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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
Quarterly report pursuant to Section 13 or 15(d) of
the Securities Exchange Act of 1934
For the quarterly period ended Commission file 
March 31,June 30, 2020
 number1-5805 
JPMorgan Chase & Co.
(Exact name of registrant as specified in its charter)
Delaware 13-2624428
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. employer
identification no.)
    
383 Madison Avenue,  
New York,New York 10179
(Address of principal executive offices) 
(Zip Code)

Registrant’s telephone number, including area code: (212) 270-6000
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common stockJPMThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.10% Non-Cumulative Preferred Stock, Series AAJPM PR GThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.15% Non-Cumulative Preferred Stock, Series BBJPM PR HThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 5.75% Non-Cumulative Preferred Stock, Series DDJPM PR DThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.00% Non-Cumulative Preferred Stock, Series EEJPM PR CThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 4.75% Non-Cumulative Preferred Stock, Series GGJPM PR JThe New York Stock Exchange
Alerian MLP Index ETNs due May 24, 2024AMJNYSE Arca, Inc.
Guarantee of Callable Step-Up Fixed Rate Notes due April 26, 2028 of JPMorgan Chase Financial Company LLCJPM/28The New York Stock Exchange
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
☒

Accelerated filer☐
    
Non-accelerated filer☐Smaller reporting company☐
    
  Emerging growth company☐
    
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes ☒ No

 
Number of shares of common stock outstanding as of March 31,June 30, 2020: 3,047,022,8773,047,604,487
 


FORM 10-Q
TABLE OF CONTENTS
Part I – Financial information
Page
Item 1.
Financial Statements.
 
 
Consolidated Financial Statements – JPMorgan Chase & Co.:
 
 
Consolidated statements of income (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019
8093
 
Consolidated statements of comprehensive income (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019
8194
 
Consolidated balance sheets (unaudited) at March 31,June 30, 2020 and December 31, 2019
8295
 
Consolidated statements of changes in stockholders’ equity (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019
8396
 
Consolidated statements of cash flows (unaudited) for the threesix months ended March 31,June 30, 2020 and 2019
8497
 
Notes to Consolidated Financial Statements (unaudited)
8598
 
Report of Independent Registered Public Accounting Firm
169188
 
Consolidated Average Balance Sheets, Interest and Rates (unaudited) for the three months ended March 31,June 30, 2020 and 2019
170189
 
Glossary of Terms and Acronyms and Line of Business Metrics
171191
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
 
 
Consolidated Financial Highlights
3
 
Introduction
4
 
Executive Overview
5
 
Consolidated Results of Operations
1213
 
Consolidated Balance Sheets and Cash Flows Analysis
1518
 
Off-Balance Sheet Arrangements
1821
 
Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures
1922
 
Business Segment Results
2124
 
Firmwide Risk Management
3848
 
Capital Risk Management
3949
 
Liquidity Risk Management
4555
 
Consumer Credit Portfolio
5262
 
Wholesale Credit Portfolio
5667
 
Investment Portfolio Risk Management
6679
 
Market Risk Management
6780
 
Country Risk Management
7285
 
Operational Risk Management
7386
 
Estimations and Model Risk Management
7487
 
Critical Accounting Estimates Used by the Firm
7588
 
Accounting and Reporting Developments
7891
 
Forward-Looking Statements
7992
Item 3.
Quantitative and Qualitative Disclosures About Market Risk.
180200
Item 4.
Controls and Procedures.
180200
Part II – Other information
 
Item 1.
Legal Proceedings.
180200
Item 1A.
Risk Factors.
180200
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
181201
Item 3.
Defaults Upon Senior Securities.
182201
Item 4.
Mine Safety Disclosures.
182201
Item 5.
Other Information.
182201
Item 6.
Exhibits.
182202


JPMorgan Chase & Co.
Consolidated financial highlights (unaudited)
As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)

As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)

 
As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)

  Six months ended June 30,
1Q20
4Q19
3Q19
2Q19
1Q19
2Q20
1Q20
4Q19
3Q19
2Q19
 2020
2019
Selected income statement dataSelected income statement data Selected income statement data   
Total net revenue(a)Total net revenue(a)$28,251
$28,331
$29,341
$28,832
$29,123
Total net revenue(a)$32,980
$28,192
$28,285
$29,291
$28,747
 $61,172
$57,823
Total noninterest expense(a)Total noninterest expense(a)16,850
16,339
16,422
16,341
16,395
Total noninterest expense(a)16,942
16,791
16,293
16,372
16,256
 33,733
32,604
Pre-provision profit(a)(b)
Pre-provision profit(a)(b)
11,401
11,992
12,919
12,491
12,728
Pre-provision profit(a)(b)
16,038
11,401
11,992
12,919
12,491
 27,439
25,219
Provision for credit lossesProvision for credit losses8,285
1,427
1,514
1,149
1,495
Provision for credit losses10,473
8,285
1,427
1,514
1,149
 18,758
2,644
Income before income tax expenseIncome before income tax expense3,116
10,565
11,405
11,342
11,233
Income before income tax expense5,565
3,116
10,565
11,405
11,342
 8,681
22,575
Income tax expenseIncome tax expense251
2,045
2,325
1,690
2,054
Income tax expense878
251
2,045
2,325
1,690
 1,129
3,744
Net incomeNet income$2,865
$8,520
$9,080
$9,652
$9,179
Net income$4,687
$2,865
$8,520
$9,080
$9,652
 $7,552
$18,831
     
Earnings per share dataEarnings per share data Earnings per share data   
Net income: BasicNet income: Basic$0.79
$2.58
$2.69
$2.83
$2.65
Net income: Basic$1.39
$0.79
$2.58
$2.69
$2.83
 $2.17
$5.48
Diluted Diluted0.78
2.57
2.68
2.82
2.65
 Diluted1.38
0.78
2.57
2.68
2.82
 2.17
5.46
Average shares: BasicAverage shares: Basic3,095.8
3,140.7
3,198.5
3,250.6
3,298.0
Average shares: Basic3,076.3
3,095.8
3,140.7
3,198.5
3,250.6
 3,086.1
3,274.3
Diluted Diluted3,100.7
3,148.5
3,207.2
3,259.7
3,308.2
 Diluted3,081.0
3,100.7
3,148.5
3,207.2
3,259.7
 3,090.8
3,283.9
     
Market and per common share dataMarket and per common share data Market and per common share data   
Market capitalizationMarket capitalization274,323
429,913
369,133
357,479
328,387
Market capitalization286,658
274,323
429,913
369,133
357,479
 286,658
357,479
Common shares at period-endCommon shares at period-end3,047.0
3,084.0
3,136.5
3,197.5
3,244.0
Common shares at period-end3,047.6
3,047.0
3,084.0
3,136.5
3,197.5
 3,047.6
3,197.5
Book value per shareBook value per share75.88
75.98
75.24
73.88
71.78
Book value per share76.91
75.88
75.98
75.24
73.88
 76.91
73.88
Tangible book value per share (“TBVPS”)(a)(b)
Tangible book value per share (“TBVPS”)(a)(b)
60.71
60.98
60.48
59.52
57.62
Tangible book value per share (“TBVPS”)(a)(b)
61.76
60.71
60.98
60.48
59.52
 61.76
59.52
Cash dividends declared per shareCash dividends declared per share0.90
0.90
0.90
0.80
0.80
Cash dividends declared per share0.90
0.90
0.90
0.90
0.80
 1.80
1.60
     
Selected ratios and metricsSelected ratios and metrics Selected ratios and metrics   
Return on common equity (“ROE”)(b)(c)
Return on common equity (“ROE”)(b)(c)
4%14%15%16%16%
Return on common equity (“ROE”)(b)(c)
7%4%14%15%16% 6%16%
Return on tangible common equity (“ROTCE”)(b)(c)
Return on tangible common equity (“ROTCE”)(b)(c)
5
17
18
20
19
Return on tangible common equity (“ROTCE”)(b)(c)
9
5
17
18
20
 7
20
Return on assets(b)
Return on assets(b)
0.40
1.22
1.30
1.41
1.39
Return on assets(b)
0.58
0.40
1.22
1.30
1.41
 0.50
1.40
Overhead ratioOverhead ratio60
58
56
57
56
Overhead ratio51
60
58
56
57
 55
56
Loans-to-deposits ratioLoans-to-deposits ratio55
61
62
63
64
Loans-to-deposits ratio51
55
61
62
63
 51
63
Liquidity coverage ratio (“LCR”) (average)Liquidity coverage ratio (“LCR”) (average)114
116
115
113
111
Liquidity coverage ratio (“LCR”) (average)117
114
116
115
113
 117
113
Common equity Tier 1 (“CET1”) capital ratio(c)(d)
Common equity Tier 1 (“CET1”) capital ratio(c)(d)
11.5
12.4
12.3
12.2
12.1
Common equity Tier 1 (“CET1”) capital ratio(c)(d)
12.4
11.5
12.4
12.3
12.2
 12.4
12.2
Tier 1 capital ratio(c)(d)
Tier 1 capital ratio(c)(d)
13.3
14.1
14.1
14.0
13.8
Tier 1 capital ratio(c)(d)
14.3
13.3
14.1
14.1
14.0
 14.3
14.0
Total capital ratio(c)(d)
Total capital ratio(c)(d)
15.5
16.0
15.9
15.8
15.7
Total capital ratio(c)(d)
16.7
15.5
16.0
15.9
15.8
 16.7
15.8
Tier 1 leverage ratio(c)(d)
Tier 1 leverage ratio(c)(d)
7.5
7.9
7.9
8.0
8.1
Tier 1 leverage ratio(c)(d)
6.9
7.5
7.9
7.9
8.0
 6.9
8.0
Supplementary leverage ratio (“SLR”)(c)(d)
Supplementary leverage ratio (“SLR”)(c)(d)
6.0
6.3
6.3
6.4
6.4
Supplementary leverage ratio (“SLR”)(c)(d)
6.8
6.0
6.3
6.3
6.4
 6.8
6.4
     
Selected balance sheet data (period-end)Selected balance sheet data (period-end) Selected balance sheet data (period-end)   
Trading assetsTrading assets$548,580
$411,103
$495,875
$523,373
$533,402
Trading assets$526,042
$548,580
$411,103
$495,875
$523,373
 $526,042
$523,373
Investment securities, net of allowance for credit lossesInvestment securities, net of allowance for credit losses471,144
398,239
394,251
307,264
267,365
Investment securities, net of allowance for credit losses558,791
471,144
398,239
394,251
307,264
 558,791
307,264
LoansLoans1,015,375
959,769
945,218
956,889
956,245
Loans978,518
1,015,375
959,769
945,218
956,889
 978,518
956,889
Total assetsTotal assets3,139,431
2,687,379
2,764,661
2,727,379
2,737,188
Total assets3,213,115
3,139,431
2,687,379
2,764,661
2,727,379
 3,213,115
2,727,379
DepositsDeposits1,836,009
1,562,431
1,525,261
1,524,361
1,493,441
Deposits1,931,029
1,836,009
1,562,431
1,525,261
1,524,361
 1,931,029
1,524,361
Long-term debtLong-term debt299,344
291,498
296,472
288,869
290,893
Long-term debt317,003
299,344
291,498
296,472
288,869
 317,003
288,869
Common stockholders’ equityCommon stockholders’ equity231,199
234,337
235,985
236,222
232,844
Common stockholders’ equity234,403
231,199
234,337
235,985
236,222
 234,403
236,222
Total stockholders’ equityTotal stockholders’ equity261,262
261,330
264,348
263,215
259,837
Total stockholders’ equity264,466
261,262
261,330
264,348
263,215
 264,466
263,215
HeadcountHeadcount256,720
256,981
257,444
254,983
255,998
Headcount256,710
256,720
256,981
257,444
254,983
 256,710
254,983
     
Credit quality metricsCredit quality metrics Credit quality metrics   
Allowances for loan losses and lending-related commitmentsAllowances for loan losses and lending-related commitments$25,391
$14,314
$14,400
$14,295
$14,591
Allowances for loan losses and lending-related commitments$34,301
$25,391
$14,314
$14,400
$14,295
 $34,301
$14,295
Allowance for loan losses to total retained loansAllowance for loan losses to total retained loans2.32%1.39%1.42%1.39%1.43%Allowance for loan losses to total retained loans3.32%2.32%1.39%1.42%1.39% 3.32%1.39%
Nonperforming assetsNonperforming assets$6,421
$4,497
$5,343
$5,260
$5,616
Nonperforming assets$8,440
$6,421
$4,497
$5,343
$5,260
 $8,440
$5,260
Net charge-offsNet charge-offs1,469
1,494
1,371
1,403
1,361
Net charge-offs1,560
1,469
1,494
1,371
1,403
 3,029
2,764
Net charge-off rateNet charge-off rate0.62%0.63%0.58%0.60%0.58%Net charge-off rate0.64%0.62%0.63%0.58%0.60% 0.63%0.59%
Effective January 1, 2020, the Firm adopted the Financial Instruments – Credit Losses (“CECL”) accounting guidance. Refer to Note 1 for further information.
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Pre-provision profit, TBVPS and ROTCE are each non-GAAP financial measures. Tangible common equity (“TCE”) is also a non-GAAP financial measure. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 19–2022-23 for a further discussion of these measures.
(b)(c)Quarterly ratios are based upon annualized amounts.
(c)(d)As of March 31, 2020,Reflects the capital measures reflectrelief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition provisions.provisions that became effective in the first quarter of 2020. As of June 30, 2020, the SLR reflects the temporary exclusions of U.S. Treasury securities and deposits at Federal Reserve Banks. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 and Capital Risk Management on pages 49-54 of this Form 10-Q for additional information. Refer to Capital Risk Management on pages 85-92 of JPMorgan Chase’s 2019 Form 10-K and pages 39–44 of this Form 10-Q for additional information on these measures.the Firm’s capital metrics.


INTRODUCTION
The following is Management’s discussion and analysis of the financial condition and results of operations (“MD&A”) of JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”) for the firstsecond quarter of 2020.
This Quarterly Report on Form 10-Q for the firstsecond quarter of 2020 (“Form 10-Q”) should be read together with JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 2019 (“2019 Form 10-K”). Refer to the Glossary of terms and acronyms and line of business (“LOB”) metrics on pages 171–179191-199 for definitions of terms and acronyms used throughout this Form 10-Q.
This document contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management, speak only as of the date of this Form 10-Q and are subject to significant risks and uncertainties. For a discussion of certain of those risks and uncertainties and the factors that could cause JPMorgan Chase’s actual results to differ materially because of those risks and uncertainties, refer to Forward-looking Statements on page 7992 of this Form 10-Q, Part II, Item 1A, Risk Factors on pages 180-181200-201 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 6-28 of the 2019 Form 10-K.
JPMorgan Chase & Co. (NYSE: JPM), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the United States of America (“U.S.”), with operations worldwide; JPMorgan Chase had $3.1$3.2 trillion in assets and $261.3$264.5 billion in stockholders’
equity as of March 31,June 30, 2020. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers in the U.S. and many of the world’s most prominent corporate, institutional and government clients.
JPMorgan Chase’s principal bank subsidiary is JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank N.A.”), a national banking association with U.S. branches in 38 states and Washington, D.C. as of March 31,June 30, 2020. JPMorgan Chase’s principal non-bank subsidiary is J.P. Morgan Securities LLC (“J.P. Morgan Securities”), a U.S. broker-dealer. The bank and non-bank subsidiaries of JPMorgan Chase operate nationally as well as through overseas branches and subsidiaries, representative offices and subsidiary foreign banks. The Firm’s principal operating subsidiary outside the U.S. is J.P. Morgan Securities plc, a U.K.-based subsidiary of JPMorgan Chase Bank, N.A.
For management reporting purposes, the Firm’s activities are organized into four major reportable business segments, as well as a Corporate segment. The Firm’s consumer business segment is Consumer & Community Banking (“CCB”). The Firm’s wholesale business segments are Corporate & Investment Bank (“CIB”), Commercial Banking (“CB”), and Asset & Wealth Management (“AWM”). For a description of the Firm’s business segments and the products and services they provide to their respective
client bases, refer to Note 26 of this Form 10-Q and Note 32 of JPMorgan Chase’s 2019 Form 10-K.
The Firm's website is www.jpmorganchase.com. JPMorgan Chase makes available on its website, free of charge, annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K pursuant to Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as soon as reasonably practicable after it electronically files or furnishes such material to the U.S. Securities and Exchange Commission (the “SEC”) at www.sec.gov. JPMorgan Chase also makes additional information about the Firm available on the Investor Relations section of its website at https://www.jpmorganchase.com/corporate/investor-relations/investor-relations.htm.



EXECUTIVE OVERVIEW
This executive overview of the MD&A highlights selected information and does not contain all of the information that is important to readers of this Form 10-Q. For a complete description of the trends and uncertainties, as well as the risks and critical accounting estimates affecting the Firm and its various LOBs, this Form 10-Q and the 2019 Form 10-K should be read together and in their entirety.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Financial performance of JPMorgan ChaseFinancial performance of JPMorgan Chase  Financial performance of JPMorgan Chase        
(unaudited)
As of or for the period ended,
(in millions, except per share data and ratios)
Three months ended March 31,Three months ended June 30, Six months ended June 30,
2020
 2019
 Change
2020
 2019
 Change
 2020
 2019
 Change
Selected income statement data                
Total net revenue(a)$28,251
 $29,123
 (3)%$32,980
 $28,747
 15 % $61,172
 $57,823
 6 %
Total noninterest expense(a)16,850
 16,395
 3
16,942
 16,256
 4
 33,733
 32,604
 3
Pre-provision profit11,401
 12,728
 (10)16,038
 12,491
 28
 27,439
 25,219
 9
Provision for credit losses8,285
 1,495
 454
10,473
 1,149
 NM
 18,758
 2,644
 NM
Net income2,865
 9,179
 (69)4,687
 9,652
 (51) 7,552
 18,831
 (60)
Diluted earnings per share$0.78
 $2.65
 (71)$1.38
 $2.82
 (51) $2.17
 $5.46
 (60)
Selected ratios and metrics                
Return on common equity4% 16%  7% 16%   6% 16%  
Return on tangible common equity5
 19
  9
 20
   7
 20
  
Book value per share$75.88
 $71.78
 6
$76.91
 $73.88
 4
 $76.91
 $73.88
 4
Tangible book value per share60.71
 57.62
 5
61.76
 59.52
 4
 61.76
 59.52
 4
Capital ratios(a)(b)
                
CET111.5% 12.1%  12.4% 12.2%   12.4% 12.2%  
Tier 1 capital13.3
 13.8
  14.3
 14.0
   14.3
 14.0
  
Total capital15.5
 15.7
  16.7
 15.8
   16.7
 15.8
  
(a)AsIn the second quarter of March 31, 2020, the capital measures reflectFirm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Reflects the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition provisions.provisions that became effective in the first quarter of 2020. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 and Capital Risk Management on pages 49-54 of this Form 10-Q for additional information. Refer to Capital Risk Management on pages 85-92 of JPMorgan Chase’s 2019 Form 10-K and pages 39–44 of this Form 10-Q for additional information on these measures.the Firm’s capital metrics.

Comparisons noted in the sections below are for the firstsecond quarter of 2020 versus the firstsecond quarter of 2019, unless otherwise specified.
Firmwide overview
JPMorgan Chase reported net income of $2.9$4.7 billion for the firstsecond quarter of 2020, or $0.78$1.38 per share, on net revenue of $28.3$33.0 billion. The Firm reported ROE of 4%7% and ROTCE of 5%9%. The Firm recorded a number of significant items in the firstsecond quarter of 2020, including an addition to the allowance for credit losses of $6.8$8.9 billion, a $951 million loss in Credit Adjustments & Other in CIB predominantly driven by funding spread widening on derivatives, and $896$678 million of markdownsmarkups on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB.CB, and a $510 million gain in Credit Adjustments & Other in CIB driven by funding spread tightening on derivatives.
Net income was down 69%51%, predominantly driven by an increase in the provision for credit losses across the Firm reflecting deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic and continued pressure on oil prices.
Total net revenue decreased 3%. Net interest income was $14.4 billion, flat versus the prior year, with the impact of lower rates offset by balance sheet growth and mix, asFirm.
 
well as higher net interest income in CIB Markets. Noninterest revenue was $13.8 billion, down 6%. The reduction in revenue included a $951 million loss in Credit Adjustments & Other in CIB predominantly driven by funding spread widening on derivatives and $896 million of markdowns on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB; these items were partially offset by higher CIB Markets noninterest revenue.
•
Total net revenue increased 15%. Noninterest revenue was $19.1 billion, up 33%, largely driven by higher CIB Markets revenue and Investment Banking fees. The increase in revenue also included $678 million of markups on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB, and a $510 million gain in Credit Adjustments & Other in CIB driven by funding spread tightening on derivatives. Net interest income was $13.9 billion, down 4%, with the impact of lower rates predominantly offset by higher net interest income in CIB Markets and balance sheet growth.
Noninterest expense was $16.9 billion, up 3%4%, predominantly driven by higher volume- and revenue-related expense, and investments, as well as higher legal expense,primarily compensation, partially offset by lower marketing expense in Card as a result of lower travel-related benefits and lower investments in marketing campaigns, as well as lower structural expense.


•
The provision for credit losses was $8.3$10.5 billion, up $6.8$9.3 billion from the prior year, driven by the additions to the allowance for credit losses.losses, reflecting further deterioration and increased uncertainty in the macroeconomic outlook as a result of the impact of the COVID-19 pandemic. The addition in the wholesale allowance was $4.6 billion across multiple industry sectors, and the addition in the consumer allowance was $4.4 billion, largely in Card.
The total allowance for credit losses was $25.4$34.3 billion at March 31,June 30, 2020, and the Firm had a loan loss coverage ratio of 2.32%3.32%, compared with 1.43%1.39% in the prior year, driven by the additions to allowance for credit losses and the adoption of CECL. The Firm’s nonperforming assets totaled $6.4$8.4 billion at March 31,June 30, 2020, an increase from $5.6$5.3 billion in the prior year,year. The increase was driven by downgrades in the wholesale portfolio across multiple industries on client credit deterioration, and the inclusion of purchased credit deteriorated loans in the mortgage portfolio, which are subject to nonaccrual loan treatment following the adoption of CECL.
Firmwide end-of-period (“EOP”)average loans of $1.0 trillion were up 6% driven by4%, largely reflecting drawdowns on committed revolving credit facilities in March withinand higher loan balances in AWM, as well as loans originated under the wholesale LOBs. Excluding the impact of certainSmall Business Administration’s (“SBA”) Paycheck Protection Program (“PPP”). The loan salesgrowth was partially offset by lower loan balances in Home Lending EOP loans would have been up 9%. and Card.
Firmwide average loansdeposits of $1.9 trillion were $963 billion, down 1%. Excludingup 25%, reflecting significant inflows across the impact of certain loan sales in Home Lending, average loans would have been up 3%.
On March 15, 2020, in response toFirm, primarily driven by the COVID-19 pandemic, the Firm temporarily suspended share repurchases through the second quarteras customers and clients looked to remain liquid as a result of 2020.market conditions.
Selected capital-related metrics
The Firm’s CET1 capital was $184$191 billion, and the Standardized and Advanced CET1 ratios were 11.5%12.4% and 12.3%13.2%, respectively.
The Firm’s SLR was 6.0%6.8%. As of June 30, 2020, the SLR reflects the temporary exclusions of U.S. Treasury securities and deposits at Federal Reserve Banks, as required by the Federal Reserve’s interim final rule issued on April 1, 2020. The Firm’s SLR excluding the temporary relief was 5.7%.
The Firm grew TBVPS, ending the firstsecond quarter of 2020 at $60.71,$61.76, up 5%4% versus the prior year.
ROTCE and TBVPS are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 19–2022-23 for a further discussion of each of these measures.

Business segment highlights
Selected business metrics for each of the Firm’s four LOBs are presented below for the firstsecond quarter of 2020.
CCB
ROE
1%(2)%
 
•
EOP loans down 7%; Home Lending loans down 15% impacted by loan sales; credit card loansAverage deposits up 2%
•
EOP Deposits up 10%20%; client investment assets up 3%9%
•
Average loans down 7%; credit card sales volume up 4%down 23%
•
Provision for credit losses of $5.8 billion, includingpredominantly driven by an addition to the allowance for credit losses of $4.5$4.6 billion
CIB
ROE
9%27%
 
•
#1 ranking for Global Investment Banking fees with 9.1%9.8% wallet share in 1Q20year-to-date
•
Total Markets revenue of $7.2$9.7 billion, up 32%
•
EOP loans79%, with Fixed Income Markets up 30%; deposits99% and Equity Markets up 37%38%
•
Provision for credit losses of $1.4$2.0 billion, includingpredominantly driven by an addition to the allowance for credit losses of $1.3$1.8 billion
CB
ROE
2%(14)%
 
•
Gross Investment Banking revenue of $686$851 million, down 16%up 44%
•
EOPAverage loans up 14%13%; average deposits up 39%41%
•
Provision for credit losses of $1.0$2.4 billion includingdriven by an addition to the allowance for credit losses of approximately $900 million
AWM
ROE 25%
 24%
 
•
Assets under management (AUM) of $2.2$2.5 trillion, up 7%15%
•
EOPAverage loans up 16%12%; average deposits up 18%20%
•
Provision for credit losses of $94$223 million, driven by an addition to the allowance for credit losses
Refer to the Business Segment Results on pages 21–3724-47 for a detailed discussion of results by business segment.
 
Credit provided and capital raised
JPMorgan Chase continues to support consumers, businesses and communities around the globe. The Firm provided new and renewed credit and raised capital for wholesale and consumer clients during the first threesix months of 2020, consisting of:
$638 billion1.2 trillion 
Total credit provided and capital raised (including loans and commitments)(a)
   
$63107
billion
 Credit for consumers
   
$811
billion
 Credit for U.S. small businesses
   
$213404 billion Credit for corporations
   
$334651 billion Capital raised for corporate clients and non-U.S. government entities
   
$2053 billion 
Credit and capital raised for nonprofit and U.S. government entities(a)(b)
$28 billion
Loans under the Small Business Administration’s Paycheck Protection
Program

(a)Excludes loans under the SBA’s PPP.
(b)Includes states, municipalities, hospitals and universities.


Recent events
On June 29, 2020, JPMorgan Chase announced that it had completed the 2020 Comprehensive Capital Analysis and Review (“CCAR”) stress test process. The Firm’s indicative Stress Capital Buffer (“SCB”) requirement is 3.3% and the Federal Reserve Board will provide the Firm with its final SCB requirement by August 31, 2020. The Firm’s Board of Directors currently intends to maintain the quarterly common stock dividend of $0.90 per share for the third quarter of 2020. Additionally, in June 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases, at least through the end of the third quarter of 2020.

2020 outlook
These current expectations are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management, speak only as of the date of this Form 10-Q, and are subject to significant risks and uncertainties. Refer to Forward-Looking Statements on page 79 92 and Risk Factors on page 180200 of this Form 10-Q and pages 6–28 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of certain of those risks and uncertainties and the other factors that could cause JPMorgan Chase’s actual results to differ materially because of those risks and uncertainties. There is no assurance that actual results in the full year of 2020 will be in line with the outlook set forth below, and the Firm does not undertake to update any forward-looking statements.
JPMorgan Chase’s current outlook for the remainder of 2020 should be viewed against the backdrop of the global and U.S. economies, the COVID-19 pandemic, financial markets activity, the geopolitical environment, the competitive environment, client and customer activity levels, and regulatory and legislative developments in the U.S. and other countries where the Firm does business. Each of these factors will affect the performance of the Firm and its LOBs. The Firm will continue to make appropriate adjustments to its businesses and operations in response to ongoing developments in the business, economic, regulatory and legal environments in which it operates. The outlook information contained in the 2019this Form 10-K, in the Firm’s Current Report on Form 8-K dated February 25, 2020, containing copies of the slides10-Q supersedes all outlook information furnished at the Firm’s 2020 Investor Day, and in the Firm’s Current Reports on Form 8-K dated April 14, 2020, to review 2020 first quarter earnings, is superseded by the information containedFirm in its periodic reports filed with the SEC prior to the date of this
Form 10-Q.
Firmwide
Management expects second quarter 2020 net interest income, on a managed basis, to be approximately $14 billion, market dependent. For the full-year 2020 management expects net interest income, on a managed basis, to be approximately $56 billion, market dependent.
Management expects adjusted expense for the full-year 2020 to be belowapproximately $65 billion.
Management expects additions to the allowance for credit losses in the second quarter of 2020. Depending on the extent of the deterioration in macroeconomic conditions, the additions to the Firm’s allowance for credit losses could be meaningfully higher in aggregate over the next several quarters versus the additions in the first quarter of 2020.



Business Developments
COVID-19 Pandemic
In response to the COVID-19 pandemic, the Firm established a corporate crisis team (“CCT”) along with crisis response teams that are connected across countries, regions and globally. The CCT includes representation from each LOB and critical functions including Human Resources, Risk and Compliance, Legal, Security and Technology, and it engages directly with the Firm’s Operating Committee on a frequent basis. The CCT provides a central point for the gathering of data which allows for rapid identification and prioritization of issues. The CCT also monitors key operational metrics, risks and concerns on an ongoing basis.
The Firm invoked resiliency plans to allow its businesses to remain operational, utilizing disaster recovery sites and implementing alternative work arrangements globally. The Firm now has more than 180,000 employees globally working from home from every LOB and corporate function, including traders, bankers, portfolio managers, operations, finance, risk and compliance, legal and call center teams globally. The Firm is monitoring the status of work-from-home arrangements and has been updating relevant local authorities as appropriate. Management continues to monitor key operational metrics as well as thematic cross-business risks and concerns.
In addition, the Firm implemented strategies and procedures designed to help it respond to increased market volatility, client demand for credit and liquidity, distress in certain industries/sectors and the ongoing impacts to consumers and small businesses.
Supporting clients and customers
The Firm has continued to support its clients and customers as they navigate the challenging conditions caused by the COVID-19 pandemic by providing liquidity and advice. In March 2020, the Firm extended more than $100 billion of new and renewed credit to its clients and customers.
In the wholesale businesses, clients drew more than $50 billion on their committed revolving credit facilities, and the Firm approved over $25 billion of new credit extensions for clients most impacted by the COVID-19 pandemic, during the first quarter
In the consumer businesses, the Firm extended approximately $20 billion in new credit across Home Lending, Credit Card and Auto.
The Firm is actively participating in the Small Business Association’s (“SBA”) Paycheck Protection Program (“PPP”) and as of May 4th the Firm has funded approximately $29 billion under the program.
For customers that are experiencing financial hardships as a result of the COVID-19 pandemic, the Firm developed a payment assistance program to allow mortgage, auto and card customers to delay payments for three months, as well as waiving or refunding certain fees.
Three-quarters of the Firm’s branch network continues to operate, ATMs remain accessible and the Firm continues to
provide a wide range of banking services accessible to customers online.
Protecting and supporting employees
In addition to widespread work-from-home arrangements, the Firm has taken further actions to protect and support its employees including;
For employees with jobs that can only be performed on-site, modified business operations, implemented staggered shifts, changed seating arrangements, closed buildings to nonessential visitors and intensified and increased frequency of cleaning of all offices and branches worldwide
Ensured that all branch employees are being paid for their regularly scheduled hours even if those hours are reduced or their branch is temporarily closed
Continued to pay employees who are at home due to potential exposure to the virus or whose health is at higher risk as well as provided paid medical leave to affected employees
Deployed clinical staff internally to support employees
Granted a special payment of up to $1,000 to full- and part-time employees whose jobs require them to continue working on-site and whose annual cash compensation is less than $60,000
Provided all employees with up to five additional paid days off to manage personal needs, which may include dependent care, child care or other issues, as well as offering free COVID-19 related medical treatment for all of the Firm’s U.S. employees and their dependents.
Giving to communities
The Firm has taken steps to help address immediate humanitarian needs and long-term economic challenges posed by the COVID-19 pandemic on the communities in which it operates. To help the most vulnerable and hardest hit communities, the Firm has announced a $150 million loan program to deploy capital to underserved small businesses and nonprofits, as well as a $50 million philanthropic commitment. An initial $15 million commitment is intended to:
Provide immediate healthcare, food and other humanitarian relief globally
Help existing nonprofit partners around the world that are responding in their communities to the COVID-19 pandemic
Assist small businesses that are vulnerable to economic hardships.
Regulatory actions and programs
Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 10-11 for information concerning relevant regulatory actions and the significant financing programs in which the Firm is participating in order to support its customers and clients.
The impact of the COVID-19 pandemic on the Firm’s results and operations are discussed throughout this document.

Departure of the U.K. from the EU
The Firm continues to execute on its Firmwide Brexit Implementation program and remains focused on the following key areas to ensure continuation of service to its EU clients: regulatory and legal entity readiness; client readiness; and business and operational readiness. However, the COVID-19 pandemic has added incremental risk to the program due to the potential impact on execution of changes such as relocation of employees given travel restrictions, or the ability of clients to be operationally ready to the extent that they have diverted resources to address the effects of the pandemic. It has also slowed down the political process to finalize the legal and regulatory framework that will be in place after the transition period that is scheduled to expire on December 31, 2020, thus lengthening the period of planning uncertainty.
Interbank Offered Rate (“IBOR”) transition
On March 12, 2020, the Financial Accounting Standards Board (“FASB”) issued an accounting standards update providing optional expedients and exceptions for applying generally accepted accounting principles to contracts and hedge relationships affected by benchmark reform. The Firm expects to apply certain of the practical expedients and is evaluating the timing and application of those elections. Refer to Accounting and Reporting Developments on page 78 for additional information. The Firm continues to monitor the transition relief being considered by the International Accounting Standards Board (“IASB”) and U.S. Treasury Department regarding accounting and tax implications of reference rate reform.
The Firm also continues to develop and implement plans to appropriately mitigate the risks associated with IBOR discontinuation. Refer to Business Developments on page 47 of the 2019 Form 10-K for a discussion of the Firm’s initiatives to address the expected discontinuation of the London Interbank Offered Rate (“LIBOR”) and other IBORs.


Regulatory Developments Relating to the COVID-19 Pandemic
Beginning in March 2020, the U.S. government as well as central banks around the world have taken a series of actions to help individuals, households and businesses that have been adversely affected by the economic disruption caused by the COVID-19 pandemic. The Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”), which was signed into law on March 27, 2020, provides, among other things, funding to support loan facilities to assist consumers and businesses. Set forth below is a summary as of the date of this Form 10-Q of U.S. government actions currently impacting the Firm and U.S. government programs in which the Firm is participating to support individuals, businesses, and the broader economy. The Firm will continue to assess ongoing developments in government actions in response to the COVID-19 pandemic.
U.S. government actions
Eligible retained income definition. On March 17, 2020, the Office of the Comptroller of the Currency (“OCC”), the Board of Governors of the Federal Reserve System (“Federal Reserve”), and the Federal Deposit Insurance Corporation (“FDIC”), collectively the “federal banking agencies,” issued an interim final rule that revised the definition of “eligible retained income” in the regulatory capital rules that apply to all U.S. banking organizations. On March 23, 2020, the Federal Reserve issued an interim final rule that revised the definition of “eligible retained income” for purposes of the total loss-absorbing capacity (“TLAC”) buffer requirements that apply to global systemically important banking organizations. The revised definition of eligible retained income makes any automatic limitations on payout distributions that could apply under the agencies’ capital rules or TLAC rule take effect on a more graduated basis in the event that a banking organization’s capital, leverage and TLAC ratios were to decline below regulatory requirements (including buffers). The March 17 interim final rule was issued, in conjunction with an interagency statement encouraging banking organizations to use their capital and liquidity buffers, to further support banking organizations’ abilities to lend to households and businesses affected by the COVID-19 pandemic.
Reserve requirements. On March 26, 2020, the Federal Reserve reduced reserve requirement ratios to zero percent, effectively eliminating the reserve requirement for all depository institutions, an action that frees up liquidity in the banking system to support lending to households and businesses.
Refer to Liquidity Risk Management on pages 45–49 and Note 21 for additional information on the reduction to the reserve requirement.
Regulatory Capital - Current Expected Credit Losses (“CECL”) transition delay. On March 31, 2020, the federal banking agencies issued an interim final rule that provided the option to temporarily delay the effects of CECL on
regulatory capital for two years, followed by a three-year transition period (“CECL capital transition provisions”). The Firm elected to apply the CECL capital transition provisions.
Refer to Capital Risk Management on pages 39–44 and Note 22 on pages 159-160 for additional information on the CECL capital transition provisions and the impact to the Firm’s capital measures.
Supplementary leverage ratio (“SLR”) temporary revision. On April 1, 2020, the Federal Reserve issued an interim final rule that revises, on a temporary basis, the calculation of total leverage exposure for purposes of calculating the SLR for bank holding companies, to exclude the on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks. These exclusions will allow the Firm to continue to support U.S. Treasury markets and to serve as financial intermediaries for households and businesses. This exclusion is effective April 1, 2020, and will remain in effect through March 31, 2021. 
Refer to Capital Risk Management on pages 39–44 for additional information on the Firm’s SLR.
Loan modifications. On April 7, 2020, the federal banking agencies along with the National Credit Union Administration, and the Consumer Financial Protection Bureau, in consultation with the state financial regulators, issued an interagency statement revising a March 22, 2020 interagency statement on loan modifications and the reporting for financial institutions working with customers affected by the COVID-19 pandemic (the “IA Statement”). The IA Statement reconfirmed that efforts to work with borrowers where the loans are prudently underwritten, and not considered past due or carried on nonaccrual status, should not result in the loans automatically being considered modified in a troubled debt restructuring (“TDR”) for accounting and financial reporting purposes, or for purposes of their respective risk-based capital rules, which would otherwise require financial institutions subject to the capital rules to hold more capital. The IA Statement also clarifies the interaction between its previous guidance and Section 4013 of the CARES Act, which provides certain financial institutions the option to suspend the application of accounting guidance for TDRs for a limited period of time for loan modifications made to address the effects of the COVID-19 pandemic. The special considerations addressed in the IA Statement and Section 4013 of the CARES Act, if applied, would have had no impact on the accounting for the Firm’s modification activities in the three months ended March 31, 2020 but may be relevant for modifications offered in the future.
Refer to Credit Portfolio on pages 50-51 and Note 12 for additional information on the Firm’s loan modification activities.
U.S. government facilities and programs. Beginning in March 2020, the Federal Reserve announced a suite of facilities using its emergency lending powers under section 13(3) of

the Federal Reserve Act to support the flow of credit to individuals, households and businesses adversely affected by the COVID-19 pandemic and to support the broader economy. These facilities include the Money Market Mutual Fund Liquidity Facility (“MMLF”), Primary Dealer Credit Facility (“PDCF”) and Commercial Paper Funding Facility (“CPFF”). The Firm is currently participating in the MMLF and PDCF to support the broader economy by providing liquidity to money market mutual funds and supporting the functioning of the secured financing market, respectively. Under the CPFF, the Firm is acting as a dealer to purchase eligible commercial paper. In addition, beginning April 3, 2020, the PPP, established by the CARES Act and administered by the SBA, authorized eligible lenders to provide nonrecourse loans to small businesses to provide an incentive for these businesses to keep their workers on their payroll. The Firm is currently participating in the PPP to support its small business clients.
Refer to Capital Risk Management on pages 39–44, Liquidity Risk Management on pages 45–49 and Note 22 for additional information of the Firm’s participation in the MMLF. Refer to Liquidity Risk Management on pages 45–49 for additional information of the Firm’s participation in the PDCF. Refer to Business Developments on pages 8-9 for additional information on the Firm’s participation in the PPP.


CONSOLIDATED RESULTS OF OPERATIONS
This section provides a comparative discussion of JPMorgan Chase’s Consolidated Results of Operations on a reported basis for the three months ended March 31, 2020 and 2019, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment. Refer to pages 75–77 of this Form 10-Q and pages 136–138 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.
Revenue     
 Three months ended March 31,
(in millions)2020
 2019
 Change
Investment banking fees$1,866
 $1,840
 1 %
Principal transactions2,937
 4,076
 (28)
Lending- and deposit-related fees(a)
1,706
 1,559
 9
Asset management, administration and commissions(a)
4,540
 4,037
 12
Investment securities gains233
 13
 NM
Mortgage fees and related income320
 396
 (19)
Card income1,054
 1,274
 (17)
Other income(b)
1,156
 1,475
 (22)
Noninterest revenue13,812
 14,670
 (6)
Net interest income14,439
 14,453
 —
Total net revenue$28,251
 $29,123
 (3)%
(a) In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts were revised to conform with the current presentation.
(b) Included operating lease income of $1.4 billion and $1.3 billion for the three months ended March 31, 2020 and 2019.
Investment banking fees increased, driven by CIB, reflecting:
higher debt underwriting fees driven by both increased industry-wide fees and wallet share gains in investment-grade bonds, particularly in March, as clients sought to access liquidity,
higher equity underwriting fees driven by increased industry-wide fees primarily in the IPO market, with strong activity in January and February, compared to a weak prior year,
largely offset by
lower advisory fees compared to a strong prior year, driven by a lower number of completed transactions, as well as the impact of delays in regulatory approvals.
Refer to CIB segment results on pages 26–30 and Note 6 for additional information.
Principal transactions revenue decreased reflecting two significant items:
a $951 million loss in CIB’s Credit Adjustments & Other predominantly driven by funding spread widening on derivatives, and
$896 million of markdowns on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB, as high-yield spreads widened significantly.
Excluding these two items, principal transactions revenue increased driven by Fixed Income Markets on strong client activity, primarily in Rates and Currencies & Emerging Markets, as a result of higher trading volume, and in Equity Markets on strong client activity in derivatives, particularly in March for both businesses.
Principal transactions revenue in CIB may in certain cases have offsets across other revenue lines, including net interest income. The Firm assesses its CIB Markets business performance on a total revenue basis.
Refer to CIB, CB and Corporate segment results on pages 26–30, pages 34–36 and page 37, and Note 6 for additional information.
Lending- and deposit-related fees increased primarily due to higher deposit-related fees in CCB, reflecting growth in customer accounts and transactions, and in CIB and CB from an increase in cash management transactions.
Refer to CCB segment results on pages 23–25, CIB on pages 26–30 and CB on pages 31–33, respectively, and Note 6 for additional information.
Asset management, administration and commissions revenue increased driven by:
higher brokerage commissions in CIB and AWM on higher client-driven volume particularly in March, and
higher asset management fees in AWM and CCB as a result of higher asset values at the beginning of 2020, driven by higher average market levels and strong net inflows into long-term products over the past year, despite the impact of market volatility in March.
Refer to CCB, CIB and AWM segment results on pages 23–25, pages 26–30 and pages 34–36 , respectively, and Note 6 for additional information.
Investment securities gains in both periods reflected the impact of repositioning the investment securities portfolio. Refer to Corporate segment results on page 37 and Note 10 for additional information.
Mortgage fees and related income decreased due to:
lower net mortgage servicing revenue reflecting faster prepayment speeds on lower rates and a lower level of third-party loans serviced, as well as lower MSR risk management results,
largely offset by
higher net mortgage production revenue reflecting higher production volumes and margins, and the absence of a gain on a loan sale in the prior year.
Refer to CCB segment results on pages 23–25, Note 6 and 15 for further information.

Card income decreased driven by lower net interchange income reflecting higher rewards costs and partner payments, partially offset by higher card sales volume, despite a decline in March.
Refer to CCB segment results on pages 23–25 and Note 6 for further information.
Other income decreased reflecting:
losses on certain equity investments in CIB
net valuation losses on certain investments in AWM, compared with gains in the prior year
higher amortization on a higher level of alternative energy investments in CIB. The increased amortization is more than offset by lower income tax expense from the associated tax credits.
largely offset by
higher operating lease income from growth in auto operating lease volume in CCB
Refer to Note 6 for further information.
Net interest income was flat as the impact of lower rates was offset by balance sheet growth and mix, as well as higher CIB Markets net interest income.
The Firm’s average interest-earning assets were $2.5 trillion, up $167 billion, and the yield was 3.14%, down 66 bps. The net yield on these assets, on an FTE basis, was 2.37%, a decrease of 20 bps. The net yield excluding CIB Markets was 3.01%, down 42bps.
Net yield excluding CIB Markets is a non-GAAP financial measure. Refer to the Consolidated average balance sheets, interest and rates schedule on page 170 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 19–20 for a further discussion of Net interest yield excluding CIB markets.
Provision for credit losses     
 Three months ended March 31,
(in millions)

2020
 2019
 Change
Consumer, excluding credit card$619
 $120
 416%
Credit card5,063
 1,202
 321
Total consumer5,682
 1,322
 330
Wholesale2,594
 173
 NM
Investment securities9
 NA
 NM
Total provision for credit losses$8,285
 $1,495
 454%
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied in determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
The provision for credit lossesincreased driven by additions to both the consumer and wholesale allowance for credit losses.
The increase in total consumer was driven by:
additions of $4.4 billion to the allowance for credit losses, reflecting the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of $3.8 billion for Card, $300 million for Home Lending, $235 million for Auto, and $80 million for CBB;
net charge-offs were flat reflecting higher net charge-offs in Card on loan growth, in line with prior expectations, offset by higher recoveries in Home Lending on a current period loan sale.
The increase in wholesale reflects a net addition of $2.4 billion to the allowance for credit losses across the LOBs. The net addition was predominantly driven by the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic across multiple sectors, and continued pressure on oil prices, with the largest impacts in the Oil & Gas, Real Estate, and Consumer & Retail industries.
Refer to CCB segment results on pages 23–25, CIB on pages 26–30, CB on pages 31–33, AWM on pages 34–36, the Allowance for Credit Losses on pages 64–65, and Note 13 for additional information on the credit portfolio and the allowance for credit losses.

Noninterest expense     
 Three months ended March 31,
(in millions)

2020
 2019
 Change
Compensation expense$8,895
 $8,937
 —
Noncompensation expense:     
Occupancy1,066
 1,068
 —
Technology, communications and equipment2,578
 2,364
 9
Professional and outside services2,028
 2,039
 (1)
Marketing859
 879
 (2)
Other expense(a)(b)
1,424
 1,108
 29
Total noncompensation expense7,955
 7,458
 7
Total noninterest expense$16,850
 $16,395
 3 %
(a)Included Firmwide legal expense/(benefit) of $197 million and $(81) million for the three months ended March 31, 2020 and 2019.
(b)Included FDIC-related expense of $99 million and $143 million for the three months ended March 31, 2020 and 2019.
Compensation expense was flat as efficiencies in several businesses and lower compensation expense in CIB was offset by investments in new hires.
Noncompensation expense increased as a result of:
higher legal expense in CIB and Corporate
higher volume-related expense, including depreciation from growth in auto lease assets in CCB, and brokerage expense in CIB
higher investments across the businesses, including technology,
partially offset by lower other structural expense.



Income tax expense 
 Three months ended March 31,
(in millions)

2020
 2019
 Change
Income before income tax expense$3,116
 $11,233
 (72)%
Income tax expense251
 2,054
 (88)
Effective tax rate8.1% 18.3%  
The effective tax rate decreased driven by changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes, as well as the more significant effect of certain tax benefits on a lower level of pre-tax income.


CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Consolidated balance sheets analysis
The following is a discussion of the significant changes between March 31, 2020, and December 31, 2019.
Selected Consolidated balance sheets data
(in millions)March 31,
2020
 December 31,
2019
Change
Assets    
Cash and due from banks$24,001
 $21,704
11 %
Deposits with banks343,533
 241,927
42
Federal funds sold and securities purchased under resale agreements248,580
 249,157
—
Securities borrowed139,839
 139,758
—
Trading assets548,580
 411,103
33
Available-for-sale securities399,944
 350,699
14
Held-to-maturity securities, net of allowance for credit losses71,200
 47,540
50
Investment securities, net of allowance for credit losses471,144
 398,239
18
Loans1,015,375
 959,769
6
Allowance for loan losses(23,244) (13,123)77
Loans, net of allowance for loan losses992,131
 946,646
5
Accrued interest and accounts receivable122,064
 72,861
68
Premises and equipment25,882
 25,813
—
Goodwill, MSRs and other intangible assets51,867
 53,341
(3)
Other assets171,810
 126,830
35
Total assets$3,139,431
 $2,687,379
17 %
Cash and due from banks and deposits with banks increased primarily as a result of significant deposit inflows, which also funded asset growth across the Firm. Deposits with banks reflect the Firm’s placements of its excess cash with various central banks, including the Federal Reserve Banks.
Federal funds sold and securities purchased under resale agreements was flat as the reduction in the deployment of cash in Treasury and CIO was offset by an increase in client-driven market-making activities and higher collateral requirements as a result of changes in market conditions in March, as well as higher demand for securities to cover short positions when compared with lower levels at year-end in CIB. Refer to Liquidity Risk Management on pages 45–49 and Note 11 for additional information.
Trading assets increased, reflecting growth in client-driven market-making activities in CIB, predominantly debt instruments in Fixed Income Markets and when compared with lower levels at year-end, as well as higher derivative receivables in CIB as a result of market movements, including the impact of the COVID-19 pandemic.
Refer to Notes 2 and 5 for additional information.
Investment securitiesincreased, reflecting:
in the available-for-sale (“AFS”) portfolio, net purchases of U.S. GSE and government agency MBS and U.S. Treasuries driven by interest rate risk management activities, partially offset by a non-cash transfer of $26.1 billion of U.S. GSE and government agency MBS from the AFS to the held-to-maturity (“HTM”) portfolio, resulting in a comparable increase in HTM.
Refer to Corporate segment results on page 37, Investment Portfolio Risk Management on page 66, and Notes 2 and 10 for additional information on Investment securities.
Loans increased predominantly reflecting drawdowns on committed revolving credit facilities in March in CIB, CB and AWM, partially offset by a reduction in Card due to seasonality and a decline in sales volume in March as a result of the COVID-19 pandemic.
The allowance for loan losses increased driven by:
additions of $5.9 billion, consisting of
–
$4.4 billion in consumer, predominantly in Credit Card, reflecting the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, and
–
a net $1.6 billion in wholesale, primarily reflecting the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic across multiple sectors, and continued pressure on oil prices, with the largest impacts in the Oil & Gas, Real Estate, and Consumer & Retail industries, and
•
a net $4.2 billion addition as a result of the adoption of CECL.
There were also additions to the allowance for lending-related commitments, which is included in other liabilities on the consolidated balance sheets, of $858 million related to the impact of the COVID-19 pandemic and continued pressure on oil prices, and $98 million related to the adoption of CECL, resulting in total additions to the allowance for credit losses of $6.8 billion and $4.3 billion, respectively, as of March 31, 2020.

Refer to Credit and Investment Risk Management on pages 50–66, and Notes 1, 2, 3, 12 and 13 for a more detailed discussion of loans and the allowance for loan losses.
Accrued interest and accounts receivable increased predominantly driven by higher client receivables in CIB during a period of heightened market volatility.
Goodwill, MSRs and other intangibles decreased reflecting lower MSRs as a result of faster prepayment speeds on lower rates and the realization of expected cash flows, partially offset by net additions to the MSRs. Refer to Note 15 for additional information.
Other assets increased reflecting higher cash collateral placed with central counterparties during a period of heightened market volatility, and the Firm’s participation in the Federal Reserve Bank of Boston’s (“FRBB”) MMLF. The assets purchased from money market mutual fund clients related to the MMLF were funded by nonrecourse advances from the FRBB, which are recorded in short-term borrowings. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 10-11 and Liquidity Risk Management on pages 45–49 for additional information.
Selected Consolidated balance sheets data (continued) 
(in millions)March 31,
2020
 December 31,
2019
Change
Liabilities    
Deposits$1,836,009
 $1,562,431
18 %
Federal funds purchased and securities loaned or sold under repurchase agreements233,207
 183,675
27
Short-term borrowings51,909
 40,920
27
Trading liabilities184,196
 119,277
54
Accounts payable and other liabilities253,874
 210,407
21
Beneficial interests issued by consolidated variable interest entities (“VIEs”)19,630
 17,841
10
Long-term debt299,344
 291,498
3
Total liabilities2,878,169
 2,426,049
19
Stockholders’ equity261,262
 261,330
—
Total liabilities and stockholders’ equity$3,139,431
 $2,687,379
17 %
Deposits increased driven by significant inflows in CIB, CB and AWM as clients focused on increasing their cash balances as a result of changes in market conditions driven by the COVID-19 pandemic. Deposits also increased in CCB due to seasonal growth in existing and new accounts.
Refer to Liquidity Risk Management on pages 45–49 and Notes 2 and 16 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased from client-driven market-making activities as a result of changes in market conditions in March and higher financing of trading assets-debt instruments when compared with lower levels at year-end in CIB. Refer to Liquidity Risk Management on pages 45–49 and Note 11 for additional information.
Short-term borrowings increased driven by the Firm’s participation in the FRBB’s MMLF. The nonrecourse advances from the FRBB funded the assets purchased from money market mutual fund clients related to the MMLF, which are recorded in other assets. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 10-11 and Liquidity Risk Management on pages 45–49 for additional information.
Trading liabilities increased due to client-driven market-making activities in CIB, which resulted in higher levels of short positions in both debt and equity instruments in Markets, as well as higher derivative payables as a result of market movements, including the impact of the COVID-19 pandemic. Refer to Notes 2 and 5 for additional information.
Accounts payable and other liabilities increased reflecting higher client payables related to client-driven activities in CIB during a period of heightened market volatility.
Beneficial interests issued by consolidated VIEs increased due to higher levels of Firm-administered multi-seller conduit commercial paper issued to third parties, partially offset by activity in municipal bond vehicles.
Refer to Off-Balance Sheet Arrangements on page 18 and Notes 14 and 23 for further information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt increased as a result of
higher FHLB advances and an increase in senior debt reflecting fair value hedge accounting adjustments related to lower interest rates, partially offset by net maturities in Treasury and CIO,
partially offset by
a decrease in the fair value of structured notes in CIB related to market movements in March.
Refer to Liquidity Risk Management on pages 45–49 for additional information on the Firm’s long-term debt activities.
Stockholders’ equity was flat reflecting the net impact of capital actions, net income, the adoption of CECL and an increase in accumulated other comprehensive income (“AOCI”). The increase in AOCI was driven by higher valuation of interest rate cash flow hedges, debit valuation adjustment on fair value option-elected liabilities, and net unrealized gains on AFS securities. Refer to page 83 for information on changes in stockholders’ equity and Capital actions on pages 42–43.

Consolidated cash flows analysis
The following is a discussion of cash flow activities during the three months ended March 31, 2020 and 2019.
(in millions) Three months ended March 31,
 2020
 2019
Net cash provided by/(used in)    
Operating activities $(120,772) $(80,880)
Investing activities (135,150) 36,301
Financing activities 362,305
 69,435
Effect of exchange rate changes on cash (2,480) (1,045)
Net increase in cash and due from banks and deposits with banks $103,903
 $23,811
Operating activities
In 2020, cash used primarily resulted from higher trading assets, other assets and accrued interest and accounts receivable, partially offset by higher trading liabilities and accounts payable and other liabilities.
In 2019, cash used primarily resulted from higher trading assets-debt and equity instruments and securities borrowed, partially offset by increased trading liabilities and accounts payable and other liabilities, and net proceeds from loans held-for-sale.
Investing activities
In 2020, cash used primarily resulted from net purchases of investment securities, net loan originations and purchases of assets from money market mutual fund clients pursuant to nonrecourse advances provided by the FRBB under the MMLF.
In 2019, cash provided resulted from a decrease in securities purchased under resale agreements, and net proceeds from sales of loans held-for-investment.
Financing activities
In 2020, cash provided resulted from higher deposits, federal funds purchased and securities loaned or sold under repurchase agreements, and net proceeds from long- and short-term borrowings, which included the non-recourse advances provided by the FRBB.
In 2019, cash provided resulted from higher securities loaned or sold under repurchase agreements and higher deposits.
For both periods, cash was used for repurchases of common stock and cash dividends on common and preferred stock. On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended share repurchases through the second quarter of 2020.
* * *
Refer to Consolidated Balance Sheets Analysis on pages 15-16, Capital Risk Management on pages 39–44, and Liquidity Risk Management on pages 45–49 of this Form 10-Q, and pages 93–98 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.

OFF-BALANCE SHEET ARRANGEMENTS
In the normal course of business, the Firm enters into various off-balance sheet arrangements and contractual obligations that may require future cash payments. Certain obligations are recognized on-balance sheet, while others are disclosed as off-balance sheet under accounting principles generally accepted in the U.S. (“U.S. GAAP”).
Special-purpose entities
The Firm has several types of off–balance sheet arrangements, including through nonconsolidated special-purpose entities (“SPEs”), which are a type of VIE, and through lending-related financial instruments (e.g., commitments and guarantees).
The Firm holds capital, as appropriate, against all SPE-related transactions and related exposures, such as derivative contracts and lending-related commitments and guarantees.
The Firm has no commitments to issue its own stock to support any SPE transaction, and its policies require that transactions with SPEs be conducted at arm’s length and reflect market pricing.
The table below provides an index of where in this Form 10-Q a discussion of the Firm’s various off-balance sheet arrangements can be found. Refer to Note 1 for additional information about the Firm’s consolidation policies.
Type of off-balance sheet arrangementLocation of disclosurePage references
Special-purpose entities: variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsRefer to Note 14145-150
Off-balance sheet lending-related financial instruments, guarantees, and other commitmentsRefer to Note 23161-164



EXPLANATION AND RECONCILIATION OF THE FIRM’S USE OF NON-GAAP FINANCIAL MEASURES
The Firm prepares its Consolidated Financial Statements in accordance with U.S. GAAP and this presentation is referred to as “reported” basis; these financial statements appear on pages 80–84.
In addition to analyzing the Firm’s results on a reported basis, the Firm also reviews and uses certain non-GAAP financial measures at the Firmwide and segment level. These non-GAAP measures include:
Firmwide “managed” basis results, including the overhead ratio, which include certain reclassifications to present total net revenue from investments that receive tax credits and tax-exempt securities on a basis comparable to taxable investments and securities (“FTE” basis)
Pre-provision profit, which represents total net revenue less noninterest expense
Net interest income and net yield excluding CIB’s Markets businesses
Tangible common equity (“TCE”), ROTCE, and TBVPS
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits.
Refer to Explanation and Reconciliation of the Firm’s Use Of Non-GAAP Financial Measures and Key Performance Measures on pages 57–59 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of management’s use of non-GAAP financial measures.
The following summary table provides a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.
 Three months ended March 31,
 2020 2019
(in millions, except ratios)Reported 
Fully taxable-equivalent adjustments(a)
 Managed
basis		 Reported 
Fully taxable-equivalent adjustments(a)
 Managed
basis
Other income$1,156
 $708
  $1,864
 $1,475
 $585
  $2,060
Total noninterest revenue13,812
 708
  14,520
 14,670
 585
  15,255
Net interest income14,439
 110
  14,549
 14,453
 143
  14,596
Total net revenue28,251
 818
  29,069
 29,123
 728
  29,851
Total noninterest expense16,850
 NA
  16,850
 16,395
 NA
  16,395
Pre-provision profit11,401
 818
  12,219
 12,728
 728
  13,456
Provision for credit losses8,285
 NA
  8,285
 1,495
 NA
  1,495
Income before income tax expense3,116
 818
  3,934
 11,233
 728
  11,961
Income tax expense251
 818
  1,069
 2,054
 728
  2,782
Net income$2,865
 NA
  $2,865
 $9,179
 NA
  $9,179
              
Overhead ratio60% NM
  58% 56% NM
  55%
(a)Predominantly recognized in CIB, CB and Corporate.

The following table provides information on net interest income and net yield excluding CIB’s Markets businesses.

(in millions, except rates)
Three months ended March 31,
2020
2019
 Change
Net interest income – reported$14,439
$14,453
 — %
Fully taxable-equivalent adjustments110
143
 (23)
Net interest income – managed basis(a)
$14,549
$14,596
 —
Less: CIB Markets net interest income(b)
1,596
624
 156
Net interest income excluding CIB Markets(a)
$12,953
$13,972
 (7)
     
Average interest-earning assets$2,465,732
$2,298,894
 7
Less: Average CIB Markets interest-earning assets(b)
736,035
649,180
 13
Average interest-earning assets excluding CIB Markets$1,729,697
$1,649,714
 5 %
Net yield on average interest-earning assets – managed basis2.37%2.57%  
Net yield on average CIB Markets interest-earning assets(b)
0.87
0.39
  
Net yield on average interest-earning assets excluding CIB Markets3.01%3.43%  
(a)Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.
(b)Refer to page 29 for further information on CIB’s Markets businesses.

The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
 Period-end Average
(in millions, except per share and ratio data)Mar 31,
2020
Dec 31,
2019
 Three months ended March 31,
 2020
2019
Common stockholders’ equity$231,199
$234,337
 $234,530
$230,051
Less: Goodwill47,800
47,823
 47,812
47,475
Less: Other intangible assets800
819
 812
744
Add: Certain Deferred tax liabilities(a)
2,389
2,381
 2,385
2,287
Tangible common equity$184,988
$188,076
 $188,291
$184,119
      
Return on tangible common equityNA
NA
 5%19%
Tangible book value per share$60.71
$60.98
 NA
NA
(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE.

BUSINESS SEGMENT RESULTS
The Firm is managed on an LOB 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 the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Explanation and Reconciliation of the Firm’s use of Non-GAAP Financial Measures on pages 19–20 for a definition of managed basis.
Description of business segment reporting methodology
Results of the business segments are intended to present each segment as if it were a stand-alone business. The management reporting process that derives business segment results includes the allocation of certain income and expense items. The Firm periodically assesses the assumptions, methodologies and reporting classifications used for segment reporting, and further refinements may be implemented in future periods.
Revenue sharing
When business segments join efforts to sell products and services to the Firm’s clients, the participating business segments may agree to share revenue from those transactions. Revenue and expense are generally recognized in the segment responsible for the related product or service, with allocations to the other segment(s) involved in the transaction. The segment results reflect these revenue-sharing agreements.
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. Periodically, the assumptions and methodologies used to allocate capital are assessed and as a result, the capital allocated to the LOBs may change. Refer to Line of business equity on page 90 of JPMorgan Chase’s 2019 Form 10-K for additional information on business segment capital allocation.
Refer to Business Segment Results – Description of business segment reporting methodology on pages 60–61 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of those methodologies.
Business segment changes
In the first quarter of 2020, the Firm began reporting a Wholesale Payments business unit within CIB following a realignment of the Firm’s wholesale payments businesses. The Wholesale Payments business comprises:
Merchant Services, which was realigned from CCB to CIB
Treasury Services and Trade Finance in CIB. Trade Finance was previously reported in Lending in CIB.
In connection with the alignment of Wholesale Payments, the assets, liabilities and headcount associated with the Merchant Services business were realigned to CIB from CCB, and the revenue and expenses of the Merchant Services business is reported across CCB, CIB and CB based primarily on client relationships. Prior periods have been revised to reflect this realignment and revised allocation methodology.
JPMorgan Chase
Consumer BusinessesWholesale Businesses
Consumer & Community BankingCorporate & Investment BankCommercial BankingAsset & Wealth Management
Consumer &
Business Banking		Home LendingCard & AutoBankingMarkets &
Securities Services		 • Middle Market Banking • Asset Management
 • Consumer Banking/Chase Wealth Management
 • Business Banking
 • Home Lending Production
 • Home Lending Servicing
 • Real Estate Portfolios
 • Credit Card
 • Auto

 • Investment Banking
 • Wholesale Payments
 • Lending
 • Fixed Income Markets • Corporate Client Banking
 • Wealth Management

 • Equity Markets
 • Securities Services
 • Credit Adjustments & Other
 • Commercial Real Estate Banking

Segment results – managed basis
The following tables summarize the Firm’s results by segment for the periods indicated.
Three months ended March 31,Consumer & Community Banking Corporate & Investment Bank Commercial Banking
(in millions, except ratios)2020
2019
Change
 2020
2019
Change
 2020
2019
Change
Total net revenue$13,171
$13,490
(2)% $9,948
$10,034
(1)% $2,178
$2,413
(10)%
Total noninterest expense7,161
6,970
3
 5,896
5,629
5
 988
938
5
Pre-provision profit/(loss)6,010
6,520
(8) 4,052
4,405
(8) 1,190
1,475
(19)
Provision for credit losses5,772
1,314
339
 1,401
87
NM
 1,010
90
NM
Net income/(loss)191
3,947
(95) 1,988
3,260
(39) 147
1,060
(86)
Return on equity (“ROE”)1%30%  9%16%  2%19% 
Three months ended March 31,Asset & Wealth Management Corporate Total
(in millions, except ratios)2020
2019
Change 2020
2019
Change
 2020
2019
Change
Total net revenue$3,606
$3,489
3 $166
$425
(61)% $29,069
$29,851
(3)%
Total noninterest expense2,659
2,647
— 146
211
(31) 16,850
16,395
3
Pre-provision profit/(loss)947
842
12 20
214
(91) 12,219
13,456
(9)
Provision for credit losses94
2
NM 8
2
300
 8,285
1,495
454
Net income/(loss)664
661
— (125)251
NM
 2,865
9,179
(69)
ROE25%25%  NM
NM
  4%16% 
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
The following sections provide a comparative discussion of the Firm’s results by segment as of or for the three months ended March 31, 2020 versus the corresponding periods in the prior year, unless otherwise specified.


CONSUMER & COMMUNITY BANKING
Consumer & Community Banking offers services to consumers and businesses through bank branches, ATMs, digital (including mobile and online) and telephone banking. CCB is organized into Consumer & Business Banking (including Consumer Banking/Chase Wealth Management and Business Banking), Home Lending (including Home Lending Production, Home Lending Servicing and Real Estate Portfolios) and Card & Auto. Consumer & Business Banking offers deposit and investment products and services to consumers, and lending, deposit, and cash management and payment solutions to small businesses. Home Lending includes mortgage origination and servicing activities, as well as portfolios consisting of residential mortgages and home equity loans. Card & Auto issues credit cards to consumers and small businesses and originates and services auto loans and leases.
Refer to Line of Business Metrics on page 177 for a discussion of the business profile of CCB.
Selected income statement data    
 Three months ended March 31,
(in millions, except ratios)2020
 2019
 Change
Revenue     
Lending- and deposit-related fees(a)
$972
 $909
 7 %
Asset management, administration and commissions(a)
585
 581
 1
Mortgage fees and related income320
 396
 (19)
Card income768
 909
 (16)
All other income1,373
 1,290
 6
Noninterest revenue4,018
 4,085
 (2)
Net interest income9,153
 9,405
 (3)
Total net revenue13,171
 13,490
 (2)
      
Provision for credit losses5,772
 1,314
 339
      
Noninterest expense     
Compensation expense2,597
 2,566
 1
Noncompensation expense(b)
4,564
 4,404
 4
Total noninterest expense7,161
 6,970
 3
Income before income tax expense238
 5,206
 (95)
Income tax expense47
 1,259
 (96)
Net income$191
 $3,947
 (95)
      
Revenue by line of business     
Consumer & Business Banking$6,091
 $6,661
 (9)
Home Lending1,161
 1,346
 (14)
Card & Auto5,919
 5,483
 8
      
Mortgage fees and related income details:     
Net production revenue319
 200
 60
Net mortgage servicing revenue(c)
1
 196
 (99)
Mortgage fees and related income$320
 $396
 (19)%
      
Financial ratios     
Return on equity1% 30%  
Overhead ratio54
 52
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. The prior-period amounts were revised to conform with the current presentation.
(b)Included depreciation expense on leased assets of $1.1 billion and $967 million for the three months ended March 31, 2020 and 2019, respectively.
(c)Included MSR risk management results of $(90) million and $(9) million for the three months ended March 31, 2020 and 2019, respectively.


Quarterly results
Net income was $191 million, a decrease of 95%, predominantly driven by an increase in the provision for credit losses.
Net revenue was $13.2 billion, a decrease of 2%.
Net interest income was $9.2 billion, down 3%, driven by:
the impact of deposit margin compression, partially offset by growth in deposit balances in CBB, and
lower loan balances in Home Lending predominantly due to prior year loan sales,
largely offset by
higher loan balances and margin expansion in Card.
Noninterest revenue was $4.0 billion, down 2%, driven by:
lower card income due to lower net interchange income reflecting higher rewards costs and partner payments, partially offset by higher card sales volume, despite a decline in March, and
lower net mortgage servicing revenue reflecting faster prepayment speeds on lower rates and a lower level of third-party loans serviced, as well as lower MSR risk management results,
predominantly offset by
higher net mortgage production revenue reflecting higher production volumes and margins, and the absence of a gain on a loan sale in the prior year,
higher auto lease volume, and
higher deposit-related fees.
Refer to Note 15 for further information regarding changes in value of the MSR asset and related hedges, and mortgage fees and related income.
Noninterest expense was $7.2 billion, up 3%, driven by:
higher volume- and revenue-related expense, including depreciation on auto lease assets, and investments in the business,
partially offset by
lower structural expense.
The provision for credit losses was $5.8 billion, an increase of $4.5 billion, driven by additions to the allowance for credit losses reflecting deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
$3.8 billion for Card, $300 million for Home Lending, $250 million for Auto and $159 million in CBB
net charge-offs were flat reflecting higher net charge-offs in Card on loan growth, in line with prior expectations, offset by higher recoveries in Home Lending on a current period loan sale.
Refer to Credit and Investment Risk Management on pages 50–66 and Allowance for Credit Losses on pages 64–65 for further discussions of the credit portfolios and the allowance for credit losses.
Selected metrics     
 As of or for the three months
ended March 31,
(in millions, except headcount)2020
 2019
 Change
Selected balance sheet data (period-end)     
Total assets$506,147
 $539,127
 (6)%
Loans:     
Consumer & Business Banking27,709
 26,492
 5
Home Lending196,401
 230,599
 (15)
Card154,021
 150,527
 2
Auto61,468
 62,786
 (2)
Total loans439,599
 470,404
 (7)
Deposits775,068
 702,587
 10
Equity52,000
 52,000
 —
Selected balance sheet data (average)     
Total assets$517,213
 $546,042
 (5)
Loans:     
Consumer & Business Banking27,261
 26,488
 3
Home Lending198,042
 238,949
 (17)
Card162,660
 151,134
 8
Auto60,893
 62,763
 (3)
Total loans448,856
 479,334
 (6)
Deposits733,648
 681,013
 8
Equity52,000
 52,000
 —
      
Headcount122,081
 124,305
 (2)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation, including a decrease to period-end assets and headcount of $13.4 billion and 4,114, respectively, as of March 31, 2019.


Selected metrics    
 As of or for the three months
ended March 31,
(in millions, except ratio data)2020

2019
 Change
Credit data and quality statistics     
Nonaccrual loans(a)(b)
$4,008

$3,265

23 %
      
Net charge-offs/(recoveries)     
Consumer & Business Banking74
 59
 25
Home Lending(122) (5) NM
Card1,313
 1,202
 9
Auto48
 58
 (17)
Total net charge-offs/(recoveries)$1,313
 $1,314
 —
      
Net charge-off/(recovery) rate     
Consumer & Business Banking1.09% 0.90%  
Home Lending(0.25) (0.01)  
Card3.25
 3.23
  
Auto0.32
 0.37
  
Total net charge-off/(recovery) rate1.18% 1.11%  
      
30+ day delinquency rate     
Home Lending(c)(d)
1.48% 1.62%  
Card1.96
 1.85
  
Auto0.89
 0.63
  
      
90+ day delinquency rate — Card1.02% 0.97%  
      
Allowance for loan losses     
Consumer & Business Banking$882
 $796
 11
Home Lending2,137
 2,741
 (22)
Card14,950
 5,183
 188
Auto732
 465
 57
Total allowance for loan losses$18,701
 $9,185
 104 %
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Refer to Note 1 for further information.
(a)At March 31, 2020, nonaccrual loans included $970 million of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(b)At March 31, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $616 million and $2.2 billion, respectively. These amounts have been excluded based upon the government guarantee.
(c)At March 31, 2020, the 30+ day delinquency rates included PCD loans. The rate prior to January 1, 2020 was revised to include the impact of PCI loans.
(d)At March 31, 2020 and 2019, excluded mortgage loans insured by U.S. government agencies of $1.0 billion and $3.2 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.

Selected metrics    
 As of or for the three months
ended March 31,
(in billions, except ratios and where otherwise noted)2020
 2019
 Change
Business Metrics     
Number of branches4,967
 5,028
 (1)%
Active digital customers
(in thousands)(a)
53,799
 50,651
 6
Active mobile customers
(in thousands)(b)
38,236
 34,371
 11
Debit and credit card sales volume$266.0

$255.1

4
      
Consumer & Business Banking     
Average deposits$718.9
 $668.5
 8
Deposit margin2.06% 2.62%  
Business banking origination volume$1.5
 $1.5
 1
Client investment assets323.0
 312.3
 3
      
Home Lending     
Mortgage origination volume by channel     
Retail$14.1
 $7.9
 78
Correspondent14.0
 7.1
 97
Total mortgage origination volume(c)
$28.1
 $15.0
 87
      
Total loans serviced (period-end)$737.8
 $791.5
 (7)
Third-party mortgage loans serviced (period-end)505.0
 529.6
 (5)
MSR carrying value (period-end)3.3
 6.0
 (45)
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)0.65% 1.13%  
      
MSR revenue multiple(d)
2.10x 3.32x  
      
Credit Card     
Credit card sales volume, excluding Commercial Card$179.1
 $172.5
 4
Net revenue rate10.68% 10.68%  
      
Auto     
Loan and lease origination volume$8.3
 $7.9
 5
Average auto operating lease assets23.1
 20.8
 11 %
(a)Users of all web and/or mobile platforms who have logged in within the past 90 days.
(b)Users of all mobile platforms who have logged in within the past 90 days.
(c)Firmwide mortgage origination volume was $31.9 billion and $16.4 billion for the three months ended March 31, 2020 and 2019, respectively.
(d)Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).

CORPORATE & INVESTMENT BANK
The Corporate & Investment Bank, which consists of Banking and Markets & Securities Services, offers a broad suite of investment banking, market-making, prime brokerage, and treasury and securities products and services to a global client base of corporations, investors, financial institutions, merchants, government and municipal entities. Banking offers a full range of investment banking products and services in all major capital markets, including advising on corporate strategy and structure, capital-raising in equity and debt markets, as well as loan origination and syndication. Banking also includes Wholesale Payments, which provides payments services enabling clients to manage payments and receipts globally, and cross-border financing. Markets & Securities Services includes Markets, a global market-maker in cash securities and derivative instruments, which also offers sophisticated risk management solutions, prime brokerage, and research. Markets & Securities Services also includes Securities Services, a leading global custodian which provides custody, fund accounting and administration, and securities lending products principally for asset managers, insurance companies and public and private investment funds.
Refer to Line of Business Metrics on page 177 for a discussion of the business profile of CIB.
Selected income statement data  
 Three months ended March 31,
(in millions, except ratios)2020 2019 Change
Revenue     
Investment banking fees$1,907
 $1,844
 3 %
Principal transactions3,188
 4,164
 (23)
Lending- and deposit-related fees(a)
450
 396
 14
Asset management, administration and commissions(a)

1,261
 1,067
 18
All other income35
 365
 (90)
Noninterest revenue6,841
 7,836
 (13)
Net interest income3,107
 2,198
 41
Total net revenue(b)
9,948
 10,034
 (1)
      
Provision for credit losses1,401
 87
 NM
      
Noninterest expense     
Compensation expense3,006
 3,091
 (3)
Noncompensation expense2,890
 2,538
 14
Total noninterest expense5,896
 5,629
 5
Income before income tax expense2,651
 4,318
 (39)
Income tax expense663
 1,058
 (37)
Net income$1,988
 $3,260
 (39)%
Financial ratios     
Return on equity9% 16%  
Overhead ratio59
 56
  
Compensation expense as percentage of total net revenue30
 31
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts were revised to conform with the current presentation.
(b)Includes tax-equivalent adjustments, predominantly due to income tax credits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; and tax-exempt income from municipal bonds of $667 million and $539 million for the three months ended March 31, 2020 and 2019, respectively.

Selected income statement data  
 Three months ended March 31,
(in millions)2020 2019 Change
Revenue by business     
Investment Banking$886
 $1,745
 (49)%
Wholesale Payments
1,359
 1,415
 (4)
Lending350
 258
 36
Total Banking2,595
 3,418
 (24)
Fixed Income Markets4,993
 3,725
 34
Equity Markets2,237
 1,741
 28
Securities Services1,074
 1,014
 6
Credit Adjustments & Other(a)
(951) 136
 NM
Total Markets & Securities Services7,353
 6,616
 11
Total net revenue$9,948
 $10,034
 (1)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
(a)Includes credit valuation adjustments (“CVA”) managed centrally within CIB and funding valuation adjustments (“FVA”) on derivatives and certain components of fair value option elected liabilities, which are primarily reported in principal transactions revenue. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets.
Quarterly results
Net income was $2.0 billion, down 39%, predominantly driven by an increase in the provision for credit losses.
Net revenue was $9.9 billion, down 1%.
Banking revenue was $2.6 billion, down 24%.
Investment Banking revenue was $886 million, down 49%, predominantly driven by $820 million of markdowns on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio as high-yield spreads widened significantly. The decline was partially offset by higher Investment Banking fees, up 3%. The Firm maintained its #1 ranking for Global Investment Banking fees, according to Dealogic.
–Debt underwriting fees were $1.1 billion, up 15%, driven by both increased industry-wide fees and wallet share gains in investment-grade bonds, particularly in March as clients sought to access liquidity.
–Equity underwriting fees were $331 million, up 25%, driven by increased industry-wide fees primarily in the IPO market, with strong activity in January and February, compared to a weak prior year.
–Advisory fees were $503 million, down 22%, compared to a strong prior year, driven by a lower number of completed transactions as well as the impact of delays in regulatory approvals.
Wholesale Payments revenue was $1.4 billion, down 4%, driven by a reporting re-classification for certain expenses which are now reported as contra revenue in Merchant Services. In addition, deposit margin
compression was offset by higher balances and fee growth.
Lending revenue was $350 million, up 36%, predominantly driven by fair value gains on hedges of accrual loans.
Markets & Securities Services revenue was $7.4 billion, up 11%. Markets revenue was $7.2 billion, up 32%.
Fixed Income Markets revenue was $5.0 billion, up 34%, driven by strong client activity across products primarily in Rates and Currencies & Emerging Markets reflecting higher trading volume particularly in March.
Equity Markets revenue was $2.2 billion, up 28%, driven by strong client activity in derivatives and higher revenue in Cash Equities, particularly in March.
Securities Services revenue was $1.1 billion, up 6%, predominantly driven by deposit balance and fee growth partially offset by deposit margin compression.
Credit Adjustments & Other was a loss of $951 million, predominantly driven by funding spread widening on derivatives.
Noninterest expense was $5.9 billion, up 5%, driven by higher legal expense, volume- and revenue-related expenses and investments in the business, partially offset by lower structural expense.
The provision for credit losses was $1.4 billion, compared with $87 million in the prior year. The increase was predominantly driven by additions to the allowance for credit losses from the impact of the COVID-19 pandemic across multiple sectors and continued pressure on oil prices, with the largest impact in the Oil & Gas and Consumer & Retail industries.
Refer to Credit and Investment Risk Management on pages 50–66 and Allowance for Credit Losses on pages 64–65 for further discussions of the credit portfolios and the allowance for credit losses.


Selected metrics    
 As of or for the three months
ended March 31,
(in millions, except headcount)2020 2019 Change
Selected balance sheet data (period-end)     
Assets$1,217,459
 $1,019,470
 19%
Loans:     
Loans retained(a)
165,376
 127,086
 30
Loans held-for-sale and loans at fair value9,326
 7,783
 20
Total loans174,702
 134,869
 30
Equity80,000
 80,000
 —
Selected balance sheet data (average)     
Assets$1,082,820
 $967,632
 12
Trading assets-debt and equity instruments427,316
 381,312
 12
Trading assets-derivative receivables55,133
 50,609
 9
Loans:     
Loans retained(a)
$128,838
 $126,990
 1
Loans held-for-sale and loans at fair value9,818
 8,615
 14
Total loans$138,656
 $135,605
 2
Equity80,000
 80,000
 —
Headcount60,245
 58,811
 2%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation, including an increase to period-end assets and headcount of $13.4 billion and 4,114, respectively, as of March 31, 2019.
(a)Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.

Selected metrics     
 As of or for the three months
ended March 31,
(in millions, except ratios)2020 2019 Change
Credit data and quality statistics     
Net charge-offs/(recoveries)$55
 $30
 83 %
Nonperforming assets:     
Nonaccrual loans:     
Nonaccrual loans retained(a)
$689
 $812
 (15)%
Nonaccrual loans held-for-sale and loans at fair value
138
 313
 (56)
Total nonaccrual loans827
 1,125
 (26)
Derivative receivables85
 44
 94
Assets acquired in loan satisfactions43
 58
 (26)
Total nonperforming assets$955
 $1,227
 (22)
Allowance for credit losses:     
Allowance for loan losses$1,422
 $1,252
 14
Allowance for lending-related commitments1,468
 758
 94
Total allowance for credit losses$2,890
 $2,010
 44 %
Net charge-off/(recovery) rate(b)
0.17% 0.10%  
Allowance for loan losses to period-end loans retained0.86
 0.99
  
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(c)
1.11
 1.34
  
Allowance for loan losses to nonaccrual loans retained(a)
206
 154
  
Nonaccrual loans to total period-end loans0.47% 0.83%  
(a)Allowance for loan losses of $317 million and $252 million were held against these nonaccrual loans at March 31, 2020 and 2019, respectively.
(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.
(c)Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.
Investment banking fees    
 Three months ended March 31,
(in millions)2020 2019 Change
Advisory$503
 $644
 (22)%
Equity underwriting331
 265
 25
Debt underwriting(a)
1,073
 935
 15
Total investment banking fees$1,907
 $1,844
 3 %
(a)Represents long-term debt and loan syndications.

League table results – wallet share    
 Three months ended March 31, Full-year 2019
 2020 2019 
 Rank Share Rank Share Rank Share
Based on fees(a)
          
M&A(b)
           
Global#2
 8.6 #2
 9.8 #2
 9.0%
U.S.2
 9.0 2
 10.1 2
 9.3
Equity and equity-related(c)
           
Global2
 8.8 3
 8.7 1
 9.3
U.S.2
 12.5 1
 12.4 1
 13.3
Long-term debt(d)
           
Global1
 9.5 1
 7.8 1
 7.8
U.S.1
 12.8 1
 11.8 1
 12.0
Loan syndications           
Global1
 9.8 1
 13.0 1
 10.2
U.S.2
 9.1 1
 16.4 1
 12.5
Global investment banking fees(e)
#1
 9.1 #1
 9.6 #1
 8.9%
(a)Source: Dealogic as of April 1, 2020. Reflects the ranking of revenue wallet and market share.
(b)Global M&A excludes any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S.
(c)Global equity and equity-related ranking includes rights offerings and Chinese A-Shares.
(d)Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”); and exclude money market, short-term debt, and U.S. municipal securities.
(e)Global investment banking fees exclude money market, short-term debt and shelf deals.
Markets revenue
The following table summarizes select income statement data for the Markets businesses. Markets includes both Fixed Income Markets and Equity Markets. Markets revenue comprises principal transactions, fees, commissions and other income, as well as net interest income. The Firm assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate net interest income may be risk-managed by derivatives that are
recorded in principal transactions revenue. Refer to Notes 6 and 7 for a description of the composition of these income statement line items. Refer to Markets revenue on page 69 of JPMorgan Chase’s 2019 Form 10-K for further information.
For the periods presented below, the predominant source of principal transactions revenue was the amount recognized upon executing new transactions.
 Three months ended March 31, Three months ended March 31,
 2020 2019

(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		 Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactions$3,143
$1,723
$4,866
 $2,482
$1,557
$4,039
Lending- and deposit-related fees47
2
49
 49
2
51
Asset management, administration and commissions111
608
719
 103
434
537
All other income1
(1)—
 219
(4)215
Noninterest revenue3,302
2,332
5,634
 2,853
1,989
4,842
Net interest income1,691
(95)1,596
 872
(248)624
Total net revenue$4,993
$2,237
$7,230
 $3,725
$1,741
$5,466
In the first quarter of 2020, CIB Markets had two loss days. Loss days represent the number of days for which CIB Markets, which consists of Fixed Income Markets and Equity Markets, posted losses to total net revenue. The loss days determined under this measure differ from the measure used to determine backtesting gains and losses. Daily backtesting gains and losses include positions in the Firm’s Risk Management value-at-risk (“VaR”) measure and exclude select components of total net revenue, which may more than offset backtesting gains or losses on a particular day. For more information on daily backtesting gains and losses, refer to the VaR discussion on pages 67–69.


Selected metrics     
 As of or for the three months
ended March 31,
(in millions, except where otherwise noted)2020 2019 Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
     
Fixed Income$13,572
 $12,772
 6 %
Equity7,819
 9,028
 (13)
Other(a)
3,018
 2,916
 3
Total AUC$24,409

$24,716
 (1)
Merchant processing volume (in billions)(b)
$374.8
 $356.5
 5
Client deposits and other third-party liabilities (average)(c)
$514,464

$444,055
 16 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
(a)Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.
(b)Represents total merchant processing volume across CIB, CCB and CB.
(c)Client deposits and other third-party liabilities pertain to the Wholesale Payments and Securities Services businesses.
International metrics     
 As of or for the three months
ended March 31,
(in millions, except where
 otherwise noted)
2020 
2019(c)
 Change
Total net revenue(a)
     
Europe/Middle East/Africa$2,590
 $3,180
 (19)%
Asia-Pacific1,776
 1,407
 26
Latin America/Caribbean507
 406
 25
Total international net revenue4,873
 4,993
 (2)
North America5,075
 5,041
 1
Total net revenue$9,948
 $10,034
 (1)
      
Loans retained (period-end)(a)
    
Europe/Middle East/Africa$29,184
 $26,329
 11
Asia-Pacific16,822
 18,006
 (7)
Latin America/Caribbean8,197
 7,397
 11
Total international loans54,203
 51,732
 5
North America111,173
 75,354
 48
Total loans retained$165,376
 $127,086
 30
      
Client deposits and other third-party liabilities (average)(b)
     
Europe/Middle East/Africa$190,976
 $164,138
 16
Asia-Pacific103,792
 85,082
 22
Latin America/Caribbean30,849
 27,482
 12
Total international$325,617
 $276,702
 18
North America188,847
 167,353
 13
Total client deposits and other third-party liabilities$514,464
 $444,055
 16
      
AUC (period-end)(b)
(in billions)
     
North America$15,590
 $15,352
 2
All other regions8,819
 9,364
 (6)
Total AUC$24,409
 $24,716
 (1)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior-period amounts were revised to conform with the current presentation.
(a)Total net revenue and loans retained (excluding loans held-for-sale and loans at fair value) are based on the location of the trading desk, booking location, or domicile of the client, as applicable.
(b)Client deposits and other third-party liabilities pertaining to the Wholesale Payments and Securities Services businesses, and AUC, are based on the domicile of the client.
(c)The prior-period amounts have been revised to conform with the current period presentation.

