0000019617jpm:LoansChangesinInstrumentsSpecificCreditRiskMember2019-07-012019-09-300000019617us-gaap:SubprimeMemberjpm:OtherFinancialAssetsMemberus-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2020-09-300000019617us-gaap:OtherLiabilitiesMember2020-07-012020-09-300000019617jpm:SeriesGGPreferredStockMember2021-09-30


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 endedCommission file
September 30, 20202021number1-5805
JPMorgan Chase & Co.
(Exact name of registrant as specified in its charter)
Delaware13-2624428
(State or other jurisdiction of
incorporation or organization)		(I.R.S. employer
identification no.)
383 Madison Avenue,
New York,New York10179
(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
Depositary Shares, each representing a one-four hundredth interest in a share of 4.55% Non-Cumulative Preferred Stock, Series JJJPM PR KThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 4.625% Non-Cumulative Preferred Stock, Series LLJPM PR LThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 4.20% Non-Cumulative Preferred Stock, Series MMJPM PR MThe 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, 2028June 10, 2032 of JPMorgan Chase Financial Company LLCJPM/2832The 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 September 30, 2020: 3,048,203,0632021: 2,955,266,061


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 nine months ended September 30, 20202021 and 20192020
9391
Consolidated statements of comprehensive income (unaudited) for the three and nine months ended SeptemberSeptember 30, 20202021 and 20192020
9492
Consolidated balance sheets (unaudited) at September 30, 20202021 and December 31, 20192020
9593
Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended September 30, 20202021 and 20192020
9694
Consolidated statements of cash flows (unaudited) for the nine months ended September 30, 20202021 and 20192020
9795
Notes to Consolidated Financial Statements (unaudited)
9896
Report of Independent Registered Public Accounting Firm
189182
Consolidated Average Balance Sheets, Interest and Rates (unaudited) for the three and nine nine months ended September 30, 20202021 and 20192020
190183
Glossary of Terms and Acronyms and Line of Business Metrics
192185
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
1310
Consolidated Balance Sheets and Cash Flows Analysis
1816
Off-Balance Sheet Arrangements
2119
Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures
2220
Business Segment Results
2422
Firmwide Risk Management
4847
Capital Risk Management
4948
Liquidity Risk Management
5554
Consumer Credit Portfolio
6261
Wholesale Credit Portfolio
6766
Investment Portfolio Risk Management
7977
Market Risk Management
8078
Country Risk Management
8583
Operational Risk Management
8684
Estimations and Model Risk Management
8785
Critical Accounting Estimates Used by the Firm
8886
Accounting and Reporting Developments
9189
Forward-Looking Statements
9290
Item 3.
Quantitative and Qualitative Disclosures About Market Risk.
201194
Item 4.
Controls and Procedures.
201194
Part II – Other information
Item 1.
Legal Proceedings.
201194
Item 1A.
Risk Factors.
201194
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
202195
Item 3.
Defaults Upon Senior Securities.
202196
Item 4.
Mine Safety Disclosures.
202196
Item 5.
Other Information.
202196
Item 6.
Exhibits.
203196

2

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)

Nine months ended Sept 30,
3Q202Q201Q204Q193Q1920202019
Selected income statement data
Total net revenue(a)
$29,147 $32,980 $28,192 $28,285 $29,291 $90,319 $87,114 
Total noninterest expense(a)
16,875 16,942 16,791 16,293 16,372 50,608 48,976 
Pre-provision profit(b)
12,272 16,038 11,401 11,992 12,919 39,711 38,138 
Provision for credit losses611 10,473 8,285 1,427 1,514 19,369 4,158 
Income before income tax expense11,661 5,565 3,116 10,565 11,405 20,342 33,980 
Income tax expense2,218 878 251 2,045 2,325 3,347 6,069 
Net income$9,443 $4,687 $2,865 $8,520 $9,080 $16,995 $27,911 
Earnings per share data
Net income:     Basic$2.93 $1.39 $0.79 $2.58 $2.69 $5.10 $8.17 
         Diluted2.92 1.38 0.78 2.57 2.68 5.09 8.15 
Average shares: Basic3,077.8 3,076.3 3,095.8 3,140.7 3,198.5 3,083.3 3,248.7 
         Diluted3,082.8 3,081.0 3,100.7 3,148.5 3,207.2 3,088.1 3,258.0 
Market and per common share data
Market capitalization293,451 286,658 274,323 429,913 369,133 293,451 369,133 
Common shares at period-end3,048.2 3,047.6 3,047.0 3,084.0 3,136.5 3,048.2 3,136.5 
Book value per share79.08 76.91 75.88 75.98 75.24 79.08 75.24 
Tangible book value per share (“TBVPS”)(b)
63.93 61.76 60.71 60.98 60.48 63.93 60.48 
Cash dividends declared per share0.90 0.90 0.90 0.90 0.90 2.70 2.50 
Selected ratios and metrics
Return on common equity (“ROE”)(c)
15 %7 %4 %14 %15 %9 %15 %
Return on tangible common equity (“ROTCE”)(b)(c)
19 9 5 17 18 11 19 
Return on assets(b)
1.14 0.58 0.40 1.22 1.30 0.72 1.37 
Overhead ratio58 51 60 58 56 56 56 
Loans-to-deposits ratio(d)
49 52 57 64 64 49 64 
Liquidity coverage ratio (“LCR”) (average)114 117 114 116 115 114 115 
Common equity Tier 1 (“CET1”) capital ratio(e)
13.1 12.4 11.5 12.4 12.3 13.1 12.3 
Tier 1 capital ratio(e)
15.0 14.3 13.3 14.1 14.1 15.0 14.1 
Total capital ratio(e)
17.3 16.7 15.5 16.0 15.9 17.3 15.9 
Tier 1 leverage ratio(e)
7.0 6.9 7.5 7.9 7.9 7.0 7.9 
Supplementary leverage ratio (“SLR”)(e)
7.0 6.8 6.0 6.3 6.3 7.0 6.3 
Selected balance sheet data (period-end)
Trading assets(d)
$505,822 $491,716 $510,923 $369,687 $457,274 $505,822 $457,274 
Investment securities, net of allowance for credit losses531,136 558,791 471,144 398,239 394,251 531,136 394,251 
Loans(d)
989,740 1,009,382 1,049,610 997,620 980,019 989,740 980,019 
Total assets3,246,076 3,213,616 3,139,431 2,687,379 2,764,661 3,246,076 2,764,661 
Deposits2,001,416 1,931,029 1,836,009 1,562,431 1,525,261 2,001,416 1,525,261 
Long-term debt279,175 317,003 299,344 291,498 296,472 279,175 296,472 
Common stockholders’ equity241,050 234,403 231,199 234,337 235,985 241,050 235,985 
Total stockholders’ equity271,113 264,466 261,262 261,330 264,348 271,113 264,348 
Headcount256,358 256,710 256,720 256,981 257,444 256,358 257,444 
Credit quality metrics
Allowances for loan losses and lending-related commitments$33,637 $34,301 $25,391 $14,314 $14,400 $33,637 $14,400 
Allowance for loan losses to total retained loans3.26 %3.27 %(f)2.32 %1.39 %1.42 %3.26 %1.42 %
Nonperforming assets(d)
$11,462 $9,715 $7,062 $5,054 $5,993 $11,462 $5,993 
Net charge-offs1,180 1,560 1,469 1,494 1,371 4,209 4,135 
Net charge-off rate0.49 %0.64 %0.62 %0.63 %0.58 %0.58 %0.59 %
Effective January 1, 2020, the Firm adopted the Financial Instruments – Credit Losses (“CECL”) accounting guidance. Refer to Note 1 for further information.
As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)

Nine months ended Sept 30,
3Q212Q211Q214Q203Q2020212020
Selected income statement data
Total net revenue(a)
$29,647 $30,479 $32,266 $29,335 $29,255 $92,392 $90,616 
Total noninterest expense17,063 17,667 18,725 16,048 16,875 53,455 50,608 
Pre-provision profit(b)
12,584 12,812 13,541 13,287 12,380 38,937 40,008 
Provision for credit losses(1,527)(2,285)(4,156)(1,889)611 (7,968)19,369 
Income before income tax expense14,111 15,097 17,697 15,176 11,769 46,905 20,639 
Income tax expense(a)
2,424 3,149 3,397 3,040 2,326 8,970 3,644 
Net income$11,687 $11,948 $14,300 $12,136 $9,443 $37,935 $16,995 
Earnings per share data
Net income:     Basic$3.74 $3.79 $4.51 $3.80 $2.93 $12.05 $5.10 
         Diluted3.74 3.78 4.50 3.79 2.92 12.02 5.09 
Average shares: Basic2,999.9 3,036.6 3,073.5 3,079.7 3,077.8 3,036.4 3,083.3 
         Diluted3,005.1 3,041.9 3,078.9 3,085.1 3,082.8 3,041.7 3,088.1 
Market and per common share data
Market capitalization483,748 464,778 460,820 387,492 293,451 483,748 293,451 
Common shares at period-end2,955.3 2,988.2 3,027.1 3,049.4 3,048.2 2,955.3 3,048.2 
Book value per share86.36 84.85 82.31 81.75 79.08 86.36 79.08 
Tangible book value per share (“TBVPS”)(b)
69.87 68.91 66.56 66.11 63.93 69.87 63.93 
Cash dividends declared per share1.00 0.90 0.90 0.90 0.90 2.80 2.70 
Selected ratios and metrics
Return on common equity (“ROE”)(c)
18 %18 %23 %19 %15 %20 %9 %
Return on tangible common equity (“ROTCE”)(b)(c)
22 23 29 24 19 24 11 
Return on assets(c)
1.24 1.29 1.61 1.42 1.14 1.37 0.72 
Overhead ratio58 58 58 55 58 58 56 
Loans-to-deposits ratio43 45 44 47 49 43 49 
Firm Liquidity coverage ratio (“LCR”) (average)(d)
112 111 110 110 114 112 114 
JPMorgan Chase Bank, N.A. LCR (average)(d)
174 171 166 160 157 174 157 
Common equity Tier 1 (“CET1”) capital ratio(e)
12.9 13.0 13.1 13.1 13.1 12.9 13.1 
Tier 1 capital ratio(e)
15.0 15.1 15.0 15.0 15.0 15.0 15.0 
Total capital ratio(e)
16.9 17.1 17.2 17.3 17.3 16.9 17.3 
Tier 1 leverage ratio(e)
6.6 6.6 6.7 7.0 7.0 6.6 7.0 
Supplementary leverage ratio (“SLR”)(e)
5.5 5.4 6.7 6.9 7.0 5.5 7.0 
Selected balance sheet data (period-end)
Trading assets$515,901 $520,588 $544,052 $503,126 $505,822 $515,901 $505,822 
Investment securities, net of allowance for credit losses595,132 573,637 597,394 589,999 531,136 595,132 531,136 
Loans1,044,615 1,040,954 1,011,307 1,012,853 989,740 1,044,615 989,740 
Total assets(a)
3,757,576 3,684,256 3,689,336 3,384,757 3,245,061 3,757,576 3,245,061 
Deposits2,402,353 2,305,217 2,278,112 2,144,257 2,001,416 2,402,353 2,001,416 
Long-term debt298,465 299,926 279,427 281,685 279,175 298,465 279,175 
Common stockholders’ equity255,203 253,548 249,151 249,291 241,050 255,203 241,050 
Total stockholders’ equity290,041 286,386 280,714 279,354 271,113 290,041 271,113 
Headcount265,790 260,110 259,350 255,351 256,358 265,790 256,358 
Credit quality metrics
Allowances for loan losses and lending-related commitments$20,455 $22,498 $25,517 $30,737 $33,637 $20,455 $33,637 
Allowance for loan losses to total retained loans1.86 %2.02 %2.42 %2.95 %3.26 %1.86 %3.26 %
Nonperforming assets$8,882 $9,802 $10,257 $10,906 $11,462 $8,882 $11,462 
Net charge-offs524 734 1,057 1,050 1,180 2,315 4,209 
Net charge-off rate0.21 %0.31 %0.45 %0.44 %0.49 %0.32 %0.58 %
(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. Refer to Note 1 for further information.
(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 22-2320-21 for a further discussion of these measures.
(c)Quarterly ratios are based upon annualized amounts.
(d)InFor the third quarter ofnine months ended September 30, 2021 and 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assetspercentage represents average LCR for the three months ended September 30, 2021 and 2020. Refer to loans and other assets. Prior-period amounts have been revised to conform withLiquidity Risk Management on pages 54-58 for additional information on the current presentation.LCR results.
(e)ReflectsThe capital metrics reflect the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECLCurrent Expected Credit Losses ("CECL") capital transition provisions that became effective in the first quarter of 2020. Effective inThe SLR prior to the second quarter of 2020, the SLRperiods ended June 30, 2021 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 11-12Banks, which became effective April 1, 2020 and Capital Risk Management on pages 49-54 of this Form 10-Q for additional information.remained in effect through March 31, 2021. Refer to Capital Risk Management on pages 85-9248-53 of this Form 10-Q and pages 91-101 of JPMorgan Chase’s 20192020 Form 10-K for additional information on the Firm’s capital metrics.
(f)Prior-period amounts have been revised to conform with the current presentation.information.
3

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 third quarter of 2020.2021.
This Quarterly Report on Form 10-Q for the third quarter of 20202021 (“Form 10-Q”) should be read together with JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 20192020 (“20192020 Form 10-K”). Refer to the Glossary of terms and acronyms and line of business (“LOB”) metrics on pages 192-200185-193 for definitions of terms and acronyms used throughout this Form 10-Q.
This documentForm 10-Q 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. ForRefer to Forward-looking Statements on page 90 of this Form 10-Q, Part II, Item 1A, Risk Factors on pages 194-195 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 8-32 of the 2020 Form 10-K 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, referuncertainties. There is no assurance that actual results will be in line with any outlook information set forth herein, and the Firm does not undertake to Forward-looking Statements on page 92 of this Form 10-Q, Part II, Item 1A, Risk Factors on pages 201-202 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 6-28 of the 2019 Form 10-K.update any forward-looking statements.
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 institutionsbased in the United States of America (“U.S.”), with operations worldwide;worldwide. JPMorgan Chase had $3.2$3.8 trillion in assets and $271.1$290.0 billion in stockholders’ equity as of September 30, 2020.2021. 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.clients globally.
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 3848 states and Washington, D.C. as of September 30, 2020.2021. 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 the Corporate & Investment Bank (“CIB”), Commercial Banking (“CB”), and Asset & Wealth Management (“AWM”). ForRefer to Note 25 of this Form 10-Q and Note 32 of JPMorgan Chase’s 2020 Form 10-K 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.bases.
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 important information about the Firm available on its website at https://www.jpmorganchase.com, including on the Investor Relations section of its website at https://www.jpmorganchase.com/corporate/investor-relations/investor-relations.htm.

ir.
4

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 20192020 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 ChaseFinancial performance of JPMorgan Chase
(unaudited)
As of or for the period ended,
(in millions, except per share data and ratios)
(unaudited)
As of or for the period ended,
(in millions, except per share data and ratios)
Three months ended September 30,Nine months ended September 30,
(unaudited)
As of or for the period ended,
(in millions, except per share data and ratios)
Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change20212020Change20212020Change
Selected income statement dataSelected income statement dataSelected income statement data
Total net revenue(a)
Total net revenue(a)
$29,147$29,291— %$90,319$87,1144 %
Total net revenue(a)
$29,647$29,2551 %$92,392$90,6162 %
Total noninterest expense(a)
Total noninterest expense(a)
16,87516,3723 50,60848,9763 
Total noninterest expense(a)
17,06316,8751 53,45550,6086 
Pre-provision profitPre-provision profit12,27212,919(5)39,71138,1384 Pre-provision profit12,58412,3802 38,93740,008(3)
Provision for credit lossesProvision for credit losses6111,514(60)19,3694,158366 Provision for credit losses(1,527)611NM(7,968)19,369NM
Net incomeNet income9,4439,0804 16,99527,911(39)Net income11,6879,44324 37,93516,995123 
Diluted earnings per shareDiluted earnings per share$2.92$2.689 $5.09$8.15(38)Diluted earnings per share$3.74$2.9228 $12.02$5.09136 
Selected ratios and metricsSelected ratios and metricsSelected ratios and metrics
Return on common equityReturn on common equity15%15%9%15%Return on common equity18%15%20%9%
Return on tangible common equityReturn on tangible common equity19181119Return on tangible common equity22192411
Book value per shareBook value per share$79.08$75.245 $79.08$75.245 Book value per share$86.36$79.089 $86.36$79.089 
Tangible book value per shareTangible book value per share63.9360.486 63.9360.486 Tangible book value per share69.8763.939 69.8763.939 
Capital ratios(b)
Capital ratios(b)
Capital ratios(b)
CET113.1%12.3%13.1%12.3%
CET1 capitalCET1 capital12.9%13.1%12.9%13.1%
Tier 1 capitalTier 1 capital15.014.115.014.1Tier 1 capital15.015.015.015.0
Total capitalTotal capital17.315.917.315.9Total capital16.917.316.917.3
(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 haveamount has been revised to conform with the current presentation. Refer to Note 1 for further information.
(b)ReflectsThe capital metrics reflect the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition 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 49-5448-53 of this Form 10-Q for additional information. Refer to Capital Risk Management onand pages 85-9291-101 of JPMorgan Chase’s 20192020 Form 10-K for additional information on the Firm’s capital metrics.

information.
Comparisons noted in the sections below are for the third quarter of 20202021 versus the third quarter of 2019,2020, unless otherwise specified.
Firmwide overview
JPMorgan Chase reported net income of $9.4$11.7 billion for the third quarter of 2020,2021, or $2.92$3.74 per share, on net revenue of $29.1$29.6 billion. The Firm reported ROE of 15%18% and ROTCE of 19%22%. The Firm's results for the third quarter of 2021 included a reduction in the allowance for credit losses of $2.1 billion and an income tax benefit of $566 million related to finalizing the Firm's 2020 U.S. federal tax return. The tax benefit included firmwide legal expensestate and local impacts of $524 million.federal tax method changes and a reduction in the valuation allowance for U.S. foreign tax credits.
•The Firm had netNet income of $9.4was $11.7 billion, up 4%.$2.2 billion.
•Total net revenue was flat. Net interest income was $13.0 billion, down 9%, predominantly driven by the impact of lower rates largely offset by higher net interest income in CIB Markets as well as balance sheet growth. up 1%.
–Noninterest revenue was $16.1$16.6 billion, up 7%2%, predominantly driven by higher Investment Banking fees Markets revenue, and Credit Adjustments & Other in the CIB and higherasset management fees in AWM, predominantly offset by net investment securities losses in Corporate compared to net gains in Corporate. the prior year, and lower revenue in Home Lending.
–Net interest income was $13.1 billion, up 1%, driven by balance sheet growth and higher market rates, predominantly offset by change in balance sheet mix and lower net interest income in CIB Markets.
•Noninterest expense was $16.9$17.1 billion, up 3%1%, primarily driven by continued investments in the business, including marketing and technology, and higher volume- and revenue-related expense, predominantly offset by lower legal expense predominantly in CIB and structural expense. Noninterest expense for the prior year included an impairment on a legacy investment in Corporate, partially offset by lower marketing expense in CCB.investment.

•The provision for credit losses was a net benefit of $1.5 billion, reflecting a net reduction in the allowance for credit losses of $2.1 billion, driven by improvements in the Firm's macroeconomic outlook, and $524 million of net charge-offs.
–The net reserve release in the current period consisted of $1.2 billion in Wholesale and $874 million in Consumer, driven by $850 million in Card.
–Net charge-offs of $524 million declined $656 million, predominantly driven by Card.
The prior year provision was an expense of $611 million, reflecting $1.2 billion of net charge-offs and a net reduction in the allowance for credit losses of $569 million.
5

•The provision for credit losses was $611 million, down $903 million from the prior year. Net charge-offs of $1.2 billion were down $191 million from the prior year, predominantly driven by Card, which reflected lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs. The current quarter included a net reduction to the allowance for credit losses that was largely driven by paydowns in the Home Lending portfolio and changes in wholesale loan balances, partially offset by an addition to the allowance for the investment securities portfolio due to the transfer of certain securities from available-for-sale to held-to-maturity. The prior year included net additions to the allowance for credit losses across both the Consumer and Wholesale portfolios.
•The total allowance for credit losses was $33.8$20.5 billion at September 30, 2020.2021. The Firm had an allowance for loan losses to retained loans coverage ratio of 3.26%1.86%, compared with 3.27%2.02% in the second quarter of 2020,2021, and 1.42%3.26% in the prior year; the increase from the prior year was driven by the additions to the allowance for credit losses and the adoption of CECL.year.
•The Firm’s nonperforming assets totaled $11.5$8.9 billion at September 30, 2020, an increase2021, a decrease of $1.7$2.6 billion from the second quarter of 2020,prior year, driven by customers that have exited COVID-19 payment deferral programsby:
–paydowns and were 90 or more days past due in Home Lending in CCB, and downgradesupgrades in the wholesale portfolio, across multiple industries on client credit deterioration. CB, CIB and AWM, and
–lower nonaccrual loans at fair value in the consumer portfolio due to sales in CIB.
Nonperforming assets increasedwere down $920 million from $6.0 billion in the prior year due to downgradesJune 30, 2021, driven by lower nonaccrual loans in the wholesale portfolio, as well as from the adoption of CECL, as the purchasedand consumer portfolios, reflecting improved credit deteriorated loans in the mortgage portfolio became subject to nonaccrual loan treatment.performance and paydowns.
•Firmwide average loans of $991 billion$1.0 trillion were up 1%, largely reflecting5% driven by higher loan balancesloans in CIB and AWM, as well as loans originated under the Small Business Administration’s (“SBA”) Paycheck Protection Program (“PPP”),partially offset by lower loan balancesloans in Home LendingCB and Card.CCB.
•Firmwide average deposits of $2.0$2.4 trillion were up 30%19%, reflecting significant inflows across the Firm,LOBs primarily driven by the COVID-19 pandemic and the related effect of certain government actions.actions in response to the COVID-19 pandemic.
•As of September 30, 2020 the Firm had average High Quality Liquid Assets (“HQLA”) of approximately $670 billion and unencumbered marketable securities with a fair value of approximately $660 billion, resulting in approximately $1.3 trillion of liquidity sources. Refer to Liquidity Risk Management on pages 55–59 for additional information.
6

Selected capital-related metrics
•The Firm’s CET1 capital was $198$210 billion, and the Standardized and Advanced CET1 ratios were 13.1%12.9% and 13.8%13.6%, respectively.
•The Firm’s SLR was 7.0%. 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 5.8%5.5%.
•The Firm grew TBVPS, ending the third quarter of 20202021 at $63.93,$69.87, up 6%9% versus the prior year.
Pre-provision profit, ROTCE, TCE and TBVPS are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 22-2320-21 for a further discussion of each of these measures.
6

Business segment highlights
Selected business metrics for each of the Firm’s four LOBs are presented below for the third quarter of 2020.2021.
CCB
ROE
29%
34%
•Average deposits up 28%20%; client investment assets up 11%29%
•Average loans down 7%;2% YoY and up 1% QoQ; Card net charge-off rate of 1.39%
•Debit and credit card sales volume down 8%(a) up 26%
•Active mobile customers up 10%
CIB
ROE
21%
26%
•$2.2 billion of Global Investment Banking fees, up 9%
•#1 ranking for Global Investment Banking fees with 9.4% wallet share year-to-dateYTD
•Total Markets revenue of $6.6$6.3 billion, up 30%down 5%, with Fixed Income Markets up 29%down 20% and Equity Markets up 32%30%
CB
ROE
19%
22%
•Gross Investment Banking revenue of $840 million,$1.3 billion, up 20%60%
•Average loans up 5%;down 7% YoY and 1% QoQ; average deposits up 44%21%
AWM
ROE
32%
33%
•Assets under management (AUM)("AUM") of $2.6$3.0 trillion, up 16%17%
•Average loans up 13%;20% YoY and 3% QoQ; average deposits up 23%41%
(a)Excludes Commercial Card.
Refer to the Business Segment Results on pages 24-4722-46 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 nine months of 2020,2021, consisting of:
$1.82.4 trillion
Total credit provided and capital raised (including loans and commitments)(a)
$164238
billion		Credit for consumers
$1415
billion		Credit for U.S. small businesses
$611957 billionCredit for corporations
$885 billion1.2 trillionCapital raised for corporate clients and non-U.S. government entities
$8246
billion
Credit and capital raised for nonprofit and U.S. government entities(b)
$2811 billionLoans under the Small Business Administration’s Paycheck Protection
Program
(a)Excludes loans under the SBA’s PPP.
(b)Includes states, municipalities, hospitals and universities.

7

Recent events
•On October 28, 2020,September 21, 2021, JPMorgan Chase announcedlaunched its digital retail bank in the election of Phebe N. Novakovic as a member of the Firm's Board of Directors, effective December 7, 2020. Ms. Novakovic is Chairman and Chief Executive Officer of General Dynamics Corporation.U.K.
•On October 8, 2020, JPMorgan Chase announced a long-term $30 billion commitment to advance racial equity.
•On October 6, 2020, JPMorgan Chase announced a financing strategy that is aligned to the goals of the Paris Agreement. As part of its strategy, the Firm will work with clients in key sectors to reduce their greenhouse gas emissions intensity and expand investment in low- and zero-carbon energy sources and technologies.
•On September 15, 2020, JPMorgan Chase expanded its Operating Committee to include the heads of several of the Firm's largest businesses in the LOBs. The current business roles and reporting lines of the new members remained unchanged. The Firm also announced that its two Co-Presidents and Co-Chief Operating Officers, Daniel Pinto and Gordon Smith, will be taking on additional responsibility across all of the Firm’s businesses.
•On September 15, 2020, the Board of Directors ofAugust 9, 2021, JPMorgan Chase announced that the independent directorsChina Securities Regulatory Commission has approved the registration of J.P. Morgan International Finance Limited to take 100% ownership of J.P. Morgan Securities (China) Company Limited.
•On August 4, 2021, JPMorgan Chase announced that it has opened bank branches in all of the Board have appointed Stephen B. Burke as Lead Independent Director, effective January 1,lower 48 states.
•Firm acquisitions and investments:
–On October 13, 2021, succeeding Lee RaymondJPMorgan Chase acquired restaurant discovery platform The Infatuation.
–On September 14, 2021, JPMorgan Chase acquired college financial aid resource platform Frank.
–On September 8, 2021, JPMorgan Chase announced that it has entered into an agreement with Volkswagen Financial Services to acquire a controlling interest of approximately 75% in that role.the car manufacturer’s payments platform, subject to regulatory approvals.

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 9290 and Risk Factors on page 201194 of this Form 10-Q andand pages 6–288–32 of JPMorgan Chase’s 20192020 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 will be in line with the outlook information 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 and for 2021 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 this Form 10-Q supersedes all outlook information furnished by the Firm in its periodic reports filed with the SEC prior to the date of this Form 10-Q.
FirmwideFull-year 2021
•OnManagement expects net interest income, on a managed basis, management expects full-year 2020 net interest income to be approximately $55 billion, and full-year 2021 net interest income to be approximately $54$52.5 billion, market dependent.
•Management expects adjusted expense for the full-year 2020 to be approximately $66 billion.$71 billion, market dependent.
•Management expects the net charge-off rate in Card to be approximately 2.0%.
Net interest income, on a managed basis, and adjusted expense are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 20-21.
8

Business Developments
COVID-19 Pandemic
In response toThroughout the COVID-19 pandemic, the Firm has 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.
The Firm remainsremained focused on serving its clients, customers clients and communities, as well as the well-being of its employees during the COVID-19 pandemic. employees.
The Firm continues to actively monitor the dynamic health and safety situations at local and regional levels as more of the Firm's global workforce returns to the office, and will adapt its plans remain flexible to adapt as these situations evolve.
Supporting clientsFor additional information on the impact of U.S. government actions and customersprograms in response to the COVID-19 pandemic, refer to:
Since March 2020 the Firm has provided assistance to clients and customers primarily in the form of payment deferrals on loans and auto leases.
Refer to •Credit Portfolio on pages 60-61page 60 and page 113 of JPMorgan Chase's 2020 Form 10-K for further information on assistance granted to customers and clients. Refer to PPP,
•Consumer Credit portfolio on pages 62-6661-65 and page 116 of JPMorgan Chase's 2020 Form 10-K, and Wholesale Credit Portfolio on pages 67-7666-74 and page 122 of JPMorgan Chase's 2020 Form 10-K for further information on retained loans under payment deferral.deferral, and
The Firm has gradually re-opened its branches since April, with nearly 90%•Regulatory Developments Relating to the COVID-19 Pandemic on pages 52-53 of its branches returning to full service asJPMorgan Chase’s 2020 Form 10-K for a discussion of the third quarter of 2020. Additionally,U.S. government actions impacting the Firm continues to make a wide range of banking services accessible to clients and customers through mobileU.S. government facilities and other digital channels.
Protecting and supporting employees
At the onset of the pandemic, the Firm implemented alternative work arrangements, with the vast majority of its global workforce working from home.
While the majority of the Firm’s employees globally continue to work from home, the Firm continues to return employees to the office.
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 communitiesprograms in which the Firm operates. As of September 30, 2020 nearly half of this commitment has been funded.participated.
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 is preparing for 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.” The Firm is therefore preparing to finalize and implement the various components of its Brexit readiness plan by year-end, including completion of the relocation of approximately 200 front office roles from the U.K. to EU locations, and the migration of remaining EU clients and certain positions to EU entities by the end of the year. A key factor in that plan will be to secure client engagement; any delays may impact the Firm’s ability to continue servicing EU clients, as the Firm’s U.K.-based legal entities are expected to lose their ability to transact business from the U.K. with EU clients at the end of the year.
The COVID-19 pandemic has introduced additional risk to the Firm’s Brexit Implementation program. Infection rates and travel restrictions are increasing and lock-downs have been introduced across various U.K. and EU locations. As a result, the risk that clients may not be operationally ready and that the Firm may not be able to relocate employees by year-end is rising. Unless some official-sector solution is forthcoming, the Firm’s ability to continue servicing EU clients may be adversely affected.

9

Interbank Offered Rate (“IBOR”) transition
On March 12, 2020,5, 2021, the U.K. Financial Accounting Standards Board (“FASB”Conduct Authority ("FCA") issued an accounting standards update providing optional expedientsconfirmed that the publication of the principal tenors of the U.S. dollar London Interbank Offered Rate ("LIBOR") (i.e., overnight, one-month, three-month, six-month and exceptions12-month LIBOR) will cease immediately following a final publication on June 30, 2023. The scheduled cessation date for applying generally accepted accounting principlesU.K. sterling, Japanese yen, Swiss franc and Euro LIBOR, and the one-week and two-month tenors of U.S. dollar LIBOR, remains December 31, 2021. The Firm continues to prioritize those currencies and tenors of LIBOR for contract remediation and is finalizing its operational readiness to support rate fallback mechanisms across all products that reference IBORs for which publication will cease on December 31, 2021.
The Firm continues to engage with clients to arrange for the remediation of in-scope IBOR-linked contracts, and hedge accounting relationships affectedto amend contracts with clients that are prepared to do so. For example, substantially all of the notional amounts of the Firm’s derivatives exposures that are documented under bilateral agreements now contain IBOR fallback provisions by virtue of counterparty adherence to the 2020 International Swaps and Derivatives Association, Inc.’s ("ISDA") IBOR Fallbacks Protocol. The Firm is also prepared for the conversion to alternative reference rates at various central counterparties ("CCPs") scheduled for the fourth quarter of 2021.
The Federal Reserve, the OCC and the FDIC have encouraged banks to cease entering into new contracts that use U.S. dollar LIBOR as a reference rate reform. These optional expedients are intended to simplifyby December 31, 2021, and in connection with this, the operational impactFirm now offers various floating rate products, and provides and arranges various types of applying U.S. GAAP to transactions impacted byfloating rate debt financings, that reference rate reform. The Firm elected to apply certain of these expedients beginning in the third quarter of 2020. On August 27, 2020, the International Accounting Standards BoardSecured Overnight Financing Rate (“IASB”SOFR”) issued guidance that provides similar relief for entities reporting under International Financial Reporting Standards ("IFRS"). Refer to Accounting and Reporting Developments on page 91 for additional information. across its businesses.
The Firm continues to monitor the transition relief being considered by the U.S. Treasury Department regarding the tax implications of reference rate reform.
The Firm also continues to developreform and implement plans to appropriately mitigate the riskslegislative progress associated with IBOR discontinuation.contracts or instruments that do not have satisfactory rate fallback mechanisms and that cannot easily be amended (e.g., certain floating rate debt securities, securitizations and adjustable rate mortgages). Refer to Business Developments on page 4751 of the 2019JPMorgan Chase's 2020 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.

10

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. On August 26, 2020, the federal banking agencies issued the final rule consistent with the interim final rules published on March 17, 2020 and March 23, 2020.
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 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 (issued as final on
August 26, 2020) 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 177–178 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.information.
11

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. 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 and Note 22 for additional information on the Firm’s participation in these facilities. Refer to 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.

129

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 nine months ended September 30, 20202021 and 2019,2020, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment.segment's results. Refer to pages 88–9086-88 of this Form 10-Q and pages 136–138152-155 of JPMorgan Chase’s 20192020 Form 10-K for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.
RevenueRevenueRevenue
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)20202019Change20202019Change(in millions)20212020Change20212020Change
Investment banking feesInvestment banking fees$2,187 $1,967 11 %$6,903 $5,658 22 %Investment banking fees$3,282 $2,187 50 %$9,722 $6,903 41 %
Principal transactionsPrincipal transactions4,142 3,449 20 14,700 11,239 31 Principal transactions3,546 4,142 (14)14,122 14,700 (4)
Lending- and deposit-related fees(a)
Lending- and deposit-related fees(a)
1,647 1,671 (1)4,784 4,854 (1)
Lending- and deposit-related fees(a)
1,801 1,647 9 5,248 4,784 10 
Asset management, administration and commissions(a)
Asset management, administration and commissions(a)
4,470 4,306 4 13,276 12,607 5 
Asset management, administration and commissions(a)
5,257 4,470 18 15,480 13,276 17 
Investment securities gains473 78 NM732 135 442 
Investment securities gains/(losses)Investment securities gains/(losses)(256)473 NM(397)732 NM
Mortgage fees and related incomeMortgage fees and related income1,087 887 23 2,324 1,562 49 Mortgage fees and related income600 1,087 (45)1,855 2,324 (20)
Card income(b)
Card income(b)
1,169 1,233 (5)3,138 3,741 (16)
Card income(b)
1,005 1,169 (14)4,002 3,138 28 
Other income(c)(b)
Other income(c)(b)
959 1,472 (35)3,157 4,239 (26)
Other income(c)(b)
1,332 1,067 25 3,650 3,454 6 
Noninterest revenueNoninterest revenue16,134 15,063 7 49,014 44,035 11 Noninterest revenue16,567 16,242 2 53,682 49,311 9 
Net interest incomeNet interest income13,013 14,228 (9)41,305 43,079 (4)Net interest income13,080 13,013 1 38,710 41,305 (6)
Total net revenueTotal net revenue$29,147 $29,291 — %$90,319 $87,114 4 %Total net revenue$29,647 $29,255 1 %$92,392 $90,616 2 %
(a) InIncluded operating lease income of $1.2 billion and $1.4 billion for the first quarter ofthree months ended September 30, 2021 and 2020, respectively and $3.8 billion and $4.2 billion for the Firm reclassified certain fees from asset management, administrationnine months ended September 30, 2021 and commissions to lending- and deposit-related fees.2020, respectively.
(b) Prior-period amounts haveamount has 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 Refer 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 billionNote 1 for each of the three months ended September 30, 2020 and 2019, and $4.2 billion and $4.0 billion for the nine months ended September 30, 2020 and 2019, respectively.further information.
Quarterly results
Investment banking fees increased across products in CIB, primarily reflecting:
•higher advisory fees driven by CIB, reflecting:increased M&A activity and wallet share gains, and
•higher equity underwriting fees primarily in follow-on offerings and IPO markets due to increased industry-wide fees
•higher debt underwriting fees due to wallet share gains despiteand increased activity in the IPO market.
Refer to CIB segment results on pages 29-34 and Note 5 for additional information.
Principal transactions revenue decreased, industry-wide fees,reflecting:
•lower revenue in CIB Fixed Income Markets across products, particularly in Commodities, Rates and Credit compared to a strong prior year, including an adjustment to liquidity assumptions in the derivatives portfolio; and
•net losses on certain legacy private equity investments in Corporate, compared with net gains in the prior year,
partially offset by
•lower advisory fees driven by a lower number of completed transactions associated in part with the lower level of announced deal volumes in the first half of the year.
Refer to CIB segment results on pages 31-37 and Note 6 for additional information.
Principal transactions revenue increased, primarily in CIB, reflecting:
•higher revenue in both Fixed Income andCIB Equity Markets driven by strong performance in Commoditiesacross prime brokerage, derivatives and Credit, as well as Cash Equities, respectively, andequities.
•a $169 million gain in Credit Adjustments & Other largely driven by funding and credit spread tightening on derivatives, compared with a $71 million loss in the prior year.
The increase in principal transactions revenue also reflected net gains on certain legacy private equity investments in Corporate.
Principal transactions revenue in CIB may in certain cases have offsets across other revenue lines, including net interest income. The Firm assesses the performance of its CIB Markets business performance on a total revenue basis.
Refer to CIB and Corporate segment results on pages 31-37 and pages 46-47,29-34 and Note 65 for additional information.

