer impaired loans, including risk-rated business banking and auto loans that have been placed on nonaccrual status, and loans that have been modified in TDRs.
| | | | | | | | | (in millions) | March 31, 2018 |
| | December 31, 2017 |
| Impaired loans | | | | With an allowance | $ | 269 |
| | $ | 272 |
| Without an allowance(a) | 26 |
| | 26 |
| Total impaired loans(b)(c) | $ | 295 |
| | $ | 298 |
| Allowance for loan losses related to impaired loans | $ | 71 |
| | $ | 73 |
| Unpaid principal balance of impaired loans(d) | 401 |
| | 402 |
| Impaired loans on nonaccrual status | 266 |
| | 268 |
|
| | (a) | When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance. |
| | (b) | Predominantly all other consumer impaired loans are in the U.S. |
| | (c) | Other consumer average impaired loans were $298 million and $650 million for the three months ended March 31, 2018 and 2017, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the three months ended March 31, 2018 and 2017. |
| | (d) | Represents the contractual amount of principal owed at March 31, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, interest payments received and applied to the principal balance, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. |
Loan modifications
Certain other consumer loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All of these TDRs are reported as impaired loans. See Note 12 of JPMorgan Chase’s 2017 Annual Report for furtherwell-collateralized and therefore still accruing interest.
|
| | (d) | Other includes individuals (predominantly Wealth Management clients within AWM), SPEs, and private education and civic organizations. For more information on other consumer loans modified in TDRs.Other consumer loans modified in TDRs were $100 million and $102 million for the three months ended March 31, 2018 and December 31, 2017, respectively. New TDRs, as well as the impact of these modifications were not materialSPEs, refer to the Firm for the three months ended March 31, 2018 and 2017. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of March 31, 2018 and December 31, 2017 were not material. TDRs on nonaccrual status were $71 million and $72 million for the three months ended March 31, 2018 and December 31, 2017, respectively.
Purchased credit-impaired loans
For a detailed discussion of PCI loans, including the related accounting policies, see Note 12 of JPMorgan Chase’s 2017 Annual Report.
Residential real estate – PCI loans
The table below sets forth information about the Firm’s consumer, excluding credit card, PCI loans.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions, except ratios) | Home equity |
| Prime mortgage |
| Subprime mortgage |
| Option ARMs |
| Total PCI | Mar 31, 2018 |
| Dec 31, 2017 |
|
| Mar 31, 2018 |
| Dec 31, 2017 |
|
| Mar 31, 2018 |
| Dec 31, 2017 |
|
| Mar 31, 2018 |
| Dec 31, 2017 |
|
| Mar 31, 2018 |
| Dec 31, 2017 |
| Carrying value(a) | $ | 10,332 |
| $ | 10,799 |
|
| $ | 6,259 |
| $ | 6,479 |
|
| $ | 2,549 |
| $ | 2,609 |
|
| $ | 10,365 |
| $ | 10,689 |
|
| $ | 29,505 |
| $ | 30,576 |
| Loan delinquency (based on unpaid principal balance) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Current | $ | 9,882 |
| $ | 10,272 |
|
| $ | 5,662 |
| $ | 5,839 |
|
| $ | 2,630 |
| $ | 2,640 |
|
| $ | 9,409 |
| $ | 9,662 |
|
| $ | 27,583 |
| $ | 28,413 |
| 30–149 days past due | 271 |
| 356 |
|
| 293 |
| 336 |
|
| 298 |
| 381 |
|
| 447 |
| 547 |
|
| 1,309 |
| 1,620 |
| 150 or more days past due | 368 |
| 392 |
|
| 328 |
| 327 |
|
| 195 |
| 176 |
|
| 693 |
| 689 |
|
| 1,584 |
| 1,584 |
| Total loans | $ | 10,521 |
| $ | 11,020 |
|
| $ | 6,283 |
| $ | 6,502 |
|
| $ | 3,123 |
| $ | 3,197 |
|
| $ | 10,549 |
| $ | 10,898 |
|
| $ | 30,476 |
| $ | 31,617 |
| % of 30+ days past due to total loans | 6.07 | % | 6.79 | % |
| 9.88 | % | 10.20 | % |
| 15.79 | % | 17.42 | % |
| 10.81 | % | 11.34 | % |
| 9.49 | % | 10.13 | % | Current estimated LTV ratios (based on unpaid principal balance)(b)(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greater than 125% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | $ | 28 |
| $ | 33 |
|
| $ | 3 |
| $ | 4 |
|
| $ | 3 |
| $ | 2 |
|
| $ | 5 |
| $ | 6 |
|
| $ | 39 |
| $ | 45 |
| Less than 660 | 16 |
| 21 |
|
| 12 |
| 16 |
|
| 18 |
| 20 |
|
| 8 |
| 9 |
|
| 54 |
| 66 |
| 101% to 125% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 230 |
| 274 |
|
| 13 |
| 16 |
|
| 14 |
| 20 |
|
| 41 |
| 43 |
|
| 298 |
| 353 |
| Less than 660 | 104 |
| 132 |
|
| 40 |
| 42 |
|
| 64 |
| 75 |
|
| 61 |
| 71 |
|
| 269 |
| 320 |
| 80% to 100% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 1,065 |
| 1,195 |
|
| 177 |
| 221 |
|
| 106 |
| 119 |
|
| 249 |
| 316 |
|
| 1,597 |
| 1,851 |
| Less than 660 | 493 |
| 559 |
|
| 193 |
| 230 |
|
| 273 |
| 309 |
|
| 323 |
| 371 |
|
| 1,282 |
| 1,469 |
| Lower than 80% and refreshed FICO scores: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equal to or greater than 660 | 5,980 |
| 6,134 |
|
| 3,478 |
| 3,551 |
|
| 893 |
| 895 |
|
| 6,027 |
| 6,113 |
|
| 16,378 |
| 16,693 |
| Less than 660 | 2,054 |
| 2,095 |
|
| 2,063 |
| 2,103 |
|
| 1,608 |
| 1,608 |
|
| 3,391 |
| 3,499 |
|
| 9,116 |
| 9,305 |
| No FICO/LTV available | 551 |
| 577 |
|
| 304 |
| 319 |
|
| 144 |
| 149 |
|
| 444 |
| 470 |
|
| 1,443 |
| 1,515 |
| Total unpaid principal balance | $ | 10,521 |
| $ | 11,020 |
|
| $ | 6,283 |
| $ | 6,502 |
|
| $ | 3,123 |
| $ | 3,197 |
|
| $ | 10,549 |
| $ | 10,898 |
|
| $ | 30,476 |
| $ | 31,617 |
| Geographic region (based on unpaid principal balance) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California | $ | 6,256 |
| $ | 6,555 |
|
| $ | 3,599 |
| $ | 3,716 |
|
| $ | 778 |
| $ | 797 |
|
| $ | 6,022 |
| $ | 6,225 |
|
| $ | 16,655 |
| $ | 17,293 |
| Florida | 1,092 |
| 1,137 |
|
| 409 |
| 428 |
|
| 291 |
| 296 |
|
| 850 |
| 878 |
|
| 2,642 |
| 2,739 |
| New York | 586 |
| 607 |
|
| 445 |
| 457 |
|
| 326 |
| 330 |
|
| 609 |
| 628 |
|
| 1,966 |
| 2,022 |
| Washington | 500 |
| 532 |
|
| 128 |
| 135 |
|
| 59 |
| 61 |
|
| 229 |
| 238 |
|
| 916 |
| 966 |
| Illinois | 262 |
| 273 |
|
| 196 |
| 200 |
|
| 158 |
| 161 |
|
| 243 |
| 249 |
|
| 859 |
| 883 |
| New Jersey | 233 |
| 242 |
|
| 174 |
| 178 |
|
| 108 |
| 110 |
|
| 325 |
| 336 |
|
| 840 |
| 866 |
| Massachusetts | 74 |
| 79 |
|
| 143 |
| 149 |
|
| 95 |
| 98 |
|
| 300 |
| 307 |
|
| 612 |
| 633 |
| Maryland | 55 |
| 57 |
|
| 125 |
| 129 |
|
| 128 |
| 132 |
|
| 225 |
| 232 |
|
| 533 |
| 550 |
| Virginia | 63 |
| 66 |
|
| 118 |
| 123 |
|
| 50 |
| 51 |
|
| 273 |
| 280 |
|
| 504 |
| 520 |
| Arizona | 193 |
| 203 |
|
| 100 |
| 106 |
|
| 58 |
| 60 |
|
| 151 |
| 156 |
|
| 502 |
| 525 |
| All other | 1,207 |
| 1,269 |
|
| 846 |
| 881 |
|
| 1,072 |
| 1,101 |
|
| 1,322 |
| 1,369 |
|
| 4,447 |
| 4,620 |
| Total unpaid principal balance | $ | 10,521 |
| $ | 11,020 |
|
| $ | 6,283 |
| $ | 6,502 |
|
| $ | 3,123 |
| $ | 3,197 |
|
| $ | 10,549 |
| $ | 10,898 |
|
| $ | 30,476 |
| $ | 31,617 |
|
| | (a) | Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition. |
| | (b) | Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. |
| | (c) | Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis. |
Approximately 25% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table sets forth delinquency statistics for PCI junior lien home equity loans and lines of credit based on the unpaid principal balance as of March 31, 2018, and December 31, 2017. | | | | | | | | | | | | | | Total loans | | Total 30+ day delinquency rate | (in millions, except ratios) | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | HELOCs:(a) | | | | | | Within the revolving period(b) | $ | 10 |
| $ | 51 |
| | 10.00 | % | 1.96 | % | Beyond the revolving period(c) | 7,542 |
| 7,875 |
| | 4.00 |
| 4.63 |
| HELOANs | 338 |
| 360 |
| | 4.14 |
| 5.28 |
| Total | $ | 7,890 |
| $ | 8,286 |
| | 4.02 | % | 4.65 | % |
| | (a) | In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term. |
| | (b) | Substantially all undrawn HELOCs within the revolving period have been closed. |
| | (c) | Includes loans modified into fixed rate amortizing loans. |
The table below sets forth the accretable yield activity for the Firm’s PCI consumer loans for the three months ended March 31, 2018 and 2017, and represents the Firm’s estimate of gross interest income expected to be earned over the remaining life of the PCI loan portfolios. The table excludes the cost to fund the PCI portfolios, and therefore the accretable yield does not represent net interest income expected to be earned on these portfolios.
| | | | | | | | | Total PCI | (in millions, except ratios) | Three months ended March 31, | 2018 | 2017 | Beginning balance | $ | 11,159 |
| $ | 11,768 |
| Accretion into interest income | (328 | ) | (359 | ) | Changes in interest rates on variable-rate loans | 280 |
| 116 |
| Other changes in expected cash flows(a) | (861 | ) | 1,597 |
| Balance at March 31 | $ | 10,250 |
| $ | 13,122 |
| Accretable yield percentage | 4.78 | % | 4.36 | % |
| | (a) | Other changes in expected cash flows may vary from period to period as the Firm continues to refine its cash flow model, for example cash flows expected to be collected due to the impact of modifications and changes in prepayment assumptions. |
Active and suspended foreclosure
At both March 31, 2018, and December 31, 2017, the Firm had PCI residential real estate loans with an unpaid principal balance of $1.3 billion that were not included in REO, but were in the process of active or suspended foreclosure.
Credit card loan portfolio
For further information on the credit card loan portfolio, including credit quality indicators, see Note 12 of JPMorgan Chase’s 2017 Annual Report.
The table below sets forth information about the Firm’s credit card loans. | | | | | | | | (in millions, except ratios) | March 31, 2018 |
| December 31, 2017 |
| Loan delinquency | | | Current and less than 30 days past due and still accruing | $ | 137,799 |
| $ | 146,704 |
| 30–89 days past due and still accruing | 1,211 |
| 1,305 |
| 90 or more days past due and still accruing | 1,338 |
| 1,378 |
| Total retained credit card loans | $ | 140,348 |
| $ | 149,387 |
| Loan delinquency ratios | | | % of 30+ days past due to total retained loans | 1.82 | % | 1.80 | % | % of 90+ days past due to total retained loans | 0.95 |
| 0.92 |
| Credit card loans by geographic region | | | California | $ | 20,974 |
| $ | 22,245 |
| Texas | 13,541 |
| 14,200 |
| New York | 12,258 |
| 13,021 |
| Florida | 8,674 |
| 9,138 |
| Illinois | 8,057 |
| 8,585 |
| New Jersey | 6,036 |
| 6,506 |
| Ohio | 4,631 |
| 4,997 |
| Pennsylvania | 4,511 |
| 4,883 |
| Colorado | 3,793 |
| 4,006 |
| Michigan | 3,546 |
| 3,826 |
| All other | 54,327 |
| 57,980 |
| Total retained credit card loans | $ | 140,348 |
| $ | 149,387 |
| Percentage of portfolio based on carrying value with estimated refreshed FICO scores | | | Equal to or greater than 660 | 83.5 | % | 84.0 | % | Less than 660 | 15.6 |
| 14.6 |
| No FICO available | 0.9 |
| 1.4 |
|
Credit card impaired loans and loan modifications
For a detailed discussion of impaired credit card loans, including credit card loan modifications, see Note 12 of JPMorgan Chase’s 2017 Annual Report.
The table below sets forth information about the Firm’s impaired credit card loans. All of these loans are considered to be impaired as they have been modified in TDRs.
| | | | | | | | (in millions) | March 31, 2018 |
| December 31, 2017 |
| Impaired credit card loans with an allowance(a)(b) | | | Credit card loans with modified payment terms(c) | $ | 1,173 |
| $ | 1,135 |
| Modified credit card loans that have reverted to pre-modification payment terms(d) | 68 |
| 80 |
| Total impaired credit card loans(e) | $ | 1,241 |
| $ | 1,215 |
| Allowance for loan losses related to impaired credit card loans | $ | 393 |
| $ | 383 |
|
| | (a) | The carrying value and the unpaid principal balance are the same for credit card impaired loans. |
| | (b) | There were no impaired loans without an allowance. |
| | (c) | Represents credit card loans outstanding to borrowers enrolled in a credit card modification program as of the date presented. |
| | (d) | Represents credit card loans that were modified in TDRs but that have subsequently reverted back to the loans’ pre-modification payment terms. |
At March 31, 2018, and December 31, 2017, $34 million and $43 million, respectively, of loans have reverted back to the pre-modification payment terms of the loans due to noncompliance with the terms of the modified loans. The remaining $34 million and $37 million at March 31, 2018, and December 31, 2017, respectively, of these loans are to borrowers who have successfully completed a short-term modification program. The Firm continues to report these loans as TDRs since the borrowers’ credit lines remain closed.
| | (e) | Predominantly all impaired credit card loans are in the U.S. |
The following table presents average balances of impaired credit card loans and interest income recognized on those loans.
| | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| 2017 |
| Average impaired credit card loans | $ | 1,224 |
| $ | 1,228 |
| Interest income on impaired credit card loans | 15 |
| 14 |
|
Loan modifications
The Firm may offer one of a number of loan modification programs to credit card borrowers who are experiencing financial difficulty. Most of these loans have been modified under long-term programs for borrowers who are experiencing financial difficulties. Modifications under long-term programs involve placing the customer on a fixed payment plan, generally for 60 months. Substantially all modifications are considered to be TDRs. New enrollments in these loan modification programs were $223 million and $185 million for the three months ended March 31, 2018 and 2017, respectively. For additional information about credit card loan modifications, see Note 12 of JPMorgan Chase’s 2017 Annual Report.
Financial effects of modifications 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.
| | | | | | | | (in millions, except weighted-average data) | Three months ended March 31, | 2018 |
| 2017 |
| Weighted-average interest rate of loans – before TDR | 17.25 | % | 16.16 | % | Weighted-average interest rate of loans – after TDR | 5.20 |
| 4.77 |
| Loans that redefaulted within one year of modification(a) | $ | 2 |
| $ | 21 |
|
| | (a) | 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, a substantial portion of these loans are expected to be charged-off in accordance with the Firm’s standard charge-off policy. Based on historical experience, the estimated weighted-average default rate for modified credit card loans was expected to be 31.67% and 31.54% as of March 31, 2018, and December 31, 2017, respectively.
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. The primary credit quality indicator for wholesale loans is the risk rating assigned to
each loan. For further information on these risk ratings, see Note 12 and Note 13 of JPMorgan Chase’s 2017 Annual Report.
The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Commercial and industrial | | Real estate | | Financial institutions | Government agencies | | Other(d) | Total retained loans | (in millions, except ratios) | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | Mar 31, 2018 | Dec 31, 2017 | Loans by risk ratings | | | | | | | | | | | | | | | | Investment-grade | $ | 68,705 |
| $ | 68,071 |
| | $ | 99,185 |
| $ | 98,467 |
| | $ | 27,424 |
| $ | 26,791 |
| $ | 15,135 |
| $ | 15,140 |
| | $ | 106,356 |
| $ | 103,212 |
| $ | 316,805 |
| $ | 311,681 |
| Noninvestment-grade: | | | | | | | | | | | | | | | | Noncriticized | 49,917 |
| 46,558 |
| | 14,094 |
| 14,335 |
| | 13,781 |
| 13,071 |
| 332 |
| 369 |
| | 11,360 |
| 9,988 |
| 89,484 |
| 84,321 |
| Criticized performing | 3,283 |
| 3,983 |
| | 620 |
| 710 |
| | 98 |
| 210 |
| — |
| — |
| | 136 |
| 259 |
| 4,137 |
| 5,162 |
| Criticized nonaccrual | 1,249 |
| 1,357 |
| | 144 |
| 136 |
| | 2 |
| 2 |
| — |
| — |
| | 199 |
| 239 |
| 1,594 |
| 1,734 |
| Total noninvestment- grade | 54,449 |
| 51,898 |
| | 14,858 |
| 15,181 |
| | 13,881 |
| 13,283 |
| 332 |
| 369 |
| | 11,695 |
| 10,486 |
| 95,215 |
| 91,217 |
| Total retained loans | $ | 123,154 |
| $ | 119,969 |
| | $ | 114,043 |
| $ | 113,648 |
| | $ | 41,305 |
| $ | 40,074 |
| $ | 15,467 |
| $ | 15,509 |
| | $ | 118,051 |
| $ | 113,698 |
| $ | 412,020 |
| $ | 402,898 |
| % of total criticized exposure to total retained loans | 3.68 | % | 4.45 | % | | 0.67 | % | 0.74 | % | | 0.24 | % | 0.53 | % | — | % | — | % | | 0.28 | % | 0.44 | % | 1.39 | % | 1.71 | % | % of criticized nonaccrual to total retained loans | 1.01 |
| 1.13 |
| | 0.13 |
| 0.12 |
| | — |
| — |
| — |
| — |
| | 0.17 |
| 0.21 |
| 0.39 |
| 0.43 |
| | | | | | | | | | | | | | | | | Loans by geographic distribution(a) | | | | | | | | | | | | | | | | Total non-U.S. | $ | 30,538 |
| $ | 28,470 |
| | $ | 3,127 |
| $ | 3,101 |
| | $ | 17,842 |
| $ | 16,790 |
| $ | 3,119 |
| $ | 2,906 |
| | $ | 47,352 |
| $ | 44,112 |
| $ | 101,978 |
| $ | 95,379 |
| Total U.S. | 92,616 |
| 91,499 |
| | 110,916 |
| 110,547 |
| | 23,463 |
| 23,284 |
| 12,348 |
| 12,603 |
| | 70,699 |
| 69,586 |
| 310,042 |
| 307,519 |
| Total retained loans | $ | 123,154 |
| $ | 119,969 |
| | $ | 114,043 |
| $ | 113,648 |
| | $ | 41,305 |
| $ | 40,074 |
| $ | 15,467 |
| $ | 15,509 |
| | $ | 118,051 |
| $ | 113,698 |
| $ | 412,020 |
| $ | 402,898 |
| | | | | | | | | | | | | | | | | Loan delinquency(b) | | | | | | | | | | | | | | | | Current and less than 30 days past due and still accruing | $ | 121,703 |
| $ | 118,288 |
| | $ | 113,761 |
| $ | 113,258 |
| | $ | 41,267 |
| $ | 40,042 |
| $ | 15,451 |
| $ | 15,493 |
| | $ | 116,632 |
| $ | 112,559 |
| $ | 408,814 |
| $ | 399,640 |
| 30–89 days past due and still accruing | 178 |
| 216 |
| | 131 |
| 242 |
| | 32 |
| 15 |
| 13 |
| 12 |
| | 1,220 |
| 898 |
| 1,574 |
| 1,383 |
| 90 or more days past due and still accruing(c) | 24 |
| 108 |
| | 7 |
| 12 |
| | 4 |
| 15 |
| 3 |
| 4 |
| | — |
| 2 |
| 38 |
| 141 |
| Criticized nonaccrual | 1,249 |
| 1,357 |
| | 144 |
| 136 |
| | 2 |
| 2 |
| — |
| — |
| | 199 |
| 239 |
| 1,594 |
| 1,734 |
| Total retained loans | $ | 123,154 |
| $ | 119,969 |
| | $ | 114,043 |
| $ | 113,648 |
| | $ | 41,305 |
| $ | 40,074 |
| $ | 15,467 |
| $ | 15,509 |
| | $ | 118,051 |
| $ | 113,698 |
| $ | 412,020 |
| $ | 402,898 |
|
| | (a) | The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower. |
| | (b) | The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For a further discussion, see Note 1214 of JPMorgan Chase’s 2017 Annual Report. |
| | (c) | Represents loans that are considered well-collateralized and therefore still accruing interest. |
| | (d) | Other includes individuals, SPEs, holding companies, private education and civic organizations. For more information on SPEs, see Note 14 of JPMorgan Chase’s 2017 Annual Report. |
The following table presents additional information on the real estate class of loans within the Wholesale portfolio for the periods indicated. For further information on real estate loans, refer to Note12 of JPMorgan Chase’s 2017 Annual Report. | | | | | | | | | | | | | | | | | | | | | |
(in millions, except ratios) | Multifamily | | Other commercial | | Total real estate loans | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| Real estate retained loans | $ | 79,112 |
| $ | 77,597 |
| | $ | 36,184 |
| $ | 36,051 |
| | $ | 115,296 |
| $ | 113,648 |
| Criticized exposure | 383 |
| 491 |
| | 351 |
| 355 |
| | 734 |
| 846 |
| % of total criticized exposure to total real estate retained loans | 0.48 | % | 0.63 | % | | 0.97 | % | 0.98 | % | | 0.64 | % | 0.74 | % | Criticized nonaccrual | $ | 47 |
| $ | 44 |
| | $ | 83 |
| $ | 92 |
| | $ | 130 |
| $ | 136 |
| % of criticized nonaccrual loans to total real estate retained loans | 0.06 | % | 0.06 | % | | 0.23 | % | 0.26 | % | | 0.11 | % | 0.12 | % |
Wholesale impaired retained loans and loan modifications Wholesale impaired retained loans consist of loans that have been placed on nonaccrual status and/or that have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note13 of JPMorgan Chase’s 2017 Annual Report. The table below sets forth information about the Firm’s wholesale impaired retained loans. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | Commercial and industrial | | Real estate | | Financial institutions | | Government agencies | | Other | | Total retained loans | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | Dec 31, 2017 | | Sep 30, 2018 | | Dec 31, 2017 | | Impaired loans | | | | | | | | | | | | | | | | | | | | With an allowance | $ | 658 |
| $ | 1,170 |
| | $ | 78 |
| $ | 78 |
| | $ | 2 |
| $ | 93 |
| | $ | — |
| $ | — |
| | $ | 151 |
| $ | 168 |
| | $ | 889 |
| | $ | 1,509 |
| | Without an allowance(a) | 84 |
| 228 |
| | 53 |
| 60 |
| | — |
| — |
| | — |
| — |
| | 25 |
| 70 |
| | 162 |
| | 358 |
| | Total impaired loans | $ | 742 |
| $ | 1,398 |
| | $ | 131 |
| $ | 138 |
| | $ | 2 |
| $ | 93 |
| | $ | — |
| $ | — |
| | $ | 176 |
| $ | 238 |
| | $ | 1,051 |
| (c) | $ | 1,867 |
| (c) | Allowance for loan losses related to impaired loans | $ | 243 |
| $ | 404 |
| | $ | 15 |
| $ | 11 |
| | $ | 1 |
| $ | 4 |
| | $ | — |
| $ | — |
| | $ | 21 |
| $ | 42 |
| | $ | 280 |
| | $ | 461 |
| | Unpaid principal balance of impaired loans(b) | 846 |
| 1,604 |
| | 198 |
| 201 |
| | 2 |
| 94 |
| | — |
| — |
| | 387 |
| 255 |
| | 1,433 |
| | 2,154 |
| |
| | (a) | When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance. |
| | (b) | Represents the contractual amount of principal owed at September 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans. |
| | (c) | Based upon the domicile of the borrower, largely consists of loans withinin the Wholesale portfolio for the periods indicated. For further informationU.S. |
The following table presents the Firm’s average impaired retained loans for the periods indicated. | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Commercial and industrial | $ | 838 |
| $ | 1,207 |
| | $ | 1,095 |
| $ | 1,277 |
| Real estate | 134 |
| 167 |
| | 138 |
| 175 |
| Financial institutions | 45 |
| 70 |
| | 76 |
| 38 |
| Government agencies | — |
| — |
| | — |
| — |
| Other | 202 |
| 231 |
| | 214 |
| 246 |
| Total(a)(b) | $ | 1,219 |
| $ | 1,675 |
| | $ | 1,523 |
| $ | 1,736 |
|
| | (a) | The related interest income on real estate loans, see Note 12 of JPMorgan Chase’s 2017 Annual Report. | | | | | | | | | | | | | | | | | | | | | |
(in millions, except ratios) | Multifamily | | Other commercial | | Total real estate loans | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| Real estate retained loans | $ | 77,846 |
| $ | 77,597 |
| | $ | 36,197 |
| $ | 36,051 |
| | $ | 114,043 |
| $ | 113,648 |
| Criticized exposure | 433 |
| 491 |
| | 331 |
| 355 |
| | 764 |
| 846 |
| % of total criticized exposure to total real estate retained loans | 0.56 | % | 0.63 | % | | 0.91 | % | 0.98 | % | | 0.67 | % | 0.74 | % | Criticized nonaccrual | $ | 47 |
| $ | 44 |
| | $ | 97 |
| $ | 92 |
| | $ | 144 |
| $ | 136 |
| % of criticized nonaccrual loans to total real estate retained loans | 0.06 | % | 0.06 | % | | 0.27 | % | 0.26 | % | | 0.13 | % | 0.12 | % |
Wholesaleaccruing impaired loans and loan modifications
Wholesale impaired loans consist of loans that have been placedinterest income recognized on nonaccrual status and/or that have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 13 of JPMorgan Chase’s 2017 Annual Report.
The table below sets forth information about the Firm’s wholesale impaired loans. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | Commercial and industrial | | Real estate | | Financial institutions | | Government agencies | | Other | | Total retained loans | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | Dec 31, 2017 | | Mar 31, 2018 | | Dec 31, 2017 | | Impaired loans | | | | | | | | | | | | | | | | | | | | With an allowance | $ | 1,051 |
| $ | 1,170 |
| | $ | 87 |
| $ | 78 |
| | $ | 92 |
| $ | 93 |
| | $ | — |
| $ | — |
| | $ | 129 |
| $ | 168 |
| | $ | 1,359 |
| | $ | 1,509 |
| | Without an allowance(a) | 240 |
| 228 |
| | 59 |
| 60 |
| | — |
| — |
| | — |
| — |
| | 69 |
| 70 |
| | 368 |
| | 358 |
| | Total impaired loans | $ | 1,291 |
| $ | 1,398 |
| | $ | 146 |
| $ | 138 |
| | $ | 92 |
| $ | 93 |
| | $ | — |
| $ | — |
| | $ | 198 |
| $ | 238 |
| | $ | 1,727 |
| (c) | $ | 1,867 |
| (c) | Allowance for loan losses related to impaired loans | $ | 407 |
| $ | 404 |
| | $ | 16 |
| $ | 11 |
| | $ | 4 |
| $ | 4 |
| | $ | — |
| $ | — |
| | $ | 47 |
| $ | 42 |
| | $ | 474 |
| | $ | 461 |
| | Unpaid principal balance of impaired loans(b) | 1,468 |
| 1,604 |
| | 218 |
| 201 |
| | 92 |
| 94 |
| | — |
| — |
| | 439 |
| 255 |
| | 2,217 |
| | 2,154 |
| |
| | (a) | When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance. |
| | (b) | Represents the contractual amount of principal owed at March 31, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans. |
| | (c) | Based upon the domicile of the borrower, largely consists of loans in the U.S. |
The following table presents the Firm’s average impaired loanscash basis were not material for the periods indicated. | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| 2017 |
| Commercial and industrial | $ | 1,050 |
| $ | 1,097 |
| Real estate | 135 |
| 172 |
| Financial institutions | 17 |
| 4 |
| Government agencies | — |
| — |
| Other | 211 |
| 202 |
| Total(a) | $ | 1,413 |
| $ | 1,475 |
|
| | (a) | The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the three months ended March 31,three and nine months ended September 30, 2018 and 2017. |
Certain loan modifications are considered | | (b) | The prior period amounts have been revised to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All TDRs are reported as impaired loans inconform with the tables above. TDRs were $913 million and $614 million as of March 31, 2018, and December 31, 2017, respectively.
Note 12 – Allowance for credit losses
For a detailed discussion of the allowance for credit losses and the related accounting policies, see Note 13 of JPMorgan Chase’s 2017 Annual Report. During the second quarter of 2017, the Firm refined its loss estimates relating to the wholesale portfolio by incorporating the use of internal historical data versus external credit rating agency default statistics to estimate PD. In addition, an adjustment to the modeled loss estimates for wholesale lending-related commitments was incorporated similar to the adjustment applied for wholesale loans. The impacts of these refinements were not material to the allowance for credit losses.