COMMERCIAL BANKING
Commercial Banking provides comprehensive financial solutions, including lending, wholesale payments, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.

Middle Market Banking covers small business and midsized corporations, local governments and nonprofit clients.

Corporate Client Banking covers large corporations.

Commercial Real Estate Banking covers investors, developers, and owners of multifamily, office, retail, industrial and affordable housing properties.
Refer to Line of Business Metrics on page 178 for a discussion of the business profile of CB.
Selected income statement data
 Three months ended March 31,
(in millions)2020
 2019
 Change
Revenue     
Lending- and deposit-related fees(a)
$261
 $233
 12 %
All other income(a)
360
 500
 (28)
Noninterest revenue621
 733
 (15)
Net interest income1,557
 1,680
 (7)
Total net revenue(b)
2,178
 2,413
 (10)
      
Provision for credit losses1,010
 90
 NM
      
Noninterest expense     
Compensation expense472
 449
 5
Noncompensation expense513
 489
 5
Amortization of intangibles3
 —
 NM
Total noninterest expense988
 938
 5
      
Income before income tax expense180
 1,385
 (87)
Income tax expense33
 325
 (90)
Net income$147
 $1,060
 (86)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior period revenue and expense amounts were revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions (which are included in all other income) to lending- and deposit-related fees. Prior-period amounts were revised to conform with the current presentation.
(b)Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community
development entities and in entities established for rehabilitation of historic properties, as well as tax-exempt income related to municipal financing activities of $81 million and $94 million for the three months ended March 31, 2020 and 2019, respectively.
Quarterly results
Net income was $147 million, a decrease of 86%, predominantly driven by an increase in the provision for credit losses.
Net revenue was $2.2 billion, down 10%. Net interest income was $1.6 billion, down 7%, driven by lower deposit margins, partially offset by higher deposit balances. Noninterest revenue was $621 million, a decrease of 15%, driven by markdowns on held-for-sale positions, including unfunded commitments in the bridge financing portfolio, and lower investment banking revenue, partially offset by higher deposit-related fees.
Noninterest expense was $988 million, up 5%, predominantly driven by investments in the business.
The provision for credit losses was $1.0 billion, compared with $90 million in the prior year. The increase was predominantly driven by additions to the allowance for credit losses from the impact of the COVID-19 pandemic across multiple sectors and continued pressure on oil prices, with the largest impacts in the Oil & Gas, Real Estate, and Consumer & Retail industries.
Refer to Credit and Investment Risk Management on pages 50–66 and Allowance for Credit Losses on pages 64–65 for further discussions of the credit portfolios and the allowance for credit losses.
CB product revenue consists of 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.
Wholesale payments 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 Markets products used by CB clients is also included.
Other product revenue primarily includes tax-equivalent adjustments generated from Community Development Banking activities and certain income derived from principal transactions.


Selected income statement data (continued)
 Three months ended March 31,
(in millions, except ratios)2020
 2019
 Change
Revenue by product     
Lending$954
 $1,012
 (6)%
Wholesale payments991
 1,104
 (10)
Investment banking(a)
235
 289
 (19)
Other(2) 8
 NM
Total Commercial Banking net revenue$2,178
 $2,413
 (10)
      
Investment banking revenue, gross(b)
$686
 $818
 (16)
      
Revenue by client segments     
Middle Market Banking$946
 $974
 (3)
Corporate Client Banking681
 851
 (20)
Commercial Real Estate Banking541
 547
 (1)
Other10
 41
 (76)
Total Commercial Banking net revenue$2,178
 $2,413
 (10)%
      
Financial ratios     
Return on equity2% 19%  
Overhead ratio45
 39
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior period revenue and expense amounts were revised to conform with the current presentation.
(a)Includes CB’s share of revenue from investment banking products sold to CB clients through the CIB.
(b)Refer to Business Segment Results on page 21 for discussion of revenue sharing.

Selected metrics  
 As of or for the three months
ended March 31,
(in millions, except headcount)2020
2019
Change
Selected balance sheet data (period-end)   
Total assets$247,786
$216,111
15 %
Loans:   
Loans retained232,254
204,927
13
Loans held-for-sale and loans at fair value1,112
410
171
Total loans$233,366
$205,337
14
Equity22,000
22,000
—
    
Period-end loans by client segment   
Middle Market Banking$60,317
$56,846
6
Corporate Client Banking69,540
46,897
48
Commercial Real Estate Banking102,799
100,622
2
Other710
972
(27)
Total Commercial Banking loans$233,366
$205,337
14
    
Selected balance sheet data (average)   
Total assets$226,071
$218,297
4
Loans:   
Loans retained209,988
204,462
3
Loans held-for-sale and loans at fair value1,831
1,634
12
Total loans$211,819
$206,096
3
    
Average loans by client segment   
Middle Market Banking$56,045
$56,723
(1)
Corporate Client Banking53,032
48,141
10
Commercial Real Estate Banking101,526
100,264
1
Other1,216
968
26
Total Commercial Banking loans$211,819
$206,096
3
    
Client deposits and other third-party liabilities$188,808
$167,260
13
Equity22,000
22,000
—
    
Headcount11,779
11,033
7 %

Selected metrics (continued)  
 As of or for the three months
ended March 31,
(in millions, except ratios)2020
2019
Change
Credit data and quality statistics   
Net charge-offs/(recoveries)$100
$11
NM
Nonperforming assets   
Nonaccrual loans:   
Nonaccrual loans retained(a)
$793
$544
46 %
Nonaccrual loans held-for-sale and loans at fair value—
—
—
Total nonaccrual loans$793
$544
46
Assets acquired in loan satisfactions24
—
NM
Total nonperforming assets$817
$544
50
Allowance for credit losses:   
Allowance for loan losses$2,680
$2,766
(3)
Allowance for lending-related commitments505
250
102
Total allowance for credit losses$3,185
$3,016
6 %
Net charge-off/(recovery) rate(b)
0.19%0.02% 
Allowance for loan losses to period-end loans retained
1.15
1.35
 
Allowance for loan losses to nonaccrual loans retained(a)
338
508
 
Nonaccrual loans to period-end total loans0.34
0.26
 
(a)Allowance for loan losses of $175 million and $132 million was held against nonaccrual loans retained at March 31, 2020 and 2019, respectively.
(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.


ASSET & WEALTH MANAGEMENT
Refer to pages 74–76 of JPMorgan Chase’s 2019 Form 10-K and Line of Business Metrics on pages 178–179 for a discussion of the business profile of AWM.
Selected income statement data
(in millions, except ratios)Three months ended March 31,
2020
2019
Change
Revenue   
Asset management, administration and commissions$2,706
$2,416
12 %
All other income3
177
(98)
Noninterest revenue2,709
2,593
4
Net interest income897
896
—
Total net revenue3,606
3,489
3
    
Provision for credit losses94
2
NM
    
Noninterest expense   
Compensation expense1,411
1,462
(3)
Noncompensation expense1,248
1,185
5
Total noninterest expense2,659
2,647
—
    
Income before income tax expense853
840
2
Income tax expense189
179
6
Net income$664
$661
—
    
Revenue by line of business   
Asset Management$1,740
$1,761
(1)
Wealth Management1,866
1,728
8
Total net revenue$3,606
$3,489
3 %
    
Financial ratios   
Return on equity25%25% 
Overhead ratio74
76
 
Pre-tax margin ratio:   
Asset Management24
23
 
Wealth Management24
25
 
Asset & Wealth Management24
24
 
Quarterly results
Net income was $664 million, flat versus the prior year.
Net revenue of $3.6 billion was up 3%. Net interest income of $897 million was flat, reflecting deposit and loan growth, offset by deposit margin compression. Noninterest revenue was $2.7 billion, up 4%, largely driven by:
higher asset management fees as a result of higher asset values at the beginning of 2020 driven by higher average market levels, and strong net inflows into long-term products over the past year despite the impact of market volatility in March, and
increased brokerage commissions on higher client-driven volume particularly in March,
largely offset by
net valuation losses on certain investments, compared with gains in the prior year.
Revenue from Asset Management was $1.7 billion, down 1%, driven by:
net valuation losses on certain investments, compared with gains in the prior year,
largely offset by
higher asset management fees as a result of higher average market levels, despite the impact of market volatility in March.
Revenue from Wealth Management was $1.9 billion, up 8%, predominantly driven by:
increased brokerage commissions on higher client-driven volume particularly in March,
deposit and loan growth, and
higher asset management fees as a result of higher average market levels and strong net inflows into long-term products over the past year, despite the impact of market volatility in March,
partially offset by
deposit margin compression.
Noninterest expense of $2.7 billion was flat, as higher investments and volume-and revenue-related expense, were predominantly offset by lower structural expense.
The provision for credit losses was $94 million, driven by additions to the allowance for credit losses from the impact of the COVID-19 pandemic, as well as loan growth.
Refer to Credit and Investment Risk Management on pages 50–66 and Allowance for Credit Losses on pages 64–65 for further discussions of the credit portfolios and the allowance for credit losses.


Selected metrics   
 As of or for the three months
ended March 31,
(in millions, except ranking data, headcount and ratios)2020
2019
Change
% of JPM mutual fund assets rated as 4- or 5-star(a)
62%60% 
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
   
1 year69
72
 
3 years74
78
 
5 years78
86
 
    
Selected balance sheet data (period-end)(c)
   
Total assets$186,102
$165,865
12 %
Loans166,058
143,750
16
Deposits168,561
143,348
18
Equity10,500
10,500
—
    
Selected balance sheet data (average)(c)
   
Total assets$183,316
$167,358
10
Loans161,823
145,406
11
Deposits150,631
138,235
9
Equity10,500
10,500
—
    
Headcount23,830
24,347
(2)
    
Number of Wealth Management client advisors2,878
2,877
—
    
Credit data and quality statistics(c)
   
Net charge-offs$2
$4
(50)
Nonaccrual loans304
285
7
Allowance for credit losses:   
Allowance for loan losses$438
$325
35
Allowance for lending-related commitments14
18
(22)
Total allowance for credit losses$452
$343
32 %
Net charge-off rate—
0.01% 
Allowance for loan losses to period-end loans0.26
0.23
 
Allowance for loan losses to nonaccrual loans144
114
 
Nonaccrual loans to period-end loans0.18
0.20
 
(a)Represents the Nomura “star rating” for Japan domiciled funds and Morningstar for all other domiciled funds. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(b)Quartile ranking sourced from Lipper, Morningstar, Nomura and Fund Doctor based on country of domicile. Includes only Asset Management retail open-ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(c)Loans, deposits and related credit data and quality statistics relate to the Wealth Management business.
Client assets
Client assets of $3.0 trillion and assets under management of $2.2 trillion were up 4% and 7% respectively, driven by cumulative net inflows, partially offset by the impact of lower market levels at the end of the quarter.
Client assets   
 As of March 31,
(in billions)2020
2019
Change
Assets by asset class   
Liquidity$618
$476
30 %
Fixed income586
495
18
Equity369
427
(14)
Multi-asset and alternatives666
698
(5)
Total assets under management2,239
2,096
7
Custody/brokerage/administration/deposits763
801
(5)
Total client assets$3,002
$2,897
4
    
Memo:   
Alternatives client assets (a)
$188
$172
9
    
Assets by client segment   
Private Banking$617
$597
3
Institutional1,097
943
16
Retail525
556
(6)
Total assets under management$2,239
$2,096
7
    
Private Banking$1,355
$1,371
(1)
Institutional1,118
965
16
Retail529
561
(6)
Total client assets$3,002
$2,897
4 %
(a)Represents assets under management, as well as client balances in brokerage accounts
Client assets (continued)  


Three months ended
March 31,
(in billions)2020
2019
Assets under management rollforward  
Beginning balance$2,364
$1,987
Net asset flows:  
Liquidity75
(5)
Fixed income1
19
Equity(1)(6)
Multi-asset and alternatives(2)(3)
Market/performance/other impacts(198)104
Ending balance, March 31$2,239
$2,096
   
Client assets rollforward  
Beginning balance$3,226
$2,733
Net asset flows85
9
Market/performance/other impacts(309)155
Ending balance, March 31$3,002
$2,897

International metrics   
 Three months ended
March 31,
(in millions)2020
2019
Change
Total net revenue (a)
   
Europe/Middle East/Africa$623
$695
(10)%
Asia-Pacific400
364
10
Latin America/Caribbean188
182
3
Total international net revenue1,211
1,241
(2)
North America2,395
2,248
7
Total net revenue(a)
$3,606
$3,489
3 %
(a)Regional revenue is based on the domicile of the client.
 As of March 31,
(in billions)2020
2019
Change
Assets under management   
Europe/Middle East/Africa$395
$378
4 %
Asia-Pacific174
178
(2)
Latin America/Caribbean56
54
4
Total international assets under management625
610
2
North America1,614
1,486
9
Total assets under management$2,239
$2,096
7
    
Client assets   
Europe/Middle East/Africa$479
$461
4
Asia-Pacific248
247
—
Latin America/Caribbean134
132
2
Total international client assets861
840
2
North America2,141
2,057
4
Total client assets$3,002
$2,897
4 %

CORPORATE
Refer to pages 77–78 of JPMorgan Chase’s 2019 Form 10-K for a discussion of Corporate.
Selected income statement and balance sheet data
 As of or for the three months
ended March 31,
(in millions, except headcount)2020
2019
 Change
Revenue    
Principal transactions$(113)$(62) (82)%
Investment securities gains233
13
 NM
All other income211
57
 270 %
Noninterest revenue331
8
 NM
Net interest income(165)417
 NM
Total net revenue(a)
166
425
 (61)%
     
Provision for credit losses8
2
 300 %
     
Noninterest expense(b)
146
211
 (31)%
Income before income tax expense/(benefit)12
212
 (94)%
Income tax expense/(benefit)137
(39) NM
Net income/(loss)$(125)$251
 NM
Total net revenue    
Treasury and CIO$169
$511
 (67)
Other Corporate(3)(86) 97
Total net revenue$166
$425
 (61)
Net income/(loss)    
Treasury and CIO$83
$334
 (75)
Other Corporate(208)(83) (151)
Total net income/(loss)$(125)$251
 NM
Total assets (period-end)$981,937
$796,615
 23
Loans (period-end)1,650
1,885
 (12)
Headcount38,785
37,502
 3 %
(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $61 million and $86 million for the three months ended March 31, 2020 and 2019, respectively.
(b)Included a net legal benefit of $(20) million and $(90) million for the three months ended March 31, 2020 and 2019, respectively.
Quarterly results
Net loss was $125 million compared with net income of $251 million in the prior year.
Net revenue was $166 million, compared with $425 million in the prior year. The decrease was driven by lower net interest income on lower rates, largely offset by higher noninterest revenue primarily due to higher net investment securities gains reflecting the impact of repositioning the investment securities portfolio, and market-driven impacts on certain Corporate investments.
Noninterest expense of $146 million was down $65 million due to lower structural expense, largely offset by a lower net legal benefit compared to the prior year.
The current period income tax expense was driven by the change in the level and mix of income and expenses subject to U.S. federal, and state and local taxes and more specifically, the impact of the Firm’s estimated full-year expected tax rate relative to the level of pretax income for the quarter.
Treasury and CIO overview
At March 31, 2020, the average credit rating of the Treasury and CIO investment securities comprising the portfolio in the table below was AA+ (based upon external ratings where available and, where not available, based primarily upon internal risk ratings). Refer to Note 10 for further information on the Firm’s investment securities portfolio and internal risk ratings.
Refer to Liquidity Risk Management on pages 45–49 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 67–71 for information on interest rate, foreign exchange and other risks.
Selected income statement and balance sheet data
 As of or for the three months
ended March 31,
(in millions)2020
 2019
 Change
Investment securities gains$233
 $13
 NM
Available-for-sale securities (average)$372,954
 $226,605
 65
Held-to-maturity securities (average)46,673
 31,082
 50
Investment securities portfolio (average)$419,627
 $257,687
 63
Available-for-sale securities (period-end)$397,891
 $234,832
 69
Held-to-maturity securities, net of allowance for credit losses (period-end)(a)(b)
71,200
 30,849
 131
Investment securities portfolio, net of allowance for credit losses (period-end)(a)
$469,091
 $265,681
 77
(a)At March 31, 2020, the allowance for credit losses on HTM securities was $19 million.
(b)During the first quarter of 2020, the Firm transferred $26.1 billion of U.S. GSE and government agency MBS from AFS to HTM for capital management purposes.
Refer to Note 10 for further information.


FIRMWIDE RISK MANAGEMENT
Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers and clients on their investment decisions, makes markets in securities, or offers other products or services, the Firm takes on some degree of risk. The Firm’s overall objective is to manage its businesses, and the associated risks, in a manner that balances serving the interests of its clients, customers and investors and protects the safety and soundness of the Firm.
The Firm believes that effective risk management requires, among other things:
Acceptance of responsibility, including identification and escalation of risk issues, by all individuals within the Firm;
Ownership of risk identification, assessment, data and management within each of the LOBs and Corporate; and
Firmwide structures for risk governance.
The Firm strives for continual improvement in its efforts to enhance controls, ongoing employee training and development, talent retention, and other measures. The Firm follows a disciplined and balanced compensation framework with strong internal governance and independent oversight by the Board of Directors (the “Board”). The impact of risk and control issues is carefully considered in the Firm’s performance evaluation and incentive compensation processes.
Risk governance and oversight framework
The Firm’s risk management governance and oversight framework involves understanding drivers of risks, types of risks, and impacts of risks.
jpmcgovernancea06.jpg
Refer to pages 79-83 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of Firmwide risk management governance and oversight.
Risk governance and oversight functions
The following sections of this Form 10-Q and the 2019 Form 10-K discuss the risk governance and oversight functions in place to manage the risks inherent in the Firm’s business activities.
Risk governance and oversight functionsForm 10-Q page referenceForm 10-K page reference
Strategic risk 84
Capital risk39–4485–92
Liquidity risk45–4993–98
Reputation risk 99
Consumer credit risk52–55103–107
Wholesale credit risk56–63108–115
Investment portfolio risk66118
Market risk67–71119–126
Country risk72127–128
Operational risk45129–135
Compliance risk 132
Conduct risk 133
Legal risk 134
Estimations and Model risk74135

CAPITAL RISK MANAGEMENT
Capital risk is the risk the Firm has an insufficient level or composition of capital to support the Firm’s business activities and associated risks during normal economic environments and under stressed conditions.
Refer to pages 85–92 of JPMorgan Chase’s 2019 Form
10-K, Note 22 of this Form 10-Q and the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for further discussion of the Firm’s Capital Risk Management, including capital planning and stress testing.
COVID-19 Pandemic
In the first quarter of 2020, in response to the COVID-19 pandemic, the Firm invoked resiliency plans to allow its businesses to remain operational, utilizing disaster recovery sites and implementing alternative work arrangements globally, including work from home.
The Firm also implemented strategies and procedures designed to help it respond to increased market volatility, client demand for credit and liquidity, distress in certain industries/sectors and the ongoing impacts to consumers and businesses.
In the second quarter, the Firm continued its focus on responding to the COVID-19 pandemic, including developing plans to return employees to the office. The Firm continues to actively monitor the dynamic health and safety situations at local and regional levels, and plans remain flexible to adapt as these situations evolve.
Supporting clients and customers
The Firm has continued to support its clients and customers during the challenging conditions caused by the COVID-19 pandemic, including by providing liquidity. Since March, the Firm has extended more than $350 billion of new and renewed credit to its clients and customers, of which approximately $300 billion was in the wholesale businesses.
The Firm is participating in a number of U.S government facilities and programs including the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”) and the Small Business Administration (“SBA”) Paycheck Protection Program (“PPP”). At June 30, 2020, the Firm had approximately $28 billion of loans under the PPP. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 for more information on U.S. Government facilities and programs.
In addition, in March 2020 the Firm began providing payment deferrals on loans and auto leases, refunded fees, and modified covenants for clients and customers.
In the consumer portfolio segment, through June 30, 2020, the Firm has provided customer assistance to over 2 million accounts, including refunding over $83 million in fees and granting payment deferrals on over $79 billion of loans and leases, of which $42 billion was for third-party mortgage loans serviced. As of June 30, 2020 the Firm had approximately $28 billion of retained loans that were still under payment deferral.
In the wholesale portfolio segment, through June 30, 2020, the Firm has provided client assistance to approximately 12,000 clients, primarily risk-rated clients in CCB. The majority of the client assistance was payment deferrals on approximately $23 billion of loans. As of June 30, 2020, there were approximately $17 billion of retained loans that were still under payment deferral.
Refer to Credit Portfolio on pages 60-61 for additional information on assistance granted to customers and clients. Refer to Consumer Credit portfolio on pages 62-66 and Wholesale Credit Portfolio on pages 67-76 for additional information on retained loans that were still under payment deferral as of June 30, 2020.
Approximately three-quarters of the Firm’s branch network is operational, and ATMs remain accessible. The Firm also continues to provide a wide range of banking services accessible to clients and customers online.
Protecting and supporting employees
In addition to widespread work from home arrangements, the Firm has taken actions to protect and support its employees. These actions include providing increased safety measures for those employees whose job functions require them to continue to be onsite, a special payment for certain eligible employees and expanded healthcare resources.
Supporting communities
Since March, the Firm has committed $250 million to help address humanitarian needs and long-term economic challenges posed by the COVID-19 pandemic on the communities in which the Firm operates. This includes a $200 million commitment to be deployed over time to support underserved small businesses and nonprofits and $50 million in grants to help vulnerable communities impacted by the pandemic.


Departure of the U.K. from the EU
The Firm continues to execute on its Firmwide Brexit Implementation program and remains focused on the following key areas to ensure continuation of service to its EU clients: regulatory and legal entity readiness; client readiness; and business and operational readiness. The Firm’s Brexit-related planning in the second half of 2020 will focus on the possibility that the U.K. will complete its departure from the EU without having agreed the terms of their future relationship, which is commonly referred to as “hard Brexit,” as the July 1, 2020 deadline for the U.K. to request an extension of the transition period has passed. This will require completion of the relocation of certain front office roles from the U.K. to EU locations, and finalization of the migration of EU clients and certain positions to EU entities by the end of 2020. The COVID-19 pandemic has added incremental risk to the Firm’s Brexit Implementation program due to the potential impact on its ability to execute changes such as relocation of employees given travel restrictions, or the ability of clients to be operationally ready to the extent that they have diverted resources during 2020 to address the effects of the pandemic.
Interbank Offered Rate (“IBOR”) transition
On March 12, 2020, the Financial Accounting Standards Board (“FASB”) issued an accounting standards update providing optional expedients and exceptions for applying generally accepted accounting principles to contracts and hedge relationships affected by reference rate reform. This update provides for various elective options, referred to as “practical expedients,” that are intended to simplify the operational impact of applying U.S. GAAP to certain transactions. The Firm expects to apply certain of these practical expedients relating to the IBOR transition in the second half of 2020. Refer to Accounting and Reporting Developments on page 91 for additional information. The Firm continues to monitor the transition relief being considered by the International Accounting Standards Board (“IASB”) and U.S. Treasury Department regarding accounting and tax implications of reference rate reform.
The Firm also continues to develop and implement plans to appropriately mitigate the risks associated with IBOR discontinuation. Refer to Business Developments on page 47 of the 2019 Form 10-K for a discussion of the Firm’s initiatives to address the expected discontinuation of the London Interbank Offered Rate (“LIBOR”) and other IBORs.


Regulatory Developments Relating to the COVID-19 Pandemic
Since March 2020, the U.S. government as well as central banks and banking authorities around the world have taken and continue to take actions to help individuals, households and businesses that have been adversely affected by the economic disruption caused by the COVID-19 pandemic. The CARES Act, which was signed into law on March 27, 2020, provides, among other things, funding to support loan facilities to assist consumers and businesses. Set forth below is a summary as of the date of this Form 10-Q of U.S. government actions currently impacting the Firm and U.S. government programs in which the Firm is participating to support individuals, businesses, and the broader economy. The Firm will continue to assess ongoing developments in government actions in response to the COVID-19 pandemic.
U.S. government actions
Eligible retained income definition. On March 17, 2020, the Office of the Comptroller of the Currency (“OCC”), the Board of Governors of the Federal Reserve System (“Federal Reserve”), and the Federal Deposit Insurance Corporation (“FDIC”), collectively the “federal banking agencies,” issued an interim final rule that revised the definition of “eligible retained income” in the regulatory capital rules that apply to all U.S. banking organizations. On March 23, 2020, the Federal Reserve issued an interim final rule that revised the definition of “eligible retained income” for purposes of the total loss-absorbing capacity (“TLAC”) buffer requirements that apply to global systemically important banking organizations. The revised definition of eligible retained income makes any automatic limitations on payout distributions that could apply under the agencies’ capital rules or TLAC rule take effect on a more graduated basis in the event that a banking organization’s capital, leverage and TLAC ratios were to decline below regulatory requirements (including buffers). The March 17, 2020 interim final rule was issued, in conjunction with an interagency statement encouraging banking organizations to use their capital and liquidity buffers, to further support banking organizations’ abilities to lend to households and businesses affected by the COVID-19 pandemic.
Reserve requirements. On March 26, 2020, the Federal Reserve reduced reserve requirement ratios to zero percent, effectively eliminating the reserve requirement for all depository institutions, an action that freed up liquidity in the banking system to support lending to households and businesses.
Refer to Liquidity Risk Management on pages 55-59 and Note 21 for additional information on the reduction to the reserve requirement.
Regulatory Capital - Current Expected Credit Losses (“CECL”) transition delay. On March 31, 2020, the federal banking agencies issued an interim final rule that provided banking organizations with the option to delay the effects of CECL on regulatory capital for two years, followed by a three-year
transition period (“CECL capital transition provisions”). The Firm elected to apply the CECL capital transition provisions.
Refer to Capital Risk Management on pages 49-54 and Note 22 on pages 176-177 for additional information on the CECL capital transition provisions and the impact to the Firm’s capital metrics.
Supplementary leverage ratio (“SLR”) temporary revision. On April 1, 2020, the Federal Reserve issued an interim final rule that requires, on a temporary basis, the calculation of total leverage exposure for purposes of calculating the SLR for bank holding companies, to exclude the on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks. These exclusions became effective April 1, 2020, and will remain in effect through March 31, 2021.
Refer to Capital Risk Management on pages 49-54 and Note 22 for additional information on the Firm’s SLR.
Loan modifications. On April 7, 2020, the federal banking agencies along with the National Credit Union Administration, and the Consumer Financial Protection Bureau, in consultation with the state financial regulators, issued an interagency statement revising a March 22, 2020 interagency statement on loan modifications and the reporting for financial institutions working with customers affected by the COVID-19 pandemic (the “IA Statement”). The IA Statement reconfirmed that efforts to work with borrowers where the loans are prudently underwritten, and not considered past due or carried on nonaccrual status, should not result in the loans automatically being considered modified in a troubled debt restructuring (“TDR”) for accounting and financial reporting purposes, or for purposes of their respective risk-based capital rules, which would otherwise require financial institutions subject to the capital rules to hold more capital. The IA Statement also clarified the interaction between its previous guidance and Section 4013 of the CARES Act, which provides certain financial institutions with the option to suspend the application of accounting guidance for TDRs for a limited period of time for loan modifications made to address the effects of the COVID-19 pandemic.
The Firm has granted various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered TDRs as:
they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or the IA Statement guidance, or
the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs. Refer to Credit Portfolio on pages 60-61 and Note 12 for

additional information on the Firm’s loan modification activities.
U.S. government facilities and programs. Beginning in March 2020, the Federal Reserve announced a suite of facilities using its emergency lending powers under section 13(3) of the Federal Reserve Act to support the flow of credit to individuals, households and businesses adversely affected by the COVID-19 pandemic and to support the broader economy. These facilities include the Money Market Mutual Fund Liquidity Facility (“MMLF”), Main Street Lending Facilities, Primary Dealer Credit Facility (“PDCF”), Commercial Paper Funding Facility (“CPFF”), Secondary Market Corporate Credit Facility (“SMCCF”) and Term Asset-Backed Securities Loan Facility (“TALF”). In addition, beginning April 3, 2020, the PPP, established by the CARES Act and administered by the SBA, authorized eligible lenders to provide nonrecourse loans to eligible borrowers until August 8, 2020 to provide an incentive for these businesses to keep their workers on their payroll. The Firm has participated and is participating in certain of these facilities and programs, as needed, to assist its clients and customers or to support the broader economy.
Refer to Capital Risk Management on pages 49-54, Liquidity Risk Management on pages 55-59, Note 22 and Note 24 for additional information on the Firm’s participation in the MMLF. Refer to Liquidity Risk Management on pages 55-59 for additional information on the Firm’s participation in the PDCF. Refer to Business Developments on pages 9-10, Capital Risk Management on pages 49-54, Credit Portfolio on pages 60-61 and Note 22 for additional information on the Firm’s participation in the PPP.


CONSOLIDATED RESULTS OF OPERATIONS
This section provides a comparative discussion of JPMorgan Chase’s Consolidated Results of Operations on a reported basis for the three and six months ended June 30, 2020 and 2019, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment. Refer to pages 88-90 of this Form 10-Q and pages 136–138 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.
Revenue           
 Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
 Change
 2020
 2019
 Change
Investment banking fees$2,850
 $1,851
 54 % $4,716
 $3,691
 28 %
Principal transactions7,621
 3,714
 105
 10,558
 7,790
 36
Lending- and deposit-related fees(a)
1,431
 1,624
 (12) 3,137
 3,183
 (1)
Asset management, administration and commissions(a)
4,266
 4,264
 —
 8,806
 8,301
 6
Investment securities gains26
 44
 (41) 259
 57
 354
Mortgage fees and related income917
 279
 229
 1,237
 675
 83
Card income(b)
974
 1,281
 (24) 1,969
 2,508
 (21)
Other income(c)
1,042
 1,292
 (19) 2,198
 2,767
 (21)
Noninterest revenue19,127
 14,349
 33
 32,880
 28,972
 13
Net interest income13,853
 14,398
 (4) 28,292
 28,851
 (2)
Total net revenue$32,980
 $28,747
 15 % $61,172
 $57,823
 6 %
(a) In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b) In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(c) Included operating lease income of $1.4 billion and $1.3 billion for the three months ended June 30, 2020 and 2019, respectively and $2.8 billion and$2.6 billion for the six months ended June 30, 2020 and 2019, respectively.
Quarterly results
Investment banking fees increased, driven by CIB, reflecting:
higher debt underwriting fees due to increased industry-wide fees and wallet share gains in both investment-grade and high-yield bonds
higher equity underwriting fees due to increased industry-wide fees and wallet share gains, primarily in follow-on offerings and convertible securities markets
–the increased activity in debt and equity underwriting reflected clients seeking access to liquidity as a result of the COVID-19 pandemic
higher advisory fees driven by a few large completed transactions.
Refer to CIB segment results on pages 31-37 and Note 6 for additional information.
Principal transactions revenue increased and included two significant items, both of which represent reversals of a portion of the losses that were recognized in the first quarter of 2020:
$678 million of markups on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB, compared with $896 million of markdowns in the first quarter of 2020, and
a $510 million gain in Credit Adjustments & Other in CIB driven by funding spread tightening on derivatives, compared with a $951 million loss in the first quarter of 2020.
Excluding these two items, principal transactions revenue increased in CIB driven by strong client activity in Fixed Income Markets primarily in Rates, Currencies & Emerging Markets, and Credit; and in Equity Markets related to derivatives and Cash Equities. The prior year included a gain from the initial public offering (“IPO”) of Tradeweb.
The increase in principal transactions revenue also reflected net gains on certain legacy private equity investments in Corporate, compared with net losses in the prior year.
Principal transactions revenue in CIB may in certain cases have offsets across other revenue lines, including net interest income. The Firm assesses its CIB Markets business performance on a total revenue basis.
Refer to CIB, CB and Corporate segment results on pages 31-37, pages 38-41 and page 46, and Note 6 for additional information.
Lending- and deposit-related fees decreased due to lower deposit-related fees in CCB, reflecting lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, partially offset by higher cash management fees in CIB and CB. Refer to CCB segment results on pages 26-30, CIB on pages 31-37 and CB on pages 38-41, respectively, and Note 6 for additional information.
For information on asset management, administration and commissions revenue, refer to CCB, CIB and AWM segment results on pages 26-30, pages 31-37 and pages 42-45, respectively, and Note 6.

Refer to Corporate segment results on page 46 and Note 10 for information on investment securities gains.
Mortgage fees and related income increased due to:
higher net mortgage production revenue reflecting higher production margins, partially offset by the absence of gains on loan sales in the prior year in Home Lending, and
higher net mortgage servicing revenue reflecting higher MSR risk management results due to the absence of losses resulting from updates to model inputs in the prior year partially offset by lower operating revenue reflecting a lower level of third-party loans serviced.
Refer to CCB segment results on pages 26-30, Note 6 and 15 for further information.
Card income decreased due to lower net interchange income reflecting lower card sales volumes that began in March as a result of the COVID-19 pandemic, partially offset by higher annual fees and lower acquisition costs.
Refer to CCB, CIB and CB segment results on pages 26-30, pages 31-37 and pages 38-41, as well as and Note 6 for further information.
Other income decreased, reflecting:
higher costs associated with using forward contracts to hedge certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO,
increased amortization on higher levels of alternative energy investments in CIB. The increased amortization was more than offset by lower income tax expense from the associated tax credits
lower market-driven results on certain investments in Corporate
partially offset by
higher operating lease income from growth in auto operating lease volume in CCB
Refer to Note 17 for further information.
Net interest income decreased due to the impact of lower rates, predominantly offset by higher net interest income in CIB Markets and balance sheet growth.
The Firm’s average interest-earning assets were $2.8 trillion, up $481 billion, and the yield was 2.31%, down 142 bps, primarily due to lower rates. The net yield on these assets, on an FTE basis, was 1.99%, a decrease of 50 bps. The net yield excluding CIB Markets was 2.27%, down 108 bps.
Net yield excluding CIB Markets is a non-GAAP financial measure. Refer to the Consolidated average balance sheets, interest and rates schedule on pages 189–190 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 22-23 for a further discussion of Net interest yield excluding CIB markets.
Year-to-date results
Investment banking fees increased, driven by CIB, reflecting:
•
higher debt underwriting fees due to increased industry-wide fees and wallet share gains in investment-grade bonds, and for high-yield bonds, after the markets stabilized in the second quarter of 2020
•
higher equity underwriting fees due to increased industry-wide fees and wallet share gains, primarily in follow-on offerings and convertible securities markets
–the increased activity in debt and equity underwriting reflected clients seeking access to liquidity as a result of the COVID-19 pandemic
partially offset by
•
lower advisory fees driven by a lower number of completed transactions.
Principal transactions revenue increased despite the year-to-date results of the two significant items noted below:
a $441 million net loss in CIB’s Credit Adjustments & Other predominantly driven by losses on certain components of fair value option elected liabilities, as well as the impact of funding spread widening on derivatives, and
$218 million of net markdowns on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio in CIB and CB.
Excluding these two items, principal transactions revenue increased in CIB, driven by strong client activity in Fixed Income Markets primarily in Rates, Currencies & Emerging Markets, and Credit; and in Equity Markets related to derivatives and Cash Equities.
Lending- and deposit-related fees was relatively flat as the lower deposit-related fees in CCB, reflecting lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, was offset by higher cash management fees in CIB and CB.
Asset management, administration and commissions revenue increased driven by:
higher brokerage commissions in CIB and AWM on higher client-driven volume, and
higher asset management fees in AWM as a result of inflows into liquidity products, and in CCB related to a higher level of investment assets,
partially offset by
•
lower volume of annuity sales in CCB.
Investment securities gains in both periods reflected the impact of repositioning the investment securities portfolio.
Mortgage fees and related income increased due to:
higher net mortgage production revenue reflecting higher mortgage production volumes and margins, partially offset by the absence of gains on loan sales in the prior year in Home Lending, and


higher net mortgage servicing revenue reflecting higher MSR risk management results due to the absence of losses resulting from updates to model inputs in the prior year, predominantly offset by lower operating revenue reflecting a lower level of third-party loans serviced and faster prepayment speeds on lower rates.
Card income decreased due to lower net interchange income reflecting lower card sales volumes that began in March as a result of the COVID-19 pandemic, partially offset by higher annual fees.
Other income decreased reflecting:
net losses on certain equity investments in CIB, compared with net gains in the prior year
net valuation losses on certain investments in AWM, compared with gains in the prior year
increased amortization on higher levels of alternative energy investments in CIB. The increased amortization is
more than offset by lower income tax expense from the associated tax credits, and
higher costs associated with using forward contracts to hedge certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO,
partially offset by
higher operating lease income from growth in auto operating lease volume in CCB
Net interest income decreased due to the impact of lower rates, predominantly offset by higher net interest income in CIB Markets and balance sheet growth.
The Firm’s average interest-earning assets were $2.6 trillion, up $324 billion, and the yield was 2.70%, down 106 bps, primarily due to lower rates. The net yield on these assets, on an FTE basis, was 2.17%, a decrease of 36 bps. The net yield excluding CIB Markets was 2.61%, down 78 bps.
Provision for credit losses          
 Three months ended June 30, Six months ended June 30,
(in millions)

2020
 2019
 Change 2020
 2019
 Change
Consumer, excluding credit card$1,591
 $(366) NM $2,210
 $(246) NM
Credit card4,028
 1,440
 180 9,091
 2,642
 244
Total consumer5,619
 1,074
 423 11,301
 2,396
 372
Wholesale4,850
 75
 NM 7,444
 248
 NM
Investment securities4
 NA
 NM 13
 NA
 NM
Total provision for credit losses$10,473
 $1,149
 NM $18,758
 $2,644
 NM
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Quarterly results
The provision for credit lossesincreased driven by the further deterioration and increased uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic in wholesale and consumer.
The increase in wholesale reflects a net addition of $4.6 billion to the allowance for credit losses across the LOBs impacting multiple industry sectors.
The increase in consumer was driven by:
additions of $4.4 billion to the allowance for credit losses, consisting of $2.9 billion for Card, $900 million for Home Lending, $285 million for Auto, and $272 million for CBB,
partially offset by
lower net charge-offs in Card reflecting higher recoveries.
The prior year included a $234 million net reduction in the allowance for credit losses.
Refer to CCB segment results on pages 26-30, CIB on pages 31-37, CB on pages 38-41, AWM on pages 42-45, the Allowance for Credit Losses on pages 77-78, and Note 13 for additional information on the credit portfolio and the allowance for credit losses.
Year-to-date results
The provision for credit lossesincreased driven by the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic in consumer and wholesale.
The increase in consumer was driven by:
additions of $8.7 billion to the allowance for credit losses, consisting of $6.6 billion for Card, $1.2 billion for Home Lending, $520 million for Auto, and $352 million for CBB,
partially offset by
lower net charge-offs reflecting higher recoveries in Home Lending on a loan sale in the first quarter of 2020, and in Card, largely offset by higher charge-offs in Card on loan growth in the prior year.
The prior year included a $221 million net reduction in the allowance for credit losses.
The increase in wholesale reflects a net addition of $7.0 billion to the allowance for credit losses across the LOBs impacting multiple industry sectors.

Noninterest expense           
 Three months ended June 30, Six months ended June 30,
(in millions)

2020
 2019
 Change
 2020
 2019
 Change
Compensation expense$9,509
 $8,547
 11 % $18,404
 $17,484
 5 %
Noncompensation expense:           
Occupancy1,080
 1,060
 2
 2,146
 2,128
 1
Technology, communications and equipment2,590
 2,378
 9
 5,168
 4,742
 9
Professional and outside services1,999
 2,212
 (10) 4,027
 4,251
 (5)
Marketing(a)
481
 777
 (38) 1,281
 1,609
 (20)
Other expense(b)(c)
1,283
 1,282
 —
 2,707
 2,390
 13
Total noncompensation expense7,433
 7,709
 (4) 15,329
 15,120
 1
Total noninterest expense$16,942
 $16,256
 4 % $33,733
 $32,604
 3 %
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Included Firmwide legal expense/(benefit) of $118 million and $69 million for the three months ended June 30, 2020 and 2019, respectively, and $315 million and $(12) million for the six months ended June 30, 2020 and 2019, respectively.
(c)Included FDIC-related expense of $218 million and $121 million for the three months ended June 30, 2020 and 2019, respectively, and $317 million and $264 million for the six months ended June 30, 2020 and 2019, respectively.
Quarterly results
Compensation expense increased driven by higher revenue-related expense in CIB.
Noncompensation expense decreased as a result of:
lower marketing expense in Card as a result of lower travel-related benefits and investments in marketing campaigns
lower structural expense, including lower travel and entertainment across the businesses, as well as lower payment processing costs,
partially offset by
higher volume-related expense, including depreciation from growth in auto lease assets in CCB, and brokerage expense in CIB
higher investments in the businesses, including technology.

Year-to-date results
Compensation expense increased driven by higher revenue-related expense in CIB, partially offset by lower structural compensation expense in Corporate.
Noncompensation expense increased as a result of:
higher legal expense primarily in CIB and Corporate
higher volume-related expense, including depreciation from growth in auto lease assets in CCB, and brokerage expense in CIB
higher investments in the businesses, including technology,
partially offset by
lower marketing expense in Card as a result of lower travel-related benefits and investments in marketing campaigns
lower structural expense, including lower travel and entertainment across the businesses, as well as lower payment processing costs.

Income tax expense       
 Three months ended June 30, Six months ended June 30,
(in millions)

2020
 2019
 Change
 2020
 2019
 Change
Income before income tax expense$5,565
 $11,342
 (51)% $8,681
 $22,575
 (62)%
Income tax expense878
 1,690
 (48) 1,129
 3,744
 (70)
Effective tax rate15.8% 14.9%   13.0% 16.6%  
Quarterly results
The effective tax rate increased as the reduction in income tax expense due to the impact of changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes was more than offset by the absence of the $768 million of tax benefits recorded in the prior year related to the resolution of certain tax audits.
Year-to-date results
The effective tax rate decreased driven by changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes, as well as the more significant effect of certain tax benefits on a lower level of pre-tax income. The decrease was partially offset by the recognition of $874 million of tax benefits recorded in the prior year related to the resolution of certain tax audits.

CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Consolidated balance sheets analysis
The following is a discussion of the significant changes between June 30, 2020, and December 31, 2019.
Selected Consolidated balance sheets data
(in millions)June 30,
2020
 December 31,
2019
Change
Assets    
Cash and due from banks$20,544
 $21,704
(5)%
Deposits with banks473,185
 241,927
96
Federal funds sold and securities purchased under resale agreements256,980
 249,157
3
Securities borrowed142,704
 139,758
2
Trading assets526,042
 411,103
28
Available-for-sale securities485,883
 350,699
39
Held-to-maturity securities, net of allowance for credit losses72,908
 47,540
53
Investment securities, net of allowance for credit losses558,791
 398,239
40
Loans978,518
 959,769
2
Allowance for loan losses(32,092) (13,123)145
Loans, net of allowance for loan losses946,426
 946,646
—
Accrued interest and accounts receivable72,260
 72,861
(1)
Premises and equipment26,301
 25,813
2
Goodwill, MSRs and other intangible assets51,669
 53,341
(3)
Other assets138,213
 126,830
9
Total assets$3,213,115
 $2,687,379
20 %
Cash and due from banks and deposits with banks increased primarily as a result of significant deposit inflows, which also funded asset growth across the Firm, including in investment securities. Deposits with banks reflect the Firm’s placements of its excess cash with various central banks, including the Federal Reserve Banks.
Refer to Liquidity Risk Management on pages 55-59 and Note 11 for information on federal funds sold and securities purchased under resale agreements.
Trading assets increased compared with lower levels at year-end predominantly due to client-driven market-making activities in debt instruments in Fixed Income Markets, as well as higher derivative receivables in CIB as a result of market movements.
Refer to Notes 2 and 5 for additional information.
Investment securitiesincreased, reflecting net purchases of U.S. Treasuries and U.S. GSE and government agency MBS in the available-for-sale (“AFS”) portfolio, driven by interest rate risk management activities and cash deployment, partially offset by a non-cash transfer of $26 billion of U.S. GSE and government agency MBS from the AFS to the held-to-maturity (“HTM”) portfolio, resulting in a comparable increase in HTM.
Refer to Corporate segment results on page 46, Investment Portfolio Risk Management on page 79, and Notes 2 and 10 for additional information on Investment securities.
Loans increased, reflecting:
the outstanding loans from the March drawdown activity on committed revolving credit facilities in CIB and CB, as a result of the COVID-19 pandemic, and the impact of the PPP loans in CBB and CB,
partially offset by
lower loans in Card due to the decline in sales volume that began in March as a result of the COVID-19 pandemic, as well as the impact of seasonality; and lower loans in Home Lending primarily due to net repayments.
The allowance for loan losses increased primarily reflecting the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
•
a $8.6 billion addition in consumer, predominantly in the credit card and residential real estate portfolios
a net $6.2 billion addition in wholesale, across the LOBs impacting multiple industry sectors, and
a net $4.2 billion addition as a result of the adoption of CECL.
There were also additions to the allowance for lending-related commitments, which is included in other liabilities on the consolidated balance sheets, of $920 million related to the impact of the COVID-19 pandemic, and $98 million related to the adoption of CECL, resulting in total additions to the allowance for credit losses of $15.7 billion and $4.3 billion, respectively, as of June 30, 2020.

Refer to Credit and Investment Risk Management on pages 60-79, and Notes 1, 2, 3, 12 and 13 for a more detailed discussion of loans and the allowance for loan losses.
Goodwill, MSRs and other intangibles decreased reflecting lower MSRs as a result of faster prepayment speeds on lower rates and the realization of expected cash flows, partially offset by net additions to the MSRs.Refer to Note 15 for additional information.
Other assets increased reflecting higher cash collateral placed with central counterparties, and the Firm’s participation in the Federal Reserve Bank of Boston’s (“FRBB”) MMLF. The assets purchased from money market mutual fund clients related to the MMLF were funded by nonrecourse advances from the FRBB, which are recorded in short-term borrowings. Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 and Liquidity Risk Management on pages 55-59 for additional information.
Selected Consolidated balance sheets data (continued) 
(in millions)June 30,
2020
 December 31,
2019
Change
Liabilities    
Deposits$1,931,029
 $1,562,431
24%
Federal funds purchased and securities loaned or sold under repurchase agreements235,647
 183,675
28
Short-term borrowings48,014
 40,920
17
Trading liabilities165,212
 119,277
39
Accounts payable and other liabilities230,916
 210,407
10
Beneficial interests issued by consolidated variable interest entities (“VIEs”)20,828
 17,841
17
Long-term debt317,003
 291,498
9
Total liabilities2,948,649
 2,426,049
22
Stockholders’ equity264,466
 261,330
1
Total liabilities and stockholders’ equity$3,213,115
 $2,687,379
20%
Deposits increased reflecting significant inflows across the LOBs primarily driven by the COVID-19 pandemic, as customers and clients looked to remain liquid as a result of market conditions.
In the wholesale businesses, the inflows principally occurred in March, and in general were maintained through the second quarter.
In CCB, the increase was driven by the continued growth in both existing and new accounts, as well as COVID-19 related factors, such as the government stimulus for consumers and small businesses, lower consumer spending, and delays in tax payments.
Refer to Liquidity Risk Management on pages 55-59 and Notes 2 and 16 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased reflecting:
•
in CIB, a net increase related to client-driven market-making activities, and higher secured financing of trading assets, partially offset by a decline in the Firm's participation in the Federal Reserve's open market operations, and
in Treasury and CIO, higher secured financing of AFS investment securities. Refer to Liquidity Risk Management on pages 55-59 and Note 11 for additional information.
Short-term borrowings increased driven by the Firm’s participation in the FRBB’s MMLF, as well as a change in mix of funding sources in CIB activities from securities sold under repurchase agreements in CIB. The nonrecourse advances from the FRBB funded the assets purchased from money market mutual fund clients related to the MMLF, which are recorded in other assets.
Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 and Liquidity Risk Management on pages 55-59 for additional information.
Trading liabilities increased in CIB as a result of client-driven market-making activities, which resulted in higher levels of short positions in debt instruments in Fixed Income Markets, as well as higher derivative payables as a result of market movements. Refer to Notes 2 and 5 for additional information.
Accounts payable and other liabilities increased reflecting higher client payables related to client-driven activities in CIB.
Beneficial interests issued by consolidated VIEs increased reflecting higher levels of Firm-administered multi-seller conduit commercial paper held by third parties.
Refer to Off-Balance Sheet Arrangements on page 21 and Notes 14 and 23 for further information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt increased as a result of higher FHLB net advances, net issuance of senior and subordinated debt, and higher fair value hedge accounting adjustments related to lower interest rates.Refer to Liquidity Risk Management on pages 55-59 for additional information on the Firm’s long-term debt activities.
Stockholders’ equity increased reflecting the net impact of capital actions, net income, the adoption of CECL and an increase in accumulated other comprehensive income (“AOCI”). The increase in AOCI was driven by net unrealized gains on AFS securities, and higher valuation of interest rate cash flow hedges.Refer to page 96 for information on changes in stockholders’ equity and Capital actions on page 53.

Consolidated cash flows analysis
The following is a discussion of cash flow activities during the six months ended June 30, 2020 and 2019.
(in millions) Six months ended June 30,
 2020
 2019
Net cash provided by/(used in)    
Operating activities $(37,032) $(94,734)
Investing activities (183,617) 27,424
Financing activities 451,436
 56,469
Effect of exchange rate changes on cash (689) 86
Net increase/(decrease) in cash and due from banks and deposits with banks $230,098
 $(10,755)
Operating activities
In 2020, cash used resulted from higher trading assets and other assets, largely offset by higher trading liabilities and accounts payable and other liabilities.
In 2019, cash used primarily resulted from higher trading assets-debt and equity instruments and securities borrowed, partially offset by increased trading liabilities and accounts payable and other liabilities, and net proceeds from loans held-for-sale.
Investing activities
In 2020, cash used was driven by net purchases of investment securities and net loan originations.
In 2019, cash provided resulted from a decrease in securities purchased under resale agreements, and net proceeds from sales of loans held-for-investment, partially offset by net purchases of investment securities.
Financing activities
In 2020, cash provided was due to higher deposits, an increase in federal funds purchased and securities loaned or sold under repurchase agreements, and net proceeds from long-term borrowings.
In 2019, cash provided resulted from higher securities loaned or sold under repurchase agreements and higher deposits.
For both periods, cash was used for repurchases of common stock and cash dividends on common and preferred stock. On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common equity. Additionally, in June 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases, at least through the end of the third quarter of 2020.
* * *
Refer to Consolidated Balance Sheets Analysis on pages 18-19, Capital Risk Management on pages 49-54, and Liquidity Risk Management on pages 55-59 of this Form 10-Q, and pages 93–98 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.

OFF-BALANCE SHEET ARRANGEMENTS
In the normal course of business, the Firm enters into various off-balance sheet arrangements and contractual obligations that may require future cash payments. Certain obligations are recognized on-balance sheet, while others are disclosed as off-balance sheet under accounting principles generally accepted in the U.S. (“U.S. GAAP”).
Special-purpose entities
The Firm has several types of off–balance sheet arrangements, including through nonconsolidated special-purpose entities (“SPEs”), which are a type of VIE, and through lending-related financial instruments (e.g., commitments and guarantees).
The Firm holds capital, as appropriate, against all SPE-related transactions and related exposures, such as derivative contracts and lending-related commitments and guarantees.
The Firm has no commitments to issue its own stock to support any SPE transaction, and its policies require that transactions with SPEs be conducted at arm’s length and reflect market pricing.
The table below provides an index of where in this Form 10-Q a discussion of the Firm’s various off-balance sheet arrangements can be found. Refer to Note 1 for additional information about the Firm’s consolidation policies.
Type of off-balance sheet arrangementLocation of disclosurePage references
Special-purpose entities: variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsRefer to Note 14162-167
Off-balance sheet lending-related financial instruments, guarantees, and other commitmentsRefer to Note 23178-181



EXPLANATION AND RECONCILIATION OF THE FIRM’S USE OF NON-GAAP FINANCIAL MEASURES
The Firm prepares its Consolidated Financial Statements in accordance with U.S. GAAP and this presentation is referred to as “reported” basis; these financial statements appear on pages 93-97.
In addition to analyzing the Firm’s results on a reported basis, the Firm also reviews and uses certain non-GAAP financial measures at the Firmwide and segment level. These non-GAAP measures include:
Firmwide “managed” basis results, including the overhead ratio, which include certain reclassifications to present total net revenue from investments that receive tax credits and tax-exempt securities on a basis comparable to taxable investments and securities (“FTE” basis)
Pre-provision profit, which represents total net revenue less noninterest expense
Net interest income and net yield excluding CIB’s Markets businesses
Tangible common equity (“TCE”), ROTCE, and TBVPS
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits.
Refer to Explanation and Reconciliation of the Firm’s Use Of Non-GAAP Financial Measures and Key Performance Measures on pages 57–59 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of management’s use of non-GAAP financial measures.
The following summary tables provide a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.
 Three months ended June 30,
 2020 2019
(in millions, except ratios)Reported 
Fully taxable-equivalent adjustments(b)
 Managed
basis		 Reported 
Fully taxable-equivalent adjustments(b)
 Managed
basis
Other income$1,042
 $730
  $1,772
 $1,292
 $596
  $1,888
Total noninterest revenue(a)
19,127
 730
  19,857
 14,349
 596
  14,945
Net interest income13,853
 107
  13,960
 14,398
 138
  14,536
Total net revenue32,980
 837
  33,817
 28,747
 734
  29,481
Total noninterest expense(a)
16,942
 NA
  16,942
 16,256
 NA
  16,256
Pre-provision profit16,038
 837
  16,875
 12,491
 734
  13,225
Provision for credit losses10,473
 NA
  10,473
 1,149
 NA
  1,149
Income before income tax expense5,565
 837
  6,402
 11,342
 734
  12,076
Income tax expense878
 837
  1,715
 1,690
 734
  2,424
Net income$4,687
 NA
  $4,687
 $9,652
 NA
  $9,652
              
Overhead ratio51% NM
  50% 57% NM
  55%
              
 Six months ended June 30,
 2020 2019
(in millions, except ratios)Reported 
Fully taxable-equivalent adjustments(b)
 Managed
basis		 Reported 
Fully taxable-equivalent adjustments(b)
 Managed
basis
Other income$2,198
 $1,438
  $3,636
 $2,767
 $1,181
  $3,948
Total noninterest revenue(a)
32,880
 1,438
  34,318
 28,972
 1,181
  30,153
Net interest income28,292
 217
  28,509
 28,851
 281
  29,132
Total net revenue61,172
 1,655
  62,827
 57,823
 1,462
  59,285
Total noninterest expense(a)
33,733
 NA
  33,733
 32,604
 NA
  32,604
Pre-provision profit27,439
 1,655
  29,094
 25,219
 1,462
  26,681
Provision for credit losses18,758
 NA
  18,758
 2,644
 NA
  2,644
Income before income tax expense8,681
 1,655
  10,336
 22,575
 1,462
  24,037
Income tax expense1,129
 $1,655
  2,784
 3,744
 1,462
  5,206
Net Income$7,552
 NA
  $7,552
 $18,831
 NA
  $18,831
              
Overhead ratio55% NM
  54% 56% NM
  55%
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Predominantly recognized in CIB, CB and Corporate.

The following table provides information on net interest income and net yield excluding CIB’s Markets businesses.

(in millions, except rates)
Three months ended June 30, Six months ended June 30,
2020
2019
 Change
 20202019 Change
Net interest income – reported$13,853
$14,398
 (4)% $28,292
$28,851
 (2)%
Fully taxable-equivalent adjustments107
138
 (22) 217
281
 (23)
Net interest income – managed basis(a)
$13,960
$14,536
 (4) $28,509
$29,132
 (2)
Less: CIB Markets net interest income(b)
2,536
624
 306
 4,132
1,248
 231
Net interest income excluding CIB Markets(a)
$11,424
$13,912
 (18) $24,377
$27,884
 (13)
          
Average interest-earning assets$2,819,855
$2,339,094
 21
 $2,642,794
$2,319,105
 14
Less: Average CIB Markets interest-earning assets(b)
795,677
673,480
 18
 765,856
661,397
 16
Average interest-earning assets excluding CIB Markets$2,024,178
$1,665,614
 22% $1,876,938
$1,657,708
 13 %
Net yield on average interest-earning assets – managed basis1.99%2.49%   2.17%2.53%  
Net yield on average CIB Markets interest-earning assets(b)
1.28
0.37
   1.08
0.38
  
Net yield on average interest-earning assets excluding CIB Markets2.27%3.35%   2.61%3.39%  
(a)Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.
(b)Refer to page 36 for further information on CIB’s Markets businesses.

The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
 Period-end Average
(in millions, except per share and ratio data)Jun 30,
2020
Dec 31,
2019
 Three months ended June 30, Six months ended June 30,
 2020
2019
 2020
2019
Common stockholders’ equity$234,403
$234,337
 $234,408
$233,026
 $234,469
$231,547
Less: Goodwill47,811
47,823
 47,805
47,472
 47,808
47,474
Less: Other intangible assets778
819
 791
741
 802
741
Add: Certain deferred tax liabilities(a)
2,397
2,381
 2,393
2,304
 2,388
2,296
Tangible common equity$188,211
$188,076
 $188,205
$187,117
 $188,247
$185,628
         
Return on tangible common equityNA
NA
 9%20% 7%20%
Tangible book value per share$61.76
$60.98
 NA
NA
 N/A
N/A
(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE.

BUSINESS SEGMENT RESULTS
The Firm is managed on an LOB 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 the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Explanation and Reconciliation of the Firm’s use of Non-GAAP Financial Measures on pages 22-23 for a definition of managed basis.
Description of business segment reporting methodology
Results of the business segments are intended to present each segment as if it were a stand-alone business. The management reporting process that derives business segment results includes the allocation of certain income and expense items. The Firm periodically assesses the assumptions, methodologies and reporting classifications used for segment reporting, and further refinements may be implemented in future periods. The Firm’s LOBs also provide various business metrics which are utilized by the Firm and its investors and analysts in assessing performance.
Revenue sharing
When business segments join efforts to sell products and services to the Firm’s clients, the participating business segments may agree to share revenue from those transactions. Revenue and expense are generally recognized in the segment responsible for the related product or service, with allocations to the other segment(s)
involved in the transaction. The segment results reflect these revenue-sharing agreements.
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. Periodically, the assumptions and methodologies used to allocate capital are assessed and as a result, the capital allocated to the LOBs may change. Refer to Line of business equity on page 90 of JPMorgan Chase’s 2019 Form 10-K for additional information on business segment capital allocation.
Refer to Business Segment Results – Description of business segment reporting methodology on pages 60–61 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of those methodologies.
Business segment changes
In the first quarter of 2020, the Firm began reporting a Wholesale Payments business unit within CIB following a realignment of the Firm’s wholesale payments businesses. The Wholesale Payments business comprises:
Merchant Services, which was realigned from CCB to CIB
Treasury Services and Trade Finance in CIB. Trade Finance was previously reported in Lending in CIB.
In connection with the alignment of Wholesale Payments, the assets, liabilities and headcount associated with the Merchant Services business were realigned to CIB from CCB, and the revenue and expenses of the Merchant Services business is reported across CCB, CIB and CB based primarily on client relationships. Prior periods have been revised to reflect this realignment and revised allocation methodology.

JPMorgan Chase
Consumer BusinessesWholesale Businesses
Consumer & Community BankingCorporate & Investment BankCommercial BankingAsset & Wealth Management
Consumer &
Business Banking		Home LendingCard & AutoBankingMarkets &
Securities Services		 • Middle Market Banking • Asset Management
 • Consumer Banking/Chase Wealth Management
 • Business Banking
 • Home Lending Production
 • Home Lending Servicing
 • Real Estate Portfolios
 • Credit Card
 • Auto

 • Investment Banking
 • Wholesale Payments
 • Lending
 • Fixed Income Markets • Corporate Client Banking
 • Wealth Management

 • Equity Markets
 • Securities Services
 • Credit Adjustments & Other
 • Commercial Real Estate Banking

Segment results – managed basis
The following tables summarize the Firm’s results by segment for the periods indicated.
Three months ended June 30,
Consumer & Community Banking(a)
 Corporate & Investment Bank Commercial Banking
(in millions, except ratios)2020
2019
Change
 2020
2019
Change 2020
2019
Change
Total net revenue$12,217
$13,484
(9)% $16,352
$9,831
66 $2,392
$2,285
5 %
Total noninterest expense6,626
6,836
(3) 6,764
5,661
19 899
931
(3)
Pre-provision profit/(loss)5,591
6,648
(16) 9,588
4,170
130 1,493
1,354
10
Provision for credit losses5,828
1,120
420
 1,987
—
NM 2,431
29
NM
Net income/(loss)(176)4,157
NM
 5,464
2,946
85 (691)1,002
NM
Return on equity (“ROE”)(2)%31%  27%14%  (14)%17% 
Three months ended June 30,Asset & Wealth Management Corporate 
Total(a)
(in millions, except ratios)2020
2019
Change
 2020
2019
Change
 2020
2019
Change
Total net revenue$3,610
$3,559
1 % $(754)$322
NM
 $33,817
$29,481
15 %
Total noninterest expense2,506
2,596
(3) 147
232
(37) 16,942
16,256
4
Pre-provision profit/(loss)1,104
963
15
 (901)90
NM
 16,875
13,225
28
Provision for credit losses223
2
NM
 4
(2)NM
 10,473
1,149
NM
Net income/(loss)658
719
(8) (568)828
NM
 4,687
9,652
(51)
ROE24%27%  NM
NM
  7%16% 
Six months ended June 30,
Consumer & Community Banking(a)
 Corporate & Investment Bank Commercial Banking
(in millions, except ratios)2020
2019
Change
 2020
2019
Change 2020
2019
Change
Total net revenue$25,329
$26,927
(6)% $26,300
$19,865
32 $4,570
$4,698
(3)%
Total noninterest expense13,728
13,759
—
 12,660
11,290
12 1,887
1,869
1
Pre-provision profit/(loss)11,601
13,168
(12) 13,640
8,575
59 2,683
2,829
(5)
Provision for credit losses11,600
2,434
377
 3,388
87
NM 3,441
119
NM
Net income/(loss)15
8,104
(100) 7,452
6,206
20 (544)2,062
NM
ROE(1)%31%  18%15%  (6)%18% 
Six months ended June 30,Asset & Wealth Management Corporate 
Total(a)
(in millions, except ratios)2020
2019
Change
 2020
2019
Change
 2020
2019
Change
Total net revenue$7,216
$7,048
2 % $(588)$747
NM
 $62,827
$59,285
6 %
Total noninterest expense5,165
5,243
(1) 293
443
(34) 33,733
32,604
3
Pre-provision profit/(loss)2,051
1,805
14
 (881)304
NM
 29,094
26,681
9
Provision for credit losses317
4
NM
 12
—
NM
 18,758
2,644
NM
Net income/(loss)1,322
1,380
(4) (693)1,079
NM
 7,552
18,831
(60)
ROE24%26%  NM
NM
  6%16% 
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)
In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
The following sections provide a comparative discussion of the Firm’s results by segment as of or for the three and six months ended June 30, 2020 versus the corresponding periods in the prior year, unless otherwise specified.


CONSUMER & COMMUNITY BANKING
Consumer & Community Banking offers services to consumers and businesses through bank branches, ATMs, digital (including mobile and online) and telephone banking. CCB is organized into Consumer & Business Banking (including Consumer Banking/Chase Wealth Management and Business Banking), Home Lending (including Home Lending Production, Home Lending Servicing and Real Estate Portfolios) and Card & Auto. Consumer & Business Banking offers deposit and investment products and services to consumers, and lending, deposit, and cash management and payment solutions to small businesses. Home Lending includes mortgage origination and servicing activities, as well as portfolios consisting of residential mortgages and home equity loans. Card & Auto issues credit cards to consumers and small businesses and originates and services auto loans and leases.

Refer to Line of Business Metrics on page 197 for a further discussion of the business profile of CCB.
Selected income statement data          
 Three months ended June 30, Six months ended June 30,
(in millions, except ratios)2020
 2019
 Change
 2020
 2019
 Change
Revenue           
Lending- and deposit-related fees(a)
$617
 $971
 (36)% $1,589
 $1,880
 (15)%
Asset management, administration and commissions(a)
536
 620
 (14) 1,121
 1,201
 (7)
Mortgage fees and related income917
 279
 229
 1,237
 675
 83
Card income(b)
733
 913
 (20) 1,442
 1,775
 (19)
All other income1,313
 1,321
 (1) 2,686
 2,611
 3
Noninterest revenue4,116
 4,104
 —
 8,075
 8,142
 (1)
Net interest income8,101
 9,380
 (14) 17,254
 18,785
 (8)
Total net revenue12,217
 13,484
 (9) 25,329
 26,927
 (6)
            
Provision for credit losses5,828
 1,120
 420
 11,600
 2,434
 377
            
Noninterest expense           
Compensation expense2,557
 2,531
 1
 5,154
 5,097
 1
Noncompensation expense(b)(c)
4,069
 4,305
 (5) 8,574
 8,662
 (1)
Total noninterest expense6,626
 6,836
 (3) 13,728
 13,759
 —
Income/(loss) before income tax expense/(benefit)(237) 5,528
 NM
 1
 10,734
 (100)
Income tax expense/(benefit)(61) 1,371
 NM
 (14) 2,630
 NM
Net income/(loss)$(176) $4,157
 NM
 $15
 $8,104
 (100)
            
Revenue by line of business           
Consumer & Business Banking$5,107
 $6,897
 (26) $11,198
 $13,558
 (17)
Home Lending1,687
 1,118
 51
 2,848
 2,464
 16
Card & Auto(b)
5,423
 5,469
 (1) 11,283
 10,905
 3
            
Mortgage fees and related income details:           
Net production revenue742
 353
 110
 1,061
 553
 92
Net mortgage servicing revenue(d)
175
 (74) NM
 176
 122
 44
Mortgage fees and related income$917
 $279
 229 % $1,237
 $675
 83 %
            
Financial ratios           
Return on equity(2)% 31%   (1)% 31%  
Overhead ratio54
 51
   54
 51
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)
In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(c)Included depreciation expense on leased assets of $1.1 billion and $957 million for the three months ended June 30, 2020 and 2019, respectively, and $2.2 billion and $1.9 billion for six months ended June 30, 2020 and 2019, respectively.
(d)Included MSR risk management results of $79 million and $(244) million for the three months ended June 30, 2020 and 2019, respectively, and $(11) million and $(253) million for six months ended June 30, 2020 and 2019, respectively.


Quarterly results
Net loss was $176 million, compared with net income of $4.2 billion in the prior year, predominantly driven by an increase in the provision for credit losses.
Net revenue was $12.2 billion, a decrease of 9%.
Net interest income was $8.1 billion, down 14%, driven by:
the impact of deposit margin compression in CBB and lower loans in Card,
partially offset by
growth in deposits in CBB and loan margin expansion in Card.
Noninterest revenue was $4.1 billion, flat compared to the prior year, reflecting:
higher net mortgage production revenue reflecting higher production margins, partially offset by the absence of gains on loan sales in the prior year, and
higher net mortgage servicing revenue reflecting higher MSR risk management results due to the absence of losses resulting from updates to model inputs in the prior year partially offset by lower operating revenue reflecting a lower level of third-party loans serviced,
offset by
lower deposit-related fees due to lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic,
lower card income due to lower net interchange income reflecting lower card sales volumes that began in March as a result of the COVID-19 pandemic, partially offset by higher annual fees and lower acquisition costs, and
lower volume of annuity sales.
Refer to Note 15 for further information regarding changes in the value of the MSR asset and related hedges, and mortgage fees and related income.
Noninterest expense was $6.6 billion, down 3%, driven by lower marketing expense on lower travel-related benefits and lower investments in marketing campaigns, as well as lower structural expense, including lower payment processing costs.
The provision for credit losses was $5.8 billion, an increase of $4.7 billion from the prior year, driven by:
additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic, consisting of: $2.9 billion for Card, $900 million for Home Lending, $490 million for CBB, and $310 million for Auto,
partially offset by
lower net charge-offs in Card reflecting higher recoveries.
The prior year included a $200 million net reduction in the allowance for credit losses.
Refer to Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77-78 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-date results
Net income was $15 million, compared to $8.1 billion in the prior year, predominantly driven by an increase in the provision for credit losses.
Net revenue was $25.3 billion, a decrease of 6%.
Net interest income was $17.3 billion, down 8%, driven by:
the impact of deposit margin compression in CBB, and lower loans in Home Lending predominantly due to prior year loan sales,
partially offset by
growth in deposits in CBB, and loan margin expansion in Card.
Noninterest revenue was $8.1 billion, relatively flat, driven by:
lower card income due to lower net interchange income reflecting lower card sales volumes that began in March as a result of the COVID-19 pandemic, partially offset by higher annual fees,
lower deposit-related fees due to lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, and
lower volume of annuity sales,
offset by
higher net mortgage production revenue reflecting higher mortgage production volumes and margins, partially offset by the absence of gains on loan sales in the prior year,
higher auto lease volume, and
higher net mortgage servicing revenue reflecting higher MSR risk management results due to the absence of losses resulting from updates to model inputs in the prior year, predominantly offset by lower operating revenue reflecting a lower level of third-party loans serviced and faster prepayment speeds on lower rates.
Noninterest expense was $13.7 billion, flat compared to the prior year, reflecting:
lower structural expenses, including lower payment processing costs, and
lower marketing expenses on lower travel-related benefits and investments in marketing campaigns,
offset by
higher volume- and revenue-related expense, including depreciation on auto lease assets, and investments in the business.
The provision for credit losses was $11.6 billion, an increase of $9.2 billion from the prior year, driven by:
additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic, consisting of: $6.6 billion for Card, $1.2 billion for Home Lending, $649 million for CBB, and $560 million for Auto,
partially offset by
lower net charge-offs reflecting higher recoveries in Home Lending on a loan sale in the first quarter of 2020, and in Card, largely offset by higher charge-offs in Card on loan growth in the prior year.
The prior year included a $200 million net reduction in the allowance for credit losses.


Selected metrics           
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except headcount)2020
 2019
 Change
 2020 2019 Change
Selected balance sheet data (period-end)           
Total assets$492,251
 $536,758
 (8)% $492,251
 $536,758
 (8)%
Loans:           
Consumer & Business Banking46,910
(b) 
26,616
 76
 46,910
(b) 
26,616
 76
Home Lending188,576
 219,533
 (14) 188,576
 219,533
 (14)
Card141,656
 157,576
 (10) 141,656
 157,576
 (10)
Auto59,287
 62,073
 (4) 59,287
 62,073
 (4)
Total loans436,429
 465,798
 (6) 436,429
 465,798
 (6)
Deposits876,991
 695,096
 26
 876,991
 695,096
 26
Equity52,000
 52,000
 —
 52,000
 52,000
 —
Selected balance sheet data (average)           
Total assets$498,140
 $534,612
 (7) $507,676
 $540,296
 (6)
Loans:           
Consumer & Business Banking41,198
 26,570
 55
 34,230
 26,529
 29
Home Lending192,716
 224,685
 (14) 195,379
 231,778
 (16)
Card142,377
 153,746
 (7) 152,518
 152,447
 —
Auto60,306
 62,236
 (3) 60,599
 62,498
 (3)
Total loans436,597
 467,237
 (7) 442,726
 473,252
 (6)
Deposits831,996
 690,892
 20
 782,822
 685,980
 14
Equity52,000
 52,000
 —
 52,000
 52,000
 —
            
Headcount(a)
122,089
 123,580
 (1)% 122,089
 123,580
 (1)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation, including a decrease to period-end assets and headcount of $13.9 billion and 4,152, respectively, as of June 30, 2019.
(a)
During the second quarter of 2020, certain technology and support functions, comprising approximately 850 staff, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.
(b)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.


Selected metrics          
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except ratio data)2020
 2019
 Change
 2020 2019 Change
Credit data and quality statistics           
Nonaccrual loans(a)(b)
$4,407
(e) 
$3,142
 40 %
$4,407
(e) 
$3,142

40 %
            
Net charge-offs/(recoveries)           
Consumer & Business Banking60
 66
 (9) 134
 125
 7
Home Lending(5) (28) 82
 (127) (33) (285)
Card1,178
 1,240
 (5) 2,491
 2,442
 2
Auto45
 42
 7
 93
 100
 (7)
Total net charge-offs/(recoveries)$1,278
 $1,320
 (3) $2,591
 $2,634
 (2)
            
Net charge-off/(recovery) rate           
Consumer & Business Banking0.59%
(f) 
1.00%   0.79 %
(f) 
0.95%  
Home Lending(0.01) (0.05)   (0.13) (0.03)  
Card3.33
 3.24
   3.28
 3.23
  
Auto0.30
 0.27
   0.31
 0.32
  
Total net charge-off/(recovery) rate1.18% 1.14%   1.18
 1.13
  
            
30+ day delinquency rate           
Home Lending(c)(d)
1.30%
(g) 
1.55%   1.30 %
(g) 
1.55%  
Card1.71
(g) 
1.71
   1.71
(g) 
1.71
  
Auto0.54
(g) 
0.82
   0.54
(g) 
0.82
  
            
90+ day delinquency rate — Card0.93%
(g) 
0.87%   0.93
(g) 
0.87
  
            
Allowance for loan losses           
Consumer & Business Banking$1,370
 $796
 72
 $1,370
 $796
 72
Home Lending2,957
 2,302
 28
 2,957
 2,302
 28
Card17,800
 5,383
 231
 17,800
 5,383
 231
Auto1,044
 465
 125
 1,044
 465
 125
Total allowance for loan losses$23,171
 $8,946
 159 % $23,171
 $8,946
 159 %
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Refer to Note 1 for further information.
(a)At June 30, 2020, nonaccrual loans included $1.3 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(b)At June 30, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $561 million and $1.8 billion, respectively. These amounts have been excluded based upon the government guarantee.
(c)At June 30, 2020, the 30+ day delinquency rates included PCD loans. The rate prior to January 1, 2020 was revised to include the impact of PCI loans.
(d)At June 30, 2020 and 2019, excluded mortgage loans insured by U.S. government agencies of $826 million and $2.9 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(e)Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic. Refer to Consumer Credit Portfolio on pages 62-66 for further information on consumer payment assistance activity.
(f)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
(g)At June 30, 2020, the principal balance of loans in Home Lending, Card and Auto under payment deferral programs offered in response to the COVID-19 pandemic were $18.2 billion, $4.4 billion and $12.3 billion, respectively. Loans that are performing according to their modified terms are generally not considered delinquent. Refer to Consumer Credit Portfolio on pages 62-66 for further information on consumer payment assistance activity.



Selected metrics          
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in billions, except ratios and where otherwise noted)2020
 2019
 Change
 2020
 2019
 Change
Business Metrics           
Number of branches4,923
 4,970
 (1)% 4,923
 4,970
 (1)%
Active digital customers (in thousands)(a)
54,471
 51,032
 7
 54,471
 51,032
 7
Active mobile customers (in thousands)(b)
39,024
 35,392
 10
 39,024
 35,392
 10
Debit and credit card sales volume$237.6
 $281.5
 (16) $503.6

$536.6
 (6)
            
Consumer & Business Banking           
Average deposits$813.2
 $676.7
 20
 $766.0
 $672.6
 14
Deposit margin1.52% 2.60%   1.77% 2.61%  
Business banking origination volume$23.0
(f) 
$1.7
 NM
 $24.5
(f) 
$3.2
 NM
Client investment assets356.1
 328.1
 9
 356.1
 328.1
 9
            
Home Lending           
Mortgage origination volume by channel           
Retail$18.0
 $12.5
 44
 $32.1
 $20.4
 57
Correspondent6.2
 12.0
 (48) 20.2
 19.1
 6
Total mortgage origination volume(c)
$24.2
 $24.5
 (1) $52.3
 $39.5
 32
            
Total loans serviced (period-end)$683.7
 $780.1
 (12) $683.7
 $780.1
 (12)
Third-party mortgage loans serviced (period-end)482.4
 526.6
 (8) 482.4
 526.6
 (8)
MSR carrying value (period-end)3.1
 5.1
 (39) 3.1
 5.1
 (39)
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)0.64% 0.97%   0.64% 0.97%  
            
MSR revenue multiple(d)
2.29x 2.69x   2.21x 2.77x  
            
Credit Card           
Credit card sales volume, excluding Commercial Card$148.5
 $192.5
 (23) $327.6
 $365.0
 (10)
Net revenue rate(e)
11.02% 10.31%   10.76% 10.43%  
            
Auto           
Loan and lease origination volume$7.7
 $8.5
 (9) $16.0
 $16.4
 (2)
Average auto operating lease assets22.6
 21.3
 6 % 22.8
 21.1
 8 %
(a)Users of all web and/or mobile platforms who have logged in within the past 90 days.
(b)Users of all mobile platforms who have logged in within the past 90 days.
(c)Firmwide mortgage origination volume was $28.3 billion and $26.3 billion for the three months ended June 30, 2020 and 2019, respectively and $60.2 billion and $42.7 billion for the six months ended June 30, 2020 and 2019, respectively.
(d)Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).
(e)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(f)Included $21.5 billion of origination volume under the PPP for the three and six months ended June 30, 2020. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.

CORPORATE & INVESTMENT BANK
The Corporate & Investment Bank, which consists of Banking and Markets & Securities Services, offers a broad suite of investment banking, market-making, prime brokerage, and treasury and securities products and services to a global client base of corporations, investors, financial institutions, merchants, government and municipal entities. Banking offers a full range of investment banking products and services in all major capital markets, including advising on corporate strategy and structure, capital-raising in equity and debt markets, as well as loan origination and syndication. Banking also includes Wholesale Payments, which provides payments services enabling clients to manage payments and receipts globally, and cross-border financing. Markets & Securities Services includes Markets, a global market-maker in cash securities and derivative instruments, which also offers sophisticated risk management solutions, prime brokerage, and research. Markets & Securities Services also includes Securities Services, a leading global custodian which provides custody, fund accounting and administration, and securities lending products principally for asset managers, insurance companies and public and private investment funds.

Refer to Line of Business Metrics on page 197 for a further discussion of the business profile of CIB.
Selected income statement data        
 Three months ended June 30, Six months ended June 30,
(in millions, except ratios)2020 2019 Change 2020 2019 Change
Revenue           
Investment banking fees$2,847
 $1,846
 54 % $4,754
 $3,690
 29 %
Principal transactions7,400
 3,885
 90
 10,588
 8,049
 32
Lending- and deposit-related fees(a)
500
 412
 21
 950
 808
 18
Asset management, administration and commissions(a)

1,146
 1,112
 3
 2,407
 2,179
 10
All other income380
 405
 (6) 415
 770
 (46)
Noninterest revenue12,273
 7,660
 60
 19,114
 15,496
 23
Net interest income4,079
 2,171
 88
 7,186
 4,369
 64
Total net revenue(b)
16,352
 9,831
 66
 26,300
 19,865
 32
            
Provision for credit losses1,987
 —
 NM
 3,388
 87
 NM
            
Noninterest expense           
Compensation expense3,997
 2,839
 41
 7,003
 5,930
 18
Noncompensation expense2,767
 2,822
 (2) 5,657
 5,360
 6
Total noninterest expense6,764
 5,661
 19
 12,660
 11,290
 12
Income before income tax expense7,601
 4,170
 82
 10,252
 8,488
 21
Income tax expense2,137
 1,224
 75
 2,800
 2,282
 23
Net income$5,464
 $2,946
 85 % $7,452
 $6,206
 20 %
Financial ratios           
Return on equity27% 14%   18% 15%  
Overhead ratio41
 58
   48
 57
  
Compensation expense as percentage of total net revenue24
 29
   27
 30
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)Includes tax-equivalent adjustments, predominantly due to income tax credits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; and tax-exempt income from municipal bonds of $686 million and $547 million for the three months ended June 30, 2020 and 2019, respectively, and $1.4 billion and $1.1 billion for the six months ended June 30, 2020 and 2019, respectively.

Selected income statement data        
 Three months ended June 30, Six months ended June 30,
(in millions)2020 2019 Change 2020 2019 Change
Revenue by business           
Investment Banking$3,401
 $1,776
 91 % $4,287
 $3,521
 22 %
Wholesale Payments
1,356
 1,402
 (3) 2,715
 2,817
 (4)
Lending270
 260
 4
 620
 518
 20
Total Banking5,027
 3,438
 46
 7,622
 6,856
 11
Fixed Income Markets7,338
 3,690
 99
 12,331
 7,415
 66
Equity Markets2,380
 1,728
 38
 4,617
 3,469
 33
Securities Services1,097
 1,045
 5
 2,171
 2,059
 5
Credit Adjustments & Other(a)
510
 (70) NM
 (441) 66
 NM
Total Markets & Securities Services11,325
 6,393
 77
 18,678
 13,009
 44
Total net revenue$16,352
 $9,831
 66 % $26,300
 $19,865
 32 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)Includes credit valuation adjustments (“CVA”) managed centrally within CIB and funding valuation adjustments (“FVA”) on derivatives and certain components of fair value option elected liabilities, which are primarily reported in principal transactions revenue. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets.
Quarterly results
Net income was $5.5 billion, up 85%, with record revenue more than offsetting higher noninterest expense and an increase in the provision for credit losses.
Net revenue was $16.4 billion, up 66%.
Banking revenue was $5.0 billion, up 46%.
Investment Banking revenue was $3.4 billion, up 91%, driven by higher Investment Banking fees, up 54%, reflecting higher fees across products, as well as $659 million of markups on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio as a result of improved market conditions. The Firm maintained its #1 ranking for Global Investment Banking fees, according to Dealogic.
–Debt underwriting fees were $1.3 billion, up 55%, driven by increased industry-wide fees and wallet share gains in both investment-grade and high-yield bonds.
–Equity underwriting fees were $977 million, up 93%, driven by both increased industry-wide fees and wallet share gains primarily in follow-on offerings and convertible securities markets.
–The increased activity in debt and equity underwriting reflected clients seeking access to liquidity as a result of the COVID-19 pandemic.
–Advisory fees were $602 million, up 15%, driven by a few large completed transactions.
Wholesale Payments revenue was $1.4 billion, down 3%, driven by a reporting re-classification for certain expenses which are now reported as a reduction of revenue in Merchant Services. In addition, the impact of higher deposit balances was predominantly offset by deposit margin compression.
Lending revenue was $270 million, up 4%, with higher net interest income on higher loan balances, as well as
higher fees, offset by fair value losses on hedges of accrual loans.
Markets & Securities Services revenue was $11.3 billion, up 77%. Markets revenue was $9.7 billion, up 79%.
Fixed Income Markets revenue was $7.3 billion, up 99%, or up 120% excluding a gain from the IPO of Tradeweb in the prior year, driven by strong performance across products, primarily in Rates, Currencies & Emerging Markets, and Credit.
Equity Markets revenue was $2.4 billion, up 38%, predominantly driven by strong client activity in derivatives and Cash Equities.
Securities Services revenue was $1.1 billion, up 5%, predominantly driven by deposit balance and fee growth partially offset by deposit margin compression.
Credit Adjustments & Other was a gain of $510 million, driven by funding spread tightening on derivatives.
Noninterest expense was $6.8 billion, up 19%, driven by higher revenue-related compensation expense.
The provision for credit losses was $2.0 billion, predominantly driven by net additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Year-to-date results
Net income was $7.5 billion, up 20%, with revenue more than offsetting higher noninterest expense and an increase in the provision for credit losses.
Net revenue was $26.3 billion, up 32%.
Banking revenue was $7.6 billion, up 11%.
Investment Banking revenue was $4.3 billion, up 22%, driven by higher Investment Banking fees, up 29%, reflecting higher debt and equity underwriting fees, partially offset by lower advisory fees, as well as $161 million of net markdowns on held-for-sale positions,

including unfunded commitments, in the bridge financing portfolio. The Firm maintained its #1 ranking for Global Investment Banking fees, according to Dealogic.
–Debt underwriting fees were $2.3 billion, up 34%, driven by increased industry-wide fees and wallet share gains in investment-grade bonds, and for high-yield bonds, after the markets stabilized in the second quarter of 2020.
–Equity underwriting fees were $1.3 billion, up 70%, driven by both increased industry-wide fees and wallet share gains primarily in follow-on offerings and convertible securities markets.
–The increased activity in debt and equity underwriting reflected clients seeking access to liquidity as a result of the COVID-19 pandemic.
–Advisory fees of $1.1 billion were down 5%, driven by lower number of completed transactions.
Wholesale payments revenue was $2.7 billion, down 4%, driven by a reporting re-classification for certain expenses which are now reported as a reduction of revenue in Merchant Services. In addition, the impact of higher balances and fee growth was predominantly offset by deposit margin compression.
Lending revenue was $620 million, up 20%, driven by higher net interest income on higher loan balances, as well as higher fees.
Markets & Securities Services revenue was $18.7 billion, up 44%. Markets revenue was $16.9 billion, up 56%.
Fixed Income Markets revenue was $12.3 billion, up 66%, driven by strong client activity across products primarily in Rates, Currencies & Emerging Markets, and Credit.
Equity Markets revenue was $4.6 billion, up 33%, driven by strong client activity in derivatives and Cash Equities.
Securities Services revenue was $2.2 billion, up 5%, predominantly driven by deposit balance and fee growth partially offset by deposit margin compression.
Credit Adjustments & Other was a net loss of $441 million, predominantly driven by losses on certain components of fair value option elected liabilities, as well as the impact of funding spread widening on derivatives
Noninterest expense was $12.7 billion, up 12%, predominantly driven by higher revenue-related compensation expense.
The provision for credit losses was $3.4 billion, compared with $87 million in the prior year. The increase was predominantly driven by net additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Refer to Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77-78 for further discussions of the credit portfolios and the allowance for credit losses.
Selected metrics          
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except headcount)2020 2019 Change 2020 2019 Change
Selected balance sheet data (period-end)           
Assets$1,080,761
 $976,430
 11% $1,080,761
 $976,430
 11%
Loans:           
Loans retained(a)
140,770
 123,074
 14
 140,770
 123,074
 14
Loans held-for-sale and loans at fair value10,241
 6,838
 50
 10,241
 6,838
 50
Total loans151,011
 129,912
 16
 151,011
 129,912
 16
Equity80,000
 80,000
 —
 80,000
 80,000
 —
Selected balance sheet data (average)           
Assets$1,167,807
 $1,000,517
 17
 $1,125,314
 $984,165
 14
Trading assets-debt and equity instruments450,507
 421,775
 7
 438,911
 401,656
 9
Trading assets-derivative receivables76,710
 48,815
 57
 65,922
 49,707
 33
Loans:           
Loans retained(a)
$154,038
 $124,194
 24
 $141,438
 $125,585
 13
Loans held-for-sale and loans at fair value8,399
 7,763
 8
 9,108
 8,186
 11
Total loans$162,437
 $131,957
 23
 $150,546
 $133,771
 13
Equity80,000
 80,000
 —
 80,000
 80,000
 —
Headcount60,950
 59,111
 3% 60,950
 59,111
 3%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation, including an increase to period-end assets and headcount of $13.9 billion and 4,152, respectively, as of June 30, 2019.
(a)Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.