Lending- and deposit-related fees was relatively flatincreased largely as the lower deposit-related fees in CCB, reflecting lower transaction activity and the impacta result of fee refunds related to the COVID-19 pandemic, was offset by higher cash management fees as well as higher lending-related fees, in particular, loan commitment fees in CIB and CB.
Refer to CCBCIB segment results on pages 26-30, CIB on pages 31-3729-34 and CB on pages 38-41, respectively,35-38, and Note 65 for additional information.
Asset management, administration and commissions revenue increased reflectingdriven by higher asset management fees in AWM as a result of cumulative net inflows into liquidity and long-term products and higher average market levels, net of liquidity fee waivers; and in AWM.CCB related to the higher level of client investment assets on higher average market levels and net inflows.
ForRefer to AWM and CCB segment results on pages 39-43, and pages 24-28, respectively, and Note 5 for additional 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.revenue.
13

Investment securities gainsgains/(losses) increased duereflected net losses related to the repositioning of the investment securities portfolio, includingcompared with net gains in the prior year from the sales of U.S. GSE and government agency mortgage-backed securities.securities ("MBS")
Refer. Refer to Corporate segment results on pages 46-4744-46 and Note 109 for additional information on investment securities gains.gains/(losses).
Mortgage fees and related income increaseddecreased due to:
•higherlower net mortgage servicing revenue reflecting
–higher a net loss in MSR risk management results driven by updates to model inputs, and
–higher operating revenue reflecting the absence of lossescompared with a net gain in the prior year from reclassifying certain loans to held-for-sale, predominantly offset by lower revenue on a lower level of third-party loans servicedperiod, and
10

•higher netlower mortgage production revenue reflecting higherlower production margins, and volumes; the prior year included approximately $350 million of gains on the sale of certain loans.partially offset by higher volumes.
Refer to CCB segment results on pages 26-30,24-28, Note 65 and 1514 for furtheradditional information.
Card income decreased due to lower netreflecting the amortization of higher account origination costs, including promotional offers. Net interchange income reflecting lowerwas relatively flat as the increase in debit and credit card sales volumes as a result of the COVID-19 pandemic, largelyvolume was offset by lower acquisition costs and higher annual fees.
an increase to the rewards liability. Refer to CCB segment results on pages 26-30,24-28, Critical Accounting Estimates on pages 86-88, and Note 65 for furtheradditional information.
Other income decreased,increased reflecting:
•nethigher gains on several investments, predominantly in CIB, and
•the absence of losses in the prior year related to derivatives in Other Corporate as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO
•losses related to the early termination of certain of the Firm's long-term debt 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.
Net interest income decreased due to the impact of lower rates, largely offset by higher net interest income in CIB Markets, as well as balance sheet growth.
The Firm’s average interest-earning assets were $2.9 trillion, up $510 billion, and the yield was 2.05%, down 151 basis points ("bps"), primarily due to lower rates. The net yield on these assets, on an FTE basis, was 1.82%, a decrease of 59 bps. The net yield excluding CIB Markets was 2.05%, down 118 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 190–191 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 equity underwriting fees primarily in follow-on offerings and convertible securities markets due to increased industry-wide fees
•higher debt underwriting fees due to increased industry-wide fees and wallet share gains in investment-grade and high-yield bonds. The increased activity resulted in part from clients seeking liquidity in the first half of the year 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, primarily in CIB, reflecting:
•higher revenue in both Fixed Income and Equity Markets driven by strong performance in Rates, Currencies & Emerging Markets, Credit and Commodities, as well as in Cash Equities and equity derivatives, respectively,
partially offset by
•a $272 million net loss in Credit Adjustments & Other driven by losses on certain components of fair value option elected liabilities, as well as the impact of funding spread widening on derivatives.
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.
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, as well as higher lending-related fees, in particular, loan commitment fees in CIB.
Asset management, administration and commissions revenue increased driven by:
•higher asset management fees in AWM as a result of cumulative net inflows into liquidity and long-term products, and in CCB related to a higher level of investment assets
•higher brokerage commissions in CIB and AWM on higher client-driven volume,
partially offset by
•lower volume of annuity sales in CCB.
14

Investment securities gains increased due to the repositioning of the investment securities portfolio, including sales of U.S. GSE and government agency mortgage-backed securities in the first and third quarters of 2020.
Mortgage fees and related income increased due to:
•higher net mortgage production revenue reflecting higher mortgage production volumes and margins; the prior year included gains on the sales of certain loans
•higher net mortgage servicing revenue reflecting
–higher MSR risk management results; the prior year included losses resulting from updates to model inputs,
partially offset by
–lower operating revenue reflecting a lower level of third-party loans serviced; the prior year included losses from reclassifying certain loans to held-for-sale.
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.
Other income decreased reflecting:
•net losses related to derivatives in Other Corporate, as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO
•net losses on certain equity investments in CIB, compared with net 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
•lower net valuation gains on certain investments in AWM
•losses related to the early termination of certain of the Firm's long-term debt in Treasury and CIO,
partially offset by
•higherlower auto operating lease income from growth in auto operating lease volumeCCB as a result of the decline in CCB.volume.
Refer to Note 17 for further information.
Net interest income decreased due to the impact of lowerincreased driven by balance sheet growth and higher market rates, predominantlyprimarily offset by higherchange in balance sheet mix and lower net interest income in CIB Markets, as well as balance sheet growth.Markets.
The Firm’s average interest-earning assets were $2.7$3.2 trillion, up $386$345 billion, primarily driven by higher deposits with banks, and the yield was 2.47%1.80%, down 123 bps, primarily due to lower rates.25 basis points (“bps”). The net yield on these assets, on an FTE basis, was 2.04%1.62%, a decrease of 4520 bps. The net yield excluding CIB Markets was 2.41%1.91%, down 9314 bps.
Net yield on an FTE basis, and net yield excluding CIB Markets, are non-GAAP financial measures. Refer to the Consolidated average balance sheets, interest and rates schedule on page 183 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 20-21 for a further discussion of Net interest yield excluding CIB Markets.
Year-to-date results
Investment banking fees increased across products in CIB, reflecting:
•higher advisory fees driven by increased M&A activity and wallet share gains
•higher equity underwriting fees due to increased activity and wallet share gains in the IPO market, and
•higher debt underwriting fees driven by an active leveraged loan market primarily related to acquisition financing.
Principal transactions revenue decreased driven by CIB, reflecting:
•lower revenue in Fixed Income Markets, primarily in Rates, Currencies & Emerging Markets, and Commodities compared to a strong prior year, and an increase in Securitized Products,
partially offset by
•higher revenue in Equity Markets driven by strong performance across derivatives, prime brokerage, and Cash Equities,
•favorable results in Credit Adjustments & Other, with a net gain of $338 million largely driven by valuation adjustments related to derivatives, compared with a $272 million net loss, in the prior year, 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
•the absence of losses in Treasury and CIO related to cash deployment transactions in the prior year, which were more than offset by the related net interest income earned on these transactions.
Lending- and deposit-related fees increased as a result of:
•higher cash management fees in CIB and CB, and higher lending-related fees, particularly loan commitment fees in CIB,
predominantly offset by
•lower overdraft fees in CCB.
Asset management, administration and commissions revenueincreased driven by:
•higher asset management fees in AWM as a result of strong cumulative net inflows into long-term and liquidity products and higher average market levels, net of liquidity fee waivers; and in CCB related to the higher level of client investment assets on higher average market levels and net inflows, and
•higher custody fees in CIB Securities Services, primarily associated with the higher level of assets under custody.
Investment securities gains/(losses)reflected net losses related to repositioning the investment securities portfolio, compared with net gains in the prior year from the sales of U.S. GSE and government agency MBS.
Mortgage fees and related income decreased due to:
•lower net mortgage servicing revenue reflecting a net loss in MSR risk management results driven by updates to model inputs, compared with a net gain in the prior year,
partially offset by
•higher mortgage production revenue reflecting higher production volumes.
Card income increased due to higher net interchange income and merchant processing fees reflecting the acceleration of debit and credit card sales volume above pre-pandemic levels, and lower amortization costs related to new account originations.
Other incomeincreased reflecting:
•gains on several investments compared with losses in the prior year, primarily in CIB, and higher gains in AWM, and
•the absence of losses in the prior year related to the early termination of certain of the Firm's long-term debt in Treasury and CIO, and derivatives in Other Corporate,

1511

Provision for credit losses
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Consumer, excluding credit card$(336)$19 NM$1,874 $(227)NM
Credit card1,028 1,375 (25)10,119 4,017 152 
Total consumer692 1,394 (50)11,993 3,790 216 
Wholesale(178)120 NM7,266 368 NM
Investment securities97 NANM110 NANM
Total provision for credit losses$611 $1,514 (60)%$19,369 $4,158 366 %
predominantly offset by
Effective January 1, 2020,•lower auto operating lease income in CCB as a result of the Firm adopteddecline in volume, and
•increased amortization on a higher level of alternative energy investments in the CECL accounting guidance. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitmentstax-oriented investment portfolio in CIB. The increased amortization was more than offset by lower income tax expense from the associated tax credits. Additionally, the first quarter of 2021 included weather-related write-downs on certain renewable energy investments.
Net interest income decreased predominantly driven by the impact of lower market rates and change in balance sheet mix, partially offset by balance sheet growth.
The Firm’s average interest-earning assets were $3.2 trillion, up $454 billion, predominantly driven by higher deposits with banks and investment securities, and the yield was 1.82%, down 65 bps. The net yield on these assets, on an FTE basis, was 1.64%, a decrease of 40 bps. The net yield excluding CIB Markets was 1.92%, down 49 bps.
12

Provision for credit losses
Three months ended September 30,Nine months ended September 30,
(in millions)20212020Change20212020Change
Consumer, excluding credit card$(31)$(336)91 %$(1,823)$1,874 NM
Credit card(355)1,028 NM(3,917)10,119 NM
Total consumer(386)692 NM(5,740)11,993 NM
Wholesale(1,127)(178)NM(2,223)7,266 NM
Investment securities(14)97 NM(5)110 NM
Total provision for credit losses$(1,527)$611 NM$(7,968)$19,369 NM
Quarterly results
The provision for credit losses decreased driven by net reductions in the allowance for credit losses.
The decrease in wholesale reflected a net reduction of $1.2 billion in the allowance for credit losses, predominantly in CIB and CB. The prior year included a $270 million net reduction in the allowance for credit losses.
The decrease in consumer was driven by:
•an $874 million reduction in the allowance for credit losses, in particular $850 million in Card reflecting improvements in the Firm's macroeconomic outlook, and
•lower net charge-offs predominantly in Card as consumer excludingcash balances remained elevated benefiting from the residual impact of government stimulus and payment assistance programs;
•the prior year included a $396 million reduction in the allowance for credit cardlosses.
Refer to CCB segment results on pages 24-28, CIB on pages 29-34, CB on pages 35-38, AWM on pages 39-43, the Allowance for Credit Losses on pages 75-76, and Notes 9 and 12 for additional information on the credit portfolio segmentand the allowance for credit losses.
Year-to-date results
The provision for credit losses decreased driven by net reductions in the allowance for credit losses.
The decrease in consumer was driven by:
•an $8.0 billion reduction in the allowance for credit losses, including $6.2 billion in Card reflecting improvements in the Firm's macroeconomic outlook, and $1.2 billion in Home Lending primarily due to continued improvements in Home Price Index ("HPI") expectations, and
•lower net charge-offs predominantly in Card, as consumer cash balances remained elevated benefiting from the impact of government stimulus and payment assistance programs;
•the prior year included an $8.3 billion addition to the allowance for credit losses.
The decrease in wholesale portfolio segment, reflects a net reduction of $2.3 billion in the allowance for credit losses across the LOBs, reflecting improvements in the Firm's macroeconomic outlook. The prior year included a $6.7 billion net addition to alignthe allowance for credit losses.
13

Noninterest expense
(in millions)Three months ended September 30,Nine months ended September 30,
20212020Change20212020Change
Compensation expense$9,087 $8,630 5 %$29,502 $27,034 9 %
Noncompensation expense:
Occupancy1,109 1,142 (3)3,314 3,288 1 
Technology, communications and equipment2,473 2,564 (4)7,480 7,732 (3)
Professional and outside services2,523 2,178 16 7,111 6,205 15 
Marketing712 470 51 2,089 1,751 19 
Other expense(a)(b)
1,159 1,891 (39)3,959 4,598 (14)
Total noncompensation expense7,976 8,245 (3)23,953 23,574 2 
Total noninterest expense$17,063 $16,875 1 %$53,455 $50,608 6 %
(a)Included Firmwide legal expense of $76 million and $524 million for the three months ended September 30, 2021 and 2020, respectively, and $289 million and $839 million for the nine months ended September 30, 2021 and 2020, respectively.
(b)Included FDIC-related expense of $173 million and $186 million for the three months ended September 30, 2021 and 2020, respectively, and $551 million and $503 million for the nine months ended September 30, 2021 and 2020, respectively.
Quarterly results
Compensation expenseincreased driven by higher performance-related compensation largely in AWM and CCB, and the impact of investments in the businesses.
Noncompensation expensedecreased as a result of:
•lower legal expense, predominantly in CIB
•the absence of an impairment in the prior year on a legacy investment in Corporate, and
•lower depreciation expense in CCB on lower auto lease assets and the impact of higher vehicle collateral values,
largely offset by
•higher volume-related brokerage expense in CIB and distribution fees in AWM
•higher marketing expense, predominantly in CCB, associated with higher investments in marketing campaigns and travel-related benefits
•higher other investments, including technology.
Year-to-date results
Compensation expenseincreased driven by higher performance-related compensation across the methodology applied when determiningLOBs, and the allowance. impact of investments in the businesses.
Noncompensation expenseincreased as a result of:
•higher volume-related brokerage expense in CIB and distribution fees in AWM
•higher marketing expense in CCB associated with higher investments in marketing campaigns and travel-related benefits
•higher contribution expense, which included a $550 million donation of equity investments to the Firm's Foundation in the first quarter of 2021
•higher other investments, including technology, and
•higher FDIC and other regulatory-related expense,
partially offset by
•lower depreciation expense in CCB on lower auto lease assets and the impact of higher vehicle collateral values
•lower legal expense, driven by CIB, and
•the absence of an impairment, in the prior year, on a legacy investment in Corporate.

14

Income tax expense
(in millions)Three months ended September 30,Nine months ended September 30,
20212020Change20212020Change
Income before income tax expense$14,111 $11,769 20 %$46,905 $20,639 127 %
Income tax expense(a)
2,424 2,326 4 8,970 3,644 146 
Effective tax rate(a)
17.2 %19.8 %19.1 %17.7 %
(a)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.

Quarterly results
The Tprovision for credit losseshe effective tax rate decreased driven by bothfor the consumercurrent period was 17.2%, and wholesale portfolios.
reflected an income tax benefit of $566 million related to finalizing the Firm's 2020 U.S. federal tax return. The decrease in consumer reflected:
•tax benefit included state and local impacts of federal tax method changes and a $300 million reduction in the valuation allowance for credit losses in Home Lending due to paydowns; a $100 million reduction in the allowance in the Business Banking consumer portfolio, which was offset by an addition to the allowance in the Business Banking wholesale portfolio; resulting in no change to CBB’s overall allowance for credit losses, and
•lower net charge-offs in Card, which reflected lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs.U.S. foreign tax credits.
The prior year included a $138 million net additioneffective tax rate was 19.8% and also reflected an income tax benefit related to the allowance for credit losses.
The wholesale provision was a net benefit as a result of reductions in the allowance for credit losses across CIB, CB and AWM, driven by changes in loan balances, partially offset by an addition to the allowance in CCB Business Banking as noted above. The prior year provision was largely driven by select Commercial & Industrial ("C&I") client downgrades.returns.
The investment securities provision was predominantly driven by the transfer of certain securities from available-for-sale ("AFS") to held-to-maturity ("HTM").
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 10 and 13 for additional information on the credit portfolio and the allowance for credit losses.

Year-to-date results
The provision for credit losses increased primarily driven by the deterioration and uncertainty in the macroeconomic environment as a result ofBoth periods reflected the impact of the COVID-19 pandemic in consumer and wholesale.
The increase in consumer reflected:
•net additions of $8.3 billion to the allowance for credit losses, consisting of $6.6 billion for Card, $900 million for Home Lending, $520 million for Auto, and $252 million for Business Banking,
partially offset by
•lower net charge-offs largely in Card, which reflected higher recoveries, and in Home Lending, reflecting higher recoveries on a loan sale in the first quarter of 2020.
The prior year included an $83 million net reduction in the allowance for credit losses.
The increase in wholesale reflected a net addition of $6.7 billion to the allowance for credit losses across the LOBs impacting multiple industry sectors.
The investment securities provision was predominantly driven by the transfer of certain securities from AFS to HTM.
16

Noninterest expense
(in millions)Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change
Compensation expense$8,630 $8,583 1 %$27,034 $26,067 4 %
Noncompensation expense:
Occupancy1,142 1,110 3 3,288 3,238 2 
Technology, communications and equipment2,564 2,494 3 7,732 7,236 7 
Professional and outside services2,178 2,056 6 6,205 6,307 (2)
Marketing(a)
470 895 (47)1,751 2,504 (30)
Other expense(b)(c)
1,891 1,234 53 4,598 3,624 27 
Total noncompensation expense8,245 7,789 6 23,574 22,909 3 
Total noninterest expense$16,875 $16,372 3 %$50,608 $48,976 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 $524 million and $10 million for the three months ended September 30, 2020 and 2019, respectively, and $839 million and $(2) million for the nine months ended September 30, 2020 and 2019, respectively.
(c)Included FDIC-related expense of $186 million and $114 million for the three months ended September 30, 2020 and 2019, respectively, and $503 million and $378 million for the nine months ended September 30, 2020 and 2019, respectively.
Quarterly results
Compensation expense increased driven by investments in new hires, predominantly offset by lower revenue-related expense in CIB.
Noncompensation expense increased as a result of:
•higher legal expense predominantly in CIB
•an impairment on a legacy investment in Corporate
•higher volume-related expense, in particular brokerage expense in CIB,
partially offset by
•lower marketing expense in CCB as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower structural expense, including lower travel and entertainment across the businesses.
Year-to-date results
Compensation expense increased driven by higher revenue-related expense in CIB.
Noncompensation expense increased as a result of:
•higher legal expense predominantly in CIB and from a lower net legal benefit in Corporate
•higher volume-related expense, in particular brokerage expense in CIB and depreciation from growth in auto lease assets in CCB
•an impairment on a legacy investment in Corporate,
partially offset by
•lower marketing expense in CCB as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower structural expense, including lower travel and entertainment across the businesses.
Income tax expense
(in millions)Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change
Income before income tax expense$11,661 $11,405 2 %$20,342 $33,980 (40)%
Income tax expense2,218 2,325 (5)3,347 6,069 (45)
Effective tax rate19.0 %20.4 %16.5 %17.9 %
Quarterly results
The effective tax rate decreased due to changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes, as well as prior-year adjustments. The decrease was partially offset by the absence of tax benefits recorded in the prior year related to the resolution of certain tax audits.taxes.
Year-to-date results
The effective tax rate decreasedfor the current period was 19.1% and reflected an income tax benefit of $566 million related to finalizing the Firm's 2020 U.S. federal tax return, largely offset by the resolution of certain tax audits. The tax benefit included state and local impacts of federal tax method changes and a reduction in the valuation allowance for U.S. foreign tax credits.
The prior year effective tax rate was 17.7% and included a benefit related to prior year returns and the higher impact of certain tax benefits due to changes inthe lower level of pre-tax income.
Both periods reflected the impact of the level and mix of income and expenses subject to U.S. federal, and state and local taxes as well as prior-year adjustments and the more significant effect of certain tax benefits on a lower level of pre-tax income. The decrease was largely offset by the recognition of $1.0 billion of tax benefits recorded in the prior year related to the resolution of certain tax audits..

1715

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 September 30, 2020,2021, and December 31, 2019.2020.
Selected Consolidated balance sheets dataSelected Consolidated balance sheets dataSelected Consolidated balance sheets data
(in millions)(in millions)September 30,
2020		December 31,
2019		Change(in millions)September 30,
2021		December 31,
2020		Change
AssetsAssetsAssets
Cash and due from banksCash and due from banks$20,816 $21,704 (4)%Cash and due from banks$25,857 $24,874 4 %
Deposits with banksDeposits with banks466,706 241,927 93 Deposits with banks734,012 502,735 46 
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements319,849 249,157 28 Federal funds sold and securities purchased under resale agreements282,161 296,284 (5)
Securities borrowedSecurities borrowed142,441 139,758 2 Securities borrowed202,987 160,635 26 
Trading assets(a)
Trading assets(a)
505,822 369,687 37 
Trading assets(a)
515,901 503,126 3 
Available-for-sale securitiesAvailable-for-sale securities389,583 350,699 11 Available-for-sale securities251,590 388,178 (35)
Held-to-maturity securities, net of allowance for credit lossesHeld-to-maturity securities, net of allowance for credit losses141,553 47,540 198 Held-to-maturity securities, net of allowance for credit losses343,542 201,821 70 
Investment securities, net of allowance for credit lossesInvestment securities, net of allowance for credit losses531,136 398,239 33 Investment securities, net of allowance for credit losses595,132 589,999 1 
Loans(a)
Loans(a)
989,740 997,620 (1)
Loans(a)
1,044,615 1,012,853 3 
Allowance for loan lossesAllowance for loan losses(30,814)(13,123)135 Allowance for loan losses(18,150)(28,328)(36)
Loans, net of allowance for loan lossesLoans, net of allowance for loan losses958,926 984,497 (3)Loans, net of allowance for loan losses1,026,465 984,525 4 
Accrued interest and accounts receivableAccrued interest and accounts receivable76,945 72,861 6 Accrued interest and accounts receivable116,395 90,503 29 
Premises and equipmentPremises and equipment26,672 25,813 3 Premises and equipment26,996 27,109 — 
Goodwill, MSRs and other intangible assetsGoodwill, MSRs and other intangible assets51,594 53,341 (3)Goodwill, MSRs and other intangible assets56,566 53,428 6 
Other assets(a)
Other assets(a)
145,169 130,395 11 
Other assets(a)
175,104 151,539 16 
Total assetsTotal assets$3,246,076 $2,687,379 21 %Total assets$3,757,576 $3,384,757 11 %
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts haveamount has been revised to conform with the current presentation. Refer to Note 1 for further information.
Cash and due from banks and deposits with banks increased primarily as a result of significant deposit inflows, which also funded assetthe continued growth across the Firm, including in investment securitiesdeposits and securities purchased under resale agreements.limited deployment opportunities in Treasury and CIO. 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 increased predominantly as a result of higherdecreased driven by:
•lower deployment of cashfunds in Treasury and CIO, as well as the impact of client activity and lower client-driven market-making activities in CIB Markets,
partially offset by
•higher demand for securities to cover short positions in CIB. CIB Markets.
Securities borrowed increased reflecting higher client-driven activities, and an increase in the demand for securities to cover short positions in CIB Markets.
Refer to Liquidity Risk Management on pages 55–59 and Note 1110 for additional information.information on securities purchased under resale agreements and securities borrowed.
Trading assets increased compared with lower levels at year-end due to reflecting;
•client-driven market-making activities in debt and equity instruments, predominantly in CIB Markets, as well as higherprime brokerage,
partially offset by
•lower derivative receivables, as a resultprimarily driven by maturities of market movements, alsocertain trades in CIB. CIB, and
•lower deployment of funds in Treasury and CIO.
Refer to Notes 2 and 54 for additional information.

Investment securitiesecuritiess increased, reflecting net increased due to purchases of U.S. Treasuries and U.S. GSE and government agency MBSpaydowns in the available-for-sale (“AFS”held-to-maturity ("HTM") portfolio, driven by interest rate risk management activities and cash deployment,securities, partially offset by a non-cash transferpaydowns and net purchases in available-for-sale ("AFS") securities. In the second quarter of $100.5 billion of2021, AFS securities of $104.5 billion were transferred to the held-to-maturity (“HTM”)HTM portfolio resulting in a comparable increase in HTM; the transfer was made for capital management purposes.
Refer to Corporate segment results on pages 46-47,44-46, Investment Portfolio Risk Management on page 79,77, and
Notes 2 and 109 for additional information on Investment securities.information.
Loans decreased, reflecting:increased, reflecting:
•higher secured lending in CIB Markets; and higher securities-based lending, mortgages, as well as custom lending in AWM,
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 asCBB and CB primarily driven by the impact of seasonality;PPP forgiveness; and lower retained residential real estate loans in Home Lending primarily due to paydowns and loan sales, net of originations,
partially offset by
•the impact of the PPP loans in CBB and CB, as well as growth in wholesale loans and mortgages in AWM.paydowns.
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,decreased, consisting of:
•a net $8.3$7.9 billion additionreduction in consumer, predominantly in the credit card portfolio, reflecting improvements in the Firm's macroeconomic outlook; and in the residential real estate portfoliosportfolio, primarily due to continued improvements in HPI expectations,and
•a $2.3 billion net $5.2 billion additionreduction in wholesale, across the LOBs, impacting multiple industry sectors, and
•a net $4.2 billion addition as a result ofreflecting improvements in the adoption of CECL.Firm's macroeconomic outlook.
There were also additions towas a $104 million net reduction in the allowance for lending-related commitments, whichdriven by both wholesale and consumer. This allowance is included in other liabilities on the consolidated balance sheets, of $1.5 billion related to the impact of the COVID-19 pandemic, and $98 million related to the adoption of CECL, resultingsheets. The total net reduction in total additions to the allowance for credit losses of $15.0 billion and $4.3 billion, respectively, as of September 30, 2020.
1816

the allowance for credit losses was $10.3 billion, as of September 30, 2021.
Refer to Credit and Investment Risk Management on pages 60-79,59-77, and Notes 1, 2, 3, 1211 and 1312 for a more detailed discussion of loans and the allowance for loan losses.
Accrued interest and accounts receivable increased due to higher client receivables related to client-driven activities primarily in CIB prime brokerage.
Goodwill, MSRs and other intangibles decreased reflecting lowerincreased reflecting:
•higher MSRs as a result of faster prepayment speeds on lower rates andnet additions, partially offset by the realization of expected cash flows, partially offset by net additions toflows; and
•an increase in Goodwill as a result of the MSRs.acquisitions of Nutmeg, OpenInvest, Frank and Campbell Global.
Refer to Note 1514 for additional information.
Other assets increased reflectingdue to the higher cash collateral placed with central counterparties ("CCPs") in CIB. CIB, and higher tax receivables. Refer to Note 10 for additional information on securities financing transactions.
Selected Consolidated balance sheets data (continued)
(in millions)September 30,
2021		December 31,
2020		Change
Liabilities
Deposits$2,402,353 $2,144,257 12 %
Federal funds purchased and securities loaned or sold under repurchase agreements254,920 215,209 18 
Short-term borrowings50,393 45,208 11 
Trading liabilities179,543 170,181 6 
Accounts payable and other liabilities(a)
268,604 231,285 16 
Beneficial interests issued by consolidated variable interest entities (“VIEs”)13,257 17,578 (25)
Long-term debt298,465 281,685 6 
Total liabilities3,467,535 3,105,403 12 
Stockholders’ equity290,041 279,354 4 
Total liabilities and stockholders’ equity$3,757,576 $3,384,757 11 %
(a) Prior-period amount has been revised to conform with the current presentation. Refer to Note 1 for further information.
Deposits increased across the LOBs primarily driven by the effect of certain government actions in response to the COVID 19 pandemic. In CCB, the increase was also driven by growth from existing and new accounts across both consumer and small business customers. Refer to Liquidity Risk Management on pages 55–59 for additional information.
Selected Consolidated balance sheets data (continued)
(in millions)September 30,
2020		December 31,
2019		Change
Liabilities
Deposits$2,001,416 $1,562,431 28 %
Federal funds purchased and securities loaned or sold under repurchase agreements236,440 183,675 29 
Short-term borrowings41,992 40,920 3 
Trading liabilities162,493 119,277 36 
Accounts payable and other liabilities234,256 210,407 11 
Beneficial interests issued by consolidated variable interest entities (“VIEs”)19,191 17,841 8 
Long-term debt279,175 291,498 (4)
Total liabilities2,974,963 2,426,049 23 
Stockholders’ equity271,113 261,330 4 
Total liabilities and stockholders’ equity$3,246,076 $2,687,379 21 %
Deposits increased reflecting significant inflows across the LOBs primarily driven by the COVID-19 pandemic and the related effect of certain government actions
•in the wholesale businesses, the inflows principally occurred in March as clients looked to remain liquid as a result of market conditions; in general, balances remained elevated through the third quarter, and
•in CCB, the increase was driven by lower spending and higher cash balances across both consumer and small business customers, as well as growth from existing and new accounts.
Refer to Liquidity Risk Management on pages 55–5954-58 and Notes 2 and 1615 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased reflecting:
•in CIB, higherthe impact of client activities and secured financing of trading assets in CIB Markets,
partially offset by a decline in client-driven market-making activities, and the Firm's nonparticipation in the Federal Reserve's open market operations, and
•in Treasury and CIO, higherlower secured financing of AFS investment securities. securities in Treasury and CIO.
Refer to Liquidity Risk Management on pages 55–5954-58 and Note 1110 for additional information.
For information on short-term borrowings, refer to Liquidity Risk Management on pages 55–59 .
Trading liabilitiesShort-term borrowings increased predominantly as a result of higher financing of prime brokerage activities in CIB. Refer to pages 54-58 for information on changes in Liquidity Risk Management.
Trading liabilities increased due to client-driven market-making activities in CIB Fixed Income Markets, which resulted in higher levels of short positions predominantly in debt instruments, in Fixed Income Markets, as well as higherpartially offset by lower derivative payables largely as a result of market movements. Refer to Notes 2 and 54 for additional information.
Accounts payable and other liabilities increased reflecting higher client payables related to client-driven activities primarily in CIB.CIB prime brokerage. Refer to Note 10 for additional information on securities financing transactions.
Beneficial interests issued by consolidated VIEs increased primarily reflecting higher levelsdecreased driven by maturities of credit card securitizations in Treasury and CIO, as well as lower issuances of commercial paper as a result of lower loan balances in the Firm-administered multi-seller conduit commercial paper held by third parties.
conduits in CIB. Refer to Off-Balance Sheet Arrangements on page 2119 and Notes 1413 and 2322 for furtheradditional information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt decreased as a result of maturities of FHLB advances;increased driven by net maturities of senior debt, which included the early termination of certain of the Firm's debt;issuances, partially offset by an issuance of subordinated debt, and higher fair value hedge accounting adjustments related to lower interesthigher rates. The decrease was also due to a lower level of structured notes in CIB.RefeReferr to Liquidity Risk Management on pages 55–5954-58 for additional information on the Firm’s long-term debt activities.information.
Stockholders’ equity increased reflecting net income, partially offset by the combinednet impact of net income, capital actions, the adoption of CECL and an increasea decrease in accumulated other comprehensive income (“AOCI”). The increasedecrease in AOCI was driven by net unrealized gainsthe impact of higher rates on the AFS securities portfolio and higher valuation of interest rate cash flow hedges. Refer to page 9694 for information on changes in stockholders’ equity, Capital actions on page 53,pages 51-52, and Note 2019 for additional information on AOCI.
1917

Consolidated cash flows analysis
The following is a discussion of cash flow activities during the nine months ended September 30, 20202021 and 2019.2020.
(in millions)(in millions)Nine months ended September 30,(in millions)Nine months ended September 30,
20202019(in millions)20212020
Net cash provided by/(used in)Net cash provided by/(used in)
Operating activities(a)
Operating activities(a)
$(51,858)$(78,719)
Operating activities(a)
$(7,011)$(51,858)
Investing activities(a)
Investing activities(a)
(198,206)(36,501)
Investing activities(a)
(29,186)(198,206)
Financing activitiesFinancing activities470,687 96,006 Financing activities278,015 470,687 
Effect of exchange rate changes on cashEffect of exchange rate changes on cash3,268 (2,982)Effect of exchange rate changes on cash(9,558)3,268 
Net increase/(decrease) in cash and due from banks and deposits with banks$223,891 $(22,196)
Net increase in cash and due from banks and deposits with banksNet increase in cash and due from banks and deposits with banks$232,260 $223,891 
(a) Operating activities
•In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions2021, cash used resulted from trading assets to loanshigher securities borrowed and accrued interest and accounts receivable, partially offset by higher accounts payable and other assets. Prior-period amounts have been revised to conform with the current presentation.
Operating activitiesliabilities.
•In 2020, cash used resulted from higher trading assets and other assets, partially offset by higher trading liabilities and accounts payable and other liabilities, and net proceeds from loans held for sale.liabilities.
Investing activities
•In 2019,2021, cash used primarily resulted from higher trading assetsnet loan originations and net purchases of investment securities, borrowed, partially offset by increased accounts payable and other liabilities, trading liabilities, and net proceeds from loans held-for-sale.lower securities purchased under resale agreements.
Investing activities
•In 2020, cash used reflectedresulted from net purchases of investment securities and higher securities purchased under resale agreements, partially offset by net proceeds from sales and securitizations of loans held-for-investment.agreements.
Financing activities
•In 2019,2021, cash used resulted from net purchases of investmentprovided reflected higher deposits and securities partially offset by higher securities purchasedloaned or sold under resalerepurchase agreements, and net proceeds from saleslong- and securitizations of loans held-for-investment.short-term borrowings.
Financing activities
•In 2020, cash provided reflected higher deposits and securities loaned or sold under repurchase agreements, partially offset by net paymentspaydowns of long termlong- and short-term borrowings.
•In 2019, cash provided resulted from higher deposits and securities loaned or sold under repurchase agreements.
•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. Subsequently, the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases through the end of the fourth quarter of 2020.
* * *
Refer to Consolidated Balance Sheets Analysis on pages 18-19,16-17, Capital Risk Management on pages 49-54,48-53, and Liquidity Risk Management on pages 55–5954-58 of this Form 10-Q, and pages 93–98102–108 of JPMorgan Chase’s 20192020 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.

2018

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 discussiondiscussions 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 1413163-168155-160
Off-balance sheet lending-related financial instruments, guarantees, and other commitmentsRefer to Note 2322179-182172-175


2119

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 93-97.91-95.
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 total noninterest expense
•Net interest income and net yield excluding CIB Markets
•Tangible common equity (“TCE”),TCE, ROTCE, and TBVPS
•Adjusted expense, which represents noninterest expense excluding Firmwide legal expense
•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 57–5962–64 of JPMorgan Chase’s 20192020 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 September 30,Three months ended September 30,
2020201920212020
(in millions, except ratios)(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis
Other income$959 $690 $1,649 $1,472 $596 $2,068 
Total noninterest revenue(a)
16,134 690 16,824 15,063 596 15,659 
Other income(a)
Other income(a)
$1,332 $690 $2,022 $1,067 $582 $1,649 
Total noninterest revenueTotal noninterest revenue16,567 690 17,257 16,242 582 16,824 
Net interest incomeNet interest income13,013 104 13,117 14,228 127 14,355 Net interest income13,080 104 13,184 13,013 104 13,117 
Total net revenueTotal net revenue29,147 794 29,941 29,291 723 30,014 Total net revenue29,647 794 30,441 29,255 686 29,941 
Total noninterest expense(a)
16,875 NA16,875 16,372 NA16,372 
Total noninterest expenseTotal noninterest expense17,063 NA17,063 16,875 NA16,875 
Pre-provision profitPre-provision profit12,272 794 13,066 12,919 723 13,642 Pre-provision profit12,584 794 13,378 12,380 686 13,066 
Provision for credit lossesProvision for credit losses611 NA611 1,514 NA1,514 Provision for credit losses(1,527)NA(1,527)611 NA611 
Income before income tax expenseIncome before income tax expense11,661 794 12,455 11,405 723 12,128 Income before income tax expense14,111 794 14,905 11,769 686 12,455 
Income tax expense2,218 794 3,012 2,325 723 3,048 
Income tax expense(a)
Income tax expense(a)
2,424 794 3,218 2,326 686 3,012 
Net incomeNet income$9,443 NA$9,443 $9,080 NA$9,080 Net income$11,687 NA$11,687 $9,443 NA$9,443 
Overhead ratio(a)Overhead ratio(a)58 %NM56 %56 %NM55 %Overhead ratio(a)58 %NM56 %58 %NM56 %
Nine months ended September 30,
20202019
(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis
Other income$3,157 $2,128 $5,285 $4,239 $1,777 $6,016 
Total noninterest revenue(a)
49,014 2,128 51,142 44,035 1,777 45,812 
Net interest income41,305 321 41,626 43,079 408 43,487 
Total net revenue90,319 2,449 92,768 87,114 2,185 89,299 
Total noninterest expense(a)
50,608 NA50,608 48,976 NA48,976 
Pre-provision profit39,711 2,449 42,160 38,138 2,185 40,323 
Provision for credit losses19,369 NA19,369 4,158 NA4,158 
Income before income tax expense20,342 2,449 22,791 33,980 2,185 36,165 
Income tax expense3,347 $2,449 5,796 6,069 2,185 8,254 
Net Income$16,995 NA$16,995 $27,911 NA$27,911 
Overhead ratio56 %NM55 %56 %NM55 %
Nine months ended September 30,
20212020
(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis
Other income(a)
$3,650 $2,241 $5,891 $3,454 $1,831 $5,285 
Total noninterest revenue53,682 2,241 55,923 49,311 1,831 51,142 
Net interest income38,710 322 39,032 41,305 321 41,626 
Total net revenue92,392 2,563 94,955 90,616 2,152 92,768 
Total noninterest expense53,455 NA53,455 50,608 NA50,608 
Pre-provision profit38,937 2,563 41,500 40,008 2,152 42,160 
Provision for credit losses(7,968)NA(7,968)19,369 NA19,369 
Income before income tax expense46,905 2,563 49,468 20,639 2,152 22,791 
Income tax expense(a)
8,970 2,563 11,533 3,644 2,152 5,796 
Net income$37,935 NA$37,935 $16,995 NA$16,995 
Overhead ratio(a)
58 %NM56 %56 %NM55 %
(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. Refer to Note 1 for further information.
(b)Predominantly recognized in CIB, CB and Corporate.





22
20

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

(in millions, except rates)
(in millions, except rates)		Three months ended September 30,Nine months ended September 30,
(in millions, except rates)		Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change20212020Change20212020Change
Net interest income – reportedNet interest income – reported$13,013 $14,228 (9)%$41,305 $43,079 (4)%Net interest income – reported$13,080 $13,013 1 %$38,710 $41,305 (6)%
Fully taxable-equivalent adjustmentsFully taxable-equivalent adjustments104 127 (18)321 408 (21)Fully taxable-equivalent adjustments104 104 — 322 321 — 
Net interest income – managed basis(a)
Net interest income – managed basis(a)
$13,117 $14,355 (9)$41,626 $43,487 (4)
Net interest income – managed basis(a)
$13,184 $13,117 1 $39,032 $41,626 (6)
Less: CIB Markets net interest income(b)
Less: CIB Markets net interest income(b)
2,076 723 187 6,208 1,971 215 
Less: CIB Markets net interest income(b)
1,967 2,076 (5)6,177 6,208 — 
Net interest income excluding CIB Markets(a)
Net interest income excluding CIB Markets(a)
$11,041 $13,632 (19)$35,418 $41,516 (15)
Net interest income excluding CIB Markets(a)
$11,217 $11,041 2 $32,855 $35,418 (7)
Average interest-earning assets(c)
Average interest-earning assets(c)
$2,874,974 $2,364,951 22 $2,720,636 $2,334,406 17 
Average interest-earning assets(c)
$3,219,786 $2,874,974 12 $3,174,858 $2,720,636 17 
Less: Average CIB Markets interest-earning assets(c)(b)
Less: Average CIB Markets interest-earning assets(c)(b)
730,141 690,390 6 753,748 671,019 12 
Less: Average CIB Markets interest-earning assets(c)(b)
894,892 730,141 23 881,547 753,748 17 
Average interest-earning assets excluding CIB MarketsAverage interest-earning assets excluding CIB Markets$2,144,833 $1,674,561 28%$1,966,888 $1,663,387 18%Average interest-earning assets excluding CIB Markets$2,324,894 $2,144,833 8 %$2,293,311 $1,966,888 17 %
Net yield on average interest-earning assets – managed basisNet yield on average interest-earning assets – managed basis1.82 %2.41 %2.04 %2.49 %Net yield on average interest-earning assets – managed basis1.62 %1.82 %1.64 %2.04 %
Net yield on average CIB Markets interest-earning assets(b)
Net yield on average CIB Markets interest-earning assets(b)
1.13 0.42 1.10 0.39 
Net yield on average CIB Markets interest-earning assets(b)
0.87 1.13 0.94 1.10 
Net yield on average interest-earning assets excluding CIB MarketsNet yield on average interest-earning assets excluding CIB Markets2.05 %3.23 %2.41 %3.34 %Net yield on average interest-earning assets excluding CIB Markets1.91 %2.05 %1.92 %2.41 %
(a)Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.
(b)Refer to page 3633 for further information on CIB Markets.
(c)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
Period-endAveragePeriod-endAverage
(in millions, except per share and ratio data)(in millions, except per share and ratio data)Sep 30,
2020		Dec 31,
2019		Three months ended September 30,Nine months ended September 30,(in millions, except per share and ratio data)Sep 30,
2021		Dec 31,
2020		Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Common stockholders’ equityCommon stockholders’ equity$241,050 $234,337 $236,797 $235,613 $235,251 $232,917 Common stockholders’ equity$255,203 $249,291 $253,556 $236,797 $250,011 $235,251 
Less: GoodwillLess: Goodwill47,819 47,823 47,820 47,707 47,812 47,552 Less: Goodwill50,313 49,248 49,457 47,820 49,323 47,812 
Less: Other intangible assetsLess: Other intangible assets759 819 769 842 791 776 Less: Other intangible assets902 904 849 769 868 791 
Add: Certain deferred tax liabilities(a)
Add: Certain deferred tax liabilities(a)
2,405 2,381 2,401 2,344 2,393 2,311 
Add: Certain deferred tax liabilities(a)
2,500 2,453 2,480 2,401 2,465 2,393 
Tangible common equityTangible common equity$194,877 $188,076 $190,609 $189,408 $189,041 $186,900 Tangible common equity$206,488 $201,592 $205,730 $190,609 $202,285 $189,041 
Return on tangible common equityReturn on tangible common equityNANA19 %18 %11 %19 %Return on tangible common equityNANA22 %19 %24 %11 %
Tangible book value per shareTangible book value per share$63.93 $60.98 NANAN/AN/ATangible book value per share$69.87 $66.11 NANANANA
(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.
2321

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 22-2320-21 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 also assesses the level of capital required for each LOB on at least an annual basis. 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 areis 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.
BusinessFunds transfer pricing
Funds transfer pricing is the process by which the Firm allocates interest income and expense to each business segment capitaland transfers the primary interest rate risk and liquidity risk exposures to Treasury and CIO within Corporate. The funds transfer pricing process considers the interest rate risk, liquidity risk and regulatory requirements on a product-by-product basis within each business segment.
Capital allocation
The amount of capital assigned to each businesssegment is referred to as equity. Periodically, the assumptions and methodologies used to allocate capital are assessedreassessed and as a result, the capital allocated to the LOBs may change. Refer to Line of business equity on page 9051, and page 98 of JPMorgan Chase’s 20192020 Form 10-K for additional information on business segment capital allocation.
Refer to Business Segment Results – Description of business segment reporting methodology on pages 60–6165–66 of JPMorgan Chase’s 20192020 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 are reported across CCB, CIB and CB based primarily on client relationships. Prior-period amounts 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
 • Equity Markets
 • Securities Services
 • Credit Adjustments & Other
 • Corporate Client Banking
• Wealth Management