Allowance for credit losses and related information
The table below summarizes information about the allowances for loan losses and lending-related commitments, and includes a breakdown of loans and lending-related commitments by impairment methodology.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | | Three months ended March 31, (in millions) | Consumer, excluding credit card | Credit card | | Wholesale | Total | | Consumer, excluding credit card | | Credit card | | Wholesale | Total | | Allowance for loan losses | | | | | | | | | | | | | | Beginning balance at January 1, | $ | 4,579 |
| $ | 4,884 |
| | $ | 4,141 |
| $ | 13,604 |
| | 5,198 |
| | $ | 4,034 |
| | $ | 4,544 |
| $ | 13,776 |
| | Gross charge-offs | 284 |
| 1,291 |
| | 65 |
| 1,640 |
| | 847 |
| | 1,086 |
| | 26 |
| 1,959 |
| | Gross recoveries | (138 | ) | (121 | ) | | (46 | ) | (305 | ) | | (159 | ) | | (93 | ) | | (53 | ) | (305 | ) | | Net charge-offs | 146 |
| 1,170 |
| | 19 |
| 1,335 |
| | 688 |
| | 993 |
| | (27 | ) | 1,654 |
| | Write-offs of PCI loans(a) | 20 |
| — |
| | — |
| 20 |
| | 24 |
| | — |
| | — |
| 24 |
| | Provision for loan losses | 146 |
| 1,170 |
| | (189 | ) | 1,127 |
| | 442 |
| | 993 |
| | (119 | ) | 1,316 |
| | Other | 1 |
| — |
| | (2 | ) | (1 | ) | | (2 | ) | | — |
| | 1 |
| (1 | ) | | Ending balance at March 31, | $ | 4,560 |
| $ | 4,884 |
| | $ | 3,931 |
| $ | 13,375 |
| | $ | 4,926 |
| | $ | 4,034 |
| | $ | 4,453 |
| $ | 13,413 |
| | | | | | | | | | | | | | | | Allowance for loan losses by impairment methodology | | | | | | | | | | | | | | Asset-specific(b) | $ | 266 |
| $ | 393 |
| (c) | $ | 474 |
| $ | 1,133 |
| | $ | 300 |
| | $ | 373 |
| (c) | $ | 249 |
| $ | 922 |
| | Formula-based | 2,089 |
| 4,491 |
| | 3,457 |
| 10,037 |
| | 2,339 |
| | 3,661 |
| | 4,204 |
| 10,204 |
| | PCI | 2,205 |
| — |
| | — |
| 2,205 |
| | 2,287 |
| | — |
| | — |
| 2,287 |
| | Total allowance for loan losses | $ | 4,560 |
| $ | 4,884 |
| | $ | 3,931 |
| $ | 13,375 |
| | $ | 4,926 |
| | $ | 4,034 |
| | $ | 4,453 |
| $ | 13,413 |
| | | | | | | | | | | | | | | | Loans by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | 7,953 |
| $ | 1,241 |
| | $ | 1,727 |
| $ | 10,921 |
| | $ | 8,604 |
| | $ | 1,219 |
| | $ | 1,681 |
| $ | 11,504 |
| | Formula-based | 335,785 |
| 139,107 |
| | 410,290 |
| 885,182 |
| | 317,594 |
| | 133,698 |
| | 384,686 |
| 835,978 |
| | PCI | 29,505 |
| — |
| | 3 |
| 29,508 |
| | 34,385 |
| | — |
| | 3 |
| 34,388 |
| | Total retained loans | $ | 373,243 |
| $ | 140,348 |
| | $ | 412,020 |
| $ | 925,611 |
| | $ | 360,583 |
| | $ | 134,917 |
| | $ | 386,370 |
| $ | 881,870 |
| | | | | | | | | | | | | | | | Impaired collateral-dependent loans | | | | | | | | | | | | | | Net charge-offs | $ | 12 |
| $ | — |
| | $ | — |
| $ | 12 |
| | $ | 31 |
| | $ | — |
| | $ | 1 |
| $ | 32 |
| | Loans measured at fair value of collateral less cost to sell | 2,135 |
| — |
| | 262 |
| 2,397 |
| | 2,345 |
| | — |
| | 264 |
| 2,609 |
| | | | | | | | | | | | | | | | Allowance for lending-related commitments | | | | | | | | | | | | | | Beginning balance at January 1, | $ | 33 |
| $ | — |
| | $ | 1,035 |
| $ | 1,068 |
| | $ | 26 |
| | $ | — |
| | $ | 1,052 |
| $ | 1,078 |
| | Provision for lending-related commitments | — |
| — |
| | 38 |
| 38 |
| | — |
| | — |
| | (1 | ) | (1 | ) | | Other | — |
| — |
| | 1 |
| 1 |
| | — |
| | — |
| | — |
| — |
| | Ending balance at March 31, | $ | 33 |
| $ | — |
| | $ | 1,074 |
| $ | 1,107 |
| | $ | 26 |
| | $ | — |
| | $ | 1,051 |
| $ | 1,077 |
| | | | | | | | | | | | | | | | Allowance for lending-related commitments by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | — |
| $ | — |
| | $ | 167 |
| $ | 167 |
| | $ | — |
| | $ | — |
| | $ | 228 |
| $ | 228 |
| | Formula-based | 33 |
| — |
| | 907 |
| 940 |
| | 26 |
| | — |
| | 823 |
| 849 |
| | Total allowance for lending-related commitments | $ | 33 |
| $ | — |
| | $ | 1,074 |
| $ | 1,107 |
| | $ | 26 |
| | $ | — |
| | $ | 1,051 |
| $ | 1,077 |
| | | | | | | | | | | | | | | | Lending-related commitments by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | — |
| $ | — |
| | $ | 746 |
| $ | 746 |
| | $ | — |
| | $ | — |
| | $ | 882 |
| $ | 882 |
| | Formula-based | 49,516 |
| 588,232 |
| | 383,529 |
| 1,021,277 |
| | 51,806 |
| (d) | 577,096 |
| | 363,638 |
| 992,540 |
| (d) | Total lending-related commitments | $ | 49,516 |
| $ | 588,232 |
| | $ | 384,275 |
| $ | 1,022,023 |
| | $ | 51,806 |
| (d) | $ | 577,096 |
| | $ | 364,520 |
| $ | 993,422 |
| (d) |
current period presentation. |
Certain loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All TDRs are reported as impaired loans in the tables above. TDRs were $517 million and $614 million as of September 30, 2018, and December 31, 2017, respectively.
Note 12 – Allowance for credit losses For a detailed discussion of the allowance for credit losses and the related accounting policies, refer to Note 13 of JPMorgan Chase’s 2017 Annual Report. Allowance for credit losses and related information The table below summarizes information about the allowances for loan losses and lending-related commitments, and includes a breakdown of loans and lending-related commitments by impairment methodology. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | | Nine months ended September 30, (in millions) | Consumer, excluding credit card | Credit card | | Wholesale | Total | | Consumer, excluding credit card | | Credit card | | Wholesale | Total | | Allowance for loan losses | | | | | | | | | | | | | | Beginning balance at January 1, | $ | 4,579 |
| $ | 4,884 |
| | $ | 4,141 |
| $ | 13,604 |
| | $ | 5,198 |
| | $ | 4,034 |
| | $ | 4,544 |
| $ | 13,776 |
| | Gross charge-offs | 776 |
| 3,777 |
| | 264 |
| 4,817 |
| | 1,479 |
| | 3,344 |
| | 154 |
| 4,977 |
| | Gross recoveries | (681 | ) | (370 | ) | | (146 | ) | (1,197 | ) | | (478 | ) | | (295 | ) | | (81 | ) | (854 | ) | | Net charge-offs | 95 |
| 3,407 |
| | 118 |
| 3,620 |
| | 1,001 |
| | 3,049 |
| | 73 |
| 4,123 |
| | Write-offs of PCI loans(a) | 151 |
| — |
| | — |
| 151 |
| | 66 |
| | — |
| | — |
| 66 |
| | Provision for loan losses | (152 | ) | 3,557 |
| | (111 | ) | 3,294 |
| | 653 |
| | 3,699 |
| | (401 | ) | 3,951 |
| | Other | 1 |
| — |
| | — |
| 1 |
| | (2 | ) | | — |
| | 3 |
| 1 |
| | Ending balance at September 30, | $ | 4,182 |
| $ | 5,034 |
| | $ | 3,912 |
| $ | 13,128 |
| | $ | 4,782 |
| | $ | 4,684 |
| | $ | 4,073 |
| $ | 13,539 |
| | | | | | | | | | | | | | | | Allowance for loan losses by impairment methodology | | | | | | | | | | | | | | Asset-specific(b) | $ | 204 |
| $ | 421 |
| (c) | $ | 280 |
| $ | 905 |
| | $ | 271 |
| | $ | 376 |
| (c) | $ | 363 |
| $ | 1,010 |
| | Formula-based | 2,154 |
| 4,613 |
| | 3,632 |
| 10,399 |
| | 2,266 |
| | 4,308 |
| | 3,710 |
| 10,284 |
| | PCI | 1,824 |
| — |
| | — |
| 1,824 |
| | 2,245 |
| | — |
| | — |
| 2,245 |
| | Total allowance for loan losses | $ | 4,182 |
| $ | 5,034 |
| | $ | 3,912 |
| $ | 13,128 |
| | $ | 4,782 |
| | $ | 4,684 |
| | $ | 4,073 |
| $ | 13,539 |
| | | | | | | | | | | | | | | | Loans by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | 7,046 |
| $ | 1,284 |
| | $ | 1,051 |
| $ | 9,381 |
| | $ | 8,147 |
| | $ | 1,206 |
| | $ | 1,638 |
| $ | 10,991 |
| | Formula-based | 343,703 |
| 146,572 |
| | 422,783 |
| 913,058 |
| | 329,445 |
| | 139,994 |
| | 396,928 |
| 866,367 |
| | PCI | 25,209 |
| — |
| | 3 |
| 25,212 |
| | 31,821 |
| | — |
| | 3 |
| 31,824 |
| | Total retained loans | $ | 375,958 |
| $ | 147,856 |
| | $ | 423,837 |
| $ | 947,651 |
| | $ | 369,413 |
| | $ | 141,200 |
| | $ | 398,569 |
| $ | 909,182 |
| | | | | | | | | | | | | | | | Impaired collateral-dependent loans | | | | | | | | | | | | | | Net charge-offs | $ | 15 |
| $ | — |
| | $ | — |
| $ | 15 |
| | $ | 47 |
| | $ | — |
| | $ | 30 |
| $ | 77 |
| | Loans measured at fair value of collateral less cost to sell | 2,077 |
| — |
| | 258 |
| 2,335 |
| | 2,198 |
| | — |
| | 250 |
| 2,448 |
| | | | | | | | | | | | | | | | Allowance for lending-related commitments | | | | | | | | | | | | | | Beginning balance at January 1, | $ | 33 |
| $ | — |
| | $ | 1,035 |
| $ | 1,068 |
| | $ | 26 |
| | $ | — |
| | $ | 1,052 |
| $ | 1,078 |
| | Provision for lending-related commitments | — |
| — |
| | 29 |
| 29 |
| | 7 |
| | — |
| | 24 |
| 31 |
| | Other | — |
| — |
| | — |
| — |
| | — |
| | — |
| | — |
| — |
| | Ending balance at September 30, | $ | 33 |
| $ | — |
| | $ | 1,064 |
| $ | 1,097 |
| | $ | 33 |
| | $ | — |
| | $ | 1,076 |
| $ | 1,109 |
| | | | | | | | | | | | | | | | Allowance for lending-related commitments by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | — |
| $ | — |
| | $ | 71 |
| $ | 71 |
| | $ | — |
| | $ | — |
| | $ | 220 |
| $ | 220 |
| | Formula-based | 33 |
| — |
| | 993 |
| 1,026 |
| | 33 |
| | — |
| | 856 |
| 889 |
| | Total allowance for lending-related commitments | $ | 33 |
| $ | — |
| | $ | 1,064 |
| $ | 1,097 |
| | $ | 33 |
| | $ | — |
| | $ | 1,076 |
| $ | 1,109 |
| | | | | | | | | | | | | | | | Lending-related commitments by impairment methodology | | | | | | | | | | | | | | Asset-specific | $ | — |
| $ | — |
| | $ | 252 |
| $ | 252 |
| | $ | — |
| | $ | — |
| | $ | 764 |
| $ | 764 |
| | Formula-based | 50,630 |
| 600,728 |
| | 397,064 |
| 1,048,422 |
| | 52,796 |
| (d) | 574,641 |
| | 371,616 |
| 999,053 |
| (d) | Total lending-related commitments | $ | 50,630 |
| $ | 600,728 |
| | $ | 397,316 |
| $ | 1,048,674 |
| | $ | 52,796 |
| (d) | $ | 574,641 |
| | $ | 372,380 |
| $ | 999,817 |
| (d) |
| | (a) | Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool. |
| | (b) | Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. |
| | (c) | The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates. |
| | (d) | The prior period amounts have been revised to conform with the current period presentation. |
Note 13 – Variable interest entities For a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs, refer to Note1of JPMorgan Chase’s 2017 Annual Report. The following table summarizes the most significant types of Firm-sponsored VIEs by business segment. | | | | | Line of Business | Transaction Type | Activity | Form 10-Q page reference | CCB | Credit card securitization trusts | Securitization of originated credit card receivables | 148 | | Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 148-150 | CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans | 148-150 | | Multi-seller conduits | Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs | 150 | | Municipal bond vehicles | Financing of municipal bond investments | 150 |
The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 151-152of this Note for more information on the VIEs sponsored by third parties. Significant Firm-sponsored VIEs Credit card securitizations For a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations, refer to Note 14 of JPMorgan Chase’s 2017 Annual Report. As a result of the Firm’s continuing involvement, the Firm is considered to be the primary beneficiary of its Firm-sponsored credit card securitization trusts, including its primary vehicle, the Chase Issuance Trust. Refer to the table on page 151 of this Note for further information on consolidated VIE assets and liabilities. Firm-sponsored mortgage and other securitization trusts The Firm securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loansprimarily 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. For a detailed discussion of the Firm’s involvement with Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts, refer to Note14 of JPMorgan Chase’s 2017 Annual Report.
The following table presents 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 transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. Refer to Securitization activity onpage 152of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, andpages 152-153of this Note for information on the Firm’s loan sales to U.S. government agencies. | | | | | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | September 30, 2018 (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 | $ | 65,481 |
| $ | 3,314 |
| $ | 51,914 |
| | $ | 607 |
| $ | 704 |
| $ | — |
| $ | 1,311 |
| Subprime | 17,278 |
| 19 |
| 15,950 |
| | 55 |
| — |
| — |
| 55 |
| Commercial and other(b) | 102,603 |
| — |
| 77,494 |
| | 497 |
| 869 |
| 216 |
| 1,582 |
| Total | $ | 185,362 |
| $ | 3,333 |
| $ | 145,358 |
| | $ | 1,159 |
| $ | 1,573 |
| $ | 216 |
| $ | 2,948 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | December 31, 2017 (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 | $ | 68,874 |
| $ | 3,615 |
| $ | 52,280 |
| | $ | 410 |
| $ | 943 |
| $ | — |
| $ | 1,353 |
| Subprime | 18,984 |
| 7 |
| 17,612 |
| | 93 |
| — |
| — |
| 93 |
| Commercial and other(b) | 94,905 |
| 63 |
| 63,411 |
| | 745 |
| 1,133 |
| 157 |
| 2,035 |
| Total | $ | 182,763 |
| $ | 3,685 |
| $ | 133,303 |
| | $ | 1,248 |
| $ | 2,076 |
| $ | 157 |
| $ | 3,481 |
|
| | (a) | Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 152-153 of this Note for information on the Firm’s loan sales to U.S. government agencies. |
| | (b) | Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. |
| | (c) | Excludes the following: retained servicing (refer to Note 14 for a discussion of MSRs); securities retained from loan sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (Refer to Note 4 for further information on derivatives); senior and subordinated securities of $75 million and $111 million, respectively, at September 30, 2018, and $88 million and $48 million, respectively, at December 31, 2017, which the Firm purchased in connection with CIB’s secondary market-making activities. |
| | (d) | Includes interests held in re-securitization transactions. |
| | (e) | As of September 30, 2018, and December 31, 2017, 66% and 61%, 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 $1.3 billion of investment-grade at both September 30, 2018 and December 31, 2017, and $34 million and $48 million of noninvestment-grade at September 30, 2018, and December 31, 2017, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.2 billion and $1.6 billion of investment-grade and $410 million and $412 million of noninvestment-grade retained interests at September 30, 2018, and December 31, 2017, respectively. |
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. For a more detailed description of the Firm’s involvement with residential mortgage securitizations, refer to Note14 of JPMorgan Chase’s 2017 Annual Report. Refer to the table onpage 151of this Note for more information on the consolidated residential mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated residential mortgage securitizations. 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. For a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations, refer to Note14 of JPMorgan Chase’s 2017 Annual Report. Refer to the table onpage 151of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated securitizations. Re-securitizations For a more detailed description of JPMorgan Chase’s participation in certain re-securitization transactions, refer to Note 14 of JPMorgan Chase’s 2017 Annual Report. The following table presents the principal amount of securities transferred to re-securitization VIEs. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Transfers of securities to VIEs | | | | | | | | Agency | $ | 2,540 |
| | $ | 1,477 |
| | $ | 11,321 |
| | $ | 6,163 |
|
The following table presents information on nonconsolidated re-securitization VIEs. | | | | | | | | | | Nonconsolidated re-securitization VIEs | (in millions) | September 30, 2018 | | December 31, 2017 | Firm-sponsored private-label | | | | Assets held in VIEs with continuing involvement(a) | $ | 198 |
| | $ | 783 |
| Interest in VIEs | 10 |
| | 29 |
| Agency | | | | Interest in VIEs | 2,263 |
| | 2,250 |
|
| | (a) | Represents the principal amount and includes the notional amount of interest-only securities. |
As of September 30, 2018, and December 31, 2017, the Firm did not consolidate any agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs. Multi-seller conduits For a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits, refer to Note14 of JPMorgan Chase’s 2017 Annual Report. 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 $18.7 billion and $20.4 billionof the commercial paper issued by the Firm-administered multi-seller conduits atSeptember 30, 2018, and December 31, 2017, 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. 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 $9.2 billion and $8.8 billion at September 30, 2018, and December 31, 2017, respectively, and are reported as off-balance sheet lending-related commitments. For more information on off-balance sheet lending-related commitments, refer to Note20. Municipal bond vehicles Municipal bond vehicles or tender option bond (“TOB”) trusts allow institutions to finance their municipal bond investments at short-term rates. TOB transactions are known as Customer TOB trusts and Non-Customer TOB trusts. Customer TOB trusts are sponsored by a third party; refer topages 151-152of this Note for further information. The Firm serves as sponsor for all Non-Customer TOB transactions. For a more detailed description of JPMorgan Chase’s Municipal bond vehicles, refer to Note14 of JPMorgan Chase’s 2017 Annual Report. The Firm had no exposure to nonconsolidated Firm-sponsored municipal bond vehicles at September 30, 2018 and December 31, 2017, respectively. Refer topages 151-152of this Note for further information on consolidated municipal bond vehicles.
Consolidated VIE assets and liabilities The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of September 30, 2018, and December 31, 2017. | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | Liabilities | September 30, 2018 (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 | $ | — |
| $ | 30,949 |
| $ | 504 |
| $ | 31,453 |
| | $ | 14,142 |
| $ | 12 |
| $ | 14,154 |
| Firm-administered multi-seller conduits | 1 |
| 22,797 |
| 129 |
| 22,927 |
| | 4,304 |
| 30 |
| 4,334 |
| Municipal bond vehicles | 1,370 |
| — |
| 4 |
| 1,374 |
| | 1,344 |
| 2 |
| 1,346 |
| Mortgage securitization entities(a) | 62 |
| 3,368 |
| 37 |
| 3,467 |
| | 304 |
| 171 |
| 475 |
| Other | 134 |
| — |
| 1,733 |
| 1,867 |
| | 147 |
| 115 |
| 262 |
| Total | $ | 1,567 |
| $ | 57,114 |
| $ | 2,407 |
| $ | 61,088 |
| | $ | 20,241 |
| $ | 330 |
| $ | 20,571 |
| | | | | | | | | | | Assets | | Liabilities | December 31, 2017 (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 | $ | — |
| $ | 41,923 |
| $ | 652 |
| $ | 42,575 |
| | $ | 21,278 |
| $ | 16 |
| $ | 21,294 |
| Firm-administered multi-seller conduits | — |
| 23,411 |
| 48 |
| 23,459 |
| | 3,045 |
| 28 |
| 3,073 |
| Municipal bond vehicles | 1,278 |
| — |
| 3 |
| 1,281 |
| | 1,265 |
| 2 |
| 1,267 |
| Mortgage securitization entities(a) | 66 |
| 3,661 |
| 55 |
| 3,782 |
| | 359 |
| 199 |
| 558 |
| Other | 105 |
| — |
| 1,916 |
| 2,021 |
| | 134 |
| 104 |
| 238 |
| Total | $ | 1,449 |
| $ | 68,995 |
| $ | 2,674 |
| $ | 73,118 |
| | $ | 26,081 |
| $ | 349 |
| $ | 26,430 |
|
| | (a) | Includes residential and commercial 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 variable interest entities.” The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. For conduits program-wide credit enhancements, refer to note 14 of JPMorgan Chase’s 2017 Annual Report. Included in beneficial interests in VIE assets are long-term beneficial interests of $14.6 billion and $21.8 billion at September 30, 2018, and December 31, 2017, respectively. |
| | (e) | Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets. |
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. Tax credit vehicles The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that construct, own and operate affordable housing, wind, solar and other alternative energy 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 $13.7 billion and $13.4 billion, of which $3.2 billion was unfunded at both September 30, 2018 and December 31, 2017, respectively. In order to reduce the risk of loss, the Firm assesses each project and withholds varying amounts of its capital investment until qualification of the project for tax credits. For further information on affordable housing tax credits, refer to Note24 of JPMorgan Chase’s 2017 Annual Report. For more information on off-balance sheet lending-related commitments, refer to Note20 of this Form 10-Q. 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 September 30, 2018 and December 31, 2017 was $5.0 billion and $5.3 billion, respectively. The fair value of assets held by such VIEs at September 30, 2018 and December 31, 2017, was $8.0 billion and $9.2 million, respectively. For more information on off-balance sheet lending-related commitments, refer to Note20. Loan securitizations The Firm has securitized and sold a variety of loans, including residential mortgage, credit card, and commercial mortgage.For afurther description of the Firm’s accounting policies regarding securitizations, refer to Note14 of JPMorgan Chase’s 2017 Annual Report. Securitization activity The following table provides information related to the Firm’s securitization activities for the three and nine months ended September 30, 2018 and 2017, 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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | | 2018 | | 2017 | | 2018 | | 2017 | (in millions) | Residential mortgage(e) | Commercial and other(f) | | Residential mortgage(e) | Commercial and other(f) | | Residential mortgage(e) | Commercial and other(f) | | Residential mortgage(e) | Commercial and other(f) | Principal securitized | $ | 1,513 |
| $ | 3,533 |
| | $ | 1,017 |
| $ | 4,411 |
| | $ | 5,972 |
| $ | 8,705 |
| | $ | 3,066 |
| $ | 7,723 |
| All cash flows during the period(a): | | | | | | | | | | | | Proceeds received from loan sales as financial instruments(b) | $ | 1,524 |
| $ | 3,558 |
| | $ | 1,053 |
| $ | 4,419 |
| | $ | 5,984 |
| $ | 8,745 |
| | $ | 3,136 |
| $ | 7,796 |
| Servicing fees collected(c) | 43 |
| 1 |
| | 49 |
| 1 |
| | 134 |
| 1 |
| | 151 |
| 3 |
| Purchases of previously transferred financial assets (or the underlying collateral)(d) | — |
| — |
| | — |
| — |
| | — |
| — |
| | 1 |
| — |
| Cash flows received on interests | 99 |
| 99 |
| | 125 |
| 287 |
| | 328 |
| 230 |
| | 384 |
| 828 |
|
| | (a) | Excludes re-securitization transactions. |
| | (b) | Predominantly includes Level 2 assets. |
| | (c) | The prior period amounts have been revised to conform with the current period presentation. |
Note 13 | | (d) | Includes cash paid by the Firm to reacquire assets from off–balance sheet, nonconsolidated entities – Variablefor example, loan repurchases due to representation and warranties and servicer “clean-up” calls. |
| | (e) | Includes prime, Alt-A, subprime, and option ARMs. Excludes loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. |
| | (f) | Includes commercial mortgage and other consumer loans. |
Loans and excess MSRs sold to U.S. government-sponsored enterprises, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities 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. government-sponsored enterprises 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 20 of this Form 10-Q, and Note 27 of JPMorgan Chase’s 2017 Annual Report for additional information aThe 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 20 of this Form 10-Q, and Note 27 of JPMorgan Chase’s 2017 Annual Report for additional information about the Firm’s loan sales- and securitization-related indemnifications. Refer to Note14for additional information about the impact of the Firm’s sale of certain excess MSRs. (“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 20 of this Form 10-Q, and Note 27 of JPMorgan Chase’s 2017 Annual Report for additional information bout the Firm’s loan sales- and securitization-related indemnifications. Refer to Note14for additional information about the impact of the Firm’s sale of certain excess MSRs. about the Firm’s loan sales- and securitization-related indemnifications. Refer to Note14for additional information about the impact of the Firm’s sale of certain excess MSRs.
The following table summarizes the activities related to loans sold to the U.S. GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities. | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| 2017 |
| | 2018 | 2017 | Carrying value of loans sold | $ | 11,968 |
| $ | 15,402 |
| | $ | 28,804 |
| $ | 44,282 |
| Proceeds received from loan sales as cash | 1 |
| 104 |
| | 1 |
| 117 |
| Proceeds from loan sales as securities(a) | 11,713 |
| 15,093 |
| | 28,291 |
| 43,682 |
| Total proceeds received from loan sales(b) | $ | 11,714 |
| $ | 15,197 |
| | $ | 28,292 |
| $ | 43,799 |
| Gains on loan sales(c)(d) | $ | 9 |
| $ | 41 |
| | $ | 32 |
| $ | 114 |
|
| | (a) | Predominantly includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt. |
| | (b) | Excludes the value of MSRs retained upon the sale of loans. |
| | (c) | Gains on loan sales include the value of MSRs. |
| | (d) | The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale. |
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 Note20, 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. For additional information, refer to Note 11. 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 September 30, 2018 and December 31, 2017. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies. | | | | | | | | (in millions) | Sep 30, 2018 |
| Dec 31, 2017 |
| Loans repurchased or option to repurchase(a) | $ | 7,207 |
| $ | 8,629 |
| Real estate owned | 78 |
| 95 |
| Foreclosed government-guaranteed residential mortgage loans(b) | 404 |
| 527 |
|
| | (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 entitiesand accounts receivable. |
Loan delinquencies and liquidation losses The table below includes information about components of nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement, and delinquencies as of September 30, 2018, and December 31, 2017. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net liquidation losses(a) | | Securitized assets | | 90 days past due | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | Sep 30, 2018 |
| Dec 31, 2017 |
| | Sep 30, 2018 |
| Dec 31, 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Securitized loans | | | | | | | | | | | | Residential mortgage: | | | | | | | | | | | | Prime / Alt-A & option ARMs | $ | 51,914 |
| $ | 52,280 |
| | $ | 3,612 |
| $ | 4,870 |
| | $ | 182 |
| $ | 184 |
| | $ | 453 |
| $ | 622 |
| Subprime | 15,950 |
| 17,612 |
| | 2,637 |
| 3,276 |
| | 155 |
| 153 |
| | (307 | ) | 529 |
| Commercial and other | 77,494 |
| 63,411 |
| | 526 |
| 957 |
| | 71 |
| 2 |
| | 119 |
| 59 |
| Total loans securitized | $ | 145,358 |
| $ | 133,303 |
| | $ | 6,775 |
| $ | 9,103 |
| | $ | 408 |
| $ | 339 |
| | $ | 265 |
| $ | 1,210 |
|
| | (a) | Includes liquidation gains as a result of private label mortgage settlement payments during the first quarter of 2018, which were reflected as asset recoveries by trustees. |
Note14 – Goodwill and Mortgage servicing rights For a discussion of the accounting policies related to goodwill and mortgage servicing rights, refer to Note15 of JPMorgan Chase’s 2017 Annual Report. Goodwill The following table presents goodwill attributed to the business segments. | | | | | | | | (in millions) | September 30, 2018 |
| December 31, 2017 |
| Consumer & Community Banking | $ | 30,995 |
| $ | 31,013 |
| Corporate & Investment Bank | 6,771 |
| 6,776 |
| Commercial Banking | 2,860 |
| 2,860 |
| Asset & Wealth Management | 6,857 |
| 6,858 |
| Total goodwill | $ | 47,483 |
| $ | 47,507 |
|
The following table presents changes in the carrying amount of goodwill. | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| Balance at beginning of period | $ | 47,488 |
| | $ | 47,300 |
| | $ | 47,507 |
| | $ | 47,288 |
| Changes during the period from: | | | | | | | | Other(a) | (5 | ) | | 9 |
| | (24 | ) | | 21 |
| Balance at September 30, | $ | 47,483 |
| | $ | 47,309 |
| | $ | 47,483 |
| | $ | 47,309 |
|
| | (a) | Includes foreign currency remeasurement and other adjustments. |
Goodwill Impairment testing For a further description of the Firm’s goodwill impairment testing, including the primary method used to estimate the fair value of the reporting units, and the assumptions used in the goodwill impairment test, refer to Impairment testing on pages 244–245 of JPMorgan Chase’s 2017 Annual Report. Goodwill was not impaired at September 30, 2018, or December 31, 2017, nor was goodwill written off due to impairment during the nine months ended September 30, 2018 or 2017. Declines in business performance, increases in credit losses, increases in equity 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 or their associated goodwill to decline in the future, which could result in a material impairment charge to earnings in a future period related to some portion of the associated goodwill.