Selected metrics           
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except ratios)2020 2019 Change 2020 2019 Change
Credit data and quality statistics           
Net charge-offs/(recoveries)$204
 $72
 183 % $259
 $102
 154 %
Nonperforming assets:           
Nonaccrual loans:           
Nonaccrual loans retained(a)
$1,195
 $569
 110 % $1,195
 $569
 110
Nonaccrual loans held-for-sale and loans at fair value
250
 370
 (32) 250
 370
 (32)
Total nonaccrual loans1,445
 939
 54
 1,445
 939
 54
Derivative receivables108
 39
 177
 108
 39
 177
Assets acquired in loan satisfactions35
 58
 (40) 35
 58
 (40)
Total nonperforming assets$1,588
 $1,036
 53
 $1,588
 $1,036
 53
Allowance for credit losses:           
Allowance for loan losses$3,440
 $1,131
 204
 $3,440
 $1,131
 204
Allowance for lending-related commitments1,233
 807
 53
 1,233
 807
 53
Total allowance for credit losses$4,673
 $1,938
 141 % $4,673
 $1,938
 141 %
Net charge-off/(recovery) rate(b)
0.53% 0.23%   0.37% 0.16%  
Allowance for loan losses to period-end loans retained2.44
 0.92
   2.44
 0.92
  
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(c)
3.27
 1.27
   3.27
 1.27
  
Allowance for loan losses to nonaccrual loans retained(a)
288
 199
   288
 199
  
Nonaccrual loans to total period-end loans0.96% 0.72%   0.96% 0.72%  
(a)Allowance for loan losses of $340 million and $147 million were held against these nonaccrual loans at June 30, 2020 and 2019, respectively.
(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.
(c)Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.
Investment banking fees          
 Three months ended June 30, Six months ended June 30,
(in millions)2020 2019 Change 2020 2019 Change
Advisory$602
 $525
 15 $1,105
 $1,169
 (5)%
Equity underwriting977
 505
 93 1,308
 770
 70
Debt underwriting(a)
1,268
 816
 55 2,341
 1,751
 34
Total investment banking fees$2,847
 $1,846
 54 $4,754
 $3,690
 29 %
(a)Represents long-term debt and loan syndications.

League table results – wallet share            
 Three months ended June 30, Six months ended June 30, Full-year 2019
 2020 2019 2020 2019 
 Rank Share Rank Share Rank Share Rank Share Rank Share
Based on fees(a)
                  
M&A(b)
                   
Global#1
 10.6 #2
 8.8 #2
 9.2 #2
 9.3 #2
 9.0%
U.S.4
 8.8 2
 8.8 2
 8.8 2
 9.5 2
 9.3
Equity and equity-related(c)
                   
Global2
 11.8 2
 9.6 2
 10.9 2
 9.3 1
 9.3
U.S.2
 13.2 2
 11.4 2
 12.9 2
 11.7 2
 13.2
Long-term debt(d)
                   
Global1
 10.0 1
 7.4 1
 9.5 1
 7.6 1
 7.8
U.S.1
 13.4 1
 11.4 1
 12.9 1
 11.6 1
 12.0
Loan syndications                   
Global1
 8.7 1
 9.0 1
 9.9 1
 11.1 1
 10.1
U.S.3
 9.2 2
 10.2 1
 9.8 1
 13.4 1
 12.5
Global investment banking fees(e)
#1
 10.6 #1
 8.6 #1
 9.8 #1
 9.1 #1
 8.9%
(a)Source: Dealogic as of July 1, 2020. Reflects the ranking of revenue wallet and market share.
(b)Global M&A excludes any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S.
(c)Global equity and equity-related ranking includes rights offerings and Chinese A-Shares.
(d)Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, ABS and mortgage-backed securities (“MBS”); and exclude money market, short-term debt, and U.S. municipal securities.
(e)Global investment banking fees exclude money market, short-term debt and shelf deals.

Markets revenue
The following table summarizes select income statement data for the Markets businesses. Markets includes both Fixed Income Markets and Equity Markets. Markets revenue comprises principal transactions, fees, commissions and other income, as well as net interest income. The Firm assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate net interest income may be risk-managed by derivatives that are
recorded in principal transactions revenue. Refer to Notes 6 and 7 for a description of the composition of these income statement line items. Refer to Markets revenue on page 69 of JPMorgan Chase’s 2019 Form 10-K for further information.
For the periods presented below, the predominant source of principal transactions revenue was the amount recognized upon executing new transactions.
 Three months ended June 30, Three months ended June 30,
 2020 2019

(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		 Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactions$4,651
$1,737
$6,388
 $2,431
$1,608
$4,039
Lending- and deposit-related fees48
2
50
 49
2
51
Asset management, administration and commissions93
497
590
 97
453
550
All other income176
(22)154
 173
(19)154
Noninterest revenue4,968
2,214
7,182
 2,750
2,044
4,794
Net interest income2,370
166
2,536
 940
(316)624
Total net revenue$7,338
$2,380
$9,718
 $3,690
$1,728
$5,418
        
 Six months ended June 30, Six months ended June 30,
 2020 2019

(in millions)
Fixed Income Markets
Equity
Markets
Total
Markets
 Fixed Income Markets
Equity
Markets
Total
Markets
Principal transactions$7,794
$3,460
$11,254
 $4,913
$3,165
$8,078
Lending- and deposit-related fees95
4
99
 98
4
102
Asset management, administration and commissions204
1,105
1,309
 200
887
1,087
All other income177
(23)154
 392
(23)369
Noninterest revenue8,270
4,546
12,816
 5,603
4,033
9,636
Net interest income4,061
71
4,132
 1,812
(564)1,248
Total net revenue$12,331
$4,617
$16,948
 $7,415
$3,469
$10,884
CIB Markets had one loss day in the second quarter of 2020 and three loss days for the six months ended June 30, 2020. Loss days represent the number of days for which CIB Markets, which consists of Fixed Income Markets and Equity Markets, posted losses to total net revenue. The loss days determined under this measure differ from the measure used to determine backtesting gains and losses. Daily backtesting gains and losses include positions in the Firm’s Risk Management value-at-risk (“VaR”) measure and exclude select components of total net revenue, which may more than offset backtesting gains or losses on a particular day. For more information on daily backtesting gains and losses, refer to the VaR discussion on pages 80-82
Selected metrics           
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except where otherwise noted)2020 2019 Change 2020 2019 Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
           
Fixed Income$15,023
 $13,056
 15 % $15,023
 $13,056
 15 %
Equity9,288
 9,352
 (1) 9,288
 9,352
 (1)
Other(a)
3,136
 3,042
 3
 3,136
 3,042
 3
Total AUC$27,447

$25,450
 8
 $27,447
 $25,450
 8
Merchant processing volume (in billions)(b)
$371.9
 $371.6
 —
 $746.7
 $728.1
 3
Client deposits and other third-party liabilities (average)(c)
$607,902

$458,237
 33 % $561,183
 $451,185
 24 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.
(b)Represents total merchant processing volume across CIB, CCB and CB.
(c)Client deposits and other third-party liabilities pertain to the Wholesale Payments and Securities Services businesses.

International metrics           
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except where
 otherwise noted)
2020 
2019(c)
 Change 2020 
2019(c)
 Change
Total net revenue(a)
           
Europe/Middle East/Africa$4,976
 $2,898
 72 % $7,566
 $6,078
 24 %
Asia-Pacific2,196
 1,276
 72
 3,972
 2,683
 48
Latin America/Caribbean587
 379
 55
 1,094
 785
 39
Total international net revenue7,759
 4,553
 70
 12,632
 9,546
 32
North America8,593
 5,278
 63
 13,668
 10,319
 32
Total net revenue$16,352
 $9,831
 66
 $26,300
 $19,865
 32
            
Loans retained (period-end)(a)
          
Europe/Middle East/Africa$28,973
 $27,843
 4
 $28,973
 $27,843
 4
Asia-Pacific13,644
 15,302
 (11) 13,644
 15,302
 (11)
Latin America/Caribbean8,190
 7,090
 16
 8,190
 7,090
 16
Total international loans50,807
 50,235
 1
 50,807
 50,235
 1
North America89,963
 72,839
 24
 89,963
 72,839
 24
Total loans retained$140,770
 $123,074
 14
 $140,770
 $123,074
 14
            
Client deposits and other third-party liabilities (average)(b)
           
Europe/Middle East/Africa$216,211
 $175,189
 23
 $203,594
 $169,694
 20
Asia-Pacific125,839
 86,889
 45
 114,816
 85,990
 34
Latin America/Caribbean36,339
 28,860
 26
 33,598
 28,175
 19
Total international$378,389
 $290,938
 30
 $352,008
 $283,859
 24
North America229,513
 167,299
 37
 209,175
 167,326
 25
Total client deposits and other third-party liabilities$607,902
 $458,237
 33
 $561,183
 $451,185
 24
            
AUC (period-end)(b)
(in billions)
           
North America$17,734
 $15,875
 12
 $17,734
 $15,875
 12
All other regions9,713
 9,575
 1
 9,713
 9,575
 1
Total AUC$27,447
 $25,450
 8 % $27,447
 $25,450
 8 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)Total net revenue and loans retained (excluding loans held-for-sale and loans at fair value) are based on the location of the trading desk, booking location, or domicile of the client, as applicable.
(b)Client deposits and other third-party liabilities pertaining to the Wholesale Payments and Securities Services businesses, and AUC, are based on the domicile of the client.
(c)Prior-period amounts have been revised to conform with the current presentation.

COMMERCIAL BANKING
Commercial Banking provides comprehensive financial solutions, including lending, wholesale payments, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.
Middle Market Banking covers small and midsized companies, local governments and nonprofit clients.
Corporate Client Banking covers large corporations.
Commercial Real Estate Banking covers investors, developers, and owners of multifamily, office, retail, industrial and affordable housing properties.

Refer to Line of Business Metrics on page 198 for a discussion of the business profile of CB.
Selected income statement data      
 Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
 Change
 2020
 2019
 Change
Revenue           
Lending- and deposit-related fees(a)
$297
 $224
 33 % $558
 $457
 22 %
All other income(a)
518
 399
 30
 878
 899
 (2)
Noninterest revenue815
 623
 31
 1,436
 1,356
 6
Net interest income1,577
 1,662
 (5) 3,134
 3,342
 (6)
Total net revenue(b)
2,392
 2,285
 5
 4,570
 4,698
 (3)
            
Provision for credit losses2,431
 29
 NM
 3,441
 119
 NM
            
Noninterest expense           
Compensation expense430
 438
 (2) 902
 887
 2
Noncompensation expense469
 493
 (5) 985
 982
 —
Total noninterest expense899
 931
 (3) 1,887
 1,869
 1
            
Income/(loss) before income tax expense/(benefit)(938) 1,325
 NM
 (758) 2,710
 NM
Income tax expense/(benefit)(247) 323
 NM
 (214) 648
 NM
Net income/(loss)$(691) $1,002
 NM
 $(544) $2,062
 NM
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior-period revenue and expense amounts have been revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions (which are included in all other income) to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community development entities and in entities established for rehabilitation of historic properties, as well as tax-exempt income related to municipal financing activities of $80 million and $100 million for the three months ended June 30, 2020 and 2019, respectively, and $161 million and $194 million for the six months ended June 30, 2020 and 2019, respectively.
Quarterly results
Net loss was $691 million, driven by an increase in the provision for credit losses.
Net revenue was $2.4 billion, up 5%. Net interest income was $1.6 billion, down 5%, driven by lower deposit margin, largely offset by higher deposit and loan balances. Noninterest revenue was $815 million, up 31%, driven by a gain on a strategic investment, higher deposit related fees, and investment banking revenue, partially offset by lower card income predominantly due to lower volumes as a result of the COVID-19 pandemic.
Noninterest expense was $899 million, down 3%, driven by lower structural expense.
The provision for credit losses was $2.4 billion, compared with $29 million in the prior year. The increase was driven by net additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Year-to-date results
Net loss was $544 million, driven by an increase in the provision for credit losses.
Net revenue was $4.6 billion, down 3%. Net interest income was $3.1 billion, down 6%, driven by lower deposit margin largely offset by higher deposit and loan balances. Noninterest revenue was $1.4 billion, up 6%, driven by higher deposit related fees and a gain on a strategic investment, largely offset by lower card income primarily

due to lower volumes as a result of the COVID-19 pandemic and a $57 million mark down of a held-for-sale position.
Noninterest expense was $1.9 billion, relatively flat, driven by investments in the business largely offset by lower structural expense.
The provision for credit losses was $3.4 billion, compared with $119 million in the prior year. The increase was driven by net additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Refer to Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77-78 for further discussions of the credit portfolios and the allowance for credit losses.


CB product revenue consists of 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.
Wholesale payments 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 Markets products used by CB clients is also included.
Other product revenue primarily includes tax-equivalent adjustments generated from Community Development Banking activities and certain income derived from principal transactions.
Selected income statement data (continued)      
 Three months ended June 30, Six months ended June 30,
(in millions, except ratios)2020
 2019
 Change
 2020
 2019
 Change
Revenue by product           
Lending$1,127
 $1,012
 11 % $2,081
 $2,024
 3 %
Wholesale payments917
 1,063
 (14) 1,908
 2,167
 (12)
Investment banking(a)
256
 193
 33
 491
 482
 2
Other92
 17
 441
 90
 25
 260
Total Commercial Banking net revenue$2,392
 $2,285
 5
 $4,570
 $4,698
 (3)
            
Investment banking revenue, gross(b)
$851
 $592
 44
 $1,537
 $1,410
 9
            
Revenue by client segments           
Middle Market Banking$866
 $961
 (10) $1,812
 $1,935
 (6)
Corporate Client Banking859
 744
 15
 1,540
 1,595
 (3)
Commercial Real Estate Banking566
 538
 5
 1,107
 1,085
 2
Other101
 42
 140
 111
 83
 34
Total Commercial Banking net revenue$2,392
 $2,285
 5 % $4,570
 $4,698
 (3)%
            
Financial ratios           
Return on equity(14)% 17%   (6)% 18%  
Overhead ratio38
 41
   41
 40
  
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior-period revenue and expense amounts have been revised to conform with the current presentation.
(a)Includes CB’s share of revenue from investment banking products sold to CB clients through the CIB.
(b)Refer to Business Segment Results on page 24 for discussion of revenue sharing.

Selected metrics        
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except headcount)2020
 2019
Change
 2020
 2019
Change
Selected balance sheet data (period-end)         
Total assets$234,934
 $220,712
6 % $234,934
 $220,712
6 %
Loans:         
Loans retained223,192
 208,323
7
 223,192
 208,323
7
Loans held-for-sale and loans at fair value917
 1,284
(29) 917
 1,284
(29)
Total loans$224,109
 $209,607
7
 $224,109
 $209,607
7
Equity22,000
 22,000
—
 22,000
 22,000
—
          
Period-end loans by client segment         
Middle Market Banking$64,211
(a) 
$56,346
14
 $64,211
(a) 
$56,346
14
Corporate Client Banking56,182
 51,500
9
 56,182
 51,500
9
Commercial Real Estate Banking103,117
 100,751
2
 103,117
 100,751
2
Other599
 1,010
(41) 599
 1,010
(41)
Total Commercial Banking loans$224,109
(a) 
$209,607
7
 $224,109
(a) 
$209,607
7
          
Selected balance sheet data (average)         
Total assets$247,512
 $218,760
13
 $236,792
 $218,530
8
Loans:         
Loans retained233,044
 206,771
13
 221,516
 205,623
8
Loans held-for-sale and loans at fair value502
 701
(28) 1,167
 1,165
—
Total loans$233,546
 $207,472
13
 $222,683
 $206,788
8
          
Average loans by client segment         
Middle Market Banking$66,279
 $57,155
16
 $61,162
 $56,940
7
Corporate Client Banking63,308
 48,656
30
 58,170
 48,400
20
Commercial Real Estate Banking103,516
 100,671
3
 102,521
 100,469
2
Other443
 990
(55) 830
 979
(15)
Total Commercial Banking loans$233,546
 $207,472
13
 $222,683
 $206,788
8
          
Client deposits and other third-party liabilities$236,968
 $168,247
41
 $212,888
 $167,756
27
Equity22,000
 22,000
—
 22,000
 22,000
—
          
Headcount11,802
 11,248
5 % 11,802
 11,248
5 %
(a)At June 30, 2020, total loans included $6.5 billion of loans under the PPP, of which $6.3 billion were in Middle Market Banking. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.

Selected metrics (continued)        
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except ratios)2020
2019
Change
 2020
 2019
 Change
Credit data and quality statistics         
Net charge-offs/(recoveries)$79
$15
427% $179
 $26
 NM
Nonperforming assets         
Nonaccrual loans:         
Nonaccrual loans retained(a)
$1,377
$614
124% $1,377
 $614
 124%
Nonaccrual loans held-for-sale and loans at fair value—
—
—
 —
 —
 —
Total nonaccrual loans$1,377
$614
124
 $1,377
 $614
 124
Assets acquired in loan satisfactions24
20
20
 24
 20
 20
Total nonperforming assets$1,401
$634
121
 $1,401
 $634
 121
Allowance for credit losses:         
Allowance for loan losses$4,830
$2,756
75
 $4,830
 $2,756
 75
Allowance for lending-related commitments707
274
158
 707
 274
 158
Total allowance for credit losses$5,537
$3,030
83% $5,537
 $3,030
 83%
Net charge-off/(recovery) rate(b)
0.14%0.03%  0.16% 0.03%  
Allowance for loan losses to period-end loans retained2.16
1.32
  2.16
 1.32
  
Allowance for loan losses to nonaccrual loans retained(a)
351
449
  351
 449
  
Nonaccrual loans to period-end total loans0.61
0.29
  0.61
 0.29
  
(a)Allowance for loan losses of $287 million and $125 million was held against nonaccrual loans retained at June 30, 2020 and 2019, respectively.
(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.


ASSET & WEALTH MANAGEMENT
Refer to pages 74–76 of JPMorgan Chase’s 2019 Form 10-K and Line of Business Metrics on pages 198-199 for a discussion of the business profile of AWM.
Selected income statement data    
(in millions, except ratios)Three months ended June 30, Six months ended June 30,
2020
2019
Change
 2020
2019
Change
Revenue       
Asset management, administration and commissions$2,589
$2,568
1 % $5,295
$4,984
6 %
All other income131
115
14
 134
292
(54)
Noninterest revenue2,720
2,683
1
 5,429
5,276
3
Net interest income890
876
2
 1,787
1,772
1
Total net revenue3,610
3,559
1
 7,216
7,048
2
        
Provision for credit losses223
2
NM
 317
4
NM
        
Noninterest expense       
Compensation expense1,315
1,406
(6) 2,726
2,868
(5)
Noncompensation expense1,191
1,190
—
 2,439
2,375
3
Total noninterest expense2,506
2,596
(3) 5,165
5,243
(1)
        
Income before income tax expense881
961
(8) 1,734
1,801
(4)
Income tax expense223
242
(8) 412
421
(2)
Net income$658
$719
(8) $1,322
$1,380
(4)
        
Revenue by line of business       
Asset Management$1,780
$1,785
—
 $3,520
$3,546
(1)
Wealth Management1,830
1,774
3
 3,696
3,502
6
Total net revenue$3,610
$3,559
1 % $7,216
$7,048
2 %
        
Financial ratios       
Return on equity24%27%  24%26% 
Overhead ratio69
73
  72
74
 
Pre-tax margin ratio:       
Asset Management30
25
  26
24
 
Wealth Management19
29
  22
27
 
Asset & Wealth Management24
27
  24
26
 
Quarterly results
Net income was $658 million, down 8%.
Net revenue was $3.6 billion, up 1%. Net interest income was $890 million, up 2%, reflecting higher deposit and loan balances, offset by deposit margin compression. Noninterest revenue was $2.7 billion, up 1%, as a result of increased brokerage commissions on higher client-driven volume partially offset by lower asset management fees as a shift in the mix toward lower yield products was predominantly offset by strong net inflows into liquidity products over the past year.
Revenue from Asset Management of $1.8 billion, was flat versus the prior year.
Revenue from Wealth Management was $1.8 billion, up 3%, driven by higher deposit and loan balances, as well as increased brokerage commissions on higher client-driven volume, largely offset by deposit margin compression.
Noninterest expense of $2.5 billion was down 3%, as lower structural as well as volume-and revenue-related expense, were partially offset by higher investments.
The provision for credit losses was $223 million, driven by additions to the allowance for credit losses predominantly as a result of the impact of the COVID-19 pandemic.
Refer to Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77-78 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-date results
Net income was $1.3 billion, a decrease of 4%.
Net revenue was $7.2 billion, an increase of 2%. Net interest income was $1.8 billion, up 1%, reflecting higher deposit and loan balances, offset by deposit margin compression. Noninterest revenue was $5.4 billion, up 3%, driven by increased brokerage commissions on higher client-driven volume, and higher asset management fees as a result of net inflows into liquidity products partially offset by net valuation losses on certain investments, compared with gains in the prior year.

Revenue from Asset Management was $3.5 billion, down 1%, driven by net valuation losses on certain investments, compared with gains in the prior year, predominantly offset by higher asset management fees as a result of net inflows into liquidity products.
Revenue from Wealth Management was $3.7 billion, up 6%, largely driven by higher deposit and loan balances as well as increased brokerage commissions on higher client-driven volume, largely offset by deposit margin compression.
Noninterest expense was $5.2 billion, a decrease of 1%, as lower structural as well as volume-and revenue-related expense, were largely offset by higher investments.
The provision for credit losses was $317 million, driven by additions to the allowance for credit losses predominantly as a result of the impact of the COVID-19 pandemic.
Selected metrics       
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except ranking data, headcount and ratios)2020
2019
Change
 2020
2019
Change
% of JPM mutual fund assets rated as 4- or 5-star(a)
54%63%  54%63% 
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
       
1 year54
78
  54
78
 
3 years69
75
  69
75
 
5 years72
82
  72
82
 
        
Selected balance sheet data (period-end)(c)
       
Total assets$183,189
$172,149
6 % $183,189
$172,149
6 %
Loans165,299
149,877
10
 165,299
149,877
10
Deposits169,537
136,225
24
 169,537
136,225
24
Equity10,500
10,500
—
 10,500
10,500
—
        
Selected balance sheet data (average)(c)
       
Total assets$182,318
$167,544
9
 $182,817
$167,452
9
Loans163,440
146,494
12
 162,631
145,953
11
Deposits168,573
140,317
20
 159,602
139,282
15
Equity10,500
10,500
—
 10,500
10,500
—
        
Headcount(d)
22,949
23,683
(3) 22,949
23,683
(3)
        
Number of Wealth Management client advisors2,869
2,735
5
 2,869
2,735
5
        
Credit data and quality statistics(c)
       
Net charge-offs/(recoveries)$(2)$(3)33
 $—
$1
NM
Nonaccrual loans775
127
NM
 775
127
NM
Allowance for credit losses:       
Allowance for loan losses$648
$331
96
 $648
$331
96
Allowance for lending-related commitments28
17
65
 28
17
65
Total allowance for credit losses$676
$348
94 % $676
$348
94 %
Net charge-off rate—
(0.01)%  —
—
 
Allowance for loan losses to period-end loans0.39
0.22
  0.39
0.22
 
Allowance for loan losses to nonaccrual loans84
261
  84
261
 
Nonaccrual loans to period-end loans0.47
0.08
  0.47
0.08
 
(a)Represents the Nomura “star rating” for Japan domiciled funds and Morningstar for all other domiciled funds. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(b)Quartile ranking sourced from Lipper, Morningstar, Nomura and Fund Doctor based on country of domicile. Includes only Asset Management retail open-ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(c)Loans, deposits and related credit data and quality statistics relate to the Wealth Management business.
(d)During the second quarter of 2020, certain technology and support functions, comprising approximately 850 staff, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.

Client assets
Client assets of $3.4 trillion and assets under management of $2.5 trillion were up 12% and 15%, respectively, driven by cumulative net inflows into liquidity and long term products as well as higher market levels.
Client assets   
 As of June 30,
(in billions)2020
2019
Change
Assets by asset class   
Liquidity$707
$481
47%
Fixed income629
543
16
Equity457
441
4
Multi-asset and alternatives718
713
1
Total assets under management2,511
2,178
15
Custody/brokerage/administration/deposits859
820
5
Total client assets$3,370
$2,998
12
    
Memo:   
Alternatives client assets (a)
$188
$177
6
    
Assets by client segment   
Private Banking$677
$617
10
Institutional1,218
991
23
Retail616
570
8
Total assets under management$2,511
$2,178
15
    
Private Banking$1,500
$1,410
6
Institutional1,249
1,013
23
Retail621
575
8
Total client assets$3,370
$2,998
12%
(a)Represents assets under management, as well as client balances in brokerage accounts
Client assets (continued)     


Three months ended
June 30,		Six months ended
June 30,
(in billions)2020
2019
 2020
2019
Assets under management rollforward     
Beginning balance$2,239
$2,096
 $2,364
$1,987
Net asset flows:     
Liquidity95
4
 170
(1)
Fixed income17
37
 18
56
Equity11
(1) 10
(7)
Multi-asset and alternatives1
—
 (1)(3)
Market/performance/other impacts148
42
 (50)146
Ending balance, June 30$2,511
$2,178
 $2,511
$2,178
      
Client assets rollforward     
Beginning balance$3,002
$2,897
 $3,226
$2,733
Net asset flows138
52
 223
61
Market/performance/other impacts230
49
 (79)204
Ending balance, June 30$3,370
$2,998
 $3,370
$2,998

International metrics       
 Three months ended June 30, Six months ended June 30,
(in millions)2020
2019
Change 2020
2019
Change
Total net revenue (a)
       
Europe/Middle East/Africa$719
$714
1 $1,342
$1,409
(5)%
Asia-Pacific378
376
1 778
740
5
Latin America/Caribbean198
179
11 386
361
7
Total international net revenue1,295
1,269
2 2,506
2,510
—
North America2,315
2,290
1 4,710
4,538
4
Total net revenue(a)
$3,610
$3,559
1 $7,216
$7,048
2 %
(a)Regional revenue is based on the domicile of the client.
 As of June 30, As of June 30,
(in billions)2020
2019
Change
 2020
2019
Change
Assets under management       
Europe/Middle East/Africa$446
$392
14% $446
$392
14%
Asia-Pacific205
183
12
 205
183
12
Latin America/Caribbean64
56
14
 64
56
14
Total international assets under management715
631
13
 715
631
13
North America1,796
1,547
16
 1,796
1,547
16
Total assets under management$2,511
$2,178
15
 $2,511
$2,178
15
        
Client assets       
Europe/Middle East/Africa$537
$478
12
 $537
$478
12
Asia-Pacific286
257
11
 286
257
11
Latin America/Caribbean148
136
9
 148
136
9
Total international client assets971
871
11
 971
871
11
North America2,399
2,127
13
 2,399
2,127
13
Total client assets$3,370
$2,998
12% $3,370
$2,998
12%


















CORPORATE
Refer to pages 77–78 of JPMorgan Chase’s 2019 Form 10-K for a discussion of Corporate.
Selected income statement and balance sheet data      
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except headcount)2020
2019
 Change
 2020
 2019
 Change
Revenue          
Principal transactions$(2)$(175) 99 % $(115) $(237) 51 %
Investment securities gains26
44
 (41)% 259
 57
 354 %
All other income(91)6
 NM
 120
 63
 90
Noninterest revenue(67)(125) 46 % 264
 (117) NM
Net interest income(687)447
 NM
 (852) 864
 NM
Total net revenue(a)
(754)322
 NM
 (588) 747
 NM
           
Provision for credit losses4
(2) NM
 12
 —
 NM
           
Noninterest expense(b)
147
232
 (37)% 293
 443
 (34)
Income/(loss) before income tax expense/(benefit)(905)92
 NM
 (893) 304
 NM
Income tax expense/(benefit)(337)(736) 54
 (200) (775) 74 %
Net income/(loss)$(568)$828
 NM
 $(693) $1,079
 NM
Total net revenue          
Treasury and CIO$(671)$618
 NM
 $(502) $1,129
 NM
Other Corporate(83)(296) 72
 (86) (382) 77
Total net revenue$(754)$322
 NM
 $(588) $747
 NM
Net income/(loss)          
Treasury and CIO$(550)$462
 NM
 $(467) $796
 NM
Other Corporate(18)366
 NM
 (226) 283
 NM
Total net income/(loss)$(568)$828
 NM
 $(693) $1,079
 NM
Total assets (period-end)$1,221,980
$821,330
 49
 $1,221,980
 $821,330
 49
Loans (period-end)1,670
1,695
 (1) 1,670
 1,695
 (1)
Headcount38,920
37,361
 4 % 38,920
 37,361
 4 %
(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $63 million and $81 million for the three months ended June 30, 2020 and 2019, respectively, and $124 million and $167 million for the six months ended June 30, 2020 and 2019, respectively.
(b)Included a net legal benefit of $(12) million and $(67) million for the three months ended June 30, 2020 and 2019, respectively, and $(32) million and $(157) million for the six months ended June 30, 2020 and 2019, respectively.
Quarterly results
Net loss was $568 million compared with net income of $828 million in the prior year.
Net revenue was a loss of $754 million, down $1.1 billion, driven by lower net interest income on lower rates. The current quarter also included small net gains on certain legacy private equity investments compared to losses in the prior year.
Noninterest expense of $147 million was down $85 million due to lower structural expense, partially offset by a lower net legal benefit compared to the prior year.
The current period income tax benefit was predominantly driven by the change in the level and mix of income and expenses subject to U.S. federal, and state and local taxes. The prior period included tax benefits of $742 million related to the resolution of certain tax audits.
Year-to-date results
Net loss was $693 million compared with net income of $1.1 billion in the prior year.
Net revenue was a loss of $588 million, compared with $747 million in the prior year. The decrease was driven by lower net interest income on lower rates, partially offset by higher noninterest revenue primarily due to higher net investment securities gains reflecting the impact of repositioning the investment securities portfolio.
Noninterest expense of $293 million was down $150 million due to lower structural expense, partially offset by a lower net legal benefit compared to the prior year.
The current period income tax benefit was driven by the change in the level and mix of income and expenses subject to U.S. federal, and state and local taxes as well as other tax adjustments, partially offset by the impact of the Firm’s estimated full-year expected tax rate relative to the level of year-to-date pretax income. The prior period included tax benefits of $825 million related to the resolution of certain tax audits.

Treasury and CIO overview
At June 30, 2020, the average credit rating of the Treasury and CIO investment securities comprising the portfolio in the table below was AA+ (based upon external ratings where available and, where not available, based primarily upon internal risk ratings). Refer to Note 10 for further information on the Firm’s investment securities portfolio and internal risk ratings.
Refer to Liquidity Risk Management on pages 55-59 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 80-84 for information on interest rate, foreign exchange and other risks.
Selected income statement and balance sheet data      
 As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions)2020
 2019
 Change
 2020
 2019
 Change
Investment securities gains$26
 $44
 (41)% $259
 $57
 354
Available-for-sale securities (average)$426,470
 $248,612
 72 % $399,712
 $237,669
 68
Held-to-maturity securities (average)71,713
 30,929
 132
 59,193
 31,005
 91
Investment securities portfolio (average)$498,183
 $279,541
 78
 $458,905
 $268,674
 71
Available-for-sale securities (period-end)$483,752
 $274,533
 76
 $483,752
 $274,533
 76
Held-to-maturity securities, net of allowance for credit losses (period-end)(a)(b)
72,908
 30,907
 136
 72,908
 30,907
 136
Investment securities portfolio, net of allowance for credit losses (period-end)(a)
$556,660
 $305,440
 82 % $556,660
 $305,440
 82
(a)At June 30, 2020, the allowance for credit losses on HTM securities was $23 million.
(b)During the first quarter of 2020, the Firm transferred $26.1 billion of U.S. GSE and government agency MBS from AFS to HTM for capital management purposes.
Refer to Note 10 for further information.


FIRMWIDE RISK MANAGEMENT
Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers and clients on their investment decisions, makes markets in securities, or offers other products or services, the Firm takes on some degree of risk. The Firm’s overall objective is to manage its businesses, and the associated risks, in a manner that balances serving the interests of its clients, customers and investors and protects the safety and soundness of the Firm.
The Firm believes that effective risk management requires, among other things:
Acceptance of responsibility, including identification and escalation of risk issues, by all individuals within the Firm;
Ownership of risk identification, assessment, data and management within each of the LOBs and Corporate; and
Firmwide structures for risk governance.
The Firm strives for continual improvement in its efforts to enhance controls, ongoing employee training and development, talent retention, and other measures. The Firm follows a disciplined and balanced compensation framework with strong internal governance and independent oversight by the Board of Directors (the “Board”). The impact of risk and control issues is carefully considered in the Firm’s performance evaluation and incentive compensation processes.
Risk governance and oversight framework
The Firm’s risk management governance and oversight framework involves understanding drivers of risks, types of risks, and impacts of risks.
jpmcgovernancea07.jpg
Refer to pages 79-83 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of Firmwide risk management governance and oversight.
Risk governance and oversight functions
The following sections of this Form 10-Q and the 2019 Form 10-K discuss the risk governance and oversight functions in place to manage the risks inherent in the Firm’s business activities.
Risk governance and oversight functionsForm 10-Q page referenceForm 10-K page reference
Strategic risk 84
Capital risk49–5485–92
Liquidity risk55–5993–98
Reputation risk 99
Consumer credit risk62-66103–107
Wholesale credit risk67-76108–115
Investment portfolio risk79118
Market risk80-84119–126
Country risk85127–128
Operational risk86129–135
Compliance risk 132
Conduct risk 133
Legal risk 134
Estimations and Model risk87135

CAPITAL RISK MANAGEMENT
Capital risk is the risk the Firm has an insufficient level or composition of capital to support the Firm’s business activities and associated risks during normal economic environments and under stressed conditions.
Refer to pages 85–92 of JPMorgan Chase’s 2019 Form
10-K, Note 22 of this Form 10-Q and the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for further discussion of the Firm’s Capital Risk Management, including capital planning and stress testing.
COVID-19 Pandemic
The Firm remains well-capitalized, but has been impacted by recent market events as a result of the COVID-19 pandemic. Thepandemic, but remains well-capitalized. However, the continuation or further deterioration of the current macroeconomic environment could result in additional impacts to the FirmsFirm’s capital and leverage position.
Basel III Overview
The capital rules under Basel III establish minimum capital ratios and overall capital adequacy standards for large and internationally active U.S. bank holding companies (“BHC”) and banks, including the Firm and its insured depository institution (“IDI”) subsidiaries, including JPMorgan Chase Bank, N.A. The minimum amount of regulatory capital that must be held by BHCs and banks is determined by calculating risk-weighted assets (“RWA”), which are on-balance sheet assets and off-balance sheet exposures, weighted according to risk. Two comprehensive approaches are prescribed for calculating RWA: a standardized approach (“Basel III Standardized”), and an advanced approach (“Basel III Advanced”). For each of the risk-based capital ratios, the capital adequacy of the Firm is evaluated against the lower of the Standardized or Advanced approaches.
The Firm’s Basel III Standardized-risk-based ratios are currently more binding than the Basel III Advanced-risk-based ratios.
Basel III also includes a requirement for Advanced Approach banking organizations, including the Firm, to calculate the SLR. Refer to SLR on page 90 of JPMorgan Chase’s 2019 Form 10-K for additional information.
Key Regulatory Developments
Current Expected Credit Losses. As disclosed in the Firm’s 2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule that provided the option to temporarily delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period (“CECL capital transition provisions”).
The interim final rule provides a uniform approach for estimating the effects of CECL compared to the legacy incurred loss model during the first two years of the transition period (the “day 2” transition amount), whereby the Firm may exclude from CET1 capital 25% of the change in the allowance for credit losses (excluding allowances on PCD loans). The cumulative day 2 transition amount as at December 31, 2021 that is not recognized in CET1 capital as well as the $2.7 billion day 1 impact, will be phased into CET1 capital at 25% per year beginning January 1, 2022. The Firm has elected to apply the CECL capital transition provisions, and accordingly, for the period ended March 31,June 30, 2020, the capital measuresmetrics of the Firm exclude $4.3$6.5 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $6.8$15.7 billion increase in the allowance for credit losses (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions on Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital measures.metrics. Refer to Note 1 for further information on the CECL accounting guidance.

Money Market Mutual Fund Liquidity Facility. On March 18, 2020, the Federal Reserve established athe MMLF facility, authorized through September 30, 2020, to enhance the liquidity and functioning of money markets. On July 28, 2020, the Federal Reserve announced that it was extending the MMLF through December 31, 2020. Under the MMLF, the FRBB makes nonrecourse advances to participating financial institutions to purchase certain types of assets from eligible money market mutual fund clients. These assets, which are reflected in other assets on the Firm’s Consolidated balance sheets, are pledged to the FRBB as collateral. On March 23, 2020, the federal banking agencies issued an interim final rule to neutralize the effects of purchasing assets through the program on risk-based and leverage-based capital ratios. As of March 31,June 30, 2020, the Firm excluded assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF in the amount of $12.0$3.8 billion from its RWA and $1.2$7.8 billion from adjusted average assets and total leverage exposure.
Supplementary leverage ratio temporary revision.On April 1, 2020, the Federal Reserve issued an interim final rule that requires, on a temporary basis, the calculation of total leverage exposure for purposes of calculating the SLR for bank holding companies, to exclude the on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks. These exclusions became effective April 1, 2020, and will remain in effect through March 31, 2021.
On June 1, 2020, the Federal Reserve, OCC and FDIC issued an interim final rule that provides IDI subsidiaries with an option to apply this temporary exclusion subject to certain

restrictions. As of June 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion.
Paycheck Protection Program. On April 13, 2020, the federal banking agencies issued an interim final rule to neutralize the regulatory capital effects of participating in the PPP on risk-based capital ratios by applying a zero percent risk weight to loans originated under the program. As of June 30, 2020, the Firm had approximately $28 billion of loans under the program.
The interim rule also provides that if the PPP loan is pledged as collateral for a non-recourse loan under theFederal Reserve’s Paycheck Protection Program Lending (“PPPL”) Facility, the PPP loans can be excluded from leverage-based capital ratios. As of June 30, 2020, the Firm had not participated in the PPPL Facility.
Refer to Regulatory Developments Relating to the COVID-19 pandemicPandemic on pages 10-1111-12 for additional information on
regulatory actions and significant financing programs that the U.S. government and regulators have introduced to address the effects of the COVID-19 pandemic.
Stress Capital Buffer. On March 4, 2020, the Federal Reserve issued the final rule introducing a stress capital buffer (“SCB”)the SCB framework for the Basel III Standardized approach that is designed to more closely integrate the results of the quantitative assessment in the annual CCAR with the ongoing minimum capital requirements for BHCs under the U.S. Basel III rules. The final rule replaces the static 2.5% CET1 capital conservation buffer in the Standardized approach with a dynamic institution-specific SCB. The final rule does not apply to the Advanced approach capital requirements. The SCB requirement for BHCs will be effective on October 1 of each year and is expected to remain in effect until September 30 of the following year. The Firm anticipates that the Federal Reserve will disclose the Firm’s SCB requirement and summary information regarding the Firm’s stress test results by June 30, 2020. Starting on October 1, 2020, the SCB will take effect based on the 2020 CCAR submission and will be integrated into the Firm’s ongoing minimum capital requirements.
The following tables present the Firm’s risk-based and leverage-based capital measuresmetrics under both the Basel III Standardized and Advanced Approaches. Refer to Capital Risk Management on pages 85–92 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of these capital metrics.
March 31, 2020(b)(c)
 December 31, 2019  
June 30, 2020(c)(d)
 December 31, 2019  
(in millions, except ratios)StandardizedAdvanced StandardizedAdvanced 
Minimum capital ratios(d)
StandardizedAdvanced StandardizedAdvanced 
Minimum capital ratios(e)
Risk-based capital metrics:          
CET1 capital$183,591
$183,591
 $187,753
$187,753
  $190,867
$190,867
 $187,753
$187,753
  
Tier 1 capital213,406
213,406
 214,432
214,432
  220,674
220,674
 214,432
214,432
  
Total capital247,541
234,434
 242,589
232,112
  256,667
244,112
 242,589
232,112
  
Risk-weighted assets1,598,828
1,489,134
 1,515,869
1,397,878
  1,541,365
1,450,587
 1,515,869
1,397,878
  
CET1 capital ratio11.5%12.3% 12.4%13.4% 10.5%12.4%13.2% 12.4%13.4% 10.5%
Tier 1 capital ratio13.3
14.3
 14.1
15.3
 12.0
14.3
15.2
 14.1
15.3
 12.0
Total capital ratio15.5
15.7
 16.0
16.6
 14.0
16.7
16.8
 16.0
16.6
 14.0
Leverage-based capital metrics:          
Adjusted average assets(a)
$2,842,244
$2,842,244
 $2,730,239
$2,730,239
  $3,176,729
$3,176,729
 $2,730,239
$2,730,239
  
Tier 1 leverage ratio7.5%7.5% 7.9%7.9% 4.0%6.9%6.9% 7.9%7.9% 4.0%
Total leverage exposure(b)NA
$3,535,822
 NA
$3,423,431
  NA
$3,228,424
 NA
$3,423,431
  
SLR(b)NA
6.0% NA
6.3% 5.0%NA
6.8% NA
6.3% 5.0%
(a)Adjusted average assets, for purposes of calculating the leverage ratios, 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)As of March 31,June 30, 2020, total leverage exposure for purposes of calculating the SLR excludes U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the interim final rule issued by the Federal Reserve on April 1, 2020.
(c)As of June 30, 2020, the capital measuresmetrics reflect the CECL capital transition provisions.
(c)(d)As of March 31,June 30, 2020, the capital measuresmetrics reflect the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF. Additionally, loans originated under the PPP receive a zero percent risk weight.
(d)(e)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 22 for additional information.

Capital components
The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of March 31,June 30, 2020 and December 31, 2019.
(in millions)March 31, 2020
December 31, 2019
June 30, 2020
December 31, 2019
Total stockholders’ equity$261,262
$261,330
$264,466
$261,330
Less: Preferred stock30,063
26,993
30,063
26,993
Common stockholders’ equity231,199
234,337
234,403
234,337
Add:  
Certain deferred tax liabilities(a)
2,389
2,381
2,397
2,381
Less:  
Goodwill47,800
47,823
47,811
47,823
Other intangible assets800
819
778
819
Other CET1 capital adjustments(b)
1,397
323
(2,656)323
Standardized/Advanced CET1 capital183,591
187,753
190,867
187,753
Preferred stock30,063
26,993
30,063
26,993
Less: Other Tier 1 adjustments248
314
256
314
Standardized/Advanced Tier 1 capital$213,406
$214,432
$220,674
$214,432
Long-term debt and other instruments qualifying as Tier 2 capital$15,264
$13,733
$17,894
$13,733
Qualifying allowance for credit losses(c)
18,748
14,314
18,006
14,314
Other123
110
93
110
Standardized Tier 2 capital$34,135
$28,157
$35,993
$28,157
Standardized Total capital$247,541
$242,589
$256,667
$242,589
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)
(13,107)(10,477)(12,555)(10,477)
Advanced Tier 2 capital$21,028
$17,680
$23,438
$17,680
Advanced Total capital$234,434
$232,112
$244,112
$232,112
(a)
Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating CET1 capital.
(b)
As of March 31,June 30, 2020, the impact of the CECL capital transition provision was an increase in CET1 capital of $4.3$6.5 billion.
(c)Represents the allowance for credit losses eligible for inclusion in Tier 2 capital up to 1.25% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.
(d)Represents an adjustment to qualifying allowance for credit losses for the excess of eligible credit reserves over expected credit losses up to 0.6% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.
 
Capital rollforward
The following table presents the changes in Basel III CET1 capital, Tier 1 capital and Tier 2 capital for the threesix months ended March 31,June 30, 2020.
Three months ended March 31,
(in millions)		2020
Six months ended June 30,
(in millions)		2020
Standardized/Advanced CET1 capital at December 31, 2019$187,753
$187,753
Net income applicable to common equity2,444
6,730
Dividends declared on common stock(2,779)(5,559)
Net purchase of treasury stock(5,337)(5,288)
Changes in additional paid-in capital(665)(397)
Changes related to AOCI5,849
7,220
Adjustment related to AOCI(a)
(4,939)(3,415)
Changes related to other CET1 capital adjustments(b)
1,265
3,823
Change in Standardized/Advanced CET1 capital(4,162)3,114
Standardized/Advanced CET1 capital at March 31, 2020$183,591
Standardized/Advanced CET1 capital at June 30, 2020$190,867
  
Standardized/Advanced Tier 1 capital at December 31, 2019$214,432
$214,432
Change in CET1 capital(b)
(4,162)3,114
Net issuance of noncumulative perpetual preferred stock3,070
3,070
Other66
58
Change in Standardized/Advanced Tier 1 capital(1,026)6,242
Standardized/Advanced Tier 1 capital at March 31, 2020$213,406
Standardized/Advanced Tier 1 capital at June 30, 2020$220,674
  
Standardized Tier 2 capital at December 31, 2019$28,157
$28,157
Change in long-term debt and other instruments qualifying as Tier 21,531
4,162
Change in qualifying allowance for credit losses(b)
4,434
3,692
Other13
(18)
Change in Standardized Tier 2 capital5,978
7,836
Standardized Tier 2 capital at March 31, 2020$34,135
Standardized Total capital at March 31, 2020$247,541
Standardized Tier 2 capital at June 30, 2020$35,993
Standardized Total capital at June 30, 2020$256,667
  
Advanced Tier 2 capital at December 31, 2019$17,680
$17,680
Change in long-term debt and other instruments qualifying as Tier 21,531
4,162
Change in qualifying allowance for credit losses(b)
1,804
1,614
Other13
(18)
Change in Advanced Tier 2 capital3,348
5,758
Advanced Tier 2 capital at March 31, 2020$21,028
Advanced Total capital at March 31, 2020$234,434
Advanced Tier 2 capital at June 30, 2020$23,438
Advanced Total capital at June 30, 2020$244,112
(a)Includes cash flow hedges and DVA related to structured notes recorded in AOCI.
(b)Includes the impact of the CECL capital transition provisions.

RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the threesix months ended March 31,June 30, 2020. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.
Standardized Advanced Standardized Advanced 
Three months ended March 31, 2020
(in millions)		Credit risk RWAMarket risk RWATotal RWA Credit risk RWAMarket risk RWA
Operational risk
RWA
Total RWA
Six months ended June 30, 2020
(in millions)		Credit risk RWAMarket risk RWATotal RWA Credit risk RWAMarket risk RWA
Operational risk
RWA
Total RWA
December 31, 2019$1,440,220
$75,649
$1,515,869
 $932,948
$75,652
$389,278
$1,397,878
$1,440,220
$75,649
$1,515,869
 $932,948
$75,652
$389,278
$1,397,878
Model & data changes(a)
1,800
(8,200)(6,400) 1,600
(8,200)—
(6,600)300
(15,200)(14,900) (6,300)(15,200)—
(21,500)
Portfolio runoff(b)
(1,300)—
(1,300) (1,300)—
—
(1,300)(2,500)—
(2,500) (2,200)—
—
(2,200)
Movement in portfolio levels(c)
58,238
32,421
90,659
 65,535
32,424
1,197
99,156
(5,799)48,695
42,896
 31,270
48,872
(3,733)76,409
Changes in RWA58,738
24,221
82,959
 65,835
24,224
1,197
91,256
(7,999)33,495
25,496
 22,770
33,672
(3,733)52,709
March 31, 2020$1,498,958
$99,870
$1,598,828
 $998,783
$99,876
$390,475
$1,489,134
June 30, 2020$1,432,221
$109,144
$1,541,365
 $955,718
$109,324
$385,545
$1,450,587
(a)
Model & data changes refer to material movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance (exclusive of rule changes).
(b)Portfolio runoff for credit risk RWA primarily reflects reduced risk from position rolloffs in legacy portfolios in Home Lending.
(c)Movement in portfolio levels (inclusive of rule changes) refers to: changes in book size, composition, credit quality, and market movements for credit risk RWA; changes in position and market movements for market risk RWA; updates to cumulative losses for operational risk RWA; and deductions to credit risk RWA for excess eligible credit reserves not eligible for inclusion in Tier 2 capital.
Supplementary leverage ratio
Refer to Supplementary Leverage Ratio on pages 87-88 of JPMorgan Chase’s 2019 Form 10-K for additional information.
The following table presents the components of the Firm’s SLR.
(in millions, except ratio)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Tier 1 capital$213,406
$214,432
$220,674
$214,432
Total average assets2,890,232
2,777,270
3,229,268
2,777,270
Less: Regulatory capital adjustments(a)
47,988
47,031
52,539
47,031
Total adjusted average assets(b)2,842,244
2,730,239
3,176,729
2,730,239
Add: Off-balance sheet exposures(b)(c)
693,578
693,192
670,606
693,192
Less: Exclusion for U.S Treasuries and Federal Reserve Bank deposits618,911
—
Total leverage exposure$3,535,822
$3,423,431
$3,228,424
$3,423,431
SLR6.0%6.3%6.8%6.3%
(a)
For purposes of calculating the SLR, 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. As of March 31,June 30, 2020, includes adjustments for the CECL capital transition provisions and the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.
(b)Adjusted average assets used for the calculation of Tier 1 leverage ratio.
(c)Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the reporting quarter.
Refer to Note 22 for JPMorgan Chase Bank, N.A.’s SLR ratios.
Line of business equity
Each business segment is allocated capital by taking into consideration a variety of factors including capital levels of similarly rated peers and applicable regulatory capital requirements. Refer to line of business equity on page 90 of JPMorgan Chase’s 2019 Form 10-K for additional information on capital allocation.
 
The following table presents the capital allocated to each business segment:

(in billions)
March 31,
2020
 December 31,
2019
June 30,
2020
 December 31,
2019
Consumer & Community Banking$52.0
 $52.0
$52.0
 $52.0
Corporate & Investment Bank80.0
 80.0
80.0
 80.0
Commercial Banking22.0
 22.0
22.0
 22.0
Asset & Wealth Management10.5
 10.5
10.5
 10.5
Corporate66.7
(a) 
69.8
69.9
 69.8
Total common stockholders’ equity$231.2
 $234.3
$234.4
 $234.3
(a)Includes the $2.7 billion (after-tax) impact to retained earnings upon the adoption of CECL on January 1, 2020.
Planning and stress testing
Comprehensive Capital Analysis and Review (“CCAR”)
On April 6,June 29, 2020, the Firm submitted its 2020 Capital Plan toannounced that it had completed the Federal Reserve under the Federal Reserve’s 2020 CCAR stress test process. The Firm anticipates thatFirm’s indicative SCB requirement is 3.3% and the Federal Reserve will discloseprovide the Firm with its final SCB requirement by August 31, 2020. The SCB requirement will become effective on October 1, 2020 and will remain in effect until September 30, 2021. The SCB will be integrated into the Firm’s SCB requirementongoing Standardized risk-based capital requirements, increasing the minimum CET1 capital ratio to 11.3% (up from 10.5%).
The Federal Reserve has determined that changes in financial markets or the macroeconomic outlook due to the COVID-19 pandemic could have a material effect on a firm’s risk profile and summary information regardingfinancial condition and therefore is requiring all large bank holding companies, including the Firm’s stress test results by June 30, 2020.Firm, to update and resubmit their capital plans later this year.
Refer to Stress Capital Buffer regulatory developmentsKey Regulatory Developments on page 40pages 49-50 of this Form 10-Q and capital planning and stress testing on pages 85-86 of JPMorgan Chase’s 2019 Form 10-K for additional information.

Capital actions
Preferred stock
Preferred stock dividends declared were $421$401 million and $822 million for the three and six months ended March 31,June 30, 2020.
During the three months ended March 31,June 30, 2020, the Firm redeemed and issued several series of non-cumulativedid not issue or redeem any preferred stock. Refer to Note 18 of this Form 10-Q and Note 21 of JPMorgan Chase’s 2019 Form 10-K for additional information on the Firm’s preferred stock, including issuancesthe issuance and redemptions.redemption of preferred stock during the three months ended March 31, 2020.

Common stock dividends
The Firm’s quarterly common stock dividend is currently $0.90 per share. The Firm’s dividends areFirm intends to maintain the quarterly common stock dividend for the third quarter of 2020 subject to the approval of the Board of Directors’ approval on a quarterly basis.Directors.
Common equity
The Firm’s Board of Directors has authorized the repurchase of up to $29.4 billion of gross common equity between July 1, 2019 and June 30, 2020 as part of the Firm’s annual capital plan.
On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended through the second quarter of 2020 repurchases of its common equity. The decisionIn June 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to suspend thesediscontinue net share repurchases, is consistent withat least through the Firm’s objective to use its capital and liquidity to provide support to individuals, small businesses, andend of the broader economy through lending and other services.third quarter of 2020.
The following table sets forth the Firm’s repurchases of common equity for the three and six months ended March 31,June 30, 2020 and 2019.

Three months ended
March 31,		Three months ended
June 30,
Six months ended
June 30,
(in millions)2020
2019
2020
2019

2020
2019
Total number of shares of common stock repurchased50.0
49.5
—
47.5

50.0
97.0
Aggregate purchase price of common stock repurchases$6,397
$5,091
$—
$5,210

$6,397
$10,301
Refer to Part II, Item 2: Unregistered Sales of Equity Securities and Use of Proceeds and Part II, Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities on pages 181-182page 201 of this Form 10-Q and page 30 of JPMorgan Chase’s 2019 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.

 
Other capital requirements
Total Loss-Absorbing Capacity (“TLAC”)
The Federal Reserve’s TLAC rule requires the U.S. global systemically important bank (“GSIB”) top-tier holding companies, including the Firm, to maintain minimum levels of external TLAC and eligible long-term debt (“eligible LTD”).
Refer to other capital requirements on page 91 of JPMorgan Chase’s 2019 Form 10-K for additional information on TLAC.
The following table presents the TLAC and external long-term debt minimum requirements including applicable regulatory buffers, as of March 31,June 30, 2020 and December 31, 2019.
 Minimum Requirements
TLAC to RWA23.0%
TLAC to leverage exposure9.5
External long-term debt to RWA9.5
External long-term debt to leverage4.5
The following table presents the eligible external TLAC and eligible LTD amounts, as well as a representation of the amounts as a percentage of the Firm’s total RWA and total leverage exposure applying the impact of the CECL capital transition provisions as of March 31,June 30, 2020.
March 31, 2020December 31, 2019June 30, 2020December 31, 2019
(in billions, except ratio)Eligible external TLACEligible LTDEligible external TLACEligible LTDEligible external TLACEligible LTDEligible external TLACEligible LTD
Total eligible TLAC & LTD$387.4
$165.0
$386.4
$161.8
$407.1
$179.6
$386.4
$161.8
% of RWA24.2%10.3%25.5%10.7%26.4%11.7%25.5%10.7%
Surplus/(shortfall)$19.6
$13.1
$37.7
$17.8
$52.5
$33.2
$37.7
$17.8
  
% of total leverage exposure11.0%4.7%11.3%4.7%12.6%5.6%11.3%4.7%
Surplus/(shortfall)$51.5
$5.9
$61.2
$7.8
$100.4
$34.3
$61.2
$7.8
Refer to Part I, Item 1A: Risk Factors on pages 6–28 of JPMorgan Chase’s 2019 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.

Broker-dealer regulatory capital
J.P. Morgan Securities
JPMorgan Chase’s principal U.S. broker-dealer subsidiary is J.P. Morgan Securities. J.P. Morgan Securities is subject to Rule 15c3-1 under the Securities Exchange Act of 1934 (the “Net Capital Rule”). J.P. Morgan Securities is also registered as a futures commission merchant and subject to the Rules of the Commodity Futures Trading Commission (“CFTC”).
Refer to Capital risk management on pages 85–92 of JPMorgan Chase’s 2019 Form 10-K for a discussion on J.P. Morgan Securities’ capital requirements.
The following table presents J.P. Morgan Securities’ net capital:
March 31, 2020 
June 30, 2020 
(in millions)
Actual(a)

Minimum
Actual(a)

Minimum
Net Capital$17,288
$5,945
$27,714
$5,462
(a)Net capital reflects the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.

 

J.P. Morgan Securities plc
J.P. Morgan Securities plc is a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. and has authority to engage in banking, investment banking and broker-dealer activities. J.P. Morgan Securities plc is jointly regulated by the U.K. Prudential Regulation Authority (“PRA”) and the Financial Conduct Authority (“FCA”).
Refer to Capital risk management on pages 85–92 of JPMorgan Chase’s 2019 Form 10-K for a further discussion on J.P. Morgan Securities plc.
The Bank of England requires, on a transitional basis, that U.K. banks, including U.K. regulated subsidiaries of overseas groups, maintain a minimum requirement for own funds and eligible liabilities (“MREL”). As of March 31,June 30, 2020, J.P. Morgan Securities plc was compliant with the requirements of the MREL rule. Refer to Supervision and Regulation on pages 1–6 of JPMorgan Chase’s 2019 Form 10-K for additional information on MREL.
The following table presents J.P. Morgan Securities plc’s capital metrics:
March 31, 2020  
June 30, 2020  
(in millions, except ratios)Estimated
Minimum ratios
Estimated
Minimum ratios
Total capital$53,654
 $55,188
 
CET1 ratio16.6%4.5%17.6%4.5%
Total capital ratio21.3%8.0%22.5%8.0%




LIQUIDITY RISK MANAGEMENT
Liquidity risk is the risk that the Firm will be unable to meet its contractual and contingent financial obligations as they arise or that it does not have the appropriate amount, composition and tenor of funding and liquidity to support its assets and liabilities. Refer to pages 93–98 of JPMorgan Chase’s 2019 Form 10-K and the Firm’s U.S. LCR Disclosure reports, which are available on the Firm’s website for a further discussion of the Firm’s Liquidity Risk Management.
LCR and HQLA
The LCR rule requires that the Firm maintain an amount of unencumbered High Quality Liquid Assets (“HQLA”) that is sufficient to meet its estimated total net cash outflows over a prospective 30 calendar-day period of significant stress. Under the LCR rule, the amount of HQLA held by JPMorgan Chase Bank, N.A. that is in excess of its stand-alone 100% minimum LCR requirement, and that is not transferable to non-bank affiliates, must be excluded from the Firm’s reported HQLA. The LCR is required to be a minimum of 100%. For additional information on HQLA and net cash outflows, referRefer to page 94 of JPMorgan Chase’s 2019 Form 10-K and the Firm’s U.S. LCR Disclosure reports.reports for additional information on HQLA and net cash outflows.
The following table summarizes the Firm’s average LCR for the three months ended June 30, 2020, March 31, 2020 December 31, 2019 and March 31,June 30, 2019 based on the Firm’s interpretation of the finalized LCR framework.
Three months endedThree months ended
Average amount
(in millions)
March 31,
2020		December 31, 2019March 31,
2019		June 30,
2020		March 31, 2020June 30,
2019
HQLA  
Eligible cash(a)
$205,027
$203,296
$216,787
$426,053
$205,027
$219,838
Eligible securities(b)(c)
343,124
341,990
303,249
225,135
343,124
317,439
Total HQLA(d)
$548,151
$545,286
$520,036
$651,188
$548,151
$537,277
Net cash outflows$482,372
$469,402
$467,329
$556,395
$482,372
$477,442
LCR114%116%111%117%114%113%
Net excess HQLA(d)
$65,779
$75,884
$52,707
$94,793
$65,779
$59,835
(a)
Represents cash on deposit at central banks, primarily the Federal Reserve Banks.
(b)Predominantly U.S. Treasuries, U.S. GSE and government agency MBS, and sovereign bonds net of applicable haircuts under the LCR rule.
(c)HQLA eligible securities may be reported in securities borrowed or purchased under resale agreements, trading assets, or investment securities on the Firm’s Consolidated balance sheets.
(d)Excludes average excess HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
The Firm’s average LCR decreasedincreased during the three months ended March 31,June 30, 2020, compared with the three-month period ended DecemberMarch 31, 2019, primarily2020, largely due to an increase in CIB market activities and long-term debt maturities.issuances and a benefit from the return of funding to the Parent Company from JPMorgan Chase Bank, N.A. as a result of the bank’s strong liquidity position. Liquidity in JPMorgan Chase Bank, N.A. increased during the quarter primarily due to deposits net of loan growth. Deposits increased in Marchthe second quarter as a result of market conditions driven by the COVID-19 pandemic. Additionally, effective March 26, 2020, the Federal Reserve, in response
to the COVID-19 pandemic, reduced reserve requirements to zero percent, which increased JPMorgan
Chase Bank, N.A.’s average HQLA by approximately $25 billion.billion in the second quarter. However, these increases in excess liquidity in JPMorgan Chase Bank, N.A. are excluded from the Firm’s reported LCR under the LCR rule. Refer to Note 21 for additional information.
The Firm's average LCR increased during the three months ended March 31,June 30, 2020, compared with the prior year period, primarily fromdue to an increase in the average amount of reportable HQLA as a result of increased cash from unsecured long-term debt issuances.
The Firm’s average LCR fluctuates from period to period, due to changes in its HQLA and estimated net cash outflows as a result of ongoing business activity.
Other liquidity sources
In addition to the assets reported in the Firm’s HQLA above, the Firm had unencumbered marketable securities, such as equity securities and fixed income debt securities, that the Firm believes would be available to raise liquidity. This includes securities included as part of the excess HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates, as described above. The fair value of these securities was approximately $432$606 billion and $315 billion as of March 31,June 30, 2020 and December 31, 2019, respectively, however,although the amount of liquidity that could be raised would be dependent on prevailing market conditions. The fair value increased compared to December 31, 2019, due to an increase in excess HQLA at JPMorgan Chase Bank, N.A. and an increase in CIB trading assets during the quarter.which was primarily a result of increased deposits as noted above.
The Firm also had available borrowing capacity at FHLBs and the discount window at the Federal Reserve Bank as a result of collateral pledged by the Firm to such banks of approximately $317$281 billion and $322 billion as of March 31,June 30, 2020 and December 31, 2019, respectively. This borrowing capacity excludes the benefit of cash and securities reported in the Firm’s HQLA or other unencumbered securities that are currently pledged at the Federal Reserve Bank discount window and other central banks. Available borrowing capacity decreased from December 31, 2019 primarily due to lower credit card receivable balances and lower collateral values due to a decline in their fair value, both driven by the COVID-19 pandemic. Although available, the Firm does not view this borrowing capacity at the Federal Reserve Bank discount window and the other central banks as a primary source of liquidity.

Funding
Sources of funds
Management believes that the Firm’s unsecured and secured funding capacity is sufficient to meet its on- and off-balance sheet obligations.
The Firm funds its global balance sheet through diverse sources of funding including stable deposits, secured and unsecured funding in the capital markets and stockholders’ equity. Deposits are the primary funding source for JPMorgan Chase Bank, N.A. Additionally, JPMorgan Chase Bank, N.A. may also access funding through short- or long-term secured borrowings, through the issuance of
 
unsecured long-term debt, or from borrowings from the Parent companyCompany or the Intermediate Holding Company (“IHC”). The Firm’s non-bank subsidiaries are primarily funded from long-term unsecured borrowings and short-term secured borrowings, primarily securities loaned or sold under repurchase agreements. Excess funding is invested by Treasury and CIO in the Firm’s investment securities portfolio or deployed in cash or other short-term liquid investments based on their interest rate and liquidity risk characteristics.
Deposits
The table below summarizes, by LOB,the LOBs and Corporate, the deposit balances as of March 31,June 30, 2020, and December 31, 2019, and the average deposit balances for the three and six months ended March 31,June 30, 2020 and 2019, respectively.
March 31, 2020
December 31, 2019
 Three months ended March 31,June 30, 2020
December 31, 2019
 Three months ended June 30, Six months ended June 30,
Deposits Average Average Average
(in millions) 2020
2019
 2020
2019
 2020
2019
Consumer & Community Banking$775,068
$718,354
(a) 
 $733,648
$681,013
$876,991
$718,354
(a) 
 $831,996
$690,892
 $782,822
$685,980
Corporate & Investment Bank667,622
511,905
(a) 
 562,226
492,354
643,133
511,905
(a) 
 652,464
512,098
 607,345
502,280
Commercial Banking224,198
184,115
 188,683
167,177
240,440
184,115
 236,753
168,194
 212,718
167,688
Asset & Wealth Management168,561
147,804
 150,631
138,235
169,537
147,804
 168,573
140,317
 159,602
139,282
Corporate560
253
 998
963
928
253
 731
793
 864
878
Total Firm$1,836,009
$1,562,431
 $1,636,186
$1,479,742
$1,931,029
$1,562,431
 $1,890,517
$1,512,294
 $1,763,351
$1,496,108
(a)In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior- period amounts were revised to conform with the current presentation.
Deposits provide a stable source of funding and reduce the Firm’s reliance on the wholesale funding markets. A significant portion of the Firm’s deposits are consumer deposits and wholesale operating deposits, which are both considered to be stable sources of liquidity. Wholesale operating deposits are considered to be stable sources of liquidity because they are generated from customers that maintain operating service relationships with the Firm.
The table below shows the loan and deposit balances, the loans-to-deposits ratios, and deposits as a percentage of total liabilities, as of March 31,June 30, 2020 and December 31, 2019.
(in billions except ratios)March 31, 2020
 December 31, 2019
Deposits$1,836.0
 $1,562.4
Deposits as a % of total liabilities64% 64%
Loans$1,015.4
 $959.8
Loans-to-deposits ratio55% 61%
(in billions except ratios)June 30, 2020
 December 31, 2019
Deposits$1,931.0
 $1,562.4
Deposits as a % of total liabilities65% 64%
Loans$978.5
 $959.8
Loans-to-deposits ratio51% 61%
The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances, over time. However, during periods of market disruption those trends could be affected.
Average deposits across the Firm increased for the three and six months ended March 31, 2020. CIB deposits increased largelyJune 30, 2020, reflecting significant inflows across the LOBs primarily driven by the COVID-19 pandemic, as customers and clients looked to remain liquid as a resultof marketconditions. In the wholesale businesses, the inflows principally occurred in March, and in general were maintained through the second quarter. In CCB, the increase was driven by the continued growth in client activity. CB deposits increased predominantly driven by growthboth existing and new accounts, as well as COVID-19 related factors, such as the government stimulus for consumers and small businesses, lower consumer spending and delays in interest-bearing deposits. AWM deposits increased largely driven by growth in time deposits. Average balances for CIB, CB and AWM were also impacted by net inflows in the month of March as a result of market conditions driven by COVID-19 pandemic concerns. CCB deposits increased driven by continued growth in new accounts.tax payments.
Refer to the discussion of the Firm’s Business Segment Results and the Consolidated Balance Sheets Analysis on pages 21–3724-47 and pages 15-16,18-19, respectively, for further information on deposit and liability balance trends.

The following table summarizes short-term and long-term funding, excluding deposits, as of March 31,June 30, 2020, and December 31, 2019, and average balances for the three and six months ended March 31,June 30, 2020 and 2019, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 15-1618-19 and Note 11 for additional information.
March 31, 2020December 31, 2019 Three months ended March 31,June 30, 2020December 31, 2019 Three months ended June 30, Six months ended June 30,
Sources of funds (excluding deposits)AverageAverage Average
(in millions)2020
2019
2020
2019
 2020
2019
Commercial paper$13,770
$14,754
 $13,974
$28,731
$13,988
$14,754
 $14,032
$26,030
 $14,003
$27,373
Other borrowed funds8,774
7,544
 9,093
10,247
8,447
7,544
 8,613
11,818
 8,853
11,037
Total short-term unsecured funding$22,544
$22,298
 $23,067
$38,978
$22,435
$22,298
 $22,645
$37,848
 $22,856
$38,410
Securities sold under agreements to repurchase(a)
$223,913
$175,709
 $234,394
$197,454
$229,320
$175,709
 $268,281
$218,057
 $251,338
$207,812
Securities loaned(a)
6,677
5,983
 7,349
10,781
4,246
5,983
 5,950
8,090
 6,649
9,428
Other borrowed funds(b)
29,365
18,622
 19,761
35,583
25,579
18,622
 28,206
27,840
 23,983
31,690
Obligations of Firm-administered multi-seller conduits(c)
$12,174
$9,223
 $9,898
$7,386
$12,666
$9,223
 $12,428
$13,356
 $11,163
$10,387
Total short-term secured funding$272,129
$209,537
 $271,402
$251,204
$271,811
$209,537
 $314,865
$267,343
 $293,133
$259,317
        
Senior notes$171,939
$166,185
 $165,741
$162,952
$180,532
$166,185
 $177,972
$167,376
 $171,857
$165,176
Trust preferred securities—
—
 —
—
Subordinated debt19,267
17,591
 18,155
16,722
22,320
17,591
 20,934
17,056
 19,545
16,890
Structured notes(d)
67,689
74,724
 72,848
57,395
73,833
74,724
 71,561
62,284
 72,205
59,853
Total long-term unsecured funding$258,895
$258,500
 $256,744
$237,069
$276,685
$258,500
 $270,467
$246,716
 $263,607
$241,919
        
Credit card securitization(c)
$6,562
$6,461
 $6,171
$13,409
$5,789
$6,461
 $5,907
$11,671
 $6,039
$12,535
FHLB advances36,131
28,635
 27,128
43,965
36,129
28,635
 36,130
34,541
 31,629
39,227
Other long-term secured funding(e)
4,318
4,363
 4,408
4,891
4,189
4,363
 4,233
4,680
 4,320
4,785
Total long-term secured funding$47,011
$39,459
 $37,707
$62,265
$46,107
$39,459
 $46,270
$50,892
 $41,988
$56,547
        
Preferred stock(f)
$30,063
$26,993
 $29,406
$27,126
$30,063
$26,993
 $30,063
$26,993
 $29,734
$27,059
Common stockholders’ equity(f)
$231,199
$234,337
 $234,530
$230,051
$234,403
$234,337
 $234,408
$233,026
 $234,469
$231,547
(a)Primarily consists of short-term securities loaned or sold under agreements to repurchase.
(b)AtEffective March 31, 2020, includes nonrecourse advances provided under the MMLF.
(c)Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.
(d)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
(e)Includes long-term structured notes which are secured.
(f)Refer to Capital Risk Management on pages 39–4449-54 and Consolidated statements of changes in stockholders’ equity on page 8396 of this Form 10-Q, and Note 21 and Note 22 of JPMorgan Chase’s 2019 Form 10-K for additional information on preferred stock and common stockholders’ equity.
Short-term funding
The Firm’s sources of short-term secured funding primarily consist of securities loaned or sold under agreements to repurchase. These instruments are secured predominantly by high-quality securities collateral, including government-issued debt and U.S. GSE and government agency MBS. Securities loaned or sold under agreements to repurchase increased at March 31,June 30, 2020, compared with December 31, 2019, fromreflecting in CIB, a net increase related to client-driven market-making activities, as a result of changes in market conditions in March and higher secured financing of trading assets-debt instruments when compared with lower levels at year-endassets, partially offset by a decline in CIB.the Firm's participation in the Federal Reserve's open market operations, and in Treasury and CIO, higher secured financing of AFS investment securities.
The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to customers’ investment and financing activities, the Firm’s demand for financing, the ongoing management of the mix of the Firm’s liabilities, including its secured and unsecured financing (for both the investment securities and market-making portfolios), and other market and portfolio factors.
As of March 31,June 30, 2020, the Firm has participated in several of the U.S.MMLF government facilities, including the MMLF.facility. The secured nonrecourse advances under the MMLF are included
in other borrowed funds. Refer to Capital Risk Management on pages 39-4449-54 for additional information on the MMLF.
In addition, the Firm is participating in the
The PDCF was established by the Federal Reserve on March 20, 2020, which allowsto allow primary dealers to support smooth market functioning by facilitating the availability of credit to businesses and households. Under the PDCF, the Federal Reserve Bank of New York (“FRBNY”) provides collateralized financing on a term basis to primary dealers. At March 31, 2020, theseThese financing transactions were reported as securities sold under agreements to repurchase. On July 28, 2020, the Federal Reserve announced that it was extending through December 31, 2020 the PDCF, which was previously scheduled to expire on or around September 30, 2020. The Firm participated in the PDCF will remain available to primary dealers for at least six months, or longer if conditions warrant.in the first quarter of 2020, and ceased its participation in May 2020 as the secured financing market normalized.
The Firm also continues to participate in the Federal Reserve’s open market operations.
The Firm’s sources of short-term unsecured funding primarily consist of issuance of wholesale commercial paper. The decrease in commercial paper at March 31,June 30, 2020, from December 31, 2019 and for the average three and six months ended June 30, 2020 compared to the prior year period, was due to lower net issuance primarily for short-term liquidity management.

Long-term funding and issuance
Long-term funding provides additional sources of stable funding and liquidity for the Firm. The Firm’s long-term funding plan is driven primarily by expected client activity, liquidity considerations, and regulatory requirements, including TLAC. Long-term funding objectives include maintaining diversification, maximizing market access and optimizing funding costs. The Firm evaluates various funding markets, tenors and currencies in creating its optimal long-term funding plan.
The significant majority of the Firm’s long-term unsecured funding is issued by the Parent Company to provide flexibility in support of both bank and non-bank subsidiary funding needs. The Parent Company advances substantially all net funding proceeds to its subsidiary, the IHC. The IHC does not issue debt to external counterparties. The following table summarizes long-term unsecured issuance and maturities or redemptions for the three and six months ended March 31,June 30, 2020 and 2019. Refer to Liquidity Risk Management on pages 93–98 and Note 20 of JPMorgan Chase’s 2019 Form 10-K for additional information on the IHC and long-term debt.
Long-term unsecured fundingLong-term unsecured funding Long-term unsecured funding       
Three months ended March 31,Three months ended June 30, Six months ended June 30, Three months ended June 30, Six months ended June 30,
2020
2019
2020
2019
2020
2019
 2020
2019
 2020
2019
 2020
2019
(Notional in millions)Parent CompanySubsidiariesParent Company Subsidiaries
Issuance        
Senior notes issued in the U.S. market$5,250
$4,250
$—
$1,750
$13,500
$4,000
 $18,750
$8,250
 $—
$—
 $—
$1,750
Senior notes issued in non-U.S. markets1,355
2,248
—
—
—
—
 1,355
2,248
 —
—
 —
—
Total senior notes6,605
6,498
—
1,750
13,500
4,000
 20,105
10,498
 —
—
 —
1,750
Subordinated debt3,000
—
 3,000
—
 —
—
 —
—
Structured notes(a)
2,782
1,185
9,252
6,116
2,526
631
 5,308
1,816
 3,862
9,016
 13,114
15,132
Total long-term unsecured funding – issuance$9,387
$7,683
$9,252
$7,866
$19,026
$4,631
 $28,413
$12,314
 $3,862
$9,016
 $13,114
$16,882
        
Maturities/redemptions        
Senior notes$5,466
$3,750
$4,065
$1,815
$2,618
$4,157
 $8,084
$7,907
 $3,572
$1
 $7,637
$1,816
Subordinated debt—
146
—
—
—
—
 —
146
 —
—
 —
—
Structured notes1,525
628
9,382
3,833
1,309
331
 2,834
959
 5,355
4,327
 14,737
8,160
Total long-term unsecured funding – maturities/redemptions$6,991
$4,524
$13,447
$5,648
$3,927
$4,488
 $10,918
$9,012
 $8,927
$4,328
 $22,374
$9,976
(a)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.

The Firm can also raise secured long-term funding through securitization of consumer credit card loans and FHLB advances. The following table summarizes the securitization issuance and FHLB advances and their respective maturities or redemptions for the three and six months ended March 31,June 30, 2020 and 2019, respectively.
Long-term secured funding   
 Three months ended March 31,
 Issuance Maturities/Redemptions
(in millions)20202019 20202019
Credit card securitization$1,000
$—
 $900
$—
FHLB advances15,000
—
 7,503
2,001
Other long-term secured funding(a)
234
35
 205
246
Total long-term secured funding$16,234
$35
 $8,608
$2,247
Long-term secured funding         
 Three months ended June 30, Six months ended June 30,
 Issuance Maturities/Redemptions Issuance Maturities/Redemptions
(in millions)20202019 20202019 2020
2019
 2020
2019
Credit card securitization$—
$—
 $774
$4,125
 $1,000
$—
 $1,674
$4,125
FHLB advances—
—
 2
12,804
 15,000
—
 7,505
14,805
Other long-term secured funding(a)
89
18
 229
207
 323
53
 434
453
Total long-term secured funding$89
$18
 $1,005
$17,136
 $16,323
$53
 $9,613
$19,383
(a)Includes long-term structured notes which are secured.
The Firm’s wholesale businesses also securitize loans for client-driven transactions; those client-driven loan securitizations are not considered to be a source of funding for the Firm and are not included in the table above. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for further description of the client-driven loan securitizations.

Credit ratings
The cost and availability of financing are influenced by credit ratings. Reductions in these ratings could have an adverse effect on the Firm’s access to liquidity sources, increase the cost of funds, trigger additional collateral or funding requirements and decrease the number of investors and counterparties willing to lend to the Firm. The nature and magnitude of the impact of ratings downgrades depends on numerous contractual and behavioral factors, which the Firm believes are incorporated in its liquidity risk and stress testing metrics. The Firm believes that it
maintains sufficient liquidity to withstand a potential decrease in funding capacity due to ratings downgrades.
Additionally, the Firm’s funding requirements for VIEs and other third-party commitments may be adversely affected by a decline in credit ratings. Refer to SPEs on page 18,21, and liquidity risk and credit-related contingent features in Note 5 for additional information on the impact of a credit ratings downgrade on the funding requirements for VIEs, and on derivatives and collateral agreements.

The credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries as of March 31,June 30, 2020 except as noted below, were as follows:
 JPMorgan Chase & Co. JPMorgan Chase Bank, N.A. 
J.P. Morgan Securities LLC
J.P. Morgan Securities plc
March 31,June 30, 2020Long-term issuerShort-term issuerOutlook Long-term issuerShort-term issuerOutlook Long-term issuerShort-term issuerOutlook
Moody’s Investors ServiceA2P-1Stable Aa2P-1Stable Aa3P-1Stable
Standard & Poor’sA-A-2Stable A+A-1Stable A+A-1Stable
Fitch Ratings(a)
AA-F1+Negative AAF1+Negative AAF1+Negative
(a) On April 18, 2020, Fitch affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries but revised the outlook on the credit ratings from stable to negative given expectations that credit fundamentals will deteriorate as a result of the COVID-19 pandemic.
Refer to page 98 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the factors that could affect credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries.


CREDIT AND INVESTMENT RISK MANAGEMENT
Credit and investment risk is the risk associated with the default or change in credit profile of a client, counterparty or customer; or loss of principal or a reduction in expected returns on investments, including consumer credit risk,
wholesale credit risk, and investment portfolio risk. Refer to pages 50–6560-78 for a further discussion of Credit Risk.
 
Refer to page 6679 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 100–118 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the Firm’s Credit and Investment Risk Management framework.

CREDIT PORTFOLIO
Credit risk is the risk associated with the default or change in credit profile of a client, counterparty or customer.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered PCD loans under CECL. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
The Firm has granted various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered TDRs as:
they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or the IA Statement guidance, or
the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs. The Firm considers expected losses of principal and accrued interest associated with all COVID-19 related loan modifications in its allowance for credit losses. Refer to Business Developments on pages 9-10 for more information on customer and client assistance granted. Refer to Notes 12 and 13 for further information on the Firm’s accounting
policies on loan modifications and the allowance for credit losses.
The effectiveness of the Firm’s actions in helping borrowers recover and in mitigating the Firm’s credit losses remains uncertain in light of the unpredictable nature and duration of the COVID-19 pandemic. Assistance provided in response to the COVID-19 pandemic could delay the recognition of delinquencies, nonaccrual status, and net charge-offs for those customers and clients who would have otherwise moved into past due or nonaccrual status. Refer to Consumer Credit Portfolio on pages 62-66 and Wholesale Credit Portfolio on pages 67-76 for information on loan modifications as of June 30, 2020.
In the following tables, reported loans include loans retained (i.e., held-for-investment); loans held-for-sale; and certain loans accounted for at fair value. The following tables do not include loans which the Firm accounts for at fair value and classifies as trading assets; refer to Notes 2 and 3 for further information regarding these loans. Refer to Notes 12, 23, and 5 for additional information on the Firm’s loans, lending-related commitments and derivative receivables, including the Firm’s accounting policies.
Refer to Note 10 for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 11 for information regarding the credit risk inherent in the securities financing portfolio. Refer to Consumer Credit Portfolio on pages 52-5562-66 and Note 12 for further discussions of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 56-6367-76 and Note 12 as well asfor further discussions of the wholesale credit environment and wholesale loans.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered PCD loans under CECL. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied in determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
On April 7, 2020, the federal banking agencies along with the National Credit Union Administration and the Consumer Financial Protection Bureau, in consultation with the state
financial regulators, issued an interagency statement revising a March 22, 2020 interagency statement on loan modifications and the reporting for financial institutions working with customers affected by the COVID-19 pandemic (the “IA Statement”). The IA Statement reconfirmed that supervised institutions will not be directed to automatically categorize all COVID-19 related loan modifications as troubled debt restructurings (“TDRs”), including short-term and other insignificant modifications such as payment delays, fee waivers and extensions of repayment terms, and modifications or other programs mandated by the federal or state governments. The IA Statement also provides that loans that were current prior to these modifications should generally not be reported as past due or nonaccrual. Additionally, the IA Statement outlines accounting and reporting considerations for eligible loan modifications for which a financial institution elects to apply the CARES Act and forgo TDR accounting.
The Firm’s initial response to many borrowers impacted by the COVID-19 pandemic included offering loan modifications, such as 90-day payment delays and waiving or refunding certain fees. These modifications are intended to mitigate adverse affects on borrowers due to the COVID-19 pandemic. Instances of these modifications will likely rise over the course of the second quarter of 2020. The effectiveness of the Firm’s actions in helping borrowers recover and mitigating credit losses remains uncertain in light of the unpredictable nature and duration of the COVID-19 pandemic. The impact of the Firm’s initial short-term payment delays and other insignificant modifications was not material to the performance of and credit-related information for the consumer and wholesale credit portfolios during the quarter ended March 31, 2020.


Total credit portfolioTotal credit portfolio   Total credit portfolio   
Credit exposure 
Nonperforming(d)(e)
Credit exposure 
Nonperforming(d)(e)
(in millions)Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
Loans retained$1,003,089
$945,601
 $5,834
$3,983
$965,448
$945,601
 $7,669
$3,983
Loans held-for-sale6,072
7,064
 48
7
7,147
7,064
 245
7
Loans at fair value6,214
7,104
 90
90
5,923
7,104
 130
90
Total loans–reported1,015,375
959,769
 5,972
4,080
978,518
959,769
 8,044
4,080
Derivative receivables81,648
49,766
 85
30
74,846
49,766
 108
30
Receivables from customers and other(a)
33,376
33,706
 —
—
22,403
33,706
 —
—
Total credit-related assets1,130,399
1,043,241
 6,057
4,110
1,075,767
1,043,241
 8,152
4,110
Assets acquired in loan satisfactions      
Real estate ownedNA
NA
 342
344
NA
NA
 284
344
OtherNA
NA
 22
43
NA
NA
 4
43
Total assets acquired in loan satisfactions
NA
NA
 364
387
NA
NA
 288
387
Lending-related commitments1,081,462
1,104,199
 619
474
1,124,677
1,104,199
 762
474
Total credit portfolio$2,211,861
$2,147,440
 $7,040
$4,971
$2,200,444
$2,147,440
 $9,202
$4,971
Credit derivatives used
in credit portfolio management activities(b)
$(20,773)$(18,030) $—
$—
$(16,542)$(18,030) $—
$—
Liquid securities and other cash collateral held against derivatives(c)
(26,178)(16,009) NA
NA
(21,501)(16,009) NA
NA
(in millions,
except ratios)
Three months ended March 31,Three months ended June 30, Six months ended
June 30,
2020
2019
2020
2019
 2020
2019
Net charge-offs$1,469
$1,361
$1,560
$1,403
 $3,029
$2,764
Average retained loans948,635
956,557
986,804
945,209
 967,719
950,852
Net charge-off rates0.62%0.58%0.64%0.60% 0.63%0.59%
(a)Receivables from customers and other primarily represents brokerage-related held-for-investment customer receivables.
(b)Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 6376 and Note 5 for additional information.
(c)Includes collateral related to derivative instruments where appropriate legal opinions have not been either sought or obtained with respect to master netting agreements.
(d)At March 31,June 30, 2020, and December 31, 2019, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $616$561 million and $961 million, respectively, and real estate owned (“REO”) insured by U.S. government agencies of $29$13 million and $41 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance issued by the Federal Financial Institutions Examination Council (“FFIEC”).
(e)At March 31,June 30, 2020, nonperforming loans included $970 million$1.3 billion of PCD loans on nonaccrual status. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
Paycheck Protection Program
The PPP, established by the CARES Act and implemented by the SBA, provides the Firm with delegated authority to process and originate PPP loans until August 8, 2020. When certain criteria are met, PPP loans are subject to forgiveness and the Firm will receive payment of the forgiveness amount from the SBA. The term for PPP loans issued before June 5, 2020 is two years (with an option to extend to five years) and five years for those originated on or after June 5, 2020. PPP loan terms provide borrowers with an automatic payment deferral of principal and interest. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. PPP processing fees are deferred and accreted into interest income over the contractual life of the loans.
At June 30, 2020, the Firm had approximately $28 billion of loans under the PPP, of which $20 billion and $8 billion are in Consumer and Wholesale, respectively. The impact on interest income related to PPP loans was not material for the three months ended June 30, 2020.