 • Commercial Real Estate Banking
2422

Segment results – managed basis
The following tables summarize the Firm’s results by segment for the periods indicated.
Three months ended September 30,Three months ended September 30,
Consumer & Community Banking(a)
Corporate & Investment BankCommercial BankingThree months ended September 30,Consumer & Community BankingCorporate & Investment BankCommercial Banking
(in millions, except ratios)(in millions, except ratios)20202019Change20202019Change20202019Change(in millions, except ratios)20212020Change20212020Change20212020Change
Total net revenueTotal net revenue$12,755 $13,958 (9)%$11,503 $9,522 21 %$2,285 $2,274 — %Total net revenue$12,521 $12,895(3)%$12,396 $11,5467%$2,520 $2,28510%
Total noninterest expenseTotal noninterest expense6,770 7,025 (4)5,797 5,504 5 966 940 3 Total noninterest expense7,238 6,91255,871 5,83211,032 9697
Pre-provision profit/(loss)Pre-provision profit/(loss)5,985 6,933 (14)5,706 4,018 42 1,319 1,334 (1)Pre-provision profit/(loss)5,283 5,983(12)6,525 5,714141,488 1,31613
Provision for credit lossesProvision for credit losses794 1,311 (39)(81)92 NM(147)67 NMProvision for credit losses(459)795NM(638)(81)NM(363)(147)
Net income/(loss)Net income/(loss)3,873 4,245 (9)4,304 2,831 52 1,088 943 15 Net income/(loss)4,341 3,871125,562 4,309291,407 1,08630
Return on equity (“ROE”)Return on equity (“ROE”)29 %31 %21 %13 %19 %16 %Return on equity (“ROE”)34%29%26 %21%22 %19%
Three months ended September 30,Three months ended September 30,Asset & Wealth ManagementCorporate
Total(a)
Three months ended September 30,Asset & Wealth ManagementCorporateTotal
(in millions, except ratios)(in millions, except ratios)20202019Change20202019Change20202019Change(in millions, except ratios)20212020Change20212020Change20212020Change
Total net revenueTotal net revenue$3,737 $3,568 5 %$(339)$692 NM$29,941 $30,014 — %Total net revenue$4,300 $3,55421%$(1,296)$(339)(282)%$30,441 $29,9412%
Total noninterest expenseTotal noninterest expense2,623 2,622 — 719 281 156 16,875 16,372 3 Total noninterest expense2,762 2,44313160 719(78)17,063 16,8751
Pre-provision profit/(loss)Pre-provision profit/(loss)1,114 946 18 (1,058)411 NM13,066 13,642 (4)Pre-provision profit/(loss)1,538 1,11138(1,456)(1,058)(38)13,378 13,0662
Provision for credit lossesProvision for credit losses(51)44 NM96 — NM611 1,514 (60)Provision for credit losses(60)(52)(15)(7)96NM(1,527)611NM
Net income/(loss)Net income/(loss)877 668 31 (699)393 NM9,443 9,080 4 Net income/(loss)1,194 87636(817)(699)(17)11,687 9,44324
ROEROE32 %24 %NMNM15 %15 %ROE33 %32%NMNM18 %15%
Nine months ended September 30,Nine months ended September 30,
Consumer & Community Banking(a)
Corporate & Investment BankCommercial BankingNine months ended September 30,Consumer & Community BankingCorporate & Investment BankCommercial Banking
(in millions, except ratios)(in millions, except ratios)20202019Change20202019Change20202019Change(in millions, except ratios)20212020Change20212020Change20212020Change
Total net revenueTotal net revenue$38,084 $40,885 (7)%$37,803 $29,387 29 %$6,855 $6,972 (2)%Total net revenue$37,798 $38,540(2)%$40,215 $37,9326%$7,396 $6,8508%
Total noninterest expenseTotal noninterest expense20,498 20,784 (1)18,457 16,794 10 2,853 2,809 2 Total noninterest expense21,502 20,948319,498 18,59952,982 2,8485
Pre-provision profit/(loss)Pre-provision profit/(loss)17,586 20,101 (13)19,346 12,593 54 4,002 4,163 (4)Pre-provision profit/(loss)16,296 17,592(7)20,717 19,33374,414 4,00210
Provision for credit lossesProvision for credit losses12,394 3,745 231 3,307 179 NM3,294 186 NMProvision for credit losses(5,929)12,395NM(1,048)3,307NM(858)3,294NM
Net income/(loss)Net income/(loss)3,888 12,349 (69)11,756 9,037 30 544 3,005 (82)Net income/(loss)16,703 3,89232916,287 11,745393,995 544NM
ROEROE9 %31 %19 %14 %2 %17 %ROE44%9%25%19%21 %2%
Nine months ended September 30,Asset & Wealth ManagementCorporate
Total(a)
(in millions, except ratios)20202019Change20202019Change20202019Change
Total net revenue$10,953 $10,616 3 %$(927)$1,439 NM$92,768 $89,299 4 %
Total noninterest expense7,788 7,865 (1)1,012724 40 50,608 48,976 3 
Pre-provision profit/(loss)3,165 2,751 15 (1,939)715 NM42,160 40,323 5 
Provision for credit losses266 48 454 108— NM19,369 4,158 366 
Net income/(loss)2,199 2,048 7 (1,392)1,472 NM16,995 27,911 (39)
ROE27 %25 %NMNM9 %15 %
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.
Nine months ended September 30,Asset & Wealth ManagementCorporateTotal
(in millions, except ratios)20212020Change20212020Change20212020Change
Total net revenue$12,484 $10,37320%$(2,938)$(927)(217)%$94,955 $92,7682%
Total noninterest expense7,922 7,201101,551 1,0125353,455 50,6086
Pre-provision profit/(loss)4,562 3,17244(4,489)(1,939)(132)41,500 42,160(2)
Provision for credit losses(191)265NM58 108(46)(7,968)19,369NM
Net income/(loss)3,591 2,20663(2,641)(1,392)(90)37,935 16,995123
ROE33 %27%NMNM20 %9%
The following sections provide a comparative discussion of the Firm’s results by segment as of or for the three and nine months ended September 30, 20202021 versus the corresponding periods in the prior year, unless otherwise specified.
2523

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 pages 67–70 of JPMorgan Chase's 2020 Form 10-K and Line of Business Metrics on page 198191 for a further discussion of the business profile of CCB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue
Lending- and deposit-related fees(a)
$771 $1,026 (25)%$2,360 $2,906 (19)%
Asset management, administration and commissions(a)
596 606 (2)1,717 1,807 (5)
Mortgage fees and related income1,076 886 21 2,313 1,561 48 
Card income(b)
890 905 (2)2,332 2,680 (13)
All other income1,425 1,383 3 4,111 3,994 3 
Noninterest revenue4,758 4,806 (1)12,833 12,948 (1)
Net interest income7,997 9,152 (13)25,251 27,937 (10)
Total net revenue12,755 13,958 (9)38,084 40,885 (7)
Provision for credit losses794 1,311 (39)12,394 3,745 231 
Noninterest expense
Compensation expense2,679 2,544 5 7,833 7,641 3 
Noncompensation expense(b)(c)
4,091 4,481 (9)12,665 13,143 (4)
Total noninterest expense6,770 7,025 (4)20,498 20,784 (1)
Income before income tax expense5,191 5,622 (8)5,192 16,356 (68)
Income tax expense1,318 1,377 (4)1,304 4,007 (67)
Net income$3,873 $4,245 (9)$3,888 $12,349 (69)
Revenue by line of business
Consumer & Business Banking$5,557 $6,782 (18)$16,755 $20,340 (18)
Home Lending1,714 1,465 17 4,562 3,929 16 
Card & Auto(b)
5,484 5,711 (4)16,767 16,616 1 
Mortgage fees and related income details:
Net production revenue765 738 4 1,826 1,291 41 
Net mortgage servicing revenue(d)
311 148 110 487 270 80 
Mortgage fees and related income$1,076 $886 21 %$2,313 $1,561 48 %
Financial ratios
Return on equity29 %31 %9 %31 %
Overhead ratio53505451
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.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20212020Change20212020Change
Revenue
Lending- and deposit-related fees$786 $771 2 %$2,281 $2,360 (3)%
Asset management, administration and commissions893 703 27 2,564 2,045 25 
Mortgage fees and related income596 1,076 (45)1,847 2,313 (20)
Card income651 826 (21)2,888 2,145 35 
All other income1,212 1,487 (18)3,872 4,319 (10)
Noninterest revenue4,138 4,863 (15)13,452 13,182 2 
Net interest income8,383 8,032 4 24,346 25,358 (4)
Total net revenue12,521 12,895 (3)37,798 38,540 (2)
Provision for credit losses(459)795 NM(5,929)12,395 NM
Noninterest expense
Compensation expense3,012 2,804 7 8,965 8,280 8 
Noncompensation expense(a)
4,226 4,108 3 12,537 12,668 (1)
Total noninterest expense7,238 6,912 5 21,502 20,948 3 
Income before income tax expense5,742 5,188 11 22,225 5,197 328 
Income tax expense1,401 1,317 6 5,522 1,305 323 
Net income$4,341 $3,871 12 $16,703 $3,892 329 
Revenue by line of business
Consumer & Business Banking$6,157 $5,697 8 $17,808 $17,211 3 
Home Lending1,400 1,714 (18)4,207 4,562 (8)
Card & Auto4,964 5,484 (9)15,783 16,767 (6)
Mortgage fees and related income details:
Production revenue614 765 (20)1,888 1,826 3 
Net mortgage servicing revenue(b)
(18)311 NM(41)487 NM
Mortgage fees and related income$596 $1,076 (45)%$1,847 $2,313 (20)%
Financial ratios
Return on equity34 %29 %44 %9 %
Overhead ratio58 54 57 54 
(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 $769 million and $1.0 billion for both of the three months ended September 30, 2021 and 2020, respectively, and 2019,$2.5 billion and $3.2 billion and $2.9 billion for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(d)(b)Included MSR risk management results of $145$(145) million and $53$145 million for the three months ended September 30, 2021 and 2020, respectively, and 2019, respectively,$(363) million and $134 million and $(200) million for the nine months ended September 30, 2021 and 2020, and 2019, respectively.
26

Quarterly results
Net income was $3.9$4.3 billion, up 12%, driven by a decrease in the provision for credit losses.
Net revenue was $12.5 billion, a decrease of 9%.
Net revenue was $12.8 billion, a decrease of 9%3%.
Net interest income was $8.0$8.4 billion, down 13%up 4%, driven by:
•the impactgrowth in deposits net of deposit margin compression as well as the impacts from PPP including the accelerated recognition of deferred processing fees due to loan forgiveness in CBB, and lower prepayments in Home Lending, higher auto loans, and lower funding costs in Card,
partially offset by
•lower revolving loans in Card due to the decline inimpact of higher payments and lower cumulative sales volume as a result of the COVID-19 pandemic,throughout 2020.
largely offset by
•growth in deposits in CBB, and loan margin expansion in Card; the prior year included a charge for the unwind of the internal funding from Treasury and CIO associated with the sale of certain mortgage loans.
Noninterest revenue was $4.8$4.1 billion, flat, reflecting:down 15%, driven by:
•lower deposit-related fees due to lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, and
•lower card income due to lower net interchange income reflecting lower card sales volumes as a result of the COVID-19 pandemic, offset by lower acquisition costs and higher annual fees,
offset by
•higher net mortgage servicing revenue reflecting:
–higherreflecting a net loss in MSR risk management results driven by updates to model inputs, compared with a net gain in the prior period,
•lower auto operating lease income as a result of the decline in volume,
•lower card income reflecting the amortization of higher account origination costs, including promotional offers, while net interchange was relatively flat as the increase in debit and credit card sales volume was offset by an increase to the rewards liability, and
–•higher operatinglower mortgage production revenue reflecting the absencenet impact of losses in the prior year from reclassifying certain loans to held-for-sale, predominantlylower production margins and higher volumes,
24

partially offset by lower revenue on a lower level of third-party loans serviced
•higher asset management fees related to the higher level of client investment assets on higher average market levels and net mortgage production revenue reflecting higher production margins and volumes; the prior year included approximately $350 million of gains on the sale of certain mortgage loans.inflows.
Refer to Note 1514 for further information regarding changes in the value of the MSR asset and related hedges, and mortgage fees and related income.Refer to Critical Accounting Estimates on pages 86-88, and Note 5 for additional information on card income.
Noninterest expense was $6.8$7.2 billion, down 4%up 5%, driven by lowerby:
•continued investments in the business, including marketing expense as a result of lower investmentsreflecting increases in marketing campaigns and travel-related benefits.benefits,
•higher expense reflecting growth across the businesses, including performance-related compensation,
partially offset by
•lower depreciation from lower auto lease assets and the impact of higher vehicle collateral values.
The provision for credit losses was $794a net benefit of $459 million, a decreasecompared with an expense of $517$795 million fromin the prior year, driven by:
•a $300$950 million reduction in the allowance for credit losses, reflecting improvements in Home Lending due to paydowns,the Firm’s macroeconomic outlook consisting of $850 million in Card and $100 million in CBB, and
•lower net charge-offs predominantly in Card, which reflected lower charge-offs and higher recoveries, and benefitedas consumer cash balances remained elevated benefiting from the effectresidual impact of government stimulus and payment assistance and government stimulus programs.
The prior year included a $50$300 million net additionreduction in the allowance for credit losses.
Refer to Credit and Investment Risk Management on pages 60-7959-77 and Allowance for Credit Losses on pages 77–7875-76 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-date results
Net income was $3.9$16.7 billion, a decrease of 69%, predominantlyup $12.8 billion, driven by an increasea decrease in the provision for credit losses.
Net revenue was $38.1$37.8 billion, a decrease of 7%2%.
Net interest income was $25.3$24.3 billion, down 10%4%, driven by:
•lower revolving loans in Card due to the impact of higher payments and lower cumulative sales volume throughout 2020 and the net 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; the prior year included charges for the unwind of the internal funding from Treasury and CIO associated with the sales of certain mortgage loans.
Noninterest revenue was $12.8 billion, flat, reflecting:
•lower deposit-related fees due to lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, and
•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,
offset by
•higher net mortgage production revenue reflecting higher mortgage production volumes and margins; the prior year included gains on the sales of certain mortgage loans
•higher net mortgage servicing revenue driven by
–higher MSR risk management results; the prior year included losses resulting from updates to model inputs,
partially offset by
–lower operating revenue reflecting a lower level of third-party loans serviced; the prior year included losses from reclassifying certain loans to held-for-sale
•higher auto lease volume.
Noninterest expense was $20.5 billion, down 1%, compared to the prior year, reflecting:
•lower marketing expense as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower structural expenses, including lower payment processing costs,
largely offset by
•lower funding costs in Card related to changes in portfolio mix and the impacts from PPP including the accelerated recognition of deferred processing fees due to loan forgiveness in CBB.
Noninterest revenue was $13.5 billion, up 2%, driven by:
•higher volume-card income due to higher net interchange income reflecting the acceleration of debit and revenue-relatedcredit card sales volume in 2021, above pre-pandemic levels, and lower amortization costs related to new account originations,
•higher asset management fees related to the higher level of client investment assets on higher average market levels and net inflows, and
•higher mortgage production revenue reflecting higher production volumes,
offset by
•lower net mortgage servicing revenue as a result of a net loss in MSR risk management results driven by updates to model inputs, compared with a net gain in the prior period,
•lower auto operating lease income as a result of the decline in volume, and
•lower overdraft fees.
Noninterest expense was $21.5 billion, up 3%, reflecting:
•continued investments in the business, including marketing expense reflecting increases in marketing campaigns and travel-related benefits,
•higher expense reflecting growth across the businesses, including performance-related compensation,
largely offset by
•lower depreciation onfrom lower auto lease assets and investments in the business.impact of higher vehicle collateral values
•lower structural expenses.
The provision for credit losses was a net benefit of $5.9 billion, compared with an expense of $12.4 billion an increase of $8.6 billion fromin the prior year, driven by:
•additions toan $8.2 billion reduction in the allowance for credit losses, as a resultdriven by improvements in the Firm’s macroeconomic outlook, consisting of the impact of the COVID-19 pandemic, consisting of: $6.6$6.2 billion forin Card, $900 million for$1.2 billion in Home Lending, $649primarily due to continued improvements in HPI expectations, $575 million forin CBB and $560$225 million forin Auto, and
partially offset by
•lower net charge-offs largelypredominantly in Card, which reflected higher recoveries,as consumer cash balances remained elevated benefiting from the impact of government stimulus and in Home Lending, reflecting higher recoveries on a loan sale in the first quarter of 2020.payment assistance programs.
The prior year included a $150 million net reduction inan $8.7 billion addition to the allowance for credit losses.
2725

Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Selected balance sheet data (period-end)
Total assets$480,325 $525,223 (9)%$480,325 $525,223 (9)%
Loans:
Consumer & Business Banking47,077 (e)26,699 76 47,077 (e)26,699 76 
Home Lending(a)(b)
188,561 213,901 (12)188,561 213,901 (12)
Card140,377 159,571 (12)140,377 159,571 (12)
Auto62,304 61,410 1 62,304 61,410 1 
Total loans438,319 461,581 (5)438,319 461,581 (5)
Deposits900,920 701,111 28 900,920 701,111 28 
Equity52,000 52,000 — 52,000 52,000 — 
Selected balance sheet data (average)
Total assets$483,478 $530,649 (9)$499,551 $537,044 (7)
Loans:
Consumer & Business Banking47,102 26,550 77 38,552 26,537 45 
Home Lending(a)(c)
192,172 226,139 (15)200,980 235,292 (15)
Card140,386 158,168 (11)148,445 154,375 (4)
Auto60,345 61,371 (2)60,514 62,118 (3)
Total loans440,005 472,228 (7)448,491 478,322 (6)
Deposits887,138 693,943 28 817,848 688,663 19 
Equity52,000 52,000 — 52,000 52,000 — 
Headcount(d)
121,959 123,532 (1)%121,959 123,532 (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 $7.3 billion and 4,155, respectively, as of September 30, 2019.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20212020Change20212020Change
Selected balance sheet data (period-end)
Total assets$493,169 $487,063 1 %$493,169 $487,063 1 %
Loans:
Consumer & Business Banking(a)
40,659 49,646 (18)40,659 49,646 (18)
Home Lending(b)
179,489 188,561 (5)179,489 188,561 (5)
Card143,166 140,377 2 143,166 140,377 2 
Auto68,391 62,304 10 68,391 62,304 10 
Total loans431,705 440,888 (2)431,705 440,888 (2)
Deposits1,093,852 909,198 20 1,093,852 909,198 20 
Equity50,000 52,000 (4)50,000 52,000 (4)
Selected balance sheet data (average)
Total assets$491,512 $490,094 — $487,107 $506,726 (4)
Loans:
Consumer & Business Banking43,256 49,596 (13)47,469 40,901 16 
Home Lending(c)
181,150 192,172 (6)180,276 200,980 (10)
Card141,950 140,386 1 137,687 148,445 (7)
Auto67,785 60,345 12 67,313 60,514 11 
Total loans434,141 442,499 (2)432,745 450,840 (4)
Deposits1,076,323 895,535 20 1,034,947 825,493 25 
Equity50,000 52,000 (4)50,000 52,000 (4)
Headcount126,586 122,905 3 %126,586 122,905 3 %
(a)InAt September 30, 2021 and 2020, included $11.1 billion and $20.3 billionof loans, respectively, in Business Banking under the third quarterPPP. Refer to Credit Portfolio on page 60 for a further discussion of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.PPP.
(b)At September 30, 20202021 and 2019,2020, Home Lending loans held-for-sale and loans at fair value were $10.0$14.5 billion and $15.4$10.0 billion, respectively.
(c)Average Home Lending loans held-for sale and loans at fair value were $9.2$17.1 billion and $18.2$9.2 billion for the three months ended September 30, 20202021 and 2019,2020, respectively, and were $11.2$14.6 billion and $12.3$11.2 billion for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(d)During the second and third quarter of 2020, certain technology and support functions, comprising approximately 850 and 800 staff, respectively, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.
(e)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
2826

Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratio data)20202019Change20202019Change
Credit data and quality statistics
Nonaccrual loans(a)(b)(c)
$5,159 (f)$3,109 66 %$5,159 (f)$3,109 66 %
Net charge-offs/(recoveries)
Consumer & Business Banking53 79 (33)187 204 (8)
Home Lending8 (42)NM(119)(75)(59)
Card1,028 1,175 (13)3,519 3,617 (3)
Auto5 49 (90)98 149 (34)
Total net charge-offs/(recoveries)$1,094 $1,261 (13)$3,685 $3,895 (5)
Net charge-off/(recovery) rate
Consumer & Business Banking0.45 %(g)1.18 %0.65 %(g)1.03 %
Home Lending0.02(0.08)(0.08)(0.04)
Card2.92 2.953.17 3.13
Auto0.03 0.320.22 0.32
Total net charge-off/(recovery) rate1.01 %1.10 %1.13 1.12
30+ day delinquency rate
Home Lending(d)(e)
1.62 %(h)1.63 %1.62 %(h)1.63 %
Card1.57 (h)1.84 1.57 (h)1.84 
Auto0.54 (h)0.88 0.54 (h)0.88 
90+ day delinquency rate — Card0.69 %(h)0.90 %0.69 %(h)0.90 %
Allowance for loan losses
Consumer & Business Banking$1,370 $746 84 $1,370 $746 84 
Home Lending2,685 2,159 24 2,685 2,159 24 
Card17,800 5,583 219 17,800 5,583 219 
Auto1,044 465 125 1,044 465 125 
Total allowance for loan losses$22,899 $8,953 156 %$22,899 $8,953 156 %
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.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratio data)20212020Change20212020Change
Credit data and quality statistics
Nonaccrual loans(a)(b)(c)
$5,000 $5,144 (3)%$5,000 $5,144 (3)%
Net charge-offs/(recoveries)
Consumer & Business Banking66 54 22 203 188 8 
Home Lending(74)8 NM(204)(119)(71)
Card495 1,028 (52)2,233 3,519 (37)
Auto4 5 (20)14 98 (86)
Total net charge-offs/(recoveries)$491 $1,095 (55)$2,246 $3,686 (39)
Net charge-off/(recovery) rate
Consumer & Business Banking(d)
0.61 %0.43 %0.57 %0.61 %
Home Lending(0.18)0.02(0.16)(0.08)
Card1.39 2.922.18 3.17
Auto0.02 0.030.03 0.22
Total net charge-off/(recovery) rate0.47 %1.01 %0.72 %1.12 %
30+ day delinquency rate(e)
Home Lending(f)
1.06 %1.62 %1.06 %1.62 %
Card1.00 1.57 1.00 1.57 
Auto0.46 0.54 0.46 0.54 
90+ day delinquency rate - Card(e)
0.49 %0.69 %0.49 %0.69 %
Allowance for loan losses
Consumer & Business Banking$797 $1,372 (42)$797 $1,372 (42)
Home Lending630 2,685 (77)630 2,685 (77)
Card11,650 17,800 (35)11,650 17,800 (35)
Auto813 1,044 (22)813 1,044 (22)
Total allowance for loan losses$13,890 $22,901 (39)%$13,890 $22,901 (39)%
(a)At September 30, 2020, nonaccrual loans included $1.5 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 September 30, 20202021 and 2019,2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $355 million and $851 million, and $1.6 billion, respectively. Prior-period amount has been revised to conform with the current presentation, refer to footnote (c) below for additional information. These amounts have been excluded based upon the government guarantee.
(c)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(d)At September 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.
(e)At September 30, 2020 and 2019, excluded mortgage loans insured by U.S. government agencies of $1.1 billion and $2.7 billion, respectively, that are 30 or more days past due. Prior-period amount has been revised to conform with the current presentation, refer to footnote (c) above for additional information. These amounts have been excluded based upon the government guarantee.
(f)(b)Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic. Refer to Consumer Credit Portfolio on pages 62-6661-65 for further information on consumer payment assistance activity. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lowerat time of amortized cost or fair value of the underlying collateral less costs to sell.exit.
(g)(c)Prior-period amount has been revised to conform with the current presentation.
(d)At September 30, 2021 and 2020, included $11.1 billion and $20.3 billion of loans, respectively, in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, theThe Firm does not expect to realize material credit losses on these loans.PPP loans because the loans are guaranteed by the SBA. Refer to Credit Portfolio on pages 60-61page 60 for a further discussion of the PPP.
(h)(e)At September 30, 2021 and 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 as follows: (1) $3.1 billion and $10.2 billion in Home Lending, respectively; (2) $53 million and $368 million in Card, respectively; and (3) $112 million and $411 million in Auto, respectively. Loans that are performing according to their modified terms are generally not considered delinquent. Refer to Consumer Credit Portfolio on pages 62-6661-65 for further information on consumer payment assistance activity.
(f)At September 30, 2021 and 2020, excluded mortgage loans insured by U.S. government agencies of $432 million and $1.1 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
29
27

Selected metricsSelected metricsSelected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,		As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in billions, except ratios and where otherwise noted)(in billions, except ratios and where otherwise noted)20202019Change20202019Change(in billions, except ratios and where otherwise noted)20212020Change20212020Change
Business MetricsBusiness MetricsBusiness Metrics
Number of branchesNumber of branches4,960 4,949 — %4,960 4,949 — %Number of branches4,854 4,960 (2)%4,854 4,960 (2)%
Active digital customers (in thousands)(a)
Active digital customers (in thousands)(a)
54,745 51,843 6 54,745 51,843 6 
Active digital customers (in thousands)(a)
57,961 54,779 6 57,961 54,779 6 
Active mobile customers (in thousands)(b)
Active mobile customers (in thousands)(b)
40,143 36,510 10 40,143 36,510 10 
Active mobile customers (in thousands)(b)
44,333 40,164 10 44,333 40,164 10 
Debit and credit card sales volumeDebit and credit card sales volume$278.2 $282.2 (1)$781.8 $818.8 (5)Debit and credit card sales volume$349.9 $278.2 26 $984.5 $781.8 26 
Consumer & Business BankingConsumer & Business BankingConsumer & Business Banking
Average depositsAverage deposits$865.9 $678.3 28 $799.6 $674.5 19 Average deposits$1,056.3 $874.3 21 $1,015.5 $807.2 26 
Deposit marginDeposit margin1.43 %2.47 %1.65 %2.56 %Deposit margin1.29 %1.43 %1.29 %1.64 %
Business banking origination volume(c)Business banking origination volume(c)$1.4 (f)$1.6 (13)$25.9 (f)$4.8 443 Business banking origination volume(c)$0.8 $1.4 (38)$13.1 $25.9 (50)
Client investment assets(d)Client investment assets(d)376.1 337.9 11 376.1 337.9 11 Client investment assets(d)681.5 529.2 29 681.5 529.2 29 
Number of client advisorsNumber of client advisors4,6894,2909 4,6894,2909 
Home LendingHome LendingHome Lending
Mortgage origination volume by channelMortgage origination volume by channelMortgage origination volume by channel
RetailRetail$20.7 $14.2��46 $52.8 $34.6 53 Retail$23.7 $20.7 14 $69.4 $52.8 31 
CorrespondentCorrespondent8.3 18.2 (54)28.5 37.3 (24)Correspondent17.9 8.3 116 51.1 28.5 79 
Total mortgage origination volume(c)
$29.0 $32.4 (10)$81.3 $71.9 13 
Total mortgage origination volume(e)
Total mortgage origination volume(e)
$41.6 $29.0 43 $120.5 $81.3 48 
Total loans serviced (period-end)$654.0 $774.8 (16)$654.0 $774.8 (16)
Third-party mortgage loans serviced (period-end)Third-party mortgage loans serviced (period-end)454.8 535.8 (15)454.8 535.8 (15)Third-party mortgage loans serviced (period-end)509.3 454.8 12 509.3 454.8 12 
MSR carrying value (period-end)MSR carrying value (period-end)3.0 4.4 (32)3.0 4.4 (32)MSR carrying value (period-end)5.3 3.0 77 5.3 3.0 77 
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)0.66 %0.82 %0.66 %0.82 %Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)1.04 %0.66 %1.04 %0.66 %
MSR revenue multiple(d)(f)
MSR revenue multiple(d)(f)
2.28 x2.41 x2.28 x2.34 x
MSR revenue multiple(d)(f)
3.85 x2.28 x3.85 x2.28 x
Credit CardCredit CardCredit Card
Credit card sales volume, excluding Commercial CardCredit card sales volume, excluding Commercial Card$178.1 $193.6 (8)$505.7 $558.6 (9)Credit card sales volume, excluding Commercial Card$232.0 $178.1 30 $639.4 $505.7 26 
Net revenue rate(e)
Net revenue rate(e)
10.96 %10.40 %10.82 %10.42 %
Net revenue rate(e)
9.74 %10.96 %10.84 %10.82 %
AutoAutoAuto
Loan and lease origination volumeLoan and lease origination volume$11.4 $9.1 25 $27.4 $25.5 7 Loan and lease origination volume$11.5 $11.4 1 $35.1 $27.4 28 
Average auto operating lease assetsAverage auto operating lease assets21.7 21.8 — %22.4 21.3 5 %Average auto operating lease assets18.8 21.7 (14)%19.5 22.4 (13)%
(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 mortgageIncluded origination volume was $36.2 billion and $35.8 billionunder the PPP of $396 million for the three months ended September 30, 2020 and 2019, respectively, and $96.4$10.6 billion and $78.5$21.9 billion for the nine months ended September 30, 2021 and 2020, respectively. The program ended on May 31, 2021 for new applications and 2019,there was no origination volume under the PPP for the three months ended September 30, 2021. Refer to Credit Portfolio on page 60 for a further discussion of the PPP.
(d)Includes assets invested in managed accounts and J.P. Morgan mutual funds where AWM is the investment manager. Refer to AWM segment results on pages 39-43 for additional information.
(e)Firmwide mortgage origination volume was $46.1 billion and $36.2 billion for the three months ended September 30, 2021 and 2020, respectively, and $134.2 billion and $96.4 billion for the nine months ended September 30, 2021 and 2020, respectively.
(d)(f)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 $396 million and $21.9 billion of origination volume under the PPP for the three and nine months ended September 30, 2020, respectively. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
3028


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 pages 71–76 of JPMorgan Chase’s 2020 Form 10-K and Line of Business Metrics on page 198191 for a further discussion of the business profile of CIB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue
Investment banking fees$2,165 $1,981 9 %$6,919 $5,671 22 %
Principal transactions3,990 3,418 17 14,578 11,467 27 
Lending- and deposit-related fees(a)
546 398 37 1,496 1,206 24 
Asset management, administration and commissions(a)
1,086 1,160 (6)3,493 3,339 5 
All other income288 397 (27)703 1,167 (40)
Noninterest revenue8,075 7,354 10 27,189 22,850 19 
Net interest income3,428 2,168 58 10,614 6,537 62 
Total net revenue(b)
11,503 9,522 21 37,803 29,387 29 
Provision for credit losses(81)92 NM3,307 179 NM
Noninterest expense
Compensation expense2,651 2,873 (8)9,654 8,803 10 
Noncompensation expense3,146 2,631 20 8,803 7,991 10 
Total noninterest expense5,797 5,504 5 18,457 16,794 10 
Income before income tax expense5,787 3,926 47 16,039 12,414 29 
Income tax expense1,483 1,095 35 4,283 3,377 27 
Net income$4,304 $2,831 52 %$11,756 $9,037 30 %
Financial ratios
Return on equity21 %13 %19 %14 %
Overhead ratio50 58 49 57 
Compensation expense as percentage of total net revenue23 30 26 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.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20212020Change20212020Change
Revenue
Investment banking fees$3,297 $2,165 52 %$9,857 $6,919 42 %
Principal transactions3,577 3,990 (10)13,648 14,578 (6)
Lending- and deposit-related fees634 546 16 1,860 1,496 24 
Asset management, administration and commissions1,240 1,086 14 3,772 3,495 8 
All other income313 331 (5)924 830 11 
Noninterest revenue9,061 8,118 12 30,061 27,318 10 
Net interest income3,335 3,428 (3)10,154 10,614 (4)
Total net revenue(a)
12,396 11,546 7 40,215 37,932 6 
Provision for credit losses(638)(81)NM(1,048)3,307 NM
Noninterest expense
Compensation expense2,827 2,651 7 10,738 9,654 11 
Noncompensation expense3,044 3,181 (4)8,760 8,945 (2)
Total noninterest expense5,871 5,832 1 19,498 18,599 5 
Income before income tax expense7,163 5,795 24 21,765 16,026 36 
Income tax expense1,601 1,486 8 5,478 4,281 28 
Net income$5,562 $4,309 29 %$16,287 $11,745 39 %
Financial ratios
Return on equity26 %21 %25 %19 %
Overhead ratio47 51 48 49 
Compensation expense as percentage of total net revenue23 23 27 25 
(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 $641 million and $527$533 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $2.0$2.1 billion and $1.6$1.7 billion for the nine months ended September 30, 2021 and 2020, and 2019, respectively.
31


Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Revenue by business
Investment Banking$2,087 $1,871 12 %$6,374 $5,392 18 %
Wholesale Payments1,289 1,361 (5)4,004 4,178 (4)
Lending333 253 32 953 771 24 
Total Banking3,709 3,485 6 11,331 10,341 10 
Fixed Income Markets4,597 3,557 29 16,928 10,972 54 
Equity Markets1,999 1,517 32 6,616 4,986 33 
Securities Services1,029 1,034 — 3,200 3,093 3 
Credit Adjustments & Other(a)
169 (71)NM(272)(5)NM
Total Markets & Securities Services7,794 6,037 29 26,472 19,046 39 
Total net revenue$11,503 $9,522 21 %$37,803 $29,387 29 %
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 tax-equivalent adjustment amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions)20212020Change20212020Change
Revenue by business
Investment Banking$3,025 $2,087 45 %$9,300 $6,374 46 %
Wholesale Payments1,624 1,332 22 4,469 4,133 8 
Lending244 333 (27)738 953 (23)
Total Banking4,893 3,752 30 14,507 11,460 27 
Fixed Income Markets3,672 4,597 (20)13,531 16,928 (20)
Equity Markets2,597 1,999 30 8,575 6,616 30 
Securities Services1,126 1,029 9 3,264 3,200 2 
Credit Adjustments & Other(a)
108 169 (36)338 (272)NM
Total Markets & Securities Services7,503 7,794 (4)25,708 26,472 (3)
Total net revenue$12,396 $11,546 7 %$40,215 $37,932 6 %
(a)IncludesConsists primarily of centrally managed credit valuation adjustments (“CVA”) managed centrally within CIB and, funding valuation adjustments (“FVA”) on derivatives, other valuation adjustments, 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.



29

Quarterlyresults
Net income was $4.3$5.6 billion, up 52%.29% and includes a net benefit in the provision for credit losses.
Net revenue was $11.5$12.4 billion, up 21%7%.
Banking revenue was $3.7$4.9 billion, up 6%30%.
•Investment Banking revenue was $2.1$3.0 billion, up 12%45%, predominantly driven by higher Investment Banking fees, up 9%52%, reflecting higher advisory and equity underwriting fees.
–Advisory fees were $1.2 billion, up 187%, driven by increased M&A activityand debtwallet share gains.
–Equity underwriting fees were $1.0 billion, up 41%, driven by wallet share gains and increased activity in the IPO market.
–Debt underwriting fees were $1.0 billion, up 3%, driven by an active leveraged loan market primarily related to acquisition financing.
•Wholesale Payments revenue was $1.6 billion, up 22%, and included gains on equity investments. Excluding these gains, revenue was $1.5 billion, up 10%, driven by higher deposit balances and fees, partially offset by deposit margin compression.
•Lending revenue was $244 million, down 27%, driven by lower advisory fees.net interest income.
Markets & Securities Services revenue was $7.5 billion, down 4%. Markets revenue was $6.3 billion, down 5%.
•Fixed Income Markets revenue was $3.7 billion, down 20%, driven by lower revenue in Commodities, Rates and Spread products compared to a strong prior year, including an adjustment to liquidity assumptions in the derivatives portfolio.
•Equity Markets revenue was $2.6 billion, up 30%, driven by strong performance across prime brokerage, derivatives, and Cash Equities.
•Securities Services revenue was $1.1 billion, up 9%, driven by growth in fees and deposit balances.
Noninterest expense was $5.9 billion, relatively flat to the prior year, as higher structural expense, volume- and revenue- related expense and investments in the business, including technology and front office hires, were offset by lower legal expense.
The provision for credit losses was a net benefit of $638 million, driven by a net reduction in the allowance for credit losses, compared with a net benefit of $81 million in the prior year.
Refer to Credit and Investment Risk Management on pages 59-77 and Allowance for Credit Losses on pages 75-76 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-dateresults
Net income was $16.3 billion, up 39%, primarily reflecting the absence of an increase in the provision for credit losses in the prior year.
Net revenue was $40.2 billion, up 6%.
Banking revenue was $14.5 billion, up 27%.
•Investment Banking revenue was $9.3 billion, up 46%, driven by higher Investment Banking fees, up 42%, reflecting higher fees across products. The Firm maintained itsranked #1 ranking for Global Investment Banking fees, according to Dealogic.
–Advisory fees were $2.8 billion, up 84%, driven by increased M&A activity and wallet share gains.
–Equity underwriting fees were $732 million,$3.2 billion, up 42%54%, primarilydriven by increased activity and wallet share gains in the follow-on offerings and IPO markets due to increased industry-wide fees.market.
–Debt underwriting fees were $1.0$3.9 billion, up 5%16%, predominantly driven by wallet share gains despite decreased industry-wide fees.
–Advisory fees were $428 million, down 15%, driven by a lower number of completed transactions associated in part with the lower level of announced deal volumes in the first half of the year.an active leveraged loan market primarily related to acquisition financing.
•Wholesale Payments revenue was $1.3$4.5 billion, down 5%up 8% and included gains on equity investments. Excluding these gains, revenue was $4.3 billion, up 4%, predominantly driven by higher deposit balances and fees, largely offset by deposit margin compression and a reporting reclassification for certain expenses which are now reported as a reduction of revenue in Merchant Services, largely offset by the impact of higher deposit balances.compression.
•Lending revenue was $333$738 million, up 32%down 23%, predominantly driven by higherlower net interest income, reflecting overall spread widening andpartially offset by higher loan balances.commitment fees.
Markets & Securities Services revenue was $7.8$25.7 billion, up 29%down 3%. Markets revenue was $6.6$22.1 billion, up 30%down 6%.
•Fixed Income Markets revenue was $4.6$13.5 billion, up 29%down 20%, driven by strong performance across products, primarily in Commodities, Credit, and Securitized Products.
•Equity Markets revenue was $2.0 billion, up 32%, driven by strong performance across products.
•Securities Services revenue was $1.0 billion, flat compared to the prior year, as deposit margin compression was offset by balance growth.
•Credit Adjustments & Other was a gain of $169 million, largely driven by funding and credit spread tightening on derivatives.
Noninterest expense was $5.8 billion, up 5%, predominantly driven by higher legal expense and volume-related expense, largely offset by lower revenue-related compensation expense and structural expense.
The provision for credit losses was a net benefit of $81 million, driven by a reduction in the allowance for credit losses across multiple sectors, compared with an expense of $92 million in the prior year.
Year-to-date results
Net income was $11.8 billion, up 30%.
Net revenue was $37.8 billion, up 29%.
Banking revenue was $11.3 billion, up 10%.
•Investment Banking revenue was $6.4 billion, up 18%, driven by higher Investment Banking fees, up 22%, reflecting higher equity and debt underwriting fees, partially offset by lower advisory fees. The Firm maintained its #1 ranking for Global Investment Banking fees, according to Dealogic.
–Equity underwriting fees were $2.0 billion, up 59%, primarily in follow-on offerings and convertible securities markets due to increased industry-wide fees.
–Debt underwriting fees were $3.3 billion, up 23%, driven by increased industry-wide fees and wallet share gains in investment-grade and high-yield bonds. The increased activity resulted in part from clients seeking liquidity in the first half of the year as a result of the COVID-19 pandemic.
32


–Advisory fees of $1.5 billion were down 8%, driven by a lower number of completed transactions.
•Wholesale payments revenue was $4.0 billion, down 4%, predominantly driven by a reporting reclassification for certain expenses which are now reported as a reduction of revenue in Merchant Services. In addition, the impact of deposit margin compression was predominantly offset by higher deposit balances.
•Lending revenue was $953 million, up 24%, predominantly driven by higher net interest income reflecting overall spread widening and higher loan balances.
Markets & Securities Services revenue was $26.5 billion, up 39%. Markets revenue was $23.5 billion, up 48%.
•Fixed Income Markets revenue was $16.9 billion, up 54%, driven by strong client activity across products primarily in Rates, Credit, Currencies & Emerging Markets, Fixed Income Financing and Commodities compared to a strong prior year, partially offset by higher revenue in Securitized Products.
•Equity Markets revenue was $6.6$8.6 billion, up 33%30%, driven by strong client activityperformance across products.derivatives, prime brokerage, and Cash Equities.
•Securities Services revenue was $3.2$3.3 billion, up 3%2%, predominantly driven by deposit balancewith growth in deposits and fee growth largelyfees, predominantly offset by deposit margin compression.
•Credit Adjustments & Other was a netgain of $338 million largely driven by valuation adjustments related to derivatives. The prior year loss of $272 million was 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 $18.5$19.5 billion, up 10%5%, predominantly driven by higher volume- and revenue-related expense, largely performance-related compensation, as well as higher structural expense, andpartially offset by lower legal expense.
The provision for credit losses was $3.3a net benefit of $1.0 billion, compared with $179 million in the prior year. The increase was driven by a net additions toreduction in the allowance for credit losses, as a resultcompared with an expense of $3.3 billion in 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.prior year.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Selected balance sheet data (period-end)
Assets$1,089,293 $1,030,396 6 %$1,089,293 $1,030,396 6 %
Loans:
Loans retained(a)
126,841 118,290 7 126,841 118,290 7 
Loans held-for-sale and loans at fair value(b)
33,046 32,563 1 33,046 32,563 1 
Total loans159,887 150,853 6 159,887 150,853 6 
Equity80,000 80,000 — 80,000 80,000 — 
Selected balance sheet data (average)
Assets$1,100,657 $1,011,246 9 $1,117,035 $993,292 12 
Trading assets-debt and equity instruments(b)
425,789 387,377 10 415,453 377,976 10 
Trading assets-derivative receivables78,339 48,266 62 70,091 49,221 42 
Loans:
Loans retained(a)
$131,187 $119,007 10 $137,996 $123,368 12 
Loans held-for-sale and loans at fair value(b)
30,205 32,545 (7)32,974 32,611 1 
Total loans$161,392 $151,552 6 $170,970 $155,979 10 
Equity80,000 80,000 — 80,000 80,000 — 
Headcount61,830 60,028 3 %61,830 60,028 3 %
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.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20212020Change20212020Change
Selected balance sheet data (period-end)
Total assets(a)
$1,355,752 $1,088,282 25 %$1,355,752 $1,088,282 25 %
Loans:
Loans retained(b)
151,211 126,841 19 151,211 126,841 19 
Loans held-for-sale and loans at fair value(c)
52,436 33,046 59 52,436 33,046 59 
Total loans203,647 159,887 27 203,647 159,887 27 
Equity83,000 80,000 4 83,000 80,000 4 
Selected balance sheet data (average)
Total assets(a)
$1,331,240 $1,099,618 21 $1,332,244 $1,116,072 19 
Trading assets-debt and equity instruments(d)
442,623 430,149 3 461,728 417,686 11 
Trading assets-derivative receivables(d)
64,730 73,978 (13)69,159 67,858 2 
Loans:
Loans retained(b)
$149,826 $131,187 14 $142,286 $137,996 3 
Loans held-for-sale and loans at fair value(c)
53,712 30,205 78 50,616 32,974 54 
Total loans$203,538 $161,392 26 $192,902 $170,970 13 
Equity83,000 80,000 4 83,000 80,000 4 
Headcount(e)
66,267 61,830 7 %66,267 61,830 7 %
(a)Prior-period amounts have been revised to conform with the current presentation, including an increasepresentation. Refer to period-end assets and headcount of $7.3 billion and 4,155, respectively, as of September 30, 2019.Note 1 for further information.
(a)(b)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.
(b) In the third quarter of 2020, the Firm reclassified certain(c)Loans held-for-sale and loans at fair value option elected lending-relatedprimarily reflect lending related positions from trading assets tooriginated and purchased in CIB Markets, including loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
33

held for securitization.

Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratios)20202019Change20202019Change
Credit data and quality statistics
Net charge-offs/(recoveries)$23 $38 (39)%$282 $140 101 %
Nonperforming assets:
Nonaccrual loans:
Nonaccrual loans retained(a)
$1,178 $712 65 %$1,178 $712 65 
Nonaccrual loans held-for-sale and loans at fair value(b)(c)
2,111 902 134 2,111 902 134 
Total nonaccrual loans3,289 1,614 104 3,289 1,614 104 
Derivative receivables140 26 438 140 26 438 
Assets acquired in loan satisfactions88 75 17 88 75 17 
Total nonperforming assets$3,517 $1,715 105 $3,517 $1,715 105 
Allowance for credit losses:
Allowance for loan losses$2,863 $1,171 144 $2,863 $1,171 144 
Allowance for lending-related commitments1,706 824 107 1,706 824 107 
Total allowance for credit losses$4,569 $1,995 129 %$4,569 $1,995 129 %
Net charge-off/(recovery) rate(d)
0.07 %0.13 %0.27 %0.15 %
Allowance for loan losses to period-end loans retained2.26 0.99 2.26 0.99 
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(e)
3.15 1.33 3.15 1.33 
Allowance for loan losses to nonaccrual loans retained(a)
243 164 243 164 
Nonaccrual loans to total period-end loans(b)
2.06 %1.07 %2.06 %1.07 %
(a)(d)Allowance for loan losses of $320 million and $207 million were held against these nonaccrual loans at September 30, 2020 and 2019, respectively.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(c)(e)During the six months ended June 30, 2021, 1,155 technology and risk management employees were transferred from Corporate to CIB.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratios)20212020Change20212020Change
Credit data and quality statistics
Net charge-offs/(recoveries)$2 $23 (91)%$(17)$282 NM
Nonperforming assets:
Nonaccrual loans:
Nonaccrual loans retained(a)
$547 $1,178 (54)$547 $1,178 (54)
Nonaccrual loans held-for-sale and loans at fair value(b)
1,234 2,111 (42)1,234 2,111 (42)
Total nonaccrual loans1,781 3,289 (46)1,781 3,289 (46)
Derivative receivables393 140 181 393 140 181 
Assets acquired in loan satisfactions95 88 8 95 88 8 
Total nonperforming assets$2,269 $3,517 (35)$2,269 $3,517 (35)
Allowance for credit losses:
Allowance for loan losses(c)
$1,442 $2,863 (50)$1,442 $2,863 (50)
Allowance for lending-related commitments(c)
1,426 1,706 (16)1,426 1,706 (16)
Total allowance for credit losses$2,868 $4,569 (37)%$2,868 $4,569 (37)%
Net charge-off/(recovery) rate(c)(d)
0.01 %0.07 %(0.02)%0.27 %
Allowance for loan losses to period-end loans retained(c)
0.95 2.26 0.95 2.26 
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(c)(e)
1.29 3.15 1.29 3.15 
Allowance for loan losses to nonaccrual loans retained(a)(c)
264 243 264 243 
Nonaccrual loans to total period-end loans0.87 %2.06 %0.87 %2.06 %
(a)Allowance for loan losses of $138 million and $320 million were held against these nonaccrual loans at September 30, 2021 and 2020, respectively.
(b)At September 30, 20202021 and 2019,2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $297$289 million and $116$297 million, respectively. These amounts have been excluded based upon the government guarantee.
(c)Prior-period amounts have been revised to conform with the current presentation.
(d)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.
(e)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.

3431


Investment banking feesInvestment banking feesInvestment banking fees
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)20202019Change20202019Change(in millions)20212020Change20212020Change
AdvisoryAdvisory$428 $506 (15)%$1,533 $1,675 (8)%Advisory$1,228 $428 187 %$2,824 $1,533 84 %
Equity underwritingEquity underwriting732 514 42 2,040 1,284 59 Equity underwriting1,032 732 41 3,151 2,040 54 
Debt underwriting(a)
Debt underwriting(a)
1,005 961 5 3,346 2,712 23 
Debt underwriting(a)
1,037 1,005 3 3,882 3,346 16 
Total investment banking feesTotal investment banking fees$2,165 $1,981 9 %$6,919 $5,671 22 %Total investment banking fees$3,297 $2,165 52 %$9,857 $6,919 42 %
(a)Represents long-term debt and loan syndications.
League table results – wallet shareLeague table results – wallet shareLeague table results – wallet share
Three months ended September 30,Nine months ended September 30,Full-year 2019Three months ended September 30,Nine months ended September 30,Full-year 2020
20202019202020192021202020212020
RankShareRankShareRankShareRankShareRankShareRankShareRankShareRankShareRankShareRankShare
Based on fees(a)
Based on fees(a)
Based on fees(a)
M&A(b)
M&A(b)
M&A(b)
GlobalGlobal#1 9.2 %#2 8.0 %#2 9.1 %#2 8.8 %#2 9.0 %Global#2 9.9 %#2 9.0 %#2 9.5 %#2 9.0 %#2 9.0 %
U.S.U.S.1 11.4 3 8.3 2 9.4 2 9.0 2 9.2 U.S.3 10.5 1 11.6 2 10.1 2 9.6 2 9.5 
Equity and equity-related(c)
Equity and equity-related(c)
Equity and equity-related(c)
GlobalGlobal3 7.7 1 12.0 2 9.5 1 10.2 1 9.3 Global2 9.5 3 8.1 2 9.3 2 9.8 2 8.9 
U.S.U.S.2 10.4 1 17.5 2 11.8 1 13.6 2 13.2 U.S.2 12.5 2 11.7 2 11.6 2 12.8 2 12.0 
Long-term debt(d)
Long-term debt(d)
Long-term debt(d)
GlobalGlobal1 8.3 1 8.7 1 9.1 1 7.9 1 7.8 Global2 7.0 1 8.3 1 8.5 1 9.0 1 8.8 
U.S.U.S.1 11.6 1 13.8 1 12.6 1 12.3 1 12.0 U.S.2 9.1 1 11.9 1 12.0 1 12.7 1 12.8 
Loan syndicationsLoan syndicationsLoan syndications
GlobalGlobal1 13.5 1 9.7 1 11.3 1 10.6 1 10.1 Global2 7.6 1 14.2 1 11.0 1 11.3 1 11.1 
U.S.U.S.1 18.3 1 12.0 1 12.8 1 12.9 1 12.5 U.S.2 8.7 1 17.8 1 12.5 1 13.4 1 12.3 
Global investment banking fees(e)
Global investment banking fees(e)
#1 8.7 %#1 9.2 %#1 9.4 %#1 9.1 %#1 8.9 %
Global investment banking fees(e)
#2 8.8 %#1 8.9 %#1 9.4 %#1 9.5 %#1 9.2 %
(a)Source: Dealogic as of October 1, 2020.2021. 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, ABSasset-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.securities.
3532


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
recordedreflected at fair value in principal transactions revenue. Refer to Notes 65 and 76 for a description of the composition of these income statement line items. Refer to Markets revenue on page 6974 of JPMorgan Chase’s 20192020 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 September 30,Three months ended September 30,Three months ended September 30,Three months ended September 30,
2020201920212020

(in millions)
(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactionsPrincipal transactions$2,411 $1,402 $3,813 $2,292 $1,263 $3,555 Principal transactions$1,624 $1,864 $3,488 $2,411 $1,402 $3,813 
Lending- and deposit-related feesLending- and deposit-related fees62 3 65 51 1 52 Lending- and deposit-related fees83 4 87 62 3 65 
Asset management, administration and commissionsAsset management, administration and commissions100 437 537 110 472 582 Asset management, administration and commissions127 467 594 100 437 537 
All other incomeAll other income138 (33)105 108 54 162 All other income173 (40)133 138 (33)105 
Noninterest revenueNoninterest revenue2,711 1,809 4,520 2,561 1,790 4,351 Noninterest revenue2,007 2,295 4,302 2,711 1,809 4,520 
Net interest incomeNet interest income1,886 190 2,076 996 (273)723 Net interest income1,665 302 1,967 1,886 190 2,076 
Total net revenueTotal net revenue$4,597 $1,999 $6,596 $3,557 $1,517 $5,074 Total net revenue$3,672 $2,597 $6,269 $4,597 $1,999 $6,596 
Nine months ended September 30,Nine months ended September 30,Nine months ended September 30,Nine months ended September 30,
2020201920212020

(in millions)
(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactionsPrincipal transactions$10,205 $4,862 $15,067 $7,205 $4,428 $11,633 Principal transactions$7,113 $6,225 $13,338 $10,205 $4,862 $15,067 
Lending- and deposit-related feesLending- and deposit-related fees157 7 164 149 5 154 Lending- and deposit-related fees234 12 246 157 7 164 
Asset management, administration and commissionsAsset management, administration and commissions304 1,542 1,846 310 1,359 1,669 Asset management, administration and commissions377 1,496 1,873 304 1,542 1,846 
All other incomeAll other income315 (56)259 500 31 531 All other income532 (60)472 315 (56)259 
Noninterest revenueNoninterest revenue10,981 6,355 17,336 8,164 5,823 13,987 Noninterest revenue8,256 7,673 15,929 10,981 6,355 17,336 
Net interest incomeNet interest income5,947 261 6,208 2,808 (837)1,971 Net interest income5,275 902 6,177 5,947 261 6,208 
Total net revenueTotal net revenue$16,928 $6,616 $23,544 $10,972 $4,986 $15,958 Total net revenue$13,531 $8,575 $22,106 $16,928 $6,616 $23,544 
CIB Markets had no loss days in the third quarter of 2020 and three loss days for the nine months ended September 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 September 30,		As of or for the nine months
ended September 30,
(in millions, except where otherwise noted)20202019Change20202019Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
Fixed Income$15,360 $13,349 15 %$15,360 $13,349 15 %
Equity9,914 9,301 7 9,914 9,301 7 
Other(a)
3,354 3,045 10 3,354 3,045 10 
Total AUC$28,628 $25,695 11 $28,628 $25,695 11 
Merchant processing volume (in billions)(b)
$406.1 $380.5 7 $1,152.8 $1,108.6 4 
Client deposits and other third-party liabilities (average)(c)
$634,961 $471,328 35 %$585,955 $457,973 28 %
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.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where otherwise noted)20212020Change20212020Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
Fixed Income$15,799 $15,360 3 %$15,799 $15,360 3 %
Equity12,276 9,914 24 12,276 9,914 24 
Other(a)
3,887 3,354 16 3,887 3,354 16 
Total AUC$31,962 $28,628 12 $31,962 $28,628 12 
Merchant processing volume (in billions)(b)
$470.9 $406.1 16 $1,371.8 $1,152.8 19 
Client deposits and other third-party liabilities (average)(c)
$714,376 $634,961 13 %$714,039 $585,955 22 %
(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.


36
33


International metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where
otherwise noted)		2020
2019(c)
Change2020
2019(c)
Change
Total net revenue(a)
Europe/Middle East/Africa$3,126 $2,873 9 %$10,692 $8,951 19 %
Asia-Pacific1,909 1,389 37 5,881 4,072 44 
Latin America/Caribbean423 399 6 1,517 1,184 28 
Total international net revenue5,458 4,661 17 18,090 14,207 27 
North America6,045 4,861 24 19,713 15,180 30 
Total net revenue$11,503 $9,522 21 $37,803 $29,387 29 
Loans retained (period-end)(a)
Europe/Middle East/Africa$26,945 $27,234 (1)$26,945 $27,234 (1)
Asia-Pacific12,734 14,402 (12)12,734 14,402 (12)
Latin America/Caribbean6,306 5,782 9 6,306 5,782 9 
Total international loans45,985 47,418 (3)45,985 47,418 (3)
North America80,856 70,872 14 80,856 70,872 14 
Total loans retained$126,841 $118,290 7 $126,841 $118,290 7 
Client deposits and other third-party liabilities (average)(b)
Europe/Middle East/Africa$212,635 $175,354 21 $206,629 $171,601 20 
Asia-Pacific128,519 91,556 40 119,417 87,868 36 
Latin America/Caribbean39,674 30,164 32 35,638 28,845 24 
Total international$380,828 $297,074 28 $361,684 $288,314 25 
North America254,133 174,254 46 224,271 169,659 32 
Total client deposits and other third-party liabilities$634,961 $471,328 35 $585,955 $457,973 28 
AUC (period-end)(b)
(in billions)
North America$18,534 $16,146 15 $18,534 $16,146 15 
All other regions10,094 9,549 6 10,094 9,549 6 
Total AUC$28,628 $25,695 11 %$28,628 $25,695 11 %
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.
International metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where
 otherwise noted)		20212020Change20212020Change
Total net revenue(a)
Europe/Middle East/Africa$3,201 $3,126 2 %$11,045 $10,694 3 %
Asia-Pacific1,973 1,909 3 6,026 5,881 2 
Latin America/Caribbean526 423 24 1,480 1,517 (2)
Total international net revenue5,700 5,458 4 18,551 18,092 3 
North America6,696 6,088 10 21,664 19,840 9 
Total net revenue$12,396 $11,546 7 $40,215 $37,932 6 
Loans retained (period-end)(a)
Europe/Middle East/Africa$32,922 $26,945 22 $32,922 $26,945 22 
Asia-Pacific14,544 12,734 14 14,544 12,734 14 
Latin America/Caribbean6,495 6,306 3 6,495 6,306 3 
Total international loans53,961 45,985 17 53,961 45,985 17 
North America97,250 80,856 20 97,250 80,856 20 
Total loans retained$151,211 $126,841 19 $151,211 $126,841 19 
Client deposits and other third-party liabilities (average)(b)
Europe/Middle East/Africa$245,895 $212,635 16 $243,279 $206,629 18 
Asia-Pacific131,110 128,519 2 131,836 119,417 10 
Latin America/Caribbean47,374 39,674 19 46,607 35,638 31 
Total international$424,379 $380,828 11 $421,722 $361,684 17 
North America289,997 254,133 14 292,317 224,271 30 
Total client deposits and other third-party liabilities$714,376 $634,961 13 $714,039 $585,955 22 
AUC (period-end)(b)
(in billions)
North America$20,792 $18,534 12 $20,792 $18,534 12 
All other regions11,170 10,094 11 11,170 10,094 11 
Total AUC$31,962 $28,628 12 %$31,962 $28,628 12 %
(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.
3734


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 pages 77–79 of JPMorgan Chase’s 2020 Form 10-K and Line of Business Metrics on page 199192 for a discussion of the business profile of CB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Revenue
Lending- and deposit-related fees(a)
$304 $228 33 %$862 $685 26 %
All other income(a)
457 438 4 1,335 1,337 — 
Noninterest revenue761 666 14 2,197 2,022 9 
Net interest income1,524 1,608 (5)4,658 4,950 (6)
Total net revenue(b)
2,285 2,274 — 6,855 6,972 (2)
Provision for credit losses(147)67 NM3,294 186 NM
Noninterest expense
Compensation expense492 454 8 1,394 1,341 4 
Noncompensation expense474 486 (2)1,459 1,468 (1)
Total noninterest expense966 940 3 2,853 2,809 2 
Income/(loss) before income tax expense/(benefit)1,466 1,267 16 708 3,977 (82)
Income tax expense/(benefit)378 324 17 164 972 (83)
Net income/(loss)$1,088 $943 15 %$544 $3,005 (82)%
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.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions)20212020Change20212020Change
Revenue
Lending- and deposit-related fees$355 $304 17 %$1,036 $862 20 %
All other income633 457 39 1,819 1,330 37 
Noninterest revenue988 761 30 2,855 2,192 30 
Net interest income1,532 1,524 1 4,541 4,658 (3)
Total net revenue(a)
2,520 2,285 10 7,396 6,850 8 
Provision for credit losses(363)(147)(147)(858)3,294 NM
Noninterest expense
Compensation expense511 492 4 1,477 1,394 6 
Noncompensation expense521 477 9 1,505 1,454 4 
Total noninterest expense1,032 969 7 2,982 2,848 5 
Income before income tax expense1,851 1,463 27 5,272 708 NM
Income tax expense444 377 18 1,277 164 NM
Net income$1,407 $1,086 30 %$3,995 $544 NM
(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 $82$80 million and $114$82 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $243$231 million and $308$243 million for the nine months ended September 30, 20202021 and 2019,2020, respectively.
Quarterly results
Net income was $1.1 billion, up 15%.
Net revenue was $2.3 billion, flat compared to the prior year. Net interest income was $1.5 billion, down 5%, driven by deposit margin compression, predominantly offset by higher deposit balances and lending revenue. Noninterest revenue was $761 million, up 14%, driven by higher deposit related fees and investment banking income.
Noninterest expense was $966 million, up 3%, driven by higher compensation expense.
The provision for credit losses was a net benefit of $147 million, driven by net reductions in the allowance for credit losses across multiple sectors, compared with an expense of $67 million in the prior year.
Year-to-date results
Net income was $544 million, down 82%, driven by an increase in the provision for credit losses.
Net revenue was $6.9 billion, down 2%. Net interest income was $4.7 billion, down 6%, driven by deposit margin compression, largely offset by higher deposit balances and lending revenue. Noninterest revenue was $2.2 billion, up 9%, driven by higher deposit related fees and a gain on a strategic investment. The increase was partially offset by lower card income primarily due to lower volumes as a result of the COVID-19 pandemic and a $57 million markdown of a held-for-sale position.
Noninterest expense was $2.9 billion, up 2%, driven by higher compensation expense.
38


The provision for credit losses was $3.3 billion, compared with $186 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 September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue by product
Lending$1,138 $1,006 13 %$3,219 $3,030 6 %
Wholesale payments867 1,017 (15)2,775 3,184 (13)
Investment banking(a)
260 226 15 751 708 6 
Other20 25 (20)110 50 120 
Total Commercial Banking net revenue$2,285 $2,274 — $6,855 $6,972 (2)
Investment banking revenue, gross(b)
$840 $700 20 $2,377 $2,110 13 
Revenue by client segments
Middle Market Banking$877 $925 (5)$2,689 $2,860 (6)
Corporate Client Banking807 767 5 2,347 2,362 (1)
Commercial Real Estate Banking576 547 5 1,683 1,632 3 
Other25 35 (29)136 118 15 
Total Commercial Banking net revenue$2,285 $2,274 — %$6,855 $6,972 (2)%
Financial ratios
Return on equity19 %16 %2 %17 %
Overhead ratio42 41 42 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.
Selected income statement data (continued)
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20212020Change20212020Change
Revenue by product
Lending$1,138 $1,138 — %$3,478 $3,219 8 %
Wholesale payments947 867 9 2,704 2,770 (2)
Investment banking(a)
416 260 60 1,136 751 51 
Other19 20 (5)78 110 (29)
Total net revenue$2,520 $2,285 10 $7,396 $6,850 8 
Investment banking revenue, gross(b)
$1,343 $840 60 $3,636 $2,377 53 
Revenue by client segments
Middle Market Banking$1,017 $880 16 $2,942 $2,693 9 
Corporate Client Banking878 808 9 2,580 2,347 10 
Commercial Real Estate Banking602 576 5 1,805 1,683 7 
Other23 21 10 69 127 (46)
Total net revenue$2,520 $2,285 10 %$7,396 $6,850 8 %
Financial ratios
Return on equity22 %19 %21 %2 %
Overhead ratio41 42 40 42 
(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 2422 for discussion of revenue sharing.
39
35

Quarterly results
Net income was $1.4 billion, up 30%, largely driven by a decrease in the provision for credit losses.
Net revenue was $2.5 billion, up 10%. Net interest income was $1.5 billion, up 1%, driven by the impact of lower funding costs on loans and higher deposit balances, largely offset by deposit margin compression. Noninterest revenue was $988 million, up 30%, driven by higher investment banking revenue and wholesale payments revenue.
Noninterest expense was $1.0 billion, up 7%, predominantly driven by higher investments in the business and higher volume- and revenue- related expense.
The provision for credit losses was a net benefit of $363 million, driven by a net reduction in the allowance for credit losses, compared with a net benefit of $147 million in the prior year.
Refer to Credit and Investment Risk Management on pages 59-77 and Allowance for Credit Losses on pages 75-76 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-dateresults
Net income was $4.0 billion, up $3.5 billion, predominantly driven by a decrease in the provision for credit losses.
Net revenue was $7.4 billion, up 8%. Net interest income was $4.5 billion, down 3%, driven by deposit margin compression, offset by the impact of lower funding costs on loans and higher deposit balances. Noninterest revenue was $2.9 billion, up 30%, predominantly driven by higher investment banking revenue and wholesale payments revenue.
Noninterest expense was $3.0 billion, up 5%, driven by higher investments in the business and higher volume- and revenue-related expense.
The provision for credit losses was a net benefit of $858 million, driven by a net reduction in the allowance for credit losses, compared with an expense of $3.3 billion in the prior year.


36

Selected metricsSelected metricsSelected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,		As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)(in millions, except headcount)20202019Change20202019Change(in millions, except headcount)20212020Change20212020Change
Selected balance sheet data (period-end)Selected balance sheet data (period-end)Selected balance sheet data (period-end)
Total assetsTotal assets$228,587 $222,483 3 %$228,587 $222,483 3 %Total assets$227,670 $228,583 — %$227,670 $228,583 — %
Loans:Loans:Loans:
Loans retainedLoans retained214,352 209,448 2 214,352 209,448 2 Loans retained201,283 214,352 (6)201,283 214,352 (6)
Loans held-for-sale and loans at fair valueLoans held-for-sale and loans at fair value349 3,187 (89)349 3,187 (89)Loans held-for-sale and loans at fair value3,412 349 NM3,412 349 NM
Total loansTotal loans$214,701 $212,635 1 $214,701 $212,635 1 Total loans$204,695 $214,701 (5)$204,695 $214,701 (5)
EquityEquity22,000 22,000 — 22,000 22,000 — Equity24,000 22,000 9 24,000 22,000 9 
Period-end loans by client segmentPeriod-end loans by client segmentPeriod-end loans by client segment
Middle Market Banking$61,812 (a)$54,298 14 $61,812 (a)$54,298 14 
Middle Market Banking(a)
Middle Market Banking(a)
$58,918  $61,812 (5)$58,918 

$61,812 (5)
Corporate Client BankingCorporate Client Banking49,857 55,976 (11)49,857 55,976 (11)Corporate Client Banking45,107 49,857 (10)45,107 49,857 (10)
Commercial Real Estate BankingCommercial Real Estate Banking102,484 101,326 1 102,484 101,326 1 Commercial Real Estate Banking100,458 102,484 (2)100,458 102,484 (2)
OtherOther548 1,035 (47)548 1,035 (47)Other212 548 (61)212 548 (61)
Total Commercial Banking loans$214,701 (a)$212,635 1 $214,701 (a)$212,635 1 
Total loans(a)
Total loans(a)
$204,695  $214,701 (5)$204,695  $214,701 (5)
Selected balance sheet data (average)Selected balance sheet data (average)Selected balance sheet data (average)
Total assetsTotal assets$231,691 $218,620 6 $235,079 $218,560 8 Total assets$222,760 $231,691 (4)$224,955 $235,079 (4)
Loans:Loans:Loans:
Loans retainedLoans retained217,498 207,286 5 220,167 206,183 7 Loans retained199,789 217,498 (8)202,002 220,167 (8)
Loans held-for-sale and loans at fair valueLoans held-for-sale and loans at fair value629 963 (35)986 1,097 (10)Loans held-for-sale and loans at fair value2,790 629 344 2,840 986 188 
Total loansTotal loans$218,127 $208,249 5 $221,153 $207,280 7 Total loans$202,579 $218,127 (7)$204,842 $221,153 (7)
Average loans by client segmentAverage loans by client segmentAverage loans by client segment
Middle Market BankingMiddle Market Banking$63,029 $54,806 15 $61,789 $56,221 10 Middle Market Banking$59,032 $63,029 (6)$60,243 $61,789 (3)
Corporate Client BankingCorporate Client Banking51,608 51,389 — 55,967 49,407 13 Corporate Client Banking43,330 51,608 (16)44,154 55,967 (21)
Commercial Real Estate BankingCommercial Real Estate Banking102,905 101,044 2 102,650 100,663 2 Commercial Real Estate Banking100,120 102,905 (3)100,213 102,650 (2)
OtherOther585 1,010 (42)747 989 (24)Other97 585 (83)232 747 (69)
Total Commercial Banking loans$218,127 $208,249 5 $221,153 $207,280 7 
Total loansTotal loans$202,579 $218,127 (7)$204,842 $221,153 (7)
Client deposits and other third-party liabilitiesClient deposits and other third-party liabilities$248,289 $172,714 44 $224,774 $169,427 33 Client deposits and other third-party liabilities$300,595 $248,289 21 $293,981 $224,774 31 
EquityEquity22,000 22,000 — 22,000 22,000 — Equity24,000 22,000 9 24,000 22,000 9 
HeadcountHeadcount11,704 11,501 2 %11,704 11,501 2 %Headcount12,584 11,704 8 %12,584 11,704 8 %
(a)At September 30, 2021 and 2020, total loans included $2.0 billion and $6.6 billion of loans, respectively, under the PPP, of which $1.9 billion and $6.4 billion were in Middle Market Banking.Banking, respectively. Refer to Credit Portfolio on pages 60-61page 60 for a further discussion of the PPP.
4037


Selected metrics (continued)Selected metrics (continued)Selected metrics (continued)
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,		As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratios)(in millions, except ratios)20202019Change20202019Change(in millions, except ratios)20212020Change20212020Change
Credit data and quality statisticsCredit data and quality statisticsCredit data and quality statistics
Net charge-offs/(recoveries)Net charge-offs/(recoveries)$60 $45 33 %$239 $71 237 %Net charge-offs/(recoveries)$31 $60 (48)%$63 $239 (74)%
Nonperforming assetsNonperforming assetsNonperforming assets
Nonaccrual loans:Nonaccrual loans:Nonaccrual loans:
Nonaccrual loans retained(a)(b)
Nonaccrual loans retained(a)(b)
$1,468 $659 123 %$1,468 $659 123 %
Nonaccrual loans retained(a)(b)
$735 $1,468 (50)%$735 $1,468 (50)%
Nonaccrual loans held-for-sale and loans at fair value(b)Nonaccrual loans held-for-sale and loans at fair value(b)85 — NM85 — NMNonaccrual loans held-for-sale and loans at fair value(b)— 85 NM— 85 NM
Total nonaccrual loansTotal nonaccrual loans$1,553 $659 136 $1,553 $659 136 Total nonaccrual loans$735 $1,553 (53)$735 $1,553 (53)
Assets acquired in loan satisfactionsAssets acquired in loan satisfactions24 19 26 24 19 26 Assets acquired in loan satisfactions16 24 (33)16 24 (33)
Total nonperforming assetsTotal nonperforming assets$1,577 $678 133 $1,577 $678 133 Total nonperforming assets$751 $1,577 (52)$751 $1,577 (52)
Allowance for credit losses:Allowance for credit losses:Allowance for credit losses:
Allowance for loan losses(b)Allowance for loan losses(b)$4,466 $2,759 62 $4,466 $2,759 62 Allowance for loan losses(b)$2,354 $4,466 (47)$2,354 $4,466 (47)
Allowance for lending-related commitments(b)Allowance for lending-related commitments(b)864 293 195 864 293 195 Allowance for lending-related commitments(b)711 864 (18)711 864 (18)
Total allowance for credit lossesTotal allowance for credit losses$5,330 $3,052 75 %$5,330 $3,052 75 %Total allowance for credit losses$3,065 $5,330 (42)%$3,065 $5,330 (42)%
Net charge-off/(recovery) rate(b)(c)
Net charge-off/(recovery) rate(b)(c)
0.11 %0.09 %0.15 %0.05 %
Net charge-off/(recovery) rate(b)(c)
0.06 %0.11 %0.04 %0.15 %
Allowance for loan losses to period-end loans retained(b)Allowance for loan losses to period-end loans retained(b)2.08 1.32 2.08 1.32 Allowance for loan losses to period-end loans retained(b)1.17 2.08 1.17 2.08 
Allowance for loan losses to nonaccrual loans retained(a)(b)
Allowance for loan losses to nonaccrual loans retained(a)(b)
304 419 304 419 
Allowance for loan losses to nonaccrual loans retained(a)(b)
320 304 320 304 
Nonaccrual loans to period-end total loansNonaccrual loans to period-end total loans0.72 0.31 0.72 0.31 Nonaccrual loans to period-end total loans0.36 0.72 0.36 0.72 
(a)Allowance for loan losses of $367$123 million and $119$367 million was held against nonaccrual loans retained at September 30, 20202021 and 2019,2020, respectively.
(b)Prior-period amounts have been revised to conform with the current presentation.
(c)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.

4138


ASSET & WEALTH MANAGEMENT
Refer to pages 74–7680–82 of JPMorgan Chase’s 20192020 Form 10-K and Line of Business Metrics on pages 199-200192-193 for a discussion of the business profile of AWM.
Selected income statement dataSelected income statement dataSelected income statement data
(in millions, except ratios)(in millions, except ratios)Three months ended September 30,Nine months ended September 30,(in millions, except ratios)Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change20212020Change20212020Change
RevenueRevenueRevenue
Asset management, administration and commissionsAsset management, administration and commissions$2,753 $2,574 7 %$8,048 $7,558 6 %Asset management, administration and commissions$3,096 $2,646 17 %$9,003 $7,718 17 %
All other incomeAll other income134 139 (4)268 431 (38)All other income216 93 132 620 125 396 
Noninterest revenueNoninterest revenue2,887 2,713 6 8,316 7,989 4 Noninterest revenue3,312 2,739 21 9,623 7,843 23 
Net interest incomeNet interest income850 855 (1)2,637 2,627 — Net interest income988 815 21 2,861 2,530 13 
Total net revenueTotal net revenue3,737 3,568 5 10,953 10,616 3 Total net revenue4,300 3,554 21 12,484 10,373 20 
Provision for credit lossesProvision for credit losses(51)44 NM266 48 454 Provision for credit losses(60)(52)(15)(191)265 NM
Noninterest expenseNoninterest expenseNoninterest expense
Compensation expenseCompensation expense1,357 1,391 (2)4,083 4,259 (4)Compensation expense1,387 1,232 13 4,132 3,636 14 
Noncompensation expenseNoncompensation expense1,266 1,231 3 3,705 3,606 3 Noncompensation expense1,375 1,211 14 3,790 3,565 6 
Total noninterest expenseTotal noninterest expense2,623 2,622 — 7,788 7,865 (1)Total noninterest expense2,762 2,443 13 7,922 7,201 10 
Income before income tax expenseIncome before income tax expense1,165 902 29 2,899 2,703 7 Income before income tax expense1,598 1,163 37 4,753 2,907 64 
Income tax expenseIncome tax expense288 234 23 700 655 7 Income tax expense404 287 41 1,162 701 66 
Net incomeNet income$877 $668 31 $2,199 $2,048 7 Net income$1,194 $876 36 $3,591 $2,206 63 
Revenue by line of businessRevenue by line of businessRevenue by line of business
Asset ManagementAsset Management$1,924 $1,816 6 $5,444 $5,362 2 Asset Management$2,337 $1,924 21 $6,758 $5,444 24 
Wealth Management1,813 1,752 3 5,509 5,254 5 
Global Private Bank(a)
Global Private Bank(a)
1,963 1,630 20 5,726 4,929 16 
Total net revenueTotal net revenue$3,737 $3,568 5 %$10,953 $10,616 3 %Total net revenue$4,300 $3,554 21 %$12,484 $10,373 20 %
Financial ratiosFinancial ratiosFinancial ratios
Return on equityReturn on equity32 %24 %27 %25 %Return on equity33 %32 %33 %27 %
Overhead ratioOverhead ratio70737174Overhead ratio64 69 63 69
Pre-tax margin ratio:Pre-tax margin ratio:Pre-tax margin ratio:
Asset ManagementAsset Management30252725Asset Management36 30 36 27 
Wealth Management33252626
Global Private Bank(a)
Global Private Bank(a)
38 35 40 28 
Asset & Wealth ManagementAsset & Wealth Management31252625Asset & Wealth Management37 33 38 28 
(a)In the first quarter of 2021, the Wealth Management business was renamed Global Private Bank. In the fourth quarter of 2020, certain wealth management clients were transferred from AWM Global Private Bank to the J.P. Morgan Wealth Management unit in CCB’s Consumer & Business Banking business. For further information see page 80 of the 2020 Form 10-K.
Quarterly results
Net income was $877 million,$1.2 billion, up 31%36%.
Net revenue was $3.7$4.3 billion, up 5%21%. Net interest income of $850was $988 million, was relatively flat, as deposit margin compression was predominantly offset by growth in average deposit and loan balances.up 21%. Noninterest revenue was $2.9$3.3 billion, up 6%, predominantly driven by higher asset management fees due to strong cumulative net inflows into liquidity and long-term products and increased brokerage commissions on higher client-driven volume.21%.
Revenue from Asset Management was $1.9$2.3 billion, up 6%21%, predominantly driven byby:
•higher asset management fees due to strongon cumulative net inflows into long-term products and higher average market levels, net of liquidity products.fee waivers; and higher performance fees.
Revenue from Wealth ManagementGlobal Private Bank was $1.8$2.0 billion, up 3%20%, predominantly driven by by:
•higher deposit and loan balances, increased brokerage commissions on higher client-driven volume, and higher asset management fees, due to cumulative net inflows across all products, largelyas well as the impact of lower funding costs on loans, partially offset by deposit margin compression.
Noninterest expense of $2.6 billion was flat.
The provision for credit lossesNoninterest expense was a benefit of $51 million,$2.8 billion, up 13% predominantly driven by a reduction in the allowance for credit losses.higher performance-related compensation, distribution fees, and structural expense.
Refer to Credit and Investment Risk Management on pages 60-7959-77 and Allowance for Credit Losses on pages 77–7875-76 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-date results
Net income was $2.2$3.6 billion, an increase of 7%63%.
Net revenue was $11.0$12.5 billion, an increase of 3%20%. Net interest income of $2.6was $2.9 billion, was flat reflecting higher deposit and loan balances, offset by deposit margin compression.up 13%. Noninterest revenue was $8.3$9.6 billion, up 4%23%.
Revenue from Asset Management was $6.8 billion, up 24%, predominantly driven by by:
•higher asset management fees as a result ofon strong cumulative net inflows into long-term and liquidity products and long-term products as well as increased brokerage commissions on higher client-driven volume, partially offset byaverage market levels, net of liquidity fee waivers; and higher net investment valuation losses on certain investments, compared with gains in the prior year.gains.
4239


Revenue from Asset ManagementGlobal Private Bank was $5.4$5.7 billion, up 2%16%, predominantly driven byby:
•higher deposit and loan balances, higher asset management fees, as a result of cumulative net inflows into liquidity products, largely offset by lower investment valuation gains.
Revenue from Wealth Management was $5.5 billion, up 5%, predominantly driven by higher deposit and loan balances as well as increased brokerage commissionsthe impact of lower funding costs on higher client-driven volume and higher asset management fees, largelyloans, partially offset by deposit margin compression.
Noninterest expense was $7.8$7.9 billion, a decreasean increase of 1%10%, predominantly driven by lower structural expense, predominantly offset by higher investments, legal expenseperformance-related compensation and volume- and revenue-related expense.distribution fees.
The provision for credit losses was $266a net benefit of $191 million, driven by additions toa reduction in the allowance for credit losses, predominantly as a resultcompared with an expense of $265 million in the impact of the COVID-19 pandemic.prior year.
Asset Management has two high-level measures of its overall fund performance.
Effective September 2021, AWM changed the source for the peer group quartile rankings of its funds from Lipper to Morningstar for U.S.-domiciled funds (except for “Municipals” and “Investor” funds, for which the source remains Lipper) and Taiwan domiciled funds. AWM evaluates fund performance utilizing this peer group ranking and believes that it provides investors with comparability across the industry. This change resulted in positive impacts on the quartile rankings shown in the following table, and both positive and negative impacts on the quartile rankings for prior periods, as compared to how they would have been ranked by Lipper. In addition, AWM has changed its selection of the “primary share class” for certain non-U.S. funds, as set forth below, in order to establish a more consistent approach across these products. Prior periods in the following table have been revised to conform to the current presentation.
• 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. An 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 provided 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 these rankings. All ratings, the assigned peer categories and the asset values used to derive these rankings are sourced from the applicable fund rating provider. Where applicable, the fund rating providers redenominate asset values into U.S. dollars. The percentage 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, for which Nomura provides ratings at the fund level. The performance data may have been different if all share classes had 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 these rankings are sourced from the fund rating providers. Quartile rankings are based on the net-of-fee absolute return of each fund. Where applicable, the fund rating providers redenominate asset values into U.S. dollars. The percentage 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 for U.K., Luxembourg and Hong Kong funds and at the fund level for all other funds. The performance data may have been different if all share classes had been included. Past performance is not indicative of future results.
“Primary share class” means the C share class for European funds and Acc share class for Hong Kong and Taiwan funds. If these share classes are not available, the oldest share class is used as the primary share class.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ranking data, headcount and ratios)20202019Change20202019Change
% of JPM mutual fund assets rated as 4- or 5-star(a)
54 %65 %54 %65 %
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
1 year50 74 50 74 
3 years68 80 68 80 
5 years68 86 68 86 
Selected balance sheet data (period-end)(c)
Total assets$194,596 $174,226 12 %$194,596 $174,226 12 %
Loans175,264 153,245 14 175,264 153,245 14 
Deposits174,327 138,439 26 174,327 138,439 26 
Equity10,500 10,500 — 10,500 10,500 — 
Selected balance sheet data (average)(c)
Total assets$188,466 $171,121 10 $184,714 $168,688 10 
Loans170,139 150,486 13 165,152 147,481 12 
Deposits170,986 138,822 23 163,424 139,127 17 
Equity10,500 10,500 — 10,500 10,500 — 
Headcount(d)
22,004 24,228 (9)22,004 24,228 (9)
Number of Wealth Management client advisors2,968 2,872 3 2,968 2,872 3 
Credit data and quality statistics(c)
Net charge-offs/(recoveries)$2 $26 (92)$2 $27 (93)
Nonaccrual loans959 176 445 959 176 445 
Allowance for credit losses:
Allowance for loan losses$582 $350 66 $582 $350 66 
Allowance for lending-related commitments41 16 156 41 16 156 
Total allowance for credit losses$623 $366 70 %$623 $366 70 %
Net charge-off rate— %0.07 %— %0.02 %
Allowance for loan losses to period-end loans0.33 0.23 0.33 0.23 
Allowance for loan losses to nonaccrual loans61 199 61 199 
Nonaccrual loans to period-end loans0.55 0.11 0.55 0.11 