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. For a further description of the MSR asset, interest rate risk management, and the valuation of MSRs, refer to Notes 2 and 15 of JPMorgan Chase’s 2017 Annual Report. The following table summarizes MSR activity for the three and nine months endedSeptember 30, 2018 and 2017. | | | | | | | | | | | | | | | | | | | As of or for the three months ended September 30, | | As of or for the nine months ended September 30, | | (in millions, except where otherwise noted) | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| | Fair value at beginning of period | $ | 6,241 |
| | $ | 5,753 |
| | $ | 6,030 |
| | $ | 6,096 |
| | MSR activity: | | | | | | | | | Originations of MSRs | 278 |
| | 253 |
| | 611 |
| | 624 |
| | Purchase of MSRs | 13 |
| | — |
| | 159 |
| | — |
| | Disposition of MSRs(a) | (2 | ) | | (2 | ) | | (401 | ) | | (140 | ) | | Net additions/(dispositions) | 289 |
| | 251 |
| | 369 |
| | 484 |
| | | | | | | | | | | Changes due to collection/realization of expected cash flows | (195 | ) | | (200 | ) | | (542 | ) | | (619 | ) | | | | | | | | | | | Changes in valuation due to inputs and assumptions: | | | | | | | | | Changes due to market interest rates and other(b) | 150 |
| | (67 | ) | | 635 |
| | (188 | ) | | Changes in valuation due to other inputs and assumptions: | | | | | | | | | Projected cash flows (e.g., cost to service) | 14 |
| | (116 | ) | | 14 |
| | (102 | ) | | Discount rates | — |
| | — |
| | 24 |
| | (19 | ) | | Prepayment model changes and other(c) | (66 | ) | | 117 |
| | (97 | ) | | 86 |
| | Total changes in valuation due to other inputs and assumptions | (52 | ) | | 1 |
| | (59 | ) | | (35 | ) | | Total changes in valuation due to inputs and assumptions | 98 |
| | (66 | ) | | 576 |
| | (223 | ) | | Fair value at September 30, | $ | 6,433 |
| | $ | 5,738 |
| | $ | 6,433 |
| | $ | 5,738 |
| | | | | | | | | | | Change in unrealized gains/(losses) included in income related to MSRs held at September 30, | $ | 98 |
| | $ | (66 | ) | | $ | 576 |
| | $ | (223 | ) | | Contractual service fees, late fees and other ancillary fees included in income | 428 |
| | 463 |
| | 1,339 |
| | 1,427 |
| | Third-party mortgage loans serviced at September 30, (in billions) | 528 |
| | 558 |
| | 528 |
| | 558 |
| | Net servicer advances at September 30, (in billions)(d) | 3.1 |
| | 3.9 |
| | 3.1 |
| | 3.9 |
| |
| | (a) | 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. |
| | (b) | 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. |
| | (c) | Represents changes in prepayments other than those attributable to changes in market interest rates. |
| | (d) | 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 three and nine months ended September 30, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | | 2018 |
| | 2017 |
| | 2018 |
| | 2017 |
| CCB mortgage fees and related income | | | | | | | | | | | | | | | | | | Net production revenue | | $ | 108 |
| | $ | 158 |
| | $ | 296 |
| | $ | 451 |
| | | | | | | | | | Net mortgage servicing revenue: | | | | | | | | | Operating revenue: | | | | | | | | | Loan servicing revenue | | 435 |
| | 493 |
| | 1,389 |
| | 1,533 |
| Changes in MSR asset fair value due to collection/realization of expected cash flows | | (195 | ) | | (200 | ) | | (542 | ) | | (617 | ) | Total operating revenue | | 240 |
| | 293 |
| | 847 |
| | 916 |
| Risk management: | | | | | | | | | Changes in MSR asset fair value due to market interest rates and other(a) | | 150 |
| | (67 | ) | | 636 |
| | (188 | ) | Other changes in MSR asset fair value due to other inputs and assumptions in model(b) | | (52 | ) | | 1 |
| | (59 | ) | | (35 | ) | Change in derivative fair value and other | | (186 | ) | | 43 |
| | (671 | ) | | 91 |
| Total risk management | | (88 | ) | | (23 | ) | | (94 | ) | | (132 | ) | Total net mortgage servicing revenue | | 152 |
| | 270 |
| | 753 |
| | 784 |
| | | | | | | | | | Total CCB mortgage fees and related income | | 260 |
| | 428 |
| | 1,049 |
| | 1,235 |
| | | | | | | | | | All other | | 2 |
| | 1 |
| | 2 |
| | 4 |
| Mortgage fees and related income | | $ | 262 |
| | $ | 429 |
| | $ | 1,051 |
| | $ | 1,239 |
|
| | (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). |
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2018, and December 31, 2017, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below. | | | | | | | | | | (in millions, except rates) | Sep 30, 2018 |
| | Dec 31, 2017 |
| Weighted-average prepayment speed assumption (“CPR”) | 8.40 | % | | 9.35 | % | Impact on fair value of 10% adverse change | $ | (194 | ) | | $ | (221 | ) | Impact on fair value of 20% adverse change | (376 | ) | | (427 | ) | Weighted-average option adjusted spread | 8.65 | % | | 9.04 | % | Impact on fair value of a 100 basis point adverse change | $ | (251 | ) | | $ | (250 | ) | Impact on fair value of a 200 basis point adverse change | (483 | ) | | (481 | ) |
CPR: Constant prepayment rate. Changes in fair value based on variation 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 this 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.
Note 15 – Deposits For further information on deposits, refer to Note17 of JPMorgan Chase’s 2017 Annual Report. At September 30, 2018, and December 31, 2017, noninterest-bearing and interest-bearing deposits were as follows. | | | | | | | | | (in millions) | September 30, 2018 |
| | December 31, 2017 |
| U.S. offices | | | | Noninterest-bearing | $ | 374,603 |
| | $ | 393,645 |
| Interest-bearing (included $16,526 and $14,947 at fair value)(a) | 814,988 |
| | 793,618 |
| Total deposits in U.S. offices | 1,189,591 |
| | 1,187,263 |
| Non-U.S. offices | | | | Noninterest-bearing | 19,127 |
| | 15,576 |
| Interest-bearing (included $3,974 and $6,374 at fair value)(a) | 250,044 |
| | 241,143 |
| Total deposits in non-U.S. offices | 269,171 |
| | 256,719 |
| Total deposits | $ | 1,458,762 |
| | $ | 1,443,982 |
|
| | (a) | Includes structured notes classified as deposits for which the fair value option has been elected. For a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs, seediscussion, refer to Note 13 of JPMorgan Chase’s 2017 Annual Report. |
Note 16 – Earnings per share For a discussion of the computation of basic and diluted earnings per share (“EPS”), refer to Note 22 of JPMorgan Chase’s 2017 Annual Report. The following table presents the calculation of basic and diluted EPS for the three and nine months ended September 30, 2018 and 2017. | | | | | | | | | | | | | | | (in millions, except per share amounts) | Three months ended September 30, | | Nine months ended September 30, | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Basic earnings per share | | | | | | Net income | $ | 8,380 |
| $ | 6,732 |
| | $ | 25,408 |
| $ | 20,209 |
| Less: Preferred stock dividends | 379 |
| 412 |
| | 1,167 |
| 1,235 |
| Net income applicable to common equity | 8,001 |
| 6,320 |
| | 24,241 |
| 18,974 |
| Less: Dividends and undistributed earnings allocated to participating securities | 53 |
| 58 |
| | 174 |
| 188 |
| Net income applicable to common stockholders | $ | 7,948 |
| $ | 6,262 |
| | $ | 24,067 |
| $ | 18,786 |
| | | | | | | Total weighted-average basic shares outstanding | 3,376.1 |
| 3,534.7 |
| | 3,416.5 |
| 3,570.9 |
| Net income per share | $ | 2.35 |
| $ | 1.77 |
| | $ | 7.04 |
| $ | 5.26 |
| | | | | | | Diluted earnings per share | | | | | | Net income applicable to common stockholders | $ | 7,948 |
| $ | 6,262 |
| | $ | 24,067 |
| $ | 18,786 |
| Total weighted-average basic shares outstanding | 3,376.1 |
| 3,534.7 |
| | 3,416.5 |
| 3,570.9 |
| Add: Employee stock options, SARs, warrants and unvested PSUs | 18.2 |
| 24.9 |
| | 19.7 |
| 26.1 |
| Total weighted-average diluted shares outstanding | 3,394.3 |
| 3,559.6 |
| | 3,436.2 |
| 3,597.0 |
| Net income per share | $ | 2.34 |
| $ | 1.76 |
| | $ | 7.00 |
| $ | 5.22 |
|
Note 17 – Accumulated other comprehensive income/(loss) AOCI includes the after-tax change in unrealized gains and losses on investment securities, foreign currency translation adjustments (including the impact of related derivatives), fair value changes of excluded components on fair value hedges, cash flow hedging activities, net loss and prior service costs/(credit) related to the Firm’s defined benefit pension and OPEB plans. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended September 30, 2018 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges(b) | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at July 1, 2018 | | $ | 1,599 |
| | | | $ | (632 | ) | | | $ | (162 | ) | | $ | (147 | ) | | | | $ | (1,876 | ) | | | $ | 80 |
| | | $ | (1,138 | ) | | | Net change | | (819 | ) | | | | (31 | ) | | | 34 |
| | (88 | ) | | | | 19 |
| | | (402 | ) | | | (1,287 | ) | | | Balance at September 30, 2018 | | $ | 780 |
| | | | $ | (663 | ) | | | $ | (128 | ) | | $ | (235 | ) | | | | $ | (1,857 | ) | | | $ | (322 | ) | | | $ | (2,425 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended September 30, 2017 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at July 1, 2017 | | $ | 2,219 |
| | | | $ | (157 | ) | | | NA |
| | $ | 44 |
| | | | $ | (2,255 | ) | | | $ | (243 | ) | | | $ | (392 | ) | | | Net change | | 147 |
| | | | — |
| | | NA |
| | 26 |
| | | | 22 |
| | | (112 | ) | | | 83 |
| | | Balance at September 30, 2017 | | $ | 2,366 |
| | | | $ | (157 | ) | | | NA |
| | $ | 70 |
| | | | $ | (2,233 | ) | | | $ | (355 | ) | | | $ | (309 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the nine months ended September 30, 2018 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at January 1, 2018 | | $ | 2,164 |
| | | | $ | (470 | ) | | | $ | — |
| | $ | 76 |
| | | | $ | (1,521 | ) | | | $ | (368 | ) | | | $ | (119 | ) | | | Cumulative effect of changes in accounting principles(a):
| | | | | | | | | | | | | | | | | | | | | | | | Premium amortization on purchased callable debt securities | | 261 |
| | | | — |
| | | — |
| | — |
| | | | — |
| | | — |
| | | 261 |
| | | Hedge accounting | | 169 |
| | | | — |
| | | (54 | ) | | — |
| | | | — |
| | | — |
| | | 115 |
| | | Reclassification of certain tax effects from AOCI | | 466 |
| | | | (277 | ) | | | — |
| | 16 |
| | | | (414 | ) | | | (79 | ) | | | (288 | ) | | | Net change | | (2,280 | ) | | | | 84 |
| | | (74 | ) | | (327 | ) | | | | 78 |
| | | 125 |
| | | (2,394 | ) | | | Balance at September 30, 2018 | | $ | 780 |
| | | | $ | (663 | ) | | | $ | (128 | ) | | $ | (235 | ) | | | | $ | (1,857 | ) | | | $ | (322 | ) | | | $ | (2,425 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the nine months ended September 30, 2017 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at January 1, 2017 | | $ | 1,524 |
| | | | $ | (164 | ) | | | NA |
| | $ | (100 | ) | | | | $ | (2,259 | ) | | | $ | (176 | ) | | | $ | (1,175 | ) | | | Net change | | 842 |
| | | | 7 |
| | | NA |
| | 170 |
| | | | 26 |
| | | (179 | ) | | | 866 |
| | | Balance at September 30, 2017 | | $ | 2,366 |
| | | | $ | (157 | ) | | | NA |
| | $ | 70 |
| | | | $ | (2,233 | ) | | | $ | (355 | ) | | | $ | (309 | ) | |
The following table summarizes | | (a) | Represents the most significant types of Firm-sponsored VIEs by business segment. | | | | | Line of Business | Transaction Type | Activity | Form 10-Q page reference | CCB | Credit card securitization trusts | Securitization of originated credit card receivables | 130 | | Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 130–132 | CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans | 130–132 | | Multi-seller conduits | Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs | 132 | | Municipal bond vehicles | Financing of municipal bond investments | 132 |
The Firm also invests in and provides financing and other servicesadjustment to VIEs sponsored by third parties. See page 133 of this Note for more information on the VIEs sponsored by third parties.
Significant Firm-sponsored VIEs
Credit card securitizations
For a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations, see Note 14 of JPMorgan Chase’s 2017 Annual Report.
AsAOCI as a result of the Firm’s continuing involvement, the Firm is considered to be the primary beneficiary of its Firm-sponsored credit card securitization trusts, including its primary vehicle, the Chase Issuance Trust. See the table on page 133 of this Note for further information on consolidated VIE assets and liabilities.
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 interestsnew accounting standards adopted in the securitization trusts.
For a detailed discussionfirst quarter of the Firm’s involvement with Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts, see Note 14 of JPMorgan Chase’s 2017 Annual Report.
The following table presents 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 transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. See Securitization activity on page 134 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and page 134 of this Note for information on the Firm’s loan sales to U.S. government agencies.
| | | | | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | March 31, 2018 (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 | $ | 67,150 |
| $ | 3,514 |
| $ | 51,840 |
| | $ | 412 |
| $ | 876 |
| $ | — |
| $ | 1,288 |
| Subprime | 18,512 |
| 17 |
| 17,074 |
| | 57 |
| — |
| — |
| 57 |
| Commercial and other(b) | 99,298 |
| — |
| 69,192 |
| | 766 |
| 1,079 |
| 207 |
| 2,052 |
| Total | $ | 184,960 |
| $ | 3,531 |
| $ | 138,106 |
| | $ | 1,235 |
| $ | 1,955 |
| $ | 207 |
| $ | 3,397 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | December 31, 2017 (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 | $ | 68,874 |
| $ | 3,615 |
| $ | 52,280 |
| | $ | 410 |
| $ | 943 |
| $ | — |
| $ | 1,353 |
| Subprime | 18,984 |
| 7 |
| 17,612 |
| | 93 |
| — |
| — |
| 93 |
| Commercial and other(b) | 94,905 |
| 63 |
| 63,411 |
| | 745 |
| 1,133 |
| 157 |
| 2,035 |
| Total | $ | 182,763 |
| $ | 3,685 |
| $ | 133,303 |
| | $ | 1,248 |
| $ | 2,076 |
| $ | 157 |
| $ | 3,481 |
|
| | (a) | Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. See page 134 of this Note for information on the Firm’s loan sales to U.S. government agencies. |
| | (b) | Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. |
| | (c) | Excludes the following: retained servicing (see Note 14 for a discussion of MSRs); securities retained from loan sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (See Note 4 for further information on derivatives); senior and subordinated securities of $306 million and $31 million, respectively, at March 31, 2018, and $88 million and $48 million, respectively, at December 31, 2017, which the Firm purchased in connection with CIB’s secondary market-making activities. |
| | (d) | Includes interests held in re-securitization transactions. |
| | (e) | As of March 31, 2018, and December 31, 2017, 68% and 61%, 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 $1.3 billion of investment-grade for both periods, and $16 million and $48 million of noninvestment-grade retained interests at March 31, 2018, and December 31, 2017, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.7 billion and $1.6 billion of investment-grade and $362 million and $412 million of noninvestment-grade retained interests at March 31, 2018, and December 31, 2017, respectively.2018. |
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. For a more detailed description of the Firm’s involvement with residential mortgage securitizations, see Note 14 of JPMorgan Chase’s 2017 Annual Report. See the table on page 133 of this Note for more information on the consolidated residential mortgage securitizations, and the table on the previous page of this Note for further information on interests held | | (b) | Represents changes in nonconsolidated residential mortgage securitizations.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. For a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations, see Note 14 of JPMorgan Chase’s 2017 Annual Report. See the table on page 133 of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated securitizations.
Re-securitizations
For a more detailed description of JPMorgan Chase’s participation in certain re-securitization transactions, see Note 14 of JPMorgan Chase’s 2017 Annual Report.
The following table presents the principal amount of securities transferred to re-securitization VIEs.
| | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Transfers of securities to VIEs | | | | Agency | $ | 4,786 |
| | $ | 3,224 |
|
The following table presents information on nonconsolidated re-securitization VIEs.
| | | | | | | | | | Nonconsolidated re-securitization VIEs | (in millions) | March 31, 2018 |
| | December 31, 2017 |
| Firm-sponsored private-label | | | | Assets held in VIEs with continuing involvement(a) | $ | 722 |
| | $ | 783 |
| Interest in VIEs | 15 |
| | 29 |
| Agency | | | | Interest in VIEs | 1,804 |
| | 2,250 |
|
| | (a) | represents the principal amount and includes the notional amount of interest-only securities. |
As of March 31, 2018, and December 31, 2017, the Firm did not consolidate any agency re-securitizations or any Firm-sponsored private-label re-securitizations.
Multi-seller conduits
For a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits, see Note 14 of JPMorgan Chase’s 2017 Annual Report.
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 $19.1 billion and $20.4 billionof the commercial paper issued by the Firm-administered multi-seller conduits atMarch 31, 2018, and December 31, 2017 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.
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 $10.0 billion and $8.8 billion at March 31, 2018, and December 31, 2017, respectively, and are reported as off-balance sheet lending-related commitments. For more information on off-balance sheet lending-related commitments, see Note 20.
Municipal bond vehicles
Municipal bond vehicles or tender option bond (“TOB”) trusts allow institutions to finance their municipal bond investments at short-term rates. TOB transactions are known as Customer TOB trusts and Non-Customer TOB trusts. Customer TOB trusts are sponsored by a third party; see page 133 on this Note for further information.
The Firm serves as sponsor for all Non-Customer TOB transactions. For a more detailed description of JPMorgan Chase’s Municipal bond vehicles, see Note 14 of JPMorgan Chase’s 2017 Annual Report. The Firm had no exposure to nonconsolidated Firm-sponsored municipal bond vehicles at March 31, 2018 and December 31, 2017, respectively.
See page 133 of this Note for further information on consolidated municipal bond vehicles.
Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of March 31, 2018, and December 31, 2017.
| | | | | | | | | | | | | | | | | | | | | | | | | Assets | | Liabilities | March 31, 2018 (in millions) | Trading assets | Loans |
| Other(c) |
| Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) |
| Total liabilities | VIE program type(a) | | | | | | | | | Firm-sponsored credit card trusts | $ | — |
| $ | 31,773 |
| $ | 543 |
| $ | 32,316 |
| | $ | 16,819 |
| $ | 14 |
| $ | 16,833 |
| Firm-administered multi-seller conduits | — |
| 22,081 |
| 51 |
| 22,132 |
| | 3,067 |
| 30 |
| 3,097 |
| Municipal bond vehicles | 1,203 |
| — |
| 3 |
| 1,206 |
| | 1,247 |
| 2 |
| 1,249 |
| Mortgage securitization entities(b) | 16 |
| 3,562 |
| 50 |
| 3,628 |
| | 310 |
| 191 |
| 501 |
| Other | 3 |
| — |
| 1,763 |
| 1,766 |
| | 141 |
| 111 |
| 252 |
| Total | $ | 1,222 |
| $ | 57,416 |
| $ | 2,410 |
| $ | 61,048 |
| | $ | 21,584 |
| $ | 348 |
| $ | 21,932 |
| | | | | | | | | | | Assets | | Liabilities | December 31, 2017 (in millions) | Trading assets | Loans |
| Other(c) |
| Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) |
| Total liabilities | VIE program type(a) | | | | | | | | | Firm-sponsored credit card trusts | $ | — |
| $ | 41,923 |
| $ | 652 |
| $ | 42,575 |
| | $ | 21,278 |
| $ | 16 |
| $ | 21,294 |
| Firm-administered multi-seller conduits | — |
| 23,411 |
| 48 |
| 23,459 |
| | 3,045 |
| 28 |
| 3,073 |
| Municipal bond vehicles | 1,278 |
| — |
| 3 |
| 1,281 |
| | 1,265 |
| 2 |
| 1,267 |
| Mortgage securitization entities(b) | 66 |
| 3,661 |
| 55 |
| 3,782 |
| | 359 |
| 199 |
| 558 |
| Other | 105 |
| — |
| 1,916 |
| 2,021 |
| | 134 |
| 104 |
| 238 |
| Total | $ | 1,449 |
| $ | 68,995 |
| $ | 2,674 |
| $ | 73,118 |
| | $ | 26,081 |
| $ | 349 |
| $ | 26,430 |
|
| | (a) | Excludes intercompany transactions which are eliminated in consolidation. |
| | (b) | Includes residential and commercial mortgage securitizations. |
| | (c) | Includes assets classified as cash and other assets on the Consolidated balance sheets. |
| | (d) | 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. |
| | (e) | 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 variable interest entities.” The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. For conduits program-wide credit enhancements, see note 14 of JPMorgan Chase’s 2017 Annual Report. Included in beneficial interests in VIE assets are long-term beneficial interests of $17.3 billion and $21.8 billion at March 31, 2018, and December 31, 2017, respectively. |
| | (f) | Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets. |
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.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that construct, own and operate affordable housing, wind, solar and other alternative energy 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 $12.9 billion and $13.4 billion, of which $2.9 billion and $3.2 billion was unfunded at March 31, 2018 and December 31, 2017 respectively. In order to reduce the risk of loss, the Firm assesses each project and withholds varying amounts of its capital investment until qualification of the project for tax credits. For further information on affordable housing tax credits, see Note 24 of JPMorgan Chase’s 2017 Annual Report. For more information on off-balance sheet lending-related commitments, see Note 20 of this Form 10-Q.
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 both March 31, 2018 and
December 31, 2017 was $5.3 billion. The fair value of assets held by such VIEs at March 31, 2018cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and December 31, 2017, was $9.0 billion and $9.2 billion, respectively. For more information on off-balance sheet lending-related commitments, see Note 20.
Loan securitizations
recorded in other comprehensive income. The Firm has securitized and sold a varietyinitial cost of loans, including residential mortgage, credit card, and commercial mortgage. For a further descriptioncross-currency basis spreads is recognized in earnings as part of the Firm’s accounting policies regarding securitizations, see Note 14accrual of JPMorgan Chase’s 2017 Annual Report. Securitization activity
The following table provides information related tointerest on the Firm’s securitization activities for the three months ended March 31, 2018 and 2017, 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.
| | | | | | | | | | | | | | | | Three months ended March 31, | | 2018 | | 2017 | (in millions) | Residential mortgage(d) | Commercial and other(e) | | Residential mortgage(d) | Commercial and other(e) | Principal securitized | $ | 1,330 |
| $ | 2,991 |
| | $ | 1,029 |
| $ | 1,315 |
| All cash flows during the period(a): | | | | | | Proceeds received from loan sales as financial instruments(b) | $ | 1,338 |
| $ | 2,991 |
| | $ | 1,035 |
| $ | 1,348 |
| Servicing fees collected | 126 |
| 1 |
| | 133 |
| 1 |
| Purchases of previously transferred financial assets (or the underlying collateral)(c) | — |
| — |
| | — |
| — |
| Cash flows received on interests | 92 |
| 47 |
| | 131 |
| 335 |
|
| | (a) | Excludes re-securitization transactions.cross currency swap. |
The following table presents the pre-tax and after-tax changes in the components of OCI. | | | | | | | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | Three months ended September 30, (in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax | Unrealized gains/(losses) on investment securities: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | $ | (1,117 | ) | | $ | 262 |
| | $ | (855 | ) | | $ | 232 |
| | $ | (86 | ) | | $ | 146 |
| Reclassification adjustment for realized (gains)/losses included in net income(a) | 46 |
| | (10 | ) | | 36 |
| | 1 |
| | — |
| | 1 |
| Net change | (1,071 | ) | | 252 |
| | (819 | ) | | 233 |
| | (86 | ) | | 147 |
| Translation adjustments: | | | | | | | | | | | | Translation | (314 | ) | | 45 |
| | (269 | ) | | 286 |
| | (106 | ) | | 180 |
| Hedges | 311 |
| | (73 | ) | | 238 |
| | (286 | ) | | 106 |
| | (180 | ) | Net change | (3 | ) | | (28 | ) | | (31 | ) | | — |
| | — |
| | — |
| Fair value hedges, net change(b):
| 45 |
| | (11 | ) | | 34 |
| | NA |
| | NA |
| | NA |
| Cash flow hedges: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | (122 | ) | | 27 |
| | (95 | ) | | 29 |
| | (11 | ) | | 18 |
| Reclassification adjustment for realized (gains)/losses included in net income(c) | 9 |
| | (2 | ) | | 7 |
| | 10 |
| | (2 | ) | | 8 |
| Net change | (113 | ) | | 25 |
| | (88 | ) | | 39 |
| | (13 | ) | | 26 |
| Defined benefit pension and OPEB plans: | | | | | | | | | | | | Net gains/(losses) arising during the period | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Reclassification adjustments included in net income(d): | | | | | | | | | | | | Amortization of net loss | 26 |
| | (6 | ) | | 20 |
| | 63 |
| | (23 | ) | | 40 |
| Prior service costs/(credits) | (7 | ) | | 2 |
| | (5 | ) | | (9 | ) | | 3 |
| | (6 | ) | Foreign exchange and other | 7 |
| | (3 | ) | | 4 |
| | (19 | ) | | 7 |
| | (12 | ) | Net change | 26 |
| | (7 | ) | | 19 |
| | 35 |
| | (13 | ) | | 22 |
| DVA on fair value option elected liabilities, net change: | (527 | ) | | 125 |
| | (402 | ) | | (178 | ) | | 66 |
| | (112 | ) | Total other comprehensive income/(loss) | $ | (1,643 | ) | | $ | 356 |
| | $ | (1,287 | ) | | $ | 129 |
| | $ | (46 | ) | | $ | 83 |
| | | | | | | | | | | | | | 2018 | | 2017 | Nine months ended September 30, (in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax | Unrealized gains/(losses) on investment securities: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | $ | (3,351 | ) | | $ | 787 |
| | $ | (2,564 | ) | | $ | 1,294 |
| | $ | (476 | ) | | $ | 818 |
| Reclassification adjustment for realized (gains)/losses included in net income(a) | 371 |
| | (87 | ) | | 284 |
| | 38 |
| | (14 | ) | | 24 |
| Net change | (2,980 | ) | | 700 |
| | (2,280 | ) | | 1,332 |
| | (490 | ) | | 842 |
| Translation adjustments(e): | | | | | | | | | | | | Translation | (981 | ) | | 188 |
| | (793 | ) | | 1,185 |
| | (448 | ) | | 737 |
| Hedges | 1,149 |
| | (272 | ) | | 877 |
| | (1,161 | ) | | 431 |
| | (730 | ) | Net change | 168 |
| | (84 | ) | | 84 |
| | 24 |
| | (17 | ) | | 7 |
| Fair value hedges, net change(b): | (96 | ) | | 22 |
| | (74 | ) | | NA |
| | NA |
| | NA |
| Cash flow hedges: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | (365 | ) | | 85 |
| | (280 | ) | | 111 |
| | (42 | ) | | 69 |
| Reclassification adjustment for realized (gains)/losses included in net income(c) | (62 | ) | | 15 |
| | (47 | ) | | 160 |
| | (59 | ) | | 101 |
| Net change | (427 | ) | | 100 |
| | (327 | ) | | 271 |
| | (101 | ) | | 170 |
| Defined benefit pension and OPEB plans: | | | | | | | | | | | | Net gains/(losses) arising during the period | 25 |
| | (6 | ) | | 19 |
| | (52 | ) | | 19 |
| | (33 | ) | Reclassification adjustments included in net income(d): | | | | | | | | | | | | Amortization of net loss | 78 |
| | (18 | ) | | 60 |
| | 187 |
| | (69 | ) | | 118 |
| Prior service costs/(credits) | (19 | ) | | 5 |
| | (14 | ) | | (27 | ) | | 10 |
| | (17 | ) | Settlement (gain)/loss
| — |
| | — |
| | — |
| | (3 | ) | | 1 |
| | (2 | ) | Foreign exchange and other | 19 |
| | (6 | ) | | 13 |
| | (51 | ) | | 11 |
| | (40 | ) | Net change | 103 |
| | (25 | ) | | 78 |
| | 54 |
| | (28 | ) | | 26 |
| DVA on fair value option elected liabilities, net change: | $ | 163 |
| | $ | (38 | ) | | $ | 125 |
| | $ | (283 | ) | | $ | 104 |
| | $ | (179 | ) | Total other comprehensive income/(loss) | $ | (3,069 | ) | | $ | 675 |
| | $ | (2,394 | ) | | $ | 1,398 |
| | $ | (532 | ) | | $ | 866 |
|
| | (b) | predominantly includes Level 2 assets. |
| | (c) | Includes cash paid by the Firm to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer “clean-up” calls. |
| | (d) | Includes prime, Alt-A, subprime, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. |
| | (e) | Includes commercial mortgage and other consumer loans. |
Loans and excess MSRs sold to U.S. government-sponsored enterprises, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities
In addition to the amounts(a) | The pre-tax amount is reported in the securitization activity tables above, the Firm,investment securities losses in the normal courseConsolidated statements of business, sells originated and purchased mortgage loans and certain originated excess MSRs on a nonrecourse basis, predominantly to U.S. government-sponsored enterprises(“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. See Note 20 of this Form 10-Q, and Note 27 of JPMorgan Chase’s 2017 Annual Report for additional information about the Firm’s loan sales- and securitization-related indemnifications. See Note 14 for additional information about the impact of the Firm’s sale ofcertain excess MSRs. The following table summarizes the activities related to loans sold to the U.S. GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities.
| | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| 2017 |
| Carrying value of loans sold | $ | 8,760 |
| $ | 17,169 |
| Proceeds received from loan sales as cash | — |
| 9 |
| Proceeds from loan sales as securities(a) | 8,619 |
| 16,987 |
| Total proceeds received from loan sales(b) | $ | 8,619 |
| $ | 16,996 |
| Gains on loan sales(c)(d) | $ | 14 |
| $ | 31 |
|
| | (a) | Predominantly includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt. |
| | (b) | Excludes the value of MSRs retained upon the sale of loans. |
| | (c) | Gains on loan sales include the value of MSRs. |
| | (d) | The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale. |
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 20, 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. For additional information, refer to Note 11.
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 March 31, 2018 and December 31, 2017. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
| | | | | | | | (in millions) | March 31, 2018 |
| Dec 31, 2017 |
| Loans repurchased or option to repurchase(a) | $ | 8,735 |
| $ | 8,629 |
| Real estate owned | 94 |
| 95 |
| Foreclosed government-guaranteed residential mortgage loans(b) | 490 |
| 527 |
|
| | (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. |
Loan delinquencies and liquidation losses
The table below includes information about components of nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement, and delinquencies as of March 31, 2018, and December 31, 2017.
| | | | | | | | | | | | | | | | | | | | | | | | | | | Net liquidation losses(a) | | Securitized assets | | 90 days past due | | Three months ended March 31, | (in millions) | Mar 31, 2018 |
| Dec 31, 2017 |
| | Mar 31, 2018 |
| Dec 31, 2017 |
| | 2018 |
| 2017 |
| Securitized loans | | | | | | | | | Residential mortgage: | | | | | | | | | Prime / Alt-A & option ARMs | $ | 51,840 |
| $ | 52,280 |
| | $ | 4,562 |
| $ | 4,870 |
| | $ | 102 |
| $ | 212 |
| Subprime | 17,074 |
| 17,612 |
| | 3,181 |
| 3,276 |
| | (602 | ) | 175 |
| Commercial and other | 69,192 |
| 63,411 |
| | 736 |
| 957 |
| | 27 |
| 52 |
| Total loans securitized | $ | 138,106 |
| $ | 133,303 |
| | $ | 8,479 |
| $ | 9,103 |
| | $ | (473 | ) | $ | 439 |
|
| | (a) | Includes liquidation gains as a result of private label mortgage settlement payments during the first quarter of 2018, which were reflected as asset recoveries by trustees. |
Note14 – Goodwill and Mortgage servicing rights
For a discussion of the accounting policies related to goodwill and mortgage servicing rights, see Note 15 of JPMorgan Chase’s 2017 Annual Report.