CONSUMER CREDIT PORTFOLIO
The Firm’s retained consumer portfolio consists primarily of residential real estate loans, credit card loans, scored auto and business banking loans, as well as associated lending-related commitments. The Firm’s focus is on serving primarily the prime segment of the consumer credit market. Refer to Note 12 for further information on consumer loans, as well as the Firm’s nonaccrual and charge-off accounting policies. Refer to Note 23 for further information on lending-related commitments.
Recent deteriorationContinued weakness in the macroeconomic environment driven by the impacts of the COVID-19 pandemic, resulted in an additional increase in the allowance for credit losses. As of March 31, 2020, the impacts of the macroeconomic environment have had only a limited impact to consumer credit performance. The continuation or worsening of the effects of the COVID-19 pandemic on the macroeconomic environment and the extent to which customer assistance and government stimulus efforts are effective could result in further impacts to credit quality metrics, including delinquencies, nonaccrual loans and charge-offs.
The following table presents consumer credit-related information with respect to the scored credit portfolios held in CCB, AWM and Corporate.
Consumer credit portfolioConsumer credit portfolio        Consumer credit portfolio               
    Three months ended March 31,      Three months ended June 30, Six months ended June 30,

(in millions, except ratios)		Credit exposure 
Nonaccrual loans(g)(h)
 Net charge-offs/(recoveries) 
Net charge-off/(recovery) rate(i)
 Credit exposure 
Nonaccrual loans(h)(i)(j)
 Net charge-offs/(recoveries) 
Net charge-off/(recovery) rate(k)
 Net charge-offs/(recoveries) 
Net charge-off/(recovery) rate(k)
Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
 2020
2019
 2020
2019
 Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
 2020
2019
 2020
 2019
 2020
2019
 2020
 2019
Consumer, excluding credit card                         
Residential real estate(a)
$242,349
$243,317
 $3,730
$2,780
 (120)(2) (0.20)—
 $235,381
$243,317
 $4,106
$2,780
 $(5)$(29) (0.01)% (0.04)% $(125)$(31) (0.10)% (0.02)%
Auto and other(c)(d)
51,430
51,682
 147
146
 114
109
 0.89
0.85
 71,624
51,682
 140
146
 88
97
 0.54
(d) 
0.75
 202
206
 0.70
(d) 
0.80
Total loans – retained293,779
294,999
 3,877
2,926
 (6)107
 (0.01)0.13
 307,005
294,999
 4,246
2,926
 83
68
 0.11
 0.09
 77
175
 0.05
 0.11
Loans held-for-sale1,848
3,002
 —
2
 NA
NA
 NA
NA
 1,912
3,002
 —
2
 NA
NA
 NA NA
 NA
NA
 NA NA
Total consumer, excluding credit card loans295,627
298,001
 3,877
2,928
 (6)107
 (0.01)0.13
 308,917
298,001
 4,246
2,928
 83
68
 0.11
 0.09
 77
175
 0.05
 0.11
Lending-related commitments(d)(e)
41,535
40,169
       45,348
40,169
              
Total consumer exposure, excluding credit card337,162
338,170
       354,265
338,170
              
Credit card                       
Loans retained(e)(f)
154,021
168,924
 —
—
 1,313
1,202
 3.25
3.23
 141,656
168,924
 —
—
 1,178
1,240
 3.33
 3.24
 2,491
2,442
 3.28
 3.23
Loans held-for-sale—
—
 —
—
 NA
NA
 NA
NA
 —
—
 —
—
 NA
NA
 NA NA
 NA
NA
 NA NA
Total credit card loans154,021
168,924
 —
—
 1,313
1,202
 3.25
3.23
 141,656
168,924
 —
—
 1,178
1,240
 3.33
 3.24
 2,491
2,442
 3.28
 3.23
Lending-related commitments(f)(g)
681,442
650,720
       673,836
650,720
              
Total credit card exposure(f)(g)
835,463
819,644
       815,492
819,644
              
Total consumer credit portfolio(f)(g)
$1,172,625
$1,157,814
 $3,877
$2,928
 $1,307
$1,309
 1.15 %1.10% $1,169,757
$1,157,814
 $4,246
$2,928
 $1,261
$1,308
 1.14 % 1.11 % $2,568
$2,617
 1.14 % 1.10 %
(a)Includes scored mortgage and home equity loans held in CCB and AWM, and scored mortgage loans held in Corporate.
(b)At March 31,June 30, 2020 and December 31, 2019, excluded operating lease assets of $23.1$22.2 billion and $22.8 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. Refer to Note 17 for further information.
(c)Includes scored auto and business banking loans and overdrafts.
(d)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
(e)Credit card, home equity and certain business banking lending-related commitments represent the total available lines of credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit would be used at the same time. For credit card commitments, and if certain conditions are met, home equity commitments and certain business banking commitments, the Firm can reduce or cancel these lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to Note 23 for further information.
(e)(f)Includes billed interest and fees.
(f)(g)Also includes commercial card lending-related commitments primarily in CB and CIB.
(g)(h)At March 31,June 30, 2020 and December 31, 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $616$561 million and $961 million, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status, as permitted by regulatory guidance issued by the FFIEC.
(h)(i)At March 31,June 30, 2020, nonaccrual loans included $970 million$1.3 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(i)(j)Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic.
(k)Average consumer loans held-for-sale were $2.5$1.9 billion and $1.2 billion for the three months ended March 31,June 30, 2020 and 2019, respectively, and were $2.2 billion and $1.2 billion for the six months ended June 30, 2020 and 2019, respectively. These amounts were excluded when calculating net charge-off/(recovery) rates.


Consumer assistance
In March 2020, the Firm began providing assistance to customers in response to the COVID-19 pandemic, predominantly in the form of payment deferrals.
Predominantly all accounts that requested payment assistance were less than 30 days past due at the time of enrollment. Although borrowers are not required to make payments while still under payment deferral, on approximately 50% of accounts with payment assistance offered, borrowers have made at least one payment between March 2020 and June 30, 2020. The Firm continues to monitor the credit risk associated with loans subject to deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments.
The following table presents information related to the $28 billion unpaid principal balance of retained loans still under payment deferral as of June 30, 2020.
As of June 30, 2020
(in millions, except ratios)
Loan balance(a)
Percent of loan class balance(b)
Type of modifications
Residential real estate$20,548
8.7%Rolling three month deferral up to one year; final work-out is determined at the end of the deferral period; Generally deferred payments are required to be paid at the end of the loan term
Auto and other3,357
4.6
•
Auto: Three month deferral with automatic maturity extension
•
Business Banking: Three month deferral with automatic deferment to either maturity (loan) or one year forward (line)
Credit card4,384
3.1
Three month minimum payment waiver with potential one month extensions totaling six months;
Interest continues to accrue during the deferral period and is added to the principal balance
Total consumer$28,289
6.3% 
(a)Excludes $7.5 billion of loans which were previously under payment deferral, with predominantly all returning to their original loan terms prior to June 30, 2020. Also excludes risk-rated business banking and auto dealer loans held in CCB and auto operating lease assets that were still under payment deferral as of June 30, 2020. Auto operating lease asset payment assistance consists of a three month payment deferral. Deferrals do not extend the term of the lease and all deferred payments are due at the end of the lease term.
(b)Represents the unpaid principal balance of retained loans which were still under payment deferral as of June 30, 2020, divided by the total unpaid principal balance of the respective loan classes retained loans as of June 30, 2020.

Consumer, excluding credit card
Portfolio analysis
Loan balances decreasedincreased from December 31, 2019 due to PPP loan originations in Business Banking, partially offset by lower residential real estate loans, predominantly driven byreflecting paydowns and loan sales.
Residential real estate: The residential real estate portfolio, including loans held-for-sale, predominantly consists of prime mortgage loans and home equity lines of credit. The portfolio decreased from December 31, 2019 driven by paydowns and loan sales in Home Lending, largely offset by originations of prime mortgage loans that have been retained on the balance sheet. Net recoveries for the three months ended March 31,June 30, 2020 were lower when compared with the same period in the prior year as the current quarter included losses associated with the purchased credit deteriorated portfolio as a result of the adoption of CECL. Net recoveries for the six months ended June 30, 2020 were higher when compared with the same period in the prior year as the current quarteryear benefited from a recovery on a loan sale.
The carrying value of home equity lines of credit outstanding was $27.9$26.5 billion at March 31,June 30, 2020. This amount included $10.6$9.9 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $9.0$8.7 billion of interest-only balloon HELOCs, which primarily mature after 2030. 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 exhibiting a material deterioration in their credit risk profile.
At March 31,June 30, 2020, and December 31, 2019, the carrying value of interest-only residential mortgage loans was $22.8$23.2 billion and $22.5 billion, respectively. These loans have an interest-only payment period generally followed by an adjustable-rate or fixed-rate fully amortizing payment period to maturity and are typically originated as higher-balance loans to higher-income borrowers, predominantly in AWM. Performance of this portfolio for the three and six months ended March 31,June 30, 2020 was in line with the performance of the broader residential mortgage portfolio for the same period.
The following table provides a summary of the Firm’s residential mortgage portfolio insured and/or guaranteed by U.S. government agencies, including loans held-for-sale. The Firm monitors its exposure to certain potential unrecoverable claim payments related to government-insured loans and considers this exposure in estimating the allowance for loan losses.
(in millions)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Current$883
$1,280
$692
$1,280
30-89 days past due402
695
265
695
90 or more days past due616
961
561
961
Total government guaranteed loans$1,901
$2,936
$1,518
$2,936
 
Auto and other: The auto and other loan portfolio predominantly consists of prime-quality scored auto and business banking loans, as well as overdrafts. The portfolio was relatively flat when compared with December 31, 2019, as paydowns and charge-offs or liquidation of delinquent loans were predominantly offset by new originations. The scored auto portfolio net charge-off rates were 0.41% and 0.50% for the three months ended March 31, 2020 and 2019, respectively.
Geographic composition and current estimated loan-to-value ratio of residential real estate loans
Refer to Note 12 for information on the geographic composition and current estimated LTVs of the Firm’s residential real estate loans.
Modified residential real estate loans
The following table presents information relating to modified retained residential real estate loans for which concessions have been granted to borrowers experiencing financial difficulty, which include both TDRs and modified loans accounted for as PCI loans prior to the adoption of CECL. The following table does not include loans with short-term or other insignificant modifications that are not considered concessions and, therefore, are not TDRs. Refer to Note 12 for further information on modifications for the three and six months ended March 31,June 30, 2020 and 2019.
(in millions)March 31, 2020
 December 31, 2019
 June 30, 2020
 December 31, 2019
 
Retained loans(a)
16,717
 5,926
 $16,350
 $5,926
 
PCI loansNA
 12,372
(d) 
NA
 12,372
(d) 
Nonaccrual retained loans(b)(c)
3,040
 2,332
 $3,412
 $2,332
 
(a)At March 31,June 30, 2020, and December 31, 2019, $11$5 million and $14 million, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., Federal Housing Administration (“FHA”), U.S. Department of Veterans Affairs (“VA”), Rural Housing Service of the U.S. Department of Agriculture (“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. Refer to Note 14 for additional information about sales of loans in securitization transactions with Ginnie Mae.
(b)At March 31,June 30, 2020, and December 31, 2019, nonaccrual loans included $2.0$2.4 billion and $1.9 billion, respectively, of troubled debt restructurings (“TDRs”)TDRs for which the borrowers were less than 90 days past due. Refer to Note 12 for additional information about loans modified in a TDR that are on nonaccrual status.
(c)At March 31,June 30, 2020, nonaccrual loans included $725 million$1.0 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(d)Amount represents the unpaid principal balance of modified PCI loans at December 31, 2019.2019, which were moved to retained loans upon the adoption of CECL.


Auto and other: The auto and other loan portfolio predominantly consists of prime-quality scored auto and business banking loans, as well as overdrafts. The portfolio increased when compared with December 31, 2019, predominantly due to PPP loan originations of $21.5 billion in Business Banking of which $19.9 billion remained outstanding on June 30, 2020, partially offset by paydowns and charge-offs or liquidation of delinquent loans. The scored auto portfolio net charge-off rates were 0.39% and 0.36% for the three months ended June 30, 2020 and 2019, respectively, and 0.40% and 0.43% for the six months ended June 30, 2020 and 2019, respectively.

Nonperforming assets
The following table presents information as of March 31,June 30, 2020, and December 31, 2019, about consumer, excluding credit card, nonperforming assets.
Nonperforming assets(a)
        
(in millions)March 31,
2020
 December 31,
2019
 June 30,
2020
 December 31,
2019
 
Nonaccrual loans        
Residential real estate(b)
$3,730
 $2,782
 $4,106
 $2,782
 
Auto and other147
 146
 140
 146
 
Total nonaccrual loans3,877
 2,928
 4,246
 2,928
 
Assets acquired in loan satisfactions        
Real estate owned231
 208
 185
 208
 
Other22
 24
 4
 24
 
Total assets acquired in loan satisfactions253
 232
 189
 232
 
Total nonperforming assets$4,130
 $3,160
 $4,435
 $3,160
 
(a)At March 31,June 30, 2020, and December 31, 2019, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $616$561 million and $961 million, respectively, and REO insured by U.S. government agencies of $29$13 million and $41 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)
At March 31,June 30, 2020, nonaccrual loans included $970 million$1.3 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
Nonaccrual loans
The following table presents changes in consumer, excluding credit card, nonaccrual loans for the threesix months ended March 31,June 30, 2020 and 2019.
Nonaccrual loan activity  
Three months ended March 31,
(in millions)		2020
2019
Six months ended June 30,
(in millions)		2020
2019
Beginning balance$2,928
$3,244
$2,928
$3,244
  
Additions:  
PCD loans, upon adoption of CECL708
NA
708
NA
Other additions784
513
1,655
975
Total additions1,492
513
2,363
975
  
Reductions:  
Principal payments and other(a)
206
203
369
431
Charge-offs97
97
220
189
Returned to performing status147
207
356
393
Foreclosures and other liquidations93
70
100
129
Total reductions543
577
1,045
1,142
  
Net changes949
(64)1,318
(167)
Ending balance$3,877
$3,180
$4,246
$3,077
(a)Other reductions includes loan sales.
Active and suspended foreclosure: Refer to Note 12 for information on loans that were in the process of active or suspended foreclosure.
Refer to Note 12 for further information about the consumer credit portfolio, including information about delinquencies, loan modifications and other credit quality indicators.
Purchased credit deteriorated (“PCD”) loans
The following tables provide credit-related information for PCD loans, which were accounted for as PCI loans prior to the adoption of CECL. PCI loans are considered PCD loans under CECL and are subject to the Firm’s nonaccrual and charge-off policies. PCD loans are now reported in the consumer, excluding credit card portfolio’s residential real estate class. Refer to Note 1 for further information.
(in millions, except ratios)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Loan delinquency(a)  
Current$17,983
$18,571
$17,522
$18,571
30-149 days past due942
970
693
970
150 or more days past due593
822
568
822
Total retained PCD loans19,518
20,363
Held-for-sale PCD loans—
NA
Total PCD loans$19,518
$20,363
$18,783
$20,363
  
% of 30+ days past due to total retained PCD loans7.86%8.80%6.71%8.80%
Nonaccrual loans970
NA
$1,283
NA
(in millions, except ratios)Three months ended March 31, 2020
Three months ended June 30, 2020
 Six months ended June 30, 2020
Net charge-offs$6
$27
$33
Net charge-off rate0.12%0.57%0.34%
(a)At June 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.


Credit card
Total credit card loans decreased from December 31, 2019 due to seasonality andreflecting a decline in sales volume beginning in March as a result of the COVID-19 pandemic.pandemic and the impact of seasonality. The March 31,June 30, 2020 30+ and 90+ day delinquency rates of 1.96%1.71% and 1.02%0.93%, respectively, increaseddecreased compared to the December 31, 2019 30+ and 90+ day delinquency rates of 1.87% and 0.95%, respectively duerespectively. The delinquency rate was positively impacted by loans in payment deferral programs, as these loans are generally not considered delinquent if they are performing according to the decline in credit card loans noted above.their modified terms. Net charge-offs increaseddecreased for the three months ended March 31,June 30, 2020 compared with the same period in the prior year due to higher recoveries. However, net charge-offs increased for the six months ended June 30, 2020 when compared with the same period in the prior year due to loan growth in line withthe prior expectations.year largely offset by higher recoveries.
Consistent with the Firm’s policy, all credit card loans typically remain on accrual status until charged off. However, the Firm’s allowance for loan losses includes the estimated uncollectible portion of accrued and billed interest and fee income. Refer to Note 12 for further information about this portfolio, including information about delinquencies.
Geographic and FICO composition of credit card loans
Refer to Note 12 for information on the geographic and FICO composition of the Firm’s credit card loans.
Modifications of credit card loans
At both March 31,June 30, 2020 and December 31, 2019, the Firm had $1.5$1.4 billion of credit card loans outstanding that have been modified in TDRs, which does not include loans with short-term or other insignificant modifications that are not considered TDRs.TDRs, compared to $1.5 billion at December 31, 2019. Refer to Note 12 for additional information about loan modification programs to borrowers.

WHOLESALE CREDIT PORTFOLIO
In its wholesale businesses, the Firm is exposed to credit risk primarily through its underwriting, lending, market-making, and hedging activities with and for clients and counterparties, as well as through various operating services (such as cash management and clearing activities), securities financing activities and cash placed with banks. A portion of the loans originated or acquired by the Firm’s wholesale businesses is generally retained on the balance sheet. The Firm distributes a significant percentage of the loans that it originates into the market as part of its syndicated loan business and to manage portfolio concentrations and credit risk. The wholesale portfolio is actively managed, in part by conducting ongoing, in-depth reviews of client credit quality and transaction structure inclusive of collateral where applicable, and of industry, product and client concentrations. Refer to the industry discussion on pages 58–6170-74 for further information.
The Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate, as well as risk-rated business banking and auto dealer exposures held in CCB for which the wholesale methodology is applied forwhen determining the allowance for credit losses.
Recent deterioration in theThe macroeconomic environment, driven by the impacts of the COVID-19 pandemic, and pressure on oil priceshas resulted in broad-based deterioration and an increase in the allowance for credit losses withlosses. In the largest impacts in the Oil & Gas, Real Estate and Consumer and Retail industries. As of March 31,six months ended June 30, 2020, the impacts of the macroeconomic environment have had only a limited impact to the overall credit profile, with the investment-grade percentage at 73% versusof the portfolio decreased from 74% at December 31, 2019. However,to 72%, and criticized exposure increased $6.6$24.3 billion from December 31, 2019$15.1 billion to $21.7 billion at March 31, 2020, but remains at relatively low levels compared to the overall size of the portfolio.$39.4 billion.  The increase in criticized exposure was largely driven by downgrades in Oil & Gas resulting from lower oil prices and impacts from the COVID-19 pandemic, and in Consumer & Retail primarily due to impacts from the COVID-19 pandemic.and Oil & Gas. The continuation or worsening of the effects of the COVID-19 pandemic on the macroeconomic environment could result in further impacts to credit quality metrics, including investment-grade percentages, as well as to criticized and nonperforming exposures and charge-offs.
Retained loans increased by $73.6$35.1 billion in the threesix months ended March 31,June 30, 2020, predominantly driven by the CIB and CB, largelypredominantly to commercial and industrial clients, and predominantly driven by drawdownsclients. The $35.1 billion increase reflects the outstanding loans from the March drawdown activity on committed revolving credit facilities, which resulted inas a corresponding decrease in unfunded lending-related commitments. These drawdowns, which were driven by increased activity in March that returned to more normalized levels in April, were largely made by investment-grade clients, and can be broadly attributed to:
companies in industries directly and immediately impacted by the COVID-19 pandemic;
stress in the commercial paper funding markets, and
preemptive drawdowns by companies concerned about the potential longer term impactresult of the COVID-19 pandemic, on their cash flows and access to liquidity.the impact of loans under the PPP.
Wholesale credit portfolio
 Credit exposure 
Nonperforming(c)
(in millions)Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
Loans retained$516,787
$481,678
 $3,423
$1,057
Loans held-for-sale5,235
4,062
 245
5
Loans at fair value5,923
7,104
 130
90
Loans – reported527,945
492,844
 3,798
1,152
Derivative receivables74,846
49,766
 108
30
Receivables from customers and other(a)
22,403
33,706
 —
—
Total wholesale credit-related assets625,194
576,316
 3,906
1,182
Assets acquired in loan satisfactions     
Real estate ownedNA
NA
 99
136
OtherNA
NA
 —
19
Total assets acquired in loan satisfactionsNA
NA
 99
155
Lending-related commitments405,493
413,310
 762
474
Total wholesale credit portfolio$1,030,687
$989,626
 $4,767
$1,811
Credit derivatives used
in credit portfolio management activities(b)
$(16,542)$(18,030) $—
$—
Liquid securities and other cash collateral held against derivatives(21,501)(16,009) NA
NA
Wholesale credit portfolio
 Credit exposure Nonperforming
(in millions)Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
Loans retained$555,289
$481,678
 $1,957
$1,057
Loans held-for-sale4,224
4,062
 48
5
Loans at fair value6,214
7,104
 90
90
Loans – reported565,727
492,844
 2,095
1,152
Derivative receivables81,648
49,766
 85
30
Receivables from customers and other(a)
33,376
33,706
 —
—
Total wholesale credit-related assets680,751
576,316
 2,180
1,182
Assets acquired in loan satisfactions     
Real estate ownedNA
NA
 111
136
OtherNA
NA
 —
19
Total assets acquired in loan satisfactionsNA
NA
 111
155
Lending-related commitments358,485
413,310
 619
474
Total wholesale credit portfolio$1,039,236
$989,626
 $2,910
$1,811
Credit derivatives used
in credit portfolio management activities(b)
$(20,773)$(18,030) $—
$—
Liquid securities and other cash collateral held against derivatives(26,178)(16,009) NA
NA
(a)Receivables from customers and other include $33.4$22.4 billion and $33.7 billion of brokerage-related held-for-investment customer receivables at March 31,June 30, 2020, and December 31, 2019, respectively, to clients in CIB and AWM; these are classified in accrued interest and accounts receivable on the Consolidated balance sheets.
(b)Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 6376 and Note 5 for additional information.
(c)Loans that were modified in response to the COVID-19 pandemic continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of June 30, 2020, predominantly all of these loans were considered performing.


Wholesale assistance
In March 2020, the Firm began providing assistance to clients in response to the COVID-19 pandemic, predominantly in the form of payment deferrals and covenant modifications.
As of June 30, 2020, the Firm had approximately $17 billion of retained loans still under payment deferral, almost all short-term, and included $8.8 billion in Automotive in the table below that the Firm proactively offered to performing auto dealer clients where the deferral period ended on June 30, 2020, and the majority of the clients returned to their original loan terms. The Firm continues to monitor the credit risk associated with loans subject to deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments.
As of June 30, 2020
(in millions, except ratios)
   
Industry
Loan balance(a)
Percent of total industry loan balance(b)
IG percentage of loan balance in payment deferral
Automotive$8,827
46%72%
Real Estate5,211
4
64
Individuals and Individual Entities809
1
9
Consumer & Retail

690
1
4
Industrials335
1
10
Healthcare300
1
16
All other industries603
—
55
Total$16,775
3%61%
(a)Excludes $6.5 billion of loans which were previously under payment deferral, with the majority returning to their original loan terms prior to June 30, 2020.
(b)Represents the balance of the retained loans which were still under payment deferral as of June 30, 2020, divided by the respective industry total retained loans balance as of June 30, 2020.
In addition, the Firm granted assistance in the form of covenant modifications. These types of assistance, both payment deferrals and covenant modifications, have not resulted in an increase in TDRs, either because the modifications were insignificant or they qualified for the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act. These loans continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of June 30, 2020, predominantly all of these loans were considered performing.
Wholesale credit exposure – maturity and ratings profile
The following tables present the maturity and internal risk ratings profiles of the wholesale credit portfolio as of March 31,June 30, 2020, and December 31, 2019. The Firm considers internal ratings equivalent to BBB-/Baa3 or higher as investment grade. Refer to Note 12 for further information on internal risk ratings.
Wholesale credit exposure – maturity and ratings profile     
Maturity profile(d)
 Ratings profile
Maturity profile(d)
 Ratings profile
Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % of IGDue in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % of IG
March 31, 2020
(in millions, except ratios)
June 30, 2020
(in millions, except ratios)		Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % of IG
Loans retained$164,300
$267,388
$123,601
$555,289
 $407,323
 $147,966
$555,289
73%
Derivative receivables 81,648
    81,648
  74,846
    74,846
 
Less: Liquid securities and other cash collateral held against derivatives (26,178)    (26,178)  (21,501)    (21,501) 
Total derivative receivables, net of all collateral17,069
11,637
26,764
55,470
 43,263
 12,207
55,470
78
10,718
14,756
27,871
53,345
 37,148
 16,197
53,345
70
Lending-related commitments92,209
254,173
12,103
358,485
 260,218
 98,267
358,485
73
106,972
285,017
13,504
405,493
 293,070
 112,423
405,493
72
Subtotal273,578
533,198
162,468
969,244
 710,804
 258,440
969,244
73
273,939
535,006
166,680
975,625
 702,037
 273,588
975,625
72
Loans held-for-sale and loans at fair value(a)
 10,438
    10,438
  11,158
    11,158
 
Receivables from customers and other 33,376
    33,376
  22,403
    22,403
 
Total exposure – net of liquid securities and other cash collateral held against derivatives $1,013,058
    $1,013,058
  $1,009,186
    $1,009,186
 
Credit derivatives used in credit portfolio management activities(b)(c)
$(4,011)$(9,078)$(7,684)$(20,773) $(17,477) $(3,296)$(20,773)84%$(134)$(13,714)$(2,694)$(16,542) $(14,035) $(2,507)$(16,542)85%

 
Maturity profile(d)
 Ratings profile
 Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % of IG
December 31, 2019
(in millions, except ratios)
Loans retained$141,620
$218,323
$121,735
$481,678
 $363,444
 $118,234
$481,678
75%
Derivative receivables   49,766
    49,766
 
Less: Liquid securities and other cash collateral held against derivatives   (16,009)    (16,009) 
Total derivative receivables, net of all collateral6,561
6,960
20,236
33,757
 26,966
 6,791
33,757
80
Lending-related commitments83,821
316,328
13,161
413,310
 294,317
 118,993
413,310
71
Subtotal232,002
541,611
155,132
928,745
 684,727
 244,018
928,745
74
Loans held-for-sale and loans at fair value(a)
   11,166
    11,166
 
Receivables from customers and other   33,706
    33,706
 
Total exposure – net of liquid securities and other cash collateral held against derivatives   $973,617
    $973,617
 
Credit derivatives used in credit portfolio management activities(b)(c)
$(4,912)$(10,031)$(3,087)$(18,030) $(16,276) $(1,754)$(18,030)90%
(a)Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(b)These derivatives do not qualify for hedge accounting under U.S. GAAP.
(c)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties.
(d)The maturity profile of retained loans, lending-related commitments and derivative receivables is based on the remaining contractual maturity. Derivative contracts that are in a receivable position at March 31,June 30, 2020, may become payable prior to maturity based on their cash flow profile or changes in market conditions.
Wholesale credit exposure – industry exposures
The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns. Exposures deemed criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful categories.
The total criticized component of the portfolio, excluding loans held-for-sale and loans at fair value, was $21.7$39.4 billion at March 31,June 30, 2020, compared with $15.1 billion at December 31, 2019. The increase was2019, with increases largely driven by downgrades in Oil & Gas resulting from lower oil prices and impacts from the COVID-19 pandemic, and downgrades in Consumer & Retail primarilyand Oil & Gas due to impacts from the COVID-19 pandemic.

Below are summaries of the Firm’s exposures as of March 31,June 30, 2020, and December 31, 2019. The industry of risk category is generally based on the client or counterparty’s primary business activity.
Wholesale credit exposure – industries(a)
Wholesale credit exposure – industries(a)
    
Wholesale credit exposure – industries(a)
    
    Selected metrics     Selected metrics
     30 days or more past due and accruing
loans
Net
charge-offs/
(recoveries)
Credit derivative hedges(g)
Liquid securities
and other cash collateral held against derivative
receivables		     
30 days or more past due and accruing
loans (g)
Net
charge-offs/
(recoveries)
Credit derivative hedges(h)
Liquid securities
and other cash collateral held against derivative
receivables
  Noninvestment-grade  Noninvestment-grade
As of or for the three months ended
Credit exposure(f)
Investment- grade Noncriticized Criticized performingCriticized nonperforming
March 31, 2020
As of or for the six months ended
Credit exposure(f)
Investment- grade Noncriticized Criticized performingCriticized nonperforming
June 30, 2020
30 days or more past due and accruing
loans (g)
Net
charge-offs/
(recoveries)
Credit derivative hedges(h)
Liquid securities
and other cash collateral held against derivative
receivables
(in millions)
Credit exposure(f)
Investment- grade Noncriticized Criticized performingCriticized nonperforming30 days or more past due and accruing
loans
Net
charge-offs/
(recoveries)
Credit derivative hedges(g)
Liquid securities
and other cash collateral held against derivative
receivables
Real Estate$148,656
$118,177
 $28,031
 $2,220
$228
Consumer & Retail110,160
53,944
 43,793
 11,793
630
Individuals and Individual Entities(b)
108,180
94,220
 12,808
 970
182
109,563
96,134
 12,474
 269
686
Industrials68,864
44,260
 22,998
 1,412
194
66,179
39,328
 24,135
 2,453
263
196
31
(817)(62)
Healthcare60,471
45,882
 12,816
 1,537
236
19
96
(394)(209)
Technology, Media &
Telecommunications		60,461
33,658
 22,994
 3,606
203
11
46
(870)(38)
Asset Managers65,880
57,006
 8,814
 37
23
14
—
—
(9,731)60,270
52,285
 7,806
 165
14
10
—
—
(5,637)
Technology, Media &
Telecommunications		60,184
32,917
 24,144
 2,967
156
13
—
(651)(14)
Banks & Finance Cos55,786
38,250
 16,826
 704
6
7
—
(1,137)(3,290)49,970
34,862
 14,365
 675
68
44
13
(1,855)(2,868)
Healthcare53,250
39,639
 12,155
 1,261
195
49
51
(392)(183)
Oil & Gas42,754
22,273
 16,252
 3,274
955
—
59
(527)—
43,035
21,204
 15,136
 5,583
1,112
1
197
(374)—
Automotive36,060
24,614
 10,287
 1,156
3
29
—
(348)—
38,294
23,882
 11,232
 3,176
4
10
—
(475)—
State & Municipal Govt(c)
36,824
36,316
 506
 —
2
7
—
—
(107)
Utilities33,112
24,057
 8,645
 407
3
1
4
(437)(84)32,078
24,144
 7,555
 319
60
—
4
(441)(13)
State & Municipal Govt(c)
30,529
30,026
 500
 —
3
55
—
—
(201)
Transportation18,624
9,247
 8,690
 535
152
30
10
(239)(48)18,089
8,246
 8,599
 961
283
18
10
(240)(34)
Chemicals & Plastics17,430
11,742
 5,364
 322
2
2
—
(12)—
17,172
11,388
 5,196
 561
27
7
—
(44)—
Central Govt16,519
16,169
 350
 —
—
—
—
(8,380)(2,883)16,385
16,056
 329
 —
—
—
—
(8,509)(3,323)
Metals & Mining15,797
6,999
 8,045
 673
80
3
10
(136)(12)15,790
6,652
 8,146
 913
79
6
10
(145)(7)
Insurance14,522
10,806
 3,693
 18
5
—
—
(76)(3,209)14,804
10,995
 3,762
 44
3
12
—
(36)(2,717)
Securities Firms8,233
6,175
 2,045
 1
12
—
12
(49)(3,437)
Financial Markets Infrastructure9,767
9,607
 160
 —
—
—
—
—
(46)7,724
7,438
 286
 —
—
—
—
—
(33)
Securities Firms8,045
5,905
 2,114
 1
25
—
—
(49)(3,281)
All other(d)
81,204
75,365
 5,365
 143
331
45
(8)(7,237)(1,478)82,968
74,328
 7,428
 829
383
105
(6)(997)(1,613)
Subtotal$995,422
$733,274
 $240,486
 $19,001
$2,661
$1,208
$162
$(20,773)$(26,178)$997,126
$721,094
 $236,634
 $35,105
$4,293
$1,642
$461
$(16,542)$(21,501)
Loans held-for-sale and loans at fair value10,438
      11,158
      
Receivables from customers and other33,376
     22,403
     
Total(e)
$1,039,236
     $1,030,687
     




















(continued from previous page)(continued from previous page)     (continued from previous page)     







Selected metrics





Selected metrics







30 days or more past due and accruing
loans		Net
charge-offs/
(recoveries)
Credit derivative hedges(g)
Liquid securities
and other cash collateral held against derivative
receivables





30 days or more past due and accruing
loans		Net
charge-offs/
(recoveries)
Credit derivative hedges(h)
Liquid securities
and other cash collateral held against derivative
receivables



Noninvestment-grade

Noninvestment-grade
As of or for the year ended
Credit exposure(f)
Investment- grade
Noncriticized
Criticized performingCriticized nonperforming
Credit exposure(f)
Investment- grade
Noncriticized
Criticized performingCriticized nonperforming
December 31, 2019
(in millions)
Real Estate$150,805
$121,607

$27,683

$1,457
$58
$104
$13
$(100)$—
$150,805
$121,607

$27,683

$1,457
$58
$104
$13
$(100)$—
Consumer & Retail106,986
58,704
 45,806
 2,261
215
118
124
(235)(11)106,986
58,704
 45,806
 2,261
215
118
124
(235)(11)
Individuals and Individual Entities(b)
105,018
93,172

11,617

192
37
388
33
—
(641)105,018
93,172

11,617

192
37
388
33
—
(641)
Industrials62,483
39,434
 21,673
 1,157
219
172
48
(746)(9)62,483
39,434
 21,673
 1,157
219
172
48
(746)(9)
Healthcare50,824
36,988

12,544

1,141
151
108
14
(405)(145)
Technology, Media &
Telecommunications		60,033
35,878
 21,066
 2,953
136
27
27
(658)(17)
Asset Managers51,856
45,249

6,588

6
13
18
—
—
(4,785)51,856
45,249

6,588

6
13
18
—
—
(4,785)
Technology, Media &
Telecommunications		60,033
35,878
 21,066
 2,953
136
27
27
(658)(17)
Banks & Finance Cos50,786
34,941

15,031

808
6
—
—
(834)(2,112)50,786
34,941

15,031

808
6
—
—
(834)(2,112)
Healthcare50,824
36,988

12,544

1,141
151
108
14
(405)(145)
Oil & Gas41,641
22,244

17,823

995
579
—
98
(429)(10)41,641
22,244

17,823

995
579
—
98
(429)(10)
Automotive35,118
24,255

10,246

615
2
8
1
(194)—
35,118
24,255

10,246

615
2
8
1
(194)—
State & Municipal Govt(c)
30,095
29,586

509

—
—
33
7
—
(46)
Utilities34,843
22,213

12,316

301
13
2
39
(414)(50)34,843
22,213

12,316

301
13
2
39
(414)(50)
State & Municipal Govt(c)
30,095
29,586

509

—
—
33
7
—
(46)
Transportation14,497
8,734
 5,336
 353
74
30
8
(37)(37)14,497
8,734
 5,336
 353
74
30
8
(37)(37)
Chemicals & Plastics17,499
12,033

5,243

221
2
5
—
(10)(13)17,499
12,033

5,243

221
2
5
—
(10)(13)
Central Govt14,865
14,524

341

—
—
—
—
(9,018)(1,963)14,865
14,524

341

—
—
—
—
(9,018)(1,963)
Metals & Mining15,586
7,095

7,789

661
41
2
(1)(33)(6)15,586
7,095

7,789

661
41
2
(1)(33)(6)
Insurance12,348
9,458

2,867

19
4
3
—
(36)(1,998)12,348
9,458

2,867

19
4
3
—
(36)(1,998)
Securities Firms7,344
5,973

1,344

27
—
—
—
(48)(3,201)
Financial Markets Infrastructure4,121
3,969

152

—
—
—
—
—
(6)4,121
3,969

152

—
—
—
—
—
(6)
Securities Firms7,344
5,973

1,344

27
—
—
—
(48)(3,201)
All other(d)
78,006
73,453

4,130

412
11
4
4
(4,833)(959)78,006
73,453

4,130

412
11
4
4
(4,833)(959)
Subtotal$944,754
$699,510

$230,104

$13,579
$1,561
$1,022
$415
$(18,030)$(16,009)$944,754
$699,510

$230,104

$13,579
$1,561
$1,022
$415
$(18,030)$(16,009)
Loans held-for-sale and loans at fair value11,166

















11,166

















Receivables from customers and other33,706


















33,706


















Total(e)
$989,626
     $989,626
     
(a)The industry rankings presented in the table as of December 31, 2019, are based on the industry rankings of the corresponding exposures at March 31,June 30, 2020, not actual rankings of such exposures at December 31, 2019.
(b)
Individuals and Individual Entities predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts.
(c)In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at March 31,June 30, 2020, and December 31, 2019, noted above, the Firm held: $7.5 billion and $6.5 billion, at both periodsrespectively, of trading assets; $30.5$30.4 billion and $29.8 billion, respectively, of AFS securities; and $4.8 billion at both periods of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.
(d)All other includes: SPEs and Private education and civic organizations, representing approximately 90% and 10%, respectively, at both March 31,June 30, 2020, and December 31, 2019.
(e)
Excludes cash placed with banks of $354.4$484.2 billion and $254.0 billion, at March 31,June 30, 2020, and December 31, 2019, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(f)Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.
(g)Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic.
(h)Represents the net notional amounts of protection purchased and sold through credit derivatives used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The All other category includes purchased credit protection on certain credit indices.

Presented below is additional detail on certain of the Firm’s largest industry exposures and/or certain industries which present potential heightened credit concerns.
Real Estate
Real Estate exposure was $148.2$148.7 billion as of March 31,June 30, 2020, largely driven byof which $87.1 billion is multifamily lending as shown in the table below. During the threesix months ended March 31,June 30, 2020 the investment-grade portion of the portfolio increaseddecreased from 81% to 83%79%, while the drawn percentage increased from 78% to 83%. Retail-related Real Estate and Lodging exposure within Other in82%, both driven by the table below was $15.1 billion asimpacts of March 31, 2020 of which 74% was investment-grade; noninvestment-grade Retail and Lodging exposure is largely secured.the COVID-19 pandemic.
March 31, 2020 June 30, 2020 
(in millions, except ratios)Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(c)
Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(d)
Multifamily(a)
$86,630
 $125
 $86,755
 90% 92% $86,854
 $229
 $87,083
 88% 92% 
Other60,322
 1,169
 61,491
 73
 71
 
Total Real Estate Exposure(b)
146,952
 1,294
 148,246
 83
 83
 
Office16,731
 616
 17,347
 80
 72
 
Retail11,316
 218
 11,534
 63
 70
 
Other Income Producing Properties(b)
10,454
 423
 10,877
 74
 67
 
Industrial8,991
 68
 9,059
 72
 75
 
Lodging3,525
 9
 3,534
 17
 67
 
Services and Non Income Producing9,204
 18
 9,222
 51
 53
 
Total Real Estate Exposure(c)
147,075
 1,581
 148,656
 79
 82
 
                    
December 31, 2019 December 31, 2019 
(in millions, except ratios)Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(c)
Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(d)
Multifamily(a)
$86,381
 $58
 $86,439
 91% 92% $86,380
 $58
 $86,438
 91% 92% 
Other63,805
 561
 64,366
 67
 59
 
Total Real Estate Exposure(b)
150,186
 619
 150,805
 81
 78
 
Office15,647
 231
 15,878
 80
 70
 
Retail11,321
 87
 11,408
 83
 69
 
Other Income Producing Properties(b)
14,372
 181
 14,553
 48
 45
 
Industrial8,842
 24
 8,866
 74
 75
 
Lodging3,702
 19
 3,721
 51
 38
 
Services and Non Income Producing9,922
 19
 9,941
 57
 47
 
Total Real Estate Exposure150,186
 619
 150,805
 81
 78
 
(a)Multifamily exposure is largely in California.
(b)Other Income Producing Properties consists of clients with diversified property types or other property types outside of multifamily, office, retail, industrial and lodging with less material exposures.
(c)Real Estate exposure is predominantlyapproximately 80% secured; unsecured exposure as of March 31, 2020 is predominantlyapproximately 75% investment-grade.
(c)(d)Represents drawn exposure as a percentage of credit exposure.
Consumer & Retail
Consumer & Retail exposure was $110.7$110.2 billion as of March 31,June 30, 2020, and predominantly includes Retail, Food and Beverage, and Business and Consumer Services as shown in the table below. During the threesix months ended March 31,June 30, 2020, the following changes were primarily driven by impacts from the COVID-19 pandemic:
the investment-grade portion of the Consumer & Retail portfolio decreased from 55% to 52% and 49%
the drawn percentage of this portfolio increased from 35% to 49%, both driven primarily by impacts from the COVID-19 pandemic. Additionally, criticized exposure increased by approximately $1.4 billion from $2.5 billion at December 31, 2019 to $3.9 billion at March 31, 2020, also primarily driven by impacts from the COVID-19 pandemic.43%
•
criticized exposure increased by $9.9 billion from $2.5 billion to $12.4 billion

March 31, 2020 June 30, 2020 
(in millions, except ratios)Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(d)
Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(d)
Retail(a)
$31,487
 $333
 $31,820
 52% 51% $30,847
 $631
 $31,478
 48% 46% 
Food and Beverage28,401
 1,192
 29,593
 63
 46
 26,987
 794
 27,781
 60
 39
 
Business and Consumer Services23,423
 722
 24,145
 52
 51
 24,934
 631
 25,565
 51
 48
 
Consumer Hard Goods12,667
 183
 12,850
 60
 55
 13,160
 173
 13,333
 56
 42
 
Leisure(b)
11,867
 394
 12,261
 16
 41
 11,700
 303
 12,003
 13
 39
 
Total Consumer & Retail(c)
107,845
 2,824
 110,669
 52
 49
 107,628
 2,532
 110,160
 49
 43
 
                    
December 31, 2019 December 31, 2019 
(in millions, except ratios)Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(d)
Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(d)
Retail(a)
$29,290
 $294
 $29,584
 54% 37% $29,290
 $294
 $29,584
 54% 37% 
Food and Beverage27,956
 625
 28,581
 67
 36
 27,956
 625
 28,581
 67
 36
 
Business and Consumer Services24,242
 249
 24,491
 51
 37
 24,242
 249
 24,491
 51
 37
 
Consumer Hard Goods13,144
 109
 13,253
 65
 35
 13,144
 109
 13,253
 65
 35
 
Leisure(b)
10,930
 147
 11,077
 21
 19
 10,930
 147
 11,077
 21
 19
 
Total Consumer & Retail(c)
105,562
 1,424
 106,986
 55
 35
 105,562
 1,424
 106,986
 55
 35
 
(a)Retail consists of Home Improvement & Specialty Retailers, Restaurants, Supermarkets, Discount & Drug Stores, Specialty Apparel and Department Stores.
(b)Leisure consists of Gaming, Arts & Culture, Travel Services and Sports & Recreation. ApproximatelyAs of June 30, 2020 approximately 90% of the noninvestment-grade Leisure portfolio is secured.
(c)Approximately 75%80% of the noninvestment-grade portfolio is secured.
(d)Represents drawn exposure as a percent of credit exposure.

Oil & Gas
Oil & Gas exposure was $42.8$43.0 billion as of March 31,June 30, 2020, including $21.5$21.0 billion of Exploration & Production and OilfieldOil field Services as shown in the table below. During thethree six months ended March 31,June 30, 2020, the investment-grade portion offollowing changes were driven by lower oil prices and impacts from the Oil & Gas portfolio decreased from 53% to 52%, and COVID-19 pandemic:
•
the investment-grade portion of the Oil & Gas portfolio decreased from 53% to 49%
the drawn percentage of this portfolio increased from 31% to 37%, both driven by lower oil prices and impacts from the COVID-19 pandemic. Additionally, 33%
criticized exposure increased by $2.6$5.1 billion from $1.6 billion at December 31, 2019 to $4.2$6.7 billion at March 31, 2020, also driven by lower oil prices and impacts from the COVID-19 pandemic.
March 31, 2020 June 30, 2020 
(in millions, except ratios)Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(c)
Loans and Lending-related Commitments Derivative Receivables Credit exposure % Investment-grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field Services$21,280
 $213
 $21,493
 33% 44% $20,683
 $290
 $20,973
 33% 42% 
Other Oil & Gas(a)
20,637
 624
 21,261
 72
 30
 21,356
 706
 22,062
 65
 24
 
Total Oil & Gas(b)
41,917
 837
 42,754
 52
 37
 42,039
 996
 43,035
 49
 33
 
                    
December 31, 2019 December 31, 2019 
(in millions, except ratios)Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(c)
Loans and Lending-related Commitments 
Derivative
Receivables
 Credit exposure 
% Investment-
grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field Services$22,543
 $646
 $23,189
 38% 38% $22,543
 $646
 $23,189
 38% 38% 
Other Oil & Gas(a)
18,246
 206
 18,452
 73
 23
 18,246
 206
 18,452
 73
 23
 
Total Oil & Gas(b)
40,789
 852
 41,641
 53
 31
 40,789
 852
 41,641
 53
 31
 
(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.
(b)Secured lending was $15.5$13.9 billion and $15.7 billion at March 31,June 30, 2020 and December 31, 2019, respectively, approximately half of which is reserve-based lending to the Exploration & Production sub-sector; unsecured exposure is largely investment-grade.
(c)Represents drawn exposure as a percent of credit exposure.

Loans
In its wholesale businesses, the Firm provides loans to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals. Refer to Note 12 for a further discussion on loans, including information about delinquencies, loan modifications and other credit quality indicators.
The following table presents the change in the nonaccrual loan portfolio for the threesix months ended March 31,June 30, 2020 and 2019. The increase in nonaccrual loans induring the first quarter ofsix months ended June 30, 2020 reflects selectwas driven by downgrades across a number of sectors, including Oil & Gas.multiple industries on client credit deterioration.
Wholesale nonaccrual loan activity
Three months ended March 31,
(in millions)		 20202019
Six months ended June 30,
(in millions)		 20202019
Beginning balance $1,152
$1,587
 $1,152
$1,587
Additions 1,333
841
 3,754
1,307
Reductions:    
Paydowns and other 171
213
 402
814
Gross charge-offs 181
60
 484
163
Returned to performing status 24
58
 184
67
Sales 14
5
 38
57
Total reductions 390
336
 1,108
1,101
Net changes 943
505
 2,646
206
Ending balance $2,095
$2,092
 $3,798
$1,793
 
The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the three and six months ended March 31,June 30, 2020 and 2019. The amounts in the table below do not include gains or losses from sales of nonaccrual loans.
Wholesale net charge-offs/(recoveries)Wholesale net charge-offs/(recoveries)Wholesale net charge-offs/(recoveries) 
(in millions, except ratios)Three months ended
March 31,		Three months ended
June 30,		 Six months ended
June 30,
2020
2019
2020
2019
 2020
2019
Loans – reported    
Average loans retained$491,819
$471,957
$540,248
$472,049
 $516,032
$471,999
Gross charge-offs181
64
310
112
 491
176
Gross recoveries collected(19)(12)(11)(17) (30)(29)
Net charge-offs/(recoveries)162
52
299
95
 461
147
Net charge-off/(recovery) rate0.13%0.04%0.22%0.08% 0.18%0.06%

Lending-related commitments
The Firm uses lending-related financial instruments, such as commitments (including revolving credit facilities) and guarantees, to address the financing needs of its clients. The contractual amounts of these financial instruments represent the maximum possible credit risk should the clients draw down on these commitments or when the Firm fulfills its obligations under these guarantees, and the clients subsequently fail to perform according to the terms of these contracts. Most of these commitments and guarantees have historically been refinanced, extended, cancelled, or expired without being drawn upon or a default occurring. As a result, the Firm does not believe that the total contractual amount of these wholesale lending-related commitments is representative of the Firm’s expected future credit exposure or funding requirements. Refer to Note 23 for further information on wholesale lending-related commitments.
Receivables from Customers
Receivables from customers primarily represent held-for-investment margin loans to brokerage clients in CIB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, liquid and readily marketable debt or equity securities), as such generally no allowance for credit losses is held against these receivables. To manage its credit risk the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.
Derivative contracts
Derivatives enable clients and counterparties to manage risks including credit risk and risks arising from fluctuations in interest rates, foreign exchange, equities, and commodities. The Firm makes markets in derivatives in order to meet these needs and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. The Firm also uses derivative instruments to manage its own credit risk and other market risk exposure. Refer to Note 5 for a further discussion of derivative contracts.
The following table summarizes the net derivative receivables for the periods presented.
Derivative receivables  
(in millions)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Total, net of cash collateral81,648
49,766
74,846
49,766
Liquid securities and other cash collateral held against derivative receivables(a)
(26,178)(16,009)(21,501)(16,009)
Total, net of collateral$55,470
$33,757
$53,345
$33,757
(a)Includes collateral related to derivative instruments where appropriate legal opinions have not been either sought or obtained with respect to master netting agreements.
 
The fair value of derivative receivables reported on the Consolidated balance sheets were $81.6$74.8 billion and $49.8 billion at March 31,June 30, 2020, and December 31, 2019, respectively, with increases in CIB resulting from market movements, including the impact of the COVID-19 pandemic.movements. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. However, in management’s view, the appropriate measure of current credit risk should also take into consideration additional liquid securities (primarily U.S. government and agency securities and other groupGroup of sevenSeven nations (“G7”) government securities) and other cash collateral held by the Firm aggregating $26.2$21.5 billion and $16.0 billion at March 31,June 30, 2020, and December 31, 2019, respectively, that may be used as security when the fair value of the client’s exposure is in the Firm’s favor.
The Firm also holds additional collateral (primarily cash, G7 government securities, other liquid government agency and guaranteed securities, and corporate debt and equity securities) delivered by clients at the initiation of transactions, as well as collateral related to contracts that have a non-daily call frequency and collateral that the Firm has agreed to return but has not yet settled as of the reporting date. Although this collateral does not reduce the balances and is not included in the table above, it is available as security against potential exposure that could arise should the fair value of the client’s derivative contracts move in the Firm’s favor. The derivative receivables fair value, net of all collateral, also does not include other credit enhancements, such as letters of credit. Refer to Note 5 for additional information on the Firm’s use of collateral agreements.

The following table summarizes the ratings profile of the Firm’s derivative receivables, including credit derivatives, net of all collateral, at the dates indicated. The Firm considers internal ratings equivalent to BBB-/Baa3 or higher as investment grade. Refer to Note 12 for further information on internal risk ratings.
Ratings profile of derivative receivables          
Internal rating equivalent
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019

(in millions, except ratios)
Exposure net of all collateral% of exposure net of all collateral Exposure net of all collateral% of exposure net of all collateralExposure net of all collateral% of exposure net of all collateral Exposure net of all collateral% of exposure net of all collateral
AAA/Aaa to AA-/Aa3$16,318
29% $8,347
25%$12,158
23% $8,347
25%
A+/A1 to A-/A38,297
15
 5,471
16
6,503
12
 5,471
16
BBB+/Baa1 to BBB-/Baa318,648
34
 13,148
39
18,487
35
 13,148
39
BB+/Ba1 to B-/B310,904
20
 6,225
18
12,850
24
 6,225
18
CCC+/Caa1 and below1,303
2
 566
2
3,347
6
 566
2
Total$55,470
100% $33,757
100%$53,345
100% $33,757
100%
As previously noted, the Firm uses collateral agreements to mitigate counterparty credit risk. The percentage of the Firm’s over-the-counter derivative contracts subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity and centrally cleared trades that are settled daily — was approximately 86%87% and 90% at March 31,June 30, 2020, and December 31, 2019, respectively.
Credit derivatives
The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker, and second, as an end-user, to manage the Firm’s own credit risk associated with various exposures.
 
Credit portfolio management activities
Included in the Firm’s end-user activities are credit derivatives used to mitigate the credit risk associated with traditional lending activities (loans and unfundedlending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “credit portfolio management” activities). Information on credit portfolio management activities is provided in the table below.
Credit derivatives used in credit portfolio management activities
Notional amount of protection
purchased and sold(a)
Notional amount of protection
purchased and sold(a)
(in millions)March 31,
2020
 December 31,
2019
June 30,
2020
 December 31,
2019
Credit derivatives used to manage:      
Loans and lending-related commitments$3,511
 $2,047
$5,064
 $2,047
Derivative receivables17,262
 15,983
11,478
 15,983
Credit derivatives used in credit portfolio management activities$20,773
 $18,030
$16,542
 $18,030
(a)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index.
Refer to Credit derivatives in Note 5 of this Form 10-Q and Note 5 of JPMorgan Chase’s 2019 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.

ALLOWANCE FOR CREDIT LOSSES
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 1 for further information.
The Firm’s allowance for credit losses comprises:
the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the balance sheet,
the allowance for lending-related commitments, which is presented on the balance sheet in accounts payable and other liabilities, and
the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognized within Investment Securities on the balance sheet.
Refer to Note 13 and Note 10 for a description of the policies, methodologies and judgments used to determine the Firm’s allowances for credit losses on loans, lending-related commitments, and investment securities.
The allowance for credit losses increased compared with December 31, 2019, reflecting:
additions of $6.8 billion associated withprimarily reflecting the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
a $8.7 billion addition in consumer, predominantly in the credit card and continued pressure on oil prices including:residential real estate portfolios
–$4.4 billion in consumer, predominantly in Credit Card, reflecting the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, and
–a net $2.4 billion in wholesale, primarily reflecting the deterioration in the macroeconomic environment as a result of the impact of the COVID-19 pandemic across multiple sectors, and continued pressure on oil prices, with the largest impacts in the Oil & Gas, Real Estate, and Consumer & Retail industries, and
a net $7.0 billion addition in wholesale, across the LOBs impacting multiple industry sectors, and
a net $4.3 billion addition as a result of the adoption of CECL.
In lightThe increase in the allowance for loan losses and lending-related commitments was primarily driven by an increase in the provision for credit losses, reflecting the deterioration in and uncertainty around the future macroeconomic environment as a result of the rapidly evolving economic conditions and forecasts during Marchimpact of the COVID-19 pandemic. In the first quarter of 2020, management updated its macroeconomic forecast near the end of its credit loss estimation process in early April. Thismanagement’s macroeconomic forecast included a decline in the U.S. real GDP of approximately 25% and an increase in the U.S. unemployment rate to above 10%, both in the second quarter, followed by a solid recovery in the second half of 2020. In addition, the allowances for loan lossessecond quarter of 2020, based on the increased uncertainty around the duration and lending-related commitments reflect the estimated impactdepth of the downturn and speed of economic recovery, the Firm’s payment relief actionscentral case reflected a more protracted downturn with a slower recovery of U.S. real GDP.
In the first and second quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as well asfollows:
 2020 2021
 4Q 2Q4Q
Central case assumptions    
     
U.S. unemployment rate(a)
    
1Q 20206.6 % 5.5 %4.6 %
2Q 202010.9
 9.0
7.7
     
U.S. real GDP - cumulative change from December 31, 2019    
1Q 2020(5.4) (2.3)0.3
2Q 2020(6.2) (4.0)(3.0)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
In the federal government’s stimulus programs related tosecond quarter of 2020, the COVID-19 pandemic. Firm placed significant weighting on its adverse scenarios, which incorporate more punitive macroeconomic factors than the central case assumptions above, resulting in weighted average U.S. unemployment rates remaining in double digits through the first half of 2021.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.
Refer to Critical Accounting Estimates Used by the Firm on pages 75–7788-90 for further information on the allowance for credit losses and related management judgments.
Refer to Consumer Credit Portfolio on pages 52–55,62-66, Wholesale Credit Portfolio on pages 56–6367-76 and Note 12 for additional information on the consumer and wholesale credit portfolios.

The adoption of the CECL accounting guidance resulted in a change in the accounting for PCI loans, which are considered PCD loans.loans under CECL. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied inwhen determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Allowance for credit losses and related informationAllowance for credit losses and related information  Allowance for credit losses and related information  
2020(d)
 2019
2020(d)
 2019
Three months ended March 31,
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
Six months ended June 30,
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
(in millions, except ratios)
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Allowance for loan losses    
Beginning balance at January 1,$2,538
$5,683
$4,902
$13,123
 $3,434
$5,184
$4,827
$13,445
$2,538
$5,683
$4,902
$13,123
 $3,434
$5,184
$4,827
$13,445
Cumulative effect of a change in accounting principle297
5,517
(1,642)4,172
 NA
NA
NA
NA
297
5,517
(1,642)4,172
 NA
NA
NA
NA
Gross charge-offs233
1,488
181
1,902
 234
1,344
64
1,642
425
2,863
491
3,779
 445
2,725
176
3,346
Gross recoveries collected(239)(175)(19)(433) (127)(142)(12)(281)(348)(372)(30)(750) (270)(283)(29)(582)
Net charge-offs(6)1,313
162
1,469
 107
1,202
52
1,361
77
2,491
461
3,029
 175
2,442
147
2,764
Write-offs of PCI loans(a)
NA
NA
NA
NA
 50
—
—
50
NA
NA
NA
NA
 89
—
—
89
Provision for loan losses613
5,063
1,742
7,418
 120
1,202
170
1,492
2,115
9,091
6,619
17,825
 (246)2,642
173
2,569
Other—
—
—
—
 2
(1)6
7
(1)—
2
1
 —
(1)6
5
Ending balance at March 31,$3,454
$14,950
$4,840
$23,244
 $3,399
$5,183
$4,951
$13,533
Ending balance at June 30,$4,872
$17,800
$9,420
$32,092
 $2,924
$5,383
$4,859
$13,166
      
Allowance for lending-related commitments      
Beginning balance at January 1,$12
$—
$1,179
$1,191
 $12
$—
$1,043
$1,055
$12
$—
$1,179
$1,191
 $12
$—
$1,043
$1,055
Cumulative effect of a change in accounting principle133
—
(35)98
 NA
NA
NA
NA
133
—
(35)98
 NA
NA
NA
NA
Provision for lending-related commitments6
—
852
858
 —
—
3
3
95
—
825
920
 —
—
75
75
Other—
—
—
—
 —
—
—
—
1
—
(1)—
 —
—
(1)(1)
Ending balance at March 31,$151
$—
$1,996
$2,147
 $12
$—
$1,046
$1,058
Ending balance at June 30,$241
$—
$1,968
$2,209
 $12
$—
$1,117
$1,129
      
Impairment methodology      
Asset-specific(b)
$223
$530
$556
$1,309
 $89
$461
$479
$1,029
$263
$642
$757
$1,662
 $87
$472
$346
$905
Portfolio-based3,231
14,420
4,284
21,935
 1,572
4,722
4,472
10,766
4,609
17,158
8,663
30,430
 1,538
4,911
4,513
10,962
PCINA
NA
NA
NA
 1,738
—
—
1,738
NA
NA
NA
NA
 1,299
—
—
1,299
Total allowance for loan losses$3,454
$14,950
$4,840
$23,244
 $3,399
$5,183
$4,951
$13,533
$4,872
$17,800
$9,420
$32,092
 $2,924
$5,383
$4,859
$13,166
      
Impairment methodology      
Asset-specific$—
$—
$187
$187
 $—
$—
$114
$114
$—
$—
$115
$115
 $—
$—
$136
$136
Portfolio-based151
—
1,809
1,960
 12
—
932
944
241
—
1,853
2,094
 12
—
981
993
Total allowance for lending-related commitments$151
$—
$1,996
$2,147
 $12
$—
$1,046
$1,058
$241
$—
$1,968
$2,209
 $12
$—
$1,117
$1,129
      
Total allowance for credit losses$3,605
$14,950
$6,836
$25,391
 $3,411
$5,183
$5,997
$14,591
$5,113
$17,800
$11,388
$34,301
 $2,936
$5,383
$5,976
$14,295
      
Memo:      
Retained loans, end of period$293,779
$154,021
$555,289
$1,003,089
 $322,208
$150,515
$471,118
$943,841
$307,005
$141,656
$516,787
$965,448
 $314,675
$157,568
$475,485
$947,728
Retained loans, average294,156
162,660
491,819
948,635
 333,480
151,120
471,957
956,557
299,169
152,518
516,032
967,719
 326,418
152,435
471,999
950,852
Credit ratios      
Allowance for loan losses to retained loans1.18 %9.71%0.87%2.32% 1.05%3.44%1.05%1.43%1.59%12.57%1.82%3.32% 0.93%3.42%1.02%1.39%
Allowance for loan losses to retained nonaccrual loans(c)
89
NM
247
398
 107
NM
278
273
115
NM
275
418
 96
NM
341
295
Allowance for loan losses to retained nonaccrual loans excluding credit card89
NM
247
142
 107
NM
278
168
115
NM
275
186
 96
NM
341
174
Net charge-off rates(0.01)3.25
0.13
0.62
 0.13
3.23
0.04
0.58
0.05
3.28
0.18
0.63
 0.11
3.23
0.06
0.59
(a)Prior to the adoption of CECL, write-offs of PCI loans were recorded against the allowance for loan losses when actual losses for a pool exceeded estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan was recognized when the underlying loan was removed from a pool.
(b)Includes modified PCD loans and loans that have been modified or are reasonably expected to be modified in a TDR. Also includes risk-rated loans that have been placed on nonaccrual status for the wholesale portfolio segment. The asset-specific credit card allowance for loan losses modified or reasonably expected to be modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.
(c)The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.
(d)Excludes HTM securities, which had an allowance for credit losses of $19$23 million and a provision for credit losses of $9$13 million as of and for the threesix months ended March 31,June 30, 2020.


INVESTMENT PORTFOLIO RISK MANAGEMENT
Investment portfolio risk is the risk associated with the loss of principal or a reduction in expected returns on investments arising from the investment securities portfolio or from principal investments. The investment securities portfolio is predominantly held by Treasury and CIO in connection with the Firm’s balance sheet or asset-liability management objectives. Principal investments are predominantly privately-held financial instruments and are managed in the LOBs and Corporate. Investments are typically intended to be held over extended periods and, accordingly, the Firm has no expectation for short-term realized gains with respect to these investments.
Investment securities risk
Investment securities risk includes the exposure associated with a default in the payment of principal and interest. This risk is mitigated given that the investment securities portfolio held by Treasury and CIO is predominantly invested in high-quality securities. At March 31,June 30, 2020, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $469.1$556.7 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available and where not available, based primarily upon internal risk ratings). Refer to Corporate segment results on page 3746 and Note 10 for further information on the investment securities portfolio and internal risk ratings. Refer to Market Risk Management on pages 67–7180-84 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk Management on pages 45–4955-59 for further information on related liquidity risk.

 
Principal investment risk
Principal investments are typically private non-traded financial instruments representing ownership or other forms of junior capital. Principal investmentscapital and span multiple asset classes andclasses. These investments are made either in stand-aloneby dedicated investing businesses or as part of a broader business platform.strategy. In general, new principal investments include tax-oriented investments, as well as investments made to enhance or accelerate LOB and Corporate strategic business initiatives. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results. The carrying values of the principal investment portfolios have not been significantly affected by recent market events as a result of the COVID-19 pandemic. However, in the event that deteriorationduration and severity of theadverse macroeconomic environment accelerates and/or economic recovery becomes delayed,conditions could subject certain principal investments could be subject to impairments, write-downs, or other negative impacts.
As of March 31,June 30, 2020 and December 31, 2019, the aggregate carrying values of the principal investment portfolios were $23.8$24.5 billion and $24.2 billion, respectively, which included tax-oriented investments (e.g., affordable housing and alternative energy investments) of $18.5 billion and $18.2 billion at the end of both periods,respectively, and private equity, various debt and equity instruments, and real assets of $5.6 billion and $6.0 billion respectively.at the end of both periods.
Refer to page 118 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s Investment Portfolio Risk Management governance and oversight.


MARKET RISK MANAGEMENT
Market risk is the risk associated with the effect of changes in market factors such as interest and foreign exchange rates, equity and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long term. Refer to Market Risk Management on pages 119–126 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s Market Risk Management organization, market risk measurement, risk monitoring and control, and predominant business activities that give rise to market risk.
COVID-19 Pandemic
Market Risk Management is actively monitoring the impact of the COVID-19 pandemic on market risk exposures by leveraging existing risk measures and controls.
Models used to measure market risk are inherently imprecise and may be limited in their ability to measure certain risks or to predict losses. This imprecision may be heightened when sudden or severe shifts in market conditions occur, such as those observed during the COVID-19 pandemic. For additional discussion on model uncertainty refer to Estimations and Model Risk Management on page 74.87.
Market Risk Management periodically reviews the Firm’s existing market risk measures to identify opportunities for enhancement, and to the extent appropriate, will calibrate those measures accordingly over time. This is increasingly important in periods of sustained, heightened market volatility.



 
Value-at-risk
JPMorgan Chase utilizes value-at-risk (“VaR”), a statistical risk measure, to estimate the potential loss from adverse market moves in the current market environment. The Firm has a single VaR framework used as a basis for calculating Risk Management VaR and Regulatory VaR.
The Firm’s Risk Management VaR is calculated assuming a one-day holding period and an expected tail-loss methodology which approximates a 95% confidence level. For risk management purposes, the Firm believes this methodology provides a daily measure of risk that is closely aligned to risk management decisions made by the LOBs and Corporate and, along with other market risk measures, provides the appropriate information needed to respond to risk events. The Firm calculates separately a daily aggregated VaR in accordance with regulatory rules (“Regulatory VaR”), which is used to derive the Firm’s regulatory VaR-based capital requirements under Basel III.
The Firm’s VaR model calculations are periodically evaluated and enhanced in response to changes in the composition of the Firm’s portfolios, changes in market conditions, improvements in the Firm’s modeling techniques and measurements, and other factors. Such changes may affect historical comparisons of VaR results. Refer to Estimations and Model Risk Management on page 135 of JPMorgan Chase’s 2019 Form 10-K for information regarding model reviews and approvals.
Refer to page 121 of JPMorgan Chase’s 2019 Form 10-K for further information regarding VaR, including the inherent limitations, and the key differences between Risk Management VaR and Regulatory VaR. Refer to JPMorgan Chase’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website at:
(http://investor.shareholder.com/jpmorganchase/basel.cfm) for additional information on Regulatory VaR and the other components of market risk regulatory capital for the Firm (e.g., VaR-based measure, stressed VaR-based measure and the respective backtesting). Refer to Other risk measures on pages 124-126 of JPMorgan Chase’s 2019 Form 10-K for further information regarding nonstatistical market risk measures used by the Firm.


The table below shows the results of the Firm’s Risk Management VaR measure using a 95% confidence level. VaR can vary significantly as positions change, market volatility fluctuates, and diversification benefits change.
Total VaR

















                  

Three months ended
Three months ended 

March 31, 2020
December 31, 2019
March 31, 2019
June 30, 2020
March 31, 2020 June 30, 2019 
(in millions) Avg.MinMax
 Avg.MinMax
 Avg.MinMax

 Avg.MinMax  Avg.MinMax  Avg.MinMax
 
CIB trading VaR by risk type

















                  
Fixed income$60

$30

$156


$39

$33

$48


$44

$38

$50

$129
 $109

$155

 $60
 $30
 $156
 $39
 $33
 $45
 
Foreign exchange7

4

11


5

4

8


9

4

15

9
 7

13

 7
 4
 11
 7
 5
 12
 
Equities20

13

41


18

13

27


16

13

22

27
 22

35

 20
 13
 41
 25
 14
 31
 
Commodities and other10

7

24


7

6

9


10

9

12

32
 21

44

 10
 7
 24
 9
 7
 10
 
Diversification benefit to CIB trading VaR(40)
(a) 
 NM
(b) 
 NM
(b) 

(32)
(a) 
NM
(b) 
NM
(b) 

(32)
(a) 
NM
(b) 
NM
(b) 
(69)
(a) 
 NM
(b) 
 NM
(b) 
 (40)
(a) 
NM
(b) 
NM
(b) 
 (36)
(a) 
NM
(b) 
NM
(b) 
CIB trading VaR57

27
(b) 
160
(b) 

37

29
(b) 
55
(b) 

47

36
(b) 
61
(b) 
128
 104

158

 57
 27
 160
  44
 34
 55
 
Credit portfolio VaR9

3

25


5

3

7


5

4

6

22
 18

28

 9
 3
 25
 5
 4
 7
 
Diversification benefit to CIB VaR(8)
(a) 
 NM
(b) 
 NM
(b) 

(5)
(a) 
NM
(b) 
NM
(b) 

(4)
(a) 
NM
(b) 
NM
(b) 
(23)
(a) 
 NM
(b) 
 NM
(b) 
 (8)
(a) 
NM
(b) 
NM
(b) 
 (5)
(a) 
NM
(b) 
NM
(b) 
CIB VaR58

27
(b) 
162
(b) 

37

29
(b) 
52
(b) 

48

37
(b) 
63
(b) 
127
 101

157

 58
 27
 162
 44
 35
 55
 






























  

 

   

 

   

 

 
CCB VaR7

3

11


8

3

11


2

1

3

5
 2

12

 7
 3
 11
 4
 2
 7
 
Corporate and other LOB VaR11

9

14


11

9

13


10

9

12

15
 11

18

 11
 9
 14
 10
 9
 10
 
Diversification benefit to other VaR(5)
(a) 
 NM
(b) 
 NM
(b) 

(6)
(a) 
NM
(b) 
NM
(b) 

(2)
(a) 
NM
(b) 
NM
(b) 
(4)
(a) 
 NM
(b) 
 NM
(b) 
 (5)
(a) 
NM
(b) 
NM
(b) 
 (5)
(a) 
NM
(b) 
NM
(b) 
Other VaR13

10
(b) 
16
(b) 

13

10
(b) 
17
(b) 

10

9
(b) 
11
(b) 
16
 13

18

 13
 10
 16
 9
 8
 11
 
Diversification benefit to CIB and other VaR(12)
(a) 
 NM
(b) 
 NM
(b) 

(13)
(a) 
NM
(b) 
NM
(b) 

(6)
(a) 
NM
(b) 
NM
(b) 
(13)
(a) 
 NM
(b) 
 NM
(b) 
 (12)
(a) 
NM
(b) 
NM
(b) 
 (7)
(a) 
NM
(b) 
NM
(b) 
Total VaR$59

$27
(b) 
$164
(b) 

$37

$30
(b) 
$52
(b) 

$52

$40
(b) 
$65
(b) 
$130
 $106

$163

 $59
 $27
 $164
 $46
 $36
 $57
 
(a)Average portfolio VaR is less than the sum of the VaR of the components described above, which is due to portfolio diversification. The diversification effect reflects that the risks are not perfectly correlated.
(b)Diversification benefit represents the difference between the totalportfolio VaR and each reported level and the sum of its individual components. Diversification benefitThis reflects the non-additive nature of VaR due to imperfect correlation across LOBs, Corporate, and risk types.
(b)The maximum and minimum VaR for each portfolio may have occurred on different trading days than the components and consequently diversification benefit is not meaningful.
AverageGenerally, average VaR across the risk types and LOBs were generallywas higher due to increased volatility, which occurred at the end of the first quarter as a result of the COVID-19 pandemic.pandemic and has been incorporated into average VaR results for the entirety of the second quarter of 2020.
Quarter over quarter resultsResults
Average total VaR increased by $22$71 million and $84 million for the three months ended March 31,June 30, 2020 aswhen compared with the prior quarter. This reflects substantial increases in volatility which occurred towards the end of the quarter affecting the fixed income risk type. Maximum VaR for the quarter was $164 million, also driven by the increased volatility.
Year over year results
Average total VaR increased by $7 million for the three months ended March 31, 2020 compared withand June 30, 2019, respectively. This increase was driven by the same periodsubstantial increase in volatility in the prior year. This reflects an increaseone-year historical look-back period as a result of the COVID-19 pandemic. The most significant impacts were reflected in the fixed income and commodities risk type driven by substantial increases in volatility, and increased exposure in the equities risk type due to the inclusion of Tradeweb following its IPO in the second quarter of 2019, partially offset by the exit of certain CIB investments. The fixed income and equities risk type increases were partially offset by reduced exposure in the foreign exchange risk type.types.
In addition, average CCB VaR has increased by $5 million, driven by MSR risk management activities.
 
Effective January 1, 2020, the Firm refined the scope of VaR to exclude positions related to the risk management of interest rate exposure from changes in the Firm’s own credit spread on fair value option elected liabilities, and included these positions in other sensitivity-based measures. This change was made to more appropriately align the risk from changes in the Firm’s own credit spread on fair value option elected liabilities in a single market risk measure. In the absence of this refinement, the average Total VaR for the three months ended March 31, 2020 would have been higher by $6 million and each of the components would have been higherdifferent by the amounts reported in the following table:
(in millions)
Amount by which reported VaR would have been higher for the three months
ended March 31, 2020
Amount by which reported VaR would have been different for the three months ended June 30, 2020
CIB fixed income VaR $4
  $(11) 
CIB trading VaR 5
  (11) 
CIB VaR 6
  (8) 
Total VaR (8) 

VaR backtesting
The Firm performs daily VaR model backtesting, which compares the daily Risk Management VaR results with the daily gains and losses that are utilized for VaR backtesting purposes. The gains and losses in the chart below do not reflect the Firm’s revenue results as they exclude select components of total net revenue, such as those associated with the execution of new transactions (i.e., intraday client-driven trading and intraday risk management activities), fees, commissions, certain valuation adjustments and net interest income. These excluded components of total net revenue may more than offset backtesting gains and losses on a particular day. The definition of backtesting gains and losses above is consistent with the requirements for backtesting under Basel III capital rules.
The following chart compares Firmwide daily backtesting gains and losses with the Firm’s Risk Management VaR for the 12 months ended March 31,June 30, 2020. The results in the chart below differ from the results of backtesting disclosed in the Market Risk section of the Firm’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are based on Regulatory VaR applied to the Firm’s covered positions.
For the 12 months ended March 31,June 30, 2020, the Firm observed 15 VaR backtesting exceptions and posted backtesting gains on 140142 of the 260 days. The Firmdays, and observed eight16 VaR backtesting exceptions, due to volatility resulting from the COVID-19 pandemic, and posted backtesting gains on 44 of the 64 days, for three months endedMarch 31, 2020. The number of VaR backtesting exceptions observed can differ fromwhich was higher than the statistically expected number of backtesting exceptions if the current level ofdue to recent market volatility isbeing materially different fromhigher than the level of market volatility duringlevels realized in the 12 months of historical data used for the VaR calculation. For the three months ended June 30, 2020, the Firm posted backtesting gains on 38 of the 65 days, and observed two VaR backtesting exceptions as higher volatility became fully embedded in the look-back period used for the VaR calculation. Firmwide backtesting loss days can differ from the two loss days for which Fixed Income Markets and Equity Markets posted losses, as disclosed in the CIB Markets revenue results, as the population of positions which compose each metric are different and due to the exclusion of select components of total net revenue in backtesting gains and losses as described above. For more information on CIB Markets revenue results, refer to page 29.36 .
Daily Risk Management VaR Backtesting Results
12 months ended March 31,June 30, 2020
 
Backtesting Gains and Losses
 
Risk Management VaR (1-day, 95% Confidence level)
chart-39ddae4edb9c5e73a7d.jpgchart-09987098e56854f39b9.jpg
Second Quarter
2019
Third Quarter
2019
Fourth Quarter
2019
First Quarter
2020
Second Quarter
2020

Earnings-at-risk
The effect of interest rate exposure on the Firm’s reported net income is important as interest rate risk represents one of the Firm’s significant market risks. Interest rate risk arises not only from trading activities but also from the Firm’s traditional banking activities, which include extension of loans and credit facilities, taking deposits and issuing debt as well as from the investment securities portfolio. Refer to the table on page 120 of JPMorgan Chase’s 2019 Form 10-K for a summary by LOB and Corporate, identifying positions included in earnings-at-risk.
One way the Firm evaluates its structural interest rate risk is through earnings-at-risk. Earnings-at-risk estimates the Firm’s interest rate exposure for a given interest rate scenario. It is presented as a sensitivity to a baseline, which includes net interest income and certain interest rate sensitive fees. The baseline uses market interest rates and in the case of deposits, pricing assumptions. The Firm conducts simulations of changes to this baseline for interest rate-sensitive assets and liabilities denominated in U.S. dollars and other currencies (“non-U.S. dollar” currencies). These simulations primarily include retained loans, deposits, deposits with banks, investment securities, long term debt and any related interest rate hedges, and exclude other positions in risk management VaR and other sensitivity-based measures as described on page 120 of JPMorgan Chase’s 2019 Form 10-K.
Earnings-at-risk scenarios estimate the potential change to a net interest income baseline, over the following 12 months utilizing multiple assumptions. These scenarios include a parallel shift involving changes to both short-term and long-term rates by an equal amount; a steeper yield curve involving holding short-term rates constant and increasing long-term rates; and a flatter yield curve involving increasing short-term rates and holding long-term rates constant. These scenarios consider many different factors, including:
The impact on exposures as a result of instantaneous changes in interest rates from baseline rates.
Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but do not include assumptions about actions that could be taken by the Firm in response to any such instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience.
The pricing sensitivity of deposits, using normalized deposit betas which represent the amount by which deposit rates paid could change upon a given change in market interest rates over the cycle. The deposit rates paid in these scenarios may differ from actual deposit rates paid, particularly for retail deposits, due to repricing lags and other factors.
 
The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings at risk analysis does not represent a forecast of the Firm’s net interest income (Refer to 2020 Outlook on page 78 for additional information).
The Firm’s U.S. dollar sensitivities are presented in the table below.
(in billions)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
Parallel shift:      
+100 bps shift in rates$2.8
 $0.3
$3.7
 $0.3
Steeper yield curve:      
+100 bps shift in long-term rates1.5
 1.2
1.7
 1.2
Flatter yield curve:      
+100 bps shift in short-term rates1.4
 (0.9)2.0
 (0.9)
The change in the Firm’s U.S. dollar sensitivities as of March 31,June 30, 2020 compared to December 31, 2019 reflected updates to the Firm’s baseline for lower short-term and long-term rates as well as the impact of changes in the Firm’s balance sheet.
The Firm’s sensitivity to an upward shift in short-term and long-term rates reflected updates to the Firm’s baseline for lower rates.is primarily a result of assets repricing at a faster pace than deposits.
Based upon current and implied market rates as of March 31,June 30, 2020, scenarios reflecting lower rates could result in negative interest rates. The U.S. has never experienced an interest rate environment where the Federal Reserve has a negative interest rate policy. In a negative rate environment, the modeling assumptions used for certain assets and liabilities require additional management judgment.
The Firm’s non-U.S. dollar sensitivities are presented in the table below.
(in billions)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
Parallel shift:      
+100 bps shift in rates$0.4
 $0.5
$0.7
 $0.5
Flatter yield curve:      
+100 bps shift in short-term rates0.4
 0.5
0.7
 0.5
The results of the non-U.S. dollar interest rate scenario involving a steeper yield curve with long-term rates rising by 100 basis points and short-term rates staying at current levels were not material to the Firm’s earnings-at-risk at March 31,June 30, 2020 and December 31, 2019.


Other sensitivity-based measures
The Firm quantifies the market risk of certain investmentnon-traded debt and equity and funding activities by assessing the potential impact on net revenue, and other comprehensive income (“OCI”) and noninterest expense due to changes in relevant market variables. Refer to the table Predominant business activities that give rise to market risk on page 120 of JPMorgan Chase’s 2019 Form 10-K for additional information on the positions captured in other sensitivity-based measures.
The table below represents the potential impact to net revenue, OCI or OCInoninterest expense for market risk-sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported along withnet of the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at March 31,June 30, 2020 and December 31, 2019, as the movement in market parameters across maturities may vary and are not intended to imply management’s expectation of future changes in these sensitivities.
Gain/(loss) (in millions)
 March 31, 2020
 December 31, 2019
 June 30, 2020
 December 31, 2019
Activity Description Sensitivity measure   Description Sensitivity measure  
        
Investment activities(a)
    
Investment management activities Consists of seed capital and related hedges; and fund co-investments 10% decline in market value $(67) $(68)
Non-traded debt and equity(a)
    
Asset Management activities 
Consists of seed capital and related hedges; fund co-investments(b); and certain deferred compensation and related hedges(c)
 10% decline in market value $(60) $(68)
Other investments Consists of privately held equity and other investments held at fair value 10% decline in market value (156) (192) 
Consists of privately held equity and other investments held at fair value(b)
 10% decline in market value (181) (192)
        
Funding activities        
Non-USD LTD cross-currency basis 
Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(b)
 1 basis point parallel tightening of cross currency basis (16) (17) 
Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(d)
 1 basis point parallel tightening of cross currency basis (16) (17)
Non-USD LTD hedges foreign currency (“FX”) exposure 
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(b)
 10% depreciation of currency —
 15
 
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(d)
 10% depreciation of currency 1
 15
Derivatives – funding spread risk Impact of changes in the spread related to derivatives FVA 1 basis point parallel increase in spread (5) (5) 
Impact of changes in the spread related to derivatives FVA(b)
 1 basis point parallel increase in spread (6) (5)
Fair value option elected liabilities – funding spread risk 
Impact of changes in the spread related to fair value option elected liabilities DVA(b)
 1 basis point parallel increase in spread 34
 29
 
Impact of changes in the spread related to fair value option elected liabilities DVA(d)
 1 basis point parallel increase in spread 32
 29
Fair value option elected liabilities – interest rate sensitivity 
Interest rate sensitivity on fair value option liabilities resulting from a change in the Firm’s own credit spread(b)
 1 basis point parallel increase in spread 6
 (2) 
Interest rate sensitivity on fair value option liabilities resulting from a change in the Firm’s own credit spread(d)
 1 basis point parallel increase in spread 2
 (2)
Interest rate sensitivity related to risk management of changes in the Firm’s own credit spread on fair value option liabilities(c)

 1 basis point parallel increase in spread (6) 2
Interest rate sensitivity related to risk management of changes in the Firm’s own credit spread on fair value option liabilities(b)

 1 basis point parallel increase in spread (2) 2
(a)Excludes equity securities without readily determinable fair values that are measured under the measurement alternative. Refer to Note 2 for additional information.
(b)Impact recognized through OCI.net revenue.
(c)Refer to Total VaR on page 68In the second quarter of 2020, the Firm refined the approach for additional information.risk management of certain deferred compensation, which is recognized through noninterest expense. As a result, certain deferred compensation and related hedges are now included in other sensitivity-based measures.
(d)Impact recognized through OCI.

COUNTRY RISK MANAGEMENT
The Firm, through its LOBs and Corporate, may be exposed to country risk resulting from financial, economic, political or other significant developments which adversely affect the value of the Firm’s exposures related to a particular country or set of countries. The Country Risk Management group actively monitors the various portfolios which may be impacted by these developments and measures the extent to which the Firm’s exposures are diversified given the Firm’s strategy and risk tolerance relative to a country.
Refer to pages 127–128 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the Firm’s country risk management.
COVID-19 Pandemic
Country Risk Management is actively monitoringcontinues to monitor the impact of the COVID-19 pandemic on countries to which the Firm has exposure, leveraging tailored analysis and existing stress testing, exposure reporting controls and tailored analysis.controls.
Risk Reporting
The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of March 31,June 30, 2020 and their comparative exposures as of December 31, 2019. The selection of countries represents the Firm’s largest total exposures by country, based on the Firm’s internal country risk management approach, and does not represent the Firm’s view of any actual or potentially adverse credit conditions. Country exposures may fluctuate from period to period due to client activity and market flows.
The overall increase in top 20 exposures was largelypredominantly driven by client activity and demand for liquidity, relative to the period ending December 31, 2019. This resulted in an increase in cash placements primarily with the central banks of Germany, the United Kingdom and Australia. In addition, the Firm held a larger inventory in Brazilian government bonds.
 
Top 20 country exposures (excluding the U.S.)(a)
Top 20 country exposures (excluding the U.S.)(a)
Top 20 country exposures (excluding the U.S.)(a)

(in billions)		March 31, 2020 
December 31, 2019(e)
June 30, 2020 
December 31, 2019(e)
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposure Total exposure
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposure Total exposure
Germany$67.9
$7.6
$0.5
$76.0
 $51.6
$72.4
$7.5
$0.9
$80.8
 $51.6
United Kingdom38.2
12.3
2.1
52.6
 42.4
46.8
10.3
1.6
58.7
 42.4
Japan37.6
9.3
0.3
47.2
 43.8
34.1
6.6
0.3
41.0
 43.8
France12.0
11.0
3.8
26.8
 18.1
China10.3
12.6
1.4
24.3
 19.2
9.6
10.6
1.0
21.2
 19.2
France13.0
8.0
1.4
22.4
 18.1
Australia14.8
5.9
—
20.7
 11.7
13.1
6.0
0.6
19.7
 11.7
Switzerland13.3
0.9
4.9
19.1
 18.3
10.0
0.7
3.8
14.5
 18.3
Canada11.7
2.5
0.1
14.3
 13.2
11.7
1.2
0.2
13.1
 13.2
Brazil4.8
9.2
—
14.0
 7.2
India4.5
6.0
3.1
13.6
 11.3
Luxembourg11.4
0.7
—
12.1
 12.9
10.3
0.7
—
11.0
 12.9
Netherlands5.4
1.1
3.4
9.9
 9.0
5.2
0.1
4.9
10.2
 9.0
Italy4.8
5.1
0.1
10.0
 6.8
India4.0
5.1
0.9
10.0
 11.3
Brazil4.3
4.7
—
9.0
 7.2
Singapore4.7
2.2
1.8
8.7
 6.8
South Korea4.9
4.4
0.5
9.8
 6.4
3.7
3.5
0.4
7.6
 6.4
Singapore4.5
2.7
1.2
8.4
 6.8
Italy2.5
4.7
0.3
7.5
 6.8
Saudi Arabia5.3
0.9
—
6.2
 5.2
Spain3.2
1.5
0.1
4.8
 5.8
Mexico3.7
0.8
—
4.5
 4.7
Hong Kong SAR3.3
1.9
1.6
6.8
 5.1
1.9
1.6
1.0
4.5
 5.1
Spain3.4
2.4
—
5.8
 5.8
Saudi Arabia4.4
1.4
—
5.8
 5.2
Thailand3.7
1.1
0.3
5.1
 1.5
Mexico3.9
0.7
—
4.6
 4.7
Malaysia1.7
1.1
1.5
4.3
 3.4
(a)Country exposures presented in the table reflect 87%89% and 88% of total firmwide non-U.S. exposure, where exposure is attributed to a specific country, at both March 31,June 30, 2020, and December 31, 2019.2019, respectively.
(b)Lending and deposits includes loans and accrued interest receivable (net of eligible collateral and the allowance for loan losses), deposits with banks (including central banks), acceptances, other monetary assets, issued letters of credit net of participations, and unused commitments to extend credit. Excludes intra-day and operating exposures, such as those from settlement and clearing activities.
(c)Includes market-making inventory, AFS securities, and counterparty exposure on derivative and securities financings net of eligible collateral and hedging. Includes exposure from single reference entity (“single-name”), index and other multiple reference entity transactions for which one or more of the underlying reference entities is in a country listed in the above table.
(d)Predominantly includes physical commodity inventory.
(e)The country rankings presented in the table as of December 31, 2019, are based on the country rankings of the corresponding exposures at March 31,June 30, 2020, not actual rankings of such exposures at December 31, 2019.