40

Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ranking data, headcount and ratios)20212020Change20212020Change
% of JPM mutual fund assets rated as 4- or 5-star(a)
70 %63 %70 %63 %
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
1 year60 55 60 55 
3 years78 71 78 71 
5 years78 71 78 71 
Selected balance sheet data (period-end)(c)
Total assets$221,702 $187,858 18 %$221,702 $187,858 18 %
Loans202,871 172,695 17 202,871 172,695 17 
Deposits242,309 166,049 46 242,309 166,049 46 
Equity14,000 10,500 33 14,000 10,500 33 
Selected balance sheet data (average)(c)
Total assets$219,022 $181,850 20 $213,679 $177,539 20 
Loans200,635 167,645 20 194,888 162,803 20 
Deposits229,710 162,589 41 218,742 155,779 40 
Equity14,000 10,500 33 14,000 10,500 33 
Headcount22,051 21,058 5 22,051 21,058 5 
Number of Global Private Bank client advisors2,646 2,520 5 2,646 2,520 5 
Credit data and quality statistics(c)
Net charge-offs/(recoveries)$(1)$2 NM$22 $2 NM
Nonaccrual loans686 970 (29)686 970 (29)
Allowance for credit losses:
Allowance for loan losses$402 $580 (31)$402 $580 (31)
Allowance for lending-related commitments20 41 (51)20 41 (51)
Total allowance for credit losses$422 $621 (32)%$422 $621 (32)%
Net charge-off/(recovery) rate— %— %0.02 %— %
Allowance for loan losses to period-end loans0.20 0.34 0.2 0.34 
Allowance for loan losses to nonaccrual loans59 60 59 60 
Nonaccrual loans to period-end loans0.34 0.56 0.34 0.56 
(a)Represents the Nomura “star rating”Morningstar Rating for all domiciled funds except for Japan domiciled funds and Morningstar for all other domiciled funds.which use Nomura. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds. Prior-period amounts were revised to conform with the current period presentation.
(b)Quartile ranking sourced from Morningstar, Lipper Morningstar,and 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. Prior-period amounts were revised to conform with the current period presentation.
(c)Loans, deposits and related credit data and quality statistics relate to the Wealth ManagementGlobal Private Bank business.
(d)
During the second and third quarter of 2020, certain technology and support functions, comprising approximately 850 and 800 staff, respectively, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.
4341


Client assets
Client assets of $3.5$4.1 trillion and assets under management of $2.6$3.0 trillion were up 15%22% and 16%17%, respectively, driven by higher market levels and cumulative net inflows into liquidity and long term products as well as higher market levels.inflows.
Client assets
As of September 30,
(in billions)20202019Change
Assets by asset class
Liquidity$674 $505 33 %
Fixed income663 590 12 
Equity509 437 16 
Multi-asset and alternatives749 714 5 
Total assets under management2,595 2,246 16 
Custody/brokerage/administration/deposits917 815 13 
Total client assets$3,512 $3,061 15 
Memo:
Alternatives client assets (a)
$195 $183 7 
Assets by client segment
Private Banking$698 $636 10 
Institutional1,233 1,029 20 
Retail664 581 14 
Total assets under management$2,595 $2,246 16 
Private Banking$1,577 $1,424 11 
Institutional1,266 1,051 20 
Retail669 586 14 
Total client assets$3,512 $3,061 15 %
Client assets
As of September 30,
(in billions)20212020Change
Assets by asset class
Liquidity$685 $674 2 %
Fixed income695 650 7 
Equity725 499 45 
Multi-asset702 593 18 
Alternatives189 144 31 
Total assets under management2,996 2,560 17 
Custody/brokerage/administration/deposits1,100 810 36 
Total client assets(a)
$4,096 $3,370 22 
Assets by client segment
Private Banking$773 $650 19 
Global Institutional(b)
1,375 1,245 10 
Global Funds(b)
848 665 28 
Total assets under management$2,996 $2,560 17 
Private Banking$1,817 $1,422 28 
Global Institutional(b)
1,425 1,278 12 
Global Funds(b)
854 670 27 
Total client assets(a)
$4,096 $3,370 22 %
(a)RepresentsIncludes CCB client investment assets under management, as well asinvested in managed accounts and J.P. Morgan mutual funds where AWM is the investment manager.
(b)In the first quarter of 2021, Institutional and Retail client balancessegments were renamed to Global Institutional and Global Funds, respectively. This did not result in brokerage accountsa change to the clients within either client segment.
Client assets (continued)

Three months ended September 30,Nine months ended September 30,
(in billions)2021202020212020
Assets under management rollforward
Beginning balance$2,987 $2,476 $2,716 $2,328 
Net asset flows:
Liquidity(11)(30)48 140 
Fixed income11 22 36 40 
Equity16 9 67 19 
Multi-asset3 (1)11 (5)
Alternatives3 2 16 5 
Market/performance/other impacts(13)82 102 33 
Ending balance, September 30$2,996 $2,560 $2,996 $2,560 
Client assets rollforward
Beginning balance$4,044 $3,241 $3,652 $3,089 
Net asset flows75 11 280 237 
Market/performance/other impacts(23)118 164 44 
Ending balance, September 30$4,096 $3,370 $4,096 $3,370 
Client assets (continued)

Three months ended
September 30,		Nine months ended
September 30,
(in billions)2020201920202019
Assets under management rollforward
Beginning balance$2,511 $2,178 $2,364 $1,987 
Net asset flows:
Liquidity(33)24 137 23 
Fixed income24 41 42 97 
Equity9 (2)19 (9)
Multi-asset and alternatives1 1 — (2)
Market/performance/other impacts83 4 33 150 
Ending balance, September 30$2,595 $2,246 $2,595 $2,246 
Client assets rollforward
Beginning balance$3,370 $2,998 $3,226 $2,733 
Net asset flows17 59 240 120 
Market/performance/other impacts125 4 46 208 
Ending balance, September 30$3,512 $3,061 $3,512 $3,061 
4442


International metrics
InternationalInternational
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)20202019Change20202019Change(in millions)20212020Change20212020Change
Total net revenue (a)
Total net revenue (a)
Total net revenue (a)
Europe/Middle East/AfricaEurope/Middle East/Africa$755 $704 7 %$2,097 $2,113 (1)%Europe/Middle East/Africa$905 $755 20 %$2,627 $2,097 25 %
Asia-PacificAsia-Pacific413 382 8 1,191 1,122 6 Asia-Pacific503 413 22 1,513 1,191 27 
Latin America/CaribbeanLatin America/Caribbean199 180 11 585 541 8 Latin America/Caribbean229 199 15 659 585 13 
Total international net revenueTotal international net revenue1,367 1,266 8 3,873 3,776 3 Total international net revenue1,637 1,367 20 4,799 3,873 24 
North AmericaNorth America2,370 2,302 3 7,080 6,840 4 North America2,663 2,187 22 7,685 6,500 18 
Total net revenue(a)
Total net revenue(a)
$3,737 $3,568 5 %$10,953 $10,616 3 %
Total net revenue(a)
$4,300 $3,554 21 %$12,484 $10,373 20 %
(a)Regional revenue is based on the domicile of the client.
As of September 30,As of September 30,As of September 30,As of September 30,
(in billions)(in billions)20202019Change20202019Change(in billions)20212020Change20212020Change
Assets under managementAssets under managementAssets under management
Europe/Middle East/AfricaEurope/Middle East/Africa$481 $398 21 %$481 $398 21 %Europe/Middle East/Africa$548 $481 14 %$548 $481 14 %
Asia-PacificAsia-Pacific203 184 10 203 184 10 Asia-Pacific246 203 21 246 203 21 
Latin America/CaribbeanLatin America/Caribbean67 58 16 67 58 16 Latin America/Caribbean76 67 13 76 67 13 
Total international assets under managementTotal international assets under management751 640 17 751 640 17 Total international assets under management870 751 16 870 751 16 
North AmericaNorth America1,844 1,606 15 1,844 1,606 15 North America2,126 1,809 18 2,126 1,809 18 
Total assets under managementTotal assets under management$2,595 $2,246 16 $2,595 $2,246 16 Total assets under management$2,996 $2,560 17 $2,996 $2,560 17 
Client assetsClient assetsClient assets
Europe/Middle East/AfricaEurope/Middle East/Africa$578 $484 19 $578 $484 19 Europe/Middle East/Africa$669 $578 16 $669 $578 16 
Asia-PacificAsia-Pacific295 258 14 295 258 14 Asia-Pacific371 295 26 371 295 26 
Latin America/CaribbeanLatin America/Caribbean153 138 11 153 138 11 Latin America/Caribbean181 153 18 181 153 18 
Total international client assetsTotal international client assets1,026 880 17 1,026 880 17 Total international client assets1,221 1,026 19 1,221 1,026 19 
North AmericaNorth America2,486 2,181 14 2,486 2,181 14 North America2,875 2,344 23 2,875 2,344 23 
Total client assetsTotal client assets$3,512 $3,061 15 %$3,512 $3,061 15 %Total client assets$4,096 $3,370 22 %$4,096 $3,370 22 %

4543


CORPORATE
Refer to pages 77–7883–84 of JPMorgan Chase’s 20192020 Form 10-K for a discussion of Corporate.
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Revenue
Principal transactions$87 $10 NM$(28)$(227)88 %
Investment securities gains466 78 497 %725 135 437 %
All other income(210)32 NM(90)95 NM
Noninterest revenue343 120 186 %607 3 NM
Net interest income(682)572 NM(1,534)1,436 NM
Total net revenue(a)
(339)692 NM(927)1,439 NM
Provision for credit losses96 — NM108 — NM
Noninterest expense(b)
719 281 156 %1,012 724 40 
Income/(loss) before income tax expense/(benefit)(1,154)411 NM(2,047)715 NM
Income tax expense/(benefit)(455)18 NM(655)(757)13 %
Net income/(loss)$(699)$393 NM$(1,392)$1,472 NM
Total net revenue
Treasury and CIO$(243)$801 NM$(745)$1,930 NM
Other Corporate(96)(109)12 (182)(491)63 
Total net revenue$(339)$692 NM$(927)$1,439 NM
Net income/(loss)
Treasury and CIO$(349)$576 NM$(816)$1,372 NM
Other Corporate(350)(183)(91)(576)100 NM
Total net income/(loss)$(699)$393 NM$(1,392)$1,472 NM
Total assets (period-end)$1,253,275 $812,333 54 $1,253,275 $812,333 54 
Loans (period-end)1,569 1,705 (8)1,569 1,705 (8)
Headcount38,861 38,155 2 %38,861 38,155 2 %
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20212020Change20212020Change
Revenue
Principal transactions$(103)$87 NM$161 $(28)NM
Investment securities gains/(losses)(256)466 NM(397)725 NM
All other income117 (210)NM168 (90)NM
Noninterest revenue(242)343 NM(68)607 NM
Net interest income(1,054)(682)(55)%(2,870)(1,534)(87)%
Total net revenue(a)
(1,296)(339)(282)(2,938)(927)(217)
Provision for credit losses(7)96 NM58 108 (46)
Noninterest expense160 719 (78)1,551 1,012 53 
Income/(loss) before income tax expense/(benefit)(1,449)(1,154)(26)(4,547)(2,047)(122)
Income tax expense/(benefit)(632)(455)(39)(1,906)(655)(191)
Net income/(loss)$(817)$(699)(17)$(2,641)$(1,392)(90)
Total net revenue
Treasury and CIO$(1,198)$(243)(393)$(2,984)$(745)(301)
Other Corporate(98)(96)(2)46 (182)NM
Total net revenue$(1,296)$(339)(282)$(2,938)$(927)(217)
Net income/(loss)
Treasury and CIO$(998)$(349)(186)$(2,629)$(816)(222)
Other Corporate181 (350)NM(12)(576)98 
Total net income/(loss)$(817)$(699)(17)$(2,641)$(1,392)(90)
Total assets (period-end)$1,459,283 $1,253,275 16 $1,459,283 $1,253,275 16 
Loans (period-end)1,697 1,569 8 1,697 1,569 8 
Headcount(b)
38,302 38,861 (1)%38,302 

38,861 (1)%
(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $62$64 million and $74$62 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $186$197 million and $241$186 million for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(b)Included a net legal benefit of $(6) million and $(32) million forDuring the threesix months ended SeptemberJune 30, 20202021, 1,155 technology and 2019, respectively, and $(38) million and $(189) million for the nine months ended September 30, 2020 and 2019, respectively.risk management employees were transferred from Corporate to CIB.
Quarterly results
Net loss was $699$817 million compared with a net incomeloss of $393$699 million in the prior year.
Net revenue was a loss of $339$1.3 billion, down $957 million, down $1.0 billion, driven by lower net interest income, largely on lower rates, including the impact of faster prepayments on mortgage-backed securities. The prior year included income related to the unwind of the internal funding provided to CCB upon the sale of certain mortgage loans.
Noninterest revenue increased, reflecting:by:
•higherlimited deployment opportunities as deposit growth continued,
•net investment securities gains duelosses related to the repositioning of the investment securities portfolio, includingcompared with net gains in the prior year from the sales of U.S. GSE and government agency mortgage-backed securities,MBS, and
•net gainslosses on certain legacy private equity investments, compared with net gains in the prior year,
largelypartially offset by
•netthe absence of losses in the prior year related to derivatives in Other Corporate as well asand the costsearly termination of hedging certain non-U.S. dollar-denominated net investment exposuresof the Firm's long-term debt in Treasury and CIO
Noninterest expense of $160 million was down $559 million primarily driven by the absence of an impairment on a legacy investment in the prior year and lower structural expense.
The current period income tax benefit was predominantly driven by an income tax benefit of $383 million related to finalizing the Firm's 2020 U.S. federal tax return and the change in the level and mix of income and expenses subject to U.S. federal and state and local taxes.
Year-to-date results
Net loss was $2.6 billion compared with a net loss of $1.4 billion in the prior year.
Net revenue was a loss of $2.9 billion, compared with a loss of $927 million in the prior year, primarily driven by lower net interest income on limited deployment opportunities as deposit growth continued.
Noninterest revenue decreased primarily due to:
•net investment securities losses related to repositioning the investment securities portfolio, compared with net gains in the prior year from the sales of U.S. GSE and government agency MBS,
predominantly offset by
•the absence of losses in Treasury and CIO related to cash deployment transactions in the prior year, which were
44

more than offset by the related net interest income earned on these transactions, and
•the absence of losses in the prior year related to the early termination of certain of the Firm’sFirm's long-term debt in Treasury and CIO.CIO and derivatives in Other Corporate
Noninterest expense of $719 million$1.6 billion was up $438$539 million predominantly drivenprimarily due to a higher contribution to the Firm's Foundation and higher legal and technology expense, partially offset by the absence of an impairment on a legacy investment.
The provision for credit losses was predominantly driven byinvestment in the transfer of certain securities from AFS to HTM.
Refer to Note 10 and Note 13 for additional information on the investment securities portfolio and the allowance for credit losses.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 the impact of the Firm’sFirm's estimated full-year expected tax rate relative to the level of year-to-date pretax income. The prior period includedincome, as well as an income tax benefitsbenefit of $383 million related to finalizing the resolution of certainFirm's 2020 U.S. federal tax audits.return.

4645


Year-to-date results
Net loss was $1.4 billion compared with net income of $1.5 billion in the prior year.
Net revenue was a loss of $927 million, compared with income of $1.4 billion in the prior year driven by lower net interest income on lower rates. The prior year included income related to the unwind of the internal funding provided to CCB upon the sale of certain mortgage loans.
Noninterest revenue increased primarily due to
•higher net investment securities gains due to the repositioning of the investment securities portfolio, including sales of U.S. GSE and government agency mortgage-backed securities in the first and third quarters of 2020, and
•net gains on certain legacy private equity investments, compared with net losses in the prior year,
largely offset by
•net losses related to derivatives in Other Corporate, as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO, and
•losses related to the early termination of certain of the Firm’s long-term debt in Treasury and CIO.
Noninterest expense of $1.0 billion was up $288 million driven by an impairment on a legacy investment, and a lower net legal benefit, partially offset by lower structural expense.
The provision for credit losses was predominantly driven by the transfer of certain securities from AFS to HTM.
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 $957 million related to the resolution of certain tax audits.
Treasury and CIO overview
At September 30, 2020,2021, 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 109 for further information on the Firm’s investment securities portfolio and internal risk ratings.
Refer to Liquidity Risk Management on pages 55–5954-58 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 80–8478-82 for information on interest rate and foreign exchange and other risks.
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions)20202019Change20202019Change
Investment securities gains$466 $78 497 %$725 $135 437 %
Available-for-sale securities (average)$442,943 $305,894 45 %$414,228 $260,661 59 %
Held-to-maturity securities (average)103,596 35,494 192 74,102 32,518 128 
Investment securities portfolio (average)$546,539 $341,388 60 $488,330 $293,179 67 
Available-for-sale securities (period-end)$387,663 $351,599 10 $387,663 $351,599 10 
Held-to-maturity securities, net of allowance for credit losses (period-end)(a)(b)
141,553 40,830 247 141,553 40,830 247 
Investment securities portfolio, net of allowance for credit losses (period-end)(a)
$529,216 $392,429 35 %$529,216 $392,429 35 %
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions)20212020Change20212020Change
Investment securities gains/(losses)$(256)$466 NM$(397)$725 NM
Available-for-sale securities (average)$223,747 $442,943 (49)%$312,298 $414,228 (25)%
Held-to-maturity securities (average)(a)
339,544 103,596 228 263,214 74,102 255 
Investment securities portfolio (average)$563,291 $546,539 3 $575,512 $488,330 18 
Available-for-sale securities (period-end)$249,484 $387,663 (36)$249,484 $387,663 (36)
Held-to-maturity securities, net of allowance for credit losses (period-end)(a)
343,542 141,553 143 343,542 141,553 143 
Investment securities portfolio, net of allowance for credit losses (period-end)(b)
$593,026 $529,216 12 %$593,026 $529,216 12 %
(a)At September 30, 2020, the allowance for credit losses on HTM securities was $120 million.
(b)During the nine months ended September 30,2021 and 2020, the Firm transferred $100.5$104.5 billion and $164.2 billion of investment securities, consisting of $74.4 billion in the third quarter of 2020 and $26.1 billion in the first quarter of 2020,respectively, from AFS to HTM for capital management purposes.
Refer to Note 10(b)At September 30, 2021 and 2020, the allowance for further information.

credit losses on investment securities was $73 million and $120 million, respectively.
4746


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,risks 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.
jpm-20210930_g1.jpg
Refer to pages 79-8385-89 of JPMorgan Chase’s 20192020 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 20192020 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 functionsRisk governance and oversight functionsForm 10-Q page referenceForm 10-K page referenceRisk governance and oversight functionsForm 10-Q page referenceForm 10-K page reference
Strategic riskStrategic risk84Strategic risk90
Capital riskCapital risk49-5485–92Capital risk48-5391-101
Liquidity riskLiquidity risk55-5993–98Liquidity risk54-58102-108
Reputation riskReputation risk99Reputation risk109
Consumer credit riskConsumer credit risk62-66103–107Consumer credit risk61-65114-120
Wholesale credit riskWholesale credit risk67-76108–115Wholesale credit risk66-74121-131
Investment portfolio riskInvestment portfolio risk79118Investment portfolio risk77134
Market riskMarket risk80-84119–126Market risk78-82135-142
Country riskCountry risk85127–128Country risk83143-144
Operational riskOperational risk86129–135Operational risk84145-151
Compliance riskCompliance risk132Compliance risk148
Conduct riskConduct risk133Conduct risk149
Legal riskLegal risk134Legal risk150
Estimations and Model riskEstimations and Model risk87135Estimations and Model risk85151
4847


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.
The Firm has been impacted by market events as a result of the COVID-19 pandemic, but has remained well-capitalized.
Refer to pages 85–9291-101 of JPMorgan Chase’s 20192020 Form
10-K, Note 2221 of this Form 10-Q and the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for a further discussion of the Firm’s Capital Risk Management, including capital planning and stress testing.
COVID-19 Pandemic
The Firm has been impacted by recent market events as a result of the COVID-19 pandemic, but remains well-capitalized. However, the continuation or further deterioration of the current macroeconomic environment could result in impacts to the Firm’s capital and leverage.
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”Bank Holding Companies ("BHCs") 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.approaches compared to their respective minimum capital ratios.
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. The Firm’s SLR is currently more binding than the Basel III Standardized-risk-based ratios. Refer to SLR on page 90 of JPMorgan Chase’s 2019 Form 10-K51 for additional information.
Key Regulatory Developments
Current Expected Credit Losses.CECL regulatory capital transition delay. 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 interima final rule (issued as final on August 26, 2020) that provided the option beginning January 1, 2020 to delay the effects of CECL on regulatory capital for two years, followed by a
three-year transition period beginning January 1, 2022 (“CECL capital transition provisions”).
The 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 September 30, 2020,2021, the capital metrics of the Firm exclude $6.4$3.3 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $15.2$1.9 billion increase in the allowance for credit losses from January 1, 2020 (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions onhave also been incorporated into Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital metrics.exposure. Refer to Capital Risk Management on pages 91-101 and Note 1 of JPMorgan Chase’s 2020 Form 10-K for further information on CECL capital transition provisions and the CECL accounting guidance.
Money Market Mutual Fund Liquidity Facility ("MMLF").On March 18, 2020, the Federal Reserve established the 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 (issued as final on September 29, 2020) to neutralize the effects of purchasing assets through the program on risk-based and leverage-based capital ratios. As of September 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 $932 million from its RWA and $2.2 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
49


restrictions. As of September 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion.
Paycheck Protection Program.PPP. On April 13, 2020, the federal banking agencies issued an interim final rule (issued as final on September 29, 2020) 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. Given that PPP loans are guaranteed by the SBA, theThe Firm does not expect to realize material credit losses on these loans.PPP loans because the loans are guaranteed by the SBA. As of September 30, 2020,2021, the Firm had approximately $28$13 billion of loans remaining under the program.
The rule also provides that ifTotal leverage exposure for purposes of calculating the SLR includes PPP loan is pledgedloans as collateral for a non-recourse loan underthe Firm did not participate in the Federal Reserve’s Paycheck Protection Program Lending (“PPPL”) Facility, the PPP loans can be excluded from leverage-based capital ratios. As of September 30, 2020,which would have allowed the Firm had not participated in the PPPL Facility.
Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 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 ("SCB"). On March 4, 2020, the Federal Reserve issuedexclude them under the final rule introducing 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.rule.
TLAC Holdings rule. On October 20, 2020, the federal banking agencies issued a final rule prescribing the regulatory capital treatment for holdings of TLACTotal Loss-Absorbing Capacity ("TLAC") debt instruments by certain large banking organizations, such as the Firm and JPMorgan Chase Bank, N.A. This rule expands the scope of the existing capital deductions rule around the holdings of capital instruments of financial institutions to also include TLAC debt instruments issued by systemically important banking organizations. The rule is intended to limit interconnectedness within the financial system and reduce systemic risk. The final rule will becomebecame effective on April 1, 2021.2021 and did not have a material impact on the Firm’s risk-based capital metrics.

48

The following tables present the Firm’s risk-based and leverage-based capital metrics under both the Basel III Standardized and Advanced Approaches.approaches and leverage-based capital metrics. Refer to Capital Risk Management on pages 85–9291-101 of JPMorgan Chase’s 20192020 Form 10-K for a further discussion of these capital metrics.
September 30, 2020(c)(d)
December 31, 2019StandardizedAdvanced
(in millions, except ratios)(in millions, except ratios)StandardizedAdvancedStandardizedAdvanced
Minimum capital ratios(e)
(in millions, except ratios)
September 30, 2021(a)
December 31, 2020(a)
Minimum capital ratios(b)
September 30, 2021(a)
December 31, 2020(a)
Minimum capital ratios(b)
Risk-based capital metrics:Risk-based capital metrics:Risk-based capital metrics:
CET1 capitalCET1 capital$197,719 $197,719 $187,753 $187,753 CET1 capital$209,917 $205,078 $209,917 $205,078 
Tier 1 capitalTier 1 capital227,486 227,486 214,432 214,432 Tier 1 capital244,207 234,844 244,207 234,844 
Total capitalTotal capital262,397 249,947 242,589 232,112 Total capital274,994 269,923 264,469 257,228 
Risk-weighted assetsRisk-weighted assets1,514,509 1,429,334 1,515,869 1,397,878 Risk-weighted assets1,628,406 1,560,609 1,544,512 1,484,431 
CET1 capital ratioCET1 capital ratio13.1 %13.8 %12.4 %13.4 %10.5 %CET1 capital ratio12.9 %13.1 %11.3 %13.6 %13.8 %10.5 %
Tier 1 capital ratioTier 1 capital ratio15.0 15.9 14.1 15.3 12.0 Tier 1 capital ratio15.0 15.0 12.8 15.8 15.8 12.0 
Total capital ratioTotal capital ratio17.3 17.5 16.0 16.6 14.0 Total capital ratio16.9 17.3 14.8 17.1 17.3 14.0 
Leverage-based capital metrics:
Adjusted average assets(a)
$3,243,290 $3,243,290 $2,730,239 $2,730,239 
Tier 1 leverage ratio7.0 %7.0 %7.9 %7.9 %4.0 %
Total leverage exposure(b)
NA$3,247,392 NA$3,423,431 
SLR(b)
NA7.0 %NA6.3 %5.0 %
(a)The capital metrics reflect the CECL capital transition provisions. Additionally, loans originated under the PPP receive a zero percent risk weight.
(b)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 21 for additional information.
(in millions, except ratios)
September 30, 2021(b)
December 31, 2020(b)(c)
Minimum capital ratios(d)
Leverage-based capital metrics:
Adjusted average assets(a)
$3,675,803 $3,353,319 
Tier 1 leverage ratio6.6 %7.0 %4.0 %
Total leverage exposure$4,463,904 $3,401,542 
SLR5.5 %6.9 %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 September 30, 2020, totalThe capital metrics reflect the CECL capital transition provisions.
(c)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 onwhich became effective April 1, 2020 and remained in effect through March 31, 2021. The SLR excluding the relief was 5.8% for the period ended December 31, 2020.
(c)As of September 30, 2020, the capital metrics reflect the CECL capital transition provisions.
(d)As of September 30, 2020, the capital metrics 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.
(e)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 2221 for additional information.
5049


Capital components
The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of September 30, 20202021 and December 31, 2019.2020.
(in millions)(in millions)September 30,
2020		December 31, 2019(in millions)September 30,
2021		December 31, 2020
Total stockholders’ equityTotal stockholders’ equity$271,113 $261,330 Total stockholders’ equity$290,041 $279,354 
Less: Preferred stockLess: Preferred stock30,063 26,993 Less: Preferred stock34,838 30,063 
Common stockholders’ equityCommon stockholders’ equity241,050 234,337 Common stockholders’ equity255,203 249,291 
Add:Add:Add:
Certain deferred tax liabilities(a)
Certain deferred tax liabilities(a)
2,405 2,381 
Certain deferred tax liabilities(a)
2,500 2,453 
Other CET1 capital adjustments(b)
Other CET1 capital adjustments(b)
3,429 3,486 
Less:Less:Less:
GoodwillGoodwill47,819 47,823 Goodwill50,313 49,248 
Other intangible assetsOther intangible assets759 819 Other intangible assets902 904 
Other CET1 capital adjustments(b)
(2,842)323 
Standardized/Advanced CET1 capitalStandardized/Advanced CET1 capital197,719 187,753 Standardized/Advanced CET1 capital209,917 205,078 
Preferred stockPreferred stock30,063 26,993 Preferred stock34,838 30,063 
Less: Other Tier 1 adjustmentsLess: Other Tier 1 adjustments296 314 Less: Other Tier 1 adjustments548 297 
Standardized/Advanced Tier 1 capitalStandardized/Advanced Tier 1 capital$227,486 $214,432 Standardized/Advanced Tier 1 capital$244,207 $234,844 
Long-term debt and other instruments qualifying as Tier 2 capitalLong-term debt and other instruments qualifying as Tier 2 capital$16,965 $13,733 Long-term debt and other instruments qualifying as Tier 2 capital$14,733 $16,645 
Qualifying allowance for credit losses(c)
Qualifying allowance for credit losses(c)
17,855 14,314 
Qualifying allowance for credit losses(c)
16,338 18,372 
OtherOther91 110 Other(284)62 
Standardized Tier 2 capitalStandardized Tier 2 capital$34,911 $28,157 Standardized Tier 2 capital$30,787 $35,079 
Standardized Total capitalStandardized Total capital$262,397 $242,589 Standardized Total capital$274,994 $269,923 
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)
(12,450)(10,477)
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)
(10,525)(12,695)
Advanced Tier 2 capitalAdvanced Tier 2 capital$22,461 $17,680 Advanced Tier 2 capital$20,262 $22,384 
Advanced Total capitalAdvanced Total capital$249,947 $232,112 Advanced Total capital$264,469 $257,228 
(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 September 30, 2021 and December 31, 2020, the impact of the CECL capital transition provision was an increase in CET1 capital of $6.4 billion.$3.3 billion and $5.7 billion, respectively.
(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 nine months ended September 30, 2020.2021.
Nine months ended September 30,
(in millions)		20202021
Standardized/Advanced CET1 capital at December 31, 20192020$187,753205,078 
Net income applicable to common equity15,79236,761 
Dividends declared on common stock(8,339)(8,475)
Net purchase of treasury stock(5,238)(15,314)
Changes in additional paid-in capital(233)(37)
Changes related to AOCI7,371 (7,023)
Adjustment related to AOCI(a)
(3,006)2,592 
Changes related to other CET1 capital adjustments(b)
3,619 (3,665)
Change in Standardized/Advanced CET1 capital9,9664,839 
Standardized/Advanced CET1 capital at September 30, 20202021$197,719209,917 
Standardized/Advanced Tier 1 capital at December 31, 20192020$214,432234,844 
Change in CET1 capital(b)
9,9664,839 
Net issuance of noncumulative perpetual preferred stock3,0704,775 
Other18 (251)
Change in Standardized/Advanced Tier 1 capital13,0549,363 
Standardized/Advanced Tier 1 capital at September 30, 20202021$227,486244,207 
Standardized Tier 2 capital at December 31, 20192020$28,15735,079 
Change in long-term debt and other instruments qualifying as Tier 23,232 (1,912)
Change in qualifying allowance for credit losses(b)
3,542 (2,034)
Other(20)(346)
Change in Standardized Tier 2 capital6,754 (4,292)
Standardized Tier 2 capital at September 30, 20202021$34,91130,787 
Standardized Total capital at September 30, 20202021$262,397274,994 
Advanced Tier 2 capital at December 31, 20192020$17,68022,384 
Change in long-term debt and other instruments qualifying as Tier 23,232 (1,912)
Change in qualifying allowance for credit losses(b)
1,569136 
Other(20)(346)
Change in Advanced Tier 2 capital4,781 (2,122)
Advanced Tier 2 capital at September 30, 20202021$22,46120,262 
Advanced Total capital at September 30, 20202021$249,947264,469 
(a)Includes cash flow hedges and DVAdebit valuation adjustment ("DVA") related to structured notes recorded in AOCI.
(b)Includes the impact of the CECL capital transition provisions.
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RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the nine months ended September 30, 2020.2021. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.
StandardizedAdvancedStandardizedAdvanced
Nine months ended September 30, 2020
(in millions)		Credit risk RWAMarket risk RWATotal RWACredit risk RWAMarket risk RWAOperational risk
RWA		Total RWA
December 31, 2019$1,440,220 $75,649 $1,515,869 $932,948 $75,652 $389,278 $1,397,878 
Nine months ended
September 30, 2021
(in millions)		Nine months ended
September 30, 2021
(in millions)		Credit risk RWAMarket risk RWATotal RWACredit risk RWAMarket risk RWAOperational risk
RWA		Total RWA
December 31, 2020December 31, 2020$1,464,219 $96,390 $1,560,609 $1,002,330 $96,910 $385,191 $1,484,431 
Model & data changes(a)
Model & data changes(a)
300 (16,650)(16,350)(6,300)(16,650)— (22,950)
Model & data changes(a)
1,370 (2,867)(1,497)(200)(2,867)— (3,067)
Portfolio runoff(b)
Portfolio runoff(b)
(3,600)— (3,600)(3,100)— — (3,100)
Portfolio runoff(b)
(4,100)— (4,100)(2,700)— — (2,700)
Movement in portfolio levels(c)
Movement in portfolio levels(c)
(16,469)35,059 18,590 30,445 35,376 (8,315)57,506 
Movement in portfolio levels(c)
66,795 6,599 73,394 38,228 6,436 21,184 65,848 
Changes in RWAChanges in RWA(19,769)18,409 (1,360)21,045 18,726 (8,315)31,456 Changes in RWA64,065 3,732 67,797 35,328 3,569 21,184 60,081 
September 30, 2020$1,420,451 $94,058 $1,514,509 $953,993 $94,378 $380,963 $1,429,334 
September 30, 2021September 30, 2021$1,528,284 $100,122 $1,628,406 $1,037,658 $100,479 $406,375 $1,544,512 
(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 and macroeconomic model inputs 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 87-88page 95 of JPMorgan Chase’s 20192020 Form 10-K for additional information.
The following table presents the components of the Firm’s SLR.
(in millions, except ratio)September 30,
2020		December 31,
2019
Three months ended
(in millions, except ratio)		Three months ended
(in millions, except ratio)		September 30,
2021		December 31, 2020
Tier 1 capitalTier 1 capital$227,486 $214,432 Tier 1 capital$244,207 $234,844 
Total average assetsTotal average assets3,290,157 2,777,270 Total average assets3,725,219 3,399,818 
Less: Regulatory capital adjustments(a)
Less: Regulatory capital adjustments(a)
46,867 47,031 
Less: Regulatory capital adjustments(a)
49,416 46,499 
Total adjusted average assets(b)
Total adjusted average assets(b)
3,243,290 2,730,239 
Total adjusted average assets(b)
3,675,803 3,353,319 
Add: Off-balance sheet exposures(c)
Add: Off-balance sheet exposures(c)
702,203 693,192 
Add: Off-balance sheet exposures(c)
788,101 729,978 
Less: Exclusion for U.S Treasuries and Federal Reserve Bank deposits698,101 — 
Less: Exclusion for U.S. Treasuries and Federal Reserve Bank depositsLess: Exclusion for U.S. Treasuries and Federal Reserve Bank deposits— 681,755 
Total leverage exposureTotal leverage exposure$3,247,392 $3,423,431 Total leverage exposure$4,463,904 $3,401,542 
SLRSLR7.0 %6.3 %SLR5.5 %6.9 %(d)
(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 September 30, 2020, includesassets and 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.provisions.
(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.
(d)The SLR excluding the relief was 5.8% for the period ended December 31, 2020.
Refer to Note 2221 for JPMorgan Chase Bank, N.A.’s SLR ratios.SLR.
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 9098 of JPMorgan Chase’s 20192020 Form 10-K for additional information on capital allocation.
The following table presents the capital allocated to each business segment:segment.
Line of business equity (Allocated capital)Line of business equity (Allocated capital)

(in billions)
(in billions)		September 30,
2020		December 31,
2019
(in billions)		September 30,
2021		December 31,
2020
Consumer & Community BankingConsumer & Community Banking$52.0 $52.0 Consumer & Community Banking$50.0 $52.0 
Corporate & Investment BankCorporate & Investment Bank80.0 80.0 Corporate & Investment Bank83.0 80.0 
Commercial BankingCommercial Banking22.0 22.0 Commercial Banking24.0 22.0 
Asset & Wealth ManagementAsset & Wealth Management10.5 10.5 Asset & Wealth Management14.0 10.5 
CorporateCorporate76.6 69.8 Corporate84.2 84.8 
Total common stockholders’ equityTotal common stockholders’ equity$241.1 $234.3 Total common stockholders’ equity$255.2 $249.3 
Capital planningactions
Common stock dividends
On September 21, 2021, the Firm announced that its Board of Directors had declared a quarterly common stock dividend, which increased to $1.00 per share from $0.90 per share, effective with the dividend payable on October 31, 2021. The Firm’s dividends are subject to approval by the Board of Directors on a quarterly basis.
Common stock
On December 18, 2020, the Federal Reserve announced that all large banks, including the Firm, could resume share repurchases commencing in the first quarter of 2021. Subsequently, the Firm announced that its Board of Directors authorized a new common share repurchase program for up to $30 billion. As directed by the Federal Reserve, total net repurchases and stress testingcommon stock dividends in the first and second quarters of 2021 were restricted and could not exceed the average of the Firm’s net income for the four preceding calendar quarters.
On June 24, 2021, the Federal Reserve announced that the temporary restrictions on capital distributions would expire on June 30, 2021 as a result of the Firm remaining above its minimum risk-based capital requirements under the 2021 Comprehensive Capital Analysis and Review
On June 29, 2020, ("CCAR") stress test. Effective July 1, 2021, the Firm announced that it had completed the 2020 CCAR stress test process. On August 10, 2020, the Federal Reserve affirmed the Firm's SCB requirement of 3.3% and the Firm's minimum Standardized CET1 capital ratio of 11.3% (up from 10.5%). The SCB requirement became effective on October 1, 2020.subject
The Federal Reserve has determined that changes in financial markets or the macroeconomic outlook due
51

to the COVID-19 pandemic could have a material effect on a firm’s risk profile and financial condition and therefore is requiring all large bank holding companies, includingnormal capital distribution restrictions provided under the Firm, to update and resubmit theirregulatory capital plans by November 2, 2020.framework. The Firm anticipates thatcontinues to be authorized to repurchase common shares under its existing common share repurchase program previously approved by the Federal Reserve will disclose firm-specific results under the additional scenarios before December 31, 2020.Board of Directors.
Refer to Key Regulatory Developments on pages 49-50 of this Form 10-Q and capital planning and stress testing on pages 85-86 of JPMorgan Chase’s 2019 Form 10-Kpage 52 for additional information.
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Capital actions
PreferredThe following table sets forth the Firm’s repurchases of common stock
Preferred stock dividends declared were $381 million and $1.2 billion for the three and nine months ended September 30, 2021 and 2020.
The Firm has not issued or redeemed any preferred stock since the first quarter of 2020. 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 the issuance and redemption of preferred stock during the three months ended March 31, 2020.
Three months ended September 30,Nine months ended September 30,
(in millions)2021
2020(a)
2021
2020(a)
Total number of shares of common stock repurchased33.4 — 107.6 50.0 
Aggregate purchase price of common stock repurchases$5,240 $— $16,440 $6,397 
Common stock dividends
The Firm’s quarterly common stock dividend is currently $0.90 per share. The Firm’s dividends are subject to the Board of Directors’ approval on a quarterly basis.
Common equity
(a) On March 15, 2020, in response to the economic disruptions caused by the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common equity. In June 2020,stock. Subsequently, the Federal Reserve directed all large bank holding companies,banks, including the Firm, to discontinue net share repurchases at least through the end of the third quarter of 2020. As such, there were no shares repurchased during the second and third quarters of 2020. On September 30, 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to extend the discontinuation of net share repurchases through the end of the fourth quarter of 2020.
The following table sets forth the Firm’s repurchases of common equity for the three and nine months ended September 30, 2020 and 2019.
Three months ended
September 30,		Nine months ended
September 30,
(in millions)2020201920202019
Total number of shares of common stock repurchased— 62.0 50.0 159.0 
Aggregate purchase price of common stock repurchases$— $6,949 $6,397 $17,250 
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 page 202pages 195-196 of this Form 10-Q and page 3034 of JPMorgan Chase’s 20192020 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.
Preferred stock

Preferred stock dividends declared were $402 million and $1.2 billion for the three and nine months ended September 30, 2021.
During the nine months ended September 30, 2021, the Firm issued and redeemed several series of non-cumulative preferred stock. Refer to Note 17 of this Form 10-Q and Note 21 of JPMorgan Chase’s 2020 Form 10-K for additional information on the Firm’s preferred stock, including the issuance and redemption of preferred stock.
Capital planning and stress testing
Comprehensive Capital Analysis and Review
On June 28, 2021, JPMorgan Chase announced that it had completed the 2021 CCAR stress test process. On August 5, 2021, the Federal Reserve affirmed the Firm's 2021 Stress Capital Buffer ("SCB") requirement of 3.2% (down from 3.3%) and the Firm's minimum Standardized CET1 capital ratio of 11.2% (down from 11.3%). The 2021 SCB requirement became effective on October 1, 2021 and will remain in effect until September 30, 2022.
Refer to Capital planning and stress testing on pages 91-92 of JPMorgan Chase’s 2020 Form 10-K for additional information on CCAR.
Other capital requirements
Total Loss-Absorbing Capacity
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 91100 of JPMorgan Chase’s 20192020 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 September 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 September 30, 2021 and December 31, 2020.
September 30, 2020December 31, 2019September 30, 2021
December 31, 2020(a)
(in billions, except ratio)(in billions, except ratio)Eligible external TLACEligible LTDEligible external TLACEligible LTD(in billions, except ratio)External TLACLTDExternal TLACLTD
Total eligible TLAC & LTD$405.4 $174.0 $386.4 $161.8 
Total eligible amountTotal eligible amount$461.5 $208.7 $421.0 $181.4 
% of RWA% of RWA26.8 %11.5 %25.5 %10.7 %% of RWA28.3 %12.8 %27.0 %11.6 %
Minimum RequirementsMinimum Requirements22.5 9.5 23.0 9.5 
Surplus/(shortfall)Surplus/(shortfall)$57.1 $30.2 $37.7 $17.8 Surplus/(shortfall)$95.1 $54.0 $62.1 $33.1 
% of total leverage exposure% of total leverage exposure12.5 %5.4 %11.3 %4.7 %% of total leverage exposure10.3 %4.7 %12.4 %5.3 %
Minimum RequirementsMinimum Requirements9.5 4.5 9.5 4.5 
Surplus/(shortfall)Surplus/(shortfall)$96.9 $27.9 $61.2 $7.8 Surplus/(shortfall)$37.4 $7.8 $97.9 $28.3 
(a)Total leverage exposure excludes U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the rule issued by the Federal Reserve which became effective April 1, 2020 and remained in effect through March 31, 2021.
Refer to Liquidity Risk Management on pages 54-58 for further information on long-term debt issued by the Parent Company.
Refer to Part I, Item 1A: Risk Factors on pages 6–288-32 of JPMorgan Chase’s 20192020 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.
5352


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 is subject to regulatory capital requirements, including those imposed by the Rules of theSEC, Commodity Futures Trading Commission (“CFTC”), Financial Industry Regulatory Authority (“FINRA”) and the National Futures Association (“NFA”).
Refer to Capital risk managementBroker-dealer regulatory capital on pages 85–92page 101 of JPMorgan Chase’s 20192020 Form 10-K for a discussion on J.P. Morgan Securities’ capital requirements.
The following table presents J.P. Morgan Securities’ net capital:
September 30, 2020
(in millions)
Actual(a)
Minimum
Net Capital$28,047 $5,150 
(a)Net capital reflects the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.
September 30, 2021
(in millions)ActualMinimum
Net Capital$25,580 $5,437 

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”). J.P. Morgan Securities plc is subject to the European Union Capital Requirements Regulation, as adopted in the U.K., and the PRA capital rules, each of which have implemented Basel III and thereby subject J.P. Morgan Securities plc to its requirements.
Refer to Capital risk managementBroker-dealer regulatory capital on pages 85–92page 101 of JPMorgan Chase’s 20192020 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 September 30, 2020,2021, 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:
September 30, 2020
September 30, 2021September 30, 2021
Regulatory Minimum ratios(a)
(in millions, except ratios)(in millions, except ratios)EstimatedMinimum ratios(in millions, except ratios)Estimated
Total capitalTotal capital$55,334 Total capital$54,842 
CET1 ratioCET1 ratio17.5 %4.5 %CET1 ratio16.6 %4.5 %
Total capital ratioTotal capital ratio22.3 %8.0 %Total capital ratio21.2 %8.0 %

(a)Represents minimum requirements excluding additional capital requirements (i.e. capital buffers) specified by the PRA. J.P. Morgan Securities plc's capital ratios as of September 30, 2021 exceeded the minimum requirements, including the additional capital requirements specified by the PRA.