Goodwill
The following table presents goodwill attributed to the business segments.
| | | | | | | | (in millions) | March 31, 2018 |
| December 31, 2017 |
| Consumer & Community Banking | $ | 31,006 |
| $ | 31,013 |
| Corporate & Investment Bank | 6,775 |
| 6,776 |
| Commercial Banking | 2,860 |
| 2,860 |
| Asset & Wealth Management | 6,858 |
| 6,858 |
| Total goodwill | $ | 47,499 |
| $ | 47,507 |
|
The following table presents changes in the carrying amount of goodwill.
| | | | | | | | | | Three months ended March 31, | (in millions) | 2018 |
| | 2017 |
| Balance at beginning of period | $ | 47,507 |
| | $ | 47,288 |
| Changes during the period from: | | | | Business combinations | (1 | ) | | — |
| Dispositions | — |
| | — |
| Other(a) | (7 | ) | | 4 |
| Balance at March 31, | $ | 47,499 |
| | $ | 47,292 |
|
| | (a) | Includes foreign currency remeasurement and other adjustments. |
Goodwill Impairment testing
For a further description of the Firm’s goodwill impairment testing, including the primary method used to estimate the fair value of the reporting units, and the assumptions used in the goodwill impairment test, see Impairment testing on pages 244–245 of JPMorgan Chase’s 2017 Annual Report.
Goodwill was not impaired at March 31, 2018, or December 31, 2017, nor was goodwill written off due to impairment during the three months ended March 31, 2018 or 2017.
Declines in business performance, increases in credit losses, increases in equity 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 or their associated goodwill to decline in the future, which could result in a material impairment charge to earnings in a future period related to some portion of the associated goodwill.
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. For a further description of the MSR asset, interest rate risk management, and the valuation of MSRs, see Notes 2 and 15 of JPMorgan Chase’s 2017 Annual Report.
The following table summarizes MSR activity for the three months endedMarch 31, 2018 and 2017. | | | | | | | | | | As of or for the three months ended March 31, | (in millions, except where otherwise noted) | 2018 |
| | 2017 |
| Fair value at beginning of period | $ | 6,030 |
| | $ | 6,096 |
| MSR activity: | | | | Originations of MSRs | 176 |
| | 217 |
| Purchase of MSRs | 67 |
| | — |
| Disposition of MSRs(a) | (295 | ) | | (71 | ) | Net additions/(dispositions) | (52 | ) | | 146 |
| | | | | Changes due to collection/realization of expected cash flows | (160 | ) | | (206 | ) | | | | | Changes in valuation due to inputs and assumptions: | | | | Changes due to market interest rates and other(b) | 382 |
| | 57 |
| Changes in valuation due to other inputs and assumptions: | | | | Projected cash flows (e.g., cost to service) | — |
| | 12 |
| Discount rates | 24 |
| | (12 | ) | Prepayment model changes and other(c) | (22 | ) | | (14 | ) | Total changes in valuation due to other inputs and assumptions | 2 |
| | (14 | ) | Total changes in valuation due to inputs and assumptions | 384 |
| | 43 |
| Fair value at March 31, | $ | 6,202 |
| | $ | 6,079 |
| | | | | Change in unrealized gains/(losses) included in income related to MSRs held at March 31, | $ | 384 |
| | $ | 43 |
| Contractual service fees, late fees and other ancillary fees included in income | 465 |
| | 487 |
| Third-party mortgage loans serviced at March 31, (in billions) | 540 |
| | 584 |
| Net servicer advances at March 31, (in billions)(d) | 3.6 |
| | 4.4 |
|
| | (a) | 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. |
| | (b) | 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. |
| | (c) | Represents changes in prepayments other than those attributable to changes in market interest rates. |
| | (d) | 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 three months ended March 31, 2018 and 2017.
| | | | | | | | | | | | Three months ended March 31, | (in millions) | | 2018 |
| | 2017 |
| CCB mortgage fees and related income | | | | | | | | | | Net production revenue | | $ | 95 |
| | $ | 141 |
| | | | | | Net mortgage servicing revenue: | | | | | Operating revenue: | | | | | Loan servicing revenue | | 513 |
| | 522 |
| Changes in MSR asset fair value due to collection/realization of expected cash flows | | (160 | ) | | (205 | ) | Total operating revenue | | 353 |
| | 317 |
| Risk management: | | | | | Changes in MSR asset fair value due to market interest rates and other(a) | | 382 |
| | 57 |
| Other changes in MSR asset fair value due to other inputs and assumptions in model(b) | | 2 |
| | (14 | ) | Change in derivative fair value and other | | (367 | ) | | (95 | ) | Total risk management | | 17 |
| | (52 | ) | Total net mortgage servicing revenue | | 370 |
| | 265 |
| | | | | | Total CCB mortgage fees and related income | | 465 |
| | 406 |
| | | | | | All other | | — |
| | — |
| Mortgage fees and related income | | $ | 465 |
| | $ | 406 |
|
| | (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). |
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at March 31, 2018, and December 31, 2017, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
| | | | | | | | | | (in millions, except rates) | Mar 31, 2018 |
| | Dec 31, 2017 |
| Weighted-average prepayment speed assumption (“CPR”) | 8.56 | % | | 9.35 | % | Impact on fair value of 10% adverse change | $ | (202 | ) | | $ | (221 | ) | Impact on fair value of 20% adverse change | (392 | ) | | (427 | ) | Weighted-average option adjusted spread | 8.77 | % | | 9.04 | % | Impact on fair value of a 100 basis point adverse change | $ | (246 | ) | | $ | (250 | ) | Impact on fair value of a 200 basis point adverse change | (473 | ) | | (481 | ) |
CPR: Constant prepayment rate.
Changes in fair value based on variation 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 this 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.
Note 15 – Deposits
For a detailed discussion on deposits, see Note 17 of JPMorgan Chase’s 2017 Annual Report.
At March 31, 2018, and December 31, 2017, noninterest-bearing and interest-bearing deposits were as follows.
| | | | | | | | | (in millions) | March 31, 2018 |
| | December 31, 2017 |
| U.S. offices | | | | Noninterest-bearing | $ | 397,856 |
| | $ | 393,645 |
| Interest-bearing (included $14,765 and $14,947 at fair value)(a) | 825,223 |
| | 793,618 |
| Total deposits in U.S. offices | 1,223,079 |
| | 1,187,263 |
| Non-U.S. offices | | | | Noninterest-bearing | 17,019 |
| | 15,576 |
| Interest-bearing (included $5,405 and $6,374 at fair value)(a) | 246,863 |
| | 241,143 |
| Total deposits in non-U.S. offices | 263,882 |
| | 256,719 |
| Total deposits | $ | 1,486,961 |
| | $ | 1,443,982 |
|
| | (a) | Includes structured notes classified as deposits for which the fair value option has been elected. For a further discussion, see Note 3 of JPMorgan Chase’s 2017 Annual Report. |
Note 16 – Earnings per share
For a discussion of the computation of basic and diluted earnings per share (“EPS”), see Note 22 of JPMorgan Chase’s 2017 Annual Report. The following table presents the calculation of basic and diluted EPS for the three months ended March 31, 2018 and 2017.
| | | | | | | | (in millions, except per share amounts) | Three months ended March 31, | 2018 |
| 2017 |
| Basic earnings per share | | | Net income | $ | 8,712 |
| $ | 6,448 |
| Less: Preferred stock dividends | 409 |
| 412 |
| Net income applicable to common equity | 8,303 |
| 6,036 |
| Less: Dividends and undistributed earnings allocated to participating securities | 65 |
| 61 |
| Net income applicable to common stockholders | $ | 8,238 |
| $ | 5,975 |
| | | | Total weighted-average basic shares outstanding | 3,458.3 |
| 3,601.7 |
| Net income per share | $ | 2.38 |
| $ | 1.66 |
| | | | Diluted earnings per share | | | Net income applicable to common stockholders | $ | 8,238 |
| $ | 5,975 |
| Total weighted-average basic shares outstanding | 3,458.3 |
| 3,601.7 |
| Add: Employee stock options, SARs, warrants and unvested PSUs | 21.2 |
| 28.7 |
| Total weighted-average diluted shares outstanding | 3,479.5 |
| 3,630.4 |
| Net income per share | $ | 2.37 |
| $ | 1.65 |
|
Note 17 – Accumulated other comprehensive income/(loss)
AOCI includes the after-tax change in unrealized gains and losses on investment securities, foreign currency translation adjustments (including the impact of related derivatives), fair value changes of excluded components on fair value hedges, cash flow hedging activities, net loss and prior service costs/(credit) related to the Firm’s defined benefit pension and OPEB plans.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended March 31, 2018 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges(b) | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at January 1, 2018 | | $ | 2,164 |
| | | | $ | (470 | ) | | | $ | — |
| | $ | 76 |
| | | | $ | (1,521 | ) | | | $ | (368 | ) | | | $ | (119 | ) | | | Cumulative effect of changes in accounting principles:(a)
| | | | | | | | | | | | | | | | | | | | | | | | Premium amortization on purchased callable debt securities | | 261 |
| | | | — |
| | | — |
| | — |
| | | | — |
| | | — |
| | | 261 |
| | | Hedge accounting | | 169 |
| | | | — |
| | | (54 | ) | | — |
| | | | — |
| | | — |
| | | 115 |
| | | Reclassification of certain tax effects from AOCI | | 466 |
| | | | (277 | ) | | | — |
| | 16 |
| | | | (414 | ) | | | (79 | ) | | | (288 | ) | | | Net change | | (1,234 | ) | | | | 27 |
| | | (40 | ) | | (73 | ) | | | | 21 |
| | | 267 |
| | | (1,032 | ) | | | Balance at March 31, 2018 | | $ | 1,826 |
| | | | $ | (720 | ) | | | $ | (94 | ) | | $ | 19 |
| | | | $ | (1,914 | ) | | | $ | (180 | ) | | | $ | (1,063 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended March 31, 2017 (in millions) | Unrealized gains/(losses) on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | | | Balance at January 1, 2017 | | $ | 1,524 |
| | | | $ | (164 | ) | | | NA |
| | $ | (100 | ) | | | | $ | (2,259 | ) | | | $ | (176 | ) | | | $ | (1,175 | ) | | | Net change | | 238 |
| | | | 7 |
| | | NA |
| | 91 |
| | | | (15 | ) | | | (69 | ) | | | 252 |
| | | Balance at March 31, 2017 | | $ | 1,762 |
| | | | $ | (157 | ) | | | NA |
| | $ | (9 | ) | | | | $ | (2,274 | ) | | | $ | (245 | ) | | | $ | (923 | ) | |
| | (a) | Represents the adjustment to AOCI as a result of the new accounting standards in the first quarter of 2018. For additional information, see Note 1. |
| | (b) | Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap. |
| | (c) | The following table presents the pre-tax amounts are predominantly recorded in noninterest revenue, net interest income and after-tax changes in the components of OCI. | | | | | | | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | Three months ended March 31, (in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax | Unrealized gains/(losses) on debt investment securities: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | $ | (1,858 | ) | | $ | 437 |
| | $ | (1,421 | ) | | $ | 367 |
| | $ | (131 | ) | | $ | 236 |
| Reclassification adjustment for realized (gains)/losses included in net income(a) | 245 |
| | (58 | ) | | 187 |
| | 3 |
| | (1 | ) | | 2 |
| Net change | (1,613 | ) | | 379 |
| | (1,234 | ) | | 370 |
| | (132 | ) | | 238 |
| Translation adjustments(b): | | | | | | | | | | | | Translation | 389 |
| | (65 | ) | | 324 |
| | 582 |
| | (225 | ) | | 357 |
| Hedges | (389 | ) | | 92 |
| | (297 | ) | | (556 | ) | | 206 |
| | (350 | ) | Net change | — |
| | 27 |
| | 27 |
| | 26 |
| | (19 | ) | | 7 |
| Fair value hedges, net change(c):
| (52 | ) | | 12 |
| | (40 | ) | | NA |
| | NA |
| | NA |
| Cash flow hedges: | | | | | | | | | | | | Net unrealized gains/(losses) arising during the period | (44 | ) | | 11 |
| | (33 | ) | | 59 |
| | (21 | ) | | 38 |
| Reclassification adjustment for realized (gains)/losses included in net income(d) | (52 | ) | | 12 |
| | (40 | ) | | 85 |
| | (32 | ) | | 53 |
| Net change | (96 | ) | | 23 |
| | (73 | ) | | 144 |
| | (53 | ) | | 91 |
| Defined benefit pension and OPEB plans: | | | | | | | | | | | | Net gains/(losses) arising during the period | 23 |
| | (6 | ) | | 17 |
| | (58 | ) | | 21 |
| | (37 | ) | Reclassification adjustments included in net income(e): | | | | | | | | | | | | Amortization of net loss | 26 |
| | (6 | ) | | 20 |
| | 62 |
| | (23 | ) | | 39 |
| Prior service costs/(credits) | (6 | ) | | 1 |
| | (5 | ) | | (9 | ) | | 3 |
| | (6 | ) | Settlement (gain)/loss
| — |
| | — |
| | — |
| | (3 | ) | | 1 |
| | (2 | ) | Foreign exchange and other | (19 | ) | | 8 |
| | (11 | ) | | (7 | ) | | (2 | ) | | (9 | ) | Net change | 24 |
| | (3 | ) | | 21 |
| | (15 | ) | | — |
| | (15 | ) | DVA on fair value option elected liabilities, net change: | 350 |
| | (83 | ) | | 267 |
| | (107 | ) | | 38 |
| | (69 | ) | Total other comprehensive income/(loss) | $ | (1,387 | ) | | $ | 355 |
| | $ | (1,032 | ) | | $ | 418 |
| | $ | (166 | ) | | $ | 252 |
|
| | (a) | The pre-tax amount is reported in investment securities losses in the Consolidated statements of income. |
| | (b) | Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/compensation expense in the Consolidated statements of income. The amounts were not material for the periods presented. |
| | (c) | Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap. |
| | (d) | The pre-tax amounts are predominantly recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income. |
| | (e) | The pre-tax amount is reported in other expense in the Consolidated statements of income. |
Note 18 – Restricted cash | | (e) | Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other restrictedassets
For a detailed discussion of the Firm’s restricted cash and other restricted assets, see Note 25 of JPMorgan Chase’s 2017 Annual Report.
As a result of the adoption of the restricted cash accounting guidance, restricted cash is included with unrestricted cash when reconciling the beginning and ending cash balances onincome/expense in the Consolidated statements of income. During the nine months ended September 30, 2018, the Firm reclassified a net pre-tax loss of $174 million to other expense related to the liquidation of a legal entity, $23 million related to net investment hedge losses and $151 million related to cumulative translation adjustments. During the nine months ended September 30, 2017, the Firm reclassified a net pre-tax loss of $25 million to other expense related to the liquidation of a legal entity, $47 million related to net investment hedge gains and $72 million related to cumulative translation adjustments.
|
Note 18 – Restricted cash and other restricted assets For a detailed discussion of the Firm’s restricted cash and other restricted assets, refer to Note 25 of JPMorgan Chase’s 2017 Annual Report. As a result of the adoption of the restricted cash accounting guidance in the first quarter of 2018, restricted cash is included with unrestricted cash when reconciling the beginning and ending cash balances on the Consolidated statements of cash flows. The following table presents the components of the Firm’s restricted cash: | | | | | | | | (in billions) | September 30, 2018 |
| December 31, 2017 |
| Cash reserves – Federal Reserve Banks | $ | 23.6 |
| $ | 25.7 |
| Segregated for the benefit of securities and futures brokerage customers | 15.3 |
| 16.8 |
| Cash reserves at non-U.S. central banks and held for other general purposes | 3.3 |
| 3.3 |
| Total restricted cash(a) | $ | 42.2 |
| $ | 45.8 |
|
| | (a) | Comprises $40.7 billion and $44.8 billion in deposits with banks, and $1.5 billion and $1.0 billion in cash flows.The following table presentsand due from banks on the componentsConsolidated balance sheets as of the Firm’s restricted cash: | | | | | | | | (in billions) | March 31, 2018 |
| December 31, 2017 |
| Cash reserves – Federal Reserve Banks(a) | $ | 22.6 |
| $ | 25.7 |
| Segregated for the benefit of securities and futures brokerage customers | 18.7 |
| 16.8 |
| Cash reserves at non-U.S. central banks and held for other general purposes | 3.1 |
| 3.3 |
| Total restricted cash(b) | $ | 44.4 |
| $ | 45.8 |
|
| | (a) | Average cash reserves were $24.5 billion and $26.2 billion for the three months ended March 31,September 30, 2018 and December 31, 2017, respectively. |
| | (b) | Comprises $43.1 billion and $44.8 billion in deposits with banks, and $1.3 billion and $1.0 billion in cash and due from banks on the Consolidated balance sheets as of March 31, 2018 and December 31, 2017, respectively. |
Also, as of March 31,
Also, as of September 30, 2018 and December 31, 2017, the Firm had: Cash and securities pledged with clearing organizations for the benefit of customers of $18.8 billion and $18.0 billion, respectively. Securities with a fair value of $2.2 billion and $3.5 billion, respectively, were also restricted in relation to customer activity.
Note 19 – Regulatory capital For a detailed discussion on regulatory capital, refer to Note 26 of JPMorgan Chase’s 2017 Annual Report. The Federal Reserve establishes capital requirements, including well-capitalized standards, for the consolidated financial holding company. The Office of the Comptroller of the Currency (“OCC”) establishes similar minimum capital requirements and standards for the Firm’s insured depository institutions (“IDI”), including JPMorgan Chase Bank, N.A. and Chase Bank USA, N.A. Under the risk-based capitalguidelines of the Federal Reserve, JPMorgan Chase is required to maintain minimum ratios for CET1, Tier 1, Total, Tier 1 leverage and the SLR. Failure to meet these minimum requirements could cause the Federal Reserve to take action. IDI subsidiaries are also subject to these capital requirements by their respective primary regulators. The following table represents the minimum and well-capitalized ratios to which the Firm and its IDI subsidiaries were subject as of September 30, 2018. | | | | | | | | | | | | Minimum capital ratios | | Well-capitalized ratios | | BHC(a)(e)(f) |
| IDI(b)(e)(f) |
| | BHC(c) |
| IDI(d) |
| Capital ratios | | | | | | CET1 | 9.0 | % | 6.375 | % | | — | % | 6.5 | % | Tier 1 | 10.5 |
| 7.875 |
| | 6.0 |
| 8.0 |
| Total | 12.5 |
| 9.875 |
| | 10.0 |
| 10.0 |
| Tier 1 leverage | 4.0 |
| 4.0 |
| | 5.0 |
| 5.0 |
| SLR | 5.0 |
| 6.0 |
| | — |
| 6.0 |
|
Note: The table above is as defined by the regulations issued by the Federal Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are subject. | | (a) | Represents the Transitional minimum capital ratios applicable to the Firm had: Cash and securities pledged with clearing organizations for the benefit of customers of $17.6 billion and $18.0 billion, respectively.
Securities with a fair value of $5.8 billion and $3.5 billion, respectively, were also restricted in relation to customer activity.
Note 19 – Regulatory capital
For a detailed discussion on regulatory capital, see Note 26 of JPMorgan Chase’s 2017 Annual Report.
The Federal Reserve establishes capital requirements, including well-capitalized standards, for the consolidated financial holding company. The Office of the Comptroller of the Currency (“OCC”) establishes similar minimum capital requirements and standards for the Firm’s insured depository institutions (“IDI”), including JPMorgan Chase Bank, N.A. and Chase Bank USA, N.A.
Under the risk-based capital guidelines of the Federal Reserve, JPMorgan Chase is required to maintain minimum ratios for CET1, Tier 1, Total, Tier 1 leverage and the SLR. Failure to meet these minimum requirements could cause the Federal Reserve to take action. IDI subsidiaries are also subject to these capital requirements by their respective primary regulators.
The following table represents the minimum and well-capitalized ratios to which the Firm and its IDI subsidiaries were subject as of March 31,under Basel III at September 30, 2018.
| | | | | | | | | | | | Minimum capital ratios | | Well-capitalized ratios | | BHC(a)(e) |
| IDI(b)(e) |
| | BHC(c) |
| IDI(d) |
| Capital ratios | | | | | | CET1 | 9.0 | % | 6.375 | % | | — | % | 6.5 | % | Tier 1 | 10.5 |
| 7.875 |
| | 6.0 |
| 8.0 |
| Total | 12.5 |
| 9.875 |
| | 10.0 |
| 10.0 |
| Tier 1 leverage | 4.0 |
| 4.0 |
| | 5.0 |
| 5.0 |
| SLR | 5.0 |
| 6.0 |
| | — |
| 6.0 |
|
Note: The table above is as defined by the regulations issued by the Federal Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are subject.
| | (a) | Represents the Transitional minimum capital ratios applicable to the Firm under Basel III at March 31, 2018. At March 31, At September 30, 2018, the CET1 minimum capital ratio includes 1.875% resulting from the phase in of the Firm’s 2.5% capital conservation buffer, and 2.625%, resulting from the phase in of the Firm’s 3.5% GSIB surcharge. |
| | (b) | Represents requirements for JPMorgan Chase’s IDI subsidiaries. The CET1 minimum capital ratio includes 1.875% resulting from the phase in of the 2.5% capital conservation buffer that is applicable to the IDI subsidiaries. The IDI subsidiaries are not subject to the GSIB surcharge. |
| | (c) | Represents requirements for bank holding companies pursuant to regulations issued by the Federal Reserve. |
| | (d) | Represents requirements for IDI subsidiaries pursuant to regulations issued under the FDIC Improvement Act. |
| | (e) | For the period ended December 31, 2017, the CET1, Tier 1, Total and Tier 1 leverage minimum capital ratios applicable to the Firm were 7.5%, 9.0%, 11.0% and 4.0%, and the CET1, Tier 1, Total and Tier 1 leverage minimum capital ratios applicable to the Firm’s IDI subsidiaries were 5.75%, 7.25%, 9.25% and 4.0%, respectively. |
| | (f) | Represents minimum SLR requirement of 3.0%, as well as, supplementary leverage buffers of 2.0% and 3.0% for BHC and IDI, respectively. |
The following tables present the risk-based and leverage-based capital metrics for JPMorgan Chase and its significant IDI subsidiaries under both the Basel III Standardized and Basel III Advanced Approaches. As of September 30, 2018 and December 31, 2017, JPMorgan Chase and all of its IDI subsidiaries were well-capitalized and met all capital requirements to which each was subject.
| | | | | | | | | | | | | | | | | | | | | September 30, 2018 (in millions, except ratios) | Basel III Standardized Transitional | | Basel III Advanced Transitional | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Regulatory capital | | | | | | | | CET1 capital | $ | 184,972 |
| $ | 188,608 |
| $ | 23,136 |
| | $ | 184,972 |
| $ | 188,608 |
| $ | 23,136 |
| Tier 1 capital | 210,589 |
| 188,608 |
| 23,136 |
| | 210,589 |
| 188,608 |
| 23,136 |
| Total capital | 238,303 |
| 199,634 |
| 28,026 |
| | 228,574 |
| 193,613 |
| 26,636 |
| | | | | | | | | Assets | | | | | | | | Risk-weighted | 1,545,326 |
| 1,362,039 |
| 109,138 |
| | 1,438,529 |
| 1,211,473 |
| 182,177 |
| Adjusted average(a) | 2,552,612 |
| 2,141,332 |
| 116,411 |
| | 2,552,612 |
| 2,141,332 |
| 116,411 |
| | | | | | | | | Capital ratios(b) | | | | | | | | CET1 | 12.0 | % | 13.8 | % | 21.2 | % | | 12.9 | % | 15.6 | % | 12.7 | % | Tier 1 | 13.6 |
| 13.8 |
| 21.2 |
| | 14.6 |
| 15.6 |
| 12.7 |
| Total | 15.4 |
| 14.7 |
| 25.7 |
| | 15.9 |
| 16.0 |
| 14.6 |
| Tier 1 leverage(c) | 8.2 |
| 8.8 |
| 19.9 |
| | 8.2 |
| 8.8 |
| 19.9 |
|
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 (in millions, except ratios) | Basel III Standardized Transitional | | Basel III Advanced Transitional | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Regulatory capital | | | | | | | | | | CET1 capital | $ | 183,300 |
| $ | 184,375 |
| | $ | 21,600 |
| | $ | 183,300 |
| $ | 184,375 |
| | $ | 21,600 |
| Tier 1 capital | 208,644 |
| 184,375 |
| | 21,600 |
| | 208,644 |
| 184,375 |
| | 21,600 |
| Total capital | 238,395 |
| 195,839 |
| | 27,691 |
| | 227,933 |
| 189,510 |
| (d) | 26,250 |
| | | | | | | | | | | Assets | | | | | | | | | | Risk-weighted | 1,499,506 |
| 1,338,970 |
| (d) | 113,108 |
| | 1,435,825 |
| 1,241,916 |
| (d) | 190,523 |
| Adjusted average(a) | 2,514,270 |
| 2,116,031 |
| | 126,517 |
| | 2,514,270 |
| 2,116,031 |
| | 126,517 |
| | | | | | | | | | | Capital ratios(b) | | | | | | | | | | CET1 | 12.2 | % | 13.8 | % | | 19.1 | % | | 12.8 | % | 14.8 | % | (d) | 11.3 | % | Tier 1 | 13.9 |
| 13.8 |
| | 19.1 |
| | 14.5 |
| 14.8 |
| (d) | 11.3 |
| Total | 15.9 |
| 14.6 |
| (d) | 24.5 |
| | 15.9 |
| 15.3 |
| (d) | 13.8 |
| Tier 1 leverage(c) | 8.3 |
| 8.7 |
| | 17.1 |
| | 8.3 |
| 8.7 |
| | 17.1 |
|
| | (a) | Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets. |
| | (b) | For each of the risk-based capital ratios, the capital adequacy of the Firm and its IDI subsidiaries is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced). |
| | (c) | The Tier 1 leverage ratio is not a risk-based measure of capital. |
| | (d) | The prior period amounts have been revised to conform with the current period presentation. |
| | | | | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | | Basel III Advanced Fully Phased-In | Basel III Advanced Transitional | (in millions, except ratios) | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Total leverage exposure(a) | $ | 3,235,518 |
| $ | 2,765,905 |
| $ | 175,153 |
| | $ | 3,204,463 |
| $ | 2,775,041 |
| $ | 182,803 |
| SLR(a) | 6.5 | % | 6.8 | % | 13.2 | % | | 6.5 | % | 6.6 | % | 11.8 | % |
| | (a) | Effective January 1, 2018, the SLR was fully phased-in under Basel III. The December 31, 2017 amounts were calculated under the Basel III Standardized and Basel III Advanced Approaches. As of MarchTransitional rules. |
Note 20 – Off–balance sheet lending-related financial instruments, guarantees, and other commitments JPMorgan Chase provides lending-related financial instruments (e.g., commitments and guarantees) to address the financing needs of its customers and clients. The contractual amount of these financial instruments represents the maximum possible credit risk to the Firm should the customer or client draw upon the commitment or the Firm be required to fulfill its obligation under the guarantee, and should the customer or client subsequently fail to perform according to the terms of the contract. Most of these commitments and guarantees are refinanced, extended, cancelled, or expire without being drawn or a default occurring. As a result, the total contractual amount of these instruments is not, in the Firm’s view, representative of its expected future credit exposure or funding requirements. For a further discussion of lending-related commitments and guarantees, and the Firm’s related accounting policies, refer to Note27 of JPMorgan Chase’s 2017 Annual Report. To provide for probable credit losses inherent in wholesale and certain consumer lending-related commitments, an allowance for credit losses on lending-related commitments is maintained. Refer to Note12for further information regarding the allowance for credit losses on lending-related commitments.The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at September 30, 2018, and December 31, 2017. The amounts in the table below for credit card and home equity lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel credit card lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. In addition, the Firm typically closes credit card lines when the borrower is 60 days or more past due. The Firm may reduce or close HELOCs when there are significant decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | Off–balance sheet lending-related financial instruments, guarantees and other commitments |
|
| Contractual amount |
| Carrying value(g) |
| September 30, 2018 |
| Dec 31, 2017 |
|
| Sep 30, 2018 |
| Dec 31, 2017 |
| By remaining maturity (in millions) | Expires in 1 year or less | Expires after 1 year through 3 years | Expires after 3 years through 5 years | Expires after 5 years | Total |
| Total |
|
|
| Lending-related | | | | | | | | | | | Consumer, excluding credit card: | | | | | | | | | | | Home equity | $ | 916 |
| $ | 1,110 |
| $ | 1,693 |
| $ | 16,942 |
| $ | 20,661 |
|
| $ | 20,360 |
|
| $ | 12 |
| $ | 12 |
| Residential mortgage(a) | 6,955 |
| — |
| — |
| 12 |
| 6,967 |
|
| 5,736 |
|
| — |
| — |
| Auto | 7,911 |
| 1,430 |
| 200 |
| 89 |
| 9,630 |
|
| 9,255 |
|
| 2 |
| 2 |
| Consumer & Business Banking | 12,127 |
| 647 |
| 111 |
| 487 |
| 13,372 |
|
| 13,202 |
|
| 19 |
| 19 |
| Total consumer, excluding credit card | 27,909 |
| 3,187 |
| 2,004 |
| 17,530 |
| 50,630 |
|
| 48,553 |
|
| 33 |
| 33 |
| Credit card | 600,728 |
| — |
| — |
| — |
| 600,728 |
|
| 572,831 |
|
| — |
| — |
| Total consumer(b) | 628,637 |
| 3,187 |
| 2,004 |
| 17,530 |
| 651,358 |
|
| 621,384 |
|
| 33 |
| 33 |
| Wholesale: | | | | | | | | | | | Other unfunded commitments to extend credit(c) | 74,427 |
| 128,149 |
| 148,414 |
| 10,995 |
| 361,985 |
|
| 331,160 |
|
| 886 |
| 840 |
| Standby letters of credit and other financial guarantees(c) | 14,561 |
| 9,810 |
| 5,038 |
| 2,339 |
| 31,748 |
|
| 35,226 |
|
| 585 |
| 636 |
| Other letters of credit(c) | 3,344 |
| 137 |
| 102 |
| — |
| 3,583 |
|
| 3,712 |
|
| 7 |
| 3 |
| Total wholesale(d) | 92,332 |
| 138,096 |
| 153,554 |
| 13,334 |
| 397,316 |
|
| 370,098 |
|
| 1,478 |
| 1,479 |
| Total lending-related | $ | 720,969 |
| $ | 141,283 |
| $ | 155,558 |
| $ | 30,864 |
| $ | 1,048,674 |
|
| $ | 991,482 |
|
| $ | 1,511 |
| $ | 1,512 |
| Other guarantees and commitments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securities lending indemnification agreements and guarantees(e) | $ | 202,622 |
| $ | — |
| $ | — |
| $ | — |
| $ | 202,622 |
|
| $ | 179,490 |
|
| $ | — |
| $ | — |
| Derivatives qualifying as guarantees | 2,800 |
| 361 |
| 12,384 |
| 40,349 |
| 55,894 |
|
| 57,174 |
|
| 370 |
| 304 |
| Unsettled reverse repurchase and securities borrowing agreements | 119,762 |
| — |
| — |
| — |
| 119,762 |
|
| 76,859 |
|
| — |
| — |
| Unsettled repurchase and securities lending agreements | 92,115 |
| — |
| — |
| — |
| 92,115 |
|
| 44,205 |
|
| — |
| — |
| Loan sale and securitization-related indemnifications: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage repurchase liability | NA |
| NA |
| NA |
| NA |
| NA |
|
| NA |
|
| 89 |
| 111 |
| Loans sold with recourse | NA |
| NA |
| NA |
| NA |
| 1,066 |
|
| 1,169 |
|
| 33 |
| 38 |
| Other guarantees and commitments(f) | 10,091 |
| 1,443 |
| 384 |
| 2,641 |
| 14,559 |
|
| 11,867 |
|
| (53 | ) | (76 | ) |
| | (a) | Includes certain commitments to purchase loans from correspondents. |
| | (b) | Predominantly all consumer lending-related commitments are in the U.S. |
| | (c) | At September 30, 2018, and December 31, 2017, JPMorgan Chase and all of its IDI subsidiaries were well-capitalized and met all capital requirements to which each was subject. | | | | | | | | | | | | | | | | | | | | | March 31, 2018 (in millions, except ratios) | Basel III Standardized Transitional | | Basel III Advanced Transitional | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Regulatory capital | | | | | | | | CET1 capital | $ | 183,655 |
| $ | 187,903 |
| $ | 21,905 |
| | $ | 183,655 |
| $ | 187,903 |
| $ | 21,905 |
| Tier 1 capital(a) | 209,296 |
| 187,903 |
| 21,905 |
| | 209,296 |
| 187,903 |
| 21,905 |
| Total capital | 238,326 |
| 199,271 |
| 27,850 |
| | 228,320 |
| 193,099 |
| 26,505 |
| | | | | | | | | Assets | | | | | | | | Risk-weighted | 1,552,952 |
| 1,382,770 |
| 105,610 |
| | 1,466,095 |
| 1,260,775 |
| 185,468 |
| Adjusted average(b) | 2,539,183 |
| 2,136,238 |
| 120,490 |
| | 2,539,183 |
| 2,136,238 |
| 120,490 |
| | | | | | | | | Capital ratios(c) | | | | | | | | CET1 | 11.8 | % | 13.6 | % | 20.7 | % | | 12.5 | % | 14.9 | % | 11.8 | % | Tier 1(a) | 13.5 |
| 13.6 |
| 20.7 |
| | 14.3 |
| 14.9 |
| 11.8 |
| Total | 15.3 |
| 14.4 |
| 26.4 |
| | 15.6 |
| 15.3 |
| 14.3 |
| Tier 1 leverage(d) | 8.2 |
| 8.8 |
| 18.2 |
| | 8.2 |
| 8.8 |
| 18.2 |
|
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2017 (in millions, except ratios) | Basel III Standardized Transitional | | Basel III Advanced Transitional | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Regulatory capital | | | | | | | | | | CET1 capital | $ | 183,300 |
| $ | 184,375 |
| | $ | 21,600 |
| | $ | 183,300 |
| $ | 184,375 |
| | $ | 21,600 |
| Tier 1 capital(a) | 208,644 |
| 184,375 |
| | 21,600 |
| | 208,644 |
| 184,375 |
| | 21,600 |
| Total capital | 238,395 |
| 195,839 |
| | 27,691 |
| | 227,933 |
| 189,510 |
| (e) | 26,250 |
| | | | | | | | | | | Assets | | | | | | | | | | Risk-weighted | 1,499,506 |
| 1,338,970 |
| (e) | 113,108 |
| | 1,435,825 |
| 1,241,916 |
| (e) | 190,523 |
| Adjusted average(b) | 2,514,270 |
| 2,116,031 |
| | 126,517 |
| | 2,514,270 |
| 2,116,031 |
| | 126,517 |
| | | | | | | | | | | Capital ratios(c) | | | | | | | | | | CET1 | 12.2 | % | 13.8 | % | | 19.1 | % | | 12.8 | % | 14.8 | % | (e) | 11.3 | % | Tier 1(a) | 13.9 |
| 13.8 |
| | 19.1 |
| | 14.5 |
| 14.8 |
| (e) | 11.3 |
| Total | 15.9 |
| 14.6 |
| (e) | 24.5 |
| | 15.9 |
| 15.3 |
| (e) | 13.8 |
| Tier 1 leverage(d) | 8.3 |
| 8.7 |
| | 17.1 |
| | 8.3 |
| 8.7 |
| | 17.1 |
|
| | (a) | Includesreflected the deduction associated with the permissible holdings of covered funds (as defined by the Volcker Rule) for JPMorgan Chase & Co. and JPMorgan Chase Bank, N.A. The deduction was not material as of March 31, 2018 and December 31, 2017. |
| | (b) | Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets. |
| | (c) | For each of the risk-based capital ratios, the capital adequacy of the Firm and its IDI subsidiaries is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced) as required by the Collins Amendment of the Dodd-Frank Act (the “Collins Floor”). |
| | (d) | The Tier 1 leverage ratio is not a risk-based measure of capital. |
| | (e) | The prior period amounts have been revised to conform with the current period presentation. |
| | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | | Basel III Advanced Fully Phased-In | Basel III Advanced Transitional | (in millions, except ratios) | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | | JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. | Chase Bank USA, N.A. | Total leverage exposure(a) | $ | 3,234,103 |
| $ | 2,799,403 |
| $ | 177,666 |
| | $ | 3,204,463 |
| $ | 2,775,041 |
| $ | 182,803 |
| SLR(a) | 6.5 | % | 6.7 | % | 12.3 | % | | 6.5 | % | 6.6 | % | 11.8 | % |
| | (a) | Effective January 1, 2018, the SLR was fully phased-in under Basel III. Prior period amounts were calculated under the Basel III Transitional rules. |
Note 20 – Off–balance sheet lending-related financial instruments, guarantees, and other commitments
JPMorgan Chase provides lending-related financial instruments (e.g., commitments and guarantees) to meet the financing needs of its customers. The contractual amount net of these financial instruments represents the maximum possible credit risk to the Firm should the counterparty draw upon the commitment or the Firm be required to fulfill its obligation under the guarantee,participations totaling $287 million and should the counterparty subsequently fail to perform according to the terms of the contract. Most of these commitments and guarantees are refinanced, extended, cancelled, or expire without being drawn or a default occurring. As a result, the total contractual amount of these instruments is not, in the Firm’s view, representative of its expected future credit exposure or funding requirements. For a further discussion of lending-related commitments and guarantees, and the Firm’s related accounting policies, see Note 27 of JPMorgan Chase’s 2017 Annual Report.