OPERATIONAL RISK MANAGEMENT
Operational risk is the risk associated with an adverse outcome resulting from inadequate or failed internal processes or systems; human factors; or external events impacting the Firm’s processes or systems; it includes compliance, conduct, legal, and estimations and model risk. Operational risk is inherent in the Firm’s activities and can manifest itself in various ways, including fraudulent acts, business interruptions, cybersecurity attacks, inappropriate employee behavior, failure to comply with applicable laws and regulations or failure of vendors to perform in accordance with their agreements. Operational Risk Management attempts to manage operational risk at appropriate levels in light of the Firm’s financial position, the characteristics of its businesses, and the markets and regulatory environments in which it operates. Refer to Operational Risk Management on pages 129-131 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s Operational Risk Management.
Subcategories and examples of operational risks
Operational risk can manifest itself in various ways. Operational risk subcategories such as Compliance risk, Conduct risk, Legal risk, and Estimations and Model risk as well as other operational risks, can lead to losses which are captured through the Firm’s operational risk measurement processes. Refer to Compliance Risk Management on page 132, Conduct Risk Management on page 133, Legal Risk Management on page 134 and Estimations and Model Risk Management on page 135 of JPMorgan Chase’s 2019 Form 10-K for more information. Details on other select examples of operational risks are provided below.
Business and Technology Resiliency Risk
Business disruptions can occur due to forces beyond the Firm’s control such as severe weather, power or telecommunications loss, accidents, failure of a third party to provide expected services, cyberattack, flooding, transit strikes, terrorism, health emergencies, the spread of infectious diseases or pandemics. The safety of the Firm’s employees and customers is of the highest priority. The Firmwide resiliency program is intended to enable the Firm to recover its critical business functions and supporting assets (i.e., staff, technology and facilities) in the event of a business interruption.interruption, while prioritizing the health and safety
of employees and customers. The program includes governance, awareness training, and testing of recovery strategies, as well as strategic and tactical initiatives to identify, assess, and manage business interruption and public safety risks. The strength and proficiency of the Firmwide resiliency program has played an integral role in maintaining the Firm’s business operations during and after various events.
 
COVID-19 Pandemic
The Firm’s Technology and Cybersecurity operations continue to monitor the Firm’s systems 24 hours a day, seven days a week including responding to threat activity using COVID-19 themes in phishing and other social engineering campaigns.
The Technology function is actively supporting the Firm’s response to the impacts of the COVID-19 pandemic, including the Firm’s expanded use of remote collaboration tools and platforms. Technology diligently monitors the operational performance of the Firm’s infrastructure to support increased market volumes as a result of the COVID-19 pandemic.

ESTIMATIONS AND MODEL RISK MANAGEMENT

Estimations and Model risk, a subcategory of operational risk, is the potential for adverse consequences from decisions based on incorrect or misused estimation outputs.
The Firm uses models and other analytical and judgment based estimations across various businesses and functions. The estimation methods are of varying levels of sophistication and are used for many purposes, such as the valuation of positions, measurement of risk, sizing the allowance for credit losses, assessing regulatory capital requirements, conducting stress testing, and making business decisions.
While models are inherently imprecise, the degree of imprecision or uncertainty can be heightened by the market or economic environment. This is particularly true when the current and forecasted environment is significantly different from the historical macroeconomic environments upon which the models were calibrated, as the Firm has experienced during the COVID-19 pandemic. This uncertainty may necessitate a greater degree of judgment and analytics to inform adjustments to model outputs than in typical periods.
Refer to Critical Accounting Estimates Used by the Firm on pages 75–7788-90 and Note 2 of this Form 10-Q, and Estimations and Model Risk Management section on page 135 of JPMorgan Chase’s 2019 Form 10-K for a summary of model-based valuations and other valuation techniques.


CRITICAL ACCOUNTING ESTIMATES USED BY THE FIRM
JPMorgan Chase’s accounting policies and use of estimates are integral to understanding its reported results. The Firm’s most complex accounting estimates require management’s judgment to ascertain the appropriate carrying value of assets and liabilities. The Firm has established policies and control procedures intended to ensure that estimation methods, including any judgments made as part of such methods, are well-controlled, independently reviewed and applied consistently from period to period. The methods used and judgments made reflect, among other factors, the nature of the assets or liabilities and the related business and risk management strategies, which may vary across the Firm’s businesses and portfolios. In addition, the policies and procedures are intended to ensure that the process for changing methodologies occurs in an appropriate manner. The Firm believes its estimates for determining the carrying value of its assets and liabilities are appropriate. The following is a brief description of the Firm’s critical accounting estimates involving significant judgments.
Allowance for credit losses
The Firm’s allowance for credit losses represents management’s estimate of expected credit losses over the remaining expected life of the Firm’s financial assets measured at amortized cost, certain off-balance sheet lending-related commitments and investment securities. The allowance for credit losses comprises:
The allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated),
The allowance for lending-related commitments, and
The allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities.
The allowance for credit losses involves significant judgment on a number of matters.matters including development and weighting of macroeconomic forecasts, incorporation of historical loss experience, assessment of risk characteristics, assignment of risk ratings, valuation of collateral, and the determination of remaining expected life. Refer to Note 10 and Note 13 for further information on these judgments as well as the Firm’s policies methodologies, and judgmentsmethodologies used to determine the Firm’s allowance for credit losses.
One of the most significant judgments involved in estimating the Firm’s allowance for credit losses relates to the macroeconomic forecasts used to estimate credit losses over the eight-quarter forecast period within the Firm’s methodology. In lightThe eight-quarter forecast incorporates hundreds of macroeconomic variables (“MEVs”) that are relevant for exposures across the rapidly evolving economic conditionsFirm, with modeled credit losses being driven primarily by a subset of less than twenty variables. The specific variables that have the greatest effect on the modeled losses of each portfolio vary by portfolio and forecasts during March 2020, management updated its macroeconomic forecast neargeography.
Key MEVs for the end of itsconsumer portfolio include U.S. unemployment, house price index (“HPI”) and U.S. real gross domestic product (“GDP”).
Key MEVs for the wholesale portfolio include U.S. real GDP, U.S. unemployment, U.S. equity prices, corporate credit loss estimation process in early April. However, changesspreads, oil prices, commercial real estate prices and HPI.
Changes in the Firm’s assumptions and estimates regardingforecasts of economic conditions could significantly affect its estimate of expected credit losses in the portfolio at the balance sheet date or lead to significant changes in the estimate from one reporting period to the next.
The COVID-19 pandemic has resulted in a weak labor market and weak overall economic conditions that will continue to affect borrowers across the Firm’s consumer and wholesale lending portfolios, and significantportfolios. Significant judgment is required to estimate the severity and duration of the current economic
downturn, as well as its potential impact on borrower defaults and loss severities. In particular, macroeconomic conditions and forecasts regarding the duration and severity of the economic downturn caused by the COVID-19 pandemic have been rapidly changing and remain highly uncertain, and ituncertain. It is difficult to predict exactly how borrower behavior will be impacted by these changes in economic conditions. The effectiveness of government support, customer reliefassistance and enhanced unemployment benefits should act as mitigants to credit losses, but the extent of the mitigation impact remains uncertain.
It is difficult to estimate how potential changes in any one factor or input might affect the overall allowance for credit losses because management considers a wide variety of factors and inputs in estimating the allowance for credit losses. Changes in the factors and inputs considered may not occur at the same rate and may not be consistent across all geographies or product types, and changes in factors and inputinputs may be directionally inconsistent, such that improvement in one factor or input may offset deterioration in others.
However, toTo consider the impact of a hypothetical alternate macroeconomic forecast, the Firm compared the modeled credit losses determined using its central and relative adverse macroeconomic scenarios, which are two of the five different macroeconomic scenarios considered in the quantitative calculations used in estimating the allowances for loan losses and lending-related commitments. Each scenarioThe central and relative adverse scenarios each included a full suite of macroeconomic variables,MEVs, but differed in the levels, paths and peakspeaks/troughs of those variables over the eight-quarter forecast period. The maximum difference
For example, compared to the Firm’s central scenario described on page 77 and in macroeconomic variables betweenNote 13, the two scenariosFirm’s relative adverse scenario assumes a significantly elevated U.S. unemployment rate through the first half of 2021, averaging 3.6% higher over the eight-quarter forecast, period was represented by an approximate 3.5% deteriorationwith a peak difference of nearly 7% in the fourth quarter of 2020; lower U.S. real GDP an approximate 250 basis point increasewith a slower recovery, remaining nearly 4% lower at the end of the eight-quarter

forecast, with a peak difference of nearly 5.5% in the U.S. unemployment rate,first quarter of 2021; and an approximate 10.5%11% further deterioration in the national house price index.HPI with a trough in the first quarter of 2022.
This analysis is not intended to estimate expected future changes in the allowance for credit losses, for a number of reasons, including:
the Firm has placed significant weight on its adverse scenarios in estimating its allowance for credit losses as of June 30, 2020, and accordingly, the existing allowance already reflects credit losses beyond those estimated under the central scenario
the changes in the macroeconomic variablesMEVs are not intended to imply management’s expectation of the extent or nature of future deterioration in macroeconomic variablesMEVs
the impacts of changes in many macroeconomic variablesMEVs are both interrelated and nonlinear, so the results of this analysis cannot be simply extrapolated for more severe changes in macroeconomic variables
the COVID-19 pandemic has stressed many macroeconomic variablesMEVs at a speed and to degrees not seen in recent history, adding increasedsignificantly higher degrees of uncertainty around modeled credit loss estimatesestimations which use scenarios outside of historical experience
significant changes in the expected severity and duration of the economic downturn caused by the COVID-19 pandemic, the effects of government support and

customer relief,assistance, and the speed of the subsequent recovery could significantly affect the Firm’s estimate of expected credit losses irrespective of the estimated sensitivities described belowbelow.
To demonstrate the sensitivity of credit loss estimates to macroeconomic forecasts the difference between these two scenarios would have generated the following effects on the Firm’s modeled credit loss estimates as of March 31,June 30, 2020, withoutthe Firm compared the modeled estimates under its relative adverse scenario to its central scenario. Without considering the additional weight the Firm has placed on its adverse scenarios or any other offsetting or correlated effects in other qualitative components of the Firm’s allowance for credit losses for these lending exposures:exposures, the difference between these two scenarios would result in the following:
An increase of approximately $0.9$2 billion for residential real estate loans and lending-related commitments
An increase of approximately $1.5$4 billion for credit card loans
An increase of approximately $0.8$7 billion for wholesale loans and lending-related commitments
This analysis relates only to the modeled credit loss estimates and is not intended to estimate changes in the overall allowance for credit losses as they doit does not reflect any potential changes in the adjustmentother adjustments to the quantitative calculation, which would also be influenced by the judgment management applies to the modeled lifetime loss estimates to reflect the uncertainty and imprecision of these modeled lifetime loss estimates based on then-current circumstances
and conditions.
Recognizing that forecasts of macroeconomic conditions are inherently uncertain, particularly in light of the recent economic conditions, the Firm believes that its process to consider the available information and associated risks and uncertainties is appropriately governed and that its estimates of expected credit losses were reasonable and appropriate for the period ended March 31,June 30, 2020.

Fair value
JPMorgan Chase carries a portion of its assets and liabilities at fair value. The majority of such assets and liabilities are measured at fair value on a recurring basis, including, derivatives, structured note products and certain securities financing agreements. Certain assets and liabilities are measured at fair value on a nonrecurring basis, including certain mortgage, home equity and other loans, where the carrying value is based on the fair value of the underlying collateral.
Assets measured at fair value
The following table includes the Firm’s assets measured at fair value and the portion of such assets that are classified within level 3 of the valuation hierarchy. Refer to Note 2 for further information.
March 31, 2020
(in billions, except ratios)
Total assets at fair value Total level 3 assets
June 30, 2020
(in billions, except ratios)
Total assets at fair value Total level 3 assets
Federal funds sold and securities purchased under resale agreements

$235.9
 $—
$244.0
 $—
Securities borrowed51.6
 —
42.5
 —
Trading assets:      
Trading–debt and equity instruments$466.9
 $5.5
$451.2
 $4.9
Derivative receivables(a)
81.6
 9.7
74.8
 8.6
Total trading assets548.5
 15.2
526.0
 13.5
AFS securities399.9
 —
485.9
 —
Loans6.2
 0.3
5.9
 0.3
MSRs3.3
 3.3
3.1
 3.1
Other307.6
 0.4
298.3
 0.5
Total assets measured at fair value on a recurring basis
1,265.5
 19.2
1,319.2
 17.4
Total assets measured at fair value on a nonrecurring basis3.2
 0.9
3.0
 1.2
Total assets measured at fair value
$1,268.7
 $20.1
$1,322.2
 $18.6
Total Firm assets$3,139.4
  $3,213.1
  
Level 3 assets as a percentage of total Firm assets(a)
  0.6%  0.6%
Level 3 assets as a percentage of total Firm assets at fair value(a)
  1.6%  1.4%
(a)For purposes of the table above, the derivative receivables total reflects the impact of netting adjustments; however, the $9.7$8.6 billion of derivative receivables classified as level 3 does not reflect the netting adjustment as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
Valuation
Estimating fair value requires the application of judgment. The type and level of judgment required is largely dependent on the amount of observable market information available to the Firm. For instruments valued using internally developed valuation models and other valuation techniques that use significant unobservable inputs and are

therefore classified within level 3 of the valuation hierarchy, judgments used to estimate fair value are more significant than those required when estimating the fair value of instruments classified within levels 1 and 2.
In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation technique to use. Second, the lack of

observability of certain significant inputs requires management to assess all relevant empirical data in deriving valuation inputs including, for example, transaction details, yield curves, interest rates, prepayment rates, default rates, volatilities, correlations, equity or debt prices, valuations of comparable instruments, foreign exchange rates and credit curves. Refer to Note 2 for a further discussion of the valuation of level 3 instruments, including unobservable inputs used.
For instruments classified in levels 2 and 3, management judgment must be applied to assess the appropriate level of valuation adjustments to reflect counterparty credit quality, the Firm’s creditworthiness, market funding rates, liquidity considerations, unobservable parameters, and for portfolios that meet specified criteria, the size of the net open risk position. The judgments made are typically affected by the type of product and its specific contractual terms, and the level of liquidity for the product or within the market as a whole. In periods of heightened market volatility and uncertainty as was experienced in the period ended March 31, 2020, judgments are further affected by the wider variation of reasonable valuation estimates, particularly for positions that are less liquid. Refer to Note 2 for a further discussion of valuation adjustments applied by the Firm.
Imprecision in estimating unobservable market inputs or other factors can affect the amount of gain or loss recorded for a particular position. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with those of other market participants, the methods and assumptions used reflect management judgment and may vary across the Firm’s businesses and portfolios.
The Firm uses various methodologies and assumptions in the determination of fair value. The use of methodologies or assumptions different than those used by the Firm could result in a different estimate of fair value at the reporting date. Refer to Note 2 for a detailed discussion of the Firm’s valuation process and hierarchy, and its determination of fair value for individual financial instruments.

Goodwill impairment
Management applies significant judgment when testing goodwill for impairment. The goodwill associated with each business combination is allocated to the related reporting units for goodwill impairment testing. Refer to Goodwill impairment on page 137 of JPMorgan Chase’s 2019 Form 10-K for a description of the significant valuation judgments associated with goodwill impairment.
Refer to Note 15 for additional information on goodwill, including the goodwill impairment assessment as of March 31,June 30, 2020.

Credit card rewards liability
The credit card rewards liability was $6.7$7.1 billion and $6.4 billion at March 31,June 30, 2020 and December 31, 2019, respectively, and is recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to pages 137-138 of JPMorgan Chase’s 2019 Form 10-K for a description of the significant assumptions and judgments associated with the Firm’s credit card rewards liability.
Income taxes
Refer to Income taxes on page 138 of JPMorgan Chase’s 2019 Form 10-K for a description of the significant assumptions, judgments and interpretations associated with the accounting for income taxes.
Litigation reserves
Refer to Note 25 of this Form 10-Q, and Note 30 of JPMorgan Chase’s 2019 Form 10-K for a description of the significant estimates and judgments associated with establishing litigation reserves.

ACCOUNTING AND REPORTING DEVELOPMENTS
Financial Accounting Standards Board (“FASB”) Standards Adopted since January 1, 2020
     
Standard Summary of guidance Effects on financial statements
     
Financial Instruments – Credit Losses (“CECL”)

Issued June 2016
 
 • Establishes a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions.
 • Eliminates existing guidance for PCI loans, and requires recognition of the nonaccretable difference as an increase to the allowance for expected credit losses on financial assets purchased with more than insignificant credit deterioration since origination, with a corresponding increase in the amortized cost of the related loans.
 • Requires inclusion of expected recoveries, limited to the cumulative amount of prior write-offs, when estimating the allowance for credit losses for in scope financial assets (including collateral-dependent assets).
 • Amends existing impairment guidance for AFS securities to incorporate an allowance, which will allow for reversals of credit impairments in the event that the credit of an issuer improves.
 • Requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption.
 
•
Adopted January 1, 2020.
•
Refer to Note 1 for further information.
Goodwill
Issued January 2017
 
 • Requires recognition of an impairment loss when the estimated fair value of a reporting unit falls below its carrying value.
 • Eliminates the requirement that an impairment loss be recognized only if the estimated implied fair value of the goodwill is below its carrying value.
 
•
Adopted January 1, 2020.
•
No impact upon adoption as the guidance is to be applied prospectively.
•
Refer to Note 15 for further information.
Reference Rate Reform
Issued March 2020

 
 • Provides optional expedients and exceptions to current accounting guidance when financial instruments, hedging relationships, and other transactions are amended due to reference rate reform.
 • Provides an election to account for certain contract amendments related to reference rate reform as modifications rather than extinguishments without the requirement to assess the significance of the amendments.
 • Allows for changes in critical terms of a hedging relationship without automatic termination of that relationship. Provides various practical expedients and elections designed to allow hedge accounting to continue uninterrupted during the transition period.
 • Provides a one-time election to transfer securities out of the held-to-maturity classification if certain criteria are met.
 
•
Issued and effective March 12, 2020.
•
The Firm expects to apply certain of the practical expedients related to contract modifications and hedge accounting relationships in the second half of 2020 and is evaluatingdoes not expect a material impact to the timing and application of those elections.Consolidated Financial Statements.




FORWARD-LOOKING STATEMENTS
From time to time, the Firm has made and will make forward-looking statements. These statements can be identified by the fact that they do not relate strictly to historical or current facts. Forward-looking statements often use words such as “anticipate,” “target,” “expect,” “estimate,” “intend,” “plan,” “goal,” “believe,” or other words of similar meaning. Forward-looking statements provide JPMorgan Chase’s current expectations or forecasts of future events, circumstances, results or aspirations. JPMorgan Chase’s disclosures in this Form 10-Q contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. The Firm also may make forward-looking statements in its other documents filed or furnished with the SEC. In addition, the Firm’s senior management may make forward-looking statements orally to investors, analysts, representatives of the media and others.
All forward-looking statements are, by their nature, subject to risks and uncertainties, many of which are beyond the Firm’s control. JPMorgan Chase’s actual future results may differ materially from those set forth in its forward-looking statements. While there is no assurance that any list of risks and uncertainties or risk factors is complete, below are certain factors which could cause actual results to differ from those in the forward-looking statements:
Economic, financial, reputational and other impacts of the COVID-19 pandemic;
Local, regional and global business, economic and political conditions and geopolitical events;
Changes in laws and regulatory requirements, including capital and liquidity requirements affecting the Firm’s businesses, and the ability of the Firm to address those requirements;
Heightened regulatory and governmental oversight and scrutiny of JPMorgan Chase’s business practices, including dealings with retail customers;
Changes in trade, monetary and fiscal policies and laws;
Changes in income tax laws and regulations;
Securities and capital markets behavior, including changes in market liquidity and volatility;
Changes in investor sentiment or consumer spending or savings behavior;
Ability of the Firm to manage effectively its capital and liquidity, including approval of its capital plans by banking regulators;
Changes in credit ratings assigned to the Firm or its subsidiaries;
Damage to the Firm’s reputation;
Ability of the Firm to appropriately address social and environmental and sustainability concerns that may arise, including from its business activities;
Ability of the Firm to deal effectively with an economic slowdown or other economic or market disruption, including, but not limited to, in the interest rate environment;
 
Technology changes instituted by the Firm, its counterparties or competitors;
The effectiveness of the Firm’s control agenda;
Ability of the Firm to develop or discontinue products and services, and the extent to which products or services previously sold by the Firm (including but not limited to mortgages and asset-backed securities) require the Firm to incur liabilities or absorb losses not contemplated at their initiation or origination;
Acceptance of the Firm’s new and existing products and services by the marketplace and the ability of the Firm to innovate and to increase market share;
Ability of the Firm to attract and retain qualified employees;
Ability of the Firm to control expenses;
Competitive pressures;
Changes in the credit quality of the Firm’s clients, customers and counterparties;
Adequacy of the Firm’s risk management framework, disclosure controls and procedures and internal control over financial reporting;
Adverse judicial or regulatory proceedings;
Changes in applicable accounting policies, including the introduction of new accounting standards;
Ability of the Firm to determine accurate values of certain assets and liabilities;
Occurrence of natural or man-made disasters or calamities, including health emergencies, the spread of infectious diseases, pandemics or outbreaks of hostilities, or the effects of climate change, and the Firm’s ability to deal effectively with disruptions caused by the foregoing;
Ability of the Firm to maintain the security of its financial, accounting, technology, data processing and other operational systems and facilities;
Ability of the Firm to withstand disruptions that may be caused by any failure of its operational systems or those of third parties;
Ability of the Firm to effectively defend itself against cyberattacks and other attempts by unauthorized parties to access information of the Firm or its customers or to disrupt the Firm’s systems; and
The other risks and uncertainties detailed in Part II,
Item 1A: Risk Factors in this form 10-Q and Part I, Item 1A: Risk Factors in JPMorgan Chase’s 2019 Form 10-K.
Any forward-looking statements made by or on behalf of the Firm speak only as of the date they are made, and JPMorgan Chase does not undertake to update any forward-looking statements. The reader should, however, consult any further disclosures of a forward-looking nature the Firm may make in any subsequent Form 10-Ks, Quarterly Reports on Form 10-Qs, or Current Reports on Form 8-K.


JPMorgan Chase & Co.
Consolidated statements of income (unaudited)
 Three months ended
March 31,		 Three months ended
June 30,		 Six months ended
June 30,
(in millions, except per share data) 2020
 2019
 2020
 2019
 2020
 2019
Revenue            
Investment banking fees $1,866
 $1,840
 $2,850
 $1,851
 $4,716
 $3,691
Principal transactions 2,937
 4,076
 7,621
 3,714
 10,558
 7,790
Lending- and deposit-related fees(a)
 1,706
 1,559
 1,431
 1,624
 3,137
 3,183
Asset management, administration and commissions(a)
 4,540
 4,037
 4,266
 4,264
 8,806
 8,301
Investment securities gains 233
 13
 26
 44
 259
 57
Mortgage fees and related income 320
 396
 917
 279
 1,237
 675
Card income(b) 1,054
 1,274
 974
 1,281
 1,969
 2,508
Other income 1,156
 1,475
 1,042
 1,292
 2,198
 2,767
Noninterest revenue 13,812
 14,670
 19,127
 14,349
 32,880
 28,972
Interest income 19,161
 21,389
 16,112
 21,603
 35,273
 42,992
Interest expense 4,722
 6,936
 2,259
 7,205
 6,981
 14,141
Net interest income 14,439
 14,453
 13,853
 14,398
 28,292
 28,851
Total net revenue 28,251
 29,123
 32,980
 28,747
 61,172
 57,823
            
Provision for credit losses 8,285
 1,495
 10,473
 1,149
 18,758
 2,644
            
Noninterest expense            
Compensation expense 8,895
 8,937
 9,509
 8,547
 18,404
 17,484
Occupancy expense 1,066
 1,068
 1,080
 1,060
 2,146
 2,128
Technology, communications and equipment expense 2,578
 2,364
 2,590
 2,378
 5,168
 4,742
Professional and outside services 2,028
 2,039
 1,999
 2,212
 4,027
 4,251
Marketing(b) 859
 879
 481
 777
 1,281
 1,609
Other expense 1,424
 1,108
 1,283
 1,282
 2,707
 2,390
Total noninterest expense 16,850
 16,395
 16,942
 16,256
 33,733
 32,604
Income before income tax expense 3,116
 11,233
 5,565
 11,342
 8,681
 22,575
Income tax expense 251
 2,054
 878
 1,690
 1,129
 3,744
Net income $2,865
 $9,179
 $4,687
 $9,652
 $7,552
 $18,831
Net income applicable to common stockholders $2,431
 $8,753
 $4,265
 $9,192
 $6,698
 $17,945
Net income per common share data            
Basic earnings per share $0.79
 $2.65
 $1.39
 $2.83
 $2.17
 $5.48
Diluted earnings per share 0.78
 2.65
 1.38
 2.82
 2.17
 5.46
            
Weighted-average basic shares 3,095.8
 3,298.0
 3,076.3
 3,250.6
 3,086.1
 3,274.3
Weighted-average diluted shares 3,100.7
 3,308.2
 3,081.0
 3,259.7
 3,090.8
 3,283.9

(a) In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts were
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.

The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.




JPMorgan Chase & Co.
Consolidated statements of comprehensive income (unaudited)
Three months ended
March 31,		 Three months ended
June 30,		 Six months ended
June 30,
(in millions)2020
 2019
 2020
 2019
 2020
 2019
Net income$2,865
 $9,179
 $4,687
 $9,652
 $7,552
 $18,831
Other comprehensive income/(loss), after–tax           
Unrealized gains/(losses) on investment securities1,119
 1,414
 2,744
 1,093
 3,863
 2,507
Translation adjustments, net of hedges(330) (24) 142
 99
 (188) 75
Fair value hedges88
 2
 16
 86
 104
 88
Cash flow hedges2,465
 138
 234
 97
 2,699
 235
Defined benefit pension and OPEB plans33
 36
 (7) 41
 26
 77
DVA on fair value option elected liabilities2,474
 (617) (1,758) 256
 716
 (361)
Total other comprehensive income/(loss), after–tax5,849
 949
 1,371
 1,672
 7,220
 2,621
Comprehensive income$8,714
 $10,128
 $6,058
 $11,324
 $14,772
 $21,452

The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.


JPMorgan Chase & Co.
Consolidated balance sheets (unaudited)
(in millions, except share data)March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
Assets      
Cash and due from banks$24,001
 $21,704
$20,544
 $21,704
Deposits with banks343,533
 241,927
473,185
 241,927
Federal funds sold and securities purchased under resale agreements (included $235,859 and $14,561 at fair value)
248,580
 249,157
Securities borrowed (included $51,576 and $6,237 at fair value)
139,839
 139,758
Trading assets (included assets pledged of $143,900 and $111,522)
548,580
 411,103
Available-for-sale securities (amortized cost of $394,104 and $345,306; included assets pledged of $16,964 and $10,325)
399,944
 350,699
Held-to-maturity securities (net of allowance for credit losses of $19)
71,200
 47,540
Federal funds sold and securities purchased under resale agreements (included $243,953 and $14,561 at fair value)
256,980
 249,157
Securities borrowed (included $42,525 and $6,237 at fair value)
142,704
 139,758
Trading assets (included assets pledged of $158,131 and $111,522)
526,042
 411,103
Available-for-sale securities (amortized cost of $476,383 and $345,306; included assets pledged of $28,475 and $10,325)
485,883
 350,699
Held-to-maturity securities (net of allowance for credit losses of $23)
72,908
 47,540
Investment securities, net of allowance for credit losses471,144
 398,239
558,791
 398,239
Loans (included $6,214 and $7,104 at fair value)
1,015,375
 959,769
Loans (included $5,923 and $7,104 at fair value)
978,518
 959,769
Allowance for loan losses(23,244) (13,123)(32,092) (13,123)
Loans, net of allowance for loan losses992,131
 946,646
946,426
 946,646
Accrued interest and accounts receivable122,064
 72,861
72,260
 72,861
Premises and equipment25,882
 25,813
26,301
 25,813
Goodwill, MSRs and other intangible assets51,867
 53,341
51,669
 53,341
Other assets (included $20,675 and $9,111 at fair value and assets pledged of $3,762 and $3,349)
171,810
 126,830
Other assets (included $12,528 and $9,111 at fair value and assets pledged of $3,124 and $3,349)
138,213
 126,830
Total assets(a)
$3,139,431
 $2,687,379
$3,213,115
 $2,687,379
Liabilities      
Deposits (included $22,609 and $28,589 at fair value)
$1,836,009
 $1,562,431
Federal funds purchased and securities loaned or sold under repurchase agreements (included $194,690 and $549 at fair value)
233,207
 183,675
Short-term borrowings (included $24,320 and $5,920 at fair value)
51,909
 40,920
Deposits (included $21,512 and $28,589 at fair value)
$1,931,029
 $1,562,431
Federal funds purchased and securities loaned or sold under repurchase agreements (included $189,341 and $549 at fair value)
235,647
 183,675
Short-term borrowings (included $19,934 and $5,920 at fair value)
48,014
 40,920
Trading liabilities184,196
 119,277
165,212
 119,277
Accounts payable and other liabilities (included $4,131 and $3,728 at fair value)
253,874
 210,407
Beneficial interests issued by consolidated VIEs (included $77 and $36 at fair value)
19,630
 17,841
Long-term debt (included $68,617 and $75,745 at fair value)
299,344
 291,498
Accounts payable and other liabilities (included $3,318 and $3,728 at fair value)
230,916
 210,407
Beneficial interests issued by consolidated VIEs (included $40 and $36 at fair value)
20,828
 17,841
Long-term debt (included $74,758 and $75,745 at fair value)
317,003
 291,498
Total liabilities(a)
2,878,169
 2,426,049
2,948,649
 2,426,049
Commitments and contingencies (refer to Notes 23, 24 and 25)


 




 


Stockholders’ equity      
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 3,006,250 and 2,699,250 shares)
30,063
 26,993
30,063
 26,993
Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares)
4,105
 4,105
4,105
 4,105
Additional paid-in capital87,857
 88,522
88,125
 88,522
Retained earnings220,226
 223,211
221,732
 223,211
Accumulated other comprehensive income/(loss)7,418
 1,569
8,789
 1,569
Shares held in restricted stock units (“RSU”) Trust, at cost (472,953 shares)
(21) (21)
Treasury stock, at cost (1,057,911,018 and 1,020,912,567 shares)
(88,386) (83,049)
Shares held in restricted stock units (“RSU”) Trust, at cost (236,476 and 472,953 shares)
(11) (21)
Treasury stock, at cost (1,057,329,408 and 1,020,912,567 shares)
(88,337) (83,049)
Total stockholders’ equity261,262
 261,330
264,466
 261,330
Total liabilities and stockholders’ equity$3,139,431
 $2,687,379
$3,213,115
 $2,687,379

Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
(a) The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at March 31,June 30, 2020, and December 31, 2019. The assets of the consolidated VIEs are used to settle the liabilities of those entities. The holders of the beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. The assets and liabilities in the table below include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation. Refer to Note 14 for a further discussion.
(in millions)March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
Assets      
Trading assets$1,935
 $2,633
$2,265
 $2,633
Loans42,471
 42,931
38,384
 42,931
All other assets991
 881
1,569
 881
Total assets$45,397
 $46,445
$42,218
 $46,445
Liabilities      
Beneficial interests issued by consolidated VIEs$19,630
 $17,841
$20,828
 $17,841
All other liabilities316
 447
243
 447
Total liabilities$19,946
 $18,288
$21,071
 $18,288
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.

JPMorgan Chase & Co.
Consolidated statements of changes in stockholders’ equity (unaudited)
 Three months ended March 31,   Three months ended June 30, Six months ended June 30,
(in millions, except per share data) 2020
 2019
  2020 2019 2020 2019
Preferred stock             
Balance at the beginning of the period $26,993
 $26,068
  $30,063
 $26,993
 $26,993
 $26,068
Issuance 4,500
 1,850
  —
 —
 4,500
 1,850
Redemption (1,430) (925)  —
 —
 (1,430) (925)
Balance at March 31 30,063
 26,993
 
Balance at June 30 30,063
 26,993
 30,063
 26,993
             
Common stock             
Balance at the beginning and end of the period 4,105
 4,105
  4,105
 4,105
 4,105
 4,105
             
Additional paid-in capital             
Balance at the beginning of the period 88,522
 89,162
  87,857
 88,170
 88,522
 89,162
Shares issued and commitments to issue common stock for employee shared-based compensation awards, and related tax effects (660) (949)  268
 189
 (392) (760)
Other (5) (43)  —
 —
 (5) (43)
Balance at March 31 87,857
 88,170
 
Balance at June 30 88,125
 88,359
 88,125
 88,359
             
Retained earnings             
Balance at the beginning of the period 223,211
 199,202
  220,226
 205,437
 223,211
 199,202
Cumulative effect of changes in accounting principle (2,650) 62
  —
 —
 (2,650) 62
Net income 2,865
 9,179
  4,687
 9,652
 7,552
 18,831
Dividends declared:             
Preferred stock (421) (374)  (401) (404) (822) (778)
Common stock ($0.90 and $0.80 per share)
 (2,779) (2,632) 
Balance at March 31 220,226
 205,437
 
Common stock ($0.90 and $0.80 per share and $1.80 and $1.60 per share, respectively)
 (2,780) (2,592) (5,559) (5,224)
Balance at June 30 221,732
 212,093
 221,732
 212,093
             
Accumulated other comprehensive income/(loss)             
Balance at the beginning of the period 1,569
 (1,507)  7,418
 (558) 1,569
 (1,507)
Other comprehensive income/(loss), after-tax 5,849
 949
  1,371
 1,672
 7,220
 2,621
Balance at March 31 7,418
 (558) 
Balance at June 30 8,789
 1,114
 8,789
 1,114
             
Shares held in RSU Trust, at cost             
Balance at the beginning and end of the period (21) (21) 
Balance at the beginning of the period

 (21) (21) (21) (21)
Liquidation of RSU Trust 10
 —
 10
 —
Balance at June 30 (11) (21) (11) (21)
             
Treasury stock, at cost             
Balance at the beginning of the period (83,049) (60,494)  (88,386) (64,289) (83,049) (60,494)
Repurchase (6,397) (5,091)  —
 (5,210) (6,397) (10,301)
Reissuance 1,060
 1,296
  49
 71
 1,109
 1,367
Balance at March 31 (88,386) (64,289) 
Balance at June 30 (88,337) (69,428) (88,337) (69,428)
             
Total stockholders’ equity $261,262
 $259,837
  $264,466
 $263,215
 $264,466
 $263,215

Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.


JPMorgan Chase & Co.
Consolidated statements of cash flows (unaudited)
Three months ended March 31,Six months ended June 30,
(in millions)2020
 2019
2020
 2019
Operating activities      
Net income$2,865
 $9,179
$7,552
 $18,831
Adjustments to reconcile net income to net cash used in operating activities:      
Provision for credit losses8,285
 1,495
18,758
 2,644
Depreciation and amortization2,197
 2,038
4,346
 4,084
Deferred tax (benefit)/expense(1,329) 233
(4,846) (42)
Other411
 640
1,197
 1,164
Originations and purchases of loans held-for-sale(18,552) (15,611)(29,412) (35,908)
Proceeds from sales, securitizations and paydowns of loans held-for-sale18,013
 23,528
27,811
 44,995
Net change in:      
Trading assets(164,339) (123,064)(126,476) (111,562)
Securities borrowed145
 (11,154)(2,777) (18,586)
Accrued interest and accounts receivable(49,323) 869
374
 (15,416)
Other assets(61,893) 2,292
(24,157) (10,146)
Trading liabilities97,078
 13,353
69,341
 12,765
Accounts payable and other liabilities45,019
 10,705
18,940
 8,790
Other operating adjustments651
 4,617
2,317
 3,653
Net cash (used in) operating activities(120,772) (80,880)(37,032) (94,734)
Investing activities      
Net change in:      
Federal funds sold and securities purchased under resale agreements1,120
 22,459
(7,580) 53,757
Held-to-maturity securities:      
Proceeds from paydowns and maturities2,599
 570
5,632
 1,315
Purchases(205) —
(5,014) (818)
Available-for-sale securities:      
Proceeds from paydowns and maturities12,420
 7,613
27,070
 30,547
Proceeds from sales50,990
 22,289
65,975
 35,983
Purchases(131,605) (33,244)(242,608) (106,085)
Proceeds from sales and securitizations of loans held-for-investment7,564
 14,584
12,185
 31,291
Other changes in loans, net(64,925) 3,799
(33,372) (16,903)
Purchases of assets pursuant to nonrecourse advances provided by the FRBB under the MMLF(11,985) —
Net purchases of assets pursuant to nonrecourse advances provided by the FRBB under the MMLF(3,787) —
All other investing activities, net(1,123) (1,769)(2,118) (1,663)
Net cash provided by/(used in) investing activities(135,150) 36,301
(183,617) 27,424
Financing activities      
Net change in:      
Deposits297,976
 26,799
382,784
 62,795
Federal funds purchased and securities loaned or sold under repurchase agreements49,273
 40,352
51,894
 19,343
Short-term borrowings12,455
 1,455
7,992
 (9,907)
Beneficial interests issued by consolidated VIEs1,613
 5,671
3,619
 9,346
Proceeds from long-term borrowings34,851
 15,560
57,744
 29,159
Payments of long-term borrowings(29,057) (12,425)(42,944) (38,384)
Proceeds from issuance of preferred stock4,500
 1,850
4,500
 1,850
Redemption of preferred stock(1,430) (925)(1,430) (925)
Treasury stock repurchased(6,517) (5,091)(6,517) (10,301)
Dividends paid(3,188) (3,033)(6,342) (6,081)
All other financing activities, net1,829
 (778)136
 (426)
Net cash provided by financing activities362,305
 69,435
451,436
 56,469
Effect of exchange rate changes on cash and due from banks and deposits with banks(2,480) (1,045)(689) 86
Net increase in cash and due from banks and deposits with banks103,903
 23,811
Net increase/(decrease) in cash and due from banks and deposits with banks230,098
 (10,755)
Cash and due from banks and deposits with banks at the beginning of the period263,631
 278,793
263,631
 278,793
Cash and due from banks and deposits with banks at the end of the period$367,534
 $302,604
$493,729
 $268,038
Cash interest paid$4,374
 $7,336
$9,239
 $13,794
Cash income taxes paid, net763
 534
3,844
 2,892

The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.

Refer to the Glossary of Terms and Acronyms on pages 171–176191-199 for definitions of terms and acronyms used throughout the Notes to Consolidated Financial Statements.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited)
Note 1 – Basis of presentation
JPMorgan Chase & Co. (“JPMorgan Chase” or “the Firm”), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the U.S., with operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. Refer to Note 26 for a further discussion of the Firm’s business segments.
The accounting and financial reporting policies of JPMorgan Chase and its subsidiaries conform to U.S. GAAP. Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by regulatory authorities.
The unaudited Consolidated Financial Statements prepared in conformity with U.S. GAAP require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expense, and the disclosures of contingent assets and liabilities. Actual results could be different from these estimates. In the opinion of management, all normal, recurring adjustments have been included such that this interim financial information is fairly presented.stated.
These unaudited Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements, and related notes thereto, included in JPMorgan Chase’s 2019 Form 10-K.
Certain amounts reported in prior periods have been reclassified to conform with the current presentation.
 
Consolidation
The Consolidated Financial Statements include the accounts of JPMorgan Chase and other entities in which the Firm has a controlling financial interest. All material intercompany balances and transactions have been eliminated.
Assets held for clients in an agency or fiduciary capacity by the Firm are not assets of JPMorgan Chase and are not included on the Consolidated balance sheets.
The Firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity.
Refer to Notes 1 and 14 of JPMorgan Chase’s 2019 Form     10-K for a further description of JPMorgan Chase’s accounting policies regarding consolidation.
Offsetting assets and liabilities
U.S. GAAP permits entities to present derivative receivables and derivative payables with the same counterparty and the related cash collateral receivables and payables on a net basis on the Consolidated balance sheets when a legally enforceable master netting agreement exists. U.S. GAAP also permits securities financing activities to be presented on a net basis when specified conditions are met, including the existence of a legally enforceable master netting agreement. The Firm has elected to net such balances when the specified conditions are met. Refer to Note 1 of JPMorgan Chase’s 2019 Form 10-K for further information on offsetting assets and liabilities.

Accounting standard adopted January 1, 2020
Financial Instruments – Credit Losses (“CECL”)
The adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 13 for further information.
The following table presents the impacts to the allowance for credit losses and retained earnings upon adoption of this guidance on January 1, 2020:
(in billions)December 31, 2019CECL adoption impactJanuary 1, 2020
Allowance for credit losses   
Consumer, excluding credit card(a)
$2.6
$0.4
$3.0
Credit card5.7
5.5
11.2
Wholesale(a)
6.0
(1.6)4.4
Firmwide$14.3
$4.3
$18.6
    
Retained earnings   
Firmwide allowance increase $4.3
 
Balance sheet reclassification(b)
 (0.8) 
Total pre-tax impact 3.5
 
Tax effect (0.8) 
Decrease to retained earnings $2.7
 
(a)In conjunction with the adoption of CECL, the Firm reclassified risk-rated business banking and auto dealer loans and lending-related commitments held in CCB from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied inwhen determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Accordingly, $0.6 billion of the allowance for credit losses at December 31, 2019 and $(0.2) billion of the CECL adoption impact were reclassified.
(b)Represents the recognition of the nonaccretable difference on purchased credit deteriorated loans and the Firm's election to recognize the reserve for uncollectible accrued interest on credit card loans in the allowance, both of which resulted in a corresponding increase to loans.
Securities Financing Agreements
As permitted by the guidance, the Firm elected the fair value option for certain securities financing agreements. The difference between their carrying amount and fair value was immaterial and was recorded as part of the Firm’s cumulative-effect adjustment. Refer to Note 11 for further information.
Investment securities
Upon adoption, HTM securities are presented net of an allowance for credit losses. The guidance also amended the previous other-than-temporary impairment (“OTTI”) model for AFS securities to incorporate an allowance. Refer to Note 10 for further information.
 
Credit quality disclosures
As a result of the adoption of this guidance, the Firm expanded credit quality disclosures for financial assets measured at amortized cost particularly within the retained loan portfolios. Refer to Note 12 for further information.
PCD loans
The adoption resulted in a change in the accounting for PCI loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Upon adoption, the Firm recognized the nonaccretable difference on PCD loans in the allowance, which resulted in a corresponding increase to loans. PCD loans are subject to the Firm’s nonaccrual and charge-off policies and are now reported in the consumer, excluding credit card portfolio’s residential real estate loan class. Refer to Note 12 for further information.
Changes in credit portfolio segments and classes
In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer excluding credit card portfolio segment to the wholesale portoflio segment, to align with the methodology applied inwhen determining the allowance. The Firm also revised its loan classes. Prior- period amounts have been revised to conform with the current presentation. Refer to Note 12 for further information.
Accrued interest receivables
As permitted by the guidance, the Firm elected to continue classifying accrued interest on loans, including accrued but unbilled interest on credit card loans, and investment securities in accrued interest and accounts receivables on the Consolidated balance sheets. For credit card loans, accrued interest once billed is then recognized in the loan balances, as it is billed, with the related allowance recorded in the allowance for credit losses. Changes in the allowance for credit losses on accrued interest on credit card loans are recognized in the provision for credit losses and charge-offs are recognized by reversing interest income. For other loans and securities, the Firm generally does not recognize an allowance for credit losses on accrued interest receivables, consistent with its policy to write them off no later than 90 days past due by reversing interest income.
Capital transition provisions
As disclosed in the Firm’s 2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule that provided the option to temporarily delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period (“CECL capital transition provisions”). Refer to Note 22 for further information.

Note 2 – Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy.


The following table presents the assets and liabilities reported at fair value as of March 31,June 30, 2020, and December 31, 2019, by major product category and fair value hierarchy.
Assets and liabilities measured at fair value on a recurring basisAssets and liabilities measured at fair value on a recurring basis




Assets and liabilities measured at fair value on a recurring basis





Fair value hierarchy
Derivative
netting
adjustments(f)

Fair value hierarchy
Derivative
netting
adjustments(f)

          
March 31, 2020 (in millions)Level 1Level 2
Level 3
Total fair value
June 30, 2020 (in millions)Level 1Level 2
Level 3
Derivative
netting
adjustments(f)
Total fair value
Federal funds sold and securities purchased under resale agreements$—
$235,859

$—

$—
$235,859
$—
$243,953

$—

$243,953
Securities borrowed—
51,576

—

—
51,576
—
42,525

—

42,525
Trading assets:























Debt instruments:























Mortgage-backed securities:























U.S. GSEs and government agencies(a)
—
87,669

519

—
88,188
—
68,115

469

—
68,584
Residential – nonagency—
2,665

24

—
2,689
—
2,314

23

—
2,337
Commercial – nonagency—
2,250

3

—
2,253
—
1,477

2

—
1,479
Total mortgage-backed securities—
92,584

546

—
93,130
—
71,906

494

—
72,400
U.S. Treasury, GSEs and government agencies(a)
91,922
12,722

—

—
104,644
117,168
11,886

—

—
129,054
Obligations of U.S. states and municipalities—
6,489

9

—
6,498
—
7,484

8

—
7,492
Certificates of deposit, bankers’ acceptances and commercial paper—
3,769
 —
 —
3,769
—
2,058
 —
 —
2,058
Non-U.S. government debt securities37,860
47,058
 175
 —
85,093
32,563
34,972
 167
 —
67,702
Corporate debt securities—
22,192
 953
 —
23,145
—
20,792
 946
 —
21,738
Loans(b)
—
42,754
 3,354
 —
46,108
—
38,060
 2,678
 —
40,738
Asset-backed securities—
2,739
 52
 —
2,791
—
2,375
 39
 —
2,414
Total debt instruments129,782
230,307
 5,089
 —
365,178
149,731
189,533
 4,332
 —
343,596
Equity securities82,500
97
 213
 —
82,810
85,042
81
 191
 —
85,314
Physical commodities(c)
4,684
2,498
 —
 —
7,182
5,094
3,680
 —
 —
8,774
Other—
11,494
 221
 —
11,715
—
13,088
 379
 —
13,467
Total debt and equity instruments(d)
216,966
244,396
 5,523
 —
466,885
239,867
206,382
 4,902
 —
451,151
Derivative receivables:          
Interest rate7,333
392,863
 2,307
 (365,602)36,901
2,210
404,569
 2,213
 (371,964)37,028
Credit—
19,252
 828
 (18,895)1,185
—
14,153
 780
 (13,762)1,171
Foreign exchange288
242,180
 1,054
 (224,539)18,983
158
162,834
 803
 (151,220)12,575
Equity—
91,010
 5,135
 (82,930)13,215
—
63,304
 4,628
 (53,075)14,857
Commodity—
37,309
 346
 (26,291)11,364
—
25,405
 213
 (16,403)9,215
Total derivative receivables7,621
782,614
 9,670
 (718,257)81,648
2,368
670,265
 8,637
 (606,424)74,846
Total trading assets(e)
224,587
1,027,010
 15,193
 (718,257)548,533
242,235
876,647
 13,539
 (606,424)525,997
Available-for-sale securities:          
Mortgage-backed securities:          
U.S. GSEs and government agencies(a)
—
135,620
 —
 —
135,620
5
152,301
 —
 —
152,306
Residential – nonagency—
15,443
 —
 —
15,443
—
18,269
 —
 —
18,269
Commercial – nonagency—
6,313
 —
 —
6,313
—
6,805
 —
 —
6,805
Total mortgage-backed securities—
157,376
 —
 —
157,376
5
177,375
 —
 —
177,380
U.S. Treasury and government agencies150,235
—
 —
 —
150,235
214,462
—
 —
 —
214,462
Obligations of U.S. states and municipalities—
30,545
 —
 —
30,545
—
30,426
 —
 —
30,426
Certificates of deposit—
76
 —
 —
76
—
—
 —
 —
—
Non-U.S. government debt securities13,192
9,569
 —
 —
22,761
13,743
10,317
 —
 —
24,060
Corporate debt securities—
802
 —
 —
802
—
674
 —
 —
674
Asset-backed securities:          
Collateralized loan obligations—
30,975
 —
 —
30,975
—
30,798
 —
 —
30,798
Other—
7,174
 —
 —
7,174
—
8,083
 —
 —
8,083
Total available-for-sale securities163,427
236,517
 —
 —
399,944
228,210
257,673
 —
 —
485,883
Loans—
5,931
 283
 —
6,214
—
5,662
 261
 —
5,923
Mortgage servicing rights—
—
 3,267
 —
3,267
—
—
 3,080
 —
3,080
Other assets(e)
6,923
12,724
 416
 —
20,063
6,969
4,361
 541
 —
11,871
Total assets measured at fair value on a recurring basis$394,937
$1,569,617
 $19,159
 $(718,257)$1,265,456
$477,414
$1,430,821
 $17,421
 $(606,424)$1,319,232
Deposits$—
$19,430
 $3,179
 $—
$22,609
$—
$18,295
 $3,217
 $—
$21,512
Federal funds purchased and securities loaned or sold under repurchase agreements—
194,690
 —
 —
194,690
—
189,341
 —
 —
189,341
Short-term borrowings—
22,281
 2,039
 —
24,320
—
17,629
 2,305
 —
19,934
Trading liabilities:     

     

Debt and equity instruments(d)
95,909
23,139
 61
 —
119,109
84,681
22,995
 59
 —
107,735
Derivative payables:     

     

Interest rate8,752
353,858
 2,443
 (351,654)13,399
2,052
365,150
 2,317
 (356,749)12,770
Credit—
19,939
 939
 (18,766)2,112
—
15,009
 917
 (13,846)2,080
Foreign exchange283
253,779
 1,981
 (232,749)23,294
140
175,118
 1,398
 (160,479)16,177
Equity—
88,241
 5,961
 (82,165)12,037
—
62,046
 6,664
 (52,748)15,962
Commodity—
39,229
 771
 (25,755)14,245
—
26,637
 510
 (16,659)10,488
Total derivative payables9,035
755,046
 12,095
 (711,089)65,087
2,192
643,960
 11,806
 (600,481)57,477
Total trading liabilities104,944
778,185
 12,156
 (711,089)184,196
86,873
666,955
 11,865
 (600,481)165,212
Accounts payable and other liabilities3,407
709
 15
 —
4,131
2,648
579
 91
 —
3,318
Beneficial interests issued by consolidated VIEs—
77
 —
 —
77
—
40
 —
 —
40
Long-term debt—
48,476
 20,141
 —
68,617
—
52,030
 22,728
 —
74,758
Total liabilities measured at fair value on a recurring basis$108,351
$1,063,848
 $37,530
 $(711,089)$498,640
$89,521
$944,869
 $40,206
 $(600,481)$474,115



Fair value hierarchy
Derivative
netting
adjustments(f)
 
        
December 31, 2019 (in millions)Level 1Level 2
Level 3
 Total fair value
Federal funds sold and securities purchased under resale agreements$—
$14,561

$—

$—
 $14,561
Securities borrowed—
6,237

—

—
 6,237
Trading assets:  
 
   
Debt instruments:  
 
   
Mortgage-backed securities:  
 
   
U.S. GSEs and government agencies(a)
—
44,510

797

—
 45,307
Residential – nonagency—
1,977

23

—
 2,000
Commercial – nonagency—
1,486

4

—
 1,490
Total mortgage-backed securities—
47,973

824

—
 48,797
U.S. Treasury, GSEs and government agencies(a)
78,289
10,295

—

—
 88,584
Obligations of U.S. states and municipalities—
6,468

10

—
 6,478
Certificates of deposit, bankers’ acceptances and commercial paper—
252

—

—
 252
Non-U.S. government debt securities26,600
27,169

155

—
 53,924
Corporate debt securities—
17,956

558

—
 18,514
Loans(b)
—
47,047

1,382

—
 48,429
Asset-backed securities—
2,593

37

—
 2,630
Total debt instruments104,889
159,753

2,966

—
 267,608
Equity securities71,890
244

196

—
 72,330
Physical commodities(c)
3,638
3,579

—

—
 7,217
Other—
13,896

232

—
 14,128
Total debt and equity instruments(d)
180,417
177,472

3,394

—
 361,283
Derivative receivables: 







 

Interest rate721
311,173

1,400

(285,873) 27,421
Credit—
14,252

624

(14,175) 701
Foreign exchange117
137,938

432

(129,482) 9,005
Equity—
43,642

2,085

(39,250) 6,477
Commodity—
17,058

184

(11,080) 6,162
Total derivative receivables838
524,063

4,725

(479,860) 49,766
Total trading assets(e)
181,255
701,535

8,119

(479,860) 411,049
Available-for-sale securities: 







 

Mortgage-backed securities: 







 

U.S. GSEs and government agencies(a)
—
110,117

—

—
 110,117
Residential – nonagency—
12,989

1

—
 12,990
Commercial – nonagency—
5,188

—

—
 5,188
Total mortgage-backed securities—
128,294

1

—
 128,295
U.S. Treasury and government agencies139,436
—

—

—
 139,436
Obligations of U.S. states and municipalities—
29,810

—

—
 29,810
Certificates of deposit—
77

—

—
 77
Non-U.S. government debt securities12,966
8,821

—

—
 21,787
Corporate debt securities—
845

—

—
 845
Asset-backed securities: 







 

Collateralized loan obligations—
24,991

—

—
 24,991
Other—
5,458

—

—
 5,458
Total available-for-sale securities152,402
198,296

1

—
 350,699
Loans—
7,104

—

—
 7,104
Mortgage servicing rights—
—

4,699

—
 4,699
Other assets(e)
7,305
452

724

—
 8,481
Total assets measured at fair value on a recurring basis$340,962
$928,185

$13,543

$(479,860) $802,830
Deposits$—
$25,229

$3,360

$—
 $28,589
Federal funds purchased and securities loaned or sold under repurchase agreements—
549

—

—
 549
Short-term borrowings—
4,246

1,674

—
 5,920
Trading liabilities:  
 


 

Debt and equity instruments(d)
59,047
16,481

41

—
 75,569
Derivative payables:  



   
Interest rate795
276,746

1,732

(270,670) 8,603
Credit—
14,358

763

(13,469) 1,652
Foreign exchange109
143,960

1,039

(131,950) 13,158
Equity—
47,261

5,480

(40,204) 12,537
Commodity—
19,685

200

(12,127) 7,758
Total derivative payables904
502,010

9,214

(468,420) 43,708
Total trading liabilities59,951
518,491

9,255

(468,420) 119,277
Accounts payable and other liabilities3,231
452

45

—
 3,728
Beneficial interests issued by consolidated VIEs—
36

—

—
 36
Long-term debt—
52,406

23,339

—
 75,745
Total liabilities measured at fair value on a recurring basis$63,182
$601,409

$37,673

$(468,420) $233,844
(a)At March 31,June 30, 2020, and December 31, 2019, included total U.S. GSE obligations of $161.2$153.3 billion and $104.5 billion, respectively, which were mortgage-related.
(b)At March 31,June 30, 2020, and December 31, 2019, included within trading loans were $15.9$14.3 billion and $19.8 billion, respectively, of residential first-lien mortgages, and $3.0$2.0 billion and $3.4 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $8.9$7.1 billion and $13.6 billion, 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. Refer to Note 5 for a further discussion of the Firm’s hedge accounting relationships. 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)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,June 30, 2020, and December 31, 2019, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $659$702 million and $684 million, respectively. Included in these balances at March 31,June 30, 2020, and December 31, 2019, were trading assets of $47$45 million and $54 million, respectively, and other assets of $612$657 million and $630 million, respectively.
(f)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. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
Level 3 valuations
Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K for further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments.
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 the weighted or arithmetic 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, weighted and arithmetic average values 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.



Level 3 inputs(a)
Level 3 inputs(a)
 
Level 3 inputs(a)
 
March 31, 2020 
June 30, 2020June 30, 2020 
Product/Instrument
Fair value
(in millions)
 Principal valuation technique
Unobservable inputs(g)
Range of input values
Average(i)
Fair value
(in millions)
 Principal valuation technique
Unobservable inputs(g)
Range of input values
Average(i)
Residential mortgage-backed securities and loans(b)
$1,142
 Discounted cash flowsYield1%–25% 5%$1,035
 Discounted cash flowsYield(9)%–25% 5%
 Prepayment speed0%–39% 11%  Prepayment speed0%–44% 12%
  Conditional default rate0%–30% 14%  Conditional default rate0%–30% 12%
  Loss severity0%–100% 8%  Loss severity0%–110% 7%
Commercial mortgage-backed securities and loans(c)
509
 Market comparablesPrice$0–$106 $92538
 Market comparablesPrice$0–$101 $85
Obligations of U.S. states and municipalities9
 Market comparablesPrice$78–$100 $978
 Market comparablesPrice$80–$100 $97
Corporate debt securities953
 Market comparablesPrice$4–$104 $71946
 Market comparablesPrice$3–$119 $69
Loans(d)
167
 Discounted cash flowsYield4%–30% 7%160
 Discounted cash flowsYield5%–30% 8%
2,365
 Market comparablesPrice$5–$100 $731,700
 Market comparablesPrice$6–$104 $76
Asset-backed securities52
 Market comparablesPrice$1–$94 $6139
 Market comparablesPrice$1–$79 $49
Net interest rate derivatives(192) Option pricingInterest rate volatility6%–91% 21%(139) Option pricingInterest rate volatility7%–121% 24%
  Interest rate spread volatility16 bps–30 bps 23 bps  Interest rate spread volatility20bps–30bps 25bps
  Interest rate correlation(65)%–94% 38%  Interest rate correlation(65)%–94% 43%
  IR-FX correlation(50)%–35% 1%  IR-FX correlation(50)%–35% 0%
56
 Discounted cash flowsPrepayment speed4%–30% 3%35
 Discounted cash flowsPrepayment speed3%–30% 10%
Net credit derivatives(147) Discounted cash flowsCredit correlation37%–77% 50%(175) Discounted cash flowsCredit correlation29%–64% 44%
  Credit spread8 bps–2,230 bps 516 bps  Credit spread7bps–1,443bps 481bps
  Recovery rate1%–70% 50%  Recovery rate3%–70% 47%
  Conditional default rate2%–23% 11%  Conditional default rate2%–66% 24%
  Loss severity100% 100%  Loss severity100% 100%
36
 Market comparablesPrice$1–$115 $6038
 Market comparablesPrice$1–$115 $71
Net foreign exchange derivatives(784) Option pricingIR-FX correlation(58)%–70% 33%(441) Option pricingIR-FX correlation(58)%–70% 12%
(143) Discounted cash flowsPrepayment speed9% 9%(154) Discounted cash flowsPrepayment speed9% 9%
Net equity derivatives(826) Option pricing
Forward equity price(h)
54%–106% 98%(2,036) Option pricing
Forward equity price(h)
64%–103% 98%
  Equity volatility4%–179% 40%  Equity volatility4%–123% 36%
  Equity correlation25%–100% 78%  Equity correlation25%–100% 79%
  Equity-FX correlation(77)%–40% (17)%  Equity-FX correlation(77)%–55% (17)%
  Equity-IR correlation20%–35% 28%  Equity-IR correlation20%–35% 28%
Net commodity derivatives(425) Option pricingForward industrial metal price$ 1,166 / MT–$ 15,357 / MT $ 6,159 / MT(297) Option pricingForward industrial metal price$ 1,209 / MT–$ 16,649 / MT $ 6,670 / MT
  Forward power price$ 12 /MWH–$ 53 /MWH $ 22 /MWH  Forward power price$ 13 / MWH–$ 80 / MWH $ 25 / MWH
  Commodity volatility3%–236% 29%  Commodity volatility4%–112% 27%
  Commodity correlation(45)%–95% 31%  Commodity correlation(45)%–95% 30%
MSRs3,267
 Discounted cash flowsRefer to Note 15 3,080
 Discounted cash flowsRefer to Note 15 
Other assets242
 Discounted cash flowsCredit spread45 bps 45 bps412
 Discounted cash flowsCredit spread45bps 45bps
  Yield12% 12%  Yield12% 12%
395
 Market comparablesPrice$16–$119 $37508
 Market comparablesPrice$30–$122 $40
Long-term debt, short-term borrowings, and deposits(e)
25,359
 Option pricingInterest rate volatility6%–91% 21%28,250
 Option pricingInterest rate volatility7%–121% 24%
 Interest rate correlation(65)%–94% 38%  Interest rate correlation(65)%–94% 43%
 IR-FX correlation(50)%–35% 1%  IR-FX correlation(50)%–35% 0%
 Equity correlation25%–100% 78%  Equity correlation25%–100% 79%
 Equity-FX correlation(77)%–40% (17)%  Equity-FX correlation(77)%–55% (17)%
 Equity-IR correlation20%–35% 28%  Equity-IR correlation20%–35% 28%
Other level 3 assets and liabilities, net(f)
312
 208
 
(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)Comprises U.S. GSEs and government agency securities of $519$469 million, nonagency securities of $24$23 million and trading loans of $599$543 million.
(c)Comprises nonagency securities of $3$2 million, trading loans of $223$275 million and non-trading loans of $283$261 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.
(h)Forward equity price is expressed as a percentage of the current equity price.
(i)Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.

Changes in and ranges of unobservable inputs
Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K 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.
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 six months ended March 31,June 30, 2020 and 2019. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs 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  Fair value measurements using significant unobservable inputs  
Three months ended
March 31, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized gains/(losses) 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
March 31, 2020		Change in unrealized gains/(losses) related
to financial instruments held at March 31, 2020
Purchases(f)
Sales 
Settlements(g)
Three months ended
June 30, 2020
(in millions)		Fair value at
April 1,
2020		Total realized/unrealized gains/(losses) 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2020
Change in unrealized gains/(losses) related
to financial instruments held at June 30, 2020
Purchases(f)
Sales 
Settlements(g)
Assets:(a)
                    
Trading assets:                    
Debt instruments:                    
Mortgage-backed securities:                    
U.S. GSEs and government agencies$797
 $(139) $19
$(116) $(42)$—
$—
 $519
 $(131) $519
 $(10) $5
$(5) $(40)$—
$—
 $469
 $(8) 
Residential – nonagency23
 (1) 2
—
 —
—
—
 24
 (1) 24
 —
 2
(2) (1)—
—
 23
 —
 
Commercial – nonagency4
 —
 1
—
 (1)1
(2) 3
 —
 3
 —
 —
—
 —
—
(1) 2
 —
 
Total mortgage-backed securities824
 (140) 22
(116) (43)1
(2) 546
 (132) 546
 (10) 7
(7) (41)—
(1) 494
 (8) 
Obligations of U.S. states and municipalities10
 —
 —
(1) —
—
—
 9
 —
 9
 —
 —
—
 (1)—
—
 8
 —
 
Non-U.S. government debt securities155
 (12) 90
(57) —
—
(1) 175
 (10) 175
 16
 49
(68) (5)—
—
 167
 14
 
Corporate debt securities558
 (55) 292
(42) —
227
(27) 953
 (50) 953
 —
 69
(56) (9)65
(76) 946
 3
 
Loans1,382
 (161) 699
(162) (53)1,788
(139) 3,354
 (190) 3,354
 (50) 167
(98) (464)517
(748) 2,678
 (47) 
Asset-backed securities37
 (2) 36
(15) (1)—
(3) 52
 (1) 52
 (5) 1
—
 (2)—
(7) 39
 1
 
Total debt instruments2,966
 (370) 1,139
(393) (97)2,016
(172) 5,089
 (383) 5,089
 (49) 293
(229) (522)582
(832) 4,332
 (37) 
Equity securities196
 (38) 10
(4) —
82
(33) 213
 (39) 213
 (65) 14
(1) —
73
(43) 191
 (44) 
Other232
 (1) 9
(5) (12)—
(2) 221
 2
 221
 165
 1
—
 (9)2
(1) 379
 184
 
Total trading assets – debt and equity instruments3,394
 (409)
(c) 
1,158
(402) (109)2,098
(207) 5,523
 (420)
(c) 
5,523
 51
(c) 
308
(230) (531)657
(876) 4,902
 103
(c) 
Net derivative receivables:(b)
                    
Interest rate(332) 642
 66
(50) (241)(172)(49) (136) 282
 (136) 753
 21
(17) (622)(180)77
 (104) 447
 
Credit(139) 108
 18
(128) (33)60
3
 (111) 65
 (111) (46) 30
(6) 16
11
(31) (137) (41) 
Foreign exchange(607) (339) 38
(4) (14)—
(1) (927) (508) (927) 182
 1
(5) 123
8
23
 (595) (249) 
Equity(3,395) 3,037
 59
(548) 583
(656)94
 (826) 3,707
 (826) (1,036) 530
(541) (54)99
(208) (2,036) (1,215) 
Commodity(16) (403) 4
(15) 9
(6)2
 (425) (399) (425) 140
 7
(13) 9
2
(17) (297) 179
 
Total net derivative receivables(4,489) 3,045
(c) 
185
(745) 304
(774)49
 (2,425) 3,147
(c) 
(2,425) (7)
(c) 
589
(582) (528)(60)(156) (3,169) (879)
(c) 
Available-for-sale securities:                    
Mortgage-backed securities1
 —
 —
—
 (1)—
—
 —
 —
 —
 —
 —
—
 —
—
—
 —
 —
 
Total available-for-sale securities1
 —

—
—
 (1)—
—
 —
 —

—
 —

—
—
 —
—
—
 —
 —

Loans—
 (11)
(c) 
—
—
 —
294
—
 283
 (10)
(c) 
283
 (26)
(c) 
—
—
 —
4
—
 261
 (27)
(c) 
Mortgage servicing rights4,699
 (1,382)
(d) 
273
(75) (248)—
—
 3,267
 (1,382)
(d) 
3,267
 (111)
(d) 
169
2
 (247)—
—
 3,080
 (111)
(d) 
Other assets724
 (82)
(c) 
2
(28) (200)—
—
 416
 (81)
(c) 
416
 50
(c) 
35
—
 —
40
—
 541
 50
(c) 
                    
Fair value measurements using significant unobservable inputs  Fair value measurements using significant unobservable inputs  
Three months ended
March 31, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized (gains)/losses 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
March 31, 2020		Change in unrealized (gains)/losses related
to financial instruments held at March 31, 2020
PurchasesSalesIssuances
Settlements(g)
Three months ended
June 30, 2020
(in millions)		Fair value at
April 1,
2020		Total realized/unrealized (gains)/losses 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at June 30, 2020
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
                    
Deposits$3,360
 $(149)
(c)(e) 
$—
$—
$386
$(172)$4
$(250) $3,179
 $(135)
(c)(e) 
$3,179
 $194
(c)(e) 
$—
$—
$80
$(256)$261
$(241) $3,217
 $160
(c)(e) 
Short-term borrowings1,674
 (345)
(c)(e) 
—
—
1,615
(929)40
(16) 2,039
 (409)
(c)(e) 
2,039
 98
(c)(e) 
—
—
925
(747)12
(22) 2,305
 85
(c)(e) 
Trading liabilities – debt and equity instruments41
 3
(c) 
(75)7
—
—
86
(1) 61
 6
(c) 
61
 —

(1)—
—
(5)7
(3) 59
 —

Accounts payable and other liabilities45
 (8)
(c) 
(23)1
—
—
—
—
 15
 (7)
(c) 
15
 4
(c) 
—
32
—
—
40
—
 91
 3
(c) 
Beneficial interests issued by consolidated VIEs—
 —

—
—
—
—
—
—
 —
 —

—
 —

—
—
—
—
—
—
 —
 —

Long-term debt23,339
 (4,110)
(c)(e) 
—
—
4,607
(3,549)370
(516) 20,141
 (3,984)
(c)(e) 
20,141
 2,705
(c)(e) 
—
—
1,600
(1,809)608
(517) 22,728
 2,194
(c)(e) 


Fair value measurements using significant unobservable inputs

 Fair value measurements using significant unobservable inputs

 
Three months ended
March 31, 2019
(in millions)		Fair value at
Jan 1,
2019		 Total realized/unrealized gains/(losses)
 
 

Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
March 31, 2019		Change in unrealized gains/(losses) related
to financial instruments held at March 31, 2019
Purchases(f)
Sales 
 
Settlements(g)
 
Three months ended
June 30, 2019
(in millions)		Fair value at
April 1,
2019		Total realized/unrealized gains/(losses)
 

Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2019		Change in unrealized gains/(losses) related
to financial instruments held at June 30, 2019
Purchases(f)
Sales 
Settlements(g)
 
Assets:(a)

 


 
 


 









 


 



 








Trading assets:
 


 
 


 









 


 



 








Debt instruments:
 


 
 


 









 


 



 








Mortgage-backed securities:
 


 
 


 









 


 



 








U.S. GSEs and government agencies$549
 $(15)
$5
$(100) 
 $(18)
$1
$(10)
$412

$(16)
$412
 $(25)
$318
$(68) 
$(20)
$—
$—

$617

$(24)
Residential – nonagency64
 24

70
(69) 
 (1)
15
(18)
85

1

85
 1

11
(14) 
(19)
—
(22)
42

—

Commercial – nonagency11
 2

12
(19) 
 (2)
15
(2)
17

1

17
 —

4
—
 
(12)
—
—

9

(1)
Total mortgage-backed securities624
 11

87
(188) 
 (21)
31
(30)
514

(14)
514
 (24)
333
(82) 
(51)
—
(22)
668

(25)
Obligations of U.S. states and municipalities689
 13

1
(74) 
 (6)
—
—

623

14

623
 1

57
(1) 
—

—
—

680

—

Non-U.S. government debt securities155
 (1)
71
(54) 
 —

2
(3)
170

(1)
170
 —

117
(103) 
—

9
(3)
190

—

Corporate debt securities334
 22

223
(7) 
 —

28
(32)
568

39

568
 7

61
(62) 
(53)
51
(10)
562

22

Loans1,706
 83

72
(118) 
 (120)
159
(41)
1,741

83

1,741
 56

385
(216) 
(156)
139
(171)
1,778

68

Asset-backed securities127
 (2)
17
(21) 
 (7)
20
(15)
119

(4)
119
 2

2
(58) 
(30)
—
(2)
33

2

Total debt instruments3,635
 126

471
(462) 
 (154)
240
(121)
3,735

117

3,735
 42

955
(522) 
(290)
199
(208)
3,911

67

Equity securities232
 (2)
15
(79) 
 (22)
75
(17)
202

(2)
202
 (12)
8
(3) 
—

21
(69)
147

(12)
Other301
 4

12
(1) 
 (11)
1
(2)
304

13

304
 20

3
—
 
(15)
—
(1)
311

35

Total trading assets – debt and equity instruments4,168
 128
(c) 
498
(542) 
 (187)
316
(140)
4,241

128
(c) 
4,241
 50
(c) 
966
(525) 
(305)
220
(278)
4,369

90
(c) 
Net derivative receivables:(b)


 






 
 


 










 






 



 








Interest rate(38) (322)
19
(27)
(i) 

 178
(i) 
18
25

(147)
(376)
(147) (341)
28
(60) 
(57)
(6)39

(544)
(459)
Credit(107) (17)
—
(1) 
 6

3
1

(115)
(21)
(115) (127)
13
(1) 
4

1
(7)
(232)
(139)
Foreign exchange(297) (245)
1
(9) 
 181

(8)21

(356)
(220)
(356) 58

10
(8) 
114

(17)6

(193)
82

Equity(2,225) 731

127
(297) 
 (401)
(67)66

(2,066)
226

(2,066) (21)
34
(158) 
(284)
(148)83

(2,560)
(91)
Commodity(1,129) 533

3
(88) 
 24

1
(9)
(665)
507

(665) (171)
7
(83) 
21

(17)—

(908)
(151)
Total net derivative receivables(3,796) 680
(c) 
150
(422) 
 (12)
(53)104

(3,349)
116
(c) 
(3,349) (602)
(c) 
92
(310) 
(202)
(187)121

(4,437)
(758)
(c) 
Available-for-sale securities:   
  
  
 
 
 
   
  
 
 
 
 
Mortgage-backed securities1
 —

—
—
 
 (1)
—
—

—

—

—
 —

—
—
 
—

—
—

—

—

Total available-for-sale securities1
 —

—
—
 
 (1)
—
—

—

—

—
 —

—
—
 
—

—
—

—

—

Loans122
 3
(c) 
—
—
 
 (2)
—
—

123

3
(c) 
123
 1
(c) 
—
—
 
(119)
—
—

5

—

Mortgage servicing rights6,130
 (299)
(d) 
436
(111) 
 (199)
—
—

5,957

(299)
(d) 
5,957
 (826)
(d) 
426
(217) 
(247)
—
—

5,093

(826)
(d) 
Other assets927
 (7)
(c) 
9
(80)   (1) —
(7) 841
 (10)
(c) 
841
 (89)
(c) 
142
(8)  (26) 1
—
 861
 (92)
(c) 
                              

Fair value measurements using significant unobservable inputs

Fair value measurements using significant unobservable inputs

Three months ended
March 31, 2019
(in millions)		Fair value at
Jan 1,
2019		 Total realized/unrealized (gains)/losses

 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
March 31, 2019		Change in unrealized (gains)/losses related
to financial instruments held at March 31, 2019
PurchasesSales Issuances
Settlements(g)

Three months ended
June 30, 2019
(in millions)		Fair value at
April 1,
2019		Total realized/unrealized (gains)/losses

 

 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at June 30, 2019
PurchasesSales Issuances
Settlements(g)

Liabilities:(a)

 


 
 

  








 


 


  







Deposits$4,169
 $152
(c)(e) 
$—
$—
 $335
 $(24)
$—
$(104)
$4,528

$144
(c)(e) 
$4,528
 $89
(c)(e) 
$—
$—
 $92
$(292)
$—
$(351)
$4,066

$104
(c)(e) 
Short-term borrowings1,523
 46
(c)(e) 
—
—
 651
 (601)
1
(118)
1,502

80
(c)(e) 
1,502
 72
(c)(e) 
—
—
 1,037
(624)
67
(2)
2,052

28
(c)(e) 
Trading liabilities – debt and equity instruments50
 —

(2)11
 —
 —

3
(10)
52

1
(c) 
52
 —

(5)5
 —
—

4
(11)
45

—

Accounts payable and other liabilities10
 —

(5)10
 —
 —

—
—

15

—

15
 (1)
(c) 
(3)80
 —
—

1
—

92

(1)
(c) 
Beneficial interests issued by consolidated VIEs1
 (1)
(c) 
—
—
 —
 —

—
—

—

—

—
 —

—
—
 —
—

—
—

—

—

Long-term debt19,418
 1,273
(c)(e) 
—
—
 2,051
 (1,188)
273
(172)
21,655

1,625
(c)(e) 
21,655
 455
(c)(e) 
—
—
 2,648
(2,729)
200
(366)
21,863

621
(c)(e) 






 Fair value measurements using significant unobservable inputs  
Six months ended
June 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized gains/(losses)    
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2020
Change in unrealized gains/(losses) related
to financial instruments held at June 30, 2020
Purchases(f)
Sales 
Settlements(g)
Assets:(a)
               
Trading assets:               
Debt instruments:               
Mortgage-backed securities:               
U.S. GSEs and government agencies$797
 $(149) $24
$(121) $(82)$—
$—
 $469
 $(139) 
Residential – nonagency23
 (1) 4
(2) (1)—
—
 23
 2
 
Commercial – nonagency4
 —
 1
—
 (1)1
(3) 2
 4
 
Total mortgage-backed securities824
 (150) 29
(123) (84)1
(3) 494
 (133) 
Obligations of U.S. states and municipalities10
 —
 —
(1) (1)—
—
 8
 —
 
Non-U.S. government debt securities155
 4
 139
(125) (5)—
(1) 167
 (6) 
Corporate debt securities558
 (55) 361
(98) (9)292
(103) 946
 (11) 
Loans1,382
 (211) 866
(260) (517)2,305
(887) 2,678
 (174) 
Asset-backed securities37
 (7) 37
(15) (3)—
(10) 39
 —
 
Total debt instruments2,966
 (419) 1,432
(622) (619)2,598
(1,004) 4,332
 (324) 
Equity securities196
 (103) 24
(5) —
155
(76) 191
 (79) 
Other232
 164
 10
(5) (21)2
(3) 379
 184
 
Total trading assets – debt and equity instruments3,394
 (358)
(c) 
1,466
(632) (640)2,755
(1,083) 4,902
 (219)
(c) 
Net derivative receivables:(b)
               
Interest rate(332) 1,395
 87
(67) (863)(352)28
 (104) 286
 
Credit(139) 62
 48
(134) (17)71
(28) (137) 28
 
Foreign exchange(607) (157) 39
(9) 109
8
22
 (595) (118) 
Equity(3,395) 2,001
 589
(1,089) 529
(557)(114) (2,036) 2,619
 
Commodity(16) (263) 11
(28) 18
(4)(15) (297) (276) 
Total net derivative receivables(4,489) 3,038
(c) 
774
(1,327) (224)(834)(107) (3,169) 2,539
(c) 
Available-for-sale securities:               
Mortgage-backed securities1
 —
 —
—
 (1)—
—
 —
 —
 
Total available-for-sale securities1
 —
 —
—
 (1)—
—
 —
 —
 
Loans—
 (37)
(c) 
—
—
 —
298
—
 261
 (37)
(c) 
Mortgage servicing rights4,699
 (1,493)
(d) 
442
(73) (495)—
—
 3,080
 (1,493)
(d) 
Other assets724
 (32)
(c) 
37
(28) (200)40
—
 541
 (34)
(c) 
                
 Fair value measurements using significant unobservable inputs  
Six months ended
June 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized (gains)/losses    
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at June 30, 2020
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
               
Deposits$3,360
 $45
(c)(e) 
$—
$—
$466
$(428)$265
$(491) $3,217
 $58
(c)(e) 
Short-term borrowings1,674
 (247)
(c)(e) 
—
—
2,540
(1,676)52
(38) 2,305
 (37)
(c)(e) 
Trading liabilities – debt and equity instruments41
 3
(c) 
(76)7
—
(5)93
(4) 59
 2
(c) 
Accounts payable and other liabilities45
 (4)
(c) 
(23)33
—
—
40
—
 91
 (4)
(c) 
Beneficial interests issued by consolidated VIEs—
 —
 —
—
—
—
—
—
 —
 —
 
Long-term debt23,339
 (1,405)
(c)(e) 
—
—
6,207
(5,358)978
(1,033) 22,728
 (476)
(c)(e) 





 
Fair value measurements using significant unobservable inputs

  
Six months ended
June 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized gains/(losses)      
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2019
Change in unrealized gains/(losses) related
to financial instruments held at June 30, 2019
Purchases(f)
Sales  
Settlements(g)
 
Assets:(a)
                 
Trading assets:                 
Debt instruments:                 
Mortgage-backed securities:                 
U.S. GSEs and government agencies$549
 $(40) $323
$(168)  $(38) $1
$(10) $617
 $(37) 
Residential – nonagency64
 25
 81
(83)  (20) 15
(40) 42
 —
 
Commercial – nonagency11
 2
 16
(19)  (14) 15
(2) 9
 —
 
Total mortgage-backed securities624
 (13) 420
(270)  (72) 31
(52) 668
 (37) 
Obligations of U.S. states and municipalities689
 14
 58
(75)  (6) —
—
 680
 15
 
Non-U.S. government debt securities155
 (1) 188
(157)  —
 11
(6) 190
 2
 
Corporate debt securities334
 29
 284
(69)  (53) 79
(42) 562
 35
 
Loans1,706
 139
 457
(334)  (276) 298
(212) 1,778
 128
 
Asset-backed securities127
 —
 19
(79)  (37) 20
(17) 33
 —
 
Total debt instruments3,635
 168
 1,426
(984)  (444) 439
(329) 3,911
 143
 
Equity securities232
 (14) 23
(82)  (22) 96
(86) 147
 (11) 
Other301
 24
 15
(1)  (26) 1
(3) 311
 45
 
Total trading assets – debt and equity instruments4,168
 178
(c) 
1,464
(1,067)  (492) 536
(418) 4,369
 177
(c) 
Net derivative receivables:(b)
                 
Interest rate(38) (663) 47
(87)
(i) 
 121
(i) 
12
64
 (544) (725) 
Credit(107) (144) 13
(2)  10
 4
(6) (232) (155) 
Foreign exchange(297) (187) 11
(17)  295
 (25)27
 (193) (144) 
Equity(2,225) 710
 161
(455)  (685) (215)149
 (2,560) (134) 
Commodity(1,129) 362
 10
(171)  45
 (16)(9) (908) 485
 
Total net derivative receivables(3,796) 78
(c) 
242
(732)  (214) (240)225
 (4,437) (673)
(c) 
Available-for-sale securities:                 
Mortgage-backed securities1
 —
 —
—
  (1) —
—
 —
 —
 
Total available-for-sale securities1
 —
 —
—
  (1) —
—
 —
 —
 
Loans122
 4
(c) 
—
—
  (121) —
—
 5
 5
(c) 
Mortgage servicing rights6,130
 (1,125)
(d) 
862
(328)  (446) —
—
 5,093
 (1,125)
(d) 
Other assets927
 (96)
(c) 
151
(88)  (27) 1
(7) 861
 (98)
(c) 
                  
 Fair value measurements using significant unobservable inputs  
Six months ended
June 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized (gains)/losses      
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
June 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at June 30, 2019
PurchasesSales Issuances
Settlements(g)
 
Liabilities:(a)
                 
Deposits$4,169
 $241
(c)(e) 
$—
$—
 $427
$(316) $—
$(455) $4,066
 $246
(c)(e) 
Short-term borrowings1,523
 118
(c)(e) 
—
—
 1,688
(1,225) 68
(120) 2,052
 115
(c)(e) 
Trading liabilities – debt and equity instruments50
 —
 (7)16
 —
—
 7
(21) 45
 1
(c) 
Accounts payable and other liabilities10
 (1)
(c) 
(8)90
 —
—
 1
—
 92
 (1)
(c) 
Beneficial interests issued by consolidated VIEs1
 (1)
(c) 
—
—
 —
—
 —
—
 —
 —
 
Long-term debt19,418
 1,728
(c)(e) 
—
—
 4,699
(3,917) 473
(538) 21,863
 2,039
(c)(e) 
(a)Level 3 assets as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 1% and 2% at both March 31,June 30, 2020 and December 31, 2019, respectively. 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 8% and 16%, at March 31,June 30, 2020 and December 31, 2019, respectively.

(b)All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.

(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)Changes in fair value for MSRs are reported in mortgage fees and related income.
(e)
Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three and six months ended March 31,June 30, 2020 and 2019, respectively. Unrealized (gains)/losses are reported in OCI, and they were $(1.1) billion$940 million and $176(5) million for the three months ended March 31,June 30, 2020 and 2019, respectively.respectively and $(199) million and $170 million for the six months ended June 30, 2020 and 2019
(f)Loan originations are included in purchases.
(g)Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations 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 and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
(i)The prior-periodPrior-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 0.6% of total Firm assets at March 31,June 30, 2020. The following describes significant changes to level 3 assets since December 31, 2019, for those items measured at fair value on a recurring basis. Refer to Assets and liabilities measured at fair value on a nonrecurring basis on page 96112 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and six months ended March 31,June 30, 2020
Level 3 assets were $19.2$17.4 billion at June 30, 2020, reflecting a decrease of $1.7 billion from March 31, 2020 reflectingand an increase of $5.6$3.9 billion from December 31, 2019 reflective of heightened market volatility and net transfers largely2019.
The decrease for the three months ended June 30, 2020 was driven by:
$676 million decrease in trading loans due to:to settlements.
•
$507 million decrease in gross equity derivative receivables due to settlements.
The increase for the six months ended June 30, 2020 was driven by:
$2.01.3 billion increase in trading loans.loans due to transfers
$3.1813 million increase in gross interest rate derivative receivables and $2.5 billion increase in gross equity derivative receivables.receivables due to gains net of settlements,
partially offset by
$1.41.6 billion decrease in MSRs.MSRs due to losses.
Refer to the sections below for additional information.
Transfers between levels for instruments carried at fair value on a recurring basis
For the three months ended March 31,June 30, 2020, significant transfers from level 2 into level 3 included the following:
$2.1657 million of total debt and equity instruments, predominantly trading loans, driven by a decrease in observability.
$802 million of gross equity derivative receivables and $703 million of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
$608 million of long-term debt driven by a decrease in observability and an increase in the significance of unobservable inputs for certain structured notes.
For the six months ended June 30, 2020, significant transfers from level 2 into level 3 included the following:
$2.8 billion of total debt and equity instruments, predominantly trading loans, driven by a decrease in observability.
$1.01.8 billion of gross equity derivative receivables, $776 million of gross interest rate derivative payables and $1.7$2.4 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
$978 million of long-term debt driven by a decrease in observability and an increase in the significance of unobservable inputs for certain structured notes.
For the three and six months ended March 31,June 30, 2020, there were no significant transfers from level 3 into level 2.2 included the following:
$876 million and $1.1 billion, respectively, of total debt and equity instruments, predominantly trading loans, driven by an increase in observability.
$854 million and $1.1 billion, respectively, of gross equity derivative receivables and $646 million and $965 million, respectively, of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
$517 million and $1.0 billion, respectively, of long-term debt driven by an increase in observability and a decrease in the significance of unobservable inputs for certain structured notes.
For the three and six months ended March 31,June 30, 2019, there were no significant transfers from level 2 into level 3 or from level 3 into level 2.
All transfers are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.