5453


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 93–98102–108 of JPMorgan Chase’s 20192020 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 and JPMorgan Chase Bank, N.A. maintain an amount of unencumberedeligible HQLA that is sufficient to meet itstheir respective estimated total net cash outflows over a prospective 30 calendar-day period of significant stress. Under the LCR rule, the amount of eligible 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 eligible HQLA. The LCR for both the Firm and JPMorgan Chase Bank, N.A. is required to be a minimum of 100%. Refer to page 94103 of JPMorgan Chase’s 20192020 Form 10-K and the Firm’s U.S. LCR Disclosure reports for additional information on HQLA and net cash outflows.
The following table summarizes the Firm’sFirm and JPMorgan Chase Bank, N.A.’s average LCR for the three months ended September 30, 2020,2021, June 30, 20202021 and September 30, 20192020 based on the Firm’s interpretation of the finalized LCR framework.
Three months endedThree months ended
Average amount
(in millions)		Average amount
(in millions)		September 30,
2020		June 30, 2020September 30,
2019		Average amount
(in millions)		September 30,
2021		June 30, 2021September 30,
2020
JPMorgan Chase & Co.JPMorgan Chase & Co.
HQLAHQLAHQLA
Eligible cash(a)
Eligible cash(a)
$458,336 $426,053 $199,757 
Eligible cash(a)
$690,013 $673,724 $458,336 
Eligible securities(b)(c)
Eligible securities(b)(c)
211,841 225,135 337,704 
Eligible securities(b)(c)
34,049 42,832 211,841 
Total HQLA(d)
Total HQLA(d)
$670,177 $651,188 $537,461 
Total HQLA(d)
$724,062 $716,556 $670,177 
Net cash outflowsNet cash outflows$587,811 $556,395 $468,452 Net cash outflows$645,557 $647,757 $587,811 
LCRLCR114 %117 %115 %LCR112 %111 %114 %
Net excess HQLA(d)
$82,366 $94,793 $69,009 
Net excess eligible HQLA(d)
Net excess eligible HQLA(d)
$78,505 $68,799 $82,366 
JPMorgan Chase Bank N.A.:JPMorgan Chase Bank N.A.:
LCRLCR174 %171 %157 %
Net excess eligible HQLANet excess eligible HQLA$516,374 $489,311 $366,096 
(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)Eligible 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 eligible HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
The Firm’s average LCR increased during the three months ended September 30, 2021, compared with the three-month period ended June 30, 2021, primarily due to an
increase in cash from long-term debt issuances during the second quarter 2021.
The Firm's average LCR decreased during the three months ended September 30, 2020,2021, compared with the three-monthprior year period primarily due to the relative impact on net cash outflows from the significant increase in deposits.
JPMorgan Chase Bank, N.A.’s average LCR increased during the three months ended September 30, 2021, compared with both the three month periods ended June 30, 2021 and September 30, 2020 due to an increase in net cash outflows largely due to market activities in the CIB. Liquidity in JPMorgan Chase Bank, N.A. increased during the quarter primarily due to growth in deposits and a reduction in loans.deposits. Deposits continued to increase in the third quarter primarily driven by the COVID-19 pandemic and the related effect of certain government actions. However, these increasesactions in response to the COVID-19 pandemic. The increase in excess liquidity in JPMorgan Chase Bank, N.A. areis excluded from the Firm’s reported LCR under the LCR rule.
The Firm's average LCR was negatively impacted during the three months ended September 30, 2020, compared with the prior year period due to a significant increase in deposits impacting both HQLA and net cash outflows. However, the average net excess HQLA has increased during the same period, primarily due to an increase in cash from unsecured long-term debt issuances.
The Firm’sFirm and JPMorgan Chase Bank, N.A.'s average LCR fluctuates from period to period, due to changes in its eligible 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 eligible 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 eligible HQLA securities at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates, as described above.affiliates. The fair value of these securities was approximately $660$878 billion and $315$740 billion as of September 30, 20202021 and December 31, 2019,2020, respectively, although the amount of liquidity that could be raised would be dependent on prevailing market conditions. The fair value increased compared to December 31, 2019,2020, due to an increase in excess eligible HQLA at JPMorgan Chase Bank, N.A. which was primarily a result of increased depositshigher deposits as noted above.well as an increase in CIB trading assets.
The Firm also had available borrowing capacity at FHLBsthe Federal Home Loan Banks ("FHLBs") and the discount window at the Federal Reserve Bank as a result of collateral pledged by the Firm to such banks of approximately $295$303 billion and $322$307 billion as of September 30, 20202021 and December 31, 2019,2020, respectively. This borrowing capacity excludes the benefit of cash and securities reported in the Firm’s eligible 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 driven by the COVID-19 pandemic and a decrease in pledged mortgage collateral as a result of paydown and maturity activity. 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.
NSFR
The net stable funding ratio (“NSFR”) is a liquidity requirement for large banking organizations that is intended to measure the adequacy of “available” and “required” amounts of stable funding over a one-year horizon. On October 20, 2020, the federal banking agencies
54

issued a final NSFR rule under which large banking organizations such as the Firm and JPMorgan Chase Bank, N.A. will be required to maintain an NSFR of at least 100% on an ongoing basis. The final NSFR rule will becomebecame effective on July 1, 2021, and the Firm will be required to publicly disclose its quarterly average NSFR semi-annually beginning in 2023.
55
As of September 30, 2021, the Firm and JPMorgan Chase Bank, N.A. are compliant with the 100% minimum NSFR, based on the Firm's current understanding of the final rule.


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 Company 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 and Corporate, the period-end deposit balances as of September 30, 2020,2021, and December 31, 2019,2020, and the average deposit balances for the three and nine months ended September 30, 20202021 and 2019,2020, respectively.
September 30, 2020December 31, 2019Three months ended September 30,Nine months ended September 30,
DepositsAverageAverage
(in millions)2020201920202019
Consumer & Community Banking$900,920 $718,354 (a)$887,138 $693,943 (a)$817,848 $688,663 (a)
Corporate & Investment Bank667,308 511,905 (a)678,843 524,558 (a)631,351 509,788 (a)
Commercial Banking258,635 184,115 248,078 172,653 224,591 169,361 
Asset & Wealth Management174,327 147,804 170,986 138,822 163,424 139,127 
Corporate226 253 554 904 760 887 
Total Firm$2,001,416 $1,562,431 $1,985,599 $1,530,880 $1,837,974 $1,507,826 
(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.
September 30, 2021December 31, 2020Three months ended September 30,Nine months ended September 30,
DepositsAverageAverage
(in millions)2021202020212020
Consumer & Community Banking$1,093,852 $958,706 $1,076,323 $895,535 $1,034,947 $825,493 
Corporate & Investment Bank750,920 702,215 762,539 678,843 758,534 631,351 
Commercial Banking314,726 284,263 300,433 248,078 293,817 224,591 
Asset & Wealth Management242,309 198,755 229,710 162,589 218,742 155,779 
Corporate546 318 454 554 452 760 
Total Firm$2,402,353 $2,144,257 $2,369,459 $1,985,599 $2,306,492 $1,837,974 
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,ratio, and deposits as a percentage of total liabilities, as of September 30, 20202021 and December 31, 2019.2020.
(in billions except ratios)(in billions except ratios)September 30, 2020December 31, 2019(in billions except ratios)September 30, 2021December 31, 2020
DepositsDeposits$2,001.4 $1,562.4 Deposits$2,402.4 $2,144.3 
Deposits as a % of total liabilitiesDeposits as a % of total liabilities67 %64 %Deposits as a % of total liabilities69 %69 %
LoansLoans$989.7 $997.6 Loans$1,044.6 $1,012.9 
Loans-to-deposits ratioLoans-to-deposits ratio49 %64 %Loans-to-deposits ratio43 %47 %
The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances, over time.balances. However, during periods of market disruption those trends could be affected.
Average deposits increased for the three and nine months ended September 30, 2021 compared to the three and nine months ended September 30, 2020, reflecting significant inflows across the LOBs primarily driven by the COVID-19 pandemic and the related effect of certain government actions. Inactions in response to the wholesale businesses, the inflows principally occurred in March as clients looked to remain liquid as a result of market conditions; in general, balances remained elevated through the third quarter.COVID-19 pandemic. In CCB, the increase was also driven by lower spendinggrowth from existing and higher cash balancesnew accounts across both consumer and small business customers, as well as growth from existing and new accounts.customers.
Refer to the discussion of the Firm’s Business Segment Results and the Consolidated Balance Sheets Analysis on pages 24-4722-46 and pages 18-19,16-17, respectively, for further information on deposit and liability balance trends.
5655


The following table summarizes short-term and long-term funding, excluding deposits, as of September 30, 2020,2021, and December 31, 2019,2020, and average balances for the three and nine months ended September 30, 20202021 and 2019,2020, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 18-1916-17 and Note 1110 for additional information.
September 30, 2020December 31, 2019Three months ended September 30,Nine months ended September 30,September 30, 2021December 31, 2020Three months ended September 30,Nine months ended September 30,
Sources of funds (excluding deposits)Sources of funds (excluding deposits)AverageAverageSources of funds (excluding deposits)AverageAverage
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Commercial paperCommercial paper$8,752 $14,754 $10,921 $19,607 $12,968 $24,756 Commercial paper$10,309 $12,031 $10,304 $10,921 $12,275 $12,968 
Other borrowed fundsOther borrowed funds10,431 7,544 8,791 10,537 8,832 10,869 Other borrowed funds10,788 8,510 12,257 8,791 12,467 8,832 
Total short-term unsecured fundingTotal short-term unsecured funding$19,183 $22,298 $19,712 $30,144 $21,800 $35,625 Total short-term unsecured funding$21,097 $20,541 $22,561 $19,712 $24,742 $21,800 
Securities sold under agreements to repurchase(a)
Securities sold under agreements to repurchase(a)
$227,834 $175,709 $244,638 $229,581 $249,087 $215,148 
Securities sold under agreements to repurchase(a)
$246,178 $207,877 $231,338 $244,638 $257,846 $249,087 
Securities loaned(a)
Securities loaned(a)
6,076 5,983 6,563 8,505 6,620 9,117 
Securities loaned(a)
6,529 4,886 7,395 6,563 7,488 6,620 
Other borrowed funds(b)
Other borrowed funds(b)
22,809 18,622 23,755 21,758 23,907 28,343 
Other borrowed funds(b)
29,296 24,667 (f)29,571 23,755 (f)27,953 (f)23,907 (f)
Obligations of Firm-administered multi-seller conduits(c)(b)
Obligations of Firm-administered multi-seller conduits(c)(b)
$11,622 $9,223 $12,120 $12,167 $11,484 $10,987 
Obligations of Firm-administered multi-seller conduits(c)(b)
$8,612 $10,523 $9,620 $12,120 $9,896 $11,484 
Total short-term secured fundingTotal short-term secured funding$268,341 $209,537 $287,076 $272,011 $291,098 $263,595 Total short-term secured funding$290,615 $247,953 $277,924 $287,076 $303,183 $291,098 
Senior notesSenior notes$164,986 $166,185 $178,282 $172,059 $174,014 $167,495 Senior notes$187,069 $166,089 $188,568 $178,282 $178,697 $174,014 
Subordinated debtSubordinated debt21,999 17,591 22,234 17,797 20,448 17,196 Subordinated debt20,689 21,608 20,956 22,234 20,954 20,448 
Structured notes(d)(c)
Structured notes(d)(c)
71,944 74,724 74,038 69,144 72,665 62,984 
Structured notes(d)(c)
75,255 75,325 75,285 74,038 75,226 72,665 
Total long-term unsecured fundingTotal long-term unsecured funding$258,929 $258,500 $274,554 $259,000 $267,127 $247,675 Total long-term unsecured funding$283,013 $263,022 $284,809 $274,554 $274,877 $267,127 
Credit card securitization(c)(b)
Credit card securitization(c)(b)
$4,942 $6,461 $5,070 $7,394 $5,714 $10,802 
Credit card securitization(c)(b)
$2,396 $4,943 $2,396 $5,070 $3,412 $5,714 
FHLB advancesFHLB advances16,126 28,635 30,628 29,646 31,293 35,998 FHLB advances11,113 14,123 11,713 30,628 12,532 31,293 
Other long-term secured funding(e)(d)
Other long-term secured funding(e)(d)
4,120 4,363 4,189 4,558 4,432 4,708 
Other long-term secured funding(e)(d)
4,339 4,540 4,379 4,189 4,487 4,432 
Total long-term secured fundingTotal long-term secured funding$25,188 $39,459 $39,887 $41,598 $41,439 $51,508 Total long-term secured funding$17,848 $23,606 $18,488 $39,887 $20,431 $41,439 
Preferred stock(f)(e)
Preferred stock(f)(e)
$30,063 $26,993 $30,063 $28,241 $29,844 $27,457 
Preferred stock(f)(e)
$34,838 $30,063 $34,229 $30,063 $32,417 $29,844 
Common stockholders’ equity(f)(e)
Common stockholders’ equity(f)(e)
$241,050 $234,337 $236,797 $235,613 $235,251 $232,917 
Common stockholders’ equity(f)(e)
$255,203 $249,291 $253,556 $236,797 $250,011 $235,251 
(a)Primarily consists of short-term securities loaned or sold under agreements to repurchase.
(b)Effective March 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)(c)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
(e)(d)Includes long-term structured notes which are secured.
(f)(e)Refer to Capital Risk Management on pages 49-5448-53 and Consolidated statements of changes in stockholders’ equity on page 9694 of this Form 10-Q, and Note 21 and Note 22 of JPMorgan Chase’s 20192020 Form 10-K for additional information on preferred stock and common stockholders’ equity.
(f)Includes nonrecourse advances provided under the MMLF. Refer to page 106 of JPMorgan Chase’s 2020 Form 10-K for additional information on the MMLF.
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 sold under agreements to repurchase increased at September 30, 2020,2021, compared with December 31, 2019,2020, reflecting in CIB, higherthe impact of client activities and secured financing of trading assets in CIB Markets, partially offset by a decline in client-driven market-making activities, and the Firm's nonparticipation in the Federal Reserve's open market operations, and in Treasury and CIO, higherlower secured financing of AFS investment securities.securities in Treasury and CIO.
The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to customers’ investment and financing activities of clients, 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 September 30, 2020, the Firm participated in the MMLF government facility. The secured nonrecourse advances under the MMLF are included in other borrowed
funds. Refer to Capital Risk Management on pages 49-54 for additional information on the MMLF.
The Primary Dealer Credit Facility ("PDCF") was established by the Federal Reserve on March 20, 2020. Under the PDCF, the Federal Reserve Bank of New York (“FRBNY”) provides collateralized financing on a term basis to primary dealers. These financing transactions were reported as securities sold under agreements to repurchase. The Firm participated in the PDCF in the first quarter of 2020, and ceased its participation in May 2020 as the secured financing market normalized.
The Firm’s sources of short-term unsecured funding consist of other borrowed funds and issuance of wholesale commercial paper. The decrease in commercial paper at September 30, 2020,2021, from December 31, 20192020 was due to lower net issuance primarily for short-term liquidity management.
The increase in unsecured other borrowed funds at September 30, 2021, from December 31, 2020, and for the average three and nine months ended September 30, 20202021 compared to the prior year period, was primarily due to lower net issuance primarily for short-term liquidity management. The increase in other borrowed funds at September 30, 2020 from December 31, 2019 is primarily driven by an increase in financing activitiesissuances of structured notes and higher overdrafts in CIB Equity Markets.

5756


Long-term funding and issuance
Long-term funding provides an additional sourcessource 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 nine months ended September 30, 20202021 and 2019.2020. Refer to Liquidity Risk Management on pages 93–98102–108 and Note 20 of JPMorgan Chase’s 20192020 Form 10-K for additional information on the IHC and long-term debt.
Long-term unsecured funding
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
20202019202020192020201920202019
(Notional in millions)Parent CompanySubsidiaries
Issuance
Senior notes issued in the U.S. market$1,000 $5,000 $19,750 $13,250 $— $— $— $1,750 
Senior notes issued in non-U.S. markets— 1,672 1,355 3,920 — — — — 
Total senior notes1,000 6,672 21,105 17,170 — — — 1,750 
Subordinated debt— — 3,000 — — — — — 
Structured notes(a)
1,170 780 6,478 2,596 3,778 8,511 16,892 23,643 
Total long-term unsecured funding – issuance$2,170 $7,452 $30,583 $19,766 $3,778 $8,511 $16,892 $25,393 
Maturities/redemptions
Senior notes$16,697 $2,700 $24,781 $10,607 $5 $2,751 $7,642 $4,567 
Subordinated debt100 37 100 183 — — — — 
Structured notes1,879 477 4,713 1,436 7,513 4,540 22,250 12,700 
Total long-term unsecured funding – maturities/redemptions$18,676 $3,214 $29,594 $12,226 $7,518 $7,291 $29,892 $17,267 
Long-term unsecured funding
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
20212020202120202021202020212020
(Notional in millions)Parent CompanySubsidiaries
Issuance
Senior notes issued in the U.S. market$4,500 $1,000 $33,750 $19,750 $— $— $— $— 
Senior notes issued in non-U.S. markets— — 5,581 1,355 — — — — 
Total senior notes4,500 1,000 39,331 21,105 — — — — 
Subordinated debt— — — 3,000 — — — — 
Structured notes(a)
798 1,170 3,733 6,478 8,145 3,778 25,925 16,892 
Total long-term unsecured funding – issuance$5,298 $2,170 $43,064 $30,583 $8,145 $3,778 $25,925 $16,892 
Maturities/redemptions
Senior notes$3,523 $16,697 $10,840 $24,781 $— $5 $66 $7,642 
Subordinated debt4 100 4 100 — — — — 
Structured notes530 1,879 3,691 4,713 7,280 7,513 25,453 22,250 
Total long-term unsecured funding – maturities/redemptions$4,057 $18,676 $14,535 $29,594 $7,280 $7,518 $25,519 $29,892 
(a)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
The Firm can also raise secured long-term funding through securitization of consumer credit card loans and FHLB advances. The following table summarizes the securitization issuance and FHLB advances and their respective maturities or redemptions for the three and nine months ended September 30, 20202021 and 2019,2020, respectively.
Long-term secured fundingLong-term secured fundingLong-term secured funding
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
IssuanceMaturities/RedemptionsIssuanceMaturities/RedemptionsIssuanceMaturities/RedemptionsIssuanceMaturities/Redemptions
(in millions)(in millions)20202019202020192020201920202019(in millions)20212020202120202021202020212020
Credit card securitizationCredit card securitization$— $— $851 $2,850 $1,000 $— $2,525 $6,975 Credit card securitization$— $— $— $851 $— $1,000 $2,550 $2,525 
FHLB advancesFHLB advances— — 20,002 5 15,000 — 27,507 14,810 FHLB advances— — 1,002 20,002 — 15,000 3,008 27,507 
Other long-term secured funding(a)
Other long-term secured funding(a)
553 62 473 180 876 115 907 633 
Other long-term secured funding(a)
63 553 238 473 304 876 430 907 
Total long-term secured fundingTotal long-term secured funding$553 $62 $21,326 $3,035 $16,876 $115 $30,939 $22,418 Total long-term secured funding$63 $553 $1,240 $21,326 $304 $16,876 $5,988 $30,939 
(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 20192020 Form 10-K for further description of the client-driven loan securitizations.
5857


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 21,19, and liquidity risk and credit-related contingent features in Note 54 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 September 30, 20202021, were as follows:
JPMorgan Chase & Co.JPMorgan Chase Bank, N.A.J.P. Morgan Securities LLC
J.P. Morgan Securities plc
September 30, 20202021Long-term issuerShort-term issuerOutlookLong-term issuerShort-term issuerOutlookLong-term issuerShort-term issuerOutlook
Moody’s Investors Service(a)
A2P-1Positive/StableAa2P-1StableAa3P-1Stable
Standard & Poor’s(b)
A-A-2StablePositiveA+A-1StablePositiveA+A-1StablePositive
Fitch Ratings(a)(c)
AA-F1+NegativeStableAAF1+NegativeStableAAF1+NegativeStable
(a) On July 12, 2021, Moody’s revised the outlook of the Parent Company’s long-term issuer rating from stable to positive. The outlook for the Parent Company’s short-term issuer rating and the Firm's principal bank and non-bank subsidiaries remained unchanged at stable.
(b) On May 24, 2021, Standard & Poor's affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries, and revised the outlook from stable to positive.
(c) On April 18, 2020,23, 2021, Fitch affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries, butand revised the outlook on the credit ratings from stablenegative to negative given expectations that credit fundamentals will deteriorate as a result of the COVID-19 pandemic.stable.
Refer to page 98108 of JPMorgan Chase’s 20192020 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.

5958


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 Consumer Credit Portfolio, Wholesale Credit Portfolio and
Allowance for Credit Losses on pages 60-7861-76 for a further discussion of Credit Risk.
Refer to page 7977 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 100–118110–134 of JPMorgan Chase’s 20192020 Form 10-K for a further discussion of the Firm’s Credit and Investment Risk Management framework.
59

CREDIT PORTFOLIO
Credit risk is the risk associated with the default or change in credit profileprofile 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 provided 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 troubled debt restructurings(“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 September 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, 23,11, 22, and 54 for additional information on the Firm’s loans, lending-related commitmentscommitments and derivative receivables, including the Firm’s accounting policies.receivables.
Refer to Note 109 for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 1110 for information regarding the credit risk inherent in the securities financing portfolio. Refer to Consumer Credit Portfolio on pages 62-6661-65 and Note 1211 for further discussions of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 67-7666-74 and Note 1211 for further discussions of the wholesale credit environment and wholesale loans.

Total credit portfolio
Credit exposure
Nonperforming(d)
(in millions)Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Loans retained$974,260 $960,506 $6,995 $8,782 
Loans held-for-sale9,727 7,873 190 284 
Loans at fair value60,628 44,474 1,058 1,507 
Total loans1,044,615 1,012,853 8,243 10,573 
Derivative receivables67,908 75,444 (c)393 56 
Receivables from customers(a)
58,752 47,710 — — 
Total credit-related assets1,171,275 1,136,007 8,636 10,629 
Assets acquired in loan satisfactions
Real estate ownedNANA229 256 
OtherNANA17 21 
Total assets acquired in loan satisfactions
NANA246 277 
Lending-related commitments1,266,530 1,165,688 641 577 
Total credit portfolio$2,437,805 $2,301,695 $9,523 $11,483 
Credit derivatives and credit-related notes used in credit portfolio management activities(b)
$(33,868)$(23,965)$— $— 
Liquid securities and other cash collateral held against derivatives(11,001)(14,806)NANA
60


Total credit portfolio
Credit exposure
Nonperforming(f)(g)
(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Loans retained$945,537 $945,601 $8,792 $3,983 
Loans held-for-sale5,983 7,064 200 7 
Loans at fair value(a)
38,220 44,955 2,010 647 
Total loans–reported989,740 997,620 11,002 4,637 
Derivative receivables76,626 49,766 140 30 
Receivables from customers and other(b)
30,847 33,706 — — 
Total credit-related assets1,097,213 1,081,092 11,142 4,667 
Assets acquired in loan satisfactions
Real estate ownedNANA298 344 
OtherNANA22 43 
Total assets acquired in loan satisfactions
NANA320 387 
Lending-related commitments(a)
1,150,520 1,108,399 607 474 
Total credit portfolio$2,247,733 $2,189,491 $12,069 $5,528 
Credit derivatives used
in credit portfolio management activities(c)(d)
$(27,274)$(18,530)$— $— 
Liquid securities and other collateral held against derivatives(e)
(20,384)(16,009)NANA
(in millions,
except ratios)		(in millions,
except ratios)		Three months ended September 30,Nine months ended
September 30,		(in millions,
except ratios)		Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Net charge-offsNet charge-offs$1,180 $1,371 $4,209 $4,135 Net charge-offs$524 $1,180 $2,315 $4,209 
Average retained loansAverage retained loans950,850 932,493 962,054 944,666 Average retained loans968,369 950,850 958,260 962,054 
Net charge-off ratesNet charge-off rates0.49 %0.58 %0.58 %0.59 %Net charge-off rates0.21 %0.49 %0.32 %0.58 %
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and other reflect brokerage-related held-for-investment customer receivables.AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.
(c)(b)Represents the net notional amount of protection purchased and sold through credit derivatives and credit-related notes used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 76 and Note 5 for additional information.
(d)exposures. Prior-period amount has been revised to conform with the current presentation.
(e)(c)Includes collateral relatedPrior-period amounts have been revised to derivative instruments where appropriate legal opinions have not been either sought or obtainedconform with respect to master netting agreements.the current presentation.
(f)(d)At both September 30, 2020,2021, and December 31, 2019,2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (a) above for additional information. At September 30, 2020,$644 million and December 31, 2019, nonperforming assets also excluded$874 million, respectively, and real estate owned (“REO”) insured by U.S. government agencies of $10$5 million and $41$9 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 issuedguidance.

The Firm has provided various forms of assistance to customers and clients impacted by the Federal Financial Institutions Examination Council (“FFIEC”COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered troubled debt restructurings (“TDRs”).
(g)At 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 61-65 and Wholesale Credit Portfolio on pages 66-74 for information on loan modifications as of September 30, 2021. Refer to Notes 12 and 13 of JPMorgan Chase's 2020 nonperforming loans included $1.5 billion of PCD loansForm 10-K for further information on nonaccrual status. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans asFirm’s accounting policies for loan modifications and the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.allowance for credit losses.
Paycheck Protection Program
The PPP, established by the CARES Act and implemented by the SBA, provided the Firm with delegated authority to process and originate PPP loans until the program closed in early August 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. PPP loans have a contractual term of two or five years and 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, but may be accelerated upon forgiveness or prepayment. The impact on interest income related to PPP loans was not material for the three and nine months endedAt September 30, 2020.
At September 30,2021 and December 31, 2020, the Firm had approximately $28$13 billion and $27 billion, respectively, of PPP loans underremaining, including $11 billion and $19 billion, respectively, in the PPP, of which $20consumer portfolio, and $2 billion and $8 billion, arerespectively, in Consumerthe wholesale portfolio. Since inception of the Program, the Firm funded approximately $40 billion of loans. The PPP ended on May 31, 2021 for new applications.    
The Firm continues to process forgiveness applications, and Wholesale, respectively.through September 30, 2021, approximately $27 billion of loans were forgiven by the SBA. This resulted in accelerated recognition in interest income of the associated deferred processing fees, primarily in CCB.
Refer to CCB segment results on pages 24-28 and Credit Portfolio on page 113 of JPMorgan Chase's 2020 Form 10-K for a further discussion on the PPP.
6160


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. The macroeconomic environment continued to improve in 2021, with the credit performance of the consumer portfolio, including net charge-offs, benefiting from government stimulus programs, payment deferral programs and increasing home prices. Refer to Note 11 of this Form 10-Q; and Consumer Credit Portfolio on pages 114-120 and Note 12 of JPMorgan Chase's 2020 Form 10-K for further information on consumer loans, as well as the Firm’s nonaccrual and charge-off accounting policies. Refer to Note 2322 of this Form 10-Q and Note 28 of JPMorgan Chase's 2020 Form 10-K for further information on lending-related commitments.
Weakness in the macroeconomic environment driven by the impacts of the COVID-19 pandemic, resulted in an increase in the allowance for credit losses in the first half of 2020. 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, CIB and Corporate.
Consumer credit portfolioConsumer credit portfolioConsumer credit portfolio
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)(in millions, except ratios)Credit exposure
Nonaccrual loans(j)(k)(l)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(m)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(m)
(in millions, except ratios)Credit exposure
Nonaccrual loans(j)(k)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(l)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(l)
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		20202019202020192020201920202019Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		20212020202120202021202020212020
Consumer, excluding credit cardConsumer, excluding credit cardConsumer, excluding credit card
Residential real estate(a)
Residential real estate(a)
$229,751 $243,317 $4,909 $2,780 $10 $(40)0.02 %(0.06)%$(115)$(72)(0.06)%(0.04)%
Residential real estate(a)
$221,671 $225,302 $4,794 $5,313 $(74)$10 (0.13)%0.02 %$(205)$(115)(0.12)%(0.06)%
Auto and other(b)(c)(d)
Auto and other(b)(c)(d)
75,355 51,682 138 146 50 121 0.27 (d)0.93 252 327 0.53 (d)0.84 
Auto and other(b)(c)(d)
76,637 76,825 117 151 66 50 0.34 0.27 187 252 0.31 0.53 
Total loans – retainedTotal loans – retained305,106 294,999 5,047 2,926 60 81 0.08 0.11 137 255 0.06 0.11 Total loans – retained298,308 302,127 4,911 5,464 (8)60 (0.01)0.08 (18)137 (0.01)0.06 
Loans held-for-saleLoans held-for-sale1,391 3,002 — 2 NANANANANANANANALoans held-for-sale1,407 1,305 — — NANANANANANANANA
Loans at fair value(f)(e)
Loans at fair value(f)(e)
15,601 19,816 1,358 438 NANANANANANANANA
Loans at fair value(f)(e)
28,449 15,147 440 1,003 NANANANANANANANA
Total consumer, excluding credit card loansTotal consumer, excluding credit card loans322,098 317,817 6,405 3,366 60 81 0.08 0.11 137 255 0.06 0.11 Total consumer, excluding credit card loans328,164 318,579 5,351 6,467 (8)60 (0.01)0.08 (18)137 (0.01)0.06 
Lending-related commitments(g)(f)
Lending-related commitments(g)(f)
46,425 40,169 
Lending-related commitments(g)(f)
56,684 57,319 
Total consumer exposure, excluding credit cardTotal consumer exposure, excluding credit card368,523 357,986 Total consumer exposure, excluding credit card384,848 375,898 
Credit cardCredit cardCredit card
Loans retained(h)(g)
Loans retained(h)(g)
139,590 168,924 — — 1,028 1,175 2.92 2.95 3,519 3,617 3.17 3.13 
Loans retained(h)(g)
143,166 143,432 NANA495 1,028 1.39 2.92 2,233 3,519 2.18 3.17 
Loans held-for-saleLoans held-for-sale787 — — — NANANANANANANANALoans held-for-sale— 784 NANANANANANANANANANA
Total credit card loansTotal credit card loans140,377 168,924 — — 1,028 1,175 2.92 2.95 3,519 3,617 3.17 3.13 Total credit card loans143,166 144,216 NANA495 1,028 1.39 2.92 2,233 3,519 2.18 3.17 
Lending-related commitments(i)(h)
Lending-related commitments(i)(h)
662,860 650,720 
Lending-related commitments(i)(h)
710,610 658,506 
Total credit card exposure(i)(h)
Total credit card exposure(i)(h)
803,237 819,644 
Total credit card exposure(i)(h)
853,776 802,722 
Total consumer credit portfolio(i)(h)
Total consumer credit portfolio(i)(h)
$1,171,760 $1,177,630 $6,405 $3,366 $1,088 $1,256 0.97 %1.08 %$3,656 $3,872 1.09 %1.09 %
Total consumer credit portfolio(i)(h)
$1,238,624 $1,178,620 $5,351 $6,467 $487 $1,088 0.44 %0.97 %$2,215 $3,656 0.68 %1.09 %
Credit-related notes used in credit portfolio management activities(i)
Credit-related notes used in credit portfolio management activities(i)
$(2,284)$(747)
(a)Includes scored mortgage and home equity loans held in CCB and AWM, and scored mortgage loans held in Corporate.
(b)At September 30, 20202021 and December 31, 2019,2020, excluded operating lease assets of $21.2$18.3 billion and $22.8$20.6 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. Refer to Note 1716 for further information.
(c)Includes scored auto and business banking loans and overdrafts.
(d)At September 30, 2021 and December 31, 2020, included $20.3$11.1 billion and $19.2 billion of loans, respectively, in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, theThe Firm does not expect to realize material credit losses on these loans.PPP loans because the loans are guaranteed by the SBA. Refer to Credit Portfolio on pages 60-61page 60 for a further discussion of the PPP.
(e)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(f)Includes scored mortgage loans held in CCB and CIB.
(g)(f)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 2322 for further information.
(h)(g)Includes billed interest and fees.
(i)(h)Also includes commercial card lending-related commitments primarily in CB and CIB.
(i)Represents the notional amount of protection obtained through the issuance of credit-related notes that reference certain pools of residential real estate and auto loans in the retained consumer portfolio.
(j)At both September 30, 20202021 and December 31, 2019,2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (e) above for additional information.$644 million and $874 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.guidance.
(k)At September 30, 2020, nonaccrual loans included $1.5 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.
(l)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lowerat time of amortized cost or fair value of the underlying collateral less costs to sell.exit.
(m)(l)Average consumer loans held-for-sale and loans at fair value were $16.0$35.2 billion and $24.8$16.0 billion for the three months ended September 30, 20202021 and 2019,2020, respectively, and were $18.2$27.9 billion and $18.8$18.2 billion for the nine months ended September 30, 2021 and 2020, and 2019, respectively. Prior-period amounts have been revised to conform with the current presentation, refer to footnote (e) above for additional information. These amounts were excluded when calculating net charge-off/(recovery) rates.

62
61


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. During the third quarter of 2021, there were approximately $390 million of new enrollments in consumer payment deferral programs.
As of September 30, 2020,2021, the Firm had $12.3approximately $3.7 billion of retained consumer loans under payment deferral programs, which represented a decrease of approximately $16.0$24.6 billion from June 30, 2020. During the third quarter of 2020, thereThe loans under deferral were approximately $2.2 billion of new enrollmentspredominantly in payment deferral programs largely in the residential real estate loan class.estate. Predominantly all borrowers that exited payment deferral programs are current. The Firm continues to monitor the credit risk associated with loans subject to payment deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments and considers expected losses of principal and accrued interest on these loans in its allowance for credit losses.
The following table presents information related toOf the $12.3 billion and $28.3 billion unpaid principal balance of retained loans under payment deferral programs as of September 30, 2020 and June 30, 2020, respectively, and those that have exited payment deferral programs as of September 30, 2020.
September 30, 2020June 30, 2020
(in millions, except ratios)Loan balance
Percent of loan class balance(d)
Percent of accounts who exited payment deferral and are currentLoan balance
Percent of loan class balance(d)
Type of assistance
Residential real estate(a)
$11,458 5.0 %88 %$20,548 8.7 %Rolling three month payment deferral up to one year; final work-out is determined at the end of the deferral period with most common being deferred payments are due at the end of the loan term
Auto and other(b)
457 0.6 95 3,357 4.6 
•Auto: Currently offering one month payment deferral (initially offered three month payment deferral). Maturity date is extended by number of months deferred
•Business Banking: Three month deferral with automatic deferment to either maturity (loan) or one year forward (line)
Credit card368 0.3 91 4,384 3.1 Currently offering deferral of one month minimum payment (initially offered three month minimum payment deferral). Interest continues to accrue during the deferral period and is added to the principal balance
Total consumer(c)
$12,283 2.8 %92 %$28,289 6.3 %
(a)Excludes $17.1 billion and $34.0$3.7 billion of third-party mortgage loans serviced at September 30, 2020 and June 30, 2020, respectively.
(b)Excludes risk-rated business banking and auto dealer loans held in CCB and auto operating lease assets that were still under payment deferral programs as of September 30, 2020 and June 30, 2020. Auto operating lease asset payment assistance is currently offering one month payment deferral (initially offered 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.
(c)Includes $3.8 billion and $5.7 billion of loans that were accounted for as TDRs prior to payment deferral as of September 30, 2020 and June 30, 2020, respectively.
(d)Represents the unpaid principal balance of retained loans which were still under payment deferral programs, divided by the total unpaid principal balance of the respective loan classes retained loans.