To provide for probable credit losses inherent in wholesale and certain consumer lending-related commitments, an allowance for credit losses on lending-related commitments is maintained. See Note 12 for further information regarding the allowance for credit losses on lending-related commitments.The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at March 31, 2018, and December 31, 2017. The amounts in the table below for credit card and home equity lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel credit card lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. In addition, the Firm typically closes credit card lines when the borrower is 60 days or more past due. The Firm may reduce or close HELOCs when there are significant decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | Off–balance sheet lending-related financial instruments, guarantees and other commitments |
|
| Contractual amount |
| Carrying value(g) |
| March 31, 2018 |
| Dec 31, 2017 |
|
| Mar 31, 2018 |
| Dec 31, 2017 |
| By remaining maturity (in millions) | Expires in 1 year or less | Expires after 1 year through 3 years | Expires after 3 years through 5 years | Expires after 5 years | Total |
| Total |
|
|
| Lending-related | | | | | | | | | | | Consumer, excluding credit card: | | | | | | | | | | | Home equity | $ | 1,712 |
| $ | 1,245 |
| $ | 1,439 |
| $ | 16,177 |
| $ | 20,573 |
|
| $ | 20,360 |
|
| $ | 12 |
| $ | 12 |
| Residential mortgage(a) | 6,661 |
| — |
| — |
| 13 |
| 6,674 |
|
| 5,736 |
|
| — |
| — |
| Auto | 7,652 |
| 848 |
| 219 |
| 65 |
| 8,784 |
|
| 9,255 |
|
| 2 |
| 2 |
| Consumer & Business Banking | 11,957 |
| 903 |
| 106 |
| 519 |
| 13,485 |
|
| 13,202 |
|
| 19 |
| 19 |
| Total consumer, excluding credit card | 27,982 |
| 2,996 |
| 1,764 |
| 16,774 |
| 49,516 |
|
| 48,553 |
|
| 33 |
| 33 |
| Credit card | 588,232 |
| — |
| — |
| — |
| 588,232 |
|
| 572,831 |
|
| — |
| — |
| Total consumer(b) | 616,214 |
| 2,996 |
| 1,764 |
| 16,774 |
| 637,748 |
|
| 621,384 |
|
| 33 |
| 33 |
| Wholesale: | | | | | | | | | | | Other unfunded commitments to extend credit(c) | 68,984 |
| 130,836 |
| 139,583 |
| 7,115 |
| 346,518 |
|
| 331,160 |
|
| 870 |
| 840 |
| Standby letters of credit and other financial guarantees(c) | 15,543 |
| 10,086 |
| 7,241 |
| 1,932 |
| 34,802 |
|
| 35,226 |
|
| 719 |
| 636 |
| Other letters of credit(c) | 2,739 |
| 82 |
| 134 |
| — |
| 2,955 |
|
| 3,712 |
|
| 4 |
| 3 |
| Total wholesale(d) | 87,266 |
| 141,004 |
| 146,958 |
| 9,047 |
| 384,275 |
|
| 370,098 |
|
| 1,593 |
| 1,479 |
| Total lending-related | $ | 703,480 |
| $ | 144,000 |
| $ | 148,722 |
| $ | 25,821 |
| $ | 1,022,023 |
|
| $ | 991,482 |
|
| $ | 1,626 |
| $ | 1,512 |
| Other guarantees and commitments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securities lending indemnification agreements and guarantees(e) | $ | 216,863 |
| $ | — |
| $ | — |
| $ | — |
| $ | 216,863 |
|
| $ | 179,490 |
|
| $ | — |
| $ | — |
| Derivatives qualifying as guarantees | 2,391 |
| 326 |
| 12,421 |
| 40,178 |
| 55,316 |
|
| 57,174 |
|
| 427 |
| 304 |
| Unsettled reverse repurchase and securities borrowing agreements | 128,774 |
| — |
| — |
| — |
| 128,774 |
|
| 76,859 |
|
| — |
| — |
| Unsettled repurchase and securities lending agreements | 90,034 |
| — |
| — |
| — |
| 90,034 |
|
| 44,205 |
|
| — |
| — |
| Loan sale and securitization-related indemnifications: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage repurchase liability | NA |
| NA |
| NA |
| NA |
| NA |
|
| NA |
|
| 111 |
| 111 |
| Loans sold with recourse | NA |
| NA |
| NA |
| NA |
| 1,136 |
|
| 1,169 |
|
| 36 |
| 38 |
| Other guarantees and commitments(f) | 9,791 |
| 1,118 |
| 166 |
| 3,174 |
| 14,249 |
|
| 11,867 |
|
| (584 | ) | (76 | ) |
| | (a) | Includes certain commitments to purchase loans from correspondents. |
| | (b) | Predominantly all consumer lending-related commitments are in the U.S. |
| | (c) | At March 31, 2018, and December 31, 2017, reflected the contractual amount net of risk participations totaling $334 million for both periods, for other unfunded commitments to extend credit; $10.8 billion and $10.4 billion, respectively, for standby letters of credit and other financial guarantees; and $330 million and $405 million respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations. |
| | (d) | At March 31, 2018, and December 31, 2017, the U.S. portion of the contractual amount of total wholesale lending-related commitments was 76% and 77%, respectively. |
| | (e) | At March 31, 2018, and December 31, 2017, collateral held by the Firm in support of securities lending indemnification agreements was $226.5 billion and $188.7 billion, respectively. Securities lending collateral primarily consists of cash and securities issued by governments that are members of G7 and U.S. government agencies. |
| | (f) | At March 31, 2018, and December 31, 2017, primarily includes letters of credit hedged by derivative transactions and managed on a market risk basis, unfunded commitments related to institutional lending and commitments associated with the Firm’s membership in certain clearing houses. Additionally, includes unfunded commitments predominantly related to certain tax-oriented equity investments.
|
| | (g) | For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, the carrying value represents the fair value. |
Other unfunded commitments to extend credit
Other unfunded commitments to extend credit generally consist of commitmentscredit; $9.9 billion and $10.4 billion, respectively, for working capital and general corporate purposes, extensionsstandby letters of credit to support commercial paper facilities and bond financings in the event that those obligations cannot be remarketed to new investors, as well as committed liquidity facilities to clearing organizations. The Firm also issues commitments under multipurpose facilities which could be drawn upon in several forms, including the issuance of a standby letterother financial guarantees; and $469 million and $405 million, respectively, for other letters of credit.
The Firm acts as a settlement and custody bank in In regulatory filings with the U.S. tri-party repurchase transaction market. In its role as settlement and custody bank, the Firm is exposed to the intra-day creditFederal Reserve these commitments are shown gross of risk of its cash borrower clients, usually broker-dealers. This exposure arises under secured
clearance advance facilities that the Firm extends to its clients (i.e., cash borrowers); these facilities contractually limit the Firm’s intra-day credit risk to the facility amount
and must be repaid by the end of the day. As ofparticipations.
|
| | (d) | At both March 31,September 30, 2018, and December 31, 2017, the secured clearance advance facility maximum outstanding commitmentU.S. portion of the contractual amount was$1.5 billion.Standby letters of credit and other financial guarantees
Standby letters of credit and other financial guarantees are conditional lendingtotal wholesale lending-related commitments issued by the Firm to guarantee the performance of a client or customer to a third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade and similar transactions.
The following table summarizes the standby letters of credit and other letters of credit arrangements as of March 31,was 76%.
|
| | (e) | At September 30, 2018, and December 31, 2017.Standby letters of credit, other financial guarantees and other letters of credit
| | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | (in millions) | Standby letters of credit and other financial guarantees | | Other letters of credit | | Standby letters of credit and other financial guarantees | | Other letters of credit | Investment-grade(a) | $ | 28,048 |
| | $ | 2,101 |
| | $ | 28,492 |
| | $ | 2,646 |
| Noninvestment-grade(a) | 6,754 |
| | 854 |
| | 6,734 |
| | 1,066 |
| Total contractual amount | $ | 34,802 |
| | $ | 2,955 |
| | $ | 35,226 |
| | $ | 3,712 |
| | | | | | | | | Allowance for lending-related commitments | $ | 200 |
| | $ | 4 |
| | $ | 192 |
| | $ | 3 |
| Guarantee liability | 519 |
| | — |
| | 444 |
| | — |
| Total carrying value | $ | 719 |
| | $ | 4 |
| | $ | 636 |
| | $ | 3 |
| | | | | | | | | Commitments with collateral | $ | 16,766 |
| | $ | 681 |
| | $ | 17,421 |
| | $ | 878 |
|
| | (a) | The ratings scale is based on the Firm’s internal ratings which generally correspond to ratings as defined by S&P and Moody’s. |
Derivatives qualifying as guarantees
The Firm transacts certain derivative contracts that have the characteristics of a guarantee under U.S. GAAP. For further information on these derivatives, see Note 27 of JPMorgan Chase’s 2017, Annual Report.
The following table summarizes the derivatives qualifying as guarantees as of March 31, 2018, and December 31, 2017.
| | | | | | | (in millions) | March 31, 2018 |
| | December 31, 2017 |
| Notional amounts | | | | Derivative guarantees | 55,316 |
| | 57,174 |
| Stable value contracts with contractually limited exposure | 28,453 |
| | 29,104 |
| Maximum exposure of stable value contracts with contractually limited exposure | 2,945 |
| | 3,053 |
| | | | | Fair value | | | | Derivative payables | 427 |
| | 304 |
| Derivative receivables | — |
| | — |
|
In addition to derivative contracts that meet the characteristics of a guarantee, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. For a further discussion of credit derivatives, see Note 4.
Loan sales- and securitization-related indemnifications
In connection with the Firm’s mortgage loan sale and securitization activities with GSEs and in certain private label transactions, the Firm has made representations and warranties that the loans sold meet certain requirements, and that may require the Firm to repurchase mortgage loans and/or indemnify the loan purchaser if such representations and warranties are breached by the Firm. Further, although the Firm’s securitizations are predominantly nonrecourse, the Firm does provide recourse servicing in certain limited cases where it agrees to share credit risk with the owner of the mortgage loans. For additional information, see Note 27 of JPMorgan Chase’s 2017 Annual Report.
The liability related to repurchase demands associated with private label securitizations is separately evaluatedcollateral held by the Firm in establishing its litigation reserves. For additional information regarding litigation, see Note 22support of this Form 10-Qsecurities lending indemnification agreements was $214.3 billion and Note 29$188.7 billion, respectively. Securities lending collateral primarily consists of JPMorgan Chase’s 2017 Annual Report.
Guarantees of subsidiary
The Parent Company has guaranteed certain long-term debtcash and structured notes of its subsidiaries, including JPMorgan Chase Financial Company LLC (“JPMFC”), a 100%-owned finance subsidiary. All securities issued by JPMFCgovernments that are fullymembers of G7 and unconditionally guaranteedU.S. government agencies.
|
| | (f) | At September 30, 2018, and December 31, 2017, primarily includes letters of credit hedged by the Parent Company,derivative transactions and these guarantees rankmanaged on a paritymarket risk basis, unfunded commitments related to institutional lending and commitments associated with the Firm’s unsecuredmembership in certain clearing houses. Additionally, includes unfunded commitments predominantly related to certain tax-oriented equity investments. |
| | (g) | For lending-related products, the carrying value represents the allowance for lending-related commitments and unsubordinated indebtedness.
Note 21 – Pledged assets and collateral
For a discussion of the Firm’s pledged assets and collateral, see Note 28 of JPMorgan Chase’s 2017 Annual Report.guarantee liability; for derivative-related products, the carrying value represents the fair value.
|
Other unfunded commitments to extend credit Other unfunded commitments to extend credit generally consist of commitments for working capital and general corporate purposes, extensions of credit to support commercial paper facilities and bond financings in the event that those obligations cannot be remarketed to new investors, as well as committed liquidity facilities to clearing organizations. The Firm also issues commitments under multipurpose facilities which could be drawn upon in several forms, including the issuance of a standby letter of credit. The Firm acts as a settlement and custody bank in the U.S. tri-party repurchase transaction market. In its role as settlement and custody bank, the Firm in part is exposed to the intra-day credit risk of its cash borrower clients, usually broker-dealers. This exposure arises under secured clearance advance facilities that the Firm extended to its clients (i.e., cash borrowers); these facilities contractually limit the Firm’s intra-day credit risk to the facility amount and must be repaid by the end of the day. As of December 31, 2017 the secured clearance advance facility maximum outstanding commitment amount was$1.5 billion. As of September 30, 2018 the Firm no longer offers such arrangements to its clients. Standby letters of credit and other financial guarantees Standby letters of credit and other financial guarantees are conditional lending commitments issued by the Firm to guarantee the performance of a client or customer to a third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade and similar transactions.
The following table summarizes the standby letters of credit and other letters of credit arrangementsas of September 30, 2018, and December 31, 2017. Standby letters of credit, other financial guarantees and other letters of credit | | | | | | | | | | | | | | | | | | September 30, 2018 | | December 31, 2017 | (in millions) | Standby letters of credit and other financial guarantees | | Other letters of credit | | Standby letters of credit and other financial guarantees | | Other letters of credit | Investment-grade(a) | $ | 25,038 |
| | $ | 2,507 |
| | $ | 28,492 |
| | $ | 2,646 |
| Noninvestment-grade(a) | 6,710 |
| | 1,076 |
| | 6,734 |
| | 1,066 |
| Total contractual amount | $ | 31,748 |
| | $ | 3,583 |
| | $ | 35,226 |
| | $ | 3,712 |
| | | | | | | | | Allowance for lending-related commitments | $ | 171 |
| | $ | 7 |
| | $ | 192 |
| | $ | 3 |
| Guarantee liability | 414 |
| | — |
| | 444 |
| | — |
| Total carrying value | $ | 585 |
| | $ | 7 |
| | $ | 636 |
| | $ | 3 |
| | | | | | | | | Commitments with collateral | $ | 16,074 |
| | $ | 559 |
| | $ | 17,421 |
| | $ | 878 |
|
Pledged assets
| | (a) | The Firm may pledge financial assets that it owns to maintain potential borrowing capacity with central banks and for other purposes, including to secure borrowings and public deposits, collateralize repurchase and other securities financing agreements, and cover customer short sales. Certain of these pledged assets may be sold or repledged or otherwise used by the secured parties and are identified as financial instruments owned (pledged to various parties) on the Consolidated balance sheets.The following table presents the Firm’s pledged assets.
| | | | | | | | | (in billions) | March 31, 2018 |
| | December 31, 2017 |
| Assets that may be sold or repledged or otherwise used by secured parties | $ | 143.7 |
| | $ | 129.6 |
| Assets that may not be sold or repledged or otherwise used by secured parties | 72.4 |
| | 67.9 |
| Assets pledged at Federal Reserve banks and FHLBs | 487.9 |
| | 493.7 |
| Total assets pledged | $ | 704.0 |
| | $ | 691.2 |
|
Total assets pledged do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. See Note 13 for additional information on assets and liabilities of consolidated VIEs. For additional informationratings scale is based on the Firm’s securities financing activities, see Note 10. For additional information on the Firm’s long-term debt, see Note 19 of JPMorgan Chase’s 2017 Annual Report.
Collateral
The Firm accepts financial assetsinternal ratings which generally correspond to ratings as collateral that it is permitted to sell or repledge, deliver or otherwise use. This collateral is generally obtained under resale agreements, securities borrowing agreements, customer margin loansdefined by S&P and derivative agreements. Collateral is generally used under repurchase agreements, securities lending agreements or to cover customer short sales and to collateralize deposits and derivative agreements.
The following table presents the fair value of collateral accepted.
| | | | | | | | | (in billions) | March 31, 2018 |
| | December 31, 2017 |
| Collateral permitted to be sold or repledged, delivered, or otherwise used | $ | 1,093.6 |
| | $ | 968.8 |
| Collateral sold, repledged, delivered or otherwise used | 873.5 |
| | 775.3 |
|
Note 22 – Litigation
Contingencies
|
Derivatives qualifying as guarantees The Firm transacts certain derivative contracts that have the characteristics of a guarantee under U.S. GAAP. For further information on these derivatives, refer to Note27 of JPMorgan Chase’s 2017 Annual Report. The following table summarizes the derivatives qualifying as guarantees as of September 30, 2018, and December 31, 2017. | | | | | | | | | (in millions) | September 30, 2018 |
| | December 31, 2017 |
| Notional amounts | | | | Derivative guarantees | $ | 55,894 |
| | $ | 57,174 |
| Stable value contracts with contractually limited exposure | 28,574 |
| | 29,104 |
| Maximum exposure of stable value contracts with contractually limited exposure | 2,954 |
| | 3,053 |
| | | | | Fair value | | | | Derivative payables | 370 |
| | 304 |
| Derivative receivables | — |
| | — |
|
In addition to derivative contracts that meet the characteristics of a guarantee, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. For a further discussion of credit derivatives, refer to Note4. Loan sales- and securitization-related indemnifications In connection with the Firm’s mortgage loan sale and securitization activities with GSEs and in certain private label transactions, the Firm has made representations and warranties that the loans sold meet certain requirements, and that may require the Firm to repurchase mortgage loans and/or indemnify the loan purchaser if such representations and warranties are breached by the Firm. Further, although the Firm’s securitizations are predominantly nonrecourse, the Firm does provide recourse servicing in certain limited cases where it agrees to share credit risk with the owner of the mortgage loans. For additional information, refer to Note27 of JPMorgan Chase’s 2017 Annual Report.
The liability related to repurchase demands associated with private label securitizations is separately evaluated by the Firm in establishing its litigation reserves. For additional information regarding litigation, refer to Note22 of this Form 10-Q and Note 29 of JPMorgan Chase’s 2017 Annual Report. Guarantees of subsidiary The Parent Company has guaranteed certain long-term debt and structured notes of its subsidiaries, including JPMorgan Chase Financial Company LLC (“JPMFC”), a 100%-owned finance subsidiary. All securities issued by JPMFC are fully and unconditionally guaranteed by the Parent Company, and these guarantees rank on a parity with the Firm’s unsecured and unsubordinated indebtedness.
Note 21 – Pledged assets and collateral For a discussion of the Firm’s pledged assets and collateral, refer to Note28 of JPMorgan Chase’s 2017 Annual Report. Pledged assets The Firm may pledge financial assets that it owns to maintain potential borrowing capacity with central banks and for other purposes, including to secure borrowings and public deposits, collateralize repurchase and other securities financing agreements, and cover customer short sales. Certain of these pledged assets may be sold or repledged or otherwise used by the secured parties and are parenthetically identified on the Consolidated balance sheets as assets pledged. The following table presents the Firm’s pledged assets. | | | | | | | | | (in billions) | September 30, 2018 |
| | December 31, 2017 |
| Assets that may be sold or repledged or otherwise used by secured parties | $ | 130.7 |
| | $ | 135.8 |
| Assets that may not be sold or repledged or otherwise used by secured parties | 76.2 |
| | 68.1 |
| Assets pledged at Federal Reserve banks and FHLBs | 488.9 |
| | 493.7 |
| Total assets pledged | $ | 695.8 |
| | $ | 697.6 |
|
Total assets pledged do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. Refer to Note 13for additional information on assets and liabilities of consolidated VIEs. For additional information on the Firm’s securities financing activities, refer to Note10. For additional information on the Firm’s long-term debt, refer to Note 19 of JPMorgan Chase’s 2017 Annual Report. Collateral The Firm accepts financial assets as collateral that it is permitted to sell or repledge, deliver or otherwise use. This collateral is generally obtained under resale agreements, securities borrowing agreements, customer margin loans and derivative agreements. Collateral is generally used under repurchase agreements, securities lending agreements or to cover customer short sales and to collateralize deposits and derivative agreements. The following table presents the fair value of collateral accepted. | | | | | | | | | (in billions) | September 30, 2018 |
| | December 31, 2017 |
| Collateral permitted to be sold or repledged, delivered, or otherwise used | $ | 1,114.1 |
| | $ | 968.8 |
| Collateral sold, repledged, delivered or otherwise used | 927.5 |
| | 771.0 |
|
Certain prior period amounts for both collateral and pledged assets (including the corresponding pledged assets parenthetical disclosure for trading assets and other assets on the Consolidated balance sheets) have been revised to conform with the current period presentation.