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. These amounts exclude any effects of the Firm’s risk management activities where the financial instruments are classified as level 1 and 2 of the fair value hierarchy. Refer to Changes in level 3 recurring fair value measurements rollforward tables on pages 92–95105-111 for further information on these instruments.
Three months ended March 31,June 30, 2020
$1.243 million of net losses on assets, primarily driven by market movements in net derivative receivables.
$3.0 billion of net gains on assets, driven by gains in net equity derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 15 for information on MSRs.
$4.6 billion of net gains on liabilities, predominantly driven by market movements in long-term debt.
Three months ended March 31,June 30, 2019
$505 million of net gains on assets, none of which were individually significant.
•
$1.5 billionof net losses on assets, driven by derivative receivables due to market movements and MSRs reflecting updates to model inputs and faster prepayment speeds on lower rates.
•
$615 million of net losses on liabilities, largely due to market movements in long-term debt.
Six months ended June 30, 2020
•
$1.1 billion of net gains on assets, driven by gains in net interest rate derivative receivables and net equity derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 15 for additional information on MSRs.
•
$1.6 billion of net gains on liabilities, predominantly driven by market movements in long-term debt.
Six months ended June 30, 2019
•
$1.0 billion of net losses on assets, predominantly driven by MSRs reflecting updates to model inputs and faster prepayment speeds on lower rates.
•
$2.1 billion of net losses on liabilities, predominantly driven by market movements in long-term debt.



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 March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Credit and funding adjustments:          
Derivatives CVA$(924) $60
$207
 $(44) $(718) $16
Derivatives FVA(1,021) 152
676
 (89) (345) 63

Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K for further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities.

Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets and liabilities held as of March 31,June 30, 2020 and 2019, respectively, for which nonrecurring fair value adjustments were recorded during the threesix months ended March 31,June 30, 2020 and 2019, respectively, by major product category and fair value hierarchy.
Fair value hierarchy Total fair valueFair value hierarchy Total fair value
March 31, 2020 (in millions)Level 1
Level 2
 Level 3
 
June 30, 2020 (in millions)Level 1
Level 2
 Level 3
 Total fair value
Loans$—
$2,336
(c) 
$559
(d) 
$2,895
$—
$1,793
(c) 
$823
(d) 
Other assets(a)
—
11
 334
 345
—
4
 392
 396
Total assets measured at fair value on a nonrecurring basis$—
$2,347
 $893
 $3,240
$—
$1,797
 $1,215
 $3,012
Accounts payable and other liabilities(b)
—
—
 775
  
775
—
—
 95
  
95
Total liabilities measured at fair value on a nonrecurring basis$—
$—
 $775
 $775
$—
$—
 $95
 $95
Fair value hierarchy Total fair valueFair value hierarchy Total fair value
March 31, 2019 (in millions)Level 1
Level 2
 Level 3
 
June 30, 2019 (in millions)Level 1
Level 2
 Level 3
 Total fair value
Loans$—
$441
 $84
 $525
$—
$1,716
(e) 
$141
 
Other assets—
11
 456
 467
—
13
 713
 726
Total assets measured at fair value on a nonrecurring basis$—
$452
 $540
 $992
$—
$1,729
 $854
 $2,583
(a)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). Of the $334$392 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31,June 30, 2020, $194$209 million related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.
(b)Represents at March 31,June 30, 2020 the net markdowns associated with $9.4$3.4 billion of held-for-sale positions related to unfunded commitments in the bridge financing portfolio. There were 0 liabilities measured at fair value on a nonrecurring basis at March 31,June 30, 2019.
(c)Primarily includes certain mortgage loans that were reclassified to held-for-sale.
(d)Of the $559$823 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31,June 30, 2020, $294$372 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 16%15% to 46% with a weighted average of 28%.
(e)Prior-period amounts have been revised to conform with the current presentation.
Nonrecurring fair value changes
The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the three and six months ended March 31,June 30, 2020 and 2019, related to assets and liabilities held at those dates.
Three months ended March 31,Three months ended June 30, Six months ended June 30, 
(in millions)2020 20192020 2019 2020 2019 
Loans$(267)
(b) 
$(21)$(39)
(b) 
$(79)
(d) 
$(303)
(b) 
$(100)
(d) 
Other assets(a)
(169)
  
71
(39)
  
13
 (206) 90
 
Accounts payable and other liabilities(775)
(c) 
—
465
(c) 
—
 (95)
(c) 
—
 
Total nonrecurring fair value gains/(losses)$(1,211) $50
$387
 $(66) $(604) $(10) 
(a)Included $(154)$(4) million and $78$16 million for the three months ended March 31,June 30, 2020 and 2019, respectively and $(158) million and $95 million for the six months ended June 30, 2020 and 2019, respectively, of net (losses)/gains as a result of the measurement alternative.
(b)Includes the impact of certain mortgage loans that were reclassified to held-for-sale.
(c)Represents markdownsmarks on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.
(d)Prior-period amounts have been revised to conform with the current presentation.
Refer to Note 12 for further information about the measurement of collateral-dependent loans.


Equity securities without readily determinable fair values
The Firm measures certain 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 other income.
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 March 31,June 30, 2020 and 2019, 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.
Three months endedThree months ended Six months ended
March 31June 30 June 30
As of or for the period ended,          
(in millions)2020 20192020 2019 2020 2019
Other assets          
Carrying value(a)
$2,560
 $1,819
$2,620
 $1,704
 $2,620
 $1,704
Upward carrying value changes(b)
9
 84
4
 52
 13
 136
Downward carrying value changes/impairment(c)
(162) (6)(9) (36) (171) (42)
(a)The carrying value as of December 31, 2019 was $2.4 billion.
(b)The cumulative upward carrying value changes between January 1, 2018 and March 31,June 30, 2020 were $524$541 million.
(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31,June 30, 2020 were $(360)$(368) million.
Included 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 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 1.6228 at March 31,June 30, 2020, and may be adjusted by Visa depending on developments related to the litigation matters.

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,June 30, 2020, and December 31, 2019, 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.
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
 Estimated fair value hierarchy   Estimated fair value hierarchy  Estimated fair value hierarchy   Estimated fair value hierarchy 
(in billions)
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
 
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
 
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
Financial assets      
Cash and due from banks$24.0
$24.0
$—
$—
$24.0
 $21.7
$21.7
$—
$—
$21.7
$20.5
$20.5
$—
$—
$20.5
 $21.7
$21.7
$—
$—
$21.7
Deposits with banks343.5
343.5
—
—
343.5
 241.9
241.9
—
—
241.9
473.2
473.2
—
—
473.2
 241.9
241.9
—
—
241.9
Accrued interest and accounts receivable121.3
—
121.3
—
121.3
 71.3
—
71.2
0.1
71.3
71.4
—
71.4
—
71.4
 71.3
—
71.2
0.1
71.3
Federal funds sold and securities purchased under resale agreements12.7
—
12.7
—
12.7
 234.6
—
234.6
—
234.6
13.0
—
13.0
—
13.0
 234.6
—
234.6
—
234.6
Securities borrowed88.3
—
88.3
—
88.3
 133.5
—
133.5
—
133.5
100.2
—
100.2
—
100.2
 133.5
—
133.5
—
133.5
Investment securities, held-to-maturity71.2
0.1
73.4
—
73.5
 47.5
0.1
48.8
—
48.9
72.9
—
76.1
—
76.1
 47.5
0.1
48.8
—
48.9
Loans, net of allowance for loan losses(a)
985.9
—
217.4
778.6
996.0
 939.5
—
214.1
734.9
949.0
940.5
—
215.9
752.5
968.4
 939.5
—
214.1
734.9
949.0
Other93.5
—
92.9
0.8
93.7
 61.3
—
60.6
0.8
61.4
69.5
—
68.3
1.3
69.6
 61.3
—
60.6
0.8
61.4
Financial liabilities      
Deposits$1,813.4
$—
$1,813.7
$—
$1,813.7
 $1,533.8
$—
$1,534.1
$—
$1,534.1
$1,909.5
$—
$1,909.7
$—
$1,909.7
 $1,533.8
$—
$1,534.1
$—
$1,534.1
Federal funds purchased and securities loaned or sold under repurchase agreements38.5
—
38.5
—
38.5
 183.1
—
183.1
—
183.1
46.3
—
46.3
—
46.3
 183.1
—
183.1
—
183.1
Short-term borrowings27.6
—
27.6
—
27.6
 35.0
—
35.0
—
35.0
28.1
—
28.1
—
28.1
 35.0
—
35.0
—
35.0
Accounts payable and other liabilities211.3
0.5
206.2
4.2
210.9
 164.0
0.1
160.0
3.5
163.6
188.8
—
184.7
3.8
188.5
 164.0
0.1
160.0
3.5
163.6
Beneficial interests issued by consolidated VIEs19.6
—
19.6
—
19.6
 17.8
—
17.9
—
17.9
20.8
—
20.9
—
20.9
 17.8
—
17.9
—
17.9
Long-term debt230.5
—
219.8
3.5
223.3
 215.5
—
218.3
3.5
221.8
242.2
—
239.8
3.4
243.2
 215.5
—
218.3
3.5
221.8

(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. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.
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 and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
 Estimated fair value hierarchy   Estimated fair value hierarchy  Estimated fair value hierarchy   Estimated fair value hierarchy 
(in billions)
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value 
Carrying value(a)
Level 1Level 2Level 3Total estimated fair value
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value 
Carrying value(a)
Level 1Level 2Level 3Total estimated fair value
Wholesale lending-related commitments$2.8
$—
$—
$3.3
$3.3
 $1.2
$—
$—
$1.9
$1.9
$2.1
$—
$—
$2.4
$2.4
 $1.2
$—
$—
$1.9
$1.9
(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.
(b)Includes the wholesale allowance for lending-related commitments and net markdowns associated with held-for-sale positions related to unfunded commitments in the bridge financing portfolio.
The Firm does not estimate the fair value of consumer off-balance sheet 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. Refer to page 156 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the valuation of lending-related commitments.

Note 3 – Fair value option
The fair value option provides an option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments.
The Firm has elected to measure certain instruments at fair value for several reasons including to mitigate income statement volatility caused by the differences between the measurement basis of elected instruments (e.g., certain instruments that otherwise would be accounted for on an accrual basis) and the associated risk management arrangements that are accounted for on a fair value basis, as well as to better reflect those instruments that are managed on a fair value basis.
The Firm’s election of fair value includes the following instruments:
•
Loans purchased or originated as part of securitization warehousing activity, subject to bifurcation accounting, or managed on a fair value basis, including lending-related commitments
Certain securities financing agreements
Owned beneficial interests in securitized financial assets that contain embedded credit derivatives, which would otherwise be required to be separately accounted for as a derivative instrument
Structured notes, which are predominantly financial instruments that contain embedded derivatives, that are issued as part of client-driven activities
Certain long-term beneficial interests issued by CIB’s consolidated securitization trusts where the underlying assets are carried at fair value basis, including lending-related commitments
•
Certain securities financing agreements
•
Owned beneficial interests in securitized financial assets that contain embedded credit derivatives, which would otherwise be required to be separately accounted for as a derivative instrument
•
Structured notes, which are predominantly financial instruments that contain embedded derivatives, that are issued as part of client-driven activities
•
Certain long-term beneficial interests issued by CIB’s consolidated securitization trusts where the underlying assets are carried at fair value
Changes in fair value under the fair value option election
The following table presents the changes in fair value included in the Consolidated statements of income for the three and six months ended March 31, June 30, 2020 and 2019, 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 March 31,Three months ended June 30,
2020 20192020 2019
(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)
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$543
 $—
 $543
 $11
 $—
 $11
$(299) $—
 $(299) $22
 $—
 $22
Securities borrowed226
 —
 226
 37
 —
 37
(58) —
 (58) 43
 —
 43
Trading assets:                      
Debt and equity instruments, excluding loans(2,438) (1)
(c) 
(2,439) 1,354
 —
 1,354
1,209
 —
 1,209
 204
 —
 204
Loans reported as trading assets:                      
Changes in instrument-specific credit risk(589) (23)
(c) 
(612) 248
 3
(c) 
251
413
 38
(c) 
451
 199
 2
(c) 
201
Other changes in fair value275
 741
(c) 
1,016
 80
 237
(c) 
317
(22) 754
(c) 
732
 120
 328
(c) 
448
Loans:                      
Changes in instrument-specific credit risk(4) —
 (4) 5
 —
 5
(42) —
 (42) (13) —
 (13)
Other changes in fair value19
 —
 19
 —
 —
 —
4
 —
 4
 1
 —
 1
Other assets61
 (17)
(d) 
44
 1
 —
 1
28
 25
(d) 
53
 2
 3
(d) 
5
Deposits(a)
(103) —
 (103) (496) —
 (496)(362) —
 (362) (696) —
 (696)
Federal funds purchased and securities loaned or sold under repurchase agreements(259) —
 (259) (5) —
 (5)181
 —
 181
 (15) —
 (15)
Short-term borrowings(a)
1,720
 —
 1,720
 (704) —
 (704)(631) —
 (631) (70) —
 (70)
Trading liabilities—
 —
 —
 3
 —
 3
—
 —
 —
 2
 —
 2
Other liabilities(35) —
 (35) (4) —
 (4)(11) —
 (11) (4) —
 (4)
Long-term debt(a)(b)
4,181
 5
(c) 
4,186
 (2,836) —
 (2,836)(3,581) (2)
(c) 
(3,583) (1,770) —
 (1,770)










 Six months ended June 30,
 2020 2019
(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$244
 $—
 $244
  $33
 $—
 $33
Securities borrowed168
 —
 168
  80
 —
 80
Trading assets:            
Debt and equity instruments, excluding loans(1,229) (1)
(c) 
(1,230)  1,558
 —
 1,558
Loans reported as trading assets:            
Changes in instrument-specific credit risk(176) 15
(c) 
(161)  447
 5
(c) 
452
Other changes in fair value253
 1,495
(c) 
1,748
  200
 565
(c) 
765
Loans:            
Changes in instrument-specific credit risk(46) —
 (46)  (8) —
 (8)
Other changes in fair value23
 —
 23
  1
 —
 1
Other assets89
 8
(d) 
97
  3
 3
(d) 
6
Deposits(a)
(465) —
 (465)  (1,192) —
 (1,192)
Federal funds purchased and securities loaned or sold under repurchase agreements(78) —
 (78)  (20) —
 (20)
Short-term borrowings(a)
1,089
 —
 1,089
  (774) —
 (774)
Trading liabilities—
 —
 —
  5
 —
 5
Other liabilities(46) —
 (46)  (8) —
 (8)
Long-term debt(a)(b)
600
 3
(c) 
603
  (4,606) —
 (4,606)
(a)Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are 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 $(2)$21 million and $19 million for the three and six months ended March 31,June 30, 2020, andrespectively. The amounts were 0t material for the three and six months ended March, 31,June 30, 2019.
(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. Refer to Note 7 for further information regarding interest income and interest expense.


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,June 30, 2020, and December 31, 2019, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(in millions)Contractual principal outstanding
Fair valueFair value over/(under) contractual principal outstanding Contractual principal outstanding Fair valueFair value over/(under) contractual principal outstandingContractual principal outstanding
Fair valueFair value over/(under) contractual principal outstanding Contractual principal outstanding Fair valueFair value over/(under) contractual principal outstanding
Loans(a)







    






    
Nonaccrual loans






    






    
Loans reported as trading assets$3,610

$1,092
$(2,518) $3,717
 $1,111
$(2,606)$4,566

$1,931
$(2,635) $3,717
 $1,111
$(2,606)
Loans274

238
(36) 178
 139
(39)282

225
(57) 178
 139
(39)
Subtotal3,884

1,330
(2,554) 3,895
 1,250
(2,645)4,848

2,156
(2,692) 3,895
 1,250
(2,645)
All other performing loans






    






    
Loans reported as trading assets47,193

45,016
(2,177) 48,570
 47,318
(1,252)40,481

38,807
(1,674) 48,570
 47,318
(1,252)
Loans6,047

5,976
(71) 7,046
 6,965
(81)5,788

5,698
(90) 7,046
 6,965
(81)
Total loans$57,124

$52,322
$(4,802) $59,511
 $55,533
$(3,978)$51,117

$46,661
$(4,456) $59,511
 $55,533
$(3,978)
Long-term debt






    






    
Principal-protected debt$40,994
(c) 
$37,947
$(3,047) $40,124
(c) 
$39,246
$(878)$41,280
(c) 
$40,717
$(563) $40,124
(c) 
$39,246
$(878)
Nonprincipal-protected debt(b)
NA

30,670
NA
 NA
 36,499
NA
NA

34,041
NA
 NA
 36,499
NA
Total long-term debtNA

$68,617
NA
 NA
 $75,745
NA
NA

$74,758
NA
 NA
 $75,745
NA
Long-term beneficial interests              
Nonprincipal-protected debt(b)
NA

$77
NA
 NA
 $36
NA
NA

$40
NA
 NA
 $36
NA
Total long-term beneficial interestsNA

$77
NA
 NA
 $36
NA
NA

$40
NA
 NA
 $36
NA
(a)There were 0 performing loans that were ninety days or more past due as of March 31,June 30, 2020, and December 31, 2019, respectively.
(b)Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes 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,June 30, 2020, and December 31, 2019, the contractual amount of lending-related commitments for which the fair value option was elected was $7.3$12.1 billion and $6.5$8.6 billion, respectively, with a corresponding fair value of $(97)$(121) million and $(94)$(120) million, respectively. Refer to Note 28 of JPMorgan Chase’s 2019 Form 10-K, and Note 23 of this Form 10-Q for further information regarding off-balance sheet lending-related financial instruments. The prior period amount hasPrior-period amounts have been revised to conform with the current period presentation.
Structured note products by balance sheet classification and risk component
The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type.
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(in millions)Long-term debtShort-term borrowingsDepositsTotal Long-term debtShort-term borrowingsDepositsTotalLong-term debtShort-term borrowingsDepositsTotal Long-term debtShort-term borrowingsDepositsTotal
Risk exposure      
Interest rate$35,203
$38
$11,699
$46,940
 $35,470
$34
$16,692
$52,196
$37,317
$286
$10,190
$47,793
 $35,470
$34
$16,692
$52,196
Credit4,749
771
—
5,520
 5,715
875
—
6,590
5,119
494
—
5,613
 5,715
875
—
6,590
Foreign exchange3,596
67
54
3,717
 3,862
48
5
3,915
3,929
121
4
4,054
 3,862
48
5
3,915
Equity23,983
4,177
7,455
35,615
 29,294
4,852
8,177
42,323
27,416
4,984
7,508
39,908
 29,294
4,852
8,177
42,323
Commodity419
25
1,140
1,584
 472
32
1,454
1,958
417
24
1,500
1,941
 472
32
1,454
1,958
Total structured notes$67,950
$5,078
$20,348
$93,376
 $74,813
$5,841
$26,328
$106,982
$74,198
$5,909
$19,202
$99,309
 $74,813
$5,841
$26,328
$106,982




Note 4 – Credit risk concentrations
Concentrations of credit risk arise when a number of clients, counterparties or customers are engaged in similar business activities or activities in the same geographic region, or when they have similar economic features that would cause their ability to meet contractual obligations to be similarly affected by changes in economic conditions.
JPMorgan Chase regularly monitors various segments of its credit portfolios to assess potential credit risk concentrations and to obtain additional collateral when deemed necessary and permitted under the Firm’s agreements. Senior management is significantly involved in the credit approval and review process, and risk levels are adjusted as needed to reflect the Firm’s risk appetite.
In theFirm’sconsumer portfolio, concentrations are managed primarily by product and by U.S. geographic region, with a key focus on trends and concentrations at the portfolio level, where potential credit risk concentrations can be remedied through changes in underwriting policies and portfolio guidelines. Refer to Note 12 for additional information on the geographic composition of theFirm’sconsumer loan portfolios. In the wholesale portfolio, credit risk concentrations are evaluated primarily by industry and monitored regularly on both an aggregate portfolio level and on an individual client or counterparty basis.
 
The Firm’s wholesale exposure is managed through loan syndications and participations, loan sales, securitizations, credit derivatives, master netting agreements, collateral and other risk-reduction techniques. Refer to Note 12 for additional information on loans.
The Firm does not believe that its exposure to any particular loan product or industry segment (e.g., real estate), or its exposure to residential real estate loans with high LTV ratios,results in a significant concentration of credit risk.
Terms of loan products and collateral coverage are included in the Firm’s assessment when extending credit and establishing its allowance for loan losses.

The table below presents both on–balance sheet and off–balance sheet consumer and wholesale-related credit exposure by the Firm’s 3 credit portfolio segments as of March 31, June 30, 2020, and December 31, 2019. The wholesale industry of risk category is generally based on the client or counterparty’s primary business activity.
In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied inwhen determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
March 31, 2020 December 31, 2019 June 30, 2020 December 31, 2019
Credit exposure(h)
On-balance sheet
Off-balance sheet(i)
 
Credit exposure(h)
On-balance sheet
Off-balance sheet(i)
 
Credit exposure(h)
On-balance sheet
Off-balance sheet(j)
 
Credit exposure(h)
On-balance sheet
Off-balance sheet(j)
(in millions)LoansDerivatives LoansDerivatives Loans Derivatives LoansDerivatives
Consumer, excluding credit card$337,162
$295,627
$—
$41,535
 $338,170
$298,001
$—
$40,169
 $354,265
$308,917
(i) 
$—
$45,348
 $338,170
$298,001
$—
$40,169
Credit card(a)
835,463
154,021
—
681,442
 819,644
168,924
—
650,720
 815,492
141,656
 —
673,836
 819,644
168,924
—
650,720
Total consumer-related(a)
1,172,625
449,648
—
722,977
 1,157,814
466,925
—
690,889
 1,169,757
450,573
 —
719,184
 1,157,814
466,925
—
690,889
Wholesale-related(b)
         
Real Estate148,246
123,667
1,294
23,285
 150,805
117,709
619
32,477
 148,656
122,202
 1,581
24,873
 150,805
117,709
619
32,477
Consumer & Retail110,669
54,207
2,824
53,638
 106,986
36,985
1,424
68,577
 110,160
47,705
 2,532
59,923
 106,986
36,985
1,424
68,577
Individuals and Individual Entities(c)
108,180
97,020
1,864
9,296
 105,018
94,616
694
9,708
 109,563
96,890
 1,762
10,911
 105,018
94,616
694
9,708
Industrials68,864
29,941
2,062
36,861
 62,483
22,063
878
39,542
 66,179
26,058
 1,752
38,369
 62,483
22,063
878
39,542
Healthcare60,471
21,028
 3,298
36,145
 50,824
17,607
2,078
31,139
Technology, Media &
Telecommunications		60,461
17,637
 3,791
39,033
 60,033
15,322
2,766
41,945
Asset Managers65,880
29,134
17,395
19,351
 51,856
24,008
7,160
20,688
 60,270
26,911
 9,186
24,173
 51,856
24,008
7,160
20,688
Technology, Media &
Telecommunications		60,184
20,363
2,827
36,994
 60,033
15,322
2,766
41,945
 
Banks & Finance Cos55,786
34,760
7,617
13,409
 50,786
31,191
5,165
14,430
 49,970
26,985
 6,870
16,115
 50,786
31,191
5,165
14,430
Healthcare53,250
20,628
2,806
29,816
 50,824
17,607
2,078
31,139
 
Oil & Gas42,754
15,734
837
26,183
 41,641
13,101
852
27,688
 43,035
14,141
 996
27,898
 41,641
13,101
852
27,688
Automotive36,060
22,644
1,076
12,340
 35,118
18,844
368
15,906
 38,294
19,085
 1,691
17,518
 35,118
18,844
368
15,906
State & Municipal Govt(d)
36,824
16,830
 2,597
17,397
 30,095
13,271
2,000
14,824
Utilities33,112
7,813
3,734
21,565
 34,843
5,157
2,573
27,113
 32,078
5,858
 3,242
22,978
 34,843
5,157
2,573
27,113
State & Municipal Govt(d)
30,529
14,686
2,670
13,173
 30,095
13,271
2,000
14,824
 
Transportation18,624
8,584
2,305
7,735
 14,497
5,253
715
8,529
 18,089
8,892
 1,847
7,350
 14,497
5,253
715
8,529
Chemicals & Plastics17,430
6,445
752
10,233
 17,499
4,864
459
12,176
 17,172
5,129
 752
11,291
 17,499
4,864
459
12,176
Central Govt16,519
3,223
12,107
1,189
 14,865
2,840
10,477
1,548
 16,385
2,985
 12,233
1,167
 14,865
2,840
10,477
1,548
Metals & Mining15,797
6,479
998
8,320
 15,586
5,364
402
9,820
 15,790
5,874
 757
9,159
 15,586
5,364
402
9,820
Insurance14,522
2,213
3,675
8,634
 12,348
1,356
2,282
8,710
 14,804
1,808
 3,193
9,803
 12,348
1,356
2,282
8,710
Securities Firms8,233
531
 4,863
2,839
 7,344
757
4,507
2,080
Financial Markets Infrastructure9,767
409
7,597
1,761
 4,121
13
2,482
1,626
 7,724
110
 5,860
1,754
 4,121
13
2,482
1,626
Securities Firms8,045
663
4,718
2,664
 7,344
757
4,507
2,080
 
All other(e)
81,204
56,676
2,490
22,038
 78,006
51,357
1,865
24,784
 82,968
50,128
 6,043
26,797
 78,006
51,357
1,865
24,784
Subtotal995,422
555,289
81,648
358,485
 944,754
481,678
49,766
413,310
 997,126
516,787
 74,846
405,493
 944,754
481,678
49,766
413,310
Loans held-for-sale and loans at fair value10,438
10,438
—
—
 11,166
11,166
—
—
 11,158
11,158
 —
—
 11,166
11,166
—
—
Receivables from customers and other(f)
33,376
—
—
—
 33,706
—
—
—
 22,403
—
 —
—
 33,706
—
—
—
Total wholesale-related1,039,236
565,727
81,648
358,485
 989,626
492,844
49,766
413,310
 1,030,687
527,945
 74,846
405,493
 989,626
492,844
49,766
413,310
Total exposure(g)(h)
$2,211,861
$1,015,375
$81,648
$1,081,462
 $2,147,440
$959,769
$49,766
$1,104,199
 $2,200,444
$978,518
 $74,846
$1,124,677
 $2,147,440
$959,769
$49,766
$1,104,199
(a)Also includes commercial card lending-related commitments primarily in CB and CIB.
(b)The industry rankings presented in the table as of December 31, 2019, are based on the industry rankings of the corresponding exposures at March 31,June 30, 2020, not actual rankings of such exposures at December 31, 2019.
(c)Individuals and Individual Entities predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts.
(d)
In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at March 31,June 30, 2020, and December 31, 2019, noted above, the Firm held: $6.5$7.5 billion at both periodsand $6.5 billion, respectively, of trading assets; $30.5$30.4 billion and $29.8 billion, respectively, of AFS securities; and $4.8 billion at both periods of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.
(e)
All other includes: SPEs and Private education and civic organizations, representing approximately 90% and 10%, respectively, at both March 31,June 30, 2020, and December 31, 2019. Refer to Note 14 for more information on exposures to SPEs.
(f)Receivables from customers primarily represent held-for-investment margin loans to brokerage clients in CIB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, liquid and readily marketable debt or equity securities), as such generally no allowance for credit losses is held against these receivables. To manage its credit risk the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.
(g)Excludes cash placed with banks of $354.4$484.2 billion and $254.0 billion, at March 31,June 30, 2020, and December 31, 2019, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(h)Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.
(i)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on government guaranteed loans.
(j)Represents lending-related financial instruments.

Note 5 – Derivative instruments
JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. Refer to Note 5 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the Firm’s use of and accounting policies regarding derivative instruments.
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 risks associated with specified assets and liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes.

The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category.
Type of DerivativeUse of DerivativeDesignation 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 liabilitiesFair value hedgeCorporate109-110126-127
•
Interest rate
Hedge floating-rate assets and liabilitiesCash flow hedgeCorporate111128
•
Foreign exchange
Hedge foreign currency-denominated assets and liabilitiesFair value hedgeCorporate109-110126-127
•
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expenseCash flow hedgeCorporate111128
•
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entitiesNet investment hedgeCorporate112129
•
Commodity
Hedge commodity inventoryFair value hedgeCIB109-110126-127
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
•
Interest rate
Manage the risk associated with mortgage commitments, warehouse loans and MSRsSpecified risk managementCCB112129
•
Credit
Manage the credit risk associated with wholesale lending exposuresSpecified risk managementCIB112129
•
Interest rate and foreign exchange
Manage the risk associated with certain other specified assets and liabilitiesSpecified risk managementCorporate112129
Market-making derivatives and other activities:
•
Various
Market-making and related risk managementMarket-making and otherCIB112129
•
Various
Other derivativesMarket-making and otherCIB, AWM, Corporate112129


Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of March 31,June 30, 2020, and December 31, 2019.
Notional amounts(b)
Notional amounts(b)
(in billions)March 31, 2020
December 31, 2019
June 30, 2020
December 31, 2019
Interest rate contracts  
Swaps$27,659
$21,228
$23,899
$21,228
Futures and forwards7,504
3,152
5,338
3,152
Written options3,889
3,938
3,633
3,938
Purchased options4,277
4,361
4,033
4,361
Total interest rate contracts43,329
32,679
36,903
32,679
Credit derivatives(a)
1,560
1,242
1,250
1,242
Foreign exchange contracts  
Cross-currency swaps3,604
3,604
3,730
3,604
Spot, futures and forwards7,518
5,577
7,201
5,577
Written options838
700
750
700
Purchased options821
718
752
718
Total foreign exchange contracts12,781
10,599
12,433
10,599
Equity contracts  
Swaps330
406
349
406
Futures and forwards122
142
122
142
Written options720
646
675
646
Purchased options683
611
633
611
Total equity contracts1,855
1,805
1,779
1,805
Commodity contracts  
Swaps139
147
133
147
Spot, futures and forwards219
211
212
211
Written options169
135
154
135
Purchased options155
124
141
124
Total commodity contracts682
617
640
617
Total derivative notional amounts$60,207
$46,942
$53,005
$46,942
(a)Refer to the Credit derivatives discussion on page 113130 for more information on volumes and types of credit derivative contracts.
(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 contracts, the notional amount is not exchanged; it is simply a reference amount used 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,June 30, 2020, and December 31, 2019, 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)
Free-standing derivative receivables and payables(a)
          
Free-standing derivative receivables and payables(a)
          
Gross derivative receivables   Gross derivative payables  Gross derivative receivables   Gross derivative payables  
March 31, 2020
(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)
June 30, 2020
(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$401,677
 $826
 $402,503
 $36,901
 $365,052
 $1
 $365,053
 $13,399
$408,225
 $767
 $408,992
 $37,028
 $369,518
 $1
 $369,519
 $12,770
Credit20,080
 —
 20,080
 1,185
 20,878
 —
 20,878
 2,112
14,933
 —
 14,933
 1,171
 15,926
 —
 15,926
 2,080
Foreign exchange241,466
 2,056
 243,522
 18,983
 255,304
 739
 256,043
 23,294
162,460
 1,335
 163,795
 12,575
 176,032
 624
 176,656
 16,177
Equity96,145
 —
 96,145
 13,215
 94,202
 —
 94,202
 12,037
67,932
 —
 67,932
 14,857
 68,710
 —
 68,710
 15,962
Commodity35,960
 1,695
 37,655
 11,364
 39,069
 931
 40,000
 14,245
24,771
 847
 25,618
 9,215
 26,045
 1,102
 27,147
 10,488
Total fair value of trading assets and liabilities$795,328
 $4,577
 $799,905
 $81,648
 $774,505
 $1,671
 $776,176
 $65,087
$678,321
 $2,949
 $681,270
 $74,846
 $656,231
 $1,727
 $657,958
 $57,477
                              
Gross derivative receivables   Gross derivative payables  Gross derivative receivables   Gross derivative payables  
December 31, 2019
(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)
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$312,451
 $843
 $313,294
 $27,421
 $279,272
 $1
 $279,273
 $8,603
$312,451
 $843
 $313,294
 $27,421
 $279,272
 $1
 $279,273
 $8,603
Credit14,876
 —
 14,876
 701
 15,121
 —
 15,121
 1,652
14,876
 —
 14,876
 701
 15,121
 —
 15,121
 1,652
Foreign exchange138,179
 308
 138,487
 9,005
 144,125
 983
 145,108
 13,158
138,179
 308
 138,487
 9,005
 144,125
 983
 145,108
 13,158
Equity45,727
 —
 45,727
 6,477
 52,741
 —
 52,741
 12,537
45,727
 —
 45,727
 6,477
 52,741
 —
 52,741
 12,537
Commodity16,914
 328
 17,242
 6,162
 19,736
 149
 19,885
 7,758
16,914
 328
 17,242
 6,162
 19,736
 149
 19,885
 7,758
Total fair value of trading assets and liabilities$528,147
 $1,479
 $529,626
 $49,766
 $510,995
 $1,133
 $512,128
 $43,708
$528,147
 $1,479
 $529,626
 $49,766
 $510,995
 $1,133
 $512,128
 $43,708

(a)Balances exclude structured notes for which the fair value option has been elected. Refer to 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
The following tables present, as of March 31,June 30, 2020, and December 31, 2019, 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, 2020 December 31, 2019 June 30, 2020 December 31, 2019
(in millions)(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables Gross derivative receivables Amounts netted on the Consolidated balance sheetsNet derivative receivables(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables Gross derivative receivables Amounts netted on the Consolidated balance sheetsNet derivative receivables
U.S. GAAP nettable derivative receivablesU.S. GAAP nettable derivative receivables           U.S. GAAP nettable derivative receivables           
Interest rate contracts:Interest rate contracts:          Interest rate contracts:          
Over-the-counter (“OTC”)Over-the-counter (“OTC”)$378,111
$(348,926) $29,185
 $299,205
 $(276,255) $22,950
 Over-the-counter (“OTC”)$387,069
$(356,834) $30,235
 $299,205
 $(276,255) $22,950
 
OTC–clearedOTC–cleared15,768
(15,527) 241
 9,442
 (9,360) 82
 OTC–cleared14,434
(14,315) 119
 9,442
 (9,360) 82
 
Exchange-traded(a)
Exchange-traded(a)
1,381
(1,149) 232
 347
 (258) 89
 
Exchange-traded(a)
875
(815) 60
 347
 (258) 89
 
Total interest rate contractsTotal interest rate contracts395,260
(365,602) 29,658
 308,994
 (285,873) 23,121
 Total interest rate contracts402,378
(371,964) 30,414
 308,994
 (285,873) 23,121
 
Credit contracts:Credit contracts:          Credit contracts:          
OTCOTC16,918
(16,106) 812
 10,743
 (10,317) 426
 OTC11,598
(10,840) 758
 10,743
 (10,317) 426
 
OTC–clearedOTC–cleared2,828
(2,789) 39
 3,864
 (3,858) 6
 OTC–cleared2,946
(2,922) 24
 3,864
 (3,858) 6
 
Total credit contractsTotal credit contracts19,746
(18,895) 851
 14,607
 (14,175) 432
 Total credit contracts14,544
(13,762) 782
 14,607
 (14,175) 432
 
Foreign exchange contracts:Foreign exchange contracts:          Foreign exchange contracts:          
OTCOTC236,738
(223,245) 13,493
 136,252
 (129,324) 6,928
 OTC160,126
(150,502) 9,624
 136,252
 (129,324) 6,928
 
OTC–clearedOTC–cleared1,363
(1,287) 76
 185
 (152) 33
 OTC–cleared736
(715) 21
 185
 (152) 33
 
Exchange-traded(a)
Exchange-traded(a)
70
(7) 63
 10
 (6) 4
 
Exchange-traded(a)
24
(3) 21
 10
 (6) 4
 
Total foreign exchange contractsTotal foreign exchange contracts238,171
(224,539) 13,632
 136,447
 (129,482) 6,965
 Total foreign exchange contracts160,886
(151,220) 9,666
 136,447
 (129,482) 6,965
 
Equity contracts:Equity contracts:          Equity contracts:          
OTCOTC48,813
(44,174) 4,639
 23,106
 (20,820) 2,286
 OTC26,510
(24,792) 1,718
 23,106
 (20,820) 2,286
 
Exchange-traded(a)
Exchange-traded(a)
43,646
(38,756) 4,890
 19,654
 (18,430) 1,224
 
Exchange-traded(a)
31,829
(28,283) 3,546
 19,654
 (18,430) 1,224
 
Total equity contractsTotal equity contracts92,459
(82,930) 9,529
 42,760
 (39,250) 3,510
 Total equity contracts58,339
(53,075) 5,264
 42,760
 (39,250) 3,510
 
Commodity contracts:Commodity contracts:          Commodity contracts:          
OTCOTC16,410
(11,590) 4,820
 7,093
 (5,149) 1,944
 OTC12,803
(9,066) 3,737
 7,093
 (5,149) 1,944
 
OTC–clearedOTC–cleared34
(34) —
 28
 (28) —
 OTC–cleared35
(35) —
 28
 (28) —
 
Exchange-traded(a)
Exchange-traded(a)
15,075
(14,667) 408
 6,154
 (5,903) 251
 
Exchange-traded(a)
7,544
(7,302) 242
 6,154
 (5,903) 251
 
Total commodity contractsTotal commodity contracts31,519
(26,291) 5,228
 13,275
 (11,080) 2,195
 Total commodity contracts20,382
(16,403) 3,979
 13,275
 (11,080) 2,195
 
Derivative receivables with appropriate legal opinionDerivative receivables with appropriate legal opinion777,155
(718,257) 58,898
(d) 
516,083
 (479,860) 36,223
(d) 
Derivative receivables with appropriate legal opinion656,529
(606,424) 50,105
(d) 
516,083
 (479,860) 36,223
(d) 
Derivative receivables where an appropriate legal opinion has not been either sought or obtainedDerivative receivables where an appropriate legal opinion has not been either sought or obtained22,750
  22,750
 13,543
   13,543
 Derivative receivables where an appropriate legal opinion has not been either sought or obtained24,741
  24,741
 13,543
   13,543
 
Total derivative receivables recognized on the Consolidated balance sheetsTotal derivative receivables recognized on the Consolidated balance sheets$799,905
  $81,648
 $529,626
   $49,766
 Total derivative receivables recognized on the Consolidated balance sheets$681,270
  $74,846
 $529,626
   $49,766
 
Collateral not nettable on the Consolidated balance sheets(b)(c)
Collateral not nettable on the Consolidated balance sheets(b)(c)
  (22,623)     (14,226) 
Collateral not nettable on the Consolidated balance sheets(b)(c)
  (18,711)     (14,226) 
Net amountsNet amounts  $59,025
     $35,540
 Net amounts  $56,135
     $35,540
 


March 31, 2020 December 31, 2019 June 30, 2020 December 31, 2019
(in millions)(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables Gross derivative payables Amounts netted on the Consolidated balance sheetsNet derivative payables(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables Gross derivative payables Amounts netted on the Consolidated balance sheetsNet derivative payables
U.S. GAAP nettable derivative payablesU.S. GAAP nettable derivative payables          U.S. GAAP nettable derivative payables          
Interest rate contracts:Interest rate contracts:          Interest rate contracts:          
OTCOTC$343,787
$(334,453) $9,334
 $267,311
 $(260,229) $7,082
 OTC$352,062
$(341,400) $10,662
 $267,311
 $(260,229) $7,082
 
OTC–clearedOTC–cleared16,701
(16,051) 650
 10,217
 (10,138) 79
 OTC–cleared14,945
(14,645) 300
 10,217
 (10,138) 79
 
Exchange-traded(a)
Exchange-traded(a)
1,410
(1,150) 260
 365
 (303) 62
 
Exchange-traded(a)
721
(704) 17
 365
 (303) 62
 
Total interest rate contractsTotal interest rate contracts361,898
(351,654) 10,244
 277,893
 (270,670) 7,223
 Total interest rate contracts367,728
(356,749) 10,979
 277,893
 (270,670) 7,223
 
Credit contracts:Credit contracts:          Credit contracts:          
OTCOTC17,731
(16,080) 1,651
 11,570
 (10,080) 1,490
 OTC12,657
(11,068) 1,589
 11,570
 (10,080) 1,490
 
OTC–clearedOTC–cleared2,691
(2,686) 5
 3,390
 (3,389) 1
 OTC–cleared2,780
(2,778) 2
 3,390
 (3,389) 1
 
Total credit contractsTotal credit contracts20,422
(18,766) 1,656
 14,960
 (13,469) 1,491
 Total credit contracts15,437
(13,846) 1,591
 14,960
 (13,469) 1,491
 
Foreign exchange contracts:Foreign exchange contracts:          Foreign exchange contracts:          
OTCOTC249,340
(231,457) 17,883
 142,360
 (131,792) 10,568
 OTC172,678
(159,750) 12,928
 142,360
 (131,792) 10,568
 
OTC–clearedOTC–cleared1,369
(1,273) 96
 186
 (152) 34
 OTC–cleared736
(726) 10
 186
 (152) 34
 
Exchange-traded(a)
Exchange-traded(a)
42
(19) 23
 12
 (6) 6
 
Exchange-traded(a)
22
(3) 19
 12
 (6) 6
 
Total foreign exchange contractsTotal foreign exchange contracts250,751
(232,749) 18,002
 142,558
 (131,950) 10,608
 Total foreign exchange contracts173,436
(160,479) 12,957
 142,558
 (131,950) 10,608
 
Equity contracts:Equity contracts:          Equity contracts:          
OTCOTC50,264
(43,401) 6,863
 27,594
 (21,778) 5,816
 OTC30,160
(24,481) 5,679
 27,594
 (21,778) 5,816
 
Exchange-traded(a)
Exchange-traded(a)
39,581
(38,764) 817
 20,216
 (18,426) 1,790
 
Exchange-traded(a)
30,605
(28,267) 2,338
 20,216
 (18,426) 1,790
 
Total equity contractsTotal equity contracts89,845
(82,165) 7,680
 47,810
 (40,204) 7,606
 Total equity contracts60,765
(52,748) 8,017
 47,810
 (40,204) 7,606
 
Commodity contracts:Commodity contracts:          Commodity contracts:          
OTCOTC19,040
(11,070) 7,970
 8,714
 (6,235) 2,479
 OTC13,899
(9,185) 4,714
 8,714
 (6,235) 2,479
 
OTC–clearedOTC–cleared39
(39) —
 30
 (30) —
 OTC–cleared44
(44) —
 30
 (30) —
 
Exchange-traded(a)
Exchange-traded(a)
14,838
(14,646) 192
 6,012
 (5,862) 150
 
Exchange-traded(a)
7,486
(7,430) 56
 6,012
 (5,862) 150
 
Total commodity contractsTotal commodity contracts33,917
(25,755) 8,162
 14,756
 (12,127) 2,629
 Total commodity contracts21,429
(16,659) 4,770
 14,756
 (12,127) 2,629
 
Derivative payables with appropriate legal opinionDerivative payables with appropriate legal opinion756,833
(711,089) 45,744
(d) 
497,977
 (468,420) 29,557
(d) 
Derivative payables with appropriate legal opinion638,795
(600,481) 38,314
(d) 
497,977
 (468,420) 29,557
(d) 
Derivative payables where an appropriate legal opinion has not been either sought or obtainedDerivative payables where an appropriate legal opinion has not been either sought or obtained19,343
  19,343
 14,151
   14,151
 Derivative payables where an appropriate legal opinion has not been either sought or obtained19,163
  19,163
 14,151
   14,151
 
Total derivative payables recognized on the Consolidated balance sheetsTotal derivative payables recognized on the Consolidated balance sheets$776,176
  $65,087
 $512,128
   $43,708
 Total derivative payables recognized on the Consolidated balance sheets$657,958
  $57,477
 $512,128
   $43,708
 
Collateral not nettable on the Consolidated balance sheets(b)(c)
Collateral not nettable on the Consolidated balance sheets(b)(c)
  (10,960)     (7,896) 
Collateral not nettable on the Consolidated balance sheets(b)(c)
  (12,607)     (7,896) 
Net amountsNet amounts  $54,127
     $35,812
 Net amounts  $44,870
     $35,812
 
(a)Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)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.
(c)Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d)Net derivatives receivable included cash collateral netted of $90.9$80.7 billion and $65.9 billion at March 31,June 30, 2020, and December 31, 2019, respectively. Net derivatives payable included cash collateral netted of $83.7$74.7 billion and $54.4 billion at March 31,June 30, 2020, and December 31, 2019, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.


Liquidity risk and credit-related contingent features
Refer to Note 5 of JPMorgan Chase’s 2019 Form 10-K for a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts.
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,June 30, 2020, and December 31, 2019.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)March 31, 2020  December 31, 2019 June 30, 2020  December 31, 2019 
Aggregate fair value of net derivative payables $29,521
 $14,819
 $27,255
 $14,819
Collateral posted 28,184
 13,329
 26,527
 13,329

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, N.A., at March 31,June 30, 2020, and December 31, 2019, 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 derivativesLiquidity impact of downgrade triggers on OTC and OTC-cleared derivatives   Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives   
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(in millions)Single-notch downgradeTwo-notch downgrade Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade Single-notch downgradeTwo-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$180
$1,286
 $189
$1,467
$191
$1,295
 $189
$1,467
Amount required to settle contracts with termination triggers upon downgrade(b)
191
2,749
 104
1,398
182
2,273
 104
1,398
(a)Includes the additional collateral to be posted for initial margin.
(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 11, 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 was not material at March 31,June 30, 2020 and December 31, 2019.

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 and six months ended March 31,June 30, 2020 and 2019, 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(e)
 OCI impactGains/(losses) recorded in income 
Income statement impact of
excluded components(e)
 OCI impact
Three months ended March 31, 2020
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Three months ended June 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type          
Interest rate(a)(b)
$4,087
$(3,788)$299
 $—
$214
 $—
$464
$(288)$176
 $—
$205
 $—
Foreign exchange(c)
576
(488)88
 (179)88
 115
(304)338
34
 (121)34
 21
Commodity(d)
1,528
(1,482)46
 —
49
 —
(1,730)1,771
41
 —
44
 —
Total$6,191
$(5,758)$433
 $(179)$351
 $115
$(1,570)$1,821
$251
 $(121)$283
 $21
Gains/(losses) recorded in income 
Income statement impact of
excluded components(e)

 OCI impactGains/(losses) recorded in income 
Income statement impact of
excluded components(e)

 OCI impact
Three months ended March 31, 2019
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Three months ended June 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type          
Interest rate(a)(b)
$1,464
$(1,293)$171
 $—
$172
 $—
$1,762
$(1,556)$206
 $—
$196
 $—
Foreign exchange(c)
(290)409
119
 (222)119
 3
426
(301)125
 (229)125
 112
Commodity(d)
(288)294
6
 —
1
 —
(154)175
21
 —
17
 —
Total$886
$(590)$296
 $(222)$292
 $3
$2,034
$(1,682)$352
 $(229)$338
 $112
 Gains/(losses) recorded in income 
Income statement impact of
excluded components(e)
 OCI impact
Six months ended June 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type        
Interest rate(a)(b)
$4,551
$(4,076)$475
 $—
$419
 $—
Foreign exchange(c)
272
(150)122
 (300)122
 136
Commodity(d)
(202)289
87
 —
93
 —
Total$4,621
$(3,937)$684
 $(300)$634
 $136
 Gains/(losses) recorded in income 
Income statement impact of
excluded components(e)
 OCI impact
Six months ended June 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type        
Interest rate(a)(b)
$3,226
$(2,849)$377
 $—
$368
 $—
Foreign exchange(c)
136
108
244
 (451)244
 115
Commodity(d)
(442)469
27
 —
18
 —
Total$2,920
$(2,272)$648
 $(451)$630
 $115
(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)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. Excluded components may impact earnings either through amortization of the initial amount over the life of the derivative, or through fair value changes recognized in the current period.
(f)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,June 30, 2020 and December 31, 2019, 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:

 
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, 2020
(in millions)		 Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
June 30, 2020
(in millions)		 
Carrying amount of the hedged items(a)(b)
 Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
Assets      
Investment securities - AFS

 $125,652
(c) 
$8,214
$246
$8,460
 $144,081
(c) 
$7,478
$246
$7,724
Liabilities        
Long-term debt $172,446
 $17,138
$747
$17,885
 $185,123
 $14,771
$3,809
$18,580
Beneficial interests issued by consolidated VIEs 2,368
 —
(6)(6) 1,595
 —
(4)(4)
        
 
Carrying amount of the hedged items(a)(b)
 Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items: 
Carrying amount of the hedged items(a)(b)
 Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
December 31, 2019
(in millions)		 Active hedging relationships
Discontinued hedging relationships(d)(e)
Total Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
Assets        
Investment securities - AFS
 $125,860
(c) 
$2,110
$278
$2,388
 $125,860
(c) 
$2,110
$278
$2,388
Liabilities        
Long-term debt $157,545
 $6,719
$161
$6,880
 $157,545
 $6,719
$161
$6,880
Beneficial interests issued by consolidated VIEs 2,365
 —
(8)(8) 2,365
 —
(8)(8)
(a)Excludes physical commodities with a carrying value of $6.7$8.2 billion and $6.5 billion at March 31,June 30, 2020 and December 31, 2019, respectively, 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. Since 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. At March 31,June 30, 2020 and December 31, 2019, the carrying amount excluded for AFS securities is $16.7$19.2 billion and $14.9 billion, respectively, and for long-term debt is $1.9$7.8 billion and $2.8 billion, respectively.
(c)Carrying amount represents the amortized cost.
(d)Represents basis adjustments existing on the balance sheet date associated with hedged items no longer designated inthat have been de-designated from qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.relationships.
(e)Positive amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce net interest income in future periods. Positive (negative) amounts related to liabilities represent cumulative fair value hedge basis adjustments that will increase (reduce) net interest income in future periods.




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 six months ended March 31,June 30, 2020 and 2019, 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)Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended March 31, 2020
(in millions)		Amounts reclassified from AOCI to incomeAmounts recorded in OCITotal change
in OCI
for period
Three months ended June 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		 Amounts recorded
in OCI		Total change
in OCI for period
Contract type    
Interest rate(a)
$(9)$3,461
$3,470
$127
 $412
$285
Foreign exchange(b)
17
(210)(227)(34) (10)24
Total$8
$3,251
$3,243
$93
 $402
$309
    
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended March 31, 2019
(in millions)		Amounts reclassified from AOCI to incomeAmounts recorded in OCITotal change
in OCI
for period
Three months ended June 30, 2019
(in millions)		Amounts reclassified
from AOCI to income		 Amounts recorded
in OCI
Total change
in OCI for period
Contract type    
Interest rate(a)
$2
$56
$54
$2
 $155
$153
Foreign exchange(b)
(41)85
126
(28) (54)(26)
Total$(39)$141
$180
$(26) $101
$127
   
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Six months ended June 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		 Amounts recorded
in OCI		Total change
in OCI for period
Contract type   
Interest rate(a)
$118
 $3,873
$3,755
Foreign exchange(b)
(17) (220)(203)
Total$101
 $3,653
$3,552
   
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Six months ended June 30, 2019
(in millions)		Amounts reclassified
from AOCI to income		 
Amounts recorded
in OCI
Total change
in OCI for period
Contract type   
Interest rate(a)
$4
 $211
$207
Foreign exchange(b)
(69) 31
100
Total$(65) $242
$307
(a)Primarily consists of 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.
The Firm did not experience any forecasted transactions that failed to occur for the three and six months ended March 31,June 30, 2020 and 2019.
Over the next 12 months, the Firm expects that approximately $57$498 million (after-tax) of net gains recorded in AOCI at March 31,June 30, 2020, related to cash flow hedges will be recognized in income. For cash flow hedges that have been terminated, the maximum length of time over which the derivative results recorded in AOCI will be recognized in earnings is approximately ten years, corresponding to the timing of the originally hedged forecasted cash flows.
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 and six months ended March 31,June 30, 2020 and 2019.
Gains/(losses) recorded in income and other comprehensive income/(loss)Gains/(losses) recorded in income and other comprehensive income/(loss)
2020 20192020 2019
Three months ended March 31,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI 
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Three months ended June 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI 
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Foreign exchange derivatives $10
 $1,589
 $21
 $(38) $(81) $(413) $27
 $(123)
        
Gains/(losses) recorded in income and other comprehensive income/(loss)
2020 2019
Six months ended June 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI 
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Foreign exchange derivatives $(71) $1,176
 $48
 $(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)Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. There were no sales or liquidationsThe Firm reclassified pre-tax (losses) of $(8) million and net pre-tax gains of $5 million to other income related to the liquidation of certain legal entities that resulted in reclassifications induring the periods presented.three and six months ended June 30, 2020 and 2019, respectively. Refer to Note 20 for further information.

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 mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities.
Derivatives gains/(losses)
recorded in income
Derivatives gains/(losses)
recorded in income
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020201920202019 20202019
Contract type    
Interest rate(a)
$1,292
$292
$644
$657
 $1,936
$949
Credit(b)
61
(10)(100)(2) (39)(12)
Foreign exchange(c)
106
50
(28)(75) 78
(25)
Total$1,459
$332
$516
$580
 $1,975
$912

(a)Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in mortgage commitments, 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. Refer to Note 6 for information on principal transactions revenue.

Credit derivatives
Refer to Note 5 of JPMorgan Chase’s 2019 Form 10-K for a more detailed discussion of credit derivatives. The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March 31,June 30, 2020 and December 31, 2019. 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 amountMaximum payout/Notional amount
March 31, 2020 (in millions)Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
June 30, 2020 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives          
Credit default swaps$(705,723) $721,125
$15,402
 $4,454
$(576,962) $596,882
$19,920
 $4,515
Other credit derivatives(a)
(59,153) 61,245
2,092
 7,800
(28,069) 35,496
7,427
 8,522
Total credit derivatives(764,876) 782,370
17,494
 12,254
(605,031) 632,378
27,347
 13,037
Credit-related notes—
 —
—
 9,002
—
 —
—
 9,228
Total$(764,876) $782,370
$17,494
 $21,256
$(605,031) $632,378
$27,347
 $22,265
          
Maximum payout/Notional amountMaximum payout/Notional amount
December 31, 2019 (in millions)Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives          
Credit default swaps$(562,338) $571,892
$9,554
 $3,936
$(562,338) $571,892
$9,554
 $3,936
Other credit derivatives(a)
(44,929) 52,007
7,078
 7,364
(44,929) 52,007
7,078
 7,364
Total credit derivatives(607,267) 623,899
16,632
 11,300
(607,267) 623,899
16,632
 11,300
Credit-related notes—
 —
—
 9,606
—
 —
—
 9,606
Total$(607,267) $623,899
$16,632
 $20,906
$(607,267) $623,899
$16,632
 $20,906
(a)Other credit derivatives predominantly consist of credit swap options and total return swaps.
(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,June 30, 2020, and December 31, 2019, 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
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
   
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
   
March 31, 2020
(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
June 30, 2020
(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$(119,850) $(377,563) $(84,443) $(581,856) $2,735
 $(4,961) $(2,226)$(94,891) $(320,604) $(37,397) $(452,892) $3,970
 $(2,297) $1,673
Noninvestment-grade(40,423) (115,600) (26,997) (183,020) 1,837
 (9,104) (7,267)(37,051) (106,115) (8,973) (152,139) 2,346
 (4,950) (2,604)
Total$(160,273) $(493,163) $(111,440) $(764,876) $4,572
 $(14,065) $(9,493)$(131,942) $(426,719) $(46,370) $(605,031) $6,316
 $(7,247) $(931)
December 31, 2019
(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$(114,460) $(311,407) $(42,129) $(467,996) $6,153
 $(911) $5,242
Noninvestment-grade(41,661) (87,769) (9,841) (139,271) 4,281
 (2,882) 1,399
Total$(156,121) $(399,176) $(51,970) $(607,267) $10,434
 $(3,793) $6,641

(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 andincluding cash collateral received by the Firm.netting.

Note 6 – Noninterest revenue and noninterest expense
Noninterest revenue
Refer to Note 6 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the components of and accounting policies for the Firm’s noninterest revenue.
Investment banking fees
The following table presents the components of investment banking fees.

Three months ended March 31,Three months ended June 30,
Six months ended June 30,
(in millions)2020
 2019
2020
 2019

2020
2019
Underwriting









Equity$327

$261
$974

$515

$1,301

$776
Debt1,044

945
1,279

820

2,323

1,765
Total underwriting1,371

1,206
2,253

1,335

3,624

2,541
Advisory495

634
597

516

1,092

1,150
Total investment banking fees$1,866

$1,840
$2,850

$1,851

$4,716

$3,691

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 in CIB and cash deployment activities in Treasury and CIO. Refer to Note 7 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 LOB.
Three months ended March 31, Three months ended June 30, Six months ended June 30, 
(in millions)2020
 2019
 2020
 2019
 2020 2019 
Trading revenue by instrument type            
Interest rate(a)
$452
 $799
(d) 
$1,519
 $463
(d) 
$1,971
 $1,262
(d) 
Credit(b)
(702)
(c) 
619
(d) 
1,953
(c) 
474
(d) 
1,251
(c) 
1,093
(d) 
Foreign exchange1,467
 888
 1,425
 737
(d) 
2,892
 1,625
(d) 
Equity1,348
 1,361
(d) 
2,058
 1,914
(d) 
3,406
 3,275
(d) 
Commodity437
 383
 591
 229
(d) 
1,028
 612
(d) 
Total trading revenue3,002
 4,050
 7,546
 3,817
 10,548
 7,867
 
Private equity gains/(losses)(65) 26
 75
 (103) 10
 (77) 
Principal transactions$2,937
 $4,076
 $7,621
 $3,714
 $10,558
 $7,790
 

(a)Includes the impact of changes in funding valuation adjustments on derivatives.
(b)Includes the impact of changes in credit valuation adjustments on derivatives, net of the associated hedging activities.
(c)Includes markdownsmarks on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio.
(d)Prior-period amounts were revised to conform with the current presentation.

 
Lending- and deposit-related fees
The following table presents the components of lending- and deposit-related fees.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Lending-related fees$291
 $290
$288
 $285
 $579
 $575
Deposit-related fees(a)
1,415
 1,269
1,143
 1,339
 2,558
 2,608
Total lending- and deposit-related fees$1,706
 $1,559
$1,431
 $1,624
 $3,137
 $3,183

(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts werehave been revised to conform with the current presentation.
Asset management, administration and commissions
The following table presents the components of asset management, administration and commissions.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020 2019
Asset management fees          
Investment management fees(a)
$2,785
 $2,577
$2,717
 $2,698
 $5,502
 $5,275
All other asset management fees(b)
93
 69
75
 78
 168
 147
Total asset management fees2,878
 2,646
2,792
 2,776
 5,670
 5,422
          
Total administration fees(c)
554
 535
546
 544
 1,100
 1,079
          
Commissions and other fees          
Brokerage commissions(d)
864
 586
715
 641
 1,579
 1,227
All other commissions and fees(e)
244
 270
213
 303
 457
 573
Total commissions and fees1,108
 856
928
 944
 2,036
 1,800
Total asset management, administration and commissions$4,540
 $4,037
$4,266
 $4,264
 $8,806
 $8,301
(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.
(d)Represents commissions earned when the Firm acts as a broker, by facilitating its clients’ purchases and sales of securities and other financial instruments.
(e)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts werehave been revised to conform with the current presentation.




Card income
The following table presents the components of card income:
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Interchange and merchant processing income$4,782
 $4,721
$3,940
 $5,184
 $8,722
 $9,905
Rewards costs and partner payments(a)(3,523) (3,236)(2,816) (3,695) (6,398) (6,978)
Other card income(a)(b)
(205) (211)(150) (208) (355) (419)
Total card income$1,054
 $1,274
$974
 $1,281
 $1,969
 $2,508
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Predominantly represents the amortization of account origination costs and annual fees.

Refer to Note 15 Goodwill and MSRs for information on mortgage fees and related income.
Refer to Note 17 for information on operating lease income included within other income.
Noninterest expense
Other expense
Other expense on the Firm’s Consolidated statements of income included the following:
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Legal expense/(benefit)$197
 $(81)$118
 $69
 $315

$(12)
FDIC-related expense99
 143
218
 121
 317

264


 
Note 7 – Interest income and Interest expense
Refer to Note 7 of JPMorgan Chase’s 2019 Form 10-K for a description of JPMorgan Chase’s accounting policies regarding interest income and interest expense.
The following table presents the components of interest income and interest expense.

Three months ended
March 31,		Three months ended
June 30,		 Six months ended
June 30,
(in millions)2020

2019
2020

2019
 2020
 2019
Interest income          
Loans(a)
$11,932

$12,880
$10,622

$12,726
 $22,554
 $25,606
Taxable securities2,233

1,705
2,154

1,875
 4,387
 3,580
Non-taxable securities(b)
300

363
307

340
 607
 703
Total investment securities(a)
2,533

2,068
2,461

2,215
 4,994
 4,283
Trading assets - debt instruments2,461

2,769
2,355

2,915
 4,816
 5,684
Federal funds sold and securities purchased under resale agreements1,095

1,647
601

1,676
 1,696
 3,323
Securities borrowed(c)152

397
(175)
467
 (23) 864
Deposits with banks569

1,170
70

1,132
 639
 2,302
All other interest-earning assets(c)(d)
419

458
178

472
 597
 930
Total interest income19,161

21,389
16,112

21,603
 35,273
 42,992
Interest expense          
Interest-bearing deposits1,575
 2,188
349
 2,413
 1,924
 4,601
Federal funds purchased and securities loaned or sold under repurchase agreements787
 1,110
131
 1,226
 918
 2,336
Short-term borrowings(d)(e)
151
 427
124
 363
 275
 790
Trading liabilities – debt and all other interest-bearing liabilities(e)(f)
372
 719
(43) 762
 329
 1,481
Long-term debt1,747
 2,342
1,639
 2,266
 3,386
 4,608
Beneficial interest issued by consolidated VIEs90
 150
59
 175
 149
 325
Total interest expense4,722
 6,936
2,259
 7,205
 6,981
 14,141
Net interest income14,439
 14,453
13,853
 14,398
 28,292
 28,851
Provision for credit losses8,285
 1,495
10,473
 1,149
 18,758
 2,644
Net interest income after provision for credit losses$6,154
 $12,958
$3,380
 $13,249
 $9,534
 $26,207
(a)Includes the amortization/accretion of unearned income (e.g., purchase premiums/discounts, net deferred fees/costs, etc.).
(b)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)
Negative interest income is related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other interest-bearing liabilities.
(d)Includes interest earned on prime brokerage-related held-for-investment customer receivables, 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.
(d)(e)Includes commercial paper.
(e)(f)Other interest-bearing liabilities includes interest expense on prime brokerage-related customer payables.

Note 8 – Pension and other postretirement employee benefit plans
Refer to Note 8 of JPMorgan Chase’s 2019 Form 10-K for a discussion of JPMorgan Chase’s pension and OPEB plans.
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 March 31,Three months ended June 30, Six months ended June 30,
20202019 2020201920202019 20202019 20202019 20202019
Pension plans OPEB plansPension plans OPEB plans Pension plans OPEB plans
Components of net periodic benefit cost          
Benefits earned during the period$8
$89
 $—
$—
$8
$89
 $—
$—
 $16
$178
 $—
$—
Interest cost on benefit obligations119
150
 5
6
121
149
 5
6
 240
299
 10
12
Expected return on plan assets(191)(230) (27)(28)(192)(229) (28)(28) (383)(459) (55)(56)
Amortization:           
Net (gain)/loss4
42
 —
—
3
41
 —
—
 7
83
 —
—
Prior service (credit)/cost1
1
 —
—
1
1
 —
—
 2
2
 —
—
Net periodic defined benefit cost(59)52
 (22)(22)(59)51
 (23)(22) (118)103
 (45)(44)
Other defined benefit pension plans(a)
9
6
 NA
NA
10
7
 NA
NA
 19
13
 NA
NA
Total defined benefit plans(50)58
 (22)(22)(49)58
 (23)(22) (99)116
 (45)(44)
Total defined contribution plans299
220
 NA
NA
321
243
 NA
NA
 620
463
 NA
NA
Total pension and OPEB cost included in noninterest expense$249
$278
 $(22)$(22)$272
$301
 $(23)$(22) $521
$579
 $(45)$(44)
(a)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)March 31,
2020
 December 31, 2019
June 30,
2020
 December 31, 2019
Fair value of plan assets      
Defined benefit pension plans$19.3
 $20.4
$20.6
 $20.4
OPEB plans2.7
 3.0
3.0
 3.0

There are 0 expected contributions to the U.S. defined benefit pension plan for 2020.

Note 9 – Employee share-based incentives
Refer to Note 9 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the accounting policies and other information relating to employee share-based incentives.
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,		Three months ended
June 30,		 Six months ended
June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Cost of prior grants of RSUs, performance share units (“PSUs”), stock appreciation rights (“SARs”) and employee stock options that are amortized over their applicable vesting periods$334
 $339
Cost of prior grants of RSUs, performance share units (“PSUs”) and employee stock options that are amortized over their applicable vesting periods$276
 $278
 $610
 $617
Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees310
 314
526
 292
 836
 606
Total noncash compensation expense related to employee share-based incentive plans$644
 $653
$802
 $570
 $1,446
 $1,223

In the first quarter of 2020, in connection with its annual incentive grant for the 2019 performance year, the Firm granted 15 million RSUs and 496 thousand PSUswith weighted-average grant date fair values of $135.64 per RSU and $135.30 per PSU.

Note 10 – Investment securities
Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in Note 2. Predominantly all of the Firm’s AFS and HTM securities are held by Treasury and CIO in connection with its asset-liability management activities. Refer to Note 10 of JPMorgan Chase’s 2019 Form 10-K for additional information regarding the investment securities portfolio.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance, which also amended the AFS
 
securities impairment guidance. Refer to Note 1 for further information.
During the first quarter of 2020, the Firm transferred $26.1 billion of U.S. GSE and government agency MBS from AFS to HTM for capital management purposes. These securities were transferred at fair value in a non-cash transaction. AOCI included pretax unrealized gains of $1.0 billion on the securities at the date of transfer.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(in millions)
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value 
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value 
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value
Available-for-sale securities              
Mortgage-backed securities:              
U.S. GSEs and government agencies(a)
$131,141
$4,673
$194
 $135,620
 $107,811
$2,395
$89
 $110,117
$147,398
$5,074
$166
 $152,306
 $107,811
$2,395
$89
 $110,117
Residential:              
U.S.12,241
162
199
 12,204
 10,223
233
6
 10,450
12,721
458
34
 13,145
 10,223
233
6
 10,450
Non-U.S.3,364
29
154
 3,239
 2,477
64
1
 2,540
5,100
55
31
 5,124
 2,477
64
1
 2,540
Commercial6,428
39
154
 6,313
 5,137
64
13
 5,188
6,712
186
93
 6,805
 5,137
64
13
 5,188
Total mortgage-backed securities153,174
4,903
701
 157,376
 125,648
2,756
109
 128,295
171,931
5,773
324
 177,380
 125,648
2,756
109
 128,295
U.S. Treasury and government agencies148,476
2,514
755
 150,235
 139,162
449
175
 139,436
212,345
2,701
584
 214,462
 139,162
449
175
 139,436
Obligations of U.S. states and municipalities28,886
1,712
53
 30,545
 27,693
2,118
1
 29,810
28,353
2,083
10
 30,426
 27,693
2,118
1
 29,810
Certificates of deposit76
—
—
 76
 77
—
—
 77
—
—
—
 —
 77
—
—
 77
Non-U.S. government debt securities22,369
400
8
 22,761
 21,427
377
17
 21,787
23,634
433
7
 24,060
 21,427
377
17
 21,787
Corporate debt securities838
—
36
 802
 823
22
—
 845
671
9
6
 674
 823
22
—
 845
Asset-backed securities:              
Collateralized loan obligations33,022
—
2,047
 30,975
 25,038
9
56
 24,991
31,369
19
590
 30,798
 25,038
9
56
 24,991
Other7,263
24
113
 7,174
 5,438
40
20
 5,458
8,080
67
64
 8,083
 5,438
40
20
 5,458
Total available-for-sale securities(b)
394,104
9,553
3,713
 399,944
 345,306
5,771
378
 350,699
476,383
11,085
1,585
 485,883
 345,306
5,771
378
 350,699
Held-to-maturity securities(c)
              
Mortgage-backed securities:              
U.S. GSEs and government agencies(a)
61,513
2,253
88
 63,678
 36,523
1,165
62
 37,626
62,811
2,836
14
 65,633
 36,523
1,165
62
 37,626
Commercial107
12
—
 120
 —
—
—
 —
572
25
—
 604
 —
—
—
 —
Total mortgage-backed securities61,620
2,265
88
 63,798
 36,523
1,165
62
 37,626
63,383
2,861
14
 66,237
 36,523
1,165
62
 37,626
U.S. Treasury and government agencies

51
2
—
 53
 51
—
1
 50
51
2
—
 53
 51
—
1
 50
Obligations of U.S. states and municipalities4,842
307
—
 5,167
 4,797
299
—
 5,096
4,839
387
—
 5,241
 4,797
299
—
 5,096
Asset-backed securities:              
Collateralized loan obligations4,687
—
181
 4,506
 6,169
—
—
 6,169
4,635
—
60
 4,576
 6,169
—
—
 6,169
Total held-to-maturity securities, net of allowance for credit losses(d)
71,200
2,574
269
 73,524
 47,540
1,464
63
 48,941
72,908
3,250
74
 76,107
 47,540
1,464
63
 48,941
Total investment securities, net of allowance for credit losses(d)
$465,304
$12,127
$3,982
 $473,468
 $392,846
$7,235
$441
 $399,640
$549,291
$14,335
$1,659
 $561,990
 $392,846
$7,235
$441
 $399,640
(a)Includes AFS U.S. GSE obligations with fair values of $86.1$98.3 billion and $78.5 billion, and HTM U.S. GSE obligations with amortized cost of $51.9$53.8 billion and $31.6 billion, at March 31,June 30, 2020, and December 31, 2019, respectively. As of March 31,June 30, 2020, mortgage-backed securities issued by Fannie Mae and Freddie Mac each exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities were $83.9$97.7 billion and $87.3$102.0 billion, and $51.0$50.9 billion and $52.7 billion, respectively.
(b)There was 0 allowance for credit losses on AFS securities at March 31,June 30, 2020.
(c)The Firm purchased $205 million$4.8 billion and $5.0 billion of HTM securities for the three and six months ended March 31, 2020; there were 0 purchases of HTM securitiesJune 30, 2020, respectively, and $818 million for both the three and six months ended March 31,June 30, 2019.
(d)HTM securities measured at amortized cost are reported net of allowance for credit losses of $19$23 million at March 31,June 30, 2020.
(e)Excludes $2.1$2.2 billion and $1.9 billion of accrued interest receivables at March 31,June 30, 2020 and December 31, 2019, respectively. The Firm did 0t reverse through interest income any accrued interest receivables for the three and six months ended March 31,June 30, 2020 and 2019.

At March 31,June 30, 2020, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings). Risk ratings are used to identify the credit quality of securities and differentiate risk within the portfolio. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the
 
economic environment) defined by S&P and Moody’s, however the quantitative characteristics (e.g., PDsprobability of default (“PD”) and LGDs)loss given default (“LGD”)) may differ as they reflect internal historical experiences and assumptions. Risk ratings are assigned at acquisition, are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary over the life of the investment for updated information affecting the issuer’s ability to fulfill its obligations.
AFS securities impairment
The following tables present the fair value and gross unrealized losses by aging category for AFS securities at March 31,June 30, 2020 and December 31, 2019. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $949$750 million and $264 million, at March 31,June 30, 2020 and December 31, 2019, respectively; changes in the value of these securities are generally driven by changes in interest rates rather than changes in their credit profile given the explicit or implicit guarantees provided by the U.S. government.
Available-for-sale securities with gross unrealized lossesAvailable-for-sale securities with gross unrealized losses
Less than 12 months 12 months or more Less than 12 months 12 months or more 
March 31, 2020 (in millions)Fair value
Gross
unrealized losses
 Fair value
Gross
unrealized losses
Total fair valueTotal gross unrealized losses
June 30, 2020 (in millions)Fair value
Gross
unrealized losses
 Fair value
Gross
unrealized losses
Total fair valueTotal gross unrealized losses
Available-for-sale securities      
Mortgage-backed securities:      
Residential:      
U.S.
5,847
188
 320
11
6,167
199
$2,570
$28
 $259
$6
$2,829
$34
Non-U.S.2,354
150
 259
4
2,613
154
3,764
28
 261
3
4,025
31
Commercial4,136
136
 191
18
4,327
154
1,950
61
 177
32
2,127
93
Total mortgage-backed securities12,337
474
 770
33
13,107
507
8,284
117
 697
41
8,981
158
Obligations of U.S. states and municipalities1,059
53
 —
—
1,059
53
410
10
 —
—
410
10
Certificates of deposit76
—
 —
—
76
—
—
—
 —
—
—
—
Non-U.S. government debt securities2,303
5
 347
3
2,650
8
3,183
4
 808
3
3,991
7
Corporate debt securities760
36
 —
—
760
36
390
6
 —
—
390
6
Asset-backed securities:      
Collateralized loan obligations25,589
1,670
 5,357
377
30,946
2,047
24,866
456
 5,003
134
29,869
590
Other4,897
71
 840
42
5,737
113
1,471
23
 925
41
2,396
64
Total available-for-sale securities with gross unrealized losses47,021
2,309
 7,314
455
54,335
2,764
$38,604
$616
 $7,433
$219
$46,037
$835
Available-for-sale securities with gross unrealized lossesAvailable-for-sale securities with gross unrealized losses
Less than 12 months 12 months or more Less than 12 months 12 months or more 
December 31, 2019 (in millions)Fair value
Gross
unrealized losses
 Fair value
Gross
unrealized losses
Total fair valueTotal gross unrealized lossesFair value
Gross
unrealized losses
 Fair value
Gross
unrealized losses
Total fair valueTotal gross unrealized losses
Available-for-sale securities      
Mortgage-backed securities:      
Residential:      
U.S.1,072
3
 423
3
1,495
6
$1,072
$3
 $423
$3
$1,495
$6
Non-U.S.13
—
 420
1
433
1
13
—
 420
1
433
1
Commercial1,287
12
 199
1
1,486
13
1,287
12
 199
1
1,486
13
Total mortgage-backed securities2,372
15
 1,042
5
3,414
20
2,372
15
 1,042
5
3,414
20
Obligations of U.S. states and municipalities186
1
 —
—
186
1
186
1
 —
—
186
1
Certificates of deposit77
—
 —
—
77
—
77
—
 —
—
77
—
Non-U.S. government debt securities3,970
13
 1,406
4
5,376
17
3,970
13
 1,406
4
5,376
17
Corporate debt securities—
—
 —
—
—
—
—
—
 —
—
—
—
Asset-backed securities:      
Collateralized loan obligations10,364
11
 7,756
45
18,120
56
10,364
11
 7,756
45
18,120
56
Other1,639
9
 753
11
2,392
20
1,639
9
 753
11
2,392
20
Total available-for-sale securities with gross unrealized losses18,608
49
 10,957
65
29,565
114
$18,608
$49
 $10,957
$65
$29,565
$114


As a result of the adoption of the amended AFS securities impairment guidance, an allowance for credit losses on AFS securities is required for impaired securities if a credit loss exists.
AFS securities are considered impaired if the fair value is less than the amortized cost (excluding accrued interest receivable).
The Firm recognizes impairment losses in earnings if the Firm has the intent to sell the debt security, or if it is more likely than not that the Firm will be required to sell the debt security before recovery of its amortized cost. In these circumstances the impairment loss recognized in earnings is equal to the full difference between the amortized cost (excluding accrued interest receivable and net of allowance if applicable) and the fair value of the securities.
For impaired debt securities that the Firm has the intent and ability to hold, the securities are evaluated to determine if a credit loss exists. If it is determined that a credit loss exists, that loss is recognized as an allowance for credit losses through the provision for credit losses in the Consolidated Statements of Income, limited by the amount of impairment. Any impairment not due to credit losses is recorded in OCI.
Factors considered in evaluating credit losses include adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; and payment structure of the security.
When assessing securities issued in a securitization for credit losses, the Firm estimates cash flows considering relevant market and economic data, underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the underlying collateral (“pool losses”) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss exists.
 
For beneficial interests in securitizations that are rated below “AA” at their acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment, the Firm evaluates impairment for credit losses when there is an adverse change in expected cash flows.
Unrealized losses on AFS securities increased during the period ended June 30, 2020 as credit spreads widened during the first quarter of 2020 due to credit spread widening amid volatile financial markets in connection with the COVID-19 pandemic.pandemic and tightened in the second quarter. The increase was largely related to collateralized loan obligations which had gross unrealized losses of $590 million as of June 30, 2020 compared to $2.0 billion as of March 31, 2020. OverApproximately 99% of these collateralized loan obligations are rated “AAA”, and the average credit enhancement was 37%. Credit enhancement in collateralized loan obligations is primarily in the form of overcollateralization, which is the excess of the par amount of collateral over the par amount of securities. Management assessed the projected collateral performance and the structural protections of these securities including underlying loan defaults and loss severity to determine if a credit loss exists. Based on this assessment, the Firm believes the unrealized losses on collateralized loan obligations are not due to credit losses.
Allowance for credit losses
Based on its assessment, the Firm did not recognize an allowance for credit losses on impaired AFS securities as of January 1 or March 31,June 30, 2020.


HTM securities – credit risk
The adoption of the CECL accounting guidance requires management to estimate expected credit losses on HTM securities over the remaining expected life and recognize this estimate as an allowance for credit losses. As a result of the adoption of this guidance, the Firm recognized an allowance for credit losses on HTM obligations of U.S. states and municipalities of $10 million as a cumulative-effect adjustment to retained earnings as of January 1, 2020.
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At March 31,June 30, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 92%95% rated AAA.
Allowance for credit losses
The allowance for credit losses on HTM obligations of U.S. states and municipalities and commercial mortgage-backed securities is calculated by applying statistical credit loss factors (estimated PD and LGD) to the amortized cost (excluding accrued interest receivable). The credit loss factors are derived using a weighted average of five internally developed eight-quarter macroeconomic scenarios, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the forecast period. Refer to Note 13 for further information on the eight-quarter macroeconomic forecast.
The allowance for credit losses on HTM collateralized loan obligations is calculated as the difference between the amortized cost (excluding accrued interest receivable) and the present value of the cash flows expected to be collected, discounted at the security’s effective interest rate. These cash flow estimates are developed based on expectations of underlying collateral performance derived using the eight-quarter macroeconomic forecast and the single year straight-line interpolation, as well as considering the structural features of the security.
The use of different inputs, estimates or methodologies could change the amount of the allowance for credit losses estimated by the Firm.
The application of different inputs and assumptions into the calculation of the allowance for credit losses is subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for credit losses on HTM securities.
The allowance for credit losses on HTM securities was $19$23 million as of March 31,June 30, 2020, reflecting $9$4 million and $13 million recognized in the provision for credit losses for the three and six months ended March 31, 2020.June 30, 2020, respectively.
 
Selected impacts of investment securities on the Consolidated statements of income
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
2019
2020
2019
  2020
2019
Realized gains$1,095
$261
$624
$115
 $1,719
$376
Realized losses(862)(248)(598)(71) (1,460)(319)
Net investment securities gains$233
$13
$26
$44
 $259
$57
    
Provision for credit losses$9
NA
$4
NA
 13
NA

The Firm did not intend to sell any impaired AFS securities in the periods presented.


Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at March 31,June 30, 2020, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
March 31, 2020 (in millions)
Due in one
year or less
Due after one year through five yearsDue after five years through 10 years
Due after
10 years(b)
 Total
By remaining maturity
June 30, 2020 (in millions)
Due in one
year or less
Due after one year through five yearsDue after five years through 10 years
Due after
10 years(b)
 Total
Available-for-sale securities      
Mortgage-backed securities      
Amortized cost$2
$381
$11,827
$140,964
 $153,174
$2
$386
$12,793
$158,750
 $171,931
Fair value2
388
12,066
144,920
 157,376
2
399
13,130
163,849
 177,380
Average yield(a)
2.08%1.97%2.51%3.28% 3.22%2.16%2.03%1.89%3.06% 2.97%
U.S. Treasury and government agencies







  







  
Amortized cost$7,529
$95,419
$30,655
$14,873
 $148,476
$42,482
$112,121
$45,140
$12,602
 $212,345
Fair value7,557
96,795
31,748
14,135
 150,235
42,514
113,598
46,326
12,024
 214,462
Average yield(a)
0.64%0.95%1.73%1.40% 1.14%0.29%0.71%0.96%0.54% 0.67%
Obligations of U.S. states and municipalities







  







  
Amortized cost$123
$209
$1,024
$27,530
 $28,886
Fair value123
217
1,080
29,125
 30,545
Average yield(a)
4.11%4.43%4.91%4.66% 4.67%
Certificates of deposit







  
Amortized cost$76
$—
$—
$—
 $76
$74
$231
$1,132
$26,916
 $28,353
Fair value76
—
—
—
 76
74
241
1,212
28,899
 30,426
Average yield(a)
0.49%—%—%—% 0.49%3.63%4.47%4.84%4.58% 4.59%
Non-U.S. government debt securities







  







  
Amortized cost$6,755
$11,028
$4,080
$506
 $22,369
$8,268
$10,518
$4,547
$301
 $23,634
Fair value6,774
11,270
4,195
522
 22,761
8,293
10,778
4,667
322
 24,060
Average yield(a)
2.34%1.80%0.85%1.41% 1.78%1.48%1.48%1.01%1.67% 1.39%
Corporate debt securities







  







  
Amortized cost$201
$334
$303
$—
 $838
$131
$303
$237
$—
 $671
Fair value200
313
289
—
 802
131
303
240
—
 674
Average yield(a)
5.32%3.75%3.15%—% 3.91%3.85%2.89%3.00%—% 3.11%
Asset-backed securities







  







  
Amortized cost$112
$3,047
$11,901
$25,225
 $40,285
$146
$3,629
$14,167
$21,507
 $39,449
Fair value112
3,022
11,360
23,655
 38,149
146
3,647
13,956
21,132
 38,881
Average yield(a)
1.67%2.44%2.69%2.44% 2.51%1.05%2.23%2.19%1.87% 2.01%
Total available-for-sale securities







  







  
Amortized cost$14,798
$110,418
$59,790
$209,098
 $394,104
$51,103
$127,188
$78,016
$220,076
 $476,383
Fair value14,844
112,005
60,738
212,357
 399,944
51,160
128,966
79,531
226,226
 485,883
Average yield(a)
1.52%1.10%2.08%3.22% 2.39%0.50%0.83%1.40%2.99% 1.89%
Held-to-maturity securities







  







  
Mortgage-backed securities







  







  
Amortized cost$—
$—
$5,782
$55,838
 $61,620
$—
$—
$6,234
$57,157
 $63,391
Fair value—
—
6,402
57,396
 63,798
—
—
6,931
59,306
 66,237
Average yield(a)
—%—%3.05%3.06% 3.06%—%—%2.92%2.93% 2.92%
U.S. Treasury and government agencies

      
Amortized cost

$—
$51
$—
$—
 $51
$—
$51
$—
$—
 $51
Fair value

—
53
—
—
 53
—
53
—
—
 53
Average yield(a)

—%1.44%—%—% 1.44%—%1.44%—%—% 1.44%
Obligations of U.S. states and municipalities







  







  
Amortized cost$—
$36
$164
$4,661
 $4,861
$—
$36
$201
$4,617
 $4,854
Fair value—
37
175
4,955
 5,167
—
37
218
4,986
 5,241
Average yield(a)
—%3.64%3.79%3.94% 3.93%—%3.65%3.81%3.94% 3.94%
Asset-backed securities      
Amortized cost$—
$—
$4,054
$633
 $4,687
$—
$—
$4,635
$—
 $4,635
Fair value—
—
3,901
605
 4,506
—
—
4,576
—
 4,576
Average yield(a)
—%—%2.97%2.99% 2.97%—%—%2.24%—% 2.24%
Total held-to-maturity securities







  







  
Amortized cost$—
$87
$10,000
$61,132
 $71,219
$—
$87
$11,070
$61,774
 $72,931
Fair value—
90
10,478
62,956
 73,524
—
90
11,725
64,292
 76,107
Average yield(a)
—%2.35%3.03%3.13% 3.11%—%2.35%2.65%3.00% 2.95%
(a)Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. However, for certain callable debt securities, the average yield is calculated to the earliest call date.
(b)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 4 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.

Note 11 – Securities financing activities
JPMorgan Chase enters into resale, repurchase, securities borrowed and securities loaned agreements (collectively, “securities financing agreements”) primarily to finance the Firm’s inventory positions, acquire securities to cover short sales, accommodate customers’ financing needs, settle other securities obligations and to deploy the Firm’s excess cash.
Securities financing agreements are treated as collateralized financings on the Firm’s Consolidated balance sheets. Where appropriate under applicable accounting guidance, securities financing agreements with the same counterparty are reported on a net basis. Refer to Note 1 for further discussion of the offsetting of assets and liabilities. Fees received and paid in connection with securities financing agreements are recorded over the life of the agreement in interest income and interest expense on the Consolidated statements of income.
The Firm has elected the fair value option for certain securities financing agreements. Refer to Note 3 for further information regarding the fair value option. The securities financing agreements for which the fair value option has been elected are reported within securities purchased under resale agreements, securities loaned or sold under repurchase agreements, and securities borrowed on the Consolidated balance sheets. Generally, for agreements carried at fair value, current-period interest accruals are recorded within interest income and interest expense, with changes in fair value reported in principal transactions revenue. However, for financial instruments containing embedded derivatives that would be separately accounted for in accordance with accounting guidance for hybrid instruments, all changes in fair value, including any interest elements, are reported in principal transactions revenue.
Securities financing agreements not elected under the fair value option are measured at amortized cost. As a result of the Firm’s credit risk mitigation practices described below, the Firm did not hold any allowance for credit losses with respect to resale and securities borrowed arrangements as of March 31,June 30, 2020 and December 31, 2019.
 