Of the $12.3 billion of loans still under payment deferral programs as of September 30, 2020,2021, approximately $3.9$1.6 billion were accounted for as TDRs, either because they were accounted for as TDRs prior to payment deferral orand approximately $100 million were accounted for as TDRs because they did not qualify for or the Firm did not elect the option to suspend TDR accounting guidance provided under section 4013 ofby the CARES Act and extended by the Consolidated Appropriations Act. All or a portion of the remaining $8.4 billion of loans could become TDRs in future periods, depending on the nature and timing of further modifications or payment arrangements offered to these borrowers. If the remaining $8.4 billion of loans were considered TDRs, the Firm estimatesBorrowers that it would result in an increase in standardized RWA of as much as $4.1 billion.
Predominantly all borrowers were current upon enrollment in payment deferral programs and are expected to exit payment deferral programs in a current status, either because no payments are contractually due during the deferral period or because payments originally contractually due during the deferral period will be modified to be due at maturity upon exit. For those borrowers that are not modified upon exit from payment deferral programs and are unable to resume or continue making payments in accordance with the original or modified contractual terms of their agreements theyupon exit from deferral programs will be placed on nonaccrual status in line with the Firm’s nonaccrual policy, except for credit cards as permitted by regulatory guidance, and the loans charged off or down in accordance with the Firm’s charge-off policies. Refer to Note 12 of JPMorgan Chase's 2020 Form 10-K for additional information on the Firm’s nonaccrual and charge-off policies.
6362


Consumer, excluding credit card
Portfolio analysis
Loan balancesLoans increased from December 31, 2019 due predominantly to PPP loan originations in Business Banking,2020 driven by higher residential real estate loans at fair value, partially offset by lower retained residential real estate loans, reflecting paydowns and loan sales.loans.
Residential real estate: The residential real estate portfolio, including loans held-for-sale and loans at fair value, predominantly consists of prime mortgage loans and home equity lines of credit. The portfolio decreased
Retained loans declined from December 31, 2019 driven by2020 due to paydowns and loan salesoutpacing originations of prime mortgage loans in Home Lending, largely offset by originations of prime mortgage loans that have been retained on the balance sheet.growth in AWM. Retained nonaccrual loans increaseddecreased from December 31, 20192020 reflecting improved credit performance. The three and nine month periods ending September 30, 2021 reflected net recoveries benefiting from further improvement in HPI and higher reversals of prior write-downs due predominantly to loan prepayments as a result of the inclusion of PCD loans, which priorlow rate environment compared to the adoption of CECL were considered performing PCI loans and customers that have exited COVID-19 payment deferral programs and are 90 or more days past due. Netnet charge-offs for the three months ended September 30, 2020, were higher when compared with the same period in the prior year as the current quarter included losses associated with the PCD portfolio, as well as loans charged down to theand lower of amortized cost or fair value of the underlying collateral less costs to sell related to certain customers that have exited COVID-19 payment deferral programs and are 90 or more days past due. Netnet recoveries for the nine months ended September 30, 2020. In addition, the nine months ended September 30, 2020 were higher when compared with the same period in the prior year as the current year benefited fromincluded a recovery on a loan sale.
Loans at fair value increased from December 31, 2020, reflecting loan purchase activity in CIB driven by higher client demand, as well as increased originations in Home Lending due to the continued low rate environment. Nonaccrual loans at fair value decreased from December 31, 2020 due to sales in CIB.
The carrying value of home equity lines of credit outstanding was $25.8$19.8 billion at September 30, 2020.2021. This amount included $9.1$6.6 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $8.1$6.4 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 September 30, 2020,2021 and December 31, 2019,2020, the carrying value of interest-only residential mortgage loans were $24.8$27.8 billion and $22.5$25.6 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 portfolioNet recoveries and charge-offs for the three and nine months ended September 30, 2020 was2021, respectively, were not material, as the credit performance of this portfolio is generally in line with the performance of the broader residentialprime mortgage portfolio for the same period.portfolio.
The following table provides a summary of the Firm’s residential mortgage portfolio insured and/or guaranteed by U.S. government agencies, includingpredominantly loans held-for-sale and loans at fair value. 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)September 30,
2020		December 31,
2019
Current$422 $1,432 
30-89 days past due259 704 
90 or more days past due1,148 1,090 
Total government guaranteed loans(a)
$1,829 $3,226 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(in millions)September 30,
2021		December 31,
2020
Current$740 $669 
30-89 days past due140 235 
90 or more days past due644 874 
Total government guaranteed loans$1,524 $1,778 
Geographic composition and current estimated loan-to-value ratio of residential real estate loans
Refer to Note 1211 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 PCD loans not accounted for as PCI loans prior to the adoption of CECL.TDRs. The following table does not include loans with short-term or other insignificant modifications that are not considered concessions and, therefore, are not TDRs.TDRs, or loans for which the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided by the CARES Act and extended by the Consolidated Appropriations Act. Refer to Note 1211 for further information on modifications for the three and nine months ended September 30, 20202021 and 2019.2020.
(in millions)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
Retained loans(a)
Retained loans(a)
$15,877 $5,926 
Retained loans(a)
$13,728 $15,406 
PCI loansNA12,372 (d)
Nonaccrual retained loans(b)(c)
$3,716 $2,332 
Nonaccrual retained loans(b)
Nonaccrual retained loans(b)
$3,913 $3,899 
(a)At September 30, 2020,2021 and December 31, 2019, $62020, $9 million and $14$7 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 1413 for additional information about sales of loans in securitization transactions with Ginnie Mae.
(b)At September 30, 2020,2021 and December 31, 2019,2020, nonaccrual loans included $2.5$2.9 billion and $1.9$3.0 billion respectively, of TDRs for which the borrowers were less than 90 days past due. Refer to Note 12 of JPMorgan Chase’s 2020 Form 10-K for additional information about loans modified in a TDR that are on nonaccrual status.
(c)At September 30, 2020, nonaccrual loans included $1.2 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, which were moved to retained loans upon the adoption of CECL.
6463


Auto and other: The auto and other loan portfolio, including loans at fair value, predominantly consists of prime-quality scored auto and business banking loans, as well as overdrafts. The portfolio increasedwas relatively flat when compared with December 31, 2019,2020 due to growth in the scored auto portfolio predominantly offset by a decrease in business banking loans. The increase in the scored auto portfolio was predominantly driven by loan originations largely offset by paydowns. Business Banking loans declined due to PPP loan originations of $21.9 billion in Business Banking of which $20.3 billion remained outstanding atforgiveness and paydowns largely offset by loan originations. Net charge offs for the three months ended September 30, 2020 as well as from growth2021 increased when compared to the same period in the prior year primarily due to overdrafts. Net charge offs for the nine months ended September 30, 2021 decreased when compared to the same period in the prior year primarily due to lower auto portfoliocharge-offs as the current year had a greater benefit from loan originations, partially offset by paydownsgovernment stimulus, payment assistance programs, and charge-offs or liquidation of delinquent loans.higher vehicle collateral values. The scored auto portfolio net charge-off rates were 0.04%0.03% and 0.41%0.04% for the three months ended September 30, 20202021 and 2019,2020, respectively, and 0.28%0.01% and 0.42%0.28% for the nine months ended September 30, 2021 and 2020, and 2019, respectively. Auto charge-offs for the three months ended September 30, 2020 benefited from payment assistance programs and high vehicle collateral values.
Nonperforming assets
The following table presents information as of September 30, 2020,2021 and December 31, 2019,2020, about consumer, excluding credit card, nonperforming assets.
Nonperforming assets(a)
Nonperforming assets(a)
Nonperforming assets(a)
(in millions)(in millions)September 30,
2020		December 31,
2019		(in millions)September 30,
2021		December 31,
2020
Nonaccrual loansNonaccrual loansNonaccrual loans
Residential real estate(d)(b)
Residential real estate(d)(b)
$6,267 $3,220 
Residential real estate(d)(b)
$5,232 $6,316 
Auto and otherAuto and other138 146 Auto and other119 151 
Total nonaccrual loansTotal nonaccrual loans6,405 3,366 Total nonaccrual loans5,351 6,467 
Assets acquired in loan satisfactionsAssets acquired in loan satisfactionsAssets acquired in loan satisfactions
Real estate owned(e)
Real estate owned(e)
175 229 
Real estate owned(e)
105 131 
OtherOther22 24 Other17 21 
Total assets acquired in loan satisfactionsTotal assets acquired in loan satisfactions197 253 Total assets acquired in loan satisfactions122 152 
Total nonperforming assetsTotal nonperforming assets$6,602 $3,619 Total nonperforming assets$5,473 $6,619 
(a)At both September 30, 2020,2021 and December 31, 2019,2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (b) below for additional information. At September 30, 2020,$644 million and December 31, 2019, nonperforming assets also excluded$874 million, respectively, and REO insured by U.S. government agencies of $10$5 million and $41$9 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(c)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lowerat time of amortized cost or fair value of the underlying collateral less costs to sell.exit.
(d)At September 30, 2020, nonaccrual loans included $1.5 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.
(e)
Prior-period amount has been revised to conform with the current presentation.


Nonaccrual loans
The following table presents changes in consumer, excluding credit card, nonaccrual loans for the nine months ended September 30, 20202021 and 2019.2020.
Nonaccrual loan activity(a)
Nonaccrual loan activity(a)
Nonaccrual loan activity(a)
Nine months ended September 30,
(in millions)		Nine months ended September 30,
(in millions)		20202019Nine months ended September 30,
(in millions)		20212020
Beginning balanceBeginning balance$3,366 $3,853 Beginning balance$6,467 $3,366 
Additions:Additions:Additions:
PCD loans, upon adoption of CECLPCD loans, upon adoption of CECL708 NAPCD loans, upon adoption of CECLNA708
Other additionsOther additions4,109 (c)1,635 Other additions2,032 4,109 (b)
Total additionsTotal additions4,817 1,635 Total additions2,032 4,817 
Reductions:Reductions:Reductions:
Principal payments and other(b)(a)
Principal payments and other(b)(a)
508 878 
Principal payments and other(b)(a)
1,625 508 
Charge-offsCharge-offs319 271 Charge-offs167 319 
Returned to performing statusReturned to performing status619 591 Returned to performing status1,295 619 
Foreclosures and other liquidationsForeclosures and other liquidations332 292 Foreclosures and other liquidations61 332 
Total reductionsTotal reductions1,778 2,032 Total reductions3,148 1,778 
Net changesNet changes3,039 (397)Net changes(1,116)3,039 
Ending balanceEnding balance$6,405 $3,456 Ending balance$5,351 $6,405 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Other reductions includes loan sales.
(c)(b)Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lowerat time of amortized cost or fair value of the underlying collateral less costs to sell.
Active and suspended foreclosure: Refer to Note 12 for information on loans that were in the process of active or suspended foreclosure.exit.
Refer to Note 1211 for further information about the consumer credit portfolio, including information about delinquencies, other credit quality indicators, loan modifications and other credit quality indicators.loans that were in the process of active or suspended foreclosure.
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.estate.
(in millions, except ratios)(in millions, except ratios)September 30,
2020		December 31,
2019		(in millions, except ratios)September 30,
2021		December 31,
2020
Loan delinquency(a)
Loan delinquency(a)
Loan delinquency(a)
CurrentCurrent$16,586 $18,571 Current$13,658 $16,036 
30-149 days past due30-149 days past due595 970 30-149 days past due283 432 
150 or more days past due150 or more days past due758 822 150 or more days past due574 573 
Total PCD loansTotal PCD loans$17,939 $20,363 Total PCD loans$14,515 $17,041 
% of 30+ days past due to total retained PCD loans% of 30+ days past due to total retained PCD loans7.54 %8.80 %% of 30+ days past due to total retained PCD loans5.90 %5.90 %
Nonaccrual loans(b)Nonaccrual loans(b)$1,510 NANonaccrual loans(b)$1,581 $1,609 
(in millions, except ratios)(in millions, except ratios)Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)Three months ended September 30, 2020 Nine months ended September 30, 20202021202020212020
Net charge-offsNet charge-offs$33 $66 Net charge-offs$1 $33 $17 $66 
Net charge-off rateNet charge-off rate0.71 %0.46 %Net charge-off rate0.03 %0.71 %0.14 %0.46 %
(a)At September 30, 2021 and December 31, 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)Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.
6564


Credit card
Total credit card loans decreasedwere relatively flat from December 31, 20192020 reflecting a decline inhigher payments, offset by strong sales volume beginning in March as a resultthe second and third quarters of the COVID-19 pandemic and the impact of seasonality.2021. The September 30, 2021 30+ and 90+ day delinquency rates of 1.00% and 0.49%, respectively, decreased compared to the December 31, 2020 30+ and 90+ day delinquency rates of 1.57%1.68% and 0.69%, respectively, decreased compared to the December 31, 2019 30+ and 90+ day delinquency rates of 1.87% and 0.95%0.92%, respectively. The delinquency rates werecontinue to be positively impacted by government stimulus and support provided to borrowers who receivedparticipated in payment assistance and government stimulus.programs. Net charge-offs decreased for the three and nine months ended September 30, 20202021 compared with the same period in the prior year periods reflecting lower charge-offs and higher recoveries and benefitedas consumer cash balances remained elevated benefiting from the effectimpact of government stimulus and payment assistance and government stimulus programs. Net charge-offs decreased for the nine months ended September 30, 2020 compared with the same period in the prior year reflecting 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 1211 for further information about this portfolio, including information about delinquencies.
Geographic and FICO composition of credit card loans
Refer to Note 1211 for information on the geographic and FICO composition of the Firm’s credit card loans.
Modifications of credit card loans
At September 30, 20202021, the Firm had $1.4$1.1 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, compared to $1.5$1.4 billion at December 31, 2019.2020. Refer to Note 1211 for additional information about loan modification programs to borrowers.
6665


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 69-7368-71 for further information.
The Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate, as well as risk-rated exposures held in CCB, including business banking and auto dealer exposures held in CCBexposure for which the wholesale methodology is applied when determining the allowance for credit losses.
The macroeconomic environment, driven by the impacts of the COVID-19 pandemic, has resulted in broad-based credit deterioration and an increase in the allowance for credit losses. In the nine months ended September 30, 2021, the credit environment continued to improve following the broad-based deterioration in 2020 that resulted from the investment-grade percentageimpacts of the portfolio decreased from 74% to 71%, and criticized exposureCOVID-19 pandemic.
As of September 30, 2021, retained loans increased $22.3$17.8 billion from $15.1 billion to $37.4 billion, primarily driven by downgrade activityCIB and AWM partially offset by decreases in CB and CCB. In CB, the first half of the year. The increase in criticized exposuredecrease was largely driven by downgradesa net decrease in Consumer & Retail 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.
PPP loans. Lending-related commitments increased $49.4 billion, predominantly driven by net portfolio activity in CIB and retained loans increased by $23.7 billion and $19.2 billion, respectively,CB, including an increase in held for sale commitments intended to be syndicated.
In the nine months ended September 30, 2020,2021, the investment-grade percentage of the credit portfolio decreased from 71% to 70% driven by increases across CB, AWM and CIB,net portfolio activity, including loans under the PPP. Outstanding loan balances under committed revolving credit facilities as ofnew commitments. Criticized exposure was $41.6 billion at both September 30, 2020 have returned to near the levels that existed before the increased drawdown2021 and December 31, 2020. Nonperforming exposure decreased $814 million driven by lower nonperforming loans, largely in Oil & Gas and Individuals and Individual Entities, with net portfolio activity and select upgrades being partially offset by select downgrades. The decrease in March as a result of the COVID-19 pandemic.











nonperforming loans was partially offset by an increase in nonperforming derivatives. Net charge-offs were $100 million.
Wholesale credit portfolioWholesale credit portfolioWholesale credit portfolio
Credit exposure
Nonperforming(e)
Credit exposure
Nonperforming(d)
(in millions)(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		(in millions)Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Loans retainedLoans retained$500,841 $481,678 $3,745 $1,057 Loans retained$532,786 $514,947 $2,084 $3,318 
Loans held-for-saleLoans held-for-sale3,805 4,062 200 5 Loans held-for-sale8,320 5,784 190 284 
Loans at fair value(a)
Loans at fair value(a)
22,619 25,139 652 209 
Loans at fair value(a)
32,179 29,327 618 504 
Loans – reported527,265 510,879 4,597 1,271 
LoansLoans573,285 550,058 2,892 4,106 
Derivative receivablesDerivative receivables76,626 49,766 140 30 Derivative receivables67,908 75,444 (c)393 56 
Receivables from customers and other(b)
30,847 33,706 — — 
Receivables from customers(a)
Receivables from customers(a)
58,752 47,710 — — 
Total wholesale credit-related assetsTotal wholesale credit-related assets634,738 594,351 4,737 1,301 Total wholesale credit-related assets699,945 673,212 3,285 4,162 
Assets acquired in loan satisfactionsAssets acquired in loan satisfactionsAssets acquired in loan satisfactions
Real estate owned(c)
Real estate owned(c)
NANA123 115 
Real estate owned(c)
NANA124 125 
OtherOtherNANA— 19 OtherNANA— — 
Total assets acquired in loan satisfactionsTotal assets acquired in loan satisfactionsNANA123 134 Total assets acquired in loan satisfactionsNANA124 125 
Lending-related commitments(a)
Lending-related commitments(a)
441,235 417,510 607 474 
Lending-related commitments(a)
499,236 449,863 641 577 
Total wholesale credit portfolioTotal wholesale credit portfolio$1,075,973 $1,011,861 $5,467 $1,909 Total wholesale credit portfolio$1,199,181 $1,123,075 $4,050 $4,864 
Credit derivatives used
in credit portfolio management activities(c)(d)
$(27,274)$(18,530)$— $— 
Liquid securities and other collateral held against derivatives(20,384)(16,009)NANA
Credit derivatives and credit-related notes used in credit portfolio management activities(b)
Credit derivatives and credit-related notes used in credit portfolio management activities(b)
$(31,584)$(23,218)(c)$— $— 
Liquid securities and other cash collateral held against derivativesLiquid securities and other cash collateral held against derivatives(11,001)(14,806)NANA
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Receivables from customers and other reflect brokerage-related held-for-investment customer receivablesmargin loans to brokerage clients in CIB, CCB and AWM; these are classified inreported within accrued interest and accounts receivable on the Consolidated balance sheets.
(c)Prior-period amounts have been revised to conform with the current presentation.
(d)(b)Represents the net notional amount of protection purchased and sold through credit derivatives and credit-related notes used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 7674 and Note 54 for additional information.
(e)(c)Prior-period amounts have been revised to conform with the current presentation.
(d)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 September 30, 2020,2021, predominantly all of these loans were considered performing.


6766


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 September 30, 2020,2021, the Firm had approximately $6.3 billion$177 million of retained loans still under payment deferral, which has decreased approximately $10.5from $16.8 billion from the second quarter, predominantly driven by $8.8 billion of loans to performing auto dealer clients where the deferral period ended onat June 30, 2020. Predominantly all clients coming out ofthat exited deferral are current and the Firm has not experienced significant new payment deferral requests. The remaining deferrals are largely concentrated in Real Estate, predominantly within multifamily and retail, nearly all of which are scheduled to resume payments in the fourth quarter.or have paid down their loans. 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 and considers expected losses of principal and accrued interest on these loans in its allowance for credit losses.

(in millions, except ratios)		September 30, 2020June 30, 2020
IndustryLoan balance
Percent of total industry loan balance(a)
IG percentage of loan balance in payment deferralLoan balance
Percent of total industry loan balance(a)
IG percentage of loan balance in payment deferral
Real Estate$4,385 4 %61 %$5,211 4 %64 %
Individuals and Individual Entities691 1 10 809 1 9 
Consumer & Retail413 1 6 690 1 4 
Healthcare100 — 7 300 1 16 
Industrials91 — 5 335 1 10 
Automotive15 — — 8,827 46 72 
All other industries579 — 70 603 — 55 
Total wholesale$6,274 1 %51 %$16,775 3 %61 %
(a)Represents the balance of the retained loans which were still under payment deferral, divided by the respective industry total retained loans balance.
In addition, the Firm granted assistance in the form of covenant modifications. These types of assistance, both payment deferrals and covenant modifications, are generally not reported as 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 ofby the CARES Act and extended by the Consolidated Appropriations Act. These loansLoans under assistance continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of September 30, 2020, predominantly2021, substantially 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 September 30, 2020,2021, and December 31, 2019.2020. The Firm generally considers internal ratings with qualitative characteristics equivalent to BBB-/Baa3 or higher as investment grade.grade, and takes into consideration collateral and structural support when determining the internal risk rating for each credit facility. Refer to Note 12 of JPMorgan Chase's 2020 Form 10-K for further information on internal risk ratings.
Maturity profile(f)
Ratings profile
Maturity profile(e)
Ratings profile
Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG1 year or less 1 year through 5 yearsAfter 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
September 30, 2020
(in millions, except ratios)
September 30, 2021
(in millions, except ratios)		September 30, 2021
(in millions, except ratios)		1 year or less 1 year through 5 yearsAfter 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
Loans retainedLoans retained$154,371 $211,770 $134,700 $500,841 $364,180 $136,661 $500,841 73 %Loans retained
Derivative receivablesDerivative receivables76,626 76,626 Derivative receivables67,908 67,908 
Less: Liquid securities and other collateral held against derivatives(20,384)(20,384)
Less: Liquid securities and other cash collateral held against derivativesLess: Liquid securities and other cash collateral held against derivatives(11,001)(11,001)
Total derivative receivables, net of collateralTotal derivative receivables, net of collateral12,644 15,455 28,143 56,242 35,608 20,634 56,242 63 Total derivative receivables, net of collateral18,272 17,146 21,489 56,907 36,178 20,729 56,907 64 
Lending-related commitments(a)
Lending-related commitments(a)
117,008 307,136 17,091 441,235 310,803 130,432 441,235 70 
Lending-related commitments(a)
131,685 340,669 26,882 499,236 338,916 160,320 499,236 68 
SubtotalSubtotal284,023 534,361 179,934 998,318 710,591 287,727 998,318 71 Subtotal350,099 563,961 174,869 1,088,929 763,600 325,329 1,088,929 70 
Loans held-for-sale and loans at fair value(b)(a)
Loans held-for-sale and loans at fair value(b)(a)
26,424 26,424 
Loans held-for-sale and loans at fair value(b)(a)
40,499 40,499 
Receivables from customers and other30,847 30,847 
Total exposure – net of liquid securities and other collateral held against derivatives$1,055,589 $1,055,589 
Credit derivatives used in credit portfolio management activities(c)(d)
$(12,739)$(11,260)$(3,275)$(27,274)$(21,140)$(6,134)$(27,274)78 %
Receivables from customersReceivables from customers58,752 58,752 
Total exposure – net of liquid securities and other cash collateral held against derivativesTotal exposure – net of liquid securities and other cash collateral held against derivatives$1,188,180 $1,188,180 
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)
$(19,659)$(7,897)$(4,028)$(31,584)$(24,161)$(7,423)$(31,584)76 %
68


Maturity profile(f)
Ratings profile
Maturity profile(e)
Ratings profile
Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG1 year or less 1 year through 5 yearsAfter 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
December 31, 2019
(in millions, except ratios)
December 31, 2020
(in millions, except ratios)		December 31, 2020
(in millions, except ratios)		1 year or less 1 year through 5 yearsAfter 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
Loans retainedLoans retained$141,620 $218,323 $121,735 $481,678 $363,444 $118,234 $481,678 75 %Loans retained
Derivative receivablesDerivative receivables49,766 49,766 Derivative receivables75,444 (d)75,444 (d)
Less: Liquid securities and other collateral held against derivatives(16,009)(16,009)
Less: Liquid securities and other cash collateral held against derivativesLess: Liquid securities and other cash collateral held against derivatives(14,806)(14,806)
Total derivative receivables, net of collateralTotal derivative receivables, net of collateral6,561 6,960 20,236 33,757 26,966 6,791 33,757 80 Total derivative receivables, net of collateral17,750 14,478 28,410 60,638 38,941 21,697 60,638 64 
Lending-related commitments(a)
Lending-related commitments(a)
86,934 317,042 13,534 417,510 296,702 120,808 417,510 71 
Lending-related commitments(a)
116,950 315,179 17,734 449,863 312,694 137,169 449,863 70 
SubtotalSubtotal235,115 542,325 155,505 932,945 687,112 245,833 932,945 74 Subtotal318,669 527,562 179,217 1,025,448 730,908 294,540 1,025,448 71 
Loans held-for-sale and loans at fair value(b)(a)
Loans held-for-sale and loans at fair value(b)(a)
29,201 29,201 
Loans held-for-sale and loans at fair value(b)(a)
35,111 35,111 
Receivables from customers and other33,706 33,706 
Total exposure – net of liquid securities and other collateral held against derivatives$995,852 $995,852 
Credit derivatives used in credit portfolio management activities(c)(d)(e)
$(5,412)$(10,031)$(3,087)$(18,530)$(16,724)$(1,806)$(18,530)90 %
Receivables from customersReceivables from customers47,710 47,710 
Total exposure – net of liquid securities and other cash collateral held against derivativesTotal exposure – net of liquid securities and other cash collateral held against derivatives$1,108,269 $1,108,269 
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)(d)
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)(d)
$(6,765)$(13,627)$(2,826)$(23,218)$(18,164)$(5,054)$(23,218)78 %
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(c)(b)These derivatives do not qualify for hedge accounting under U.S. GAAP.
(d)(c)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties. In addition, the Firm obtains credit protection against certain loans in the retained loan portfolio through the issuance of credit-related notes. Prior-period amounts have been revised to conform with the current presentation.
(e)(d)Prior-period amounts have been revised to conform with the current presentation.
(f)(e)The maturity profile of retained loans, lending-related commitments and derivative receivables is generally based on the remaining contractual maturity. Derivative contracts that are in a receivable position at September 30, 2020,2021, may become payable prior to maturity based on their cash flow profile or changes in market conditions.
67

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.
Total criticized exposure excluding loans held-for-sale and loans at fair value, was $37.4$41.6 billion at both September 30, 2020, compared with $15.1 billion at2021 and December 31, 2019,2020, representing approximately 3.5%3.8% and 1.5%4.0% of total wholesale credit exposure, respectively.respectively, as select downgrades were offset by select upgrades and net portfolio activity. The increase in total criticized exposure at September 30, 2021 was largely driven by downgrades in Consumer & Retailundrawn and Oil & Gas due to impacts from the COVID-19 pandemic. Predominantly all of the $37.4$38.5 billion was performing and approximately half was undrawn.
performing.
69


Below are summaries ofThe table below summarizes by industry the Firm’s exposures as of September 30, 2020,2021, and December 31, 2019.2020. The industry of risk category is generally based on the client or counterparty’s primary business activity. Refer to Note 4 of JPMorgan Chase's 2020 Form 10-K for additional information on industry concentrations.
Wholesale credit exposure – industries(a)
Selected metrics
30 days or more past due and accruing
loans (h)
Net
charge-offs/
(recoveries)
Credit derivative hedges(i)
Liquid securities
and other collateral held against derivative
receivables
Noninvestment-grade
As of or for the nine months ended
Credit exposure(f)(g)
Investment- grade(g)
Noncriticized(g)
Criticized performingCriticized nonperforming
September 30, 2020
(in millions)
Real Estate$147,483 $115,849 $28,567 $2,500 $567 $87 $6 $(2,125)$(3)
Individuals and Individual Entities(b)
115,469 100,855 13,618 228 768 813 — — (718)
Consumer & Retail107,037 55,162 43,186 8,212 477 121 48 (296)(4)
Industrials68,950 38,983 27,697 1,979 291 190 73 (765)(27)
Technology, Media &
Telecommunications		64,800 35,996 23,769 4,791 244 18 43 (971)(29)
Asset Managers61,569 53,400 7,967 188 14 15 — — (5,502)
Healthcare59,864 44,190 13,770 1,694 210 27 99 (400)(294)
Banks & Finance Cos53,385 37,773 14,971 586 55 54 13 (1,494)(3,391)
Automotive40,930 23,486 15,465 1,937 42 18 26 (603)— 
Oil & Gas40,431 19,016 15,410 5,196 809 8 194 (376)(1)
State & Municipal Govt(c)
37,472 36,922 542 — 8 14 — — (147)
Utilities30,135 22,874 6,606 595 60 — (7)(402)(20)
Transportation17,154 7,658 6,394 2,742 360 38 40 (122)(31)
Chemicals & Plastics16,780 10,702 5,346 705 27 7 — (80)— 
Central Govt16,265 15,996 269 — — — — (8,602)(2,574)
Metals & Mining15,900 6,415 8,536 782 167 5 10 (144)(12)
Insurance13,509 10,440 3,046 20 3 4 — (37)(2,342)
Financial Markets Infrastructure10,311 10,055 256 — — — — — (11)
Securities Firms8,092 6,426 1,644 9 13 — 12 (49)(3,473)
All other(d)
93,166 76,747 15,334 708 377 19 (4)(10,808)(1,805)
Subtotal$1,018,702 $728,945 $252,393 $32,872 $4,492 $1,438 $553 $(27,274)$(20,384)
Loans held-for-sale and loans at fair value26,424 
Receivables from customers and other30,847 
Total(e)
$1,075,973 






Wholesale credit exposure – industries(a)
Selected metrics
30 days or more past due and accruing
loans(i)
Net
charge-offs/
(recoveries)
Credit derivative hedges and credit-related notes(i)
Liquid securities
and other cash collateral held against derivative
receivables
Noninvestment-grade
As of or for the nine months ended
Credit exposure(f)(g)
Investment- gradeNoncriticizedCriticized performingCriticized nonperforming
September 30, 2021
(in millions)
Real Estate$156,298 $122,285 $27,366 $6,342 $305 $236 $(3)$(169)$— 
Individuals and Individual Entities(b)
132,793 117,260 14,886 107 540 1,495 24 — (5)
Consumer & Retail115,534 59,037 47,732 8,293 472 115 10 (167)— 
Asset Managers80,801 68,069 12,726 — 6 7 — — (4,739)
Technology, Media & Telecommunications79,946 47,608 25,737 6,271 330 40 (3)(964)(27)
Industrials68,298 34,913 29,699 3,577 109 146 11 (772)(10)
Healthcare60,544 42,521 16,325 1,637 61 83 (5)(305)(153)
Banks & Finance Cos55,086 34,004 19,498 1,572 12 91 10 (565)(1,161)
Oil & Gas46,203 18,935 23,955 3,067 246 31 57 (320)(1)
Automotive38,042 25,809 11,460 601 172 — (3)(420)— 
State & Municipal Govt(c)
35,318 34,628 576 101 13 3 — — (14)
Utilities33,727 24,664 7,790 1,099 174 5 6 (383)(4)
Chemicals & Plastics19,766 11,437 7,897 424 8 7 — (10)— 
Transportation16,459 6,937 4,884 4,434 204 16 — (51)(24)
Metals & Mining15,426 6,875 8,133 326 92 — 2 (29)(2)
Insurance14,515 10,739 3,722 54 — — — — (2,235)
Central Govt12,982 12,697 285 — — — — (6,326)(197)
Securities Firms5,573 2,611 2,409 550 3 — — (48)(285)
Financial Markets Infrastructure5,257 4,939 318 — — — — — (32)
All other(d)
107,362 88,036 18,948 7 371 394 (6)(21,055)(2,112)
Subtotal$1,099,930 $774,004 $284,346 $38,462 $3,118 $2,669 $100 $(31,584)$(11,001)
Loans held-for-sale and loans at fair value40,499 
Receivables from customers58,752 
Total(e)
$1,199,181 













7068




(continued from previous page)
Selected metrics
30 days or more past due and accruing
loans		Net
charge-offs/
(recoveries)
Credit derivative hedges(i)
Liquid securities
and other collateral held against derivative
receivables
Noninvestment-grade
As of or for the year ended
Credit exposure(f)(g)
Investment- grade (g)
Noncriticized(g)
Criticized performingCriticized nonperforming
December 31, 2019
(in millions)
Real Estate$150,919 $121,625 $27,779 $1,457 $58 $104 $13 $(100)$— 
Individuals and Individual Entities(b)
105,027 93,181 11,617 192 37 388 33 — (641)
Consumer & Retail106,986 58,704 45,806 2,261 215 118 124 (235)(11)
Industrials62,483 39,434 21,673 1,157 219 172 48 (746)(9)
Technology, Media &
Telecommunications		60,033 35,878 21,066 2,953 136 27 27 (658)(17)
Asset Managers54,304 47,569 6,716 6 13 18 — — (4,785)
Healthcare50,824 36,988 12,544 1,141 151 108 14 (405)(145)
Banks & Finance Cos50,786 34,941 15,031 808 6 — — (834)(2,112)
Automotive35,118 24,255 10,246 615 2 8 1 (194)— 
Oil & Gas41,641 22,244 17,823 995 579 — 98 (429)(10)
State & Municipal Govt(c)
30,095 29,586��509 — — 33 7 — (46)
Utilities34,843 22,213 12,316 301 13 2 39 (414)(50)
Transportation14,497 8,734 5,336 353 74 30 8 (37)(37)
Chemicals & Plastics17,499 12,033 5,243 221 2 5 — (10)(13)
Central Govt14,865 14,524 341 — — — — (9,018)(1,963)
Metals & Mining15,586 7,095 7,789 661 41 2 (1)(33)(6)
Insurance12,348 9,458 2,867 19 4 3 — (36)(1,998)
Financial Markets Infrastructure4,121 3,969 152 — — — — — (6)
Securities Firms7,381 6,010 1,344 27 — — — (48)(3,201)
All other(d)
79,598 73,453 5,722 412 11 4 4 (5,333)(j)(959)
Subtotal$948,954 $701,894 $231,920 $13,579 $1,561 $1,022 $415 $(18,530)$(16,009)
Loans held-for-sale and loans at fair value29,201 

Receivables from customers and other33,706 
Total(e)
$1,011,861 







(continued from previous page)
Selected metrics
30 days or more past due and accruing
loans(i)
Net
charge-offs/
(recoveries)
Credit derivative hedges and credit-related notes(h)(j)
Liquid securities
and other cash collateral held against derivative
receivables
Noninvestment-grade
As of or for the year ended
Credit exposure(f)(g)
Investment- gradeNoncriticizedCriticized performingCriticized nonperforming
December 31, 2020
(in millions)
Real Estate$148,498 $116,124 $27,576 $4,294 $504 $374 $94 $(190)$— 
Individuals and Individual Entities(b)
122,870 107,266 14,688 227 689 1,570 (17)— — 
Consumer & Retail108,437 57,580 41,624 8,852 381 203 55 (381)(5)
Asset Managers66,573 57,582 8,885 85 21 19 1 — (4,685)
Technology, Media & Telecommunications72,150 36,435 27,770 7,738 207 10 73 (984)(56)
Industrials66,470 37,512 26,881 1,852 225 278 70 (658)(61)
Healthcare60,118 44,901 13,356 1,684 177 96 104 (378)(191)
Banks & Finance Cos54,032 35,115 17,820 1,045 52 20 13 (659)(1,648)
Oil & Gas39,159 18,456 14,969 4,952 782 11 249 (488)(4)
Automotive43,331 25,548 15,575 2,149 59 152 22 (434)— 
State & Municipal Govt(c)
38,286 37,705 574 2 5 41 — — (41)
Utilities30,124 22,451 7,048 571 54 14 (7)(402)(1)
Chemicals & Plastics17,176 10,622 5,703 822 29 6 — (83)— 
Transportation16,232 7,549 6,340 2,137 206 30 117 (83)(26)
Metals & Mining15,542 5,958 8,699 704 181 8 16 (141)(13)
Insurance13,141 10,177 2,960 3 1 7 — — (1,771)
Central Govt17,025 16,652 373 — — — — (8,364)(982)
Securities Firms8,048 6,116 1,927 1 4 — 18 (49)(3,423)
Financial Markets Infrastructure6,515 6,449 66 — — — — — (10)
All other(d)
96,527 (h)84,650 10,999 (h)504 374 83 (9)(9,924)(1,889)
Subtotal$1,040,254 $744,848 $253,833 $37,622 $3,951 $2,922 $799 $(23,218)$(14,806)
Loans held-for-sale and loans at fair value35,111 

Receivables from customers47,710 
Total(e)
$1,123,075 
(a)The industry rankings presented in the table as of December 31, 2019,2020, are based on the industry rankings of the corresponding exposures at September 30, 2020,2021, not actual rankings of such exposures at December 31, 2019.2020.
(b)Individuals and Individual Entities predominantly consists of Wealth ManagementGlobal Private Bank 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 September 30, 2020,2021, and December 31, 2019,2020, noted above, the Firm held: $7.5$6.7 billion and $6.5$7.2 billion, respectively, of trading assets; $20.9$17.5 billion and $29.8$20.4 billion, respectively, of AFS securities; and $12.8$13.5 billion and $4.8$12.8 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 109 for further information.
(d)All other includes: SPEs, and Private education and civic organizations, representing approximately 91%93% and 9%7%, respectively, at September 30, 2020,2021 and 90%92% and 10%8%, respectively, at December 31, 2019.2020.
(e)Excludes cash placed with banks of $478.4$749.7 billion and $254.0$516.9 billion, at September 30, 2020,2021, and December 31, 2019,2020, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(f)Credit exposure is net of risk participations and excludes the benefit of credit derivatives and credit-related notes used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.
(g)In the third quarter of 2020, the Firm reclassified certainCredit exposure includes held-for-sale and fair value option elected lending-related positions from trading assets to loans. commitments.
(h)Prior-period amounts have been revised to conform with the current presentation.
(h)(i)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic.
(i)(j)Represents the net notional amounts of protection purchased and sold through credit derivatives and credit-related notesused 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.
(j)Prior-period amount has been revised to conform with the current presentation.
7169


Presented below is additional detail on certain of the Firm’s largest industry exposures and/or certain industries which present potential heightened credit concerns.exposures.
Real Estate
Real Estate exposure was $147.5$156.3 billion as of September 30, 2020,2021, of which $86.9$86.5 billion iswas multifamily lending as shown in the table below. During the nine months ended September 30, 2020, the following changes were primarily driven by impacts from the COVID-19 pandemic:
•the investment-grade portion of the Real Estate portfolio decreased from 81% to 79%
•the drawn percentage of this portfolio increased from 78% to 82%
•criticizedCriticized exposure increased by $1.6$1.8 billion from $1.5$4.8 billion at December 31, 2020 to $3.1$6.6 billion at September 30, 2021, driven by select downgrades partially offset by select upgrades.
September 30, 2020September 30, 2021
(in millions, except ratios)(in millions, except ratios)
Loans and Lending-related Commitments(d)
Derivative ReceivablesCredit exposure% Investment-grade
% Drawn(e)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(d)
Multifamily(a)
Multifamily(a)
$86,631 $240 $86,871 87 %92 %
Multifamily(a)
$86,410 $108 $86,518 85 %90 %
Other Income Producing Properties(b)
Other Income Producing Properties(b)
17,807 472 18,279 84 40 
OfficeOffice16,363 557 16,920 78 70 Office15,819 231 16,050 75 71 
Services and Non Income ProducingServices and Non Income Producing11,463 30 11,493 59 46 
IndustrialIndustrial10,524 46 10,570 76 61 
RetailRetail10,654 213 10,867 59 70 Retail9,755 125 9,880 64 66 
Other Income Producing Properties(b)
10,580 391 10,971 70 68 
Industrial9,041 60 9,101 75 74 
LodgingLodging3,207 5 3,212 23 63 Lodging3,456 52 3,508 5 34 
Services and Non Income Producing9,516 25 9,541 56 50 
Total Real Estate Exposure(c)
Total Real Estate Exposure(c)
145,992 1,491 147,483 79 82 
Total Real Estate Exposure(c)
155,234 1,064 156,298 78 75 
December 31, 2019December 31, 2020
(in millions, except ratios)(in millions, except ratios)
Loans and Lending-related Commitments(d)
Derivative
Receivables		Credit exposure% Investment-
grade
% Drawn(e)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(d)
Multifamily(a)
Multifamily(a)
$86,381 $58 $86,439 91 %92 %
Multifamily(a)
$85,368 $183 $85,551 85 %92 %
Other Income Producing Properties(b)
Other Income Producing Properties(b)
13,435 421 13,856 76 55 
OfficeOffice15,734 231 15,965 80 70 Office16,372 475 16,847 76 70 
Services and Non Income ProducingServices and Non Income Producing9,242 22 9,264 62 47 
IndustrialIndustrial9,039 69 9,108 76 73 
RetailRetail11,347 87 11,434 83 68 Retail10,573 199 10,772 60 69 
Other Income Producing Properties(b)
14,372 181 14,553 48 45 
Industrial8,842 24 8,866 74 75 
LodgingLodging3,702 19 3,721 51 38 Lodging3,084 16 3,100 24 57 
Services and Non Income Producing9,922 19 9,941 57 47 
Total Real Estate ExposureTotal Real Estate Exposure150,300 619 150,919 81 78 Total Real Estate Exposure147,113 1,385 148,498 78 80 
(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.categories listed in the table above.
(c)Real Estate exposure is approximately 80%76% secured; unsecured exposure is approximately 72%78% investment-grade.
(d)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(e)Represents drawn exposure as a percentage of credit exposure.