Note 22 – Litigation Contingencies As of September 30, 2018, the Firm and its subsidiaries and affiliates are defendants or putative defendants in numerous legal proceedings, including private, civil litigations and regulatory/government investigations. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations involve both formal and informal proceedings, by both governmental agencies and self-regulatory organizations. These legal proceedings are at varying stages of adjudication, arbitration or investigation, and involve each of the Firm’s lines of business and geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel legal theories. The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $1.6 billion at September 30, 2018. This estimated aggregate range of reasonably possible losses was based upon currently available information for those proceedings in which the Firm believes that an estimate of reasonably possible loss can be made. For certain matters, the Firm does not believe that such an estimate can be made, as of that date. The Firm’s estimate of the aggregate range of reasonably possible losses involves significant judgment, given: the number, variety and varying stages of the proceedings, including the fact that many are in preliminary stages, the existence in many such proceedings of multiple defendants, including the Firm, whose share of liability (if any) has yet to be determined, the numerous yet-unresolved issues in many of the proceedings, including issues regarding class certification and the scope of many of the claims, and the attendant uncertainty of the various potential outcomes of such proceedings, including where the Firm has made assumptions concerning future rulings by the court or other adjudicator, or about the behavior or incentives of adverse parties or regulatory authorities, and those assumptions prove to be incorrect. In addition, the outcome of a particular proceeding may be a result which the Firm did not take into account in its estimate because the Firm had deemed the likelihood of that outcome to be remote. Accordingly, the Firm’s estimate of the aggregate range of reasonably possible losses will change from time to time, and actual losses may vary significantly. Set forth below are descriptions of the Firm’s material legal proceedings. American Depositary Receipts Pre-Release Inquiry. The Staff of the U.S. Securities and Exchange Commission’s Enforcement Division has been investigating depositary banks and broker-dealers, including the Firm, in connection with activity relating to pre-released American Depositary Receipts. The Staff’s investigation focuses on the period of 2011 to 2015. The Firm continues to cooperate with this investigation and is currently engaged in settlement discussions. There is no assurance that such discussions will result in a settlement. Foreign Exchange Investigations and Litigation. The Firm previously reported settlements with certain government authorities relating to its foreign exchange (“FX”) sales and trading activities and controls related to those activities. FX-related investigations and inquiries by government authorities, including competition authorities, are ongoing, and the Firm is cooperating with and working to resolve those matters. In May 2015, the Firm pleaded guilty to a single violation of federal antitrust law. In January 2017, the Firm was sentenced, with judgment entered thereafter and a term of probation ending in January 2020. The Department of Labor has granted the Firm a five-year exemption of disqualification that allows the Firm and its affiliates to continue to rely on the Qualified Professional Asset Manager exemption under the Employee Retirement Income Security Act (“ERISA”) until January 2023. The Firm will need to reapply in due course for a further exemption to cover the remainder of the ten-year disqualification period. Separately, in February 2017 the South Africa Competition Commission referred its FX investigation of the Firm and other banks to the South Africa Competition Tribunal, which is conducting civil proceedings concerning that matter. The Firm is also one of a number of foreign exchange dealers named as defendants in a class action filed in the United States District Court for the Southern District of New York by U.S.-based plaintiffs, principally alleging violations of federal antitrust laws based on an alleged conspiracy to manipulate foreign exchange rates (the “U.S. class action”). In January 2015, the Firm entered into a settlement agreement in the U.S. class action. Following this settlement, a number of additional putative class actions were filed seeking damages for persons who transacted FX futures and options on futures (the “exchanged-based actions”), consumers who purchased foreign currencies at allegedly inflated rates (the “consumer action”), participants or beneficiaries of qualified ERISA plans (the “ERISA actions”), and purported indirect purchasers of FX instruments (the “indirect purchaser action”). Since then, the Firm has entered into a revised settlement agreement to resolve the consolidated U.S. class action, including the exchange-based actions. The Court granted final approval of
that settlement agreement in August 2018. Certain members of the settlement class have filed requests to the Court to be excluded from the class. The District Court has dismissed one of the ERISA actions, and the United States Court of Appeals for the Second Circuit affirmed that dismissal in July 2018. The District Court has also dismissed the indirect purchaser action, and the plaintiffs have sought leave to replead their complaint. The consumer action and a second ERISA action remain pending in the District Court. General Motors Litigation. JPMorgan Chase Bank, N.A. participated in, and was the Administrative Agent on behalf of a syndicate of lenders on, a $1.5 billion syndicated Term Loan facility (“Term Loan”) for General Motors Corporation (“GM”). In July 2009, in connection with the GM bankruptcy proceedings, the Official Committee of Unsecured Creditors of Motors Liquidation Company (“Creditors Committee”) filed a lawsuit against JPMorgan Chase Bank, N.A., in its individual capacity and as Administrative Agent for other lenders on the Term Loan, seeking to hold the underlying lien invalid based on the filing of a UCC-3 termination statement relating to the Term Loan. In January 2015, following several court proceedings, the United States Court of Appeals for the Second Circuit reversed the Bankruptcy Court’s dismissal of the Creditors Committee’s claim and remanded the case to the Bankruptcy Court with instructions to enter partial summary judgment for the Creditors Committee as to the termination statement. The proceedings in the Bankruptcy Court continue with respect to, among other things, additional defenses asserted by JPMorgan Chase Bank, N.A. and the value of additional collateral on the Term Loan that was unaffected by the filing of the termination statement at issue. In connection with that additional collateral, a trial in the Bankruptcy Court regarding the value of certain representative assets concluded in May 2017, and a ruling was issued in September 2017. The Bankruptcy Court found that 33 of the 40 representative assets are fixtures and that these fixtures generally should be valued on a “going concern” basis. The Creditors Committee sought leave to appeal the Bankruptcy Court’s ruling that the fixtures should be valued on a “going concern” basis rather than on a liquidation basis, and in September 2018, the District Court denied that request. In addition, certain Term Loan lenders filed cross-claims in the Bankruptcy Court against JPMorgan Chase Bank, N.A. seeking indemnification and asserting various claims. The parties have engaged in mediation concerning, among other things, the characterization and value of the remaining additional collateral, in light of the Bankruptcy Court’s ruling regarding the representative assets, as well as other issues, including the cross-claims. In September 2018, the Bankruptcy Court approved a schedule for continued proceedings concerning issues that the parties have been unable to resolve through mediation. Interchange Litigation. A group of merchants and retail associations filed a series of class action complaints alleging that Visa and MasterCard, as well as certain banks, conspired to set the price of credit and debit card interchange fees and enacted respective rules in violation of antitrust laws. The parties settled the cases for a cash payment, a temporary reduction of credit card interchange, and modifications to certain credit card network rules. In December 2013, the District Court granted final approval of the settlement. A number of merchants appealed the settlement to the United States Court of Appeals for the Second Circuit, which, in June 2016, vacated the District Court’s certification of the class action and reversed the approval of the class settlement. In March 2017, the U.S. Supreme Court declined petitions seeking review of the decision of the Court of Appeals. The case was remanded to the District Court for further proceedings consistent with the appellate decision. The original class action was divided into two separate actions, one seeking primarily monetary relief and the other seeking primarily injunctive relief. In September 2018, the parties to the class action seeking monetary relief finalized an agreement which amends and supersedes the prior settlement agreement, and the plaintiffs filed a motion seeking preliminary approval of the modified settlement. This settlement provides for the defendants to contribute an additional $900 million to the approximately $5.3 billion currently held in escrow from the original settlement. Upon preliminary approval by the District Court, $600 million of that additional amount will be funded from the litigation escrow account established under the Visa defendants’ Retrospective Responsibility Plan, and $300 million will be paid by Mastercard and certain banks in accordance with an agreement among themselves regarding their respective shares. In June 2018, Visa deposited an additional $600 million into its litigation escrow account, which in turn led to a corresponding change in the conversion rate of Visa Class B to Class A shares. Of the Mastercard-related portion, the Firm’s share is approximately $36 million. The class action seeking primarily injunctive relief continues separately. In addition, certain merchants have filed individual actions raising similar allegations against Visa and Mastercard, as well as against the Firm and other banks, and those actions are proceeding. LIBOR and Other Benchmark Rate Investigations and Litigation. JPMorgan Chase has received subpoenas and requests for documents and, in some cases, interviews, from federal and state agencies and entities, including the U.S. Commodity Futures Trading Commission (“CFTC”) and various state attorneys general, as well as the European Commission (“EC”), the Swiss Competition Commission (“ComCo”) and other regulatory authorities and banking associations around the world relating primarily to the process by which interest rates were submitted to the British Bankers Association (“BBA”) in connection with the setting of the BBA’s London Interbank Offered Rate (“LIBOR”) for various currencies, principally in 2007 and 2008. Some of the inquiries also relate to similar processes by which information on rates was submitted to the European Banking Federation (“EBF”) in connection with
the setting of the EBF’s Euro Interbank Offered Rates (“EURIBOR”) and to the Japanese Bankers’ Association for the setting of Tokyo Interbank Offered Rates (“TIBOR”) during similar time periods, as well as processes for the setting of U.S. dollar ISDAFIX rates and other reference rates in various parts of the world during similar time periods, including through 2012. The Firm continues to cooperate with these investigations to the extent that they are ongoing. The Firm has recently reached a resolution with the CFTC concerning the CFTC’s U.S. dollar ISDAFIX-related investigation. As previously reported, the Firm has resolved EC inquiries relating to Yen LIBOR and Swiss Franc LIBOR. In December 2016, the Firm resolved ComCo inquiries relating to these same rates. ComCo’s investigation relating to EURIBOR, to which the Firm and other banks are subject, continues. In December 2016, the EC issued a decision against the Firm and other banks finding an infringement of European antitrust rules relating to EURIBOR. The Firm has filed an appeal of that decision with the European General Court, and that appeal is pending. In addition, the Firm has been named as a defendant along with other banks in a series of individual and putative class actions filed in various United States District Courts. These actions have been filed, or consolidated for pre-trial purposes, in the United States District Court for the Southern District of New York. In these actions, plaintiffs make varying allegations that in various periods, starting in 2000 or later, defendants either individually or collectively manipulated various benchmark rates by submitting rates that were artificially low or high. Plaintiffs allege that they transacted in loans, derivatives or other financial instruments whose values are affected by changes in these rates and assert a variety of claims including antitrust claims seeking treble damages. These matters are in various stages of litigation. The Firm has agreed to settle putative class actions related to exchange-traded Eurodollar futures contracts, Swiss franc LIBOR, EURIBOR, the Singapore Interbank Offered Rate, the Singapore Swap Offer Rate and the Australian Bank Bill Swap Reference Rate. Those settlements are all subject to further documentation and court approval. In actions related to U.S. dollar LIBOR, the District Court dismissed certain claims, including antitrust claims brought by some plaintiffs whom the District Court found did not have standing to assert such claims, and permitted antitrust claims, claims under the Commodity Exchange Act and common law claims to proceed. The plaintiffs whose antitrust claims were dismissed for lack of standing have filed an appeal. In February 2018, as to those actions which the Firm has not agreed to settle, the District Court (i) granted class certification with respect to certain antitrust claims related to bonds and interest rate swaps sold directly by the defendants, (ii) denied class certification with respect to state common law claims brought by the holders of those bonds and swaps and (iii) denied class certification with respect to the putative class action related to LIBOR-based loans held by plaintiff lending institutions. The Firm is one of the defendants in a number of putative class actions alleging that defendant banks and ICAP conspired to manipulate the U.S. dollar ISDAFIX rates. In April 2016, the Firm settled this litigation, along with certain other banks. Those settlements have been preliminarily approved by the Court. Municipal Derivatives Litigation. Several civil actions were commenced in New York and Alabama courts against the Firm relating to certain Jefferson County, Alabama (the “County”) warrant underwritings and swap transactions. The claims in the civil actions generally alleged that the Firm made payments to certain third parties in exchange for being chosen to underwrite more than $3.0 billion in warrants issued by the County and to act as the counterparty for certain swaps executed by the County. The County filed for bankruptcy in November 2011. In June 2013, the County filed a Chapter 9 Plan of Adjustment, as amended (the “Plan of Adjustment”), which provided that all the above-described actions against the Firm would be released and dismissed with prejudice. In November 2013, the Bankruptcy Court confirmed the Plan of Adjustment, and in December 2013, certain sewer rate payers filed an appeal challenging the confirmation of the Plan of Adjustment. All conditions to the Plan of Adjustment’s effectiveness, including the dismissal of the actions against the Firm, were satisfied or waived and the transactions contemplated by the Plan of Adjustment occurred in December 2013. Accordingly, all the above-described actions against the Firm have been dismissed pursuant to the terms of the Plan of Adjustment. The appeal of the Bankruptcy Court’s order confirming the Plan of Adjustment was dismissed in August 2018, but appellants have filed a motion for rehearing which remains pending. Wendel. Since 2012, the French criminal authorities have been investigating a series of transactions entered into by senior managers of Wendel Investissement (“Wendel”) during the period from 2004 through 2007 to restructure their shareholdings in Wendel. JPMorgan Chase Bank, N.A., Paris branch provided financing for the transactions to a number of managers of Wendel in 2007. JPMorgan Chase has cooperated with the investigation. The investigating judges issued an ordonnance de renvoi in November 2016, referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel for alleged complicity in tax fraud. No date for trial has been set by the court. The Firm has been successful in legal challenges made to the Court of Cassation, France’s highest court, with respect to the criminal proceedings. In January 2018, the Paris Court of Appeal issued a decision cancelling the mise en examen of JPMorgan Chase Bank, N.A. The Court of Cassation ruled in September 2018 that a mise en examen is a prerequisite for an ordonnance de renvoi and remanded the case to the Court of Appeal to consider JPMorgan Chase Bank, N.A.’s application for the annulment of the ordonnance de renvoi referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel. Any further actions in the criminal proceedings are stayed pending the outcome of that
application. In addition, a number of the managers have commenced civil proceedings against JPMorgan Chase Bank, N.A. The claims are separate, involve different allegations and are at various stages of proceedings. * * * In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or are otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously. Additional legal proceedings may be initiated from time to time in the future. The Firm has established reserves for several hundred of its currently outstanding legal proceedings. In accordance with the provisions of U.S. GAAP for contingencies, the Firm accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense/(benefit) was $20 million and $(107) million for the three months ended September 30, 2018 and 2017, respectively, and $90 million and $172 million for the nine months ended September 30, 2018 and 2017. There is no assurance that the Firm’s litigation reserves will not need to be adjusted in the future. In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, the Firm cannot state with confidence what will be the eventual outcomes of the currently pending matters, the timing of their ultimate resolution or the eventual losses, fines, penalties or consequences related to those matters. JPMorgan Chase believes, based upon its current knowledge and after consultation with counsel, consideration of the material legal proceedings described above and after taking into account its current litigation reserves and its estimated aggregate range of possible losses, that the other legal proceedings currently pending against it should not have a material adverse effect on the Firm’s consolidated financial condition. The Firm notes, however, that in light of the uncertainties involved in such proceedings, there is no assurance that the ultimate resolution of these matters will not significantly exceed the reserves it has currently accrued or that a matter will not have material reputational consequences. As a result, the outcome of a particular matter may be material to JPMorgan Chase’s operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of JPMorgan Chase’s income for that period.
Note 23 – Business segments The Firm is managed on a line of business basis. There are four major reportable business segments - Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment. The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by management. Results of these lines of business are presented on a managed basis. For a further discussion concerning JPMorgan Chase’s business segments, refer to Segment results below, and Note 31 of JPMorgan Chase’s 2017 Annual Report. Segment results The following table provides a summary of the Firm’s segment results as of or for the three and nine months ended September 30, 2018 and 2017, on a managed basis. The Firm’s definition of managed basis starts with the reported U.S. GAAP results and includes certain reclassifications to present total net revenue for the Firm (and each of the Firm’s lines of business and geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel legal theories. The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $1.7 billion at March 31, 2018. This estimated aggregate range of reasonably possible losses was based upon currently available information for those proceedings in which the Firm believes that an estimate of reasonably possible loss can be made. For certain matters, the Firm does not believe that such an estimate can be made, as of that date. The Firm’s estimate of the aggregate range of reasonably possible losses involves significant judgment, given:
the number, variety and varying stages of the proceedings, including the fact that many are in preliminary stages,
the existence in many such proceedings of multiple defendants, including the Firm, whose share of liability (if any) has yet to be determined,
the numerous yet-unresolved issues in many of the proceedings, including issues regarding class certification and the scope of many of the claims, and
the attendant uncertainty of the various potential outcomes of such proceedings, including where the Firm has made assumptions concerning future rulings by the court or other adjudicator, or about the behavior or incentives of adverse parties or regulatory authorities, and those assumptions prove to be incorrect.
In addition, the outcome of a particular proceeding may be a result which the Firm did not take into account in its estimate because the Firm had deemed the likelihood of that outcome to be remote. Accordingly, the Firm’s estimate of the aggregate range of reasonably possible losses will change from time to time, and actual losses may vary significantly.
Set forth below are descriptions of the Firm’s material legal proceedings.
Foreign Exchange Investigations and Litigation. The Firm previously reported settlements with certain government authorities relating to its foreign exchange (“FX”) sales and trading activities and controls related to those activities. FX-related investigations and inquiries by government authorities, including competition authorities, are ongoing, and the Firm is cooperating with and working to resolve those matters. In May 2015, the Firm pleaded guilty to a single violation of federal antitrust law. In January 2017, the Firm was sentenced, with judgment entered thereafter and a term of probation ending in January 2020. The Department of Labor has granted the Firm a five-year exemption of disqualification that allows the Firm and its affiliates to continue to rely on the Qualified Professional Asset Manager exemption under the Employee Retirement Income Security Act (“ERISA”) until January 2023. The Firm will need to reapply in due course for a further exemption to cover the remainder of the ten-year disqualification period. Separately, in February 2017 the South Africa Competition Commission referred its FX investigation of the Firm and other banks to the South Africa Competition Tribunal, which is conducting civil proceedings concerning that matter.
The Firm is also one of a number of foreign exchange dealers defending a class action filed in the United States District Court for the Southern District of New York by U.S.-based plaintiffs, principally alleging violations of federal antitrust laws based on an alleged conspiracy to manipulate foreign exchange rates (the “U.S. class action”). In January 2015, the Firm entered into a settlement agreement in the U.S. class action. Following this settlement, a number of additional putative class actions were filed seeking damages for persons who transacted FX futures and options on futures (the “exchanged-based actions”), consumers who purchased foreign currencies at allegedly inflated rates (the “consumer action”), participants or beneficiaries of qualified ERISA plans (the “ERISA actions”), and purported indirect purchasers of FX instruments (the “indirect purchaser action”). Since then, the Firm has entered into a revised settlement agreement to resolve the consolidated U.S. class action, including the exchange-based actions. That agreement has been preliminarily approved by the Court and a final approval hearing is scheduled for May 2018. Certain members of the settlement class have filed requests to the Court to be excluded from the class. The District Court has dismissed one of the ERISA actions, and the plaintiffs have filed an appeal. The District Court has also dismissed the indirect purchaser action, and the plaintiffs have sought leave to replead their complaint. The consumer action and a second ERISA action remain pending in the District Court.
General Motors Litigation. JPMorgan Chase Bank, N.A. participated in, and was the Administrative Agent on behalf of a syndicate of lenders on, a $1.5 billion syndicated Term Loan facility (“Term Loan”) for General Motors Corporation
(“GM”). In July 2009, in connection with the GM bankruptcy proceedings, the Official Committee of Unsecured Creditors of Motors Liquidation Company (“Creditors Committee”) filed a lawsuit against JPMorgan Chase Bank, N.A., in its individual capacity and as Administrative Agent for other lenders on the Term Loan, seeking to hold the underlying lien invalid based on the filing of a UCC-3 termination statement relating to the Term Loan. In January 2015, following several court proceedings, the United States Court of Appeals for the Second Circuit reversed the Bankruptcy Court’s dismissal of the Creditors Committee’s claim and remanded the case to the Bankruptcy Court with instructions to enter partial summary judgment for the Creditors Committee as to the termination statement. The proceedings in the Bankruptcy Court continue with respect to, among other things, additional defenses asserted by JPMorgan Chase Bank, N.A. and the value of additional collateral on the Term Loan that was unaffected by the filing of the termination statement at issue. In connection with that additional collateral, a trial in the Bankruptcy Court regarding the value of certain representative assets concluded in May 2017, and a ruling was issued in September 2017. The Bankruptcy Court found that 33 of the 40 representative assets are fixtures and that these fixtures generally should be valued on a “going concern” basis. The Creditors Committee is seeking leave to appeal the Bankruptcy Court’s ruling that the fixtures should be valued on a “going concern” basis rather than on a liquidation basis. In addition, certain Term Loan lenders filed cross-claims in the Bankruptcy Court against JPMorgan Chase Bank, N.A. seeking indemnification and asserting various claims. The parties are engaged in mediation concerning, among other things, the characterization and value of the remaining additional collateral, in light of the Bankruptcy Court’s ruling regarding the representative assets, as well as other issues, including the cross-claims.
Hopper Estate Litigation. The Firm is a defendant in an action in connection with its role as an independent administrator of an estate. The plaintiffs sought in excess of $7 million in compensatory damages, primarily relating to attorneys’ fees incurred by the plaintiffs. After a trial in probate court in Dallas, Texas that ended in September 2017, the jury returned a verdict against the Firm, awarding plaintiffs their full compensatory damages and multiple billions in punitive damages. In light of legal limitations on the availability of damages, the plaintiffs moved for judgment in the total amount of approximately $91 million, including punitive damages. The Firm has entered into a settlement in principle with two of the plaintiffs. Pending before the Court is the remaining plaintiff’s request that the Court enter judgment for up to $14 million and the Firm’s request that the court enter judgment wholly in its favor or, alternatively, that it limit the award to less than $8 million.
Interchange Litigation. A group of merchants and retail associations filed a series of class action complaints alleging that Visa and MasterCard, as well as certain banks, conspired to set the price of credit and debit card interchange fees and enacted respective rules in violation of
antitrust laws. The parties settled the cases for a cash payment of $6.1 billion to the class plaintiffs (of which the Firm’s share is approximately 20%) and an amount equal to ten basis points of credit card interchange for a period of 8 months to be measured from a date within 60 days of the end of the opt-out period. The settlement also provided for modifications to each credit card network’s rules, including those that prohibit surcharging credit card transactions. In December 2013, the District Court granted final approval of the settlement.
A number of merchants appealed to the United States Court of Appeals for the Second Circuit, which, in June 2016, vacated the District Court’s certification of the class action and reversed the approval of the class settlement. In March 2017, the U.S. Supreme Court declined petitions seeking review of the decision of the Court of Appeals. The case has been remanded to the District Court for further proceedings consistent with the appellate decision. The parties are engaged in an ongoing mediation process.
In addition, certain merchants have filed individual actions raising similar allegations against Visa and MasterCard, as well as against the Firm and other banks, and those actions are proceeding.
LIBOR and Other Benchmark Rate Investigations and Litigation. JPMorgan Chase has received subpoenas and requests for documents and, in some cases, interviews, from federal and state agencies and entities, including the U.S. Commodity Futures Trading Commission (“CFTC”) and various state attorneys general, as well as the European Commission (“EC”), the Swiss Competition Commission (“ComCo”) and other regulatory authorities and banking associations around the world relating primarily to the process by which interest rates were submitted to the British Bankers Association (“BBA”) in connection with the setting of the BBA’s London Interbank Offered Rate (“LIBOR”) for various currencies, principally in 2007 and 2008. Some of the inquiries also relate to similar processes by which information on rates was submitted to the European Banking Federation (“EBF”) in connection with the setting of the EBF’s Euro Interbank Offered Rates (“EURIBOR”) and to the Japanese Bankers’ Association for the setting of Tokyo Interbank Offered Rates (“TIBOR”) during similar time periods, as well as processes for the setting of U.S. dollar ISDAFIX rates and other reference rates in various parts of the world during similar time periods, including through 2012. The Firm continues to cooperate with these ongoing investigations, and is currently engaged in discussions with the CFTC about resolving its U.S. dollar ISDAFIX-related investigation with respect to the Firm. There is no assurance that such discussions will result in a settlement. As previously reported, the Firm has resolved EC inquiries relating to Yen LIBOR and Swiss Franc LIBOR. In December 2016, the Firm resolved ComCo inquiries relating to these same rates. ComCo’s investigation relating to EURIBOR, to which the Firm and other banks are subject, continues. In December 2016, the EC issued a decision against the Firm and other banks finding an infringement of European antitrust rules
relating to EURIBOR. The Firm has filed an appeal with the European General Court.
In addition, the Firm has been named as a defendant along with other banks in a series of individual and putative class actions filed in various United States District Courts. These actions have been filed, or consolidated for pre-trial purposes, in the United States District Court for the Southern District of New York. In these actions, plaintiffs make varying allegations that in various periods, starting in 2000 or later, defendants either individually or collectively manipulated various benchmark rates by submitting rates that were artificially low or high. Plaintiffs allege that they transacted in loans, derivatives or other financial instruments whose values are affected by changes in these rates and assert a variety of claims including antitrust claims seeking treble damages. These matters are in various stages of litigation.
The Firm has agreed to settle a putative class action related to Swiss franc LIBOR, and that settlement remains subject to final court approval.
In an action related to EURIBOR, the District Court dismissed all claims except a single antitrust claim and two common law claims, and dismissed all defendants except the Firm and Citibank.
In actions related to U.S. dollar LIBOR, the District Court dismissed certain claims, including antitrust claims brought by some plaintiffs whom the District Court found did not have standing to assert such claims, and permitted antitrust claims, claims under the Commodity Exchange Act and common law claims to proceed. The plaintiffs whose antitrust claims were dismissed for lack of standing have filed an appeal. In January 2018, the Firm agreed to settle a putative class action related to exchange-traded Eurodollar futures contracts. This settlement is subject to further documentation and court approval. In February 2018, the District Court (i) granted class certification with respect to certain antitrust claims related to bonds and interest rate swaps sold directly by the defendants, (ii) denied class certification with respect to state common law claims brought by the holders of those bonds and swaps and (iii) denied class certification with respect to two other putative class actions related to exchange-traded Eurodollar futures contracts and LIBOR-based loans held by plaintiff lending institutions. The Firm and another defendant have petitioned for leave to appeal the class certification of the antitrust claims related to bonds and swaps, and the two class plaintiffs whose class certification motions were denied have also petitioned for leave to appeal.
In an action related to the Singapore Interbank Offered Rate and the Singapore Swap Offer Rate, the District Court dismissed without prejudice all claims except a single antitrust claim, and dismissed without prejudice all defendants except the Firm, Bank of America and Citibank. The plaintiffs filed an amended complaint in September 2017, which the Firm and other defendants have moved to dismiss.
The Firm is one of the defendants in a number of putative class actions alleging that defendant banks and ICAP conspired to manipulate the U.S. dollar ISDAFIX rates. In April 2016, the Firm settled this litigation, along with certain other banks. Those settlements have been preliminarily approved by the Court.
Mortgage-Backed Securities and Repurchase Litigation and Related Regulatory Investigations. The Firm and affiliates (together, “JPMC”), Bear Stearns and affiliates (together, “Bear Stearns”) and certain Washington Mutual affiliates (together, “Washington Mutual”) have been named as defendants in a number of cases in their various roles in offerings of MBS.
Issuer Litigation – Individual Purchaser Actions. The Firm has resolved all of the individual actions brought against JPMC, Bear Stearns and Washington Mutual as MBS issuers (and, in some cases, also as underwriters of their own MBS offerings).
Repurchase Litigation. The Firm has resolved all of the actions brought by trustees and/or securities administrators of various MBS trusts on behalf of purchasers of securities issued by those trusts, and those settlements have been approved by the relevant courts.
Additional actions have been filed against third-party trustees that relate to loan repurchase and servicing claims involving trusts sponsored by JPMC, Bear Stearns and Washington Mutual.
In actions against the Firm involving offerings of MBS issued by the Firm, the Firm has contractual rights to indemnification from sellers of mortgage loans that were securitized in such offerings. However, certain of those indemnity rights may prove effectively unenforceable in various situations, such as where the loan sellers are now defunct.
The Firm has entered into agreements with a number of MBS trustees or entities that purchased MBS that toll applicable statute of limitations periods with respect to their claims, and has settled, and in the future may settle, tolled claims. There is no assurance that the Firm will not be named as a defendant in additional MBS-related litigation.
Derivative Action. A shareholder derivative action against the Firm, as nominal defendant, and certain of its current and former officers and members of its Board of Directors relating to the Firm’s MBS activities was filed in California federal court in 2013. In June 2017, the court granted defendants’ motion to dismiss the cause of action that alleged material misrepresentations and omissions in the Firm’s proxy statement, found that the court did not have personal jurisdiction over the individual defendants with respect to the remaining causes of action, and transferred that remaining portion of the case to the United States District Court for the Southern District of New York without ruling on the merits. The motion by the defendants to dismiss is pending.
Municipal Derivatives Litigation. Several civil actions were commenced in New York and Alabama courts against the Firm relating to certain Jefferson County, Alabama (the
“County”) warrant underwritings and swap transactions. The claims in the civil actions generally alleged that the Firm made payments to certain third parties in exchange for being chosen to underwrite more than $3.0 billion in warrants issued by the County and to act as the counterparty for certain swaps executed by the County. The County filed for bankruptcy in November 2011. In June 2013, the County filed a Chapter 9 Plan of Adjustment, as amended (the “Plan of Adjustment”), which provided that all the above-described actions against the Firm would be released and dismissed with prejudice. In November 2013, the Bankruptcy Court confirmed the Plan of Adjustment, and in December 2013, certain sewer rate payers filed an appeal challenging the confirmation of the Plan of Adjustment. All conditions to the Plan of Adjustment’s effectiveness, including the dismissal of the actions against the Firm, were satisfied or waived and the transactions contemplated by the Plan of Adjustment occurred in December 2013. Accordingly, all the above-described actions against the Firm have been dismissed pursuant to the terms of the Plan of Adjustment. The appeal of the Bankruptcy Court’s order confirming the Plan of Adjustment remains pending.
Petters Bankruptcy and Related Matters. JPMorgan Chase and certain of its affiliates, including One Equity Partners (“OEP”), were named as defendants in several actions filed in connection with the receivership and bankruptcy proceedings pertaining to Thomas J. Petters and certain affiliated entities (collectively, “Petters”) and the Polaroid Corporation. The principal actions against JPMorgan Chase and its affiliates were brought by a court-appointed receiver for Petters and the trustees in bankruptcy proceedings for three Petters entities. These actions generally sought to avoid certain putative transfers in connection with (i) the 2005 acquisition by Petters of Polaroid, which at the time was majority-owned by OEP; (ii) two credit facilities that JPMorgan Chase and other financial institutions entered into with Polaroid; and (iii) a credit line and investment accounts held by Petters. In January 2017, the Court substantially denied the defendants’ motion to dismiss an amended complaint filed by the plaintiffs. In October 2017, JPMorgan Chase and its affiliates reached an agreement to settle the litigation brought by the Petters bankruptcy trustees, or their successors, and the receiver for Thomas J. Petters. The settlement is subject to Court approval, which is pending.
Wendel. Since 2012, the French criminal authorities have been investigating a series of transactions entered into by senior managers of Wendel Investissement (“Wendel”) during the period from 2004 through 2007 to restructure their shareholdings in Wendel. JPMorgan Chase Bank, N.A., Paris branch provided financing for the transactions to a number of managers of Wendel in 2007. JPMorgan Chase has cooperated with the investigation. The investigating judges issued an ordonnance de renvoi in November 2016, referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel for alleged complicity in tax fraud. No date for trial has been set by the court. The Firm has been successful in legal challenges made to the Court of
Cassation, France’s highest court, with respect to the criminal proceedings. In January 2018, the Paris Court of Appeal issued a decision cancelling the mise en examen of JPMorgan Chase Bank, N.A. The Firm is requesting clarification from the Court of Cassation concerning the Court of Appeal’s decision before seeking direction on next steps in the criminal proceedings. In addition, a number of the managers have commenced civil proceedings against JPMorgan Chase Bank, N.A. The claims are separate, involve different allegations and are at various stages of proceedings.
* * *
In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or are otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously. Additional legal proceedings may be initiated from time to time in the future.
The Firm has established reserves for several hundred of its currently outstanding legal proceedings. In accordance with the provisions of U.S. GAAP for contingencies, the Firm accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense was $70 million and $218 million for the three months ended March 31, 2018 and 2017, respectively. There is no assurance that the Firm’s litigation reserves will not need to be adjusted in the future.
In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, the Firm cannot state with confidence what will be the eventual outcomes of the currently pending matters, the timing of their ultimate resolution or the eventual losses, fines, penalties or consequences related to those matters. JPMorgan Chase believes, based upon its current knowledge, after consultation with counsel and after taking into account its current litigation reserves, that the legal proceedings currently pending against it should not have a material adverse effect on the Firm’s consolidated financial condition. The Firm notes, however, that in light of the uncertainties involved in such proceedings, there is no assurance that the ultimate resolution of these matters will not significantly exceed the reserves it has currently accrued or that a matter will not have material reputational consequences. As a result, the outcome of a particular matter may be material to JPMorgan Chase’s operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of JPMorgan Chase’s income for that period.
Note 23 – Business segments
The Firm is managed on a line of business basis. There are four major reportable business segments - Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment.
The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by management. Results of these lines of business are presented on a managed basis. For a further discussion concerning JPMorgan Chase’s business segments, see Segment results below, and Note 31 of JPMorgan Chase’s 2017 Annual Report.