Credit risk mitigation practices
Securities financing agreements expose the Firm primarily to credit and liquidity risk. To manage these risks, the Firm monitors the value of the underlying securities (predominantly high-quality securities collateral, including government-issued debt and U.S. GSEs and government agencies MBS) that it has received from or provided to its counterparties compared to the value of cash proceeds and exchanged collateral, and either requests additional collateral or returns securities or collateral when appropriate. Margin levels are initially established based upon the counterparty, the type of underlying securities, and the permissible collateral, and are monitored on an ongoing basis.
In resale and securities borrowed agreements, the Firm is exposed to credit risk to the extent that the value of the securities received is less than initial cash principal advanced and any collateral amounts exchanged. In repurchase and securities loaned agreements, credit risk exposure arises to the extent that the value of underlying securities advanced exceeds the value of the initial cash principal received, and any collateral amounts exchanged.
Additionally, the Firm typically enters into master netting agreements and other similar arrangements with its counterparties, which provide for the right to liquidate the underlying securities and any collateral amounts exchanged in the event of a counterparty default. It is also the Firm’s policy to take possession, where possible, of the securities underlying resale and securities borrowed agreements. Refer to Note 24 for further information regarding assets pledged and collateral received in securities financing agreements.


The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of March 31,June 30, 2020 and December 31, 2019. When the Firm has obtained an appropriate legal opinion with respect to a master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparty to reduce the economic exposure with the counterparty, but
 
such collateral is not eligible for net Consolidated balance sheet presentation. Where the Firm has obtained an appropriate legal opinion with respect to the counterparty master netting agreement, such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented in the table below as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below.
March 31, 2020June 30, 2020
(in millions)Gross amountsAmounts netted on the Consolidated balance sheetsAmounts presented on the Consolidated balance sheets
Amounts not nettable on the Consolidated balance sheets(b)
Net
amounts(c)
Gross amountsAmounts netted on the Consolidated balance sheetsAmounts presented on the Consolidated balance sheets
Amounts not nettable on the Consolidated balance sheets(b)
Net
amounts(c)
Assets      
Securities purchased under resale agreements$687,109
$(438,559)$248,550
$(233,013) $15,537
$604,876
$(347,896)$256,980
$(241,154) $15,826
Securities borrowed152,908
(13,069)139,839
(101,374) 38,465
165,490
(22,786)142,704
(102,470) 40,234
Liabilities      
Securities sold under repurchase agreements$662,472
$(438,559)$223,913
$(193,881) $30,032
$577,216
$(347,896)$229,320
$(214,124) $15,196
Securities loaned and other(a)
23,830
(13,069)10,761
(10,582) 179
30,291
(22,786)7,505
(7,003) 502
 December 31, 2019
(in millions)Gross amountsAmounts netted on the Consolidated balance sheetsAmounts presented on the Consolidated balance sheets
Amounts not nettable on the Consolidated balance sheets(b)
Net
amounts(c)
Assets      
Securities purchased under resale agreements$628,609
$(379,463)$249,146
$(233,818) $15,328
Securities borrowed166,718
(26,960)139,758
(104,990) 34,768
Liabilities      
Securities sold under repurchase agreements$555,172
$(379,463)$175,709
$(151,566) $24,143
Securities loaned and other(a)
36,649
(26,960)9,689
(9,654) 35
(a)Includes securities-for-securities lending agreements of $4.1$3.3 billion and $3.7 billion at March 31,June 30, 2020 and December 31, 2019, respectively, accounted for at fair value, where the Firm is acting as lender. In the Consolidated balance sheets, the Firm recognizes the securities received at fair value within other assets and the obligation to return those securities within accounts payable and other liabilities.
(b)In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related net asset or liability with that counterparty.
(c)Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At March 31,June 30, 2020 and December 31, 2019, included $12.3$11.3 billion and $11.0 billion, respectively, of securities purchased under resale agreements; $34.9$37.2 billion and $31.9 billion, respectively, of securities borrowed; $28.5$13.9 billion and $22.7 billion, respectively, of securities sold under repurchase agreements; and $9$33 million and $7 million, respectively, of securities loaned and other.

The tables below present as of March 31,June 30, 2020, and December 31, 2019 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements.
Gross liability balanceGross liability balance
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(in millions)Securities sold under repurchase agreements Securities loaned and other Securities sold under repurchase agreements Securities loaned and otherSecurities sold under repurchase agreements Securities loaned and other Securities sold under repurchase agreements Securities loaned and other
Mortgage-backed securities              
U.S. GSEs and government agencies$60,742
 $—
 $34,119
 $—
$58,171
 $—
 $34,119
 $—
Residential - nonagency1,860
 —
 1,239
 —
588
 —
 1,239
 —
Commercial - nonagency1,931
 —
 1,612
 —
1,273
 —
 1,612
 —
U.S. Treasury, GSEs and government agencies390,151
 92
 334,398
 29
320,996
 93
 334,398
 29
Obligations of U.S. states and municipalities1,793
 —
 1,181
 —
1,650
 —
 1,181
 —
Non-U.S. government debt165,715
 1,559
 145,548
 1,528
156,353
 2,337
 145,548
 1,528
Corporate debt securities21,855
 1,582
 13,826
 1,580
21,359
 1,092
 13,826
 1,580
Asset-backed securities3,074
 —
 1,794
 —
981
 —
 1,794
 —
Equity securities15,351
 20,597
 21,455
 33,512
15,845
 26,769
 21,455
 33,512
Total$662,472
 $23,830
 $555,172
 $36,649
$577,216
 $30,291
 $555,172
 $36,649
Remaining contractual maturity of the agreementsRemaining contractual maturity of the agreements
Overnight and continuous     
Greater than
90 days
  Overnight and continuous     
Greater than
90 days
  
March 31, 2020 (in millions) Up to 30 days 30 – 90 days Total
June 30, 2020 (in millions)Overnight and continuous Up to 30 days 30 – 90 days 
Greater than
90 days
 Total
Total securities sold under repurchase agreements$276,704
 $222,320
 $91,030
 $72,418
 $662,472
 $215,316
 $60,712
 $577,216
Total securities loaned and other20,610
 100
 697
 2,423
 23,830
28,407
 26
 531
 1,327
 30,291
 Remaining contractual maturity of the agreements
 Overnight and continuous     
Greater than
90 days
  
December 31, 2019 (in millions) Up to 30 days 30 – 90 days  Total
Total securities sold under repurchase agreements$225,134
 $195,816
(a) 
$56,020
(a) 
$78,202
(a) 
$555,172
Total securities loaned and other32,028
 1,706
 937
 1,978
 36,649
(a)The prior-periodPrior-period amounts have been revised to conform with the current period presentation.
Transfers not qualifying for sale accounting
At March 31,June 30, 2020, and December 31, 2019, the Firm held $581$662 million and $743 million, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets.

Note 12 – Loans
Loan accounting framework
The accounting for a loan depends on management’s strategy for the loan. The Firm accounts for loans based on the following categories:
Originated or purchased loans held-for-investment (i.e., “retained”)
Loans held-for-sale
Loans at fair value
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
The following provides a detailed accounting discussion of these loan categories:
Loans held-for-investment
Originated or purchased loans held-for-investment are recorded at the principal amount outstanding, net of the following: charge-offs; interest applied to principal (for loans accounted for on the cost recovery method); unamortized discounts and premiums; and net deferred loan fees or costs. Credit card loans also include billed finance charges and fees.
Interest income
Interest income on performing loans held-for-investment is accrued and recognized as interest income at the contractual rate of interest. Purchase price discounts or premiums, as well as net deferred loan fees or costs, are amortized into interest income over the contractual life of the loan as an adjustment of yield.
The Firm classifies accrued interest on loans, including accrued but unbilled interest on credit card loans, in accrued interest and accounts receivables on the Consolidated balance sheets. For credit card loans, accrued interest once billed is then recognized in the loan balances, as it is billed, with the related allowance recorded in the allowance for credit losses. Changes in the allowance for credit losses on accrued interest on credit card loans are recognized in the provision for credit losses and charge-offs are recognized by reversing interest income. For other loans, the Firm generally does not recognize an allowance for credit losses on accrued interest receivables, consistent with its policy to write them off no later than 90 days past due by reversing interest income.
Nonaccrual loans
Nonaccrual loans are those on which the accrual of interest has been suspended. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status and considered nonperforming when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest has been in default for a period of 90 days or more, unless the loan is both well-secured and in the process of collection. A loan is determined to be past due when the minimum payment is not received from the borrower by the contractually specified due date or for
 
certain loans (e.g., residential real estate loans), when a monthly payment is due and unpaid for 30 days or more. Finally, collateral-dependent loans are typically maintained on nonaccrual status.
On the date a loan is placed on nonaccrual status, all interest accrued but not collected is reversed against interest income. In addition, the amortization of deferred amounts is suspended. Interest income on nonaccrual loans may be recognized as cash interest payments are received (i.e., on a cash basis) if the recorded loan balance is deemed fully collectible; however, if there is doubt regarding the ultimate collectibility of the recorded loan balance, all interest cash receipts are applied to reduce the carrying value of the loan (the cost recovery method). For consumer loans, application of this policy typically results in the Firm recognizing interest income on nonaccrual consumer loans on a cash basis.
A loan may be returned to accrual status when repayment is reasonably assured and there has been demonstrated performance under the terms of the loan or, if applicable, the terms of the restructured loan.
As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full.
Allowance for loan losses
The allowance for loan losses represents the estimated expected credit losses in the held-for-investment loan portfolio at the balance sheet date and is recognized on the balance sheet as a contra asset, which brings the amortized cost to the net carrying value. Changes in the allowance for loan losses are recorded in the provision for credit losses on the Firm’s Consolidated statements of income. Refer to Note 13 for further information on the Firm’s accounting policies for the allowance for loan losses.
Charge-offs
Consumer loans are generally charged off or charged down to the net realizable value of the underlying collateral (i.e., fair value less estimated costs to sell), with an offset to the allowance for loan losses, upon reaching specified stages of delinquency in accordance with standards established by the FFIEC. Residential real estate loans, unmodified credit card loans and scored business banking loans are generally charged off no later than 180 days past due. Scored auto and modified credit card loans are charged off no later than 120 days past due.
Certain consumer loans are charged off or charged down to their net realizable value earlier than the FFIEC charge-off standards in certain circumstances as follows:
•
Loans modified in a TDR that are determined to be collateral-dependent.

•
Loans to borrowers who have experienced an event that suggests a loss is either known or highly certain are subject to accelerated charge-off standards (e.g., residential real estate and auto loans are charged off within 60 days of receiving notification of a bankruptcy filing).
•
Auto loans upon repossession of the automobile.
Loans to borrowers who have experienced an event that suggests a loss is either known or highly certain are subject to accelerated charge-off standards (e.g., residential real estate and auto loans are charged off within 60 days of receiving notification of a bankruptcy filing).
Auto loans upon repossession of the automobile.
Other than in certain limited circumstances, the Firm typically does not recognize charge-offs on the government-guaranteed portion of loans.
Wholesale loans are charged off when it is highly certain that a loss has been realized. The determination of whether to recognize a charge-off includes many factors, including the prioritization of the Firm’s claim in bankruptcy, expectations of the workout/restructuring of the loan and valuation of the borrower’s equity or the loan collateral.
When a loan is charged down to the estimated net realizable value, the determination of the fair value of the collateral depends on the type of collateral (e.g., securities, real estate). In cases where the collateral is in the form of liquid securities, the fair value is based on quoted market prices or broker quotes. For illiquid securities or other financial assets, the fair value of the collateral is generally estimated using a discounted cash flow model.
For residential real estate loans, collateral values are based upon external valuation sources. When it becomes likely that a borrower is either unable or unwilling to pay, the Firm utilizes a broker’s price opinion, appraisal and/or an automated valuation model of the home based on an exterior-only valuation (“exterior opinions”), which is then updated at least every twelve months, or more frequently depending on various market factors. As soon as practicable after the Firm receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession), the Firm generally obtains an appraisal based on an inspection that includes the interior of the home (“interior appraisals”). Exterior opinions and interior appraisals are discounted based upon the Firm’s experience with actual liquidation values as compared with the estimated values provided by exterior opinions and interior appraisals, considering state-specific factors.
For commercial real estate loans, collateral values are generally based on appraisals from internal and external valuation sources. Collateral values are typically updated every six to twelve months, either by obtaining a new appraisal or by performing an internal analysis, in accordance with the Firm’s policies. The Firm also considers both borrower- and market-specific factors, which may result in obtaining appraisal updates or broker price opinions at more frequent intervals.
 
Loans held-for-sale
Loans held-for-sale are measured at the lower of cost or fair value, with valuation changes recorded in noninterest revenue. For consumer loans, the valuation is performed on a portfolio basis. For wholesale loans, the valuation is performed on an individual loan basis.
Interest income on loans held-for-sale is accrued and recognized based on the contractual rate of interest.
Loan origination fees or costs and purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred fees or costs and discounts or premiums are an adjustment to the basis of the loan and therefore are included in the periodic determination of the lower of cost or fair value adjustments and/or the gain or loss recognized at the time of sale.
Because these loans are recognized at the lower of cost or fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans held-for-sale are subject to the nonaccrual policies described above.
Loans at fair value
Loans used in a market-making strategy or risk managed on a fair value basis are measured at fair value, with changes in fair value recorded in noninterest revenue.
Interest income on these loans is accrued and recognized based on the contractual rate of interest. Changes in fair value are recognized in noninterest revenue. Loan origination fees are recognized upfront in noninterest revenue. Loan origination costs are recognized in the associated expense category as incurred.
Because these loans are recognized at fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans at fair value are subject to the nonaccrual policies described above.
Refer to Note 3 for further information on the Firm’s elections of fair value accounting under the fair value option. Refer to Note 2 and Note 3 for further information on loans carried at fair value and classified as trading assets.

Loan classification changes
Loans in the held-for-investment portfolio that management decides to sell are transferred to the held-for-sale portfolio at the lower of cost or fair value on the date of transfer. Credit-related losses are charged against the allowance for loan losses; non-credit related losses such as those due to changes in interest rates or foreign currency exchange rates are recognized in noninterest revenue.
In the event that management decides to retain a loan in the held-for-sale portfolio, the loan is transferred to the held-for-investment portfolio at the lower ofamortized cost or fair value on the date of transfer. These loans are subsequently assessed for impairment based on the Firm’s allowance methodology. Refer to Note 13 for a further discussion of the methodologies used in establishing the Firm’s allowance for loan losses.
Loan modifications
The Firm seeks to modify certain loans in conjunction with its loss mitigation activities. Through the modification, JPMorgan Chase grants one or more concessions to a borrower who is experiencing financial difficulty in order to minimize the Firm’s economic loss and avoid foreclosure or repossession of the collateral, and to ultimately maximize payments received by the Firm from the borrower. The concessions granted vary by program and by borrower-specific characteristics, and may include interest rate reductions, term extensions, payment delays, principal forgiveness, or the acceptance of equity or other assets in lieu of payments. Such modifications are accounted for and reported as TDRs. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
The Firm’s initial response to many borrowers impacted by the COVID-19 pandemic included offering loan modifications, such as 90-day payment delays and waiving or refunding certain fees. These initial short-term and other insignificant modifications were not considered concessions and, therefore, do not result in the related loans being considered TDRs.
Loans, except for credit card loans, modified in a TDR are generally placed on nonaccrual status, although in many cases such loans were already on nonaccrual status prior to modification. These loans may be returned to performing status (the accrual of interest is resumed) if the following criteria are met: (i) the borrower has performed under the modified terms for a minimum of six months and/or 6 payments, and (ii) the Firm has an expectation that repayment of the modified loan is reasonably assured based on, for example, the borrower’s debt capacity and level of future earnings, collateral values, LTV ratios, and other current market considerations. In certain limited and well-defined circumstances in which the loan is current at the modification date, such loans are not placed on nonaccrual status at the time of modification.
Loans modified in TDRs are generally measured for impairment using the Firm’s established asset-specific
allowance methodology, which considers the expected re-default rates for the modified loans. A loan modified in a TDR generally remains subject to the asset-specific component of the allowance throughout its remaining life, regardless of whether the loan is performing and has been returned to accrual status. Refer to Note 13 for further
discussion of the methodology used to estimate the Firm’s asset-specific allowance.
The Firm has granted various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered TDRs as:
•
they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or as permitted by regulatory guidance, or
•
the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs.
As permitted by regulatory guidance, the Firm does not place loans with deferrals granted due to COVID-19 on nonaccrual status where such loans are not otherwise reportable as nonaccrual. The Firm considers expected losses of principal and accrued interest associated with all COVID-19 related loan modifications in its allowance for credit losses.
Assistance provided in response to the COVID-19 pandemic could delay the recognition of delinquencies, nonaccrual status, and net charge-offs for those customers who would have otherwise moved into past due or nonaccrual status.
Foreclosed property
The Firm acquires property from borrowers through loan restructurings, workouts, and foreclosures. Property acquired may include real property (e.g., residential real estate, land, and buildings) and commercial and personal property (e.g., automobiles, aircraft, railcars, and ships).
The Firm recognizes foreclosed property upon receiving assets in satisfaction of a loan (e.g., by taking legal title or physical possession). For loans collateralized by real property, the Firm generally recognizes the asset received at foreclosure sale or upon the execution of a deed in lieu of foreclosure transaction with the borrower. Foreclosed assets are reported in other assets on the Consolidated balance sheets and initially recognized at fair value less estimated costs to sell. Each quarter the fair value of the acquired property is reviewed and adjusted, if necessary, to the lower of cost or fair value. Subsequent adjustments to fair value are charged/credited to noninterest revenue. Operating expense, such as real estate taxes and maintenance, are charged to other expense.

Loan portfolio
The Firm’s loan portfolio is divided into 3 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.
In conjunction with the adoption of CECL, the Firm revised its classes of loans. Prior-period amounts have been revised to conform with the current presentation:
The consumer, excluding credit card portfolio segment’s residential mortgage and home equity loans and lending-related commitments have been combined into a residential real estate class.
Upon adoption of CECL, the Firm elected to discontinue the pool-level accounting for PCI loans and to account for these loans on an individual loan basis. PCI loans are considered PCD loans under CECL and are subject to the Firm’s nonaccrual and charge-off policies. PCD loans are now reported in the consumer, excluding credit card portfolio segment’s residential real estate class.
Risk-rated business banking and auto dealer loans and lending-related commitments held in CCB were reclassified from the consumer, excluding credit card portfolio segment, to the wholesale portfolio segment, to align with the methodology applied in determining the allowance. The remaining scored auto and business banking loans and lending-related commitments have been combined into an auto and other class.
The wholesale portfolio segment’s classes, previously based on the borrower’s primary business activity, have been revised to align with the loan classifications as defined by the bank regulatory agencies, based on the loan’s collateral, purpose, and type of borrower.
•
The consumer, excluding credit card portfolio segment’s residential mortgage and home equity loans and lending-related commitments have been combined into a residential real estate class.
•
Upon adoption of CECL, the Firm elected to discontinue the pool-level accounting for PCI loans and to account for these loans on an individual loan basis. PCI loans are considered PCD loans under CECL and are subject to the Firm’s nonaccrual and charge-off policies. PCD loans are now reported in the consumer, excluding credit card portfolio segment’s residential real estate class.
•
Risk-rated business banking and auto dealer loans and lending-related commitments held in CCB were reclassified from the consumer, excluding credit card portfolio segment, to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. The remaining scored auto and business banking loans and lending-related commitments have been combined into an auto and other class.
•
The wholesale portfolio segment’s classes, previously based on the borrower’s primary business activity, have been revised to align with the loan classifications as defined by the bank regulatory agencies, based on the loan’s collateral, purpose, and type of borrower.
Consumer, excluding
credit card
 Credit card 
Wholesale(c)
• Residential real estate(a)
• Auto and other(b)
 • Credit card loans 
• Secured by real estate
• Commercial and industrial
• Other(d)
(a)
Includes scored mortgage and home equity loans held in CCB and AWM, and scored mortgage loans held in Corporate.
(b)Includes scored auto and business banking loans and overdrafts.
(c)Includes loans held in CIB, CB, AWM, Corporate as well as risk-rated business banking and auto dealer loans held in CCB for which the wholesale methodology is applied forwhen determining the allowance for loan losses.
(d)Includes loans to financial institutions, states and political subdivisions, SPEs, nonprofits, personal investment companies and trusts, as well as loans to individuals and individual entities (predominantly Wealth Management clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for more information on SPEs.

The following tables summarize the Firm’s loan balances by portfolio segment.
March 31, 2020Consumer, excluding credit card Credit card Wholesale 
Total(a)
 
June 30, 2020Consumer, excluding credit card Credit card Wholesale 
Total(a)
 
(in millions)Consumer, excluding credit card Credit card Wholesale 
Total(a)
  
Retained
(b) 
$307,005
 $141,656
 $516,787
 $965,448
(b) 
Held-for-sale1,848
 —
 4,224
 6,072
 1,912
 —
 5,235
 7,147
 
At fair value—
 —
 6,214
 6,214
 —
 —
 5,923
 5,923
 
Total$295,627
 $154,021
 $565,727
 $1,015,375
 $308,917
 $141,656
 $527,945
 $978,518
 
                
December 31, 2019Consumer, excluding credit card Credit card Wholesale 
Total(a)
 Consumer, excluding credit card Credit card Wholesale 
Total(a)
 
(in millions)  
Retained$294,999
 $168,924
 $481,678
 $945,601
(b) 
$294,999
 $168,924
 $481,678
 $945,601
(b) 
Held-for-sale3,002
 —
 4,062
 7,064
 3,002
 —
 4,062
 7,064
 
At fair value—
 —
 7,104
 7,104
 —
 —
 7,104
 7,104
 
Total$298,001
 $168,924
 $492,844
 $959,769
 $298,001
 $168,924
 $492,844
 $959,769
 
(a)Excludes $2.9 billion of accrued interest receivables at both March 31,June 30, 2020, and December 31, 2019, respectively. Accrued2019. The Firm wrote off accrued interest receivables of $14$34 million and $12$11 million were written off for the three months ended March 31,June 30, 2020 and 2019, respectively, and $48 million and $23 million for the six months ended June 30, 2020 and 2019, respectively.
(b)Loans (other than those for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of March 31,June 30, 2020, and December 31, 2019.

The following table provides information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table.

2020 20192020 2019
Three months ended March 31,
(in millions)
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
Three months ended June 30,
(in millions)
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
Purchases$1,172
(b)(c) 
$—
$386
$1,558
 $551
(b)(c) 
$—
$229
$780
$228
(b)(c) 
$—
$242
$470
 $234
(b)(c) 
$—
$359
$593
Sales324

—
5,452
5,776
 8,658
 —
5,445
14,103
24

—
3,549
3,573
 6,851
 —
5,405
12,256
Retained loans reclassified to held-for-sale(a)
148
 —
469
617
 4,113

—
501
4,614
679
 —
282
961
 948

—
924
1,872
       
2020 2019
Six months ended June 30,
(in millions)
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
Purchases$1,400
(b)(c) 
$—
$628
$2,028
 $785
(b)(c) 
$—
$588
$1,373
Sales348
 —
9,001
9,349
 15,509
 —
10,850
26,359
Retained loans reclassified to held-for-sale(a)
827
 —
751
1,578
 5,061
 —
1,425
6,486

(a)Reclassifications of loans to held-for-sale are non-cash transactions.
(b)Predominantly includes purchases of residential real estate loans, including the Firm’s voluntary repurchases of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines for the three months ended March 31,June 30, 2020 and 2019. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA.
(c)Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $3.6$3.8 billion and $3.2$4.3 billion for the three months ended March 31,June 30, 2020 and 2019, respectively, and $7.4 billion and $7.5 billion for the six months ended June 30, 2020 and 2019, respectively.
Gains and losses on sales of loans
Net lossesgains/(losses) on sales of loans and lending-related commitments (including adjustments to record loans and lending-related commitments held-for-sale at the lower of cost or fair value) recognized in noninterest revenue were $913$725 million of which $142and ($188) million related to loans for the three and six months ended March 31, 2020.June 30, 2020, respectively, of which $42 million and ($100) million, respectively, were related to loans. Gains and losses on sales of loans were 0t material for the three and six months ended March 31, 2019 .June 30, 2019. 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 scored residential mortgages, home equity loans and lines of credit, auto and business banking loans, with a focus on serving the prime consumer credit market. 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 millions)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Residential real estate$242,349
$243,317
$235,381
$243,317
Auto and other(a)51,430
51,682
71,624
51,682
Total retained loans$293,779
$294,999
$307,005
$294,999

(a)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP.
 
Delinquency rates are the primary credit quality indicator for consumer loans. Loans that are more than 30 days past due provide an early warning of borrowers who may be experiencing financial difficulties and/or who may be unable or unwilling to repay the loan. As the loan continues to age, it becomes more clear whether the borrower is likely either unable or unwilling to pay. In the case of residential real estate loans, late-stage delinquencies (greater than 150 days past due) are a strong indicator of loans that will ultimately result in a foreclosure or similar liquidation transaction. In addition to delinquency rates, other credit quality indicators for consumer loans vary based on the class of loan, as follows:
For residential real estate loans, the current estimated LTV ratio, or the combined LTV ratio in the case of junior lien loans, is an indicator of the potential loss severity in the event of default. Additionally, LTV or combined LTV ratios can provide insight into a borrower’s continued willingness to pay, as the delinquency rate of high-LTV loans tends to be greater than that for loans where the borrower has equity in the collateral. The geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events such as natural disasters, will affect credit quality. The borrower’s current or “refreshed” FICO score is a secondary credit quality indicator for certain loans, as FICO scores are an indication of the borrower’s credit payment history. Thus, a loan to a borrower with a low FICO score (less than 660 ) is considered to be of higher risk than a loan to a borrower with a higher FICO score. Further, a loan to a borrower with a high LTV ratio and a low FICO score is at greater risk of default than a loan to a borrower that has both a high LTV ratio and a high FICO score.
For scored auto and business banking loans, geographic distribution is an indicator of the credit performance of the portfolio. Similar to residential real estate loans, geographic distribution provides insights into the portfolio performance based on regional economic activity and events.
•
For residential real estate loans, the current estimated LTV ratio, or the combined LTV ratio in the case of junior lien loans, is an indicator of the potential loss severity in the event of default. Additionally, LTV or combined LTV ratios can provide insight into a borrower’s continued willingness to pay, as the delinquency rate of high-LTV loans tends to be greater than that for loans where the borrower has equity in the collateral. The geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events such as natural disasters, will affect credit quality. The borrower’s current or “refreshed” FICO score is a secondary credit quality indicator for certain loans, as FICO scores are an indication of the borrower’s credit payment history. Thus, a loan to a borrower with a low FICO score (less than 660 ) is considered to be of higher risk than a loan to a borrower with a higher FICO score. Further, a loan to a borrower with a high LTV ratio and a low FICO score is at greater risk of default than a loan to a borrower that has both a high LTV ratio and a high FICO score.
•
For scored auto and business banking loans, geographic distribution is an indicator of the credit performance of the portfolio. Similar to residential real estate loans, geographic distribution provides insights into the portfolio performance based on regional economic activity and events.


Residential real estate
The following table provides information on delinquency, which is the primary credit quality indicator for retained residential real estate loans.
(in millions, except ratios)March 31, 2020 December 31, 2019
June 30, 2020 December 31, 2019
Term loans by origination year Revolving loans Total TotalTerm loans by origination year Revolving loans Total Total
20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans 20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans 
Loan delinquency(a)(b)
              
Current$10,590
$42,800
$21,088
$30,504
$39,809
$67,311
 $8,213
$18,927
 $239,242
 $239,979
$23,657
$39,483
$18,433
$27,209
$36,404
$61,747
 $7,870
$17,919
 $232,722
 $239,979
30–149 days past due—
7
11
33
57
1,368
 7
444
 1,927
 1,910
9
17
25
37
46
996
 11
390
 1,531
 1,910
150 or more days past due—
—
10
11
9
877
 13
260
 1,180
 1,428
—
1
9
12
6
836
 12
252
 1,128
 1,428
Total retained loans$10,590
$42,807
$21,109
$30,548
$39,875
$69,556
 $8,233
$19,631
 $242,349
 $243,317
$23,666
$39,501
$18,467
$27,258
$36,456
$63,579
 $7,893
$18,561
 $235,381
 $243,317
% of 30+ days past due to total retained loans(b)(c)
—%0.02%0.10%0.14%0.17%3.17% 0.24%3.59% 1.27% 1.35%0.04%0.05%0.18%0.18%0.14%2.82% 0.29%3.46% 1.11% 1.35%
(a)Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $15$9 million and $17 million; 30–149 days past due included $13$15 million and $20 million; and 150 or more days past due included $25$24 million and $26 million at March 31,June 30, 2020, and December 31, 2019, respectively.
(b)At March 31,June 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
(c)At June 30, 2020, and December 31, 2019, residential real estate loans excluded mortgage loans insured by U.S. government agencies of $38$39 million and $46 million, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
Approximately 33%34% of the total revolving loans are senior lien loans; the remaining balance are junior lien loans. The lien position the Firm holds is considered in the Firm’s allowance for loancredit losses. Revolving loans that have been converted to term loans have higher delinquency rates than those that are still within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for revolving loans within the revolving period.


Nonaccrual loans and other credit quality indicators
The following table provides information on nonaccrual and other credit quality indicators for retained residential real estate loans.
(in millions, except weighted-average data)March 31, 2020
December 31, 2019
 June 30, 2020
December 31, 2019
 
Nonaccrual loans(a)(b)(c)(d)
$3,730
$2,780
 $4,106
$2,780
 
90 or more days past due and government guaranteed(e)
32
38
 32
38
 

    
Current estimated LTV ratios(f)(g)
 

   
Greater than 125% and refreshed FICO scores: 

   
Equal to or greater than 660$31
$31
 $19
$31
 
Less than 66028
38
 26
38
 
101% to 125% and refreshed FICO scores: 

   
Equal to or greater than 660148
134
 134
134
 
Less than 660119
132
 115
132
 
80% to 100% and refreshed FICO scores:    
Equal to or greater than 6605,310
5,953
 5,175
5,953
 
Less than 660758
764
 698
764
 
Less than 80% and refreshed FICO scores: 

   
Equal to or greater than 660219,395
219,469
 213,412
219,469
 
Less than 66014,545
14,681
 13,869
14,681
 
No FICO/LTV available1,962
2,052
 1,885
2,052
 
U.S. government-guaranteed53
63
 48
63
 
Total retained loans$242,349
$243,317
 $235,381
$243,317
 
    
Weighted average LTV ratio(f)(h)
54%55% 55%55% 
Weighted average FICO(g)(h)
759
758
 761
758
 
    
Geographic region(i)
    
California$81,783
$82,147
 $78,422
$82,147
 
New York32,121
31,996
 31,944
31,996
 
Illinois15,246
15,587
 14,473
15,587
 
Texas14,567
14,474
 14,289
14,474
 
Florida13,755
13,668
 13,788
13,668
 
Washington8,915
8,990
 8,592
8,990
 
Colorado8,437
8,447
 8,307
8,447
 
New Jersey7,736
7,752
 7,547
7,752
 
Massachusetts6,129
6,210
 5,942
6,210
 
Arizona5,129
5,171
 5,037
5,171
 
All other(j)
48,531
48,875
 47,040
48,875
 
Total retained loans$242,349
$243,317
 $235,381
$243,317
 
(a)Includes 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,June 30, 2020, approximately 8%7% of Chapter 7 residential real estate loans were 30 days or more past due, respectively.
(b)At March 31,June 30, 2020, nonaccrual loans included $970 million$1.3 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(c)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged off to the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral has subsequently improved, the related allowance may be negative.
(d)The related interest income on nonaccrual loans recorded on a cash basis was $43$37 million and $42 million and $80 million and $84 million for the three and six months ended March 31,June 30, 2020 and 2019, respectively.
(e)These balances are 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,June 30, 2020, and December 31, 2019, these balances included $31$32 million and $34 million, 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 0 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,June 30, 2020, and December 31, 2019.
(f)Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.
(g)Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.
(h)Excludes loans with no FICO and/or LTV data available.
(i)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at March 31,June 30, 2020.
(j)At March 31,June 30, 2020, and December 31, 2019, included mortgage loans insured by U.S. government agencies of $53$48 million and $63 million, respectively. These amounts have been excluded from the geographic regions presented based upon the government guarantee.

Loan modifications
Modifications of residential real estate loans where the Firm grants concessions to borrowers who are experiencing financial difficulty are generally accounted for and reported as TDRs. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs. The carrying value of new TDRs was $142$196 million and $150$124 million for the three months ended March 31,June 30, 2020 and 2019, respectively, and $338 million and $274 million for the six months ended June 30, 2020 and 2019, respectively. There were no additional commitments to lend to borrowers whose residential real estate loans have been modified in TDRs.
Nature and extent of modifications
The Firm’s proprietary modification programs as well as government programs, including U.S. GSEs,GSE programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and delays of principal and/or interest payments that would otherwise have been required under the terms of the original agreement.
The following table provides information about how residential real estate loans were modified in TDRs under the Firm’s loss mitigation programs described above during the periods presented. This table excludes Chapter 7 loans where the sole concession granted is the discharge of debt.debt and loans with short-term or other insignificant modifications that are not considered concessions.

Three months ended March 31,Three months ended June 30,Six months ended June 30,
2020
2019
2020
2019
2020
2019
Number of loans approved for a trial modification1,996
1,942
849
1,283
2,845
3,225
Number of loans permanently modified1,481
1,550
2,104
1,244
3,585
2,794
Concession granted:(a)
  



Interest rate reduction79%78%41%68%56%73%
Term or payment extension81
68
45
80
60
74
Principal and/or interest deferred11
12
6
16
8
14
Principal forgiveness4
6
2
4
3
5
Other(b)
55
60
72
54
65
57
(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 and payment delays that meet the definition of a TDR for the three and six months ended March 31,June 30, 2020 and 2019.
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 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 do 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.
(in millions, except weighted-average data)Three months ended March 31,Three months ended June 30,Six months ended June 30,
2020
2019
2020
2019
2020
2019
Weighted-average interest rate of loans with interest rate reductions – before TDR5.20%5.94%5.00%5.76%5.13%5.86%
Weighted-average interest rate of loans with interest rate reductions – after TDR3.48
4.00
3.36
4.14
3.42
4.06
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR22
20
21
19
21
20
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR39
38
39
39
39
39
Charge-offs recognized upon permanent modification$—
$—
$2
$1
$2
$1
Principal deferred5
4
4
7
9
11
Principal forgiven2
2
1
2
3
4
Balance of loans that redefaulted within one year of permanent modification(a)
$70
$56
$38
$39
$108
$87
(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 2 contractual payments past due. In the event that a modified loan redefaults, it will generally be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12twelve months may not be representative of ultimate redefault levels.

At March 31,June 30, 2020, the weighted-average estimated remaining lives of residential real estate loans permanently modified in TDRs were 6 years. 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,June 30, 2020, and December 31, 2019, the Firm had residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $1.1 billion$987 million and $1.2 billion, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

Auto and other
The following table provides information on delinquency, which is the primary credit quality indicator for retained auto and other consumer loans.
 March 31, 2020 December 31, 2019

(in millions, except ratios)
Term Loans by origination year Revolving loans   
20202019201820172016Prior to 2016 Within the revolving periodConverted to term loansTotal Total
Loan delinquency            
Current$5,354
$17,455
$10,841
$7,478
$4,173
$2,056
 $3,268
$181
$50,806
 $51,005
30–119 days past due47
134
124
100
90
70
 26
17
608
 667
120 or more days past due—
—
—
1
—
1
 4
10
16
 10
Total retained loans$5,401
$17,589
$10,965
$7,579
$4,263
$2,127
 $3,298
$208
$51,430
 $51,682
% of 30+ days past due to total retained loans0.87%0.76%1.13%1.33%2.11%3.34% 0.91%12.98%1.21% 1.31%

 June 30, 2020 December 31, 2019

(in millions, except ratios)
Term Loans by origination year Revolving loans   
2020 2019201820172016Prior to 2016 Within the revolving periodConverted to term loansTotal Total
Loan delinquency(a)
             
Current$31,068
(b) 
$16,012
$9,744
$6,516
$3,438
$1,540
 $2,776
$186
$71,280
 $51,005
30–119 days past due46
 84
64
41
37
26
 16
7
321
 667
120 or more days past due—
 1
2
1
1
1
 10
7
23
 10
Total retained loans$31,114
 $16,097
$9,810
$6,558
$3,476
$1,567
 $2,802
$200
$71,624
 $51,682
% of 30+ days past due to total retained loans0.15% 0.53%0.67%0.64%1.09%1.72% 0.93%7.00%0.48% 1.31%
(a)At June 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
(b)At June 30, 2020, included $19.9 billion of loans in Business Banking under the PPP. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on government guaranteed loans.

Nonaccrual and other credit quality indicatorindicators
The following table provides information on nonaccrual and other credit quality indicatorindicators for retained auto and other consumer loans.
(in millions, except ratios)Total Auto and otherTotal Auto and other
Mar 31, 2020
Dec 31, 2019
Jun 30, 2020
Dec 31, 2019
Nonaccrual loans(a)(b)(c)
147
146
140
146
  
Geographic region(d)
  
California$7,867
$7,795
$11,563
$7,795
New York8,658
3,706
Texas5,485
5,457
7,639
5,457
New York3,692
3,706
Florida3,060
3,025
4,295
3,025
Illinois2,396
2,443
3,711
2,443
New Jersey1,778
1,798
2,529
1,798
Pennsylvania1,662
1,721
Arizona2,312
1,347
Ohio1,453
1,490
2,094
1,490
Arizona1,344
1,347
Louisiana1,304
1,297
Colorado1,750
1,247
Michigan1,728
892
All other21,389
21,603
25,345
22,482
Total retained loans$51,430
$51,682
$71,624
$51,682
(a)There were 0 loans that were 90 or more days past due and still accruing interest at March 31,June 30, 2020, and December 31, 2019.
(b)All nonaccrual auto and other consumer loans generally have an allowance.
(c)
Interest income on nonaccrual loans recognized on a cash basis was not material for the three and six months ended March 31,June 30, 2020 and 2019.
(d)The geographic regions presented in this table are ordered based on the magnitude of the corresponding loan balances at March 31,June 30, 2020.
 
Loan modifications
Certain other consumer loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs.
The impact of these modifications, as well as new TDRs, were not material to the Firm for the three and six months ended March 31,June 30, 2020 and 2019. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of March 31,June 30, 2020 and December 31, 2019 were not material.






Credit card loan portfolio
The credit card portfolio segment includes credit card loans originated and purchased by the Firm. Delinquency rates are the primary credit quality indicator for credit card loans as they provide an early warning that borrowers may be experiencing difficulties (30 days past due); information on those borrowers that have been delinquent for a longer period of time (90 days past due) is also considered. In addition to delinquency rates, the geographic distribution of the loans provides insight as to the credit quality of the portfolio based on the regional economy.
While the borrower’s credit score is another general indicator of credit quality, the Firm does not view credit scores as a primary indicator of credit quality because the borrower’s credit score tends to be a lagging indicator. The
 
distribution of such scores provides a general indicator of credit quality trends within the portfolio; however, the score does not capture all factors that would be predictive of future credit performance. Refreshed FICO score information, which is obtained at least quarterly, for a statistically significant random sample of the credit card portfolio is indicated in the following table. FICO is considered to be the industry benchmark for credit scores.
The Firm generally originates new card accounts to prime consumer borrowers. However, certain cardholders’ FICO scores may decrease over time, depending on the performance of the cardholder and changes in the credit score calculation.
The following table provides information on delinquency, which is the primary credit quality indicator for retained credit card loans.

(in millions, except ratios)
March 31, 2020 December 31, 2019
Within the revolving periodConverted to term loansTotal Total
Loan delinquency     
Current and less than 30 days past due
and still accruing		$149,689
$1,314
$151,003
 $165,767
30–89 days past due and still accruing1,325
126
1,451
 1,550
90 or more days past due and still accruing1,502
65
1,567
 1,607
Total retained loans$152,516
$1,505
$154,021
 $168,924
Loan delinquency ratios     
% of 30+ days past due to total retained loans1.85%12.69%1.96% 1.87%
% of 90+ days past due to total retained loans0.98
4.32
1.02
 0.95


(in millions, except ratios)
June 30, 2020 December 31, 2019
Within the revolving period
Converted to term loans(b)
Total Total
Loan delinquency(a)
     
Current and less than 30 days past due
and still accruing		$137,953
$1,285
$139,238
 $165,767
30–89 days past due and still accruing1,004
91
1,095
 1,550
90 or more days past due and still accruing1,277
46
1,323
 1,607
Total retained loans$140,234
$1,422
$141,656
 $168,924
Loan delinquency ratios     
% of 30+ days past due to total retained loans1.63%9.63%1.71% 1.87%
% of 90+ days past due to total retained loans0.91
3.23
0.93
 0.95
(a)At June 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
(b)Represents TDRs.
Other credit quality indicators
The following table provides information on other credit quality indicators for retained credit card loans.
(in millions, except ratios)March 31, 2020
December 31, 2019
June 30, 2020
December 31, 2019
Geographic region(a)
  
California$23,199
$25,783
$20,756
$25,783
Texas15,517
16,728
14,280
16,728
New York13,264
14,544
11,907
14,544
Florida10,146
10,830
9,389
10,830
Illinois8,607
9,579
7,954
9,579
New Jersey6,424
7,165
5,835
7,165
Ohio4,874
5,406
4,615
5,406
Pennsylvania4,709
5,245
4,420
5,245
Colorado4,304
4,763
4,015
4,763
Michigan3,788
4,164
3,546
4,164
All other59,189
64,717
54,939
64,717
Total retained loans$154,021
$168,924
$141,656
$168,924
Percentage of portfolio based on carrying value with estimated refreshed FICO scores  
Equal to or greater than 66082.3%84.0%83.3%84.0%
Less than 66016.6
15.4
16.0
15.4
No FICO available1.1
0.6
0.7
0.6

(a)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at March 31,June 30, 2020.

Loan modifications
The Firm may offer one of a number of loan modification programs granting concessions to credit card borrowers who are experiencing financial difficulty. The Firm grants concessions for most of the credit card loans under long-term programs. These modifications involve placing the customer on a fixed payment plan, generally for 60 months, and typically include reducing the interest rate on the credit card. Substantially all modifications under the Firm’s long-term programs are considered to be TDRs. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs.
 
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. For all periods disclosed, new enrollments were less than 1% of total retained credit card loans.
(in millions, except
weighted-average data)
Three months ended March 31, Three months ended June 30,Six months ended June 30,
2020
2019
 2020
2019
2020
2019
Balance of new TDRs(a)
$277
$249
 $151
$226
$428
$475
Weighted-average interest rate of loans –
before TDR
18.82%19.13% 17.93%19.38%18.50%19.25%
Weighted-average interest rate of loans –
after TDR
4.02
5.03
 5.16
4.71
4.42
4.88
Balance of loans that redefaulted within one year of modification(b)
$36
$34
 $25
$32
$61
$66
(a)Represents the outstanding balance prior to modification.
(b)Represents loans modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted.
For credit card loans modified in TDRs, payment default is deemed to have occurred when the borrower misses 2 consecutive contractual payments. A substantial portion of theseDefaulted modified credit card loans are expectedremain in the modification program and continue 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 35.15% and 32.89% as of March 31, 2020, and December 31, 2019, 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 internal risk rating assigned to each loan. Risk ratings are used to identify the credit quality of loans and differentiate risk within the portfolio. Risk ratings on loans consider the PD and the LGD. The PD is the likelihood that a loan will default. The LGD is the estimated loss on the loan that would be realized upon the default of the borrower and takes into consideration collateral and structural support for each credit facility.
Management considers several factors to determine an appropriate internal risk rating, including the obligor’s debt capacity and financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the economic environment) defined by S&P and Moody’s, however the quantitative characteristics (e.g., PDsPD and LGDs)LGD) may differ as they reflect internal historical experiences and assumptions. The Firm considers internal ratings equivalent to BBB-/Baa3 or higher as investment grade, and these ratings have a lower PD and/or lower LGD than non-investment grade ratings.
Noninvestment-grade ratings are further classified as noncriticized and criticized, and the criticized portion is further subdivided into performing and nonaccrual loans, representing management’s assessment of the collectibility of principal and interest. Criticized loans have a higher PD than noncriticized loans. The Firm’s definition of criticized aligns with the U.S. banking regulatory definition of criticized exposures, which consist of special mention, substandard and doubtful categories.
 
Risk ratings are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary for updated information affecting the obligor’s ability to fulfill its obligations.
As noted above, the risk rating of a loan considers the industry in which the obligor conducts its operations. As part of the overall credit risk management framework, the Firm focuses on the management and diversification of its industry and client exposures, with particular attention paid to industries with actual or potential credit concern. Refer to Note 4 for further detail on industry concentrations.


The following tables provide information on internal risk rating, which is the primary credit quality indicator for retained wholesale loans.
Secured by real estate Commercial and industrial Other Total retained loansSecured by real estate Commercial and industrial 
Other(b)
 Total retained loans
(in millions, except ratios)Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		 Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		 Dec 31,
2019
Loans by risk ratings                  
Investment-grade$96,786
$96,611
 $106,902
$80,489
 $203,635
$186,344
 $407,323
$363,444
$94,986
$96,611
 $81,008
(a) 
$80,489
 $195,825
$186,344
 $371,819
(a) 
$363,444
Noninvestment-grade:         

 

      
Noncriticized23,334
22,493
 80,210
60,437
 31,231
27,591
 134,775
110,521
25,451
22,493
 70,827
 60,437
 29,019
27,591
 125,297
 110,521
Criticized performing1,339
1,131
 8,459
4,399
 1,436
1,126
 11,234
6,656
1,763
1,131
 13,274
 4,399
 1,211
1,126
 16,248
 6,656
Criticized nonaccrual254
183
 1,278
844
 425
30
 1,957
1,057
436
183
 2,016
 844
 971
30
 3,423
 1,057
Total noninvestment- grade24,927
23,807
 89,947
65,680
 $33,092
28,747
 147,966
118,234
27,650
23,807
 86,117
 65,680
 $31,201
28,747
 144,968
 118,234
Total retained loans$121,713
$120,418
 $196,849
$146,169
 $236,727
$215,091
 $555,289
$481,678
$122,636
$120,418
 $167,125
 $146,169
 $227,026
$215,091
 $516,787
 $481,678
% of investment-grade to total retained loans

79.52%80.23% 54.31%55.07% 86.02%86.63% 73.35%75.45%77.45%80.23% 48.47% 55.07% 86.26%86.63% 71.95% 75.45%
% of total criticized to total retained loans1.31
1.09
 4.95
3.59
 0.79
0.54
 2.38
1.60
1.79
1.09
 9.15
 3.59
 0.96
0.54
 3.81
 1.60
% of criticized nonaccrual to total retained loans0.21
0.15
 0.65
0.58
 0.18
0.01
 0.35
0.22
0.36
0.15
 1.21
 0.58
 0.43
0.01
 0.66
 0.22
Secured by real estate  Secured by real estate  

(in millions)
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
Term loans by origination year Revolving loans    Term loans by origination year Revolving loans    
20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total
Loans by risk ratings                  
Investment-grade$5,211
$21,611
$15,099
$14,485
$16,839
$22,148
 $1,392
$1
 $96,786
 $96,611
$10,876
$20,927
$13,665
$13,091
$15,492
$19,724
 $1,211
$—
 $94,986
 $96,611
Noninvestment-grade659
2,944
3,498
2,492
2,611
12,030
 692
1
 24,927
 23,807
1,155
3,539
4,096
2,971
2,859
12,349
 680
1
 27,650
 23,807
Total retained loans$5,870
$24,555
$18,597
$16,977
$19,450
$34,178
 $2,084
$2
 $121,713
 $120,418
$12,031
$24,466
$17,761
$16,062
$18,351
$32,073
 $1,891
$1
 $122,636
 $120,418
Commercial and industrial  Commercial and industrial  

(in millions)
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
Term loans by origination year Revolving loans    Term loans by origination year Revolving loans    
20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total2020 2019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total
Loans by risk ratings                   
Investment-grade$10,837
$11,781
$5,349
$4,054
$1,435
$1,662
 $71,780
$4
 $106,902
 $80,489
$19,971
(a) 
$8,997
$4,152
$2,993
$1,216
$1,376
 $42,302
$1
 $81,008
 $80,489
Noninvestment-grade6,192
11,346
6,785
2,998
970
3,079
 58,486
91
 89,947
 65,680
8,837
 11,245
6,978
3,277
965
3,081
 51,620
114
 86,117
 65,680
Total retained loans$17,029
$23,127
$12,134
$7,052
$2,405
$4,741
 $130,266
$95
 $196,849
 $146,169
$28,808
 $20,242
$11,130
$6,270
$2,181
$4,457
 $93,922
$115
 $167,125
 $146,169
Other(a)
  
Other(b)
  

(in millions)
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
Term loans by origination year Revolving loans    Term loans by origination year Revolving loans    
20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total20202019201820172016Prior to 2016 Within the revolving periodConverted to term loans Total Total
Loans by risk ratings                  
Investment-grade$11,434
$14,841
$10,247
$7,719
$4,660
$14,835
 $139,618
$281
 $203,635
 $186,344
$20,953
$13,365
$9,021
$6,928
$4,239
$15,143
 $125,880
$296
 $195,825
 $186,344
Noninvestment-grade2,692
3,346
2,447
743
180
686
 22,958
40
 33,092
 28,747
5,462
2,848
2,455
475
194
893
 18,626
248
 31,201
 28,747
Total retained loans$14,126
$18,187
$12,694
$8,462
$4,840
$15,521
 $162,576
$321
 $236,727
 $215,091
$26,415
$16,213
$11,476
$7,403
$4,433
$16,036
 $144,506
$544
 $227,026
 $215,091
(a)At June 30, 2020, included $8.0 billion of loans under the PPP, of which $7.4 billion is included in commercial and industrial. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on government guaranteed loans.
(b)Includes loans to financial institutions, states and political subdivisions, SPEs, nonprofits, personal investment companies and trusts, as well as loans to individuals and individual entities (predominantly Wealth Management clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for more information on SPEs.

The following table presents additional information on retained loans secured by real estate, which consists of loans secured wholly or substantially by a lien or liens on real property at origination.

(in millions, except ratios)
Multifamily Other commercial Total retained loans secured by real estateMultifamily Other commercial Total retained loans secured by real estate
Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
Retained loans secured by real estate$74,494
$73,840
 $47,219
$46,578
 $121,713
$120,418
$75,074
$73,840
 $47,562
$46,578
 $122,636
$120,418
Criticized342
340
 1,251
974
 1,593
1,314
570
340
 1,629
974
 2,199
1,314
% of total criticized to total retained loans secured by real estate0.46%0.46% 2.65%2.09% 1.31%1.09%0.76%0.46% 3.43%2.09% 1.79%1.09%
Criticized nonaccrual$28
$28
 $226
$155
 $254
$183
$52
$28
 $384
$155
 $436
$183
% of criticized nonaccrual loans to total retained loans secured by real estate0.04%0.04% 0.48%0.33% 0.21%0.15%0.07%0.04% 0.81%0.33% 0.36%0.15%
Geographic distribution and delinquency
The following table provides information on the geographic distribution and delinquency for retained wholesale loans.
Secured by real estate 
Commercial
 and industrial
 Other Total
retained loans		Secured by real estate 
Commercial
 and industrial
 Other Total
retained loans
(in millions,
except ratios)
Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019
Loans by geographic distribution(a)
              
Total U.S.$120,016
$117,836
 $127,251
$111,954
 $164,931
$150,512
 $412,198
$380,302
Total non-U.S.$2,466
$2,582
 $44,606
$34,215
 $67,738
$64,579
 $114,810
$101,376
2,620
2,582
 39,874
34,215
 62,095
64,579
 104,589
101,376
Total U.S.119,247
117,836
 152,243
111,954
 168,989
150,512
 440,479
380,302
Total retained loans$121,713
$120,418
 $196,849
$146,169
 $236,727
$215,091
 $555,289
$481,678
$122,636
$120,418

$167,125
$146,169

$227,026
$215,091

$516,787
$481,678
Loan delinquency(b)
       


















Current and less than 30 days past due and still accruing$121,173
$120,119
 $195,210
$144,839
 $235,741
$214,641
 $552,124
$479,599
$122,038
$120,119

$164,503
$144,839

$225,181
$214,641

$511,722
$479,599
30–89 days past due and still accruing286
115
 329
449
 538
415
 1,153
979
140
115

559
449

807
415

1,506
979
90 or more days past due and still accruing(c)
—
1
 32
37
 23
5
 55
43
22
1

47
37

67
5

136
43
Criticized nonaccrual254
183
 1,278
844
 425
30
 1,957
1,057
436
183

2,016
844

971
30

3,423
1,057
Total retained loans$121,713
$120,418
 $196,849
$146,169
 $236,727
$215,091
 $555,289
$481,678
$122,636
$120,418

$167,125
$146,169

$227,026
$215,091

$516,787
$481,678
(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. Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic. 
(c)Represents loans that are considered well-collateralized and therefore still accruing interest.
Nonaccrual loans
The following table provides information on retained wholesale nonaccrual loans.
(in millions)
Secured by real estate 
Commercial
and industrial
 Other 
Total
retained loans
Secured by real estate 
Commercial
and industrial
 Other 
Total
retained loans
Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		 Mar 31,
2020		Dec 31,
2019		Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019		 Jun 30,
2020		Dec 31,
2019
Nonaccrual loans(a)              
With an allowance$232
$169
 $1,157
$688
 $345
$28
 $1,734
$885
$348
$169
 $1,842
$688
 $871
$28
 $3,061
$885
Without an allowance(a)(b)
22
14
 121
156
 80
2
 223
172
88
14
 174
156
 100
2
 362
172
Total nonaccrual loans(b)(c)
$254
$183
 $1,278
$844
 $425
$30
 $1,957
$1,057
$436
$183
 $2,016
$844
 $971
$30
 $3,423
$1,057
(a)Loans that were modified in response to the COVID-19 pandemic continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of June 30, 2020, predominantly all of these loans were considered performing.
(b)When the discounted cash flows, collateral value or market price equals or exceeds the amortized cost of the loan, the loan does not require an allowance. This typically occurs when the loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.
(b)(c)Interest income on nonaccrual loans recognized on a cash basis waswere not material for the three and six months ended March 31,June 30, 2020 and 2019.
Loan modifications
Certain loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs.The impact of these modifications, as well as new TDRs, waswere not material to the Firm for the three and six months ended March 31,June 30, 2020 and 2019.

Note 13 – Allowance for credit losses
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 1 for further information.
JPMorgan Chase’s allowance for credit losses comprises:
•
the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the balance sheet,
•
the allowance for lending-related commitments, which is presented on the balance sheet in accounts payable and other liabilities, and
•
the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognized within Investment Securities on the balance sheet.
the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the balance sheet,
the allowance for lending-related commitments, which is presented on the balance sheet in accounts payable and other liabilities, and
the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognized within Investment Securities on the balance sheet.
The income statement effect of all changes in the allowance for credit losses is recognized in the provision for credit losses.
Determining the appropriateness of the allowance for credit losses is complex and requires significant judgment by management about the effect of matters that are inherently uncertain. At least quarterly, the allowance for credit losses is reviewed by the CRO, the CFO and the Controller of the Firm. Subsequent evaluations of credit exposures, considering the macroeconomic conditions, forecasts and other factors then prevailing, may result in significant changes in the allowance for credit losses in future periods.
The Firm’s policies used to determine its allowance for loan losses and its allowance for lending-related commitments are described in the following paragraphs. Refer to Note 10 for a description of the policies used to determine the allowance for credit losses on investment securities.
Methodology for allowances for loan losses and lending-related commitments
The allowance for loan losses and allowance for lending-related commitments represents expected credit losses over the remaining expected life of retained loans and lending-related commitments that are not unconditionally cancellable. The Firm does not record an allowance for future draws on unconditionally cancellable lending-related commitments (e.g., credit cards). Expected losses related to accrued interest on credit card loans and certain performing, modified loans to borrowers impacted by COVID-19 are included in the Firm’s allowance for loan losses. However, the Firm does not record an allowance on other accrued interest receivables, due to its policy to write them off no later than 90 days past due by reversing interest income.
The expected life of each instrument is determined by considering its contractual term, expected prepayments, cancellation features, and certain extension and call options. The expected life of funded credit card loans is generally estimated by considering expected future payments on the
credit card account, and determining how much of those amounts should be allocated to repayments of the funded loan
balance (as of the balance sheet date) versus other account activity. This allocation is made using an approach that incorporates the payment application requirements of the Credit Card Accountability Responsibility and Disclosure Act of 2009, generally paying down the highest interest rate balances first.
The estimate of expected credit losses includes expected recoveries of amounts previously charged off or expected to be charged off, even if such recoveries result in a negative allowance.
Collective and Individual Assessments
When calculating the allowance for loan losses and the allowance for lending-related commitments, the Firm assesses whether exposures share similar risk characteristics. If similar risk characteristics exist, the Firm estimates expected credit losses collectively, considering the risk associated with a particular pool and the probability that the exposures within the pool will deteriorate or default.
Relevant risk characteristics for the consumer portfolio include product type, delinquency status, current FICO scores, geographic distribution, and, for collateralized loans, current LTV ratios. Relevant risk characteristics for the wholesale portfolio include LOB, geography, risk rating, delinquency status, level and type of collateral, industry sector, credit enhancement, product type, facility purpose, tenor, and payment terms. The assessment of risk characteristics is subject to significant management judgment.judgement. Emphasizing one characteristic over another or considering additional characteristics could affect the allowance.
•
Relevant risk characteristics for the consumer portfolio include product type, delinquency status, current FICO scores, geographic distribution, and, for collateralized loans, current LTV ratios.
•
Relevant risk characteristics for the wholesale portfolio include LOB, geography, risk rating, delinquency status, level and type of collateral, industry, credit enhancement, product type, facility purpose, tenor, and payment terms.
The majority of the Firm’s credit exposures share risk characteristics with other similar exposures, and as a result are collectively assessed for impairment (“portfolio-based component”). The portfolio-based component covers consumer loans, performing risk-rated loans and certain lending-related commitments.
If an exposure does not share risk characteristics with other exposures, the Firm generally estimates expected credit losses on an individual basis, considering expected repayment and conditions impacting that individual exposure (“asset-specific component”). The asset-specific component covers modified PCD loans, loans modified or reasonably expected to be modified in a TDR, collateral-dependent loans, as well as, risk-rated loans that have been placed on nonaccrual status.
Portfolio-based component
The portfolio-based component begins with a quantitative calculation that considers the likelihood of the borrower changing delinquency status or moving from one risk rating to another. The quantitative calculation covers expected credit losses over an instrument’s expected life and is estimated by applying credit loss factors to the Firm’s estimated exposure at default.
The credit loss factors incorporate the probability of borrower default as well as loss severity in the event of default. They are derived using a weighted average of five internally developed macroeconomic scenarios over an eight-quarter

forecast period, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the eight-quarter forecast period. The eight-quarter forecast incorporates hundreds of macroeconomic variables that are relevant for exposures across the Firm, with modeled credit losses being driven primarily by a subset of less than twenty variables, including U.S. real gross domestic product (“GDP”), U.S. unemployment rates and initial jobless claims, short- and long-term interest rates, U.S. equity prices, corporate credit spreads, housing prices, and oil prices. The specific variables that have the greatest effect on the modeled losses of each portfolio vary by portfolio and geography. The five

macroeconomic scenarios consist of a central, relative adverse, extreme adverse, relative upside and extreme upside scenario, and are updated by the Firm’s central forecasting team. The scenarios take into consideration the Firm’s overarching economic outlook, internal perspectives from subject matter experts across the Firm, and market consensus and involve a governed process that incorporates feedback from senior management across LOBs, Corporate Finance and Risk Management.
In lightThe COVID-19 pandemic has stressed many MEVs to degrees not experienced in recent history, which creates additional challenges in the use of the rapidly evolving economic conditions and forecasts during March 2020, management updated its macroeconomic forecast near the end of itsmodeled credit loss estimation processestimates and increases the reliance on management judgment. During the second quarter, certain MEVs were well outside the range of historical experience on which the Firm’s models had been calibrated and therefore adjustments were required to appropriately address these economic circumstances. For example, while forecasted U.S. employment rates in early April. This macroeconomic forecast was used to generate an updated credit loss estimate that was the primary drivercertain of the Firm’s provision forscenarios are higher than historical experience, such rates are developed on a reported basis and do not reflect the significant mitigating impact of current government unemployment benefits and other stimulus programs. Consequently, management considered such mitigating impact to arrive at an effective unemployment rate, which informed modeled credit lossesloss estimates, particularly in the consumer portfolio. In addition, for the three months ended March 31, 2020. Subsequent changeswholesale portfolio, management used the historical relationship between credit spreads and portfolio default rates to this forecast and related estimates will be reflected ininform the provision for credit losses in future periods.adjustment of the Firm’s modeled loss estimates. 
The quantitative calculation is further adjusted to take into consideration model imprecision, emerging risk assessments, trends and other subjective factors that are not yet reflected in the calculation; thesecalculation. These adjustments are accomplished in part by analyzing the historical loss experience, including during stressed periods, for each major product segment. However, it is difficult to predict whether historical loss experience is indicative of future loss levels. In particular, the COVID-19 pandemic has stressed many macroeconomic variables to degrees not seen nor experienced in recent history, which creates additional challenges in the use of modeled credit loss estimates.
or model. Management applies significant judgmentjudgement in making this adjustment, including taking into account uncertainties associated with various factors not already considered in the quantitative calculation, including current economic and political conditions, quality of underwriting standards, borrower behavior, credit concentrations or deterioration within an industry, product or portfolio, as well as other relevant internal and external factors affecting the credit quality of the portfolio. In certain instances, the interrelationships between these factors create further uncertainties.
In the second quarter of 2020, these qualitative adjustments also consider additional weight placed on the relative and extreme adverse scenarios, as a result of increased uncertainty related to the COVID-19 pandemic.
The application of different inputs into the quantitative calculation, and the assumptions used by management to adjust the quantitative calculation, are subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for
loan losses and the allowance for lending-related commitments.
Asset-specific component
To determine the asset-specific component of the allowance, collateral-dependent loans (including those loans for which foreclosure is probable) and larger, nonaccrual risk-rated loans in the wholesale portfolio segment are generally evaluated individually, while smaller loans (both scored and risk-rated) are aggregated for evaluation using factors relevant for the respective class of assets.
The Firm generally measures the asset-specific allowance as the difference between the amortized cost of the loan and the present value of the cash flows expected to be collected, discounted at the loan’s original effective interest rate. Subsequent changes in impairment are generally recognized as an adjustment to the allowance for loan losses. For collateral-dependent loans, the fair value of collateral less estimated costs to sell is used to determine the charge-off amount for declines in value (to reduce the amortized cost of the loan to the fair value of collateral) or the amount of negative allowance that should be recognized (for recoveries of prior charge-offs associated with improvements in the fair value of collateral).
The asset-specific component of the allowance for loan losses that have been or are expected to be modified in TDRs incorporates the effect of the modification on the loan’s expected cash flows (including forgone interest, principal forgiveness, as well as other concessions), and also the potential for redefault. For residential real estate loans modified in or expected to be modified in TDRs, the Firm develops product-specific probability of default estimates, which are applied at a loan level to compute expected losses. In developing these probabilities of default, the Firm considers the relationship between the credit quality characteristics of the underlying loans and certain assumptions about housing prices and unemployment, based upon industry-wide data. The Firm also considers its own historical loss experience to-date based on actual redefaulted modified loans. For credit card loans modified in or expected to be modified in TDRs, expected losses incorporate projected redefaultsdelinquencies and charge-offs based on the Firm’s historical experience by type of modification program. For wholesale loans modified or expected to be modified in TDRs, expected losses incorporate management’s expectation of the borrower’s ability to repay under the modified terms.
Estimating the timing and amounts of future cash flows is highly judgmental as these cash flow projections rely upon estimates such as loss severities, asset valuations, default rates (including redefault rates on modified loans), the amounts and timing of interest or principal payments (including any expected prepayments) or other factors that are reflective of current and expected market conditions. These estimates are, in turn, dependent on factors such as the duration of current overall economic conditions, industry-, portfolio-, or borrower-specific factors, the expected outcome of insolvency proceedings as well as, in certain circumstances, other economic factors. All of these estimates and assumptions require significant management judgment and certain assumptions are highly subjective.

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. Refer to Note 10 for further information on the allowance for credit losses on investment securities.
The adoption of the CECL accounting guidance resulted in a change in the accounting for PCI loans, which are considered PCD loans. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied inwhen determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
2020(e)
 2019
2020(e)
 2019
Three months ended March 31,
(in millions)
Consumer, excluding
credit card
Credit cardWholesaleTotal Consumer, excluding credit cardCredit cardWholesaleTotal
Six months ended June 30,
(in millions)
Consumer, excluding
credit card
Credit cardWholesaleTotal Consumer, excluding credit cardCredit cardWholesaleTotal
Allowance for loan losses      
Beginning balance at January 1,$2,538
$5,683
$4,902
$13,123
 $3,434
$5,184
$4,827
$13,445
$2,538
$5,683
$4,902
$13,123
 $3,434
$5,184
$4,827
$13,445
Cumulative effect of a change in accounting principle297
5,517
(1,642)4,172
 NA
NA
NA
NA
297
5,517
(1,642)4,172
 NA
NA
NA
NA
Gross charge-offs233
1,488
181
1,902
 234
1,344
64
1,642
425
2,863
491
3,779
 445
2,725
176
3,346
Gross recoveries collected(239)(175)(19)(433) (127)(142)(12)(281)(348)(372)(30)(750) (270)(283)(29)(582)
Net charge-offs(6)1,313
162
1,469
 107
1,202
52
1,361
77
2,491
461
3,029
 175
2,442
147
2,764
Write-offs of PCI loans(a)
NA
NA
NA
NA
 50
—
—
50
NA
NA
NA
NA
 89
—
—
89
Provision for loan losses613
5,063
1,742
7,418
 120
1,202
170
1,492
2,115
9,091
6,619
17,825
 (246)2,642
173
2,569
Other—
—
—
—
 2
(1)6
7
(1)—
2
1
 —
(1)6
5
Ending balance at March 31,$3,454
$14,950
$4,840
$23,244
 $3,399
$5,183
$4,951
$13,533
Ending balance at June 30,$4,872
$17,800
$9,420
$32,092
 $2,924
$5,383
$4,859
$13,166
      
Allowance for lending-related commitments      
Beginning balance at January 1,$12
$—
$1,179
$1,191
 $12
$—
$1,043
$1,055
$12
$—
$1,179
$1,191
 $12
$—
$1,043
$1,055
Cumulative effect of a change in accounting principle133
—
(35)98
 NA
NA
NA
NA
133
—
(35)98
 NA
NA
NA
NA
Provision for lending-related commitments6
—
852
858
 —
—
3
3
95
—
825
920
 —
—
75
75
Other—
—
—
—
 —
—
—
—
1
—
(1)—
 —
—
(1)(1)
Ending balance at March 31,$151
$—
$1,996
$2,147
 $12
$—
$1,046
$1,058
Ending balance at June 30,$241
$—
$1,968
$2,209
 $12
$—
$1,117
$1,129
   
Total allowance for credit losses$5,113
$17,800
$11,388
$34,301
 $2,936
$5,383
$5,976
$14,295
      
Allowance for loan losses by impairment methodology      
Asset-specific(b)
$223
$530
$556
$1,309
 $89
$461
$479
$1,029
$263
$642
$757
$1,662
 $87
$472
$346
$905
Portfolio-based3,231
14,420
4,284
21,935
 1,572
4,722
4,472
10,766
4,609
17,158
8,663
30,430
 1,538
4,911
4,513
10,962
PCINA
NA
NA
NA
 1,738
—
—
1,738
NA
NA
NA
NA
 1,299
—
—
1,299
Total allowance for loan losses$3,454
$14,950
$4,840
$23,244
 $3,399
$5,183
$4,951
$13,533
$4,872
$17,800
$9,420
$32,092
 $2,924
$5,383
$4,859
$13,166
      
Loans by impairment methodology      
Asset-specific(b)
$17,036
$1,505
$2,021
$20,562
 $6,536
$1,365
$1,860
$9,761
$16,749
$1,422
$3,849
$22,020
 $6,374
$1,388
$1,483
$9,245
Portfolio-based276,743
152,516
553,268
982,527
 292,465
149,150
469,258
910,873
290,256
140,234
512,938
943,428
 286,059
156,180
474,002
916,241
PCINA
NA
NA
NA
 23,207
—
—
23,207
NA
NA
NA
NA
 22,242
—
—
22,242
Total retained loans$293,779
$154,021
$555,289
$1,003,089
 $322,208
$150,515
$471,118
$943,841
$307,005
$141,656
$516,787
$965,448
 $314,675
$157,568
$475,485
$947,728
      
Collateral-dependent loans      
Net charge-offs$29
$—
$17
$46
 $9
$—
$11
$20
$56
$—
$22
$78
 $14
$—
$13
$27
Loans measured at fair value of collateral less cost to sell2,941
—
94
3,035
 2,098
—
154
2,252
3,505
—
166
3,671
 2,093
—
88
2,181
      
Allowance for lending-related commitments by impairment methodology      
Asset-specific$—
$—
$187
$187
 $—
$—
$114
$114
$—
$—
$115
$115
 $—
$—
$136
$136
Portfolio-based151
—
1,809
1,960
 12
—
932
944
241
—
1,853
2,094
 12
—
981
993
Total allowance for lending-related commitments(c)
$151
$—
$1,996
$2,147
 $12
$—
$1,046
$1,058
$241
$—
$1,968
$2,209
 $12
$—
$1,117
$1,129
      
Lending-related commitments by impairment methodology      
Asset-specific$—
$—
$619
$619
 $—
$—
$455
$455
$—
$—
$762
$762
 $—
$—
$465
$465
Portfolio-based(d)
33,498
—
357,866
391,364
 28,666
—
393,555
422,221
35,417
—
404,731
440,148
 30,827
—
403,302
434,129
Total lending-related commitments$33,498
$—
$358,485
$391,983
 $28,666
$—
$394,010
$422,676
$35,417
$—
$405,493
$440,910
 $30,827
$—
$403,767
$434,594


(a)Prior to the adoption of CECL, write-offs of PCI loans were recorded against the allowance for loan losses when actual losses for a pool exceeded estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan was recognized when the underlying loan was removed from a pool.
(b)Includes modified PCD loans and loans that have been modified or are reasonably expected to be modified in a TDR. Also includes risk-rated loans that have been placed on nonaccrual status for the wholesale portfolio segment. The asset-specific credit card allowance for loans modified, or reasonably expected to be modified, in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.
(c)The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.
(d)At March 31,June 30, 2020 and 2019, lending-related commitments excluded $8.0$9.9 billion and $9.3 billion, respectively, for the consumer, excluding credit card portfolio segment; and $681.4$673.8 billion and $626.9$634.0 billion, respectively, for the credit card portfolio segment, which were not subject to the allowance for lending-related commitments.
(e)Excludes HTM securities, which had an allowance for credit losses of $19$23 million and a provision for credit losses of $9$13 million as of and for the threesix months ended March 31,June 30, 2020.
Discussion of current period changes
The increase in the allowancesallowance for loan losses and lending-related commitments in the first quarter of 2020 was primarily
driven by an increase in the provision for credit losses, reflecting the deterioration in and uncertainty around the future macroeconomic environment as a result
of the impact of the COVID-19 pandemic and continued pressure on oil prices.pandemic. In lightthe first quarter of the rapidly evolving economic conditions and forecasts during March 2020, management updated its macroeconomic forecast near the end of its credit loss estimation process in early April. Thismanagement’s macroeconomic forecast included a decline in the U.S. real GDP of approximately 25% and an increase in the U.S. unemployment rate to above 10%, both in the second quarter, followed by a solid recovery in the second half of 2020. In addition, the allowances for loan lossessecond quarter of 2020, based on the increased uncertainty around the duration and lending-related commitments reflect the estimated impactdepth of the downturn and speed of economic recovery, the Firm’s payment relief actionscentral case reflected a more protracted downturn with a slower recovery of U.S. real GDP.
In the first and second quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as well asfollows:
 2020 2021
 4Q 2Q4Q
Central case assumptions    
     
U.S. unemployment rate(a)
    
1Q 20206.6 % 5.5 %4.6 %
2Q 202010.9
 9.0
7.7
     
U.S. real GDP - cumulative change from December 31, 2019    
1Q 2020(5.4) (2.3)0.3
2Q 2020(6.2) (4.0)(3.0)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
In the federal government’s stimulus programs related tosecond quarter of 2020, the COVID-19 pandemic. Firm placed significant weighting on its adverse scenarios, which incorporate more punitive macroeconomic factors than the central case assumptions above, resulting in weighted average U.S. unemployment rates remaining in double digits through the first half of 2021.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.


Note 14 – Variable interest entities
Refer to Note 1 of JPMorgan Chase’s 2019 Form 10-K for a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs.
The following table summarizes the most significant types of Firm-sponsored VIEs by business segment.
Line of BusinessTransaction TypeActivityForm 10-Q page reference
CCBCredit card securitization trustsSecuritization of originated credit card receivables145162
 Mortgage securitization trustsServicing and securitization of both originated and purchased residential mortgages145-147162-164
CIBMortgage and other securitization trustsSecuritization of both originated and purchased residential and commercial mortgages, and other consumer loans145-147162-164
 Multi-seller conduitsAssist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs147164
 Municipal bond vehiclesFinancing of municipal bond investments147164

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 148–149165–166 of this Note for more information on the VIEs sponsored by third parties.
Significant Firm-sponsored VIEs
Credit card securitizations
Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations.
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 trust, the Chase Issuance Trust. Refer to the table on page 148165 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 interests in the securitization trusts.
Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K 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.

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 contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. The Firm’s maximum loss exposure from retained and purchased interests is the carrying value of these interests. Refer to Securitization activity on page 149166 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 149–150166-167 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
Principal amount outstanding 
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
Principal amount outstanding 
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
March 31, 2020 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvement Trading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
June 30, 2020 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvement Trading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
Securitization-related(a)
      
Residential mortgage:      
Prime/Alt-A and option ARMs$59,615
$2,657
$48,743
 $588
$1,127
$—
$1,715
$55,813
$2,359
$44,492
 $597
$1,031
$—
$1,628
Subprime14,198
51
13,024
 9
—
—
9
13,817
49
12,859
 9
—
—
9
Commercial and other(b)
114,032
—
94,361
 989
1,197
273
2,459
114,006
—
94,321
 918
1,952
279
3,149
Total$187,845
$2,708
$156,128
 $1,586
$2,324
$273
$4,183
$183,636
$2,408
$151,672
 $1,524
$2,983
$279
$4,786
 Principal amount outstanding 
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2019 (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 securitiesOther financial assets
Total interests held by
JPMorgan
Chase
Securitization-related(a)
        
Residential mortgage:        
Prime/Alt-A and option ARMs$60,348
$2,796
$48,734
 $535
$625
$—
$1,160
Subprime14,661
—
13,490
 7
—
—
7
Commercial and other(b)
111,903
—
80,878
 785
773
241
1,799
Total$186,912
$2,796
$143,102
 $1,327
$1,398
$241
$2,966
(a)Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 149–150166-167 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
(b)Consists of securities backed by commercial real estate loans and non-mortgage-related consumer receivables purchased from third parties.
(c)
Excludes the following: retained servicing (refer to Note 15 for a discussion of MSRs); securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (refer to Note 5 for further information on derivatives); senior and subordinated securities of $525$201 million and $184$16 million, respectively, at March 31,June 30, 2020, and $106 million and $94 million, respectively, at December 31, 2019, 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,June 30, 2020, and December 31, 2019, 64%76% and 63%, 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 $1.7$1.6 billion and $1.1 billion of investment-grade retained interests, and $61$62 million and $72 million of noninvestment-grade retained interests at March 31,June 30, 2020, and December 31, 2019, respectively. The retained interests in commercial and other securitizationssecuritization trusts consisted of $1.6$2.5 billion and $1.2 billion of investment-grade retained interests, and $881$650 million and $575 million of noninvestment-grade retained interests at March 31,June 30, 2020, and December 31, 2019, 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. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed description of the Firm’s involvement with residential mortgage securitizations. Refer to the table on page 148165 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 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. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations. Refer to the table on page 148165 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
Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed description of JPMorgan Chase’s participation in certain re-securitization transactions.
The following table presents the principal amount of securities transferred to re-securitization VIEs.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Transfers of securities to VIEs          
U.S. GSEs and government agencies$2,717
 $4,503
$12,505
 $2,564
 $15,222
 $7,067

The Firm did not transfer any private label securities to re-securitization VIEs during the first three and six months ofended June 30, 2020 and 2019, respectively, and retained interests in any such Firm-sponsored VIEs as of March 31,June 30, 2020 and December 31, 2019 were immaterial.
The following table presents information on nonconsolidated re-securitization VIEs.
Nonconsolidated
re-securitization VIEs
Nonconsolidated
re-securitization VIEs
(in millions)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
U.S. GSEs and government agencies      
Interest in VIEs$3,162
 $2,928
$4,189
 $2,928

As of March 31,June 30, 2020, and December 31, 2019, the Firm did not consolidate any U.S. GSE and government agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs.
 
Multi-seller conduits
Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits.
In the normal course of business, JPMorgan Chase makes markets in and invests in commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $14.7$11.5 billion and $16.3 billion of the commercial paper issued by the Firm-administered multi-seller conduits at March 31,June 30, 2020, and December 31, 2019, 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 $7.1$8.6 billion and $8.9 billion at March 31,June 30, 2020, and December 31, 2019, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 23 for more information on off-balance sheet lending-related commitments.
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 to pages 148–149165-166 of this Note for further information.
The Firm serves as sponsor for all non-customer TOB transactions. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a more detailed description of JPMorgan Chase’s 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,June 30, 2020, and December 31, 2019.
Assets LiabilitiesAssets Liabilities
March 31, 2020 (in millions)Trading assetsLoans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
June 30, 2020 (in millions)Trading assetsLoans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type      
Firm-sponsored credit card trusts$—
$13,202
$265
$13,467
 $6,562
$4
$6,566
$—
$12,208
$859
$13,067
 $5,790
$3
$5,793
Firm-administered multi-seller conduits1
26,661
348
27,010
 12,174
36
12,210
—
23,868
331
24,199
 12,666
30
12,696
Municipal bond vehicles1,778
—
7
1,785
 589
4
593
2,206
—
3
2,209
 2,126
1
2,127
Mortgage securitization entities(a)
110
2,608
76
2,794
 305
125
430
57
2,308
97
2,462
 245
118
363
Other46
—
295
341
 —
147
147
2
—
279
281
 1
91
92
Total$1,935
$42,471
$991
$45,397
 $19,630
$316
$19,946
$2,265
$38,384
$1,569
$42,218
 $20,828
$243
$21,071
      
Assets LiabilitiesAssets Liabilities
December 31, 2019 (in millions)Trading assetsLoans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
Trading assetsLoans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type      
Firm-sponsored credit card trusts$—
$14,986
$266
$15,252
 $6,461
$6
$6,467
$—
$14,986
$266
$15,252
 $6,461
$6
$6,467
Firm-administered multi-seller conduits1
25,183
355
25,539
 9,223
36
9,259
1
25,183
355
25,539
 9,223
36
9,259
Municipal bond vehicles1,903
—
4
1,907
 1,881
3
1,884
1,903
—
4
1,907
 1,881
3
1,884
Mortgage securitization entities(a)
66
2,762
64
2,892
 276
130
406
66
2,762
64
2,892
 276
130
406
Other663
—
192
855
 —
272
272
663
—
192
855
 —
272
272
Total$2,633
$42,931
$881
$46,445
 $17,841
$447
$18,288
$2,633
$42,931
$881
$46,445
 $17,841
$447
$18,288
(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. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for conduits program-wide credit enhancements. Included in beneficial interests in VIE assets are long-term beneficial interests of $6.9$6.0 billion and $6.7 billion at March 31,June 30, 2020, and December 31, 2019, 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 own and operate affordable housing, energy, and other projects. These entities are primarily considered VIEs. A
third party is typically the general partner or managing
member and has control over the significant activities of the tax credit vehicles, and accordingly the Firm does not consolidate tax credit vehicles. The Firm generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits allocated to the projects. The maximum loss exposure, represented by equity investments and funding commitments, was $19.2$21.0 billion and $19.1 billion, of which $5.4$6.1 billion and $5.5 billion was unfunded at March 31,June 30, 2020 and December 31, 2019, respectively. In order to reduce the risk of loss, the Firm assesses each project and withholds varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 25 of JPMorgan Chase’s 2019 Form 10-K for further information on affordable housing tax credits. Refer to Note 23 of this Form 10-Q for more information on off-balance sheet lending-related commitments.

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 March 31,June 30, 2020 and December 31, 2019 was $5.3$6.1 billion and $5.5 billion, respectively. The fair value of assets held by such VIEs at March 31,June 30, 2020 and December 31, 2019, was $8.1$9.7 billion and $8.6 billion, respectively. Refer to Note 23 for more information on off-balance sheet lending-related commitments.
Loan securitizations
The Firm has securitized and sold a variety of loans, including residential mortgage, credit card, and commercial mortgage. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for a further description of the Firm’s accounting policies regarding securitizations.
Securitization activity
The following table provides information related to the Firm’s securitization activities for the three and six months ended March 31,June 30, 2020 and 2019, 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,Three months ended June 30, Six months ended June 30,
2020 20192020 2019 2020 2019
(in millions)
Residential mortgage(d)
Commercial and other(e)
 
Residential mortgage(d)
Commercial and other(e)
Residential mortgage(d)
Commercial and other(e)
 
Residential mortgage(d)
Commercial and other(e)
 
Residential mortgage(d)
Commercial and other(e)
 
Residential mortgage(d)
Commercial and other(e)
Principal securitized$3,064
$3,188
 $1,782
$764
$534
$861
 $2,125
$1,974
 $3,598
$4,049
 $3,907
$2,738
All cash flows during the period:(a)
          
Proceeds received from loan sales as financial instruments(b)(c)
$3,136
$3,273
 $1,822
$782
$554
$912
 $2,188
$2,041
 $3,690
$4,185
 $4,010
$2,823
Servicing fees collected62
—
 77
—
49
—
 73
1
 111
—
 150
1
Cash flows received on interests117
29
 85
51
214
31
 114
98
 331
60
 199
149
(a)Excludes re-securitization transactions.
(b)Predominantly includes Level 2 assets.
(c)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
(d)Includes prime mortgages only. Excludes loan securitization activity related to U.S. GSEs and government agencies.
(e)Includes commercial mortgage and other consumer loans.
Loans and excess MSRs sold to U.S. government-sponsored
enterprises and loans in securitization transactions pursuant to
Ginnie Mae guidelines
In addition to the amounts reported in the securitization activity tables above, the Firm, in the normal course of business, sells originated and purchased mortgage loans and certain originated excess MSRs on a nonrecourse basis, predominantly to U.S. GSEs. These loans and excess MSRs are sold primarily for the purpose of securitization by the U.S. GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). The Firm also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. The Firm does not consolidate the securitization vehicles underlying these transactions as it is not the primary beneficiary. For a limited number of loan sales, the Firm is obligated to share
 
a portion of the credit risk associated with the sold loans with the purchaser. Refer to Note 23 of this Form 10-Q, and Note 28 of JPMorgan Chase’s 2019 Form 10-K for additional information about the Firm’s loan sales- and securitization-related indemnifications. Refer to Note 15 for 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, and loans in securitization transactions pursuant to Ginnie Mae guidelines.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
2019
2020
2019
 20202019
Carrying value of loans sold$24,935
$15,179
$17,447
$23,138
 $42,382
$38,317
Proceeds received from loan sales as cash9
68
13
2
 22
70
Proceeds from loan sales as securities(a)(b)
24,663
14,837
17,274
22,823
 41,937
37,660
Total proceeds received from loan sales(c)
$24,672
$14,905
$17,287
$22,825
 $41,959
$37,730
Gains/(losses) on loan sales(d)(e)
$4
$49
$2
$104
 $6
$153
(a)Includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt or retained as part of the Firm’s investment securities portfolio.
(b)Included in level 2 assets.
(c)Excludes the value of MSRs retained upon the sale of loans.
(d)Gains/(losses) on loan sales include the value of MSRs.
(e)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
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 23, the Firm also has the option to repurchase delinquent loans that it services for
Ginnie Mae loan pools, as well as for other U.S. government agencies under certain arrangements. The Firm typically elects to repurchase delinquent loans from Ginnie Mae loan
pools as it continues to service them and/or manage the foreclosure process in accordance with the applicable requirements, and such loans continue to be insured or guaranteed. When the Firm’s repurchase option becomes exercisable, such loans must be reported on the Consolidated balance sheets as a loan with a corresponding liability. Refer to Note 12 for additional information.
The following table presents loans the Firm repurchased or had an option to repurchase, real estate owned, and foreclosed government-guaranteed residential mortgage loans recognized on the Firm’s Consolidated balance sheets as of March 31,June 30, 2020 and December 31, 2019. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)Mar 31,
2020
Dec 31,
2019
Jun 30,
2020
Dec 31,
2019
Loans repurchased or option to repurchase(a)
$1,906
$2,941
$1,523
$2,941
Real estate owned29
41
13
41
Foreclosed government-guaranteed residential mortgage loans(b)
138
198
92
198
(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 and delinquencies related to nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement as of March 31,June 30, 2020, and December 31, 2019.
    Net liquidation losses    Net liquidation losses
Securitized assets 90 days past due Three months ended March 31,Securitized assets 90 days past due Three months ended June 30, Six months ended June 30,
(in millions)Mar 31,
2020
Dec 31,
2019
 Mar 31,
2020
Dec 31,
2019
 2020
2019
Jun 30,
2020
Dec 31,
2019
 Jun 30,
2020
Dec 31,
2019
 2020
2019
 2020
2019
Securitized loans            
Residential mortgage:            
Prime / Alt-A & option ARMs$48,743
$48,734
 $2,312
$2,449
 $99
$157
$44,492
$48,734
 $2,725
$2,449
 $76
$171
 $175
$328
Subprime13,024
13,490
 1,654
1,813
 86
144
12,859
13,490
 1,766
1,813
 49
167
 135
311
Commercial and other94,361
80,878
 223
187
 10
141
94,321
80,878
 401
187
 1
24
 11
165
Total loans securitized$156,128
$143,102
 $4,189
$4,449
 $195
$442
$151,672
$143,102
 $4,892
$4,449
 $126
$362
 $321
$804


Note 15 – Goodwill and Mortgage servicing rights
Refer to Note 15 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the accounting policies related to goodwill and mortgage servicing rights.
Goodwill
The following table presents goodwill attributed to the business segments.
(in millions)March 31,
2020
December 31,
2019
June 30,
2020
December 31,
2019
Consumer & Community Banking(a)
$30,083
$30,082
$30,082
$30,082
Corporate & Investment Bank(a)
7,876
7,901
7,889
7,901
Commercial Banking2,986
2,982
2,985
2,982
Asset & Wealth Management6,855
6,858
6,855
6,858
Total goodwill$47,800
$47,823
$47,811
$47,823

(a)In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB, including the associated Goodwill of $959 million. Prior periodsPrior-period amounts have been revised to conform with the current period presentation.
The following table presents changes in the carrying amount of goodwill.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
 2019
 2020
 2019
Balance at beginning
of period
$47,823
 $47,471
$47,800
 $47,474
 $47,823
 $47,471
Changes during the period from:          
Other(a)
(23) 3
11
 3
 (12) 6
Balance at March 31,$47,800
 $47,474
Balance at June 30,$47,811
 $47,477
 $47,811
 $47,477
(a)Primarily relates to foreign currency adjustments.
 