Segment results
The following table provides a summary of the Firm’s segment results as of or for the three months ended March 31, 2018 and 2017, on a managed basis. The Firm’s definition of managed basis starts with the reported U.S. GAAP results and includes certain reclassifications to present total net revenue for the Firm (and each of the
reportable business segments) on an FTE basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities. This allows management to assess the comparability of revenue from year-to-year arising from both taxable and tax-exempt sources. The corresponding income tax impact related to tax-exempt items is recorded within income tax expense. These adjustments have no impact on net income as reported by the Firm as a whole or by the lines of business. Business segment capital allocation The amount of capital assigned to each business is referred to as equity. On at least an annual basis, the Firm assesses the level of capital required for each line of business as well as the assumptions and methodologies used to allocate capital. For additional information on business segment capital allocation, refer to Line of business equity on pages 88-89 of JPMorgan Chase’s 2017 Annual Report. Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note1. Net income in 2018 for the business segments reflects the favorable impact of the reduction in the U.S. federal statutory income tax rate as a result of the TCJA. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Segment results and reconciliation(a) | As of or for the three months ended September 30, (in millions, except ratios) | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking | | Asset & Wealth Management | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | 4,176 |
| $ | 3,898 |
| | $ | 6,505 |
| $ | 6,119 |
| | $ | 576 |
| $ | 592 |
| | $ | 2,680 |
| $ | 2,617 |
| Net interest income | 9,114 |
| 8,135 |
| | 2,300 |
| 2,496 |
| | 1,695 |
| 1,554 |
| | 879 |
| 855 |
| Total net revenue | 13,290 |
| 12,033 |
| | 8,805 |
| 8,615 |
| | 2,271 |
| 2,146 |
| | 3,559 |
| 3,472 |
| Provision for credit losses | 980 |
| 1,517 |
| | (42 | ) | (26 | ) | | (15 | ) | (47 | ) | | 23 |
| 8 |
| Noninterest expense | 6,982 |
| 6,495 |
| | 5,175 |
| 4,793 |
| | 853 |
| 800 |
| | 2,585 |
| 2,408 |
| Income before income tax expense | 5,328 |
| 4,021 |
| | 3,672 |
| 3,848 |
| | 1,433 |
| 1,393 |
| | 951 |
| 1,056 |
| Income tax expense | 1,242 |
| 1,468 |
| | 1,046 |
| 1,302 |
| | 344 |
| 512 |
| | 227 |
| 382 |
| Net income | $ | 4,086 |
| $ | 2,553 |
| | $ | 2,626 |
| $ | 2,546 |
| | $ | 1,089 |
| $ | 881 |
| | $ | 724 |
| $ | 674 |
| Average equity | $ | 51,000 |
| $ | 51,000 |
| | $ | 70,000 |
| $ | 70,000 |
| | $ | 20,000 |
| $ | 20,000 |
| | $ | 9,000 |
| $ | 9,000 |
| Total assets | 560,432 |
| 537,459 |
| | 928,148 |
| 851,808 |
| | 217,194 |
| 220,064 |
| | 166,716 |
| 149,170 |
| Return on equity | 31 | % | 19 | % | | 14 | % | 13 | % | | 21 | % | 17 | % | | 31 | % | 29 | % | Overhead ratio | 53 |
| 54 |
| | 59 |
| 56 |
| | 38 |
| 37 |
| | 73 |
| 69 |
|
| | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended September 30, (in millions, except ratios) | Corporate | | Reconciling Items(a) | | Total | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | (177 | ) | $ | 109 |
| | $ | (408 | ) | $ | (555 | ) | | $ | 13,352 |
| $ | 12,780 |
| Net interest income | 74 |
| 77 |
| | (154 | ) | $ | (319 | ) | | 13,908 |
| 12,798 |
| Total net revenue | (103 | ) | 186 |
| | (562 | ) | $ | (874 | ) | | 27,260 |
| 25,578 |
| Provision for credit losses | 2 |
| — |
| | — |
| — |
| | 948 |
| 1,452 |
| Noninterest expense | 28 |
| 74 |
| | — |
| — |
| | 15,623 |
| 14,570 |
| Income/(loss) before income tax expense/(benefit) | (133 | ) | 112 |
| | (562 | ) | (874 | ) | | 10,689 |
| 9,556 |
| Income tax expense/(benefit) | 12 |
| 34 |
| | (562 | ) | (874 | ) | | 2,309 |
| 2,824 |
| Net income/(loss) | $ | (145 | ) | $ | 78 |
| | $ | — |
| $ | — |
| | $ | 8,380 |
| $ | 6,732 |
| Average equity | $ | 80,439 |
| $ | 81,861 |
| | $ | — |
| $ | — |
| | $ | 230,439 |
| $ | 231,861 |
| Total assets | 742,693 |
| 804,573 |
| | NA |
| NA |
| | 2,615,183 |
| 2,563,074 |
| Return on equity | NM |
| NM |
| | NM |
| NM |
| | 14 | % | 11 | % | Overhead ratio | NM |
| NM |
| | NM |
| NM |
| | 57 |
| 57 |
|
| | (a) | Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact related to tax-exempt items is recorded within income tax expense.expense/(benefit). These adjustments have no impactare eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Segment results and reconciliation(a) | As of or for the nine months ended September 30, (in millions, except ratios) | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking | | Asset & Wealth Management | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | 12,063 |
| $ | 10,899 |
| | $ | 21,954 |
| $ | 19,598 |
| | $ | 1,758 |
| $ | 1,774 |
| | $ | 7,997 |
| $ | 7,677 |
| Net interest income | 26,321 |
| 23,516 |
| | 7,257 |
| 7,541 |
| | 4,995 |
| 4,478 |
| | 2,640 |
| 2,520 |
| Total net revenue | 38,384 |
| 34,415 |
| | 29,211 |
| 27,139 |
| | 6,753 |
| 6,252 |
| | 10,637 |
| 10,197 |
| Provision for credit losses | 3,405 |
| 4,341 |
| | (142 | ) | (175 | ) | | 23 |
| (214 | ) | | 40 |
| 30 |
| Noninterest expense | 20,770 |
| 19,390 |
| | 16,237 |
| 14,854 |
| | 2,541 |
| 2,415 |
| | 7,732 |
| 7,606 |
| Income before income tax expense | 14,209 |
| 10,684 |
| | 13,116 |
| 12,460 |
| | 4,189 |
| 4,051 |
| | 2,865 |
| 2,561 |
| Income tax expense | 3,385 |
| 3,920 |
| | 3,318 |
| 3,963 |
| | 988 |
| 1,469 |
| | 616 |
| 878 |
| Net income | $ | 10,824 |
| $ | 6,764 |
| | $ | 9,798 |
| $ | 8,497 |
| | $ | 3,201 |
| $ | 2,582 |
| | $ | 2,249 |
| $ | 1,683 |
| Average equity | $ | 51,000 |
| $ | 51,000 |
| | $ | 70,000 |
| $ | 70,000 |
| | $ | 20,000 |
| $ | 20,000 |
| | $ | 9,000 |
| $ | 9,000 |
| Total assets | 560,432 |
| 537,459 |
| | 928,148 |
| 851,808 |
| | 217,194 |
| 220,064 |
| | 166,716 |
| 149,170 |
| Return on equity | 27 | % | 17 | % | | 18 | % | 15 | % | | 20 | % | 16 | % | | 32 | % | 24 | % | Overhead ratio | 54 |
| 56 |
| | 56 |
| 55 |
| | 38 |
| 39 |
| | 73 |
| 75 |
|
| | | | | | | | | | | | | | | | | | | | | | As of or for the nine months ended September 30, (in millions, except ratios) | Corporate | | Reconciling Items(a) | | Total | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | (220 | ) | $ | 963 |
| | $ | (1,337 | ) | $ | (1,733 | ) | | $ | 42,215 |
| $ | 39,178 |
| Net interest income | (35 | ) | 2 |
| | (473 | ) | $ | (987 | ) | | 40,705 |
| 37,070 |
| Total net revenue | (255 | ) | 965 |
| | (1,810 | ) | $ | (2,720 | ) | | 82,920 |
| 76,248 |
| Provision for credit losses | (3 | ) | — |
| | — |
| — |
| | 3,323 |
| 3,982 |
| Noninterest expense | 394 |
| 355 |
| | — |
| — |
| | 47,674 |
| 44,620 |
| Income/(loss) before income tax expense/(benefit) | (646 | ) | 610 |
| | (1,810 | ) | (2,720 | ) | | 31,923 |
| 27,646 |
| Income tax expense/(benefit) | 18 |
| (73 | ) | | (1,810 | ) | (2,720 | ) | | 6,515 |
| 7,437 |
| Net income/(loss) | $ | (664 | ) | $ | 683 |
| | $ | — |
| $ | — |
| | $ | 25,408 |
| $ | 20,209 |
| Average equity | $ | 78,995 |
| $ | 79,937 |
| | $ | — |
| $ | — |
| | $ | 228,995 |
| $ | 229,937 |
| Total assets | 742,693 |
| 804,573 |
| | NA |
| NA |
| | 2,615,183 |
| 2,563,074 |
| Return on equity | NM |
| NM |
| | NM |
| NM |
| | 14 | % | 11 | % | Overhead ratio | NM |
| NM |
| | NM |
| NM |
| | 57 |
| 59 |
|
| | (a) | Segment managed results reflect revenue on net income as reported byan FTE basis with the Firm as a whole or by the lines of business.Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. On at least an annual basis, the Firm assesses the level of capital required for each line of business as well as the assumptions and methodologies used to allocate capital. For additional information on business segment capital allocation, see Line of business equity on page 88 of JPMorgan Chase’s 2017 Annual Report.
Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, see Note1.
Net income in the first quarter of 2018 for the business segments reflects the favorable impact of the reduction in the U.S. federal statutorycorresponding income tax rate as a result ofimpact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the TCJA.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Segment results and reconciliation(a) | As of or for the three months ended March 31, (in millions, except ratios) | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking | | Asset & Wealth Management | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | 4,139 |
| $ | 3,317 |
| | $ | 7,917 |
| $ | 6,999 |
| | $ | 549 |
| $ | 599 |
| | $ | 2,630 |
| $ | 2,469 |
| Net interest income | 8,458 |
| 7,653 |
| | 2,566 |
| 2,600 |
| | 1,617 |
| 1,419 |
| | 876 |
| 819 |
| Total net revenue | 12,597 |
| 10,970 |
| | 10,483 |
| 9,599 |
| | 2,166 |
| 2,018 |
| | 3,506 |
| 3,288 |
| Provision for credit losses | 1,317 |
| 1,430 |
| | (158 | ) | (96 | ) | | (5 | ) | (37 | ) | | 15 |
| 18 |
| Noninterest expense | 6,909 |
| 6,395 |
| | 5,659 |
| 5,184 |
| | 844 |
| 825 |
| | 2,581 |
| 2,781 |
| Income before income tax expense | 4,371 |
| 3,145 |
| | 4,982 |
| 4,511 |
| | 1,327 |
| 1,230 |
| | 910 |
| 489 |
| Income tax expense | 1,045 |
| 1,157 |
| | 1,008 |
| 1,270 |
| | 302 |
| 431 |
| | 140 |
| 104 |
| Net income | $ | 3,326 |
| $ | 1,988 |
| | $ | 3,974 |
| $ | 3,241 |
| | $ | 1,025 |
| $ | 799 |
| | $ | 770 |
| $ | 385 |
| Average equity | $ | 51,000 |
| $ | 51,000 |
| | $ | 70,000 |
| $ | 70,000 |
| | $ | 20,000 |
| $ | 20,000 |
| | $ | 9,000 |
| $ | 9,000 |
| Total assets | 540,659 |
| 524,770 |
| | 909,845 |
| 840,304 |
| | 220,880 |
| 217,348 |
| | 158,439 |
| 141,049 |
| Return on equity | 25 | % | 15 | % | | 22 | % | 18 | % | | 20 | % | 15 | % | | 34 | % | 16 | % | Overhead ratio | 55 |
| 58 |
| | 54 |
| 54 |
| | 39 |
| 41 |
| | 74 |
| 85 |
|
| | | | | | | | | | | | | | | | | | | | | | As of or for the three months ended March 31, (in millions, except ratios) | Corporate | | Reconciling Items(a) | | Total | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| | 2018 |
| 2017 |
| Noninterest revenue | $ | (185 | ) | $ | 73 |
| | $ | (455 | ) | $ | (582 | ) | | $ | 14,595 |
| $ | 12,875 |
| Net interest income | (47 | ) | (98 | ) | | (158 | ) | $ | (329 | ) | | 13,312 |
| 12,064 |
| Total net revenue | (232 | ) | (25 | ) | | (613 | ) | $ | (911 | ) | | 27,907 |
| 24,939 |
| Provision for credit losses | (4 | ) | — |
| | — |
| — |
| | 1,165 |
| 1,315 |
| Noninterest expense | 87 |
| 98 |
| | — |
| — |
| | 16,080 |
| 15,283 |
| Income/(loss) before income tax expense/(benefit) | (315 | ) | (123 | ) | | (613 | ) | (911 | ) | | 10,662 |
| 8,341 |
| Income tax expense/(benefit) | 68 |
| (158 | ) | | (613 | ) | (911 | ) | | 1,950 |
| 1,893 |
| Net income/(loss) | $ | (383 | ) | $ | 35 |
| | $ | — |
| $ | — |
| | $ | 8,712 |
| $ | 6,448 |
| Average equity | $ | 77,615 |
| $ | 77,703 |
| | $ | — |
| $ | — |
| | $ | 227,615 |
| $ | 227,703 |
| Total assets | 779,962 |
| 822,819 |
| | NA |
| NA |
| | 2,609,785 |
| 2,546,290 |
| Return on equity | NM |
| NM |
| | NM |
| NM |
| | 15 | % | 11 | % | Overhead ratio | NM |
| NM |
| | NM |
| NM |
| | 58 |
| 61 |
|
| Firm’s reported U.S. GAAP results. | (a) | Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. |
|
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Stockholders of JPMorgan Chase & Co.: Results of Review of Financial Statements We have reviewed the accompanying consolidated balance sheet of JPMorgan Chase & Co. and its subsidiaries (the “Firm”) as of March 31,September 30, 2018, and the related consolidated statements of income and comprehensive income for the three-month and nine-month periods ended September 30, 2018 and 2017 and the consolidated statements of changes in stockholders’ equity and of cash flows for the three-monthnine-month periods ended March 31,September 30, 2018 and 2017, including the related notes (collectively referred to as the “interim financial statements”). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America. We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheet of the Firm as of December 31, 2017, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and of cash flows for the year then ended (not presented herein), and in our report dated February 27, 2018, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated balance sheet information as of December 31, 2017, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived.
Basis for Review Results These interim financial statements are the responsibility of the Firm’s management. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Firm in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
May 2,October 31, 2018
PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
| | JPMorgan Chase & Co. | Consolidated average balance sheets, interest and rates | | Consolidated average balance sheets, interest and rates (unaudited) | | Consolidated average balance sheets, interest and rates (unaudited) | (Taxable-equivalent interest and rates; in millions, except rates) | | | | | | | | | Three months ended March 31, 2018 | | Three months ended March 31, 2017 | Three months ended September 30, 2018 | | Three months ended September 30, 2017 | | Average balance | Interest(f) | | Rate (annualized) | | Average balance | Interest(f) | | Rate (annualized) | Average balance | Interest(f) | | Rate (annualized) | | Average balance | Interest(f) | | Rate (annualized) | Assets | | | | | | | | | | | | | | | Deposits with banks | $ | 423,807 |
| $ | 1,321 |
| | 1.26 | % | | $ | 423,746 |
| $ | 725 |
| | 0.69 | % | | $ | 408,595 |
| $ | 1,585 |
| | 1.54 | % | | $ | 456,673 |
| $ | 1,259 |
| | 1.09 | | Federal funds sold and securities purchased under resale agreements | 198,362 |
| 731 |
| | 1.49 |
| | 196,965 |
| 526 |
| | 1.08 |
| | 208,439 |
| 952 |
| | 1.81 |
| | 188,594 |
| 622 |
| | 1.31 | | Securities borrowed | 109,733 |
| 62 |
|
| 0.23 |
| | 95,372 |
| (44 | ) | (g) | (0.19 | ) | | 117,057 |
| 200 |
| | 0.68 |
| | 95,597 |
| — |
|
| — | | Trading assets – debt instruments | 256,040 |
| 2,118 |
| | 3.35 |
| | 225,801 |
| 1,883 |
| | 3.38 |
| | 258,027 |
| 2,170 |
| | 3.34 |
| | 240,876 |
| 1,974 |
| | 3.25 | | Taxable securities | 195,641 |
| 1,313 |
| | 2.72 |
| | 240,803 |
| 1,430 |
| | 2.41 |
| | 187,942 |
| 1,402 |
| | 2.96 |
| | 216,011 |
| 1,362 |
| | 2.50 | | Nontaxable securities(a) | 44,113 |
| 510 |
| | 4.69 |
| | 44,762 |
| 690 |
| | 6.25 |
| | 42,045 |
| 490 |
| | 4.62 |
| | 45,106 |
| 676 |
| | 5.95 | | Total investment securities | 239,754 |
| 1,823 |
| | 3.08 |
| (h) | | 285,565 |
| 2,120 |
| | 3.01 |
| (h) | 229,987 |
| 1,892 |
| | 3.26 |
| (g) | | 261,117 |
| 2,038 |
| | 3.10 | (g) | Loans | 926,548 |
| 11,117 |
| | 4.87 |
| | 891,904 |
| 9,823 |
| | 4.47 |
| | 951,724 |
| 12,250 |
| | 5.11 |
| | 909,580 |
| 10,591 |
| | 4.62 | | All other interest-earning assets(b) | 49,169 |
| 681 |
| | 5.61 |
| | 41,559 |
| 338 |
| | 3.30 |
| | 46,429 |
| 945 |
| | 8.07 |
| | 41,737 |
| 522 |
| | 4.96 | | Total interest-earning assets | 2,203,413 |
| 17,853 |
| | 3.29 |
| | 2,160,912 |
| 15,371 |
| | 2.88 |
| | 2,220,258 |
| 19,994 |
| | 3.57 |
| | 2,194,174 |
| 17,006 |
| | 3.07 | | Allowance for loan losses | (13,482 | ) | | | | | (13,723 | ) | | | | | (13,207 | ) | | | | | (13,290 | ) | | | Cash and due from banks | 22,173 |
| | | | | 19,920 |
| | | | | 21,101 |
| | | | | 20,289 |
| | | Trading assets – equity instruments | 107,688 |
| | | | | 115,284 |
| | | | | 102,962 |
| | | | | 119,463 |
| | | Trading assets – derivative receivables | 60,492 |
| | | | | 61,400 |
| | | | | 62,075 |
| | | | | 59,839 |
| | | Goodwill, MSRs and other intangible assets
| 54,702 |
| | | | | 54,249 |
| | | | | 54,652 |
| | | | | 53,788 |
| | | Other assets | 151,057 |
| | | | | 135,120 |
| | | | | 151,780 |
| | | | | 134,968 |
| | | Total assets | $ | 2,586,043 |
| | | | | $ | 2,533,162 |
| | | | | $ | 2,599,621 |
| | | | | $ | 2,569,231 |
| | | Liabilities | | | | | | | | | | | | | | | Interest-bearing deposits | $ | 1,046,521 |
| $ | 1,060 |
| | 0.41 | % | | $ | 986,015 |
| $ | 483 |
| | 0.20 | % | | $ | 1,057,262 |
| $ | 1,621 |
| | 0.61 | % | | $ | 1,029,534 |
| $ | 837 |
| | 0.32 | | Federal funds purchased and securities loaned or sold under repurchase agreements | 196,112 |
| 578 |
| | 1.20 |
| | 189,611 |
| 293 |
| | 0.63 |
| | 184,377 |
| 827 |
| | 1.78 |
| | 181,851 |
| 451 |
| | 0.98 | | Short-term borrowings(c) | 57,603 |
| 209 |
| | 1.47 |
| | 36,521 |
| 73 |
| | 0.79 |
| | 61,042 |
| 288 |
| | 1.87 |
| | 52,958 |
| 149 |
| | 1.12 | | Trading liabilities – debt and other interest-bearing liabilities(d)(e) | 171,488 |
| 660 |
| | 1.56 |
| | 176,824 |
| 405 |
| | 0.93 |
| | 177,091 |
| 1,018 |
| | 2.28 |
| | 168,738 |
| 570 |
| | 1.34 | | Beneficial interests issued by consolidated VIEs | 23,561 |
| 123 |
| | 2.11 |
| | 38,775 |
| 135 |
| | 1.41 |
| | 19,921 |
| 122 |
| | 2.41 |
| | 29,832 |
| 123 |
| | 1.62 | | Long-term debt | 279,005 |
| 1,753 |
| | 2.55 |
| | 292,224 |
| 1,589 |
| | 2.21 |
| | 275,979 |
| 2,056 |
| | 2.96 |
| | 294,626 |
| 1,759 |
| | 2.37 | | Total interest-bearing liabilities | 1,774,290 |
| 4,383 |
| | 1.00 |
| | 1,719,970 |
| 2,978 |
| | 0.70 |
| | 1,775,672 |
| 5,932 |
| | 1.33 |
| | 1,757,539 |
| 3,889 |
| | 0.88 | | Noninterest-bearing deposits | 399,487 |
| | | | | 405,548 |
| | | | | 395,600 |
| | | | | 401,489 |
| | | Trading liabilities – equity instruments(e) | 28,631 |
| | | | | 21,072 |
| | | | | 36,309 |
| | | | | 20,905 |
| | | Trading liabilities – derivative payables | 41,745 |
| | | | | 48,373 |
| | | | | 44,810 |
| | | | | 44,627 |
| | | All other liabilities, including the allowance for lending-related commitments | 88,207 |
| | | | | 84,428 |
| | | | | 90,539 |
| | | | | 86,742 |
| | | Total liabilities | 2,332,360 |
| | | | | 2,279,391 |
| | | | | 2,342,930 |
| | | | | 2,311,302 |
| | | Stockholders’ equity | | | | | | | | | | | | | | | Preferred stock | 26,068 |
| | | | | 26,068 |
| | | | | 26,252 |
| | | | | 26,068 |
| | | Common stockholders’ equity | 227,615 |
| | | | | 227,703 |
| | | | | 230,439 |
| | | | | 231,861 |
| | | Total stockholders’ equity | 253,683 |
| | | | | 253,771 |
| | | | | 256,691 |
| | | | | 257,929 |
| | | Total liabilities and stockholders’ equity | $ | 2,586,043 |
| | | | | $ | 2,533,162 |
| | | | | $ | 2,599,621 |
| | | | | $ | 2,569,231 |
| | | Interest rate spread | | | 2.29 | % | | | | 2.18 | % | | | | 2.24 | % | | | | 2.19 | | Net interest income and net yield on interest-earning assets | | $ | 13,470 |
| | 2.48 |
| | | $ | 12,393 |
| | 2.33 |
| | | $ | 14,062 |
| | 2.51 |
| | | $ | 13,117 |
| | 2.37 | |
Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, seerefer to Note 1. (a) Represents securities which are tax-exempt for U.S. federal income tax purposes. (b) Includes held-for-investment margin loans, which are classified in accrued interest and accounts receivable, and all other interest-earning assets, includedwhich are classified in other assets on the Consolidated balance sheets. (c) Includes commercial paper. (d) Other interest-bearing liabilities include brokerage customer payables. (e) The combined balance of trading liabilities – debt and equity instruments were $98.0$106.4 billion and $94.1$89.4 billion for the three months ended March 31,September 30, 2018 and 2017, respectively. (f) Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable. (g) For the three months ended September 30, 2018 and 2017, the annualized rates for securities, based on amortized cost, were 3.29% and 3.14%, respectively; this does not give effect to changes in fair value that are reflected in AOCI.
| | | | | | | | | | | | | | | | | | | | | | | JPMorgan Chase & Co. | Consolidated average balance sheets, interest and rates (unaudited) | (Taxable-equivalent interest and rates; in millions, except rates) | | | | | | Nine months ended September 30, 2018 | | Nine months ended September 30, 2017 | | Average balance | Interest(f) | | Rate (annualized) | | Average balance | Interest(f) | | Rate (annualized) | Assets | | | | | | | | | | | | Deposits with banks | $ | 419,392 |
| $ | 4,449 |
| | 1.42 | % | | | $ | 439,974 |
| $ | 3,002 |
| | 0.91 | % | | Federal funds sold and securities purchased under resale agreements | 203,969 |
| 2,490 |
| | 1.63 |
| | | 192,922 |
| 1,676 |
| | 1.16 |
| | Securities borrowed | 113,112 |
| 410 |
| | 0.49 |
| | | 93,708 |
| (65 | ) | (h) | (0.09 | ) | | Trading assets – debt instruments | 256,872 |
| 6,415 |
| | 3.34 |
| | | 233,884 |
| 5,691 |
| | 3.25 |
| | Taxable securities | 190,970 |
| 4,098 |
| | 2.87 |
| | | 228,580 |
| 4,202 |
| | 2.46 |
| | Nontaxable securities(a) | 42,911 |
| 1,494 |
| | 4.65 |
| | | 45,123 |
| 2,086 |
| | 6.18 |
| | Total investment securities | 233,881 |
| 5,592 |
| | 3.20 |
| (g) | | 273,703 |
| 6,288 |
| | 3.07 |
| (g) | Loans | 939,408 |
| 35,047 |
| | 4.99 |
| | | 902,216 |
| 30,479 |
| | 4.52 |
| | All other interest-earning assets(b) | 48,743 |
| 2,474 |
| | 6.79 |
| | | 41,113 |
| 1,295 |
| | 4.21 |
| | Total interest-earning assets | 2,215,377 |
| 56,877 |
| | 3.43 |
| | | 2,177,520 |
| 48,366 |
| | 2.97 |
| | Allowance for loan losses | (13,303 | ) | | | | | | (13,453 | ) | | | | | Cash and due from banks | 21,771 |
| | | | | | 20,003 |
| | | | | Trading assets – equity instruments | 107,580 |
| | | | | | 120,307 |
| | | | | Trading assets – derivative receivables | 61,188 |
| | | | | | 59,824 |
| | | | | Goodwill, MSRs and other intangible assets
| 54,656 |
| | | | | | 53,978 |
| | | | | Other assets | 152,325 |
| | | | | | 135,830 |
| | | | | Total assets | $ | 2,599,594 |
| | | | | | $ | 2,554,009 |
| | | | | Liabilities | | | | | | | | | | | | Interest-bearing deposits | $ | 1,054,419 |
| $ | 4,021 |
| | 0.51 | % | | | $ | 1,007,345 |
| $ | 1,949 |
| | 0.26 | % | | Federal funds purchased and securities loaned or sold under repurchase agreements | 190,832 |
| 2,164 |
| | 1.52 |
| | | 189,236 |
| 1,131 |
| | 0.80 |
| | Short-term borrowings(c) | 60,341 |
| 757 |
| | 1.68 |
| | | 44,273 |
| 318 |
| | 0.96 |
| | Trading liabilities – debt and other interest-bearing liabilities(d)(e) | 176,507 |
| 2,579 |
| | 1.95 |
| | | 172,949 |
| 1,490 |
| | 1.15 |
| | Beneficial interests issued by consolidated VIEs | 21,449 |
| 366 |
| | 2.28 |
| | | 34,197 |
| 386 |
| | 1.51 |
| | Long-term debt | 276,865 |
| 5,812 |
| | 2.81 |
| | | 294,248 |
| 5,035 |
| | 2.29 |
| | Total interest-bearing liabilities | 1,780,413 |
| 15,699 |
| | 1.18 |
| | | 1,742,248 |
| 10,309 |
| | 0.79 |
| | Noninterest-bearing deposits | 398,728 |
| | | | | | 403,704 |
| | | | | Trading liabilities – equity instruments(e) | 33,206 |
| | | | | | 20,441 |
| | | | | Trading liabilities – derivative payables | 42,919 |
| | | | | | 45,900 |
| | | | | All other liabilities, including the allowance for lending-related commitments | 89,203 |
| | | | | | 85,711 |
| | | | | Total liabilities | 2,344,469 |
| | | | | | 2,298,004 |
| | | | | Stockholders’ equity | | | | | | | | | | | | Preferred stock | 26,130 |
| | | | | | 26,068 |
| | | | | Common stockholders’ equity | 228,995 |
| | | | | | 229,937 |
| | | | | Total stockholders’ equity | 255,125 |
| | | | | | 256,005 |
| | | | | Total liabilities and stockholders’ equity | $ | 2,599,594 |
| | | | | | $ | 2,554,009 |
| | | | | Interest rate spread | | | | 2.25 | % | | | | | | 2.18 | % | | Net interest income and net yield on interest-earning assets | | $ | 41,178 |
| | 2.49 |
| | | | $ | 38,057 |
| | 2.34 |
| |
Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note 1. (a) Represents securities which are tax-exempt for U.S. federal income tax purposes. (b) Includes held-for-investment margin loans, which are classified in accrued interest and accounts receivable, and all other interest-earning assets, which are classified in other assets on the Consolidated balance sheets. (c) Includes commercial paper. (d) Other interest-bearing liabilities include brokerage customer payables. (e) The combined balance of trading liabilities – debt and equity instruments were $105.1 billion and $91.3 billion for the nine months ended September 30, 2018 and 2017, respectively. (f) Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable. (g) For the nine months ended September 30, 2018 and 2017, the annualized rates for securities, based on amortized cost, were 3.23% and 3.11%, respectively; this does not give effect to changes in fair value that are reflected in AOCI. (h) Negative interest income and yield is related to client-driven demand for certain securities combined with the impact of low interest rates; this is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within trading liabilities – debt and other interest-bearing liabilities.liabilities (h) For the three months ended March 31, 2018 and 2017, the annualized rates for securities, based on amortized cost, were 3.12% and 3.04%, respectively; this does not give effect to changes in fair value that are reflected in AOCI.
| | | | | | GLOSSARY OF TERMS AND ACRONYMS |
2017 Annual Report or 2017 Form 10-K: Annual report on Form 10-K for year ended December 31, 2017, filed with the U.S. Securities and Exchange Commission. ABS: Asset-backed securities Active foreclosures: Loans referred to foreclosure where formal foreclosure proceedings are ongoing. Includes both judicial and non-judicial states. AFS: Available-for-sale Allowance for loan losses to total loans: represents period-end allowance for loan losses divided by retained loans. AOCI: Accumulated other comprehensive income/(loss) ARM(s): Adjustable rate mortgage(s) AWM: Asset & Wealth Management Beneficial interests issued by consolidated VIEs:represents the interest of third-party holders of debt, equity securities, or other obligations, issued by VIEs that JPMorgan Chase consolidates. Benefit obligation: refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans. BHC: Bank holding company CB: Commercial Banking CBB: Consumer & Business Banking CCAR: Comprehensive Capital Analysis and Review CCB: Consumer & Community Banking CCP: “Central counterparty” is a clearing house that interposes itself between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer and thereby ensuring the future performance of open contracts. A CCP becomes counterparty to trades with market participants through novation, an open offer system, or another legally binding arrangement. CDS: Credit default swaps CEO: Chief Executive Officer CET1 Capital: Common equity Tier 1 Capital CFTC: Commodity Futures Trading Commission CFO: Chief Financial Officer Chase Bank USA, N.A.: Chase Bank USA, National Association CIB: Corporate & Investment Bank CIO: Chief Investment Office Client deposits and other third party liabilities: Deposits, as well as deposits that are swept to on-balance sheet liabilities (e.g., commercial paper, federal funds purchased and securities loaned or sold under repurchase agreements) as part of client cash management programs. CLO: Collateralized loan obligations CLTV: Combined loan-to-value Collateral-dependent:A loan is considered to be collateral-dependent when repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower’s operations, income or other resources. Commercial Card: provides a wide range of payment services to corporate and public sector clients worldwide through the commercial card products. Services include procurement, corporate travel and entertainment, expense management services, and business-to-business payment solutions. Core loans: represents loans considered central to the Firm’s ongoing businesses; core loans exclude loans classified as trading assets, runoff portfolios, discontinued portfolios and portfolios the Firm has an intent to exit. Credit derivatives:Financial instruments whose value is derived from the credit risk associated with the debt of a third party issuer (the reference entity) which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Upon the occurrence of a credit event by the reference entity, which may include, among other events, the bankruptcy or failure to pay its obligations, or certain restructurings of the debt of the reference entity, neither party has recourse to the reference entity. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value at the time of settling the credit derivative contract. The determination as to whether a credit event has occurred is generally made by the relevant International Swaps and Derivatives Association (“ISDA”) Determinations Committee. Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes and are generally consistent with a rating of CCC+/Caa1 and below, as defined by S&P and Moody’s. CRO: Chief Risk Officer CVA: Credit valuation adjustmentsadjustment DFAST: Dodd-Frank Act Stress Test Dodd-Frank Act: Wall Street Reform and Consumer Protection Act DOJ: U.S. Department of Justice DOL: U.S.Department of Labor DVA: Debit valuation adjustment E&P: Exploration & Production
EC: European Commission Eligible LTD: Long-term debt satisfying certain eligibility criteria Embedded derivatives: are implicit or explicit terms or features of a financial instrument that affect some or all of the cash flows or the value of the instrument in a manner similar to a derivative. An instrument containing such terms or features is referred to as a “hybrid.” The component of
the hybrid that is the non-derivative instrument is referred
to as the “host.” For example, callable debt is a hybrid instrument that contains a plain vanilla debt instrument (i.e., the host) and an embedded option that allows the issuer to redeem the debt issue at a specified date for a specified amount (i.e., the embedded derivative). However, a floating rate instrument is not a hybrid composed of a fixed-rate instrument and an interest rate swap. ERISA: Employee Retirement Income Security Act of 1974 EPS: Earnings per share Exchange-traded derivatives: Derivative contracts that are executed on an exchange and settled via a central clearing house. Fannie Mae: Federal National Mortgage Association FASB: Financial Accounting Standards Board FCA: Financial Conduct Authority FCC: Firmwide Control Committee FDIA: Federal Depository Insurance Act FDIC: Federal Deposit Insurance Corporation Federal Reserve: The Board of the Governors of the Federal Reserve System Fee share: Proportion of fee revenue based on estimates of investment banking fees generated across the industry from investment banking transactions in M&A, equity and debt underwriting, and loan syndications. Source: Dealogic, a third party provider of investment banking fee competitive analysis and volume-based league tables for the above noted industry products. FFELP: Federal Family Education Loan Program FFIEC: Federal Financial Institutions Examination Council FHA: Federal Housing Administration FHLB: Federal Home Loan Bank FICO score:A measure of consumer credit risk based on information in consumer credit reports produced by Fair Isaac Corporation. Because certain aged data is excluded from credit reports based on rules in the Fair Credit Reporting Act, FICO scores may not reflect all historical information about a consumer. Firm: JPMorgan Chase & Co. Forward points: represents the interest rate differential between two currencies, which is either added to or subtracted from the current exchange rate (i.e., “spot rate”) to determine the forward exchange rate. Freddie Mac: Federal Home Loan Mortgage Corporation Free-standing derivatives: is a derivative contract entered into either separate and apart from any of the Firm’s other financial instruments or equity transactions. Or, in conjunction with some other transaction and is legally detachable and separately exercisable. FSB: Financial Stability Board FTE: Fully taxable-equivalent FVA: Funding valuation adjustment FX: Foreign exchange G7: “Group of Seven nations”:Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S. G7 government securities:Securities issued by the government of one of the G7 nations. Ginnie Mae:Government National Mortgage Association GSE: Fannie Mae and Freddie Mac GSIB: GloballyGlobal systemically important banks HAMP: Home affordable modification program Headcount-related expense: Includes salary and benefits (excluding performance-based incentives), and other noncompensation costs related to employees. HELOAN: Home equity loan HELOC: Home equity line of credit Home equity – senior lien:represents loans and commitments where JPMorgan Chase holds the first security interest on the property. Home equity – junior lien:represents loans and commitments where JPMorgan Chase holds a security interest that is subordinate in rank to other liens. HQLA: High quality liquid assets HTM: Held-to-maturity IDI: Insured depository institutions IHC: JPMorgan Chase Holdings LLC, an intermediate holding company Impaired loan:Impaired loans are loans measured at amortized cost, for which it is probable that the Firm will be unable to collect all amounts due, including principal and interest, according to the contractual terms of the agreement. Impaired loans include the following: All wholesale nonaccrual loans All TDRs (both wholesale and consumer), including ones that have returned to accrual status Investment-grade:An indication of credit quality based on JPMorgan Chase’s internal risk assessment system. “Investment grade” generally represents a risk profile similar to a rating of a “BBB-”/“Baa3” or better, as defined by independent rating agencies. IR: Interest rate ISDA: International Swaps and Derivatives Association JPMorgan Chase: JPMorgan Chase & Co. JPMorgan Chase Bank, N.A.: JPMorgan Chase Bank, National Association JPMorganJ.P. Morgan Securities: J.P. Morgan Securities LLC
LCR: Liquidity coverage ratio LGD: Loss given default LIBOR: London Interbank Offered Rate LLC:Limited Liability Company LOB: Line of business Loss emergence period: represents the time period between the date at which the loss is estimated to have been incurred and the ultimate realization of that loss.
LTIP: Long-term incentive plan LTV: “Loan-to-value ratio”: For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan. Origination date LTV ratio The LTV ratio at the origination date of the loan. Origination date LTV ratios are calculated based on the actual appraised values of collateral (i.e., loan-level data) at the origination date. Current estimated LTV ratio An estimate of the LTV as of a certain date. The current estimated LTV ratios are calculated using estimated collateral values derived from a nationally recognized home price index measured at the metropolitan statistical area (“MSA”) level. These MSA-level home price indices consist of actual data to the extent available and forecasted data where actual data is not available. As a result, the estimated collateral values used to calculate these ratios do not represent actual appraised loan-level collateral values; as such, the resulting LTV ratios are necessarily imprecise and should therefore be viewed as estimates. Combined LTV ratio The LTV ratio considering all available lien positions, as well as unused lines, related to the property. Combined LTV ratios are used for junior lien home equity products. Master netting agreement:A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due). Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer. MBS: Mortgage-backed securities MD&A: Management’s discussion and analysis MMDA: Money Market Deposit Accounts
Moody’s: Moody’s Investor Services Mortgage product types: Alt-A Alt-A loans are generally higher in credit quality than subprime loans but have characteristics that would disqualify the borrower from a traditional prime loan. Alt-A lending characteristics may include one or more of the following: (i) limited documentation; (ii) a high CLTV ratio; (iii) loans secured by non-owner occupied properties; or (iv) a debt-to-income ratio above normal limits. A substantial proportion of the Firm’s Alt-A loans are those where a borrower does not provide complete documentation of his or her assets or the amount or source of his or her income. Option ARMs The option ARM real estate loan product is an adjustable-rate mortgage loan that provides the borrower with the option each month to make a fully amortizing, interest-only or minimum payment. The minimum payment on an option ARM loan is based on the interest rate charged during the introductory period. This introductory rate is usually significantly below the fully indexed rate. The fully indexed rate is calculated using an index rate plus a margin. Once the introductory period ends, the contractual interest rate charged on the loan increases to the fully indexed rate and adjusts monthly to reflect movements in the index. The minimum payment is typically insufficient to cover interest accrued in the prior month, and any unpaid interest is deferred and added to the principal balance of the loan. Option ARM loans are subject to payment recast, which converts the loan to a variable-rate fully amortizing loan upon meeting specified loan balance and anniversary date triggers. Prime Prime mortgage loans are made to borrowers with good credit records who meet specific underwriting requirements, including prescriptive requirements related to income and overall debt levels. New prime mortgage borrowers provide full documentation and generally have reliable payment histories. Subprime Subprime loans are loans that, prior to mid-2008, were offered to certain customers with one or more high risk characteristics, including but not limited to: (i) unreliable or poor payment histories; (ii) a high LTV ratio of greater than 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the loan is other than the borrower’s primary residence; or (v) a history of delinquencies or late payments on the loan. MSA: Metropolitan statistical areas MSR: Mortgage servicing rights NA:Data is not applicable or available for the period presented. Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934. Net charge-off/(recovery) rate: represents net charge-offs/(recoveries) (annualized) divided by average retained loans for the reporting period. Net interchange income includes the following components: | | • | Interchange income:Fees earned by credit and debit card issuers on sales transactions. |
| | • | Rewards costs: The cost to the Firm for points earned by cardholders enrolled in credit card rewards programs. |
| | • | Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions. |
Interchange income:A fee paid to a credit card issuer in the clearing and settlement of a sales or cash advance transaction.
Reward costs: The cost to the Firm for points earned by cardholders enrolled in credit card reward programs.
Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
Net yield on interest-earning assets: The average rate for interest-earning assets less the average rate paid for all sources of funds.
NM:Not meaningful NOL: Net operating loss Nonaccrual loans:Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest has been in default for a period of 90 days or more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are typically maintained on nonaccrual status. Nonperforming assets: Nonperforming assets include nonaccrual loans, nonperforming derivatives and certain assets acquired in loan satisfactions, predominantly real estate owned and other commercial and personal property. NOW: Negotiable Order of Withdrawal
NSFR: Net stable funding ratio
OAS: Option-adjusted spread
OCC: Office of the Comptroller of the Currency OCI: Other comprehensive income/(loss) OEP: One Equity Partners OIS: Overnight index swap OPEB: Other postretirement employee benefit OTC: “Over-the-counter derivatives”:Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer. OTC cleared: “Over-the-counter cleared derivatives”:Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house. OTTI: Other-than-temporary impairment Overhead ratio: Noninterest expense as a percentage of total net revenue. Parent Company: JPMorgan Chase & Co. Participating securities: represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. JPMorgan Chase grants restricted stock and RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive nonforfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends. PCA: Prompt corrective action PCI: “Purchased credit-impaired” loansrepresents certain loans that were acquired and deemed to be credit-impaired on the acquisition date in accordance with the guidance of the FASB. The guidance allows purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans have common risk characteristics (e.g., product type, LTV ratios, FICO scores, past due status, geographic location). A pool is then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows. PD: Probability of default PRA: Prudential Regulatory Authority Pre-provision profit/(loss): represents total net revenue less noninterest expense. The Firm believes that this financial measure is useful in assessing the ability of a lending institution to generate income in excess of its provision for credit losses. Principal transactions revenue:Principal transactions revenue is driven by many factors, including the bid-offer spread, which is the difference between the price at which the Firm is willing to buy a financial or other instrument and the price at which the Firm is willing to sell that instrument. It also consists of realized (as a result of closing out or termination of transactions, or interim cash payments) and unrealized (as a result of changes in valuation) gains and losses on financial and other instruments (including those accounted for under the fair value option) primarily used in client-driven market-making activities and on private equity investments. In connection with its client-driven market-making activities, the Firm transacts in debt and equity instruments, derivatives and commodities (including physical commodities inventories and financial instruments that reference commodities). Principal transactions revenue also includes certain realized and unrealized gains and losses related to hedge accounting and specified risk-management activities, including: (a) certain derivatives designated in qualifying hedge accounting relationships (primarily fair value hedges of commodity and foreign exchange risk), (b) certain derivatives used for specific risk management purposes, primarily to mitigate credit risk and foreign exchange risk, and (c) other derivatives. PSU(s): Performance share units Receivables from customers: primarily represents margin loans to brokerage customers that are collateralized through assets maintained in the clients’ brokerage accounts, as such no allowance is held against these receivables. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets. Regulatory VaR: Daily aggregated VaR calculated in accordance with regulatory rules. REO: Real estate owned Reported basis: Financial statements prepared under U.S. GAAP, which excludes the impact of taxable-equivalent adjustments. Retained loans:Loans that are held-for-investment (i.e. excludes loans held-for-sale and loans at fair value).
Revenue wallet: Total fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications. Source: Dealogic, a third-party provider of investment banking competitive analysis and volume based league tables for the above noted industry products.
RHS:Rural Housing Service of the U.S. Department of Agriculture ROE: Return on equity ROTCE: Return on tangible common equity RSU(s): Restricted stock units RWA: “Risk-weighted assets”:Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach) which include capital requirements forcredit risk, market risk, and in the case of Basel III Advanced, also operational risk.Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced. S&P: Standard and Poor’s 500 Index SAR(s): Stock appreciation rights SCCL: Single-counterparty credit limits Scored portfolio: The scored portfolio predominantly includes residential real estate loans, credit card loans and certain auto and business banking loans where credit loss estimates are based on statistical analysis of credit losses over discrete periods of time. The statistical analysis uses portfolio modeling, credit scoring and decision-support tools. SEC: U.S.Securities and Exchange Commission Seed capital: Initial JPMorgan capital invested in products, such as mutual funds, with the intention of ensuring the fund is of sufficient size to represent a viable offering to clients, enabling pricing of its shares, and allowing the manager to develop a track record. After these goals are achieved, the intent is to remove the Firm’s capital from the investment. Short sale: is a sale of real estate in which proceeds from selling the underlying property are less than the amount owed the Firm under the terms of the related mortgage and the related lien is released upon receipt of such proceeds.
Single-name: Single reference-entities SLR: Supplementary leverage ratio SMBS: Stripped mortgage-backed securities SOA: Society of Actuaries
SPEs: Special purpose entities Structural interest rate risk: represents interest rate risk of the non-trading assets and liabilities of the Firm. Structured notes:Structured notes are predominantly financial instruments containingwhose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Where present,Contractual cash flows for principal, interest, or both can vary in amount and timing throughout the embedded derivative islife of the primary drivernote based on non-traditional indexes or non-traditional uses of risk.traditional interest rates or indexes. Suspended foreclosures:Loans referred to foreclosure where formal foreclosure proceedings have started but are currently on hold, whichwhic h could be due to bankruptcy or loss mitigation. Includes both judicial and non-judicial states. Taxable-equivalent basis: In presenting managed results, the total net revenue for each of the business segments and the Firm is presented on a tax-equivalent basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities; the corresponding income tax impact related to tax-exempt items is recorded within income tax expense. TBVPS: Tangible book value per share TCE: Tangible common equity TDR:“Troubled debt restructuring” is deemed to occur when the Firm modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. TLAC: Total Loss Absorbing Capacity U.K.: United Kingdom Unaudited:Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion. U.S.: United States of America U.S. GAAP:Accounting principles generally accepted in the United States of America. U.S. GSE(s): “U.S. government-sponsored enterprises”:In the U.S., GSEs are quasi-governmental, privately-held entities established by Congress to improve the flow of credit to specific sectors of the economy and provide certain essential services to the public. U.S. GSEs include Fannie Mae and Freddie Mac, but do not include Ginnie Mae, which is directly owned by the U.S. Department of Housing and Urban Development. U.S. GSE obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government. U.S. Treasury:U.S. Department of the Treasury VA: U.S. Department of Veterans Affairs VaR: “Value-at-risk” is a measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment. VIEs: Variable interest entities Warehouse loans:consist of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets. Washington Mutual transaction:On September 25, 2008, JPMorgan Chase acquired certain of the assets of the banking operations of Washington Mutual Bank (“Washington Mutual”) from the FDIC.
CONSUMER & COMMUNITY BANKING (“CCB”) Debit and credit card sales volume: Dollar amount of cardmember purchases, net of returns. Deposit margin/deposit spread: represents net interest income expressed as a percentage of average deposits. Home Lending Production and Home Lending Servicing revenue comprises the following: Net production revenue: includes net gains or losses on originations and sales of mortgage loans, other production-related fees and losses related to the repurchase of previously-sold loans. Net mortgage servicing revenue: includes the following components: a) Operating revenue predominantly represents the return on Home Lending Servicing’s MSR asset and includes: Actual gross income earned from servicing third-party mortgage loans, such as contractually specified servicing fees and ancillary income; and The change in the fair value of the MSR asset due to the collection or realization of expected cash flows. b) Risk management represents the components of Home Lending Servicing’s MSR asset that are subject to ongoing risk management activities, together with derivatives and other instruments used in those risk management activities. Mortgage origination channels comprise the following: Retail: Borrowers who buy or refinance a home through direct contact with a mortgage banker employed by the Firm using a branch office, the Internet or by phone. Borrowers are frequently referred to a mortgage banker by a banker in a Chase branch, real estate brokers, home builders or other third parties. Correspondent: Banks, thrifts, other mortgage banks and other financial institutions that sell closed loans to the Firm. Card Services: includes the Card and Merchant Services businesses. Card: is a business that primarily issues credit cards to consumers and small businesses. Merchant Services: is a business that primarily processes transactions for merchants. Net revenue rate: represents Card Services net revenue (annualized) expressed as a percentage of average loans for the period. Auto loan and lease origination volume: Dollar amount of auto loans and leases originated. CORPORATE & INVESTMENT BANK (“CIB”) Definition of selected CIB revenue: Investment Banking: incorporates all revenue associated with investment banking activities, and is reported net of investment banking revenue shared with other lines of business. Treasury Services: offers a broad range of products and services that enable clients to manage payments and receipts, as well as invest and manage funds. Products include U.S. dollar and multi-currency clearing, ACH, lockbox, disbursement and reconciliation services, check deposits, and currency-related services. Lending: includes net interest income, fees, gains or losses on loan sale activity, gains or losses on securities received as part of a loan restructuring, and the risk management results related to the credit portfolio. Lending also includes Trade Finance, which includes loans tied directly to goods crossing borders, export/import loans, commercial letters of credit, standby letters of credit, and supply chain finance. Fixed Income Markets: primarily includes revenue related to market-making across global fixed income markets, including foreign exchange, interest rate, credit and commodities markets. Equity Markets: primarily includes revenue related to market-making across global equity products, including cash instruments, derivatives, convertibles and Prime Services.prime brokerage. Securities Services: primarilyincludes custody, fund accounting and administration, and securities lending products sold principally to asset managers, insurance companies and public and private investment funds. Also includes clearance, collateral management and depositary receipts business which provides broker-dealer clearing and custody services, including tri-party repo transactions, collateral management products, and depositary bank services for American and global depositary receipt programs. Description of certain business metrics: Assets under custody (“AUC”): represents activities associated with the safekeeping and servicing of assets on which Securities Services earns fees. Investment banking fees: represents advisory, equity underwriting, bond underwriting and loan syndication fees.
COMMERCIAL BANKING (“CB”) CB is divided into four primary client segments: Middle Market Banking, Corporate Client Banking, Commercial Term Lending, and Real Estate Banking. Middle Market Banking: covers corporate, municipal and nonprofit clients, with annual revenue generally ranging between $20 million and $500 million. Corporate Client Banking: covers clients with annual revenue generally ranging between $500 million and $2 billion and focuses on clients that have broader investment banking needs. Commercial Term Lending: primarily provides term financing to real estate investors/owners for multifamily properties as well as office, retail and industrial properties. Real Estate Banking: provides full-service banking to investors and developers of institutional-grade real estate investment properties. Other: primarily includes lending and investment-related activities within the Community Development Banking business. CB product revenue comprises the following: Lending: includes a variety of financing alternatives, which are primarily provided on a secured basis; collateral includes receivables, inventory, equipment, real estate or other assets. Products include term loans, revolving lines of credit, bridge financing, asset-based structures, leases, and standby letters of credit. Treasury services: includes revenue from a broad range of products and services that enable CB clients to manage payments and receipts, as well as invest and manage funds. Investment banking: includes revenue from a range of products providing CB clients with sophisticated capital-raising alternatives, as well as balance sheet and risk management tools through advisory, equity underwriting, and loan syndications. Revenue from fixed income and equity market products used by CB clients is also included. Other: product revenue primarily includes tax-equivalent adjustments generated from Community Development Banking activity and certain income derived from principal transactions. ASSET & WEALTH MANAGEMENT (“AWM”) Assets under management (“AUM”): represent assets managed by AWM on behalf of its Private Banking, Institutional and Retail clients. Client assets: represent assets under management, as well as custody, brokerage, administration and deposit accounts. Multi-asset: Any fund or account that allocates assets under management to more than one asset class. Alternative assets: The following types of assets constitute alternative investments – hedge funds, currency, real estate, private equity and other investment funds designed to focus on nontraditional strategies. AWM’s lines of business consist of the following: Asset Management: provides comprehensive global investment services - including asset management, pension analytics, asset-liability management and active risk-budgeting strategies. Wealth Management: offers investment advice and wealth management, including investment management, capital markets and risk management, tax and estate planning, banking, lending and specialty-wealth advisory services. AWM’s client segments consist of the following: Private Banking: clients include high- and ultra-high-net-worth individuals, families, money managers, business owners and small corporations worldwide. Institutional: clients include both corporate and public institutions, endowments, foundations, nonprofit organizations and governments worldwide. Retail: clients include financial intermediaries and individual investors.
Asset Management has two high-level measures of its overall fund performance: Percentage of mutual fund assets under management in funds rated 4- or 5-star: Mutual fund rating services rank funds based on their risk-adjusted performance over various periods. A 5-star rating is the best rating and represents the top 10% of industry-wide ranked funds. A 4-star rating represents the next 22.5% of industry-wide ranked funds. A 3-star rating represents the next 35% of industry-wide ranked funds. A 2-star rating represents the next 22.5% of industry-wide ranked funds. A 1-star rating is the worst rating and represents the bottom 10% of industry-wide ranked funds. The “overall Morningstar rating” is derived from a weighted average of the performance associated with a fund’s three-, five- and ten-year (if applicable) Morningstar Rating metrics. For U.S. domiciled funds, separate star ratings are given at the individual share class level. The Nomura “star rating” is based on three-year risk-adjusted performance only. Funds with fewer than three years of history are not rated and hence excluded from this analysis. All ratings, the assigned peer categories and the asset values used to derive this analysis are sourced from these fund rating providers. The data providers re-denominate the asset values into U.S. dollars. This % of AUM is based on star ratings at the share class level for U.S. domiciled funds, and at a “primary share class” level to represent the star rating of all other funds except for Japan where Nomura provides ratings at the fund level. The “primary share class”, as defined by Morningstar, denotes the share class recommended as being the best proxy for the portfolio and in most cases will be the most retail version (based upon annual management charge, minimum investment, currency and other factors). The performance data could have been different if all funds/accounts would have been included. Past performance is not indicative of future results. Percentage of mutual fund assets under management in funds ranked in the 1st or 2nd quartile (one, three, and five years): All quartile rankings, the assigned peer categories and the asset values used to derive this analysis are sourced from the fund ranking providers. Quartile rankings are done on the net-of-fee absolute return of each fund. The data providers re-denominate the asset values into U.S. dollars. This % of AUM is based on fund performance and associated peer rankings at the share class level for U.S. domiciled funds, at a “primary share class” level to represent the quartile ranking of the U.K., Luxembourg and Hong Kong funds and at the fund level for all other funds. The “primary share class”, as defined by Morningstar, denotes the share class recommended as being the best proxy for the portfolio and in most cases will be the most retail version (based upon annual management charge, minimum investment, currency and other factors). Where peer group rankings given for a fund are in more than one “primary share class” territory both rankings are included to reflect local market competitiveness (applies to “Offshore Territories” and “HK SFC Authorized” funds only). The performance data could have been different if all funds/accounts would have been included. Past performance is not indicative of future results.
Item 3. Quantitative and Qualitative Disclosures About Market Risk. For a discussion of the quantitative and qualitative disclosures about market risk, seerefer to the Market Risk Management section of Management’s discussion and analysis and pages 121-128 of JPMorgan Chase’s 2017 Annual Report. Item 4. Controls and Procedures. As of the end of the period covered by this report, an evaluation was carried out under the supervision and with the participation of the Firm’s management, including its Chairman and Chief Executive Officer and its Chief Financial Officer, of the effectiveness of its disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934). Based on that evaluation, the Chairman and Chief Executive Officer and the Chief Financial Officer concluded that these disclosure controls and procedures were effective. SeeRefer to Exhibits 31.1 and 31.2 for the Certification statements issued by the Chairman and Chief Executive Officer and Chief Financial Officer. The Firm is committed to maintaining high standards of internal control over financial reporting. Nevertheless, because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. In addition, in a firm as large and complex as JPMorgan Chase, lapses or deficiencies in internal controls do occur from time to time, and there can be no assurance that any such deficiencies will not result in significant deficiencies or material weaknesses in internal controls in the future. For further information, seerefer to “Management’s report on internal control over financial reporting” on page 146 of JPMorgan Chase’s 2017 Annual Report. There was no change in the Firm’s internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) that occurred during the three months ended March 31,September 30, 2018, that has materially affected, or is reasonably likely to materially affect, the Firm’s internal control over financial reporting.
Part II – Other Information Item 1. Legal Proceedings. For information that updates the disclosures set forth under Part I, Item 3: Legal Proceedings, in JPMorgan Chase’s 2017 Annual Report on Form 10-K, seerefer to the discussion of the Firm’s material legal proceedings in Note 22 of this Form 10-Q. Item 1A. Risk Factors. For a discussion of certain risk factors affecting the Firm, seerefer to Part I, Item 1A: Risk Factors on pages 8–26 of JPMorgan Chase’s 2017 Annual Report on Form 10-K and Forward-Looking Statements on page 7385 of this Form 10-Q. Supervision and regulation For information on Supervision and Regulation, seerefer to Recent regulatory updatesdevelopments on page 3344 of this Form 10-Q and the Supervision and regulation section on pages 1–8 of JPMorgan Chase’s 2017 Form 10-K. Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. DuringThe Firm did not have any unregistered sale of equity securities during the three months ended March 31, 2018, no shares of common stock of JPMorgan Chase & Co. were issued in transactions exempt from registration under the Securities Act of 1933, pursuant to Section 4(2) thereof.September 30, 2018.
Repurchases under the common equity repurchase program Following receipt in June 2017 of the Federal Reserve’s non-objection to the Firm’s 2017 capital plan, the Firm’s Board of Directors authorized the repurchase of up to $19.4 billion of common equity (common stock and warrants) between July 1, 2017 and June 30, 2018. This authorization includes shares repurchased to offset issuancesFor information regarding repurchases under the Firm’s equity-based compensation plans. The following table sets forth the Firm’s repurchases of common equity for the three months ended March 31, 2018 and 2017. There were no warrants repurchased during the three months ended March 31, 2018 and 2017.
| | | | | | | | | | | Three months ended March 31, | (in millions) | | 2018 |
| 2017 |
| Total shares of common stock repurchased | | 41.4 |
| 32.1 |
| Aggregate common stock repurchases | | $ | 4,671 |
| $ | 2,832 |
|
The Firm may, from time to time, enter into written trading plans under Rule 10b5-1 of the Securities Exchange Act of 1934 to facilitate repurchases in accordance with the common equity repurchase program. A Rule 10b5-1 repurchase plan allows the Firmprogram, refer to repurchase its equity during periods when it would not otherwise be repurchasing common equity — for example, during internal trading blackout periods. All purchases under Rule 10b5-1 plans must be made according to predefined plans established when the Firm is not awareCapital Risk Management on pages 44-48 of material nonpublic information.
The authorization to repurchase common equity will be utilized at management’s discretion,this Form 10-Q and the timingpages 82-91 of purchases and the exact amount of common equity that may be repurchased is subject to various factors, including market conditions; legal and regulatory considerations affecting the amount and timing of repurchase activity; the Firm’s capital position (taking into account goodwill and intangibles); internal capital generation; and alternative investment opportunities. The repurchase program does not include specific price targets or timetables; maybe executed through open market purchases or privately negotiated transactions, or utilizing Rule 10b5-1 programs; and may be suspended at any time.JPMorgan Chase’s 2017 10-K.
Shares repurchased pursuant to the common equity repurchase program during the threenine months ended March 31,September 30, 2018, were as follows. | | | | | | | | | | | | | | | | | Three months ended March 31, 2018 | Total shares of common stock repurchased | | Average price paid per share of common stock(a) | | Aggregate repurchases of common equity (in millions)(a) | | Dollar value of remaining authorized repurchase (in millions)(a) | | January | 12,479,338 |
| | $ | 110.98 |
| | $ | 1,385 |
| | $ | 8,442 |
| | February | 14,798,888 |
| | 112.94 |
| | 1,671 |
| | 6,771 |
| | March | 14,140,809 |
| | 114.20 |
| | 1,615 |
| | 5,156 |
| (b) | First quarter | 41,419,035 |
| | $ | 112.78 |
| | $ | 4,671 |
| | $ | 5,156 |
| (b) |
| | | | | | | | | | | | | | | | | Nine months ended September 30, 2018 | Total shares of common stock repurchased | | Average price paid per share of common stock(a) | | Aggregate repurchases of common equity (in millions)(a) | | Dollar value of remaining authorized repurchase (in millions)(a) | | First quarter | 41,419,035 |
| | $ | 112.78 |
| | $ | 4,671 |
| | $ | 5,156 |
| (b) | Second quarter | 45,299,370 |
| | 109.67 |
| | 4,968 |
| | 188 |
| (c) | July | 15,450,734 |
| | 107.83 |
| | 1,666 |
| | 19,059 |
| | August | 12,302,781 |
| | 115.67 |
| | 1,423 |
| | 17,636 |
| | September | 11,528,761 |
| | 115.07 |
| | 1,327 |
| | 16,309 |
| | Third quarter | 39,282,276 |
| | 112.41 |
| | 4,416 |
| | 16,309 |
| | Year-to-date | 126,000,681 |
| | $ | 111.55 |
| | $ | 14,055 |
| | $ | 16,309 |
| |
| | (a) | Excludes commissions cost. |
| | (b) | Represents the amount remaining under the $19.4 billion repurchase program that was authorized by the Board of Directors on June 28, 2017. |
| | (c) | The $188 million unused portion under the prior Board authorization was canceled when the $20.7 billion program was authorized. |
Item 3. Defaults Upon Senior Securities. None. Item 4. Mine Safety Disclosures. Item 5. Other Information.
Item 6. Exhibits. | | | | Exhibit No. | | Description of Exhibit | | | | 15 | | | | | | 31.1 | | | | | | 31.2 | | | | | | 32 | | | | | | 101.INS | | The instance document does not appear in the interactive data file because its XBRL Instance Document.tags are embedded within the inline XBRL document.(a)(c) | 101.SCH | | XBRL Taxonomy Extension Schema Document.(a) | 101.CAL | | XBRL Taxonomy Extension Calculation Linkbase Document.(a) | 101.DEF | | XBRL Taxonomy Extension Definition Linkbase Document.(a) | 101.LAB | | XBRL Taxonomy Extension Label Linkbase Document.(a) | 101.PRE | | XBRL Taxonomy Extension Presentation Linkbase Document.(a) |
| | (b) | Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. |
| | (c) | Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended March 31,September 30, 2018, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and nine months ended March 31,September 30, 2018 and 2017, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and nine months ended March 31,September 30, 2018 and 2017, (iii) the Consolidated balance sheets (unaudited) as of March 31,September 30, 2018, and December 31, 2017, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the threenine months ended March 31,September 30, 2018 and 2017, (v) the Consolidated statements of cash flows (unaudited) for the threenine months ended March 31,September 30, 2018 and 2017, and (vi) the Notes to Consolidated Financial Statements (unaudited). |
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | | JPMorgan Chase & Co. | (Registrant) |
| | | By: | /s/ Nicole Giles | | Nicole Giles | | Managing Director and Corporate Controller | | (Principal Accounting Officer) |
| | | Date: | May 2,October 31, 2018 |
INDEX TO EXHIBITS
| | | | Exhibit No. | | Description of Exhibit | | | | 15 | | | | | | 31.1 | | | | | | 31.2 | | | | | | 32 | | | | | | 101.INS | | The instance document does not appear in the interactive data file because its XBRL Instance Document.tags are embedded within the inline XBRL document. | 101.SCH | | XBRL Taxonomy Extension Schema Document. | 101.CAL | | XBRL Taxonomy Extension Calculation Linkbase Document. | 101.DEF | | XBRL Taxonomy Extension Definition Linkbase Document. | 101.LAB | | XBRL Taxonomy Extension Label Linkbase Document. | 101.PRE | | XBRL Taxonomy Extension Presentation Linkbase Document. | | | | † | | This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. |
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