Goodwill impairment testing
Effective January 1, 2020, the Firm adopted new accounting guidance related to goodwill impairment testing. The adoption of the guidance requires recognition of an impairment loss when the estimated fair value of a reporting unit falls below its carrying value. It eliminated the requirement that an impairment loss be recognized only if the estimated implied fair value of the goodwill is below its carrying value. Refer to Note 15 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the primary method used to estimate the fair value of the reporting units and the assumptions used in the goodwill impairment test.
Goodwill is tested for impairment during the fourth quarter of each fiscal year, or more often if events or circumstances, such as adverse changes in the business climate, indicate that there may be an impairment.  
Unanticipated declines in business performance, increases in credit losses, increases in capital requirements, as well as deterioration in economic or market conditions, adverse regulatory or legislative changes or increases in the estimated market cost of equity, could cause the estimated fair values of the Firm’s reporting units to decline in the future, which could result in a material impairment charge to earnings in a future period related to some portion of the associated goodwill.
As of March 31,June 30, 2020, the Firm reviewed current economic conditions, including the potential impacts of the COVID-19 pandemic on business performance, estimated market cost of equity, and also reviewed actualactuals and projections of business performance for all its reporting units. The Firm has concluded that the goodwill allocated to its reporting units was 0t impaired as of March 31,June 30, 2020, or December 31, 2019, nor was goodwill written off due to impairment during the threesix months ended March 31,June 30, 2020 or 2019.

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. Refer to Notes 2 and 15 of JPMorgan Chase’s 2019 Form 10-K for a further description of the MSR asset, interest rate risk management, and the valuation of MSRs.
The following table summarizes MSR activity for the three and six months ended March 31,June 30, 2020 and 2019.
As of or for the three months
ended March 31,		As of or for the three months
ended June 30,		 As of or for the six months
ended June 30,
(in millions, except where otherwise noted)2020
 2019
2020
2019
 2020
2019
 
Fair value at beginning of period$4,699
 $6,130
$3,267
$5,957
  $4,699
$6,130
 
MSR activity:       
Originations of MSRs271
 332
164
424
 435
756
 
Purchase of MSRs2
 104
5
2
 7
106
 
Disposition of MSRs(a)
(75) (111)2
(217) (73)(328) 
Net additions/(dispositions)198
 325
171
209
 369
534
 
       
Changes due to collection/realization of expected cash flows(248) (199)(247)(247) (495)(446) 
       
Changes in valuation due to inputs and assumptions:       
Changes due to market interest rates and other(b)
(1,370) (301)(144)(540) (1,514)(841) 
Changes in valuation due to other inputs and assumptions:       
Projected cash flows (e.g., cost to service)(1) —
3
(350)
(e) 
 2
(350)
(e) 
Discount rates—
 —
—
153
 —
153
 
Prepayment model changes and other(c)
(11) 2
30
(89)  19
(87) 
Total changes in valuation due to other inputs and assumptions(12) 2
33
(286)  21
(284) 
Total changes in valuation due to inputs and assumptions(1,382) (299)(111)(826) (1,493)(1,125) 
Fair value at March 31,$3,267
 $5,957
Fair value at June 30$3,080
$5,093
 $3,080
$5,093
 
       
Change in unrealized gains/(losses) included in income related to MSRs held at March 31,$(1,382) $(299)
Changes in unrealized gains/(losses) included in income related to MSRs held at June 30$(111)$(826) $(1,493)$(1,125) 
Contractual service fees, late fees and other ancillary fees included in income364
 420
329
437
  693
857
 
Third-party mortgage loans serviced at March 31, (in billions)506
 530
Servicer advances, net of an allowance for uncollectible amounts, at March 31, (in billions)(d)
1.7
 2.6
Third-party mortgage loans serviced at June 30 (in billions)483
527
 483
527
 
Servicer advances, net of an allowance for uncollectible amounts, at June 30 (in billions)(d)
1.7
2.2
  1.7
2.2
 
(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.
(e)The decrease in projected cash flows was largely related to default servicing assumption updates.

The following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the three and six months ended March 31,June 30, 2020 and 2019.
Three months ended March 31,Three months ended June 30, Six months ended June 30,
(in millions)2020
 2019
2020
2019
 2020
2019
Net production revenue$319
 $200
$742
$353
 $1,061
$553
      
Net mortgage servicing revenue:      
Operating revenue:      
Loan servicing revenue339
 404
343
417
 682
821
Changes in MSR asset fair value due to collection/realization of expected cash flows(248) (199)(247)(247) (495)(446)
Total operating revenue91
 205
96
170
 187
375
Risk management:      
Changes in MSR asset fair value due to market interest rates and other(a)
(1,370) (301)(144)(540) (1,514)(841)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
(12) 2
33
(286) 21
(284)
Change in derivative fair value and other1,292
 290
Changes in derivative fair value and other190
582
 1,482
872
Total risk management(90) (9)79
(244) (11)(253)
Total net mortgage servicing revenue1
 196
175
(74) 176
122
Mortgage fees and related income$320
 $396
$917
$279
 $1,237
$675
(a)Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(b)Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at March 31,June 30, 2020, and December 31, 2019, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
(in millions, except rates)(in millions, except rates)Mar 31,
2020
 Dec 31,
2019
(in millions, except rates)Jun 30,
2020
 Dec 31,
2019
Weighted-average prepayment speed assumption (constant prepayment rate)Weighted-average prepayment speed assumption (constant prepayment rate)19.12% 11.67%Weighted-average prepayment speed assumption (constant prepayment rate)19.08% 11.67%
Impact on fair value of 10% adverse changeImpact on fair value of 10% adverse change$(206) $(200)Impact on fair value of 10% adverse change$(207) $(200)
Impact on fair value of 20% adverse changeImpact on fair value of 20% adverse change(391) (384)Impact on fair value of 20% adverse change(391) (384)
Weighted-average option adjusted spread(a)
Weighted-average option adjusted spread(a)
8.95% 7.93%
Weighted-average option adjusted spread(a)
9.10% 7.93%
Impact on fair value of a 100 basis point adverse changeImpact on fair value of a 100 basis point adverse change$(103) $(169)Impact on fair value of a 100 basis point adverse change$(100) $(169)
Impact on fair value of a 200 basis point adverse changeImpact on fair value of a 200 basis point adverse change(200) (326)Impact on fair value of a 200 basis point adverse change(193) (326)

(a)Includes the impact of operational risk and regulatory capital.
 
Changes in fair value based on variations in assumptions generally cannot be easily extrapolated, because the relationship of the change in the assumptions to the change in fair value are often highly interrelated and may not be linear. In 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 16 – Deposits
Refer to Note 17 of JPMorgan Chase’s 2019 Form 10-K for further information on deposits.
At March 31,June 30, 2020, and December 31, 2019, noninterest-bearing and interest-bearing deposits were as follows.
(in millions)March 31,
2020
 December 31, 2019
June 30,
2020
 December 31, 2019
U.S. offices      
Noninterest-bearing (included $17,046 and $22,637 at fair value)(a)
$448,195
 $395,667
Interest-bearing (included $2,631 and $2,534 at fair value)(a)
1,026,603
 876,156
Noninterest-bearing (included $15,512 and $22,637 at fair value)(a)
$529,729
 $395,667
Interest-bearing (included $2,808 and $2,534 at fair value)(a)
1,061,093
 876,156
Total deposits in U.S. offices1,474,798
 1,271,823
1,590,822
 1,271,823
Non-U.S. offices      
Noninterest-bearing (included $1,784 and $1,980 at fair value)(a)
22,192
 20,087
Interest-bearing (included $1,148 and $1,438 at fair value)(a)
339,019
 270,521
Noninterest-bearing (included $1,673 and $1,980 at fair value)(a)
22,752
 20,087
Interest-bearing (included $1,519 and $1,438 at fair value)(a)
317,455
 270,521
Total deposits in non-U.S. offices361,211
 290,608
340,207
 290,608
Total deposits$1,836,009
 $1,562,431
$1,931,029
 $1,562,431
(a)Includes structured notes classified as deposits for which the fair value option has been elected. Refer to Note 3 for further information.


 
Note 17 – Leases
Refer to Note 18 of JPMorgan Chase’s 2019 Form 10-K for a further discussion on leases.
Firm as lessee
At March 31,June 30, 2020, JPMorgan Chase and its subsidiaries were obligated under a number of noncancellable leases, predominantly operating leases for premises and equipment used primarily for business purposes.
Operating lease liabilities and ROU assets are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term.
The following table provides information related to the Firm’s operating leases:
(in millions)March 31, 2020December 31, 2019June 30, 2020December 31, 2019
Right-of-use assets$8,240
$8,190
$8,166
$8,190
Lease liabilities8,516
8,505
8,426
8,505

The Firm’s net rental expense was $475 million and $468$464 million for the three months ended March 31,June 30, 2020 and 2019, respectively.and $949 million and $932 million for the six months ended June 30, 2020 and 2019.
Firm as lessor
The Firm’s lease financings are generally operating leases and are included in other assets on the Firm’s Consolidated balance sheets.
The following table presents the Firm’s operating lease income, included within other income, and the related depreciation expense, included within technology, communications and equipment expense, on the Consolidated statements of income:
 Three months ended March 31, Three months ended June 30,Six months
ended June 30,

(in millions)
 2020
2019
 2020
2019
2020
2019
Operating lease income $1,413
$1,316
 $1,413
$1,327
$2,810
$2,643
Depreciation expense 1,140
997
 1,084
988
2,224
1,985




Note 18 - Preferred stock
Refer to Note 21 of JPMorgan Chase’s 2019 Form 10-K for a further discussion on preferred stock.
The following is a summary of JPMorgan Chase’s non-cumulative preferred stock outstanding as of March 31,June 30, 2020 and December 31, 2019, and the quarterly dividend declarations for the three and six months ended March 31,June 30, 2020 and 2019.
Shares
Carrying value
 (in millions)
 Contractual rate in effect at March 31, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/Term SOFR plus:
Dividend declared
per share
 Shares
Carrying value
 (in millions)
 Contractual rate in effect at June 30, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/Term SOFR plus:
Dividend declared
per share
 
March 31, 2020December 31, 2019March 31, 2020December 31, 2019Issue date
Three months ended
March 31,
 June 30, 2020December 31, 2019June 30, 2020December 31, 2019Issue dateThree months ended June 30,Six months ended June 30, 
Contractual rate in effect at March 31, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/Term SOFR plus: Contractual rate in effect at June 30, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/Term SOFR plus:
Fixed-rate:          
Series P—
—
$—
$—
2/5/2013—%3/1/2018NA—
—
$—
$—
2/5/2013—%3/1/2018NA$—
Series T—
—
—
—
1/30/2014—
3/1/2019NA—167.50 —
—
—
—
1/30/2014—
3/1/2019NA——167.50 
Series W—
—
—
—
6/23/2014—
9/1/2019NA—157.50 —
—
—
—
6/23/2014—
9/1/2019NA—157.50—315.00 
Series Y—
143,000
—
1,430
2/12/2015—
3/1/2020NA153.13153.13 —
143,000
—
1,430
2/12/2015—
3/1/2020NA—153.13153.13306.26 
Series AA142,500
142,500
1,425
1,425
6/4/20156.100
9/1/2020NA152.50152.50 142,500
142,500
1,425
1,425
6/4/20156.100
9/1/2020NA152.50152.50305.00305.00 
Series BB115,000
115,000
1,150
1,150
7/29/20156.150
9/1/2020NA153.75153.75 115,000
115,000
1,150
1,150
7/29/20156.150
9/1/2020NA153.75153.75307.50307.50 
Series DD169,625
169,625
1,696
1,696
9/21/20185.750
12/1/2023NA143.75143.75 169,625
169,625
1,696
1,696
9/21/20185.750
12/1/2023NA143.75143.75287.50287.50 
Series EE185,000
185,000
1,850
1,850
1/24/20196.000
3/1/2024NA150.00NA 185,000
185,000
1,850
1,850
1/24/20196.000
3/1/2024NA150.00211.67300.00211.67 
Series GG90,000
90,000
900
900
11/7/20194.750
12/1/2024NA150.42NA 90,000
90,000
900
900
11/7/20194.750
12/1/2024NA118.75NA269.17NA 
Fixed-to-floating-rate:          
Series I293,375
293,375
$2,934
$2,934
4/23/2008LIBOR + 3.47%
4/30/2018LIBOR + 3.47%$132.44$155.51 293,375
293,375
$2,934
$2,934
4/23/2008LIBOR + 3.47%
4/30/2018LIBOR + 3.47%$106.93$153.00$239.37$308.51 
Series Q150,000
150,000
1,500
1,500
4/23/20135.150
5/1/2023LIBOR + 3.25128.75128.75 150,000
150,000
1,500
1,500
4/23/20135.150
5/1/2023LIBOR + 3.25128.75128.75257.50257.50 
Series R150,000
150,000
1,500
1,500
7/29/20136.000
8/1/2023LIBOR + 3.30150.00150.00 150,000
150,000
1,500
1,500
7/29/20136.000
8/1/2023LIBOR + 3.30150.00150.00300.00300.00 
Series S200,000
200,000
2,000
2,000
1/22/20146.750
2/1/2024LIBOR + 3.78168.75168.75 200,000
200,000
2,000
2,000
1/22/20146.750
2/1/2024LIBOR + 3.78168.75168.75337.50337.50 
Series U100,000
100,000
1,000
1,000
3/10/20146.125
4/30/2024LIBOR + 3.33153.13153.13 100,000
100,000
1,000
1,000
3/10/20146.125
4/30/2024LIBOR + 3.33153.13153.13306.25306.25 
Series V250,000
250,000
2,500
2,500
6/9/2014LIBOR + 3.32%
7/1/2019LIBOR + 3.32130.73125.00
(a) 
250,000
250,000
2,500
2,500
6/9/2014LIBOR + 3.32
7/1/2019LIBOR + 3.32120.16125.00250.89250.00
(a) 
Series X160,000
160,000
1,600
1,600
9/23/20146.100
10/1/2024LIBOR + 3.33152.50152.50 160,000
160,000
1,600
1,600
9/23/20146.100
10/1/2024LIBOR + 3.33152.50152.50305.00305.00 
Series Z200,000
200,000
2,000
2,000
4/21/20155.300
5/1/2020LIBOR + 3.80132.50132.50 200,000
200,000
2,000
2,000
4/21/2015LIBOR + 3.80
5/1/2020LIBOR + 3.80117.15132.50249.65265.00
(b) 
Series CC125,750
125,750
1,258
1,258
10/20/20174.625
11/1/2022LIBOR + 2.58115.63115.63 125,750
125,750
1,258
1,258
10/20/20174.625
11/1/2022LIBOR + 2.58115.63115.63231.25231.25 
Series FF225,000
225,000
2,250
2,250
7/31/20195.000
8/1/2024SOFR + 3.38125.00NA 225,000
225,000
2,250
2,250
7/31/20195.000
8/1/2024SOFR + 3.38125.00NA250.00NA 
Series HH300,000
—
3,000
—
1/23/20204.600
2/1/2025SOFR + 3.125125.22NA
(b) 
300,000
—
3,000
—
1/23/20204.600
2/1/2025SOFR + 3.125115.00NA240.22NA 
Series II150,000
—
1,500
—
2/24/20204.000
4/1/2025SOFR + 2.745—NA
(c) 
150,000
—
1,500
—
2/24/20204.000
4/1/2025SOFR + 2.745141.11NA141.11NA
(c) 
Total preferred stock3,006,250
2,699,250
$30,063
$26,993
   3,006,250
2,699,250
$30,063
$26,993
   

(a)Prior to July 1, 2019, the dividend rate was fixed at 5%.
(b)Prior to May 1, 2020, the dividend rate was fixed at 5.3%.
(c)Dividends in the amount of $125.22$141.11 per share were declared on March 13,May 15, 2020 and include dividends from the original issue date of January 23, 2020 through March 31, 2020.
(c)From the original issue date of February 24, 2020 through March 31, 2020, dividends have yet to be declared for Series II.June 30, 2020.
Each series of preferred stock has a liquidation value and redemption price per share of $10,000, plus accrued but unpaid dividends. The aggregate liquidation value was $30.5 billion at March 31,June 30, 2020.
Redemptions
On March 1, 2020, the Firm redeemed all $1.43 billion of its 6.125% preferred stock, Series Y.
On December 1, 2019, the Firm redeemed all $900 million of its 5.45% preferred stock, Series P.
On October 30, 2019, the Firm redeemed $1.37 billion of its fixed-to-floating rate perpetual preferred stock, Series I.
On September 1, 2019, the Firm redeemed all $880 million of its 6.30% preferred stock, Series W.
On March 1, 2019, the Firm redeemed all $925 million of its 6.70% preferred stock, Series T.

Note 19 – Earnings per share
Refer to Note 23 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the computation of basic and diluted earnings per share (“EPS”). The following table presents the calculation of basic and diluted EPS for the three and six months ended March 31,June 30, 2020 and 2019.
(in millions, except per share amounts)Three months ended
March 31,		Three months ended
June 30,		 Six months ended
June 30,
2020
2019
2020
2019
 2020
2019
Basic earnings per share    
Net income$2,865
$9,179
$4,687
$9,652
 $7,552
$18,831
Less: Preferred stock dividends421
374
401
404
 822
778
Net income applicable to common equity2,444
8,805
4,286
9,248
 6,730
18,053
Less: Dividends and undistributed earnings allocated to participating securities13
52
21
56
 32
108
Net income applicable to common stockholders$2,431
$8,753
$4,265
$9,192
 $6,698
$17,945
    
Total weighted-average basic shares
outstanding
3,095.8
3,298.0
3,076.3
3,250.6
 3,086.1
3,274.3
Net income per share$0.79
$2.65
$1.39
$2.83
 $2.17
$5.48
    
Diluted earnings per share    
Net income applicable to common stockholders$2,431
$8,753
$4,265
$9,192
 $6,698
$17,945
Total weighted-average basic shares
outstanding
3,095.8
3,298.0
3,076.3
3,250.6
 3,086.1
3,274.3
Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs4.9
10.2
4.7
9.1
 4.7
9.6
Total weighted-average diluted shares outstanding3,100.7
3,308.2
3,081.0
3,259.7
 3,090.8
3,283.9
Net income per share$0.78
$2.65
$1.38
$2.82
 $2.17
$5.46



Note 20 – 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, and fair value option-elected liabilities arising from changes in the Firm’s own credit risk (DVA).
 As of or for the three months ended
March 31, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at January 1, 2020 $4,057
   $(707)  $(131) $63
   $(1,344)  $(369)  $1,569
 
 Net change 1,119
   (330)  88
 2,465
   33
  2,474
  5,849
 
 Balance at March 31, 2020 $5,176
(a) 

  $(1,037)  $(43) $2,528
   $(1,311)  $2,105
  $7,418
 
                        
 As of or for the three months ended
March 31, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at January 1, 2019 $1,202
   $(727)  (161) $(109)   $(2,308)  $596
  $(1,507) 
 Net change 1,414
   (24)  2
 138
   36
  (617)  949
 
 Balance at March 31, 2019 $2,616
   $(751)  $(159) $29
   $(2,272)  $(21)  $(558) 
 As of or for the three months ended
June 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at April 1, 2020 $5,176
   $(1,037)  $(43) $2,528
   $(1,311)  $2,105
  $7,418
 
 Net change 2,744
   142
  16
 234
   (7)  (1,758)  1,371
 
 Balance at June 30, 2020 $7,920
(a) 

  $(895)  $(27) $2,762
   $(1,318)  $347
  $8,789
 
                        
 As of or for the three months ended
June 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at April 1, 2019 $2,616
   $(751)  (159) $29
   $(2,272)  $(21)  $(558) 
 Net change 1,093
   99
  86
 97
   41
  256
  1,672
 
 Balance at June 30, 2019 $3,709
   $(652)  $(73) $126
   $(2,231)  $235
  $1,114
 
                        
 As of or for the six months ended
June 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at January 1, 2020 $4,057
   $(707)  $(131) $63
   $(1,344)  $(369)  $1,569
 
 Net change 3,863
   (188)  104
 2,699
   26
  716
  7,220
 
 Balance at June 30, 2020 $7,920
(a) 

  $(895)  $(27) $2,762
   $(1,318)  $347
  $8,789
 
                        
 As of or for the six months ended
June 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		 Translation adjustments, net of hedges Fair value hedgesCash flow hedges Defined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at January 1, 2019 $1,202
   $(727)  $(161) $(109)   $(2,308)  $596
  $(1,507) 
 Net change 2,507
   75
  88
 235
   77
  (361)  2,621
 
 Balance at June 30, 2019 $3,709
   $(652)  $(73) $126
   $(2,231)  $235
  $1,114
 

(a)Includes after-tax net unamortized unrealized gains of $737$703 million related to AFS securities that have been transferred to HTM.





The following table presents the pre-tax and after-tax changes in the components of OCI.
2020 20192020 2019
Three months ended March 31,
(in millions)		Pre-tax Tax effect After-tax Pre-tax Tax effect After-tax
Three months ended June 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$1,709
 $(413) $1,296
 $1,875
 $(451) $1,424
$3,642
 $(878) $2,764
 $1,491
 $(365) $1,126
Reclassification adjustment for realized (gains)/losses included in net income(a)
(233) 56
 (177) (13) 3
 (10)(26) 6
 (20) (44) 11
 (33)
Net change1,476
 (357) 1,119
 1,862
 (448) 1,414
3,616
 (872) 2,744
 1,447
 (354) 1,093
Translation adjustments(b):
                      
Translation(1,592) 55
 (1,537) 41
 (36) 5
405
 46
 451
 123
 72
 195
Hedges1,589
 (382) 1,207
 (38) 9
 (29)(405) 96
 (309) (128) 32
 (96)
Net change(3) (327) (330) 3
 (27) (24)—
 142
 142
 (5) 104
 99
Fair value hedges, net change(c):
115
 (27) 88
 3
 (1) 2
21
 (5) 16
 112
 (26) 86
Cash flow hedges:                      
Net unrealized gains/(losses) arising during the period3,251
 (780) 2,471
 141
 (33) 108
402
 (97) 305
 101
 (24) 77
Reclassification adjustment for realized (gains)/losses included in net income(d)
(8) 2
 (6) 39
 (9) 30
(93) 22
 (71) 26
 (6) 20
Net change3,243
 (778) 2,465
 180
 (42) 138
309
 (75) 234
 127
 (30) 97
Defined benefit pension and OPEB plans:                      
Net gain/(loss) arising during the period9
 (2) 7
 3
 (2) 1
—
 —
 —
 (1) —
 (1)
Reclassification adjustments included in net income(e):
                      
Amortization of net loss4
 (1) 3
 42
 (9) 33
3
 (1) 2
 41
 (7) 34
Amortization of prior service cost/(credit)1
 —
 1
 1
 —
 1
1
 (2) (1) 1
 (1) —
Foreign exchange and other31
 (9) 22
 (8) 9
 1
(8) —
 (8) 9
 (1) 8
Net change45
 (12) 33
 38
 (2) 36
(4) (3) (7) 50
 (9) 41
DVA on fair value option elected liabilities, net change:3,255
 (781) 2,474
 (807) 190
 (617)(2,314) 556
 (1,758) 338
 (82) 256
Total other comprehensive income/(loss)$8,131
 $(2,282) $5,849
 $1,279
 $(330) $949
$1,628
 $(257) $1,371
 $2,069
 $(397) $1,672
           
2020 2019
Six months ended June 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$5,351
 $(1,291) $4,060
 $3,366
 $(816) $2,550
Reclassification adjustment for realized (gains)/losses included in net income(a)
(259) 62
 (197) (57) 14
 (43)
Net change5,092
 (1,229) 3,863
 3,309
 (802) 2,507
Translation adjustments(b):
           
Translation(1,187) 101
 (1,086) 164
 36
 200
Hedges1,184
 (286) 898
 (166) 41
 (125)
Net change(3) (185) (188) (2) 77
 75
Fair value hedges, net change(c):
136
 (32) 104
 115
 (27) 88
Cash flow hedges:           
Net unrealized gains/(losses) arising during the period3,653
 (877) 2,776
 242
 (57) 185
Reclassification adjustment for realized (gains)/losses included in net income(d)
(101) 24
 (77) 65
 (15) 50
Net change3,552
 (853) 2,699
 307
 (72) 235
Defined benefit pension and OPEB plans:           
Net gain/(loss) arising during the period9
 (2) 7
 2
 (2) —
Reclassification adjustments included in net income(e):
           
Amortization of net loss7
 (2) 5
 83
 (16) 67
Amortization of prior service cost/(credit)2
 (2) —
 2
 (1) 1
Foreign exchange and other23
 (9) 14
 1
 8
 9
Net change41
 (15) 26
 88
 (11) 77
DVA on fair value option elected liabilities, net change:$941
 $(225) $716
 $(469) $108
 $(361)
Total other comprehensive income/(loss)$9,759
 $(2,539) $7,220
 $3,348
 $(727) $2,621
(a)The pre-tax amount is reported in Investment securities gains 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/expense in the Consolidated statements of income. ThereThe amounts were no sales or liquidations0t material for the three and six months ended June 30, 2020. During the three and six months ended June 30, 2019, the Firm reclassified net pre-tax gains of $6 million to other income and $1 million to other expense, respectively. These amounts, which related to the liquidation of certain legal entities, that resulted in reclassifications in the periods presented.are comprised of $5 million related to net investment hedge gains and $2 million related to cumulative translation adjustments.
(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 primarily 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 21 – Restricted cash and other restricted
assets
Refer to Note 26 of JPMorgan Chase’s 2019 Form 10-K for a detailed discussion of the Firm’s restricted cash and other restricted assets.
Certain of the Firm’s cash and other assets are restricted as to withdrawal or usage. These restrictions are imposed by various regulatory authorities based on the particular activities of the Firm’s subsidiaries.
The Firm is also subject to rules and regulations established by other U.S. and non U.S. regulators. As part of its compliance with the respective regulatory requirements, the Firm’s broker-dealer activities are subject to certain restrictions on cash and other assets.
The following table presents the components of the Firm’s restricted cash:
(in billions)March 31,
2020
December 31, 2019
June 30,
2020
December 31, 2019
Cash reserves – Federal Reserve Banks(a)
$—
$26.6
$—
$26.6
Segregated for the benefit of securities and cleared derivative customers19.7
16.0
20.5
16.0
Cash reserves at non-U.S. central banks and held for other general purposes3.8
3.9
4.7
3.9
Total restricted cash(b)
$23.5
$46.5
$25.2
$46.5
(a)Effective March 26, 2020, the Federal Reserve temporarily eliminated reserve requirements for depository institutions.
(b)Comprises $22.2$23.9 billion and $45.3 billion in deposits with banks, and $1.3 billion and $1.2 billion in cash and due from banks on the Consolidated balance sheet as of March 31,June 30, 2020 and December 31, 2019, respectively.
Also, as of March 31,June 30, 2020 and December 31, 2019, the Firm had the following other restricted assets:
Cash and securities pledged with clearing organizations for the benefit of customers of $40.0$35.7 billion and $24.7 billion, respectively.
Securities with a fair value of $12.8$5.7 billion and $8.8 billion, respectively, were also restricted in relation to customer activity.


 
Note 22 – Regulatory capital
Refer to Note 27 of JPMorgan Chase’s 2019 Form 10-K for a detailed discussion on regulatory capital.
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 principal IDI subsidiaries, includingsubsidiary, JPMorgan Chase Bank, N.A.
Under the risk-based capital and leverage-based guidelines of the Federal Reserve, JPMorgan Chase is required to maintain minimum ratios for CET1 capital, Tier 1 capital, Total capital, 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 presents the minimum and well-capitalized ratios to which the Firm and its IDI subsidiaries were subject as of March 31,June 30, 2020 and December 31, 2019.
 Minimum capital ratios Well-capitalized ratios
 
BHC(a)(e)
IDI(b)(e)
 
BHC(c) 
IDI(d)

Capital ratios     
CET1 capital10.57.0 N/A6.5%
Tier 1 capital12.08.5 6.08.0
Total capital14.010.5 10.010.0
Tier 1 leverage4.04.0 N/A5.0
SLR5.06.0 N/A6.0
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 minimum capital ratios applicable to the Firm under Basel III. The CET1, Tier 1 and Total capital minimum capital ratios include a capital conservation buffer requirement of 2.5% and GSIB surcharge of 3.5% as calculated under Method 2.
(b)
Represents requirements for JPMorgan Chase’s IDI subsidiaries. The CET1, Tier 1 and Total capital minimum capital ratios include a capital conservation buffer requirement of 2.5% 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)
Represents minimum SLR requirement of 3.0%, as well as supplementary leverage buffer requirements of 2.0% and 3.0% for BHC and IDI, respectively.
Current Expected Credit Losses
As disclosed in the Firm’s 2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule that provided the option to temporarily delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period.

The interim final rule provides a uniform approach for estimating the effects of CECL compared to the legacy

incurred loss model during the first two years of the transition period (the “day 2” transition amount), whereby the Firm may exclude from CET1 capital 25% of the change in the allowance for credit losses (excluding allowances on PCD loans). The cumulative day 2 transition amount as at December 31, 2021 that is not recognized in CET1 capital as well as the $2.7 billion day 1 impact, will be phased into CET1 capital at 25% per year beginning January 1, 2022. The Firm has elected to apply the CECL capital transition
provisions, and accordingly, for the period ended March 31,June 30, 2020, the capital measuresmetrics of the Firm
exclude $4.3$6.5 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $6.8$15.7 billion increase in the allowance for credit losses (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions on Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital measures.metrics. Refer to Note 1 for further information on the CECL accounting guidance.
The following tables present the risk-based and leverage-based capital metrics for JPMorgan Chase and JPMorgan Chase Bank, N.A. under both the Basel III Standardized and Basel III Advanced Approaches. As of March 31,June 30, 2020, the capital measuresmetrics are presented applying the CECL capital transition provisions. As of March 31,June 30, 2020 and December 31, 2019, JPMorgan Chase and JPMorgan Chase Bank, N.A. were well-capitalized and met all capital requirements to which each was subject.
March 31, 2020
(in millions, except ratios)		Basel III Standardized Basel III Advanced
JPMorgan
Chase & Co.(c)(d)
JPMorgan
Chase Bank, N.A.
 
JPMorgan
Chase & Co.(c)
JPMorgan
Chase Bank, N.A.
June 30, 2020
(in millions, except ratios)		Basel III Standardized Basel III Advanced
JPMorgan
Chase & Co.(c)(d)
JPMorgan
Chase Bank, N.A.(d)
 
JPMorgan
Chase & Co.(d)
JPMorgan
Chase Bank, N.A.(d)
Risk-based capital metrics:(a)
      
CET1 capital$183,591
$204,679
 $183,591
$204,679
$190,867
$217,100
 $190,867
$217,100
Tier 1 capital213,406
204,691
 213,406
204,691
220,674
217,107
 220,674
217,107
Total capital247,541
222,994
 234,434
210,271
256,667
234,631
 244,112
222,473
Risk-weighted assets1,598,828
1,527,914
 1,489,134
1,361,789
1,541,365
1,458,534
 1,450,587
1,310,057
CET1 capital ratio11.5%13.4% 12.3%15.0%12.4%14.9% 13.2%16.6%
Tier 1 capital ratio13.3
13.4
 14.3
15.0
14.3
14.9
 15.2
16.6
Total capital ratio15.5
14.6
 15.7
15.4
16.7
16.1
 16.8
17.0
Leverage-based capital metrics:      
Adjusted average assets(b)
$2,842,244
$2,439,720
 $2,842,244
$2,439,720
$3,176,729
$2,757,510
 $3,176,729
$2,757,510
Tier 1 leverage ratio7.5%8.4% 7.5%8.4%6.9%7.9% 6.9%7.9%
Total leverage exposure(c)NA
NA
 $3,535,822
$3,118,192
NA
NA
 $3,228,424
$3,418,625
SLR(c)NA
NA
 6.0%6.6%NA
NA
 6.8%6.4%
December 31, 2019
(in millions, except ratios)		Basel III Standardized Basel III Advanced
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.
 
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.
Risk-based capital metrics:(a)
     
CET1 capital$187,753
$206,848
 $187,753
$206,848
Tier 1 capital214,432
206,851
 214,432
206,851
Total capital242,589
224,390
 232,112
214,091
Risk-weighted assets1,515,869
1,457,689
 1,397,878
1,269,991
CET1 capital ratio12.4%14.2% 13.4%16.3%
Tier 1 capital ratio14.1
14.2
 15.3
16.3
Total capital ratio16.0
15.4
 16.6
16.9
Leverage-based capital metrics:     
Adjusted average assets(b)
$2,730,239
$2,353,432
 $2,730,239
$2,353,432
Tier 1 leverage ratio7.9%8.8% 7.9%8.8%
Total leverage exposureNA
NA
 $3,423,431
$3,044,509
SLRNA
NA
 6.3%6.8%
(a)The capital adequacy of the Firm and JPMorgan Chase Bank, N.A. is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced).
(b)
Adjusted average assets, for purposes of calculating the 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)
As of March 31,June 30, 2020, JPMorgan Chase’s total leverage exposure for purposes of calculating the SLR, excludes on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the interim final rule issued by the Federal Reserve on April 1, 2020. On June 1, 2020, the Federal Reserve, OCC and FDIC issued an interim final rule that provides IDI subsidiaries with an option to apply this temporary exclusion subject to certain restrictions. As of June 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion.
(d)
As of June 30, 2020, the capital measuresmetrics for the Firm reflect the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF. Additionally, loans originated under the PPP, in the Firm and JPMorgan Chase Bank, N.A. receive a zero percent risk weight.

Note 23 – 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 have historically been refinanced, extended, cancelled, or expired 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. Refer to Note 28 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of lending-related commitments and guarantees, and the Firm’s related accounting policies.
To provide for expected credit losses in wholesale and certain consumer lending-related commitments, an allowance for credit losses on lending-related commitments is maintained. Refer to Note 13 for further information regarding the allowance for credit losses on lending-related commitments, including the impact of the Firm’s adoption of the CECL accounting guidance on January 1, 2020.
 
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,June 30, 2020, and December 31, 2019. The amounts in the table below for credit card, home equity and certain scored business banking 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 and certain scored business banking 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.

In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied inwhen determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Off–balance sheet lending-related financial instruments, guarantees and other commitmentsOff–balance sheet lending-related financial instruments, guarantees and other commitments
Off–balance sheet lending-related financial instruments, guarantees and other commitments

Contractual amount
Carrying value(i)
Contractual amount
Carrying value(i)

March 31, 2020Dec 31,
2019

Mar 31,
2020
Dec 31,
2019
June 30, 2020Dec 31,
2019

Jun 30,
2020
Dec 31,
2019
By remaining maturity
(in millions)		Expires in 1 year or lessExpires after
1 year through
3 years		Expires after
3 years through
5 years		Expires after 5 yearsTotal

Expires in 1 year or lessExpires after
1 year through
3 years		Expires after
3 years through
5 years		Expires after 5 yearsTotal

Lending-related      
Consumer, excluding credit card:      
Residential real estate(a)
$13,109
$1,194
$2,743
$16,279
$33,325
$30,217
 $150
$12
$15,055
$1,310
$3,173
$15,864
$35,402
$30,217
 $241
$12
Auto and other7,549
1
39
621
8,210
9,952
 1
—
9,146
1
27
772
9,946
9,952
 —
—
Total consumer, excluding credit card20,658
1,195
2,782
16,900
41,535
40,169
 151
12
24,201
1,311
3,200
16,636
45,348
40,169
 241
12
Credit card(b)
681,442
—
—
—
681,442
650,720
 —
—
673,836
—
—
—
673,836
650,720
 —
—
Total consumer(b)(c)
702,100
1,195
2,782
16,900
722,977
690,889
 151
12
698,037
1,311
3,200
16,636
719,184
690,889
 241
12
Wholesale:      
Other unfunded commitments to extend credit(d)
73,560
107,538
131,902
10,383
323,383
376,107
 2,708
959
88,390
138,354
132,361
11,879
370,984
376,107
 1,920
959
Standby letters of credit and other financial guarantees(d)
15,527
9,944
4,630
1,720
31,821
34,242
 434
618
16,116
10,173
4,028
1,625
31,942
34,242
 482
618
Other letters of credit(d)
3,122
128
31
—
3,281
2,961
 8
4
2,466
82
19
—
2,567
2,961
 17
4
Total wholesale(c)
92,209
117,610
136,563
12,103
358,485
413,310
 3,150
1,581
106,972
148,609
136,408
13,504
405,493
413,310
 2,419
1,581
Total lending-related$794,309
$118,805
$139,345
$29,003
$1,081,462
$1,104,199
 $3,301
$1,593
$805,009
$149,920
$139,608
$30,140
$1,124,677
$1,104,199
 $2,660
$1,593
Other guarantees and commitments      
Securities lending indemnification agreements and guarantees(e)
$215,875
$—
$—
$—
$215,875
$204,827
 $—
$—
$218,273
$—
$—
$—
$218,273
$204,827
 $—
$—
Derivatives qualifying as guarantees1,242
118
10,899
40,365
52,624
53,089
 661
159
859
62
11,469
40,354
52,744
53,089
 388
159
Unsettled resale and securities borrowed agreements137,948
901
—
—
138,849
117,951
 30
—
148,288
1,234
—
—
149,522
117,951
 4
—
Unsettled repurchase and securities loaned agreements107,979
707
—
—
108,686
73,351
 7
—
112,424
562
—
—
112,986
73,351
 (1)—
Loan sale and securitization-related indemnifications:      
Mortgage repurchase liabilityNA
NA
NA
NA
NA
NA
 84
59
NA
NA
NA
NA
NA
NA
 85
59
Loans sold with recourseNA
NA
NA
NA
932
944
 28
27
NA
NA
NA
NA
904
944
 24
27
Exchange & clearing house guarantees and commitments(f)
177,587
—
—
—
177,587
206,432
 —
—
97,750
—
—
—
97,750
206,432
 —
—
Other guarantees and commitments(g)
4,861
1,123
272
3,026
9,282
9,083
(h) 
(83)(73)5,640
3,716
286
3,201
12,843
10,534
(h) 
(81)(73)
(a)Includes certain commitments to purchase loans from correspondents.
(b)Also includes commercial card lending-related commitments primarily in CB and CIB.
(c)Predominantly all consumer and wholesale lending-related commitments are in the U.S.
(d)At March 31,June 30, 2020, and December 31, 2019, reflected the contractual amount net of risk participations totaling $88$66 million and $76 million, respectively, for other unfunded commitments to extend credit; $9.3$9.0 billion and $9.8 billion, respectively, for standby letters of credit and other financial guarantees; and $267$290 million and $546 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(e)At March 31,June 30, 2020, and December 31, 2019, collateral held by the Firm in support of securities lending indemnification agreements was $229.4$229.6 billion and $216.2 billion, respectively. Securities lending collateral primarily consists of cash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(f)At March 31,June 30, 2020, and December 31, 2019, includes guarantees to the Fixed Income Clearing Corporation under the sponsored member repo program and commitments and guarantees associated with the Firm’s membership in certain clearing houses.
(g)At March 31,June 30, 2020, and December 31, 2019, primarily includes letters of credit hedged by derivative transactions and managed on a market risk basis, and unfunded commitments related to institutional lending. Additionally, includes unfunded commitments predominantly related to certain tax-oriented equity investments.
(h)The prior period amount hasPrior-period amounts have been revised to conform with the current period presentation.
(i)For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, and lending-related commitments for which the fair value option was elected, the carrying value represents the fair value. At March 31,June 30, 2020, includes net markdowns on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.


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.
 
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 contractual amount and carrying value of standby letters of credit and other financial guarantees and other letters of credit arrangements as of March 31,June 30, 2020, and December 31, 2019.
Standby letters of credit, other financial guarantees and other letters of credit
March 31, 2020 December 31, 2019June 30, 2020 December 31, 2019
(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
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)
$24,642
 $2,454
 $26,880
 $2,137
$23,952
 $1,837
 $26,880
 $2,137
Noninvestment-grade(a)
7,179
 827
 7,362
 824
7,990
 730
 7,362
 824
Total contractual amount$31,821
 $3,281
 $34,242
 $2,961
$31,942
 $2,567
 $34,242
 $2,961
              
Allowance for lending-related commitments$55
 $8
 $216
 $4
$126
 $17
 $216
 $4
Guarantee liability379
 —
 402
 —
356
 —
 402
 —
Total carrying value$434
 $8
 $618
 $4
$482
 $17
 $618
 $4
              
Commitments with collateral$17,006
 $710
 $17,853
 $728
$17,194
 $411
 $17,853
 $728
(a)The ratings scale is based on the Firm’s internal risk ratings. Refer to Note 12 for further information on internal risk ratings.
Derivatives qualifying as guarantees
The Firm transacts in certain derivative contracts that have the characteristics of a guarantee under U.S. GAAP. Refer to Note 28 of JPMorgan Chase’s 2019 Form 10-K for further information on these derivatives.
The following table summarizes the derivatives qualifying as guarantees as of March 31,June 30, 2020, and December 31, 2019.
(in millions)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
Notional amounts      
Derivative guarantees$52,624
 $53,089
$52,744
 $53,089
Stable value contracts with contractually limited exposure28,984
 28,877
28,874
 28,877
Maximum exposure of stable value contracts with contractually limited exposure2,977
 2,967
2,970
 2,967
      
Fair value      
Derivative payables661
 159
388
 159

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. Refer to Note 5 for a further discussion of credit derivatives.
 
Merchant charge-backs
Under the rules of payment networks, the Firm, in its role as a merchant acquirer, retains a contingent liability for disputed processed credit and debit card transactions that result in a charge-back to the merchant. If a dispute is resolved in the cardholder’s favor, Merchant Services will (through the cardholder’s issuing bank) credit or refund the amount to the cardholder and will charge back the transaction to the merchant. If Merchant Services is unable to collect the amount from the merchant, Merchant Services will bear the loss for the amount credited or refunded to the cardholder. Merchant Services mitigates this risk by withholding future settlements, retaining cash reserve accounts or obtaining other collateral. In addition, Merchant Services recognizes a valuation allowance that covers the payment or performance risk to the Firm related to charge-backs. The carrying value of the valuation allowance was $74$20 million and $11 million at March 31,June 30, 2020 and December 31, 2019, respectively.

Loan sales- and securitization-related indemnifications
In connection with the Firm’s mortgage loan sale and securitization activities with GSEs 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. Refer to Note 28 of JPMorgan Chase’s 2019 Form 10-K for additional information.
The liability related to repurchase demands associated with private label securitizations is separately evaluated by the Firm in establishing its litigation reserves. Refer to Note 25 of this Form 10-Q and Note 30 of JPMorgan Chase’s 2019 Form 10-K for additional information regarding litigation.
Sponsored member repo program
The Firm acts as a sponsoring member to clear eligible overnight resale and repurchase agreements through the Government Securities Division of the Fixed Income Clearing Corporation (“FICC”) on behalf of clients that become sponsored members under the FICC’s rules. The Firm also guarantees to the FICC the prompt and full payment and performance of its sponsored member clients’ respective obligations under the FICC’s rules. The Firm minimizes its liability under these overnight guarantees by obtaining a security interest in the cash or high-quality securities collateral that the clients place with the clearing house therefore the Firm expects the risk of loss to be remote. The Firm’s maximum possible exposure, without taking into consideration the associated collateral, is included in the Exchange & clearing house guarantees and commitments line on page 162.179. Refer to Note 11 of JPMorgan Chase’s 2019 Form 10-K for additional information on credit risk mitigation practices on resale agreements and the types of collateral pledged under repurchase agreements.
Guarantees of subsidiaries
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. These guarantees, which rank on a parity with the Firm’s unsecured and unsubordinated indebtedness, are not included in the table on page 162179 of this Note. Refer to Note 20 of JPMorgan Chase’s 2019 Form 10-K for additional information.

 
Note 24 – Pledged assets and collateral
Refer to Note 29 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s pledged assets and collateral.
Pledged assets
The Firm pledges financial assets that it owns to maintain potential borrowing capacity at discount windows with Federal Reserve banks, various other central banks and FHLBs. Additionally, the Firm pledges assets for other purposes, including to collateralize repurchase and other securities financing agreements, to cover short sales and to collateralize derivative contracts and deposits. 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)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
Assets that may be sold or repledged or otherwise used by secured parties$164.6
 $125.2
$189.7
 $125.2
Assets that may not be sold or repledged or otherwise used by secured parties111.6
 80.2
108.6
 80.2
Assets pledged at Federal Reserve banks and FHLBs(a)
507.3
 478.9
479.6
 478.9
Total pledged assets$783.5
 $684.3
$777.9
 $684.3
(a)Includes assets pledged to the Federal Reserve under the MMLF PDCF and the Federal Reserve’s open market operations.
Total pledged assets do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. Refer to Note 14 for additional information on assets and liabilities of consolidated VIEs. Refer to Note 11 for additional information on the Firm’s securities financing activities. Refer to Note 20 of JPMorgan Chase’s 2019 Form 10-K for additional information on the Firm’s long-term debt.
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 and other securities financing agreements, prime brokerage-related held-for-investment customer receivables and derivative contracts. Collateral is generally used under repurchase and other securities financing agreements, to cover short sales and to collateralize derivative contracts and deposits.
The following table presents the fair value of collateral accepted.
(in billions)March 31, 2020
 December 31, 2019
June 30, 2020
 December 31, 2019
Collateral permitted to be sold or repledged, delivered, or otherwise used$1,373.7
 $1,282.5
$1,282.3
 $1,282.5
Collateral sold, repledged, delivered or otherwise used(a)
1,058.3
 1,000.5
985.3
 1,000.5
(a)Includes collateral repledged to the Federal Reserve under the Federal Reserve’s open market operations and PDCF.operations.

Note 25 – Litigation
Contingencies
As of March 31,June 30, 2020, the Firm and its subsidiaries and affiliates are defendants, putative defendants or respondents 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 several 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 $1.3$1.7 billion at March 31,June 30, 2020. This estimated aggregate range of reasonably possible losses was based upon information available as of that date 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.
Amrapali. India’s Enforcement Directorate (“ED”) is investigating JPMorgan India Private Limited in connection with investments made in 2010 and 2012 by 2 offshore funds formerly managed by JPMorgan Chase entities into residential housing projects developed by the Amrapali Group (“Amrapali”). In 2017, numerous creditors filed civil claims against Amrapali including petitions brought by home buyers relating to delays in delivering or failure to deliver residential units. The home buyers’ petitions have been overseen by the Supreme Court of India since 2017 pursuant to its jurisdiction over public interest litigation. In July 2019, the Supreme Court of India issued an order making preliminary findings that Amrapali and other parties, including unspecified JPMorgan Chase entities and the offshore funds that had invested in the projects, violated certain currency control and money laundering provisions, and ordering the ED to conduct a further inquiry under India’s Prevention of Money Laundering Act (“PMLA”) and Foreign Exchange Management Act (“FEMA”). In May 2020, the Enforcement Directorate issued a provisional attachment order as part of the criminal PMLA proceedings freezing approximately $25 million held by JPMorgan India Private Limited. In June 2020, the funds were transferred to an account held by the Supreme Court of India. A separate civil proceeding relating to alleged FEMA violations is ongoing. The Firm is responding to and cooperating with the investigation.    
Federal Republic of Nigeria Litigation. JPMorgan Chase Bank, N.A. operated an escrow and depository account for the Federal Government of Nigeria (“FGN”) and two major international oil companies. The account held approximately $1.1 billion in connection with a dispute among the clients over rights to an oil field. Following the settlement of the dispute, JPMorgan Chase Bank, N.A. paid out the monies in the account in 2011 and 2013 in accordance with directions received from its clients. In November 2017, the Federal Republic of Nigeria (“FRN”) commenced a claim in the English High Court for approximately $875 million in payments made out of the accounts. The FRN, claiming to be the same entity as the FGN, alleges that the payments were instructed as part of a complex fraud not involving JPMorgan Chase Bank, N.A., but that JPMorgan Chase Bank, N.A. was or should have been on notice that the payments may be fraudulent. JPMorgan Chase Bank, N.A. applied for summary judgment and was unsuccessful. The claim is ongoing and no trial date has been set.
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. Among those resolutions, 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 term of probation has concluded, with the Firm remaining in good standing throughout the probation period. 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. A South Africa Competition Commission matter is the remaining FX-related governmental inquiry, and is currently pending before the South Africa Competition Tribunal.
In August 2018, the United States District Court for the Southern District of New York granted final approval to the Firm’s settlement of a consolidated class action brought by U.S.-based plaintiffs, which principally alleged violations of federal antitrust laws based on an alleged conspiracy to manipulate foreign exchange rates and also sought damages on behalf of persons who transacted in FX futures and options on futures. Certain members of the settlement class filed requests to the Court to be excluded from the class, and certain of them filed a complaint against the Firm and a number of other foreign exchange dealers in

November 2018. A number of these actions remain pending. Further, putative class actions have been filed against the Firm and a number of other foreign exchange dealers on behalf of certain consumers who purchased foreign currencies at allegedly inflated rates and purported indirect purchasers of FX instruments; these actions also remain pending in the District Court. In January 2020, the Firm and 11 other defendants agreed in principle to settle the class action filed by purported indirect purchasers for a total of $10 million. That settlement remains subject to negotiation of final documentation and court approval. In addition, some FX-related individual and putative class actions based on similar alleged underlying conduct have been filed outside the U.S., including in the U.K., Israel and Australia.
Interchange Litigation. Groups 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 related rules in violation of antitrust laws. In 2012, the parties initially settled the cases for a cash payment, a temporary reduction of credit card interchange, and modifications to certain credit card network rules. In 2017, after the approval of that settlement was reversed on appeal, the case was remanded to the United States District Court for the Eastern District of New York for further proceedings consistent with the appellate decision.
The original class action was divided into 2 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. Pursuant to this settlement, the defendants collectively contributed an additional $900 million to the approximately $5.3 billion previously held in escrow from the original settlement. In December 2019, the amended agreement was approved by the District Court. Certain merchants filed notices of appeal ofappealed the District Court’s approval order.order, and those appeals are pending. Based on the percentage of merchants that opted out of the amended class settlement, $700 million has been returned to the defendants from the settlement escrow in accordance with the settlement agreement. 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 some of those actions remain pending.
LIBOR and Other Benchmark Rate Investigations and Litigation. JPMorgan Chase has responded to inquiries from various governmental agencies and entities around the world relating primarily to the British Bankers Association’s London Interbank Offered Rate (“LIBOR”) for various currencies and the European Banking Federation’s Euro Interbank Offered Rate (“EURIBOR”). The Swiss Competition Commission’s investigation relating to EURIBOR, to which
the Firm and other banks are subject, continues. In December 2016, the European Commission 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 related to benchmarks, including U.S. dollar LIBOR during the period that it was administered by the BBA and, in a separate consolidated putative class action, during the period that it was administered by ICE Benchmark Administration. 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 actions are in various stages of litigation.
In actions related to U.S. dollar LIBOR during the period that it was administered by the BBA, the Firm has resolved certain of these actions, and others are in various stages of litigation. 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 certain claims to proceed, including

antitrust, Commodity Exchange Act, Section 10(b) of the Securities Exchange Act and common law claims. The plaintiffs whose antitrust claims were dismissed for lack of standing have filed an appeal. The District Court granted class certification of antitrust claims related to bonds and interest rate swaps sold directly by the defendants and denied class certification motions filed by other plaintiffs. In the consolidated putative class action related to the time period that U.S. dollar LIBOR was administered by ICE Benchmark Administration, the District Court granted defendants’ motion to dismiss plaintiffs’ complaint, and the plaintiffs have appealed. The Firm’s settlements of putative class actions related to Swiss franc LIBOR, the Singapore Interbank Offered Rate and the Singapore Swap Offer Rate (“SIBOR”), the Australian Bank Bill Swap Reference Rate, and certain of the putative class actions related to U.S. dollar LIBOR remain subject to court approval. In the class actions related to SIBOR and Swiss franc LIBOR, the District Court concluded that the Court lacked subject matter jurisdiction, and plaintiffs’ appeals of those decisions are pending.
Metals and U.S. Treasuries Investigations and Litigation and Related Inquiries. Various authorities, including the Department of Justice’s Criminal Division, are conducting investigations relating to trading practices in the metals markets and related conduct. The Firm also is responding to related requests concerning similar trading-practices issues in markets for other financial instruments, such as U.S.

Treasuries. The Firm continues to cooperate with these investigations and is currently engaged in discussions with various regulators about resolving their respective investigations. There is no assurance that such discussions will result in settlements. Several putative class action complaints have been filed in the United States District Court for the Southern District of New York against the Firm and certain former employees, alleging a precious metals futures and options price manipulation scheme in violation of the Commodity Exchange Act. Some of the complaints also allege unjust enrichment and deceptive acts or practices under the General Business Law of the State of New York. The Court consolidated these putative class actions in February 2019.2019, and the consolidated action is stayed through May 2021. In addition, several putative class actions have been filed in the United States District Courts for the Northern District of Illinois and Southern District of New York against the Firm, alleging manipulation of U.S. Treasuries futures and options, and bringing claims under the Commodity Exchange Act. Some of the complaints also allege unjust enrichment. A motion is pending before the United States Judicial Panel on Multidistrict Litigation to transfer and consolidate or coordinate the actions. The Firm is also a defendant in a consolidated action filed in the United States District Court for the Southern District of New York alleging monopolization of silver futures in violation of the Sherman Act.
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. 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, France’s highest court, ruled in September 2018 that a mise en examen is a prerequisite for an ordonnance de renvoi and in January 2020 ordered the annulment of the ordonnance de renvoi referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel. 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, upwardsupward or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense/(benefit) was $197$118 million and $(81)$69 million for the three months ended March 31,June 30, 2020 and 2019, respectively.respectively, and $315 million and $(12) million for the six months ended June 30, 2020 and 2019. 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 26 – Business segments
The Firm is managed on an LOB basis. There are 4 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 the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Segment results below, and Note 32 of JPMorgan Chase’s 2019 Form 10-K for a further discussion concerning JPMorgan Chase’s business segments.
Segment results
The following tables provide a summary of the Firm’s segment results as of or for the three and six months ended March 31,June 30, 2020 and 2019, 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. Refer to Note 32 of JPMorgan Chase’s 2019 Form 10-K for additional information on the Firm’s managed basis.
 
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. Periodically, the assumptions and methodologies used to allocate capital are assessed and as a result, the capital allocated to the LOBs may change. Refer to Line of business equity on page 90 of JPMorgan Chase’s 2019 Form 10-K for additional information on business segment capital allocation.
Business segment changes
In the first quarter of 2020, the Firm began reporting a Wholesale Payments business unit within CIB following a realignment of the Firm’s wholesale payments businesses. The Wholesale Payments business comprises:
Merchant Services, which was realigned from CCB to CIB
Treasury Services and Trade Finance in CIB. Trade Finance was previously reported in Lending in CIB.
In connection with the alignment of Wholesale Payments, the assets, liabilities and headcount associated with the Merchant Services business were realigned to CIB from CCB, and the revenue and expenses of the Merchant Services business is reported across CCB, CIB and CB based primarily on client relationships. Prior periods have been revised to reflect this realignment and revised allocation methodology.
Segment results and reconciliation(a)
Segment results and reconciliation(a)
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
2020
2019
 2020
2019
 2020
2019
 2020
2019
As of or for the three months ended June 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
 Corporate &
Investment Bank		 Commercial Banking Asset & Wealth Management
2020
2019
 2020
2019
 2020
2019
 2020
2019
Noninterest revenue$4,018
$4,085
 $6,841
$7,836
 $621
$733
 $2,709
$2,593
$4,116
$4,104
 $12,273
$7,660
 $815
$623
 $2,720
$2,683
Net interest income9,153
9,405
 3,107
2,198
 1,557
1,680
 897
896
8,101
9,380
 4,079
2,171
 1,577
1,662
 890
876
Total net revenue13,171
13,490
 9,948
10,034
 2,178
2,413
 3,606
3,489
12,217
13,484
 16,352
9,831
 2,392
2,285
 3,610
3,559
Provision for credit losses5,772
1,314
 1,401
87
 1,010
90
 94
2
5,828
1,120
 1,987
—
 2,431
29
 223
2
Noninterest expense7,161
6,970
 5,896
5,629
 988
938
 2,659
2,647
6,626
6,836
 6,764
5,661
 899
931
 2,506
2,596
Income before income tax expense238
5,206
 2,651
4,318
 180
1,385
 853
840
Income tax expense47
1,259
 663
1,058
 33
325
 189
179
Net income$191
$3,947
 $1,988
$3,260
 $147
$1,060
 $664
$661
Income/(loss) before income tax expense/(benefit)(237)5,528
 7,601
4,170
 (938)1,325
 881
961
Income tax expense/(benefit)(61)1,371
 2,137
1,224
 (247)323
 223
242
Net income/(loss)$(176)$4,157
 $5,464
$2,946
 $(691)$1,002
 $658
$719
Average equity$52,000
$52,000
 $80,000
$80,000
 $22,000
$22,000
 $10,500
$10,500
$52,000
$52,000
 $80,000
$80,000
 $22,000
$22,000
 $10,500
$10,500
Total assets506,147
539,127
 1,217,459
1,019,470
 247,786
216,111
 186,102
165,865
492,251
536,758
 1,080,761
976,430
 234,934
220,712
 183,189
172,149
ROE1%30% 9%16% 2%19% 25%25%(2)%31% 27%14% (14)%17% 24%27%
Overhead ratio54
52
 59
56
 45
39
 74
76
54
51
 41
58
 38
41
 69
73
As of or for the three months ended March 31,
(in millions, except ratios)		Corporate 
Reconciling Items(a)
 Total
2020
2019
 2020
2019
 2020
2019
As of or for the three months ended June 30,
(in millions, except ratios)		Corporate 
Reconciling Items(a)
 
Total(b)
2020
2019
 2020
2019
 2020
2019
Noninterest revenue$331
$8
 $(708)$(585) $13,812
$14,670
$(67)$(125) $(730)$(596) $19,127
$14,349
Net interest income(165)417
 (110)(143) 14,439
14,453
(687)447
 (107)(138) 13,853
14,398
Total net revenue166
425
 (818)(728) 28,251
29,123
(754)322
 (837)(734) 32,980
28,747
Provision for credit losses8
2
 —
—
 8,285
1,495
4
(2) —
—
 10,473
1,149
Noninterest expense146
211
 —
—
 16,850
16,395
147
232
 —
—
 16,942
16,256
Income/(loss) before income tax expense/(benefit)12
212
 (818)(728) 3,116
11,233
(905)92
 (837)(734) 5,565
11,342
Income tax expense/(benefit)137
(39) (818)(728) 251
2,054
(337)(736) (837)(734) 878
1,690
Net income/(loss)$(125)$251
 $—
$—
 $2,865
$9,179
$(568)$828
 $—
$—
 $4,687
$9,652
Average equity$70,030
$65,551
 $—
$—
 $234,530
$230,051
$69,908
$68,526
 $—
$—
 $234,408
$233,026
Total assets981,937
796,615
 NA
NA
 3,139,431
2,737,188
1,221,980
821,330
 NA
NA
 3,213,115
2,727,379
ROENM
NM
 NM
NM
 4%16%NM
NM
 NM
NM
 7%16%
Overhead ratioNM
NM
 NM
NM
 60
56
NM
NM
 NM
NM
 51
57

(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.
(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.

Segment results and reconciliation(a)
As of or for the six months ended June 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
 Corporate &
Investment Bank		 Commercial Banking Asset & Wealth Management
2020
2019
 2020
2019
 2020
2019
 2020
2019
Noninterest revenue$8,075
$8,142
 $19,114
$15,496
 $1,436
$1,356
 $5,429
$5,276
Net interest income17,254
18,785
 7,186
4,369
 3,134
3,342
 1,787
1,772
Total net revenue25,329
26,927
 26,300
19,865
 4,570
4,698
 7,216
7,048
Provision for credit losses11,600
2,434
 3,388
87
 3,441
119
 317
4
Noninterest expense13,728
13,759
 12,660
11,290
 1,887
1,869
 5,165
5,243
Income/(loss) before income tax expense/(benefit)1
10,734
 10,252
8,488
 (758)2,710
 1,734
1,801
Income tax expense/(benefit)(14)2,630
 2,800
2,282
 (214)648
 412
421
Net income/(loss)$15
$8,104
 $7,452
$6,206
 $(544)$2,062
 $1,322
$1,380
Average equity$52,000
$52,000
 $80,000
$80,000
 $22,000
$22,000
 $10,500
$10,500
Total assets492,251
536,758
 1,080,761
976,430
 234,934
220,712
 183,189
172,149
Return on equity(1)%31% 18%15% (6)%18% 24%26%
Overhead ratio54
51
 48
57
 41
40
 72
74
As of or for the six months ended June 30,
(in millions, except ratios)		Corporate 
Reconciling Items(a)
 
Total(b)
2020
2019
 2020
2019
 2020
2019
Noninterest revenue$264
$(117) $(1,438)$(1,181) $32,880
$28,972
Net interest income(852)864
 (217)(281) 28,292
28,851
Total net revenue(588)747
 (1,655)(1,462) 61,172
57,823
Provision for credit losses12
—
 —
—
 18,758
2,644
Noninterest expense293
443
 —
—
 33,733
32,604
Income/(loss) before income tax expense/(benefit)(893)304
 (1,655)(1,462) 8,681
22,575
Income tax expense/(benefit)(200)(775) (1,655)(1,462) 1,129
3,744
Net income/(loss)$(693)$1,079
 $—
$—
 $7,552
$18,831
Average equity$69,969
$67,047
 $—
$—
 $234,469
$231,547
Total assets1,221,980
821,330
 NA
NA
 3,213,115
2,727,379
Return on equityNM
NM
 NM
NM
 6%16%
Overhead ratioNM
NM
 NM
NM
 55
56
(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.
(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.






pwclogobwaa10.jpg
Report of Independent Registered Public Accounting Firm


To the Board of Directors and Shareholders of JPMorgan Chase & Co.:
Results of Review of Interim Financial Statements
We have reviewed the accompanying consolidated balance sheet of JPMorgan Chase & Co. and its subsidiaries (the “Firm”) as of March 31,June 30, 2020, and the related consolidated statements of income, comprehensive income, and changes in stockholders’ equity for the three-month and six-month periods ended June 30, 2020 and 2019 and the consolidated statements of cash flows for the three-monthsix-month periods ended March 31,June 30, 2020 and 2019, 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, 2019, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for the year then ended (not presented herein), and in our report dated February 25, 2020, 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, 2019, 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.
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May 7,August 3, 2020
























PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017

JPMorgan Chase & Co.Consolidated average balance sheets, interest and rates (unaudited)(Taxable-equivalent interest and rates; in millions, except rates)
      
Three months ended March 31, 2020 Three months ended March 31, 2019Three months ended June 30, 2020 Three months ended June 30, 2019
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$279,748
$569
 0.82% $290,281
$1,170
 1.64 $477,895
$70
 0.06 % $289,838
$1,132
 1.57 
Federal funds sold and securities purchased under resale agreements253,403
1,095
 1.74
 288,478
1,647
 2.32 244,306
601
 0.99
 288,781
1,676
 2.33 
Securities borrowed136,127
152
 0.45
 123,467
397

1.30 141,328
(175) (0.50)
(g) 
 126,157
467

1.48 
Trading assets – debt instruments346,911
2,472
 2.87
 322,541
2,782
 3.50 380,442
2,363
 2.50
 351,716
2,927
 3.34 
Taxable securities388,223
2,233
 2.31
 220,817
1,705
 3.13 466,324
2,154
 1.86
 244,814
1,875
 3.07 
Nontaxable securities(a)
33,306
365
 4.41
 38,583
453
 4.76 33,930
373
 4.42
 36,418
422
 4.65 
Total investment securities421,529
2,598
 2.48
(g) 
 259,400
2,158
 3.37
(g) 
500,254
2,527
 2.03
(h) 
 281,232
2,297
 3.28
(h) 
Loans962,820
11,966
 5.00
 968,019
12,920
 5.41 997,558
10,655
 4.30
 954,854
12,770
 5.36 
All other interest-earning assets(b)
65,194
419
 2.58
 46,708
458
 3.98 78,072
178
 0.92
 46,516
472
 4.07 
Total interest-earning assets2,465,732
19,271
 3.14
 2,298,894
21,532
 3.80 2,819,855
16,219
 2.31
 2,339,094
21,741
 3.73 
Allowance for loan losses(17,357)    (13,532)  (23,287)    (13,428)  
Cash and due from banks21,668
    21,458
  22,169
    20,651
  
Trading assets – equity and other instruments114,479
    108,598
  99,115
    120,545
  
Trading assets – derivative receivables66,309
    52,522
  79,298
    52,659
  
Goodwill, MSRs and other intangible assets
52,690
    54,302
  51,785
    54,144
  
All other noninterest-earning assets186,711
    162,472
  180,333
    165,390
  
Total assets$2,890,232
    $2,684,714
  $3,229,268
    $2,739,055
  
Liabilities            
Interest-bearing deposits$1,216,555
$1,575
 0.52% $1,080,274
$2,188
 0.82 $1,375,213
$349
 0.10 % $1,104,051
$2,413
 0.88 
Federal funds purchased and securities loaned or sold under repurchase agreements243,922
787
 1.30
 209,065
1,110
 2.15 276,815
131
 0.19
 227,313
1,226
 2.16 
Short-term borrowings(c)
37,288
151
 1.63
 67,074
427
 2.59 45,297
124
 1.11
 58,262
363
 2.49 
Trading liabilities – debt and all other interest-bearing
liabilities(d)(e)
192,950
372
 0.77
 183,478
719
 1.59 207,322
(43) (0.08)
(g) 
 191,655
762
 1.60 
Beneficial interests issued by consolidated VIEs18,048
90
 2.02
 22,829
150
 2.66 20,331
59
 1.15
 26,713
175
 2.63 
Long-term debt243,996
1,747
 2.88
 248,302
2,342
 3.82 269,336
1,639
 2.45
 246,053
2,266
 3.69 
Total interest-bearing liabilities1,952,759
4,722
 0.97
 1,811,022
6,936
 1.55 2,194,314
2,259
 0.41
 1,854,047
7,205
 1.56 
Noninterest-bearing deposits419,631
    399,468
  515,304
    408,243
  
Trading liabilities – equity and other instruments(e)
30,721
    34,734
  33,797
    30,170
  
Trading liabilities – derivative payables54,990
    39,567
  63,178
    40,233
  
All other liabilities, including the allowance for lending-related commitments168,195
    142,746
  158,204
    146,343
  
Total liabilities2,626,296
    2,427,537
  2,964,797
    2,479,036
  
Stockholders’ equity            
Preferred stock29,406
    27,126
  30,063
    26,993
  
Common stockholders’ equity234,530
    230,051
  234,408
    233,026
  
Total stockholders’ equity263,936
    257,177
  264,471
    260,019
  
Total liabilities and stockholders’ equity$2,890,232
    $2,684,714
  $3,229,268
    $2,739,055
  
Interest rate spread  2.17%   2.25   1.90 %   2.17 
Net interest income and net yield on interest-earning assets $14,549
 2.37
  $14,596
 2.57  $13,960
 1.99
  $14,536
 2.49 
(a)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(b)Includes prime brokerage-related held-for-investment customer receivables, 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)All other interest-bearing liabilities include prime brokerage-related customer payables.
(e)The combined balance of trading liabilities – debt and equity instruments was $101.1$108.9 billion and $107.0$111.0 billion for the three months ended March 31,June 30, 2020 and 2019, respectively.
(f)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(g)Negative interest income and yield are related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other interest-bearing liabilities.
(h)The annualized rate for securities based on amortized cost was 2.52%2.07% and 3.40%3.32% for the three months ended March 31,June 30, 2020 and 2019, respectively, and 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)
    
  Six months ended June 30, 2020 Six months ended June 30, 2019
 Average
balance
Interest(f)
 Rate
(annualized)		 Average
balance
Interest(f)
 Rate
(annualized)
Assets           
Deposits with banks$378,821
$639
 0.34 %  $290,058
$2,302
 1.60% 
Federal funds sold and securities purchased under resale agreements248,856
1,696
 1.37
  288,631
3,323
 2.32
 
Securities borrowed138,728
(23) (0.03)
(g) 
 124,820
864
 1.40
 
Trading assets – debt instruments363,676
4,835
 2.67
  337,209
5,709
 3.41
 
Taxable securities427,270
4,387
 2.06
  232,880
3,580
 3.10
 
Nontaxable securities(a)
33,621
738
 4.41
  37,496
875
 4.71
 
Total investment securities460,891
5,125
 2.24
(h) 
 270,376
4,455
 3.32
(h) 
Loans980,189
22,621
 4.64
  961,400
25,690
 5.39
 
All other interest-earning assets(b)
71,633
597
 1.68
  46,611
930
 4.03
 
Total interest-earning assets2,642,794
35,490
 2.70
  2,319,105
43,273
 3.76
 
Allowance for loan losses(20,322)     (13,480)    
Cash and due from banks21,918
     21,052
    
Trading assets – equity and other instruments106,797
     114,605
    
Trading assets – derivative receivables72,803
     52,591
    
Goodwill, MSRs and other intangible assets
52,238
     54,222
    
All other noninterest-earning assets183,522
     163,940
    
Total assets$3,059,750
     $2,712,035
    
Liabilities           
Interest-bearing deposits$1,295,884
$1,924
 0.30 %  $1,092,228
$4,601
 0.85% 
Federal funds purchased and securities loaned or sold under repurchase agreements260,368
918
 0.71
  218,240
2,336
 2.16
 
Short-term borrowings(c)
41,292
275
 1.34
  62,643
790
 2.54
 
Trading liabilities – debt and all other interest-bearing liabilities(d)(e)
200,138
329
 0.33
(g) 
 187,590
1,481
 1.59
 
Beneficial interests issued by consolidated VIEs19,189
149
 1.56
  24,782
325
 2.64
 
Long-term debt256,666
3,386
 2.65
  247,171
4,608
 3.76
 
Total interest-bearing liabilities2,073,537
6,981
 0.68
  1,832,654
14,141
 1.56
 
Noninterest-bearing deposits467,467
     403,880
    
Trading liabilities – equity and other instruments(e)
32,259
     32,440
    
Trading liabilities – derivative payables59,084
     39,902
    
All other liabilities, including the allowance for lending-related commitments163,200
     144,553
    
Total liabilities2,795,547
     2,453,429
    
Stockholders’ equity           
Preferred stock29,734
     27,059
    
Common stockholders’ equity234,469
     231,547
    
Total stockholders’ equity264,203
     258,606
    
Total liabilities and stockholders’ equity$3,059,750
     $2,712,035
    
Interest rate spread   2.02 %     2.20% 
Net interest income and net yield on interest-earning assets $28,509
 2.17
   $29,132
 2.53
 
(a)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(b)Includes prime brokerage-related held-for-investment customer receivables, 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 prime brokerage-related customer payables.
(e)The combined balance of trading liabilities – debt and equity instruments were $105.0 billion and $109.0 billion for the six months ended June 30, 2020 and 2019, respectively.
(f)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(g)Negative interest income and yield are related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other liabilities.
(h)The annualized rate for securities based on amortized cost was 2.27% and 3.36% and for the six months ended June 30, 2020 and 2019, respectively, and does not give effect to changes in fair value that are reflected in AOCI.

GLOSSARY OF TERMS AND ACRONYMS
2019 Form 10-K: Annual report on Form 10-K for year ended December 31, 2019, 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 retained loans: represents period-end allowance for loan losses divided by retained loans.
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income/(loss)
ARM(s): Adjustable rate mortgage(s)
AUC: “Assets under custody”: Represents assets held directly or indirectly on behalf of clients under safekeeping, custody and servicing arrangements.
Auto loan and lease origination volume: Dollar amount of auto loans and leases originated.
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
Bridge Financing Portfolio: A portfolio of held-for-sale unfunded loan commitments and funded loans. The unfunded commitments include both short-term bridge loan commitments that will ultimately be replaced by longer term financing as well as term loan commitments. The funded loans include term loans and funded revolver facilities.
CB: Commercial Banking
CBB: Consumer & Business Banking
CCAR: Comprehensive Capital Analysis and Review
CCB: Consumer & Community Banking
CDS: Credit default swaps
CECL: Current Expected Credit Losses
CEO: Chief Executive Officer
CET1 capital: Common equity Tier 1 capital
 
CFTC: Commodity Futures Trading Commission
CFO: Chief Financial Officer
CIB: Corporate & Investment Bank
CIO: Chief Investment Office
Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
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.
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 substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty, including when foreclosure is deemed probable based on borrower delinquency.
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.
CPFF: Commercial Paper Funding Facility
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 adjustment
DVA: Debit valuation adjustment
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.
Expense categories:
Volume- and revenue-related expenses generally correlate with changes in the related business/transaction volume or revenue. Examples of volume- and revenue-related expenses include commissions and incentive compensation, depreciation expense related to operating lease assets, and brokerage expense related to equities trading transaction volume.
Investments include expenses associated with supporting medium- to longer-term strategic plans of the Firm. Examples of investments include initiatives in technology (including related compensation), marketing, and compensation for new bankers and client advisors.
Structural expenses are those associated with the day-to-day cost of running the bank and are expenses not covered by the above two categories. Examples of structural expenses include employee salaries and benefits, as well as noncompensation costs such as real estate and all other expenses.
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FCA: Financial Conduct Authority
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
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.
Follow-on offering: An issuance of shares following a company's IPO.
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.
FRBB: Federal Reserve Bank of Boston
FRBNY: Federal Reserve Bank of New York
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.
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
GSIB: Global systemically important banks
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
IBOR: Interbank Offered Rate
IDI: Insured depository institutions
IHC: JPMorgan Chase Holdings LLC, an intermediate holding company
IPO: Initial public offering
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
J.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
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.
Managed basis: A non-GAAP presentation of Firmwide financial results that includes reclassifications to present revenue on a fully taxable-equivalent basis. Management also uses this financial measure at the segment level, because it believes this provides information to enable investors to understand the underlying operational performance and trends of the particular business segment and facilitates a comparison of the business segment with the performance of competitors.
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.
Merchant Services: offers merchants payment processing capabilities, fraud and risk management, data and analytics, and other payments services. Through Merchant Services, merchants of all sizes can accept payments via credit and debit cards and payments in multiple currencies.
MEV: Macroeconomic variable
MBS: Mortgage-backed securities
MD&A: Management’s discussion and analysis
MMLF: Money Market Mutual Fund Liquidity Facility
MMMF: Money market mutual funds
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.
NAV: Net Asset Value
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 generally tied to sales transactions.
•
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
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.
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income/(loss)
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.
PCD: “Purchased credit deteriorated” assets represent acquired financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Firm.
PCI: “Purchased credit-impaired” loans represented certain loans that were acquired and deemed to be credit-impaired on the acquisition date. The superseded FASB guidance allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios, FICO scores, past due status, geographic location). A pool was then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows.
PD: Probability of default
PDCF: Primary Dealer Credit Facility
Phishing: a type of social engineering cyberattack received through email or online messages.
PPP: Paycheck Protection Program
PRA: Prudential Regulation 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
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
ROU assets: Right-of-use assets
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 for credit 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.
Scored portfolios: Consumer loan portfolios that predominantly include residential real estate loans, credit card loans, auto loans to individuals and certain small business loans.
S&P: Standard and Poors
SAR(s): Stock appreciation rights
SCB:Stress capital buffer
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.
Shelf Deals: Shelf offerings are SEC provisions that allow issuers to register for new securities without selling the entire issuance at once. Since these issuances are filed with the SEC but are not yet priced in the market, they are not included in the league tables until the actual securities are issued.
Single-name: Single reference-entities
SLR: Supplementary leverage ratio
SMBS: Stripped mortgage-backed securities
SMCCF: Secondary Market Corporate Credit Facility
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
SPV: Special purpose vehicle
Structural interest rate risk: represents interest rate risk of the non-trading assets and liabilities of the Firm.
Structured notes: Structured notes are financial instruments whose 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. Contractual cash flows for principal, interest, or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Suspended foreclosures: Loans referred to foreclosure where formal foreclosure proceedings have started but are currently on hold, which could be due to bankruptcy or loss mitigation. Includes both judicial and non-judicial states.
TALF: Term Asset-Backed Securities Loan Facility
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. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
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. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac which are U.S. government-sponsored enterprises (“U.S. GSEs”). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.

U.S. GAAP: Accounting principles generally accepted in the United States of America.
U.S. GSE(s): “U.S. government-sponsored enterprises” are quasi-governmental, privately-held entities established or

chartered by the U.S. government to serve public purposes as specified by the U.S. 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 or FHA. 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.

LINE OF BUSINESS METRICS
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 mortgage servicing revenue: Includes operating revenue earned from servicing third-party mortgage loans, which is recognized over the period in which the service is provided; changes in the fair value of MSRs; the impact of risk management activities associated with MSRs; and gains and losses on securitization of excess mortgage servicing. Net mortgage servicing revenue also includes gains and losses on sales and lower of cost or fair value adjustments of certain repurchased loans insured by U.S. government agencies.
Net production revenue: Includes fees and income recognized as earned on mortgage loans originated with the intent to sell, and the impact of risk management activities associated with the mortgage pipeline and warehouse loans. Net production revenue also includes gains and losses on sales and lower of cost or fair value adjustments on mortgage loans held-for-sale (excluding certain repurchased loans insured by U.S. government agencies), and changes in the fair value of financial instruments measured under the fair value option.
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.
Credit Card: is a business that primarily issues credit cards to consumers and small businesses.
Net revenue rate: represents Credit Card 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 LOBs.
Wholesale Payments includes the following:
•
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, automated clearing house, lockbox, disbursement and reconciliation services, check deposits, and currency-related services;
•
Merchant Services: primarily processes transactions for merchants; and
•
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.
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.
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 brokerage.
Securities Services: primarily includes custody, fund accounting and administration, and securities lending products sold principally to asset managers, insurance companies and public and private investment funds. Also includes collateral management and depositary receipts businesses which provide 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”)
Commercial Banking provides comprehensive financial solutions, including lending, wholesale payments, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.
Middle Market Banking: covers small business and midsized corporations,companies, local governments and nonprofit clients.
Corporate Client Banking: covers large corporations.
Commercial Real Estate Banking: covers investors, developers, and owners of multifamily, office, retail, industrial and affordable housing properties.
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.
Wholesale payments: 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.
Refer to the Market Risk Management section of Management’s discussion and analysis and pages 119–126 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the quantitative and qualitative disclosures about market risk.
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. Refer to Exhibits 31.1 and 31.2 for the Certifications furnished by the Chairman and Chief Executive Officer and Chief Financial Officer, respectively.
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 may 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 control in the future and collateral consequences therefrom. Refer to “Management’s report on internal control over financial reporting” on page 142 of JPMorgan Chase’s 2019 Form 10-K for further information. 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,June 30, 2020, 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.
Refer to the discussion of the Firm’s material legal proceedings in Note 25 of this Form 10-Q for information that updates the disclosures set forth under Part I, Item 3: Legal Proceedings, in JPMorgan Chase’s 2019 Form 10-K.
Item 1A. Risk Factors.
The following discussion supplements the discussion of risk
factors affecting the Firm as set forth in Part I, Item 1A:
Risk Factors on pages 6–28 of JPMorgan Chase’s 2019 Form 10-K. The discussion of risk factors, as so supplemented, sets forth the material risk factors that could affect JPMorgan Chase’s financial condition and operations. Readers should not consider any descriptions of such factors to be a complete set of all potential risks that could affect the Firm.
The COVID-19 pandemic has caused and is causing significant harm to the global economy and our businesses.
On March 11, 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, a global pandemic. The COVID-19 pandemic and governmental responses to the pandemic have had, and continue to have, a severe impact on global economic conditions, including:
significant disruption and volatility in the financial markets
disruption of global supply chains
closures of many businesses, leading to loss of revenues and increased unemployment, and
the institution of social distancing and sheltering-in-place requirements in the U.S. and other countries.
If the pandemic is prolonged, or other diseases emerge that give rise to similar effects, the adverse impact on the global economy could deepen.
The continuation of the adverse economic conditions caused by the pandemic can be expected to have a significant adverse effect on JPMorgan Chase’s businesses and results of operations, including:
significantly reduced demand for products and services from JPMorgan Chase’s clients and customers
possible recognition of credit losses and increases in the allowance for credit losses, especially if businesses remain closed, unemployment continues to rise and clients and customers draw on their lines of credit or seek additional loans to help finance their businesses
possible material impacts on the value of securities, derivatives and other financial instruments which JPMorgan Chase owns or in which it makes markets due to market fluctuations
possible downgrades in JPMorgan Chase’s credit ratings

possible constraints on liquidity and capital, whether due to increases in risk-weighted assets related to supporting client activities or to regulatory actions, and
the possibility that significant portions of JPMorgan Chase’s workforce are unable to work effectively, including because of illness, quarantines, sheltering-in-place arrangements, government actions or other restrictions in connection with the pandemic.
The extent to which the COVID-19 pandemic negatively affects JPMorgan Chase’s businesses, results of operations and financial condition, as well as its regulatory capital and liquidity ratios, will depend on future developments that are highly uncertain and cannot be predicted, including the scope and duration of the pandemic and actions taken by governmental authorities and other third parties in response to the pandemic. In addition, JPMorgan Chase’s participation directly or on behalf of customers and clients in U.S. government programs designed to support individuals, households and businesses impacted by the economic disruptions caused by the COVID-19 pandemic could be criticized and subject JPMorgan Chase to increased governmental and regulatory scrutiny, negative publicity or
increased exposure to litigation, which could increase its operational, legal and compliance costs and damage its reputation. To the extent the COVID-19 pandemic adversely affects JPMorgan Chase’s business, results of operations and financial condition, it may also have the effect of heightening many of the other risks described in Risk Factors in the 2019 Form 10-K.
Supervision and regulation
Refer to the Supervision and regulation section on pages 1–6 of JPMorgan Chase’s 2019 Form 10-K for information on Supervision and Regulation.
Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds.
The Firm did not have any unregistered sale of equity securities during the three months ended March 31,June 30, 2020.
Repurchases under the common equity repurchase program
Refer to Capital Risk Management on pages 39–4449-54 of this Form 10-Q and pages 85-92 of JPMorgan Chase’s 2019 Form 10-K for information regarding repurchases under the Firm’s common equity repurchase program.


On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended through the second quarter of 2020 repurchases of its common equity. Sharesequity, and as such, there were no shares repurchased pursuant to the common equity repurchase program during the three months ended March 31,June 30, 2020. In June 2020, were as follows.the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases, at least through the end of the third quarter of 2020.
Three months ended March 31, 2020Total 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)
 
January21,953,376
 135.92
 2,984
 12,596
 
February19,349,585
 130.45
 2,524
 10,072
 
March8,700,101
 102.15
 889
 9,183
(b) 
First quarter50,003,062
 127.92
 6,397
 9,183
(b) 
Three months ended June 30, 2020Total 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)(b)
 
April—
 —
 —
 9,183
 
May—
 —
 —
 9,183
 
June—
 —
 —
 9,183
(c) 
Second quarter—
 —
 —
 9,183
(c) 
Year-to-date50,003,062
 127.92
 6,397
 9,183
(c) 
(a)Excludes commissions cost.
(b)Represents the amount remaining under the $29.4 billion repurchase program.
(c)The $9.2 billion unused portion under the prior Board authorization expired on June 30, 2020.
Item 3.    Defaults Upon Senior Securities.
None.
Item 4.    Mine Safety Disclosures.
Not applicable.
Item 5.    Other Information.
None.
 



Item 6.    Exhibits.
Exhibit No. Description of Exhibit
   
15 
Letter re: Unaudited Interim Financial Information. (a)
   
31.1 
Certification. (a)
   
31.2 
Certification. (a)
   
32 
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (b)
   
101.INS 
The instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document.(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)
104 Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101).
(a)Filed herewith.
(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,June 30, 2020, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019, (iii) the Consolidated balance sheets (unaudited) as of March 31,June 30, 2020, and December 31, 2019, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019, (v) the Consolidated statements of cash flows (unaudited) for the three and six months ended March 31,June 30, 2020 and 2019, 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 Firmwide Controller
 (Principal Accounting Officer)


Date:May 7,August 3, 2020






INDEX TO EXHIBITS



Exhibit No. Description of Exhibit
   
15 
Letter re: Unaudited Interim Financial Information.
   
31.1 
Certification.
   
31.2 
Certification.
   
32 
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.†
   
101.INS The instance document does not appear in the interactive data file because its XBRL 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.
104 Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101).
   
† 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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