70

Consumer & Retail
Consumer & Retail exposure was $107.0$115.5 billion as of September 30, 2020,2021, and predominantly includesincluded Retail, Food and Beverage, and Business and Consumer Services as shown in the table below. During the nine months ended September 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%
•the drawn percentage of this portfolio increased from 35% to 39%
•criticized exposure increased by $6.2 billion from $2.5 billion to $8.7 billion
72


September 30, 2020September 30, 2021
(in millions, except ratios)(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(d)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(d)
Retail(a)
Retail(a)
$31,842 $1,052 $32,894 49 %36 %
Retail(a)
$31,673 $1,795 $33,468 51 %31 %
Food and BeverageFood and Beverage26,864 768 27,632 61 35 Food and Beverage30,326 1,067 31,393 60 34 
Business and Consumer ServicesBusiness and Consumer Services25,167 552 25,719 50 43 Business and Consumer Services27,371 400 27,771 50 35 
Consumer Hard GoodsConsumer Hard Goods12,906 151 13,057 58 38 Consumer Hard Goods15,162 111 15,273 53 31 
Leisure(b)
Leisure(b)
7,456 279 7,735 22 50 
Leisure(b)
7,491 138 7,629 14 33 
Total Consumer & Retail(c)
Total Consumer & Retail(c)
104,235 2,802 107,037 52 39 
Total Consumer & Retail(c)
112,023 3,511 115,534 51 33 
December 31, 2019December 31, 2020
(in millions, except ratios)(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(d)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(d)
Retail(a)
Retail(a)
$29,290 $294 $29,584 54 %37 %
Retail(a)
$32,486 $887 $33,373 52 %33 %
Food and BeverageFood and Beverage27,956 625 28,581 67 36 Food and Beverage28,012 897 28,909 62 33 
Business and Consumer ServicesBusiness and Consumer Services24,242 249 24,491 51 37 Business and Consumer Services24,760 599 25,359 52 41 
Consumer Hard GoodsConsumer Hard Goods13,144 109 13,253 65 35 Consumer Hard Goods12,937 178 13,115 59 36 
Leisure(b)
Leisure(b)
10,930 147 11,077 21 19 
Leisure(b)
7,440 241 7,681 18 43 
Total Consumer & RetailTotal Consumer & Retail105,562 1,424 106,986 55 35 Total Consumer & Retail105,635 2,802 108,437 53 36 
(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. As of September 30, 20202021 approximately 80%79% of the noninvestment-grade Leisure portfolio is secured.
(c)Approximately 80%78% of the noninvestment-grade portfolio is secured.
(d)Represents drawn exposure as a percent of credit exposure.
Oil & Gas
Oil & Gas exposure was $40.4$46.2 billion as of September 30, 2020,2021, including $20.2$27.2 billion of Exploration & Production and Oil field Services as shown in the table below. During the nine months ended September 30, 2020,2021, the following changes wereinvestment-grade percentage decreased from 47% to 41%, predominantly driven by lower oil prices and impactsincreased noninvestment-grade derivative receivables resulting from the COVID-19 pandemic:
•the investment-grade portion of themarket movements related to Oil & Gas portfolio decreased from 53% to 47%
•the drawn percentage of this portfolio increased from 31% to 32%
•prices. However, criticized exposure increaseddecreased by $4.4$2.4 billion from $1.6$5.7 billion at December 31, 2020 to $6.0$3.3 billion at September 30, 2021, driven by net portfolio activity and select upgrades partially offset by select downgrades.
September 30, 2020September 30, 2021
(in millions, except ratios)(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(c)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field ServicesExploration & Production ("E&P") and Oil field Services$19,418 $804 $20,222 32 %41 %Exploration & Production ("E&P") and Oil field Services$17,833 $9,393 $27,226 29 %24 %
Other Oil & Gas(a)
Other Oil & Gas(a)
19,673 536 20,209 62 23 
Other Oil & Gas(a)
17,964 1,013 18,977 58 24 
Total Oil & Gas(b)
Total Oil & Gas(b)
39,091 1,340 40,431 47 32 
Total Oil & Gas(b)
35,797 10,406 46,203 41 24 
December 31, 2019December 31, 2020
(in millions, except ratios)(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(c)
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field ServicesExploration & Production ("E&P") and Oil field Services$22,543 $646 $23,189 38 %38 %Exploration & Production ("E&P") and Oil field Services$18,228 $1,048 $19,276 32 %37 %
Other Oil & Gas(a)
Other Oil & Gas(a)
18,246 206 18,452 73 23 
Other Oil & Gas(a)
19,288 595 19,883 62 21 
Total Oil & Gas(b)
Total Oil & Gas(b)
40,789 852 41,641 53 31 
Total Oil & Gas(b)
37,516 1,643 39,159 47 29 
(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.
(b)Secured lending was $13.8$20.3 billion and $15.7$13.2 billion at September 30, 20202021 and December 31, 2019,2020, respectively, approximatelyover 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.

73
71


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 1211 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 nine months ended September 30, 2021 and 2020. Since September 30, 2020, nonaccrual loan exposure decreased $1.7 billion, largely in Oil & Gas and 2019. The increase was drivenIndividuals and Individual Entities, with net portfolio activity and select upgrades being partially offset by downgrades across multiple industries on client credit deterioration, with the largest concentration in Real Estate, predominantly within retail and lodging.select downgrades.
Wholesale nonaccrual loan activityWholesale nonaccrual loan activityWholesale nonaccrual loan activity
Nine months ended September 30,
(in millions)		Nine months ended September 30,
(in millions)		20202019Nine months ended September 30,
(in millions)		20212020
Beginning balanceBeginning balance$1,271 $1,587 Beginning balance$4,106 $1,271 
Additions(a)
Additions(a)
5,650 2,303 
Additions(a)
2,021 5,650 
Reductions:Reductions:Reductions:
Paydowns and otherPaydowns and other1,381 1,192 Paydowns and other1,782 1,381 
Gross charge-offsGross charge-offs614 265 Gross charge-offs180 614 
Returned to performing statusReturned to performing status238 100 Returned to performing status893 238 
SalesSales91 188 Sales380 91 
Total reductionsTotal reductions2,324 1,745 Total reductions3,235 2,324 
Net changesNet changes3,326 558 Net changes(1,214)3,326 
Ending balanceEnding balance$4,597 $2,145 Ending balance$2,892 $4,597 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the three and nine months ended September 30, 20202021 and 2019.2020. The amounts in the table below do not include gains or losses from sales of nonaccrual loans.loans recognized in noninterest revenue.
Wholesale net charge-offs/(recoveries)Wholesale net charge-offs/(recoveries)Wholesale net charge-offs/(recoveries)
(in millions, except ratios)(in millions, except ratios)Three months ended
September 30,		Nine months ended
September 30,		(in millions, except ratios)Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Loans – reported
LoansLoans
Average loans retainedAverage loans retained$504,449 $469,942 $512,137 $471,332 Average loans retained$528,979 $504,449 $521,628 $512,137 
Gross charge-offsGross charge-offs150 131 641 307 Gross charge-offs52 150 187 641 
Gross recoveries collectedGross recoveries collected(58)(16)(88)(45)Gross recoveries collected(15)(58)(87)(88)
Net charge-offs/(recoveries)Net charge-offs/(recoveries)92 115 553 262 Net charge-offs/(recoveries)37 92 100 553 
Net charge-off/(recovery) rateNet charge-off/(recovery) rate0.07 %0.10 %0.14 %0.07 %Net charge-off/(recovery) rate0.03 %0.07 %0.03 %0.14 %
7472


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 2322 for further information on wholesale lending-related commitments.
Receivables from Customerscustomers
Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, and liquid and readily marketable debt or equity securities), as such generally. Because of this collateralization, no allowance for credit losses is generally 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 risksrisk 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. The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Firm is exposed. For OTC derivatives the Firm is exposed to the credit risk of the derivative counterparty. For exchange-traded derivatives (“ETD”), such as futures and options, and cleared over-the-counter (“OTC-cleared”) derivatives, the Firm can also be exposed to the credit risk of the relevant CCP. Where possible, the Firm seeks to mitigate its credit risk exposures arising from derivative contracts through the use of legally enforceable master netting arrangements and collateral agreements.
The percentage of the Firm’s over-the-counter derivative transactions subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity and centrally cleared trades that are settled daily — was approximately 88% at both September 30, 2021, and December 31, 2020. Refer to Note 54 for additional information on the Firm’s use of collateral agreements. Refer to Note 4 for a further discussion of derivative contracts.contracts, counterparties and settlement types.
The following table summarizes the net derivative receivables for the periods presented.
Derivative receivables
(in millions)September 30,
2020		December 31,
2019
Total, net of cash collateral76,626 49,766 
Liquid securities and other collateral held against derivative receivables(a)
(20,384)(16,009)
Total, net of collateral$56,242 $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 $76.6$67.9 billion and $49.8$75.4 billion at September 30, 2020,2021, and December 31, 2019,2020, respectively, with increasesdecreases primarily driven by maturities of certain trades in CIB resulting from market movements.CIB. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and the related cash collateral held by the Firm. However, in management’s view,
In addition, the appropriate measure of current credit risk should also take into consideration additionalFirm held liquid securities (primarily U.S. government and agency securities and other Group of Seven nations (“G7”) government securities) and othercash collateral held bythat the Firm aggregating $20.4 billionbelieves is legally enforceable and $16.0 billion at September 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. For these purposes, the definition of liquid securities is consistent with the definition of high quality liquid assets as defined in the LCR rule.
In management’s view, the appropriate measure of current credit risk should also take into consideration other collateral, which generally represents securities that do not qualify as high quality liquid assets under the LCR rule, but that the Firm believes is legally enforceable. The collateral amounts for each counterparty are limited to the net derivative receivables for the counterparty.
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,tables below, it is available as security against potential exposure that could arise should the fair value of the client’s derivative contracts move in the Firm’s favor. Refer to Note 54 for additional information on the Firm’s use of collateral agreements.

7573


The following table summarizestables summarize the net derivative receivables and the internal ratings profile offor the Firm’s derivative receivables, including credit derivatives, net of collateral, atperiods presented.
Derivative receivables
(in millions)September 30,
2021		December 31,
2020
Total, net of cash collateral$67,908 $75,444 (a)
Liquid securities and other cash collateral held against derivative receivables(11,001)(14,806)
Total, net of liquid securities and other cash collateral$56,907 $60,638 
Other collateral held against derivative receivables(1,906)(1,836)(a)
Total, net of collateral$55,001 $58,802 
Ratings profile of derivative receivables

September 30, 2021December 31, 2020

(in millions, except ratios)
Exposure net of collateral% of exposure net of collateralExposure net of collateral% of exposure net of collateral
Investment-grade$34,379 63 %$37,013 63 %
Noninvestment-grade20,622 37 21,789 (a)37 (a)
Total$55,001 100 %$58,802 100 %
(a)Prior-period amounts have been revised to conform with 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
September 30, 2020December 31, 2019

(in millions, except ratios)
Exposure net of collateral% of exposure net of collateralExposure net of collateral% of exposure net of collateral
AAA/Aaa to AA-/Aa3$11,465 20 %$8,347 25 %
A+/A1 to A-/A36,323 11 5,471 16 
BBB+/Baa1 to BBB-/Baa317,819 32 13,148 39 
BB+/Ba1 to B-/B318,681 33 6,225 18 
CCC+/Caa1 and below1,954 4 566 2 
Total$56,242 100 %$33,757 100 %
current presentation.
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 87% and 90% at September 30, 2020, and December 31, 2019, respectively.
Credit derivativesportfolio management activities
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 lending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “creditbusinesses. In addition, the Firm obtains credit protection against certain loans in the retained wholesale portfolio management” activities).through the issuance of credit-related notes. Information on credit portfolio management activities is provided in the table below.
Credit derivatives used in credit portfolio management activities
Credit derivatives and credit-related notes used in credit portfolio management activitiesCredit derivatives and credit-related notes used in credit portfolio management activities
Notional amount of protection
purchased and sold(b)
Notional amount of protection
purchased and sold(a)
(in millions)(in millions)September 30,
2020		December 31,
2019		(in millions)September 30,
2021		December 31,
2020
Credit derivatives used to manage:
Credit derivatives and credit-related notes used to manage:Credit derivatives and credit-related notes used to manage:
Loans and lending-related commitmentsLoans and lending-related commitments$7,194 $2,047 Loans and lending-related commitments$2,803 $4,856 
Derivative receivables(a)
Derivative receivables(a)
20,080 16,483 
Derivative receivables(a)
28,781 18,362 
Credit derivatives used in credit portfolio management activities$27,274 $18,530 
Credit derivatives and credit-related notes used in credit portfolio management activitiesCredit derivatives and credit-related notes used in credit portfolio management activities$31,584 $23,218 
(a)Prior-period amount has been revised to conform with the current presentation.
(b)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index. Prior-period amounts have been revised to conform with the current presentation.
Refer to Credit derivatives in Note 54 of this Form 10-Q and Note 5 of JPMorgan Chase’s 20192020 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.
7674


ALLOWANCE FOR CREDIT LOSSES
Effective January 1, 2020,The Firm’s allowance for credit losses represents management's estimate of expected credit losses over the Firm adoptedremaining expected life of the CECL accounting guidance. The adoption of this guidance established a single allowance framework for allFirm's 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.
lending-related commitments. 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 Consolidated balance sheet,sheets,
•the allowance for lending-related commitments, which is presented on the Consolidated balance sheetsheets 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 recognizedreflected within Investment Securities on the Consolidated balance sheet.sheets.
Discussion of changes in the allowance
The allowance for credit losses as of September 30, 2021 was $20.5 billion, a decrease from $30.8 billion at December 31, 2020. The decrease in the allowance for credit losses reflected:
•an $8.0 billion reduction in consumer, predominantly in the credit card portfolio, reflecting improvements in the Firm's macroeconomic outlook; and
•a $2.3 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic outlook.
The COVID-19 pandemic has stressed many macroeconomic variables (“MEVs”) used in the Firm's allowance estimate which has created challenges in the use of modeled credit loss estimates, increased the reliance on management judgment, and resulted in adjustments to appropriately address the economic circumstances. These adjustments continued through the third quarter of 2021, although to a lesser extent than experienced during 2020.
The U.S. economy has continued to improve despite the ongoing impact of the COVID-19 pandemic, with the benefits of vaccination resulting in improvements in the Firm's macroeconomic outlook, particularly in the adverse scenarios. However, uncertainties remain, including the impact that additional waves and variants of COVID-19 may have on the pace of economic growth, the strength of underlying labor markets with the expiration of government assistance programs, and the potential for changes in consumer behavior that could have longer term impacts on certain sectors. As a result of these uncertainties, the Firm retained meaningful weighting on its adverse scenarios in the third quarter of 2021, in line with the second quarter of 2021, but to a lesser extent than the fourth quarter of 2020. These adverse scenarios incorporate more punitive macroeconomic factors than the central case assumptions outlined below, resulting in a weighted average U.S. unemployment rate near 7% into the first quarter of 2022
and falling below 6% in the third quarter of 2022, and a weighted average cumulative change in U.S. gross domestic product ("GDP") of 3.8% in the fourth quarter of 2022.
The Firm’s central case assumptions reflected U.S. unemployment rates and U.S. real GDP as follows:
Assumptions at September 30, 2021
4Q212Q224Q22
U.S. unemployment rate(a)
5.1 %4.4 %4.1 %
Cumulative change in U.S. real GDP from 12/31/20193.3 %5.0 %6.2 %
Assumptions at December 31, 2020
2Q214Q212Q22
U.S. unemployment rate(a)
6.8 %5.7 %5.1 %
Cumulative change in U.S. real GDP from 12/31/2019(1.9)%0.6 %2.0 %
(a)Reflects quarterly average of forecasted U.S. unemployment rate.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.
Refer to Note 13 and Note 10 of JPMorgan Chase's 2020 Form 10-K 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, primarily reflecting the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
•a net $8.3 billion addition in consumer, predominantly in the credit card and residential real estate portfolios
•a net $6.7 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.
Discussion of changes in the allowance during 2020
The 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 impact of the COVID-19 pandemic.
–In the first quarter of 2020, management’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%, for the first half of 2020, followed by a solid recovery in the second half of 2020.
–In the second quarter of 2020, based on the increased uncertainty around the duration and depth of the downturn and speed of economic recovery, the Firm’s central case assumptions reflected a more protracted downturn with the slower recovery of U.S. real GDP.
–In the third quarter of 2020, the Firm’s central case assumptions reflected some near term improvement in economic trends, however there is elevated uncertainty around potential impacts to medium and longer term macroeconomic conditions.
In the first, second and third quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as follows:
20202021
4Q2Q4Q
Central case assumptions
U.S. unemployment rate(a)
1Q 20206.6 %5.5 %4.6 %
2Q 202010.9 9.0 7.7 
3Q 20209.5 8.5 7.3 
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)
3Q 2020(5.4)(3.7)(2.4)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
As a result of elevated macroeconomic uncertainty beyond the central case, the Firm continued to place significant weighting on its adverse scenarios, which incorporate more punitive macroeconomic factors than the central case assumptions outlined above, resulting in weighted average U.S. unemployment rates, remaining above ten percent into the fourth quarter 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 88–9086-88 for further information on the allowance for credit losses and related management judgments.
Refer to Consumer Credit Portfolio on pages 62-66,61-65, Wholesale Credit Portfolio on pages 67-7666-74 and Note 1211 for additional information on the consumer and wholesale credit portfolios.
77


The adoption of the CECL accounting guidance 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.
Allowance for credit losses and related information
2020(d)
2019
Nine months ended September 30,Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
(in millions, except ratios)
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 
Cumulative effect of a change in accounting principle297 5,517 (1,642)4,172 NANANANA
Gross charge-offs620 4,104 641 5,365 665 4,050 307 5,022 
Gross recoveries collected(483)(585)(88)(1,156)(409)(433)(45)(887)
Net charge-offs137 3,519 553 4,209 256 3,617 262 4,135 
Write-offs of PCI loans(a)
NANANANA132 — — 132 
Provision for loan losses1,803 10,119 5,802 17,724 (227)4,017 258 4,048 
Other1 3 4 — (1)10 9 
Ending balance at September 30,$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Allowance for lending-related commitments
Beginning balance at January 1,$12 $— $1,179 $1,191 $12 $— $1,043 $1,055 
Cumulative effect of a change in accounting principle133 — (35)98 NANANANA
Provision for lending-related commitments71 — 1,464 1,535 — — 110 110 
Other— — (1)(1)— — — — 
Ending balance at September 30,$216 $— $2,607 $2,823 $12 $— $1,153 $1,165 
Impairment methodology
Asset-specific(b)
$228 $652 $792 $1,672 $88 $488 $399 $975 
Portfolio-based4,274 17,148 7,720 29,142 1,475 5,095 4,434 11,004 
PCINANANANA1,256 — — 1,256 
Total allowance for loan losses$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Impairment methodology
Asset-specific$— $— $109 $109 $— $— $135 $135 
Portfolio-based216 — 2,498 2,714 12 — 1,018 1,030 
Total allowance for lending-related commitments$216 $— $2,607 $2,823 $12 $— $1,153 $1,165 
Total allowance for credit losses$4,718 $17,800 $11,119 $33,637 $2,831 $5,583 $5,986 $14,400 
Memo:
Retained loans, end of period$305,106 $139,590 $500,841 $945,537 $295,586 $159,571 $473,730 $928,887 
Retained loans, average301,535 148,382 512,137 962,054 318,967 154,367 471,332 944,666 
Credit ratios
Allowance for loan losses to retained loans1.48 %12.75 %1.70 %3.26 %0.95 %3.50 %1.02 %1.42 %
Allowance for loan losses to retained nonaccrual loans(c)
89 NM227 350 94 NM284 282 
Allowance for loan losses to retained nonaccrual loans excluding credit card89 NM227 148 94 NM284 163 
Net charge-off rates0.06 3.17 0.14 0.58 0.11 3.13 0.07 0.59 
75

Allowance for credit losses and related information
20212020
Nine months ended September 30,Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
(in millions, except ratios)
Allowance for loan losses
Beginning balance at January 1,$3,636 $17,800 $6,892 $28,328 $2,538 $5,683 $4,902 $13,123 
Cumulative effect of a change in accounting principleNANANANA297 5,517 (1,642)4,172 
Gross charge-offs452 2,957 187 3,596 620 4,104 641 5,365 
Gross recoveries collected(470)(724)(87)(1,281)(483)(585)(88)(1,156)
Net charge-offs/(recoveries)(18)2,233 100 2,315 137 3,519 553 4,209 
Provision for loan losses(1,778)(3,917)(2,162)(7,857)1,803 10,119 5,802 17,724 
Other(2)— (4)(6)1 — 3 4 
Ending balance at September 30,$1,874 $11,650 $4,626 $18,150 $4,502 $17,800 $8,512 $30,814 
Allowance for lending-related commitments
Beginning balance at January 1,$187 $— $2,222 $2,409 $12 $— $1,179 $1,191 
Cumulative effect of a change in accounting principleNANANANA133 — (35)98 
Provision for lending-related commitments(45)— (61)(106)71 — 1,464 1,535 
Other— — 2 2 — — (1)(1)
Ending balance at September 30,$142 $— $2,163 $2,305 $216 $— $2,607 $2,823 
Impairment methodology
Asset-specific(a)
$(571)$383 $357 $169 $228 $652 $792 $1,672 
Portfolio-based2,445 11,267 4,269 17,981 4,274 17,148 7,720 29,142 
Total allowance for loan losses$1,874 $11,650 $4,626 $18,150 $4,502 $17,800 $8,512 $30,814 
Impairment methodology
Asset-specific$— $— $129 $129 $— $— $109 $109 
Portfolio-based142 — 2,034 2,176 216 — 2,498 2,714 
Total allowance for lending-related commitments$142 $— $2,163 $2,305 $216 $— $2,607 $2,823 
Total allowance for credit losses(b)
$2,016 $11,650 $6,789 $20,455 $4,718 $17,800 $11,119 $33,637 
Memo:
Retained loans, end of period$298,308 $143,166 $532,786 $974,260 $305,106 $139,590 $500,841 $945,537 
Retained loans, average299,620 137,012 521,628 958,260 301,535 148,382 512,137 962,054 
Credit ratios
Allowance for loan losses to retained loans0.63 %8.14 %0.87 %1.86 %1.48 %12.75 %1.70 %3.26 %
Allowance for loan losses to retained nonaccrual loans(c)
38 NM222 259 89 NM227 350 
Allowance for loan losses to retained nonaccrual loans excluding credit card38 NM222 93 89 NM227 148 
Net charge-off/(recovery) rates(0.01)2.18 0.03 0.32 0.06 3.17 0.14 0.58 
(a)Prior to the adoption of CECL, write-offs of PCIIncludes collateral dependent loans, were recorded against the allowanceincluding those considered TDRs and those 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)Includeswhich foreclosure is deemed probable, modified PCD loans, and non-collateral dependent 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.
(b)Excludes the allowance for credit losses on investment securities of $73 million and $120 million as of September 30, 2021 and 2020, respectively.
(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 $120 million and a provision for credit losses of $110 million as of and for the nine months ended September 30, 2020.

7876


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 non-traded 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 September 30, 2020,2021, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $529.2$593.0 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available and where not available, based primarily upon internal risk ratings). Refer to Corporate segment results on pages 46-4744-46 and Note 109 for further information on the investment securities portfolio and internal risk ratings. Refer to Market Risk Management on pages 80–8478-82 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk Management on pages 55–5954-58 for further information on related liquidity risk.
Principal investment risk
Principal investments are typically privateprivately held non-traded financial instruments representing ownership interests or other forms of junior capital and span multiple asset classes. These investments are made by dedicated investing businesses or as part of a broader business strategy. In general, new principal investments include tax-oriented investments as well asand investments made to enhance or accelerate LOBthe Firm’s business strategies and Corporate strategic business initiatives.exclude those that are consolidated on the Firm's balance sheets. The Firm’s investments will continue to evolve in line with its strategies, including the Firm’s commitment to support underserved communities and minority-owned businesses. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results. The aggregate 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, the duration and severity of adverse macroeconomic conditions could subject certain principal investments to impairments, write-downs, or other negative impacts.
As of September 30, 2020 and December 31, 2019,The table below presents the aggregate carrying values of the principal investment portfolios were $23.9 billionas September 30, 2021 and $24.2 billion, respectively, which included tax-oriented investments (e.g., affordable housing and alternative energy investments) of $18.4 billion and $18.2 billion respectively, and private equity, various debt and equity instruments, and real assets of $5.5 billion and $6.0 billion, respectively.December 31, 2020.
(in billions)September 30, 2021December 31, 2020
Tax-oriented investments, primarily in alternative energy and affordable housing(a)
$20.9 $20.0 
Private equity, various debt and equity instruments, and real assets7.0 6.2 
Total carrying value$27.9 $26.2 
(a)Prior-period amount has been revised to conform with the current presentation. Refer to Note 1 for further information.
Refer to page 118134 of JPMorgan Chase’s 20192020 Form 10-K for a discussion of the Firm’s Investment Portfolio Risk Management governance and oversight.

7977


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 119–126135–142 of JPMorgan Chase’s 20192020 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 iscontinues to actively monitoringmonitor 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 beare 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 at the onset of the COVID-19 pandemic.occur. For additional discussion on model uncertainty refer to Estimations and Model Risk Management on page 87.85.
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 135151 of JPMorgan Chase’s 20192020 Form 10-K for information regarding model reviews and approvals.
Refer to page 121137 of JPMorgan Chase’s 20192020 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 124-126140-142 of JPMorgan Chase’s 20192020 Form 10-K for further information regarding nonstatistical market risk measures used by the Firm.

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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 VaRTotal VaRTotal VaR
Three months endedThree months ended
September 30, 2020June 30, 2020September 30, 2019September 30, 2021June 30, 2021September 30, 2020
(in millions)(in millions) Avg.MinMax Avg.MinMax Avg.MinMax(in millions) Avg.MinMax Avg.MinMax Avg.MinMax
CIB trading VaR by risk typeCIB trading VaR by risk typeCIB trading VaR by risk type
Fixed incomeFixed income$93 $79 $124 $129 $109 $155 $37 $31 $46 Fixed income$38 $30 $46 $39 $33 $44 $93 $79 $124 
Foreign exchangeForeign exchange13 7 18 9 7 13 6 4 8 Foreign exchange5 3 8 6 4 9 13 7 18 
EquitiesEquities26 22 31 27 22 35 22 19 27 Equities11 8 15 18 11 23 26 22 31 
Commodities and otherCommodities and other33 24 47 32 21 44 8 7 9 Commodities and other11 9 13 22 12 35 33 24 47 
Diversification benefit to CIB trading VaRDiversification benefit to CIB trading VaR(76)(a) NM(b) NM(b)(69)(a)NM(b)NM(b)(34)(a)NM(b)NM(b)Diversification benefit to CIB trading VaR(33)(a) NM(b) NM(b)(44)(a)NM(b)NM(b)(76)(a)NM(b)NM(b)
CIB trading VaRCIB trading VaR89 73 

115 

128 104 158 39 33 47 CIB trading VaR32 22 

44 

41 34 51 89 73 115 
Credit portfolio VaRCredit portfolio VaR15 12 17 22 18 28 5 4 7 Credit portfolio VaR5 4 7 6 4 9 15 12 17 
Diversification benefit to CIB VaRDiversification benefit to CIB VaR(14)(a) NM(b) NM(b)(23)(a)NM(b)NM(b)(6)(a)NM(b)NM(b)Diversification benefit to CIB VaR(4)(a) NM(b) NM(b)(6)(a)NM(b)NM(b)(14)(a)NM(b)NM(b)
CIB VaRCIB VaR90 74 

116 

127 101 157 38 33 46 CIB VaR33 22 

45 

41 34 52 90 74 116 
CCB VaRCCB VaR3 1 7 5 2 12 6 2 11 CCB VaR6 4 10 5 4 7 3 1 7 
Corporate and other LOB VaRCorporate and other LOB VaR16 15 

19 

15 11 18 10 9 11 Corporate and other LOB VaR17 

15 

19 

20 

18 22 

16 15 19 
Diversification benefit to other VaRDiversification benefit to other VaR(3)(a) NM(b) NM(b)(4)(a)NM(b)NM(b)(5)(a)NM(b)NM(b)Diversification benefit to other VaR(4)(a) NM(b) NM(b)(5)(a)NM(b)NM(b)(3)(a)NM(b)NM(b)
Other VaROther VaR16 14 

19 

16 13 18 11 9 15 Other VaR19 16 

23 

20 19 22 16 14 19 
Diversification benefit to CIB and other VaRDiversification benefit to CIB and other VaR(16)(a) NM(b) NM(b)(13)(a)NM(b)NM(b)(10)(a)NM(b)NM(b)Diversification benefit to CIB and other VaR(16)(a) NM(b) NM(b)(18)(a)NM(b)NM(b)(16)(a)NM(b)NM(b)
Total VaRTotal VaR$90 $74 

$117 

$130 $106 $163 $39 $35 $46 Total VaR$36 $24 

$50 

$43 $35 $52 $90 $74 $117 
(a)Diversification benefit represents the difference between the portfolio VaR and the sum of its individual components. This reflects the non-additive nature of VaR due to imperfect correlation across LOBs, Corporate, and risk types.
(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.
Quarter over quarter results
Average total VaR decreased by $40$7 million for the three months ended September 30, 20202021 when compared with June 30, 2021. This was due to volatility rolling out of the one-year historical look-back period impacting exposures in commodities, as well as risk reductions in equities.

Year over year results
Average total VaR decreased by $54 million for the three months ended September 30, 2021, compared with the same period in the prior quarter.year. This decrease was driven by volatility which occurred at the onset of the COVID-19 pandemic rolling out of the one-year historical look-back period, predominantly impacting exposures in fixed income risk type, reflecting an overall risk reduction, as welland commodities.
79

The following graph presents daily Risk Management VaR for the five trailing quarters. As noted previously, average total VaR decreased by $54 million for the three months ended September 30, 2021, compared with the same period in the prior year. Daily Risk Management VaR has returned to pre-pandemic levels, as the scope refinement described below.
Effective July 1,volatility which occurred in late March of 2020 at the Firm refined the scope of VaR to exclude certain asset-backed fair value option elected loans, and included them in other sensitivity-based measures to more effectively measure the risk from these loans. In the absence of this refinement, the average Total VaR and eachonset of the components would have been different byCOVID-19 pandemic has rolled out of the amounts reported in the following table:one-year historical look-back period.
Daily Risk Management VaR
jpm-20210930_g2.jpg
(in millions)Amount by which reported VaR would have been different for the three months ended September 30, 2020
CIB fixed income VaR$15 
CIB trading VaR11 
CIB VaR12 
Total VaR12 
Year over year results
Average total VaR increased by $51 million for the three months ended September 30, 2020 when compared with the same period in the prior year. This increase was driven by the substantial increase in volatility in the one-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 types.
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. Additionally, effective July 1, 2020, the Firm refined the scope of VaR to exclude certain asset-backed fair value option elected loans, and included them in other sensitivity-based measures. In the absence of these refinements, the average Total VaR and each of the components would have been different by the amounts reported in the following table:
(in millions)Third Quarter
2020		Amount by which reported VaR would have been different for the three months ended September 30, Fourth Quarter
2020
CIB fixed income VaR$15 First Quarter
2021
CIB trading VaRSecond Quarter
2021		11 Third Quarter
2021
CIB VaR11 
Total VaR11 
81


VaR backtesting
The Firm performs daily VaR model backtesting, which compares the daily Risk Management VaR results with the daily gains and losses that are utilized for VaR backtesting purposes. The gains and losses depicted in the chart below do not reflect the Firm’s reported revenue 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.
For the 12 months ended September 30, 2021, the Firm posted backtesting gains on 157 of the 259 days, and observed eight VaR backtesting exceptions. For the three months ended September 30, 2021, the Firm posted backtesting gains on 44 of the 66 days, and observed four VaR backtesting exceptions.
The following chart comparespresents the distribution of Firmwide daily backtesting gains and losses for the trailing 12 months and three months ended September 30, 2021. The daily backtesting losses are displayed as a percentage of the corresponding daily Risk Management VaR. The count of days with backtesting losses are shown in aggregate, in fifty percentage point intervals. A backtesting exception occurs when the Firm’sdaily backtesting loss exceeds the daily Risk Management VaR for the 12 months ended September 30, 2020.prior day. Backtesting exceptions are displayed within the intervals that are greater than one hundred percent. The results in the chart below differ from the results of backtesting disclosed in the Market Risk section of the Firm’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are based on Regulatory VaR applied to the Firm’s covered positions.
For the 12 months ended September 30, 2020, the Firm posted backtesting gains on 151Distribution of the 260 days, and observed 13 VaR backtesting exceptions, which were predominantly driven by volatility at the onset of the COVID-19 pandemic that was materially higher than the levels realized in the historical data used for the VaR calculation. For the three months ended September 30, 2020, the Firm posted backtesting gains on 44 of the 66 days, and did not observe any VaR backtesting exceptions as the higher volatility is fully embedded in the look-back period used for the VaR calculation. Firmwide backtesting loss days can differ from the 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 36 .
Daily Risk Management VaR Backtesting Results
12 months ended September 30, 2020
Backtesting Gains and Losses
Risk Management VaR (1-day, 95% Confidence level)
jpm-20200930_g2.jpg
Fourth Quarter
2019		First Quarter
2020		Second Quarter
2020		Third Quarter
2020
jpm-20210930_g3.jpg
8280


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 120136 of JPMorgan Chase’s 20192020 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 termlong-term debt and any related interest rate hedges, and excludefunds transfer pricing of other positions in risk management VaR and other sensitivity-based measures as described on page 120136 of JPMorgan Chase’s 20192020 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 or its clients and customers 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. Deposit forecasts do not currently include assumptions to account for the reversal of Quantitative Easing in the 12-month horizon for earnings-at-risk.
•The pricing sensitivity of deposits, using normalizedknown as deposit betas, which represent the amount by which deposit rates paid could change upon a given change in market interest rates over the cycle.rates. 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 riskearnings-at-risk analysis does not represent a forecast of the Firm’s net interest income (Refer to Outlook on page 8 for additional information).
The Firm’s U.S. dollar sensitivities are presented in the table below.
(in billions)(in billions)September 30, 2020December 31, 2019(in billions)September 30, 2021December 31, 2020
Parallel shift:Parallel shift:Parallel shift:
+100 bps shift in rates+100 bps shift in rates$4.4 $0.3 +100 bps shift in rates$6.7 $6.9 
Steeper yield curve:Steeper yield curve:Steeper yield curve:
+100 bps shift in long-term rates+100 bps shift in long-term rates1.8 1.2 +100 bps shift in long-term rates1.3 2.4 
Flatter yield curve:Flatter yield curve:Flatter yield curve:
+100 bps shift in short-term rates+100 bps shift in short-term rates2.6 (0.9)+100 bps shift in short-term rates5.4 4.5 
The change in the Firm’s U.S. dollar sensitivities as of September 30, 20202021 compared to December 31, 20192020 reflected updates to the Firm’s baseline for lower short-term andhigher long-term rates as well as the impact of changes in the Firm’s balance sheet.
The Firm’s sensitivity to rates is primarily a result of assets repricing at a faster pace than deposits.
Based upon current and implied market rates as of September 30, 2020,2021, 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. While the impact of negative interest rates on the Firm's earnings-at-risk would vary by scenario, a parallel shift downward of up to 100bps would negatively impact net interest income. In a negative interest rate environment, the modeling assumptions used for certain assets and liabilities require additional management judgment and therefore, the actual outcomes may differ from these assumptions.
The Firm’s non-U.S. dollar sensitivities are presented in the table below.
(in billions)(in billions)September 30, 2020December 31, 2019(in billions)September 30, 2021December 31, 2020
Parallel shift:Parallel shift:Parallel shift:
+100 bps shift in rates+100 bps shift in rates$0.8 $0.5 +100 bps shift in rates$0.9 $0.9 
Flatter yield curve:Flatter yield curve:Flatter yield curve:
+100 bps shift in short-term rates+100 bps shift in short-term rates0.7 0.5 +100 bps shift in short-term rates0.8 0.8 
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 September 30, 2020 2021 and December 31, 2019.2020.
8381


Other sensitivity-based measures
The Firm quantifies the market risk of certain debt and equity and funding activities by assessing the potential impact on net revenue, other comprehensive income (“OCI”) and noninterest expense due to changes in relevant market variables. Refer to the table Predominantpredominant business activities that give rise to market risk on page 120136 of JPMorgan Chase’s 20192020 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 noninterest expense for market risk-sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported net of the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at September 30, 20202021 and December 31, 2019,2020, 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)
Gain/(loss) (in millions)
September 30, 2020December 31, 2019
Gain/(loss) (in millions)
September 30, 2021December 31, 2020
ActivityActivityDescriptionSensitivity measureActivityDescriptionSensitivity measure
Debt and equity(a)
Debt and equity(a)
Debt and equity(a)
Asset Management activitiesAsset 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$(46)$(68)Asset Management activities
Consists of seed capital and related hedges; fund co-investments(c); and certain deferred compensation and related hedges(d)
10% decline in market value$(68)$(48)
Other debt and equityOther debt and equity
Consists of certain asset-backed fair value option elected loans, privately held equity and other investments held at fair value(b)
10% decline in market value(894)(867)(e)Other debt and equity
Consists of certain asset-backed fair value option elected loans, privately held equity and other investments held at fair value(c)
10% decline in market value(933)(919)
Funding activitiesFunding activitiesFunding activities
Non-USD LTD cross-currency basisNon-USD LTD cross-currency basis
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 cross-currency basis
Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(e)
1 basis point parallel tightening of cross currency basis(17)(16)
Non-USD LTD hedges foreign currency (“FX”) exposureNon-USD LTD hedges foreign currency (“FX”) exposure
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(d)
10% depreciation of currency11 15 Non-USD LTD hedges foreign currency (“FX”) exposure
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(e)
10% depreciation of currency19 13 
Derivatives – funding spread risk(b)Derivatives – funding spread risk(b)
Impact of changes in the spread related to derivatives FVA(b)
1 basis point parallel increase in spread(6)(5)Derivatives – funding spread risk(b)
Impact of changes in the spread related to derivatives FVA(c)
1 basis point parallel increase in spread(6)(9)
Fair value option elected liabilities – funding spread risk(b)Fair value option elected liabilities – funding spread risk(b)
Impact of changes in the spread related to fair value option elected liabilities DVA(d)
1 basis point parallel increase in spread33 29 Fair value option elected liabilities – funding spread risk(b)
Impact of changes in the spread related to fair value option elected liabilities DVA(e)
1 basis point parallel increase in spread44 40 
Fair value option elected liabilities – interest rate sensitivityFair 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(d)
1 basis point parallel increase in spread1 (2)Fair value option elected liabilities – interest rate sensitivity
Interest rate sensitivity on fair value option elected liabilities resulting from a change in the Firm’s own credit spread(e)
1 basis point parallel increase in spread(2)(3)
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(1)2 
Interest rate sensitivity related to risk management of changes in the Firm’s own credit spread on the fair value option elected liabilities noted above(c)
1 basis point parallel increase in spread2 3 
(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 net revenue.
(c)InEffective September 30, 2021, the second quarterFirm’s funding spread risk measure for both derivatives and fair value option elected liabilities now represents the sensitivity to the Firm's FVA spread. Previously, these measures represented the sensitivity to the Firm’s credit spread observed in the market. The Firm believes the updated measure is more reflective of 2020, the Firm refined the approach for 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.
(e)Firm’s funding spread risk. Prior-period amount hasamounts have been revised to conform with the current presentation. In the absence of the scope refinement, Other debt and equity would have been $(213) million and $(192) million for the periods ending September 30, 2020 and December 31, 2019, respectively. Refer to Total VaR on page 81 for additional information.
(c)Impact recognized through net revenue.
(d)Impact recognized through noninterest expense.
(e)Impact recognized through OCI.
8482


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 continues to monitor the impact of the COVID-19 pandemic on countriesindividual countries.
Refer to whichpages 143-144 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the Firm has exposure, leveraging tailored analysis and existing stress testing, exposure reporting and controls.Firm’s country risk management.
Risk Reporting
The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of September 30, 20202021 and their comparative exposures as of December 31, 2019.2020. The selection of countries represents the Firm’s largest total exposures by individual country, based on the Firm’s internal country risk management approach, and does not represent the Firm’s view of any actualexisting 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 exposuresexposure to Australia was due to increased cash placements with the central bank of Australia in the first quarter of 2021, predominantly driven by client activity following policy decisions in the country and demand for liquidity, relative to the period ending December 31, 2019. This resultedgrowth in an increase in cash placements primarily with the central banks of Germany, the United Kingdom and Australia.client deposits.

















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)
(in billions)		September 30, 2020
December 31, 2019(e)

(in billions)		September 30, 2021
December 31, 2020(e)
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposureTotal exposure
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposureTotal exposure
GermanyGermany$83.7 $3.5 $0.5 $87.7 $51.6 Germany$110.7 $4.0 $0.3 $115.0 $127.2 
United KingdomUnited Kingdom45.2 10.1 1.7 57.0 42.4 United Kingdom52.2 13.0 2.3 67.5 68.4 
JapanJapan35.7 8.8 0.3 44.8 43.8 Japan25.6 9.3 0.3 35.2 45.6 
AustraliaAustralia24.0 7.5 0.2 31.7 15.9 
FranceFrance13.4 6.5 1.1 21.0 18.1 France13.5 4.8 1.7 20.0 18.8 
ChinaChina9.7 9.0 1.4 20.1 19.2 China11.0 7.0 1.7 19.7 21.2 
Australia10.0 6.0 0.4 16.4 11.7 
SwitzerlandSwitzerland11.8 0.5 3.8 16.1 18.3 Switzerland11.1 0.8 2.8 14.7 18.7 
CanadaCanada11.8 0.9 0.1 12.8 13.2 Canada12.5 1.5 0.2 14.2 14.5 
BrazilBrazil4.6 8.3 — 12.9 10.8 
LuxembourgLuxembourg10.8 0.9 — 11.7 12.9 Luxembourg10.7 1.4 — 12.1 12.4 
IndiaIndia4.9 5.4 1.4 11.7 10.5 
South KoreaSouth Korea4.1 7.2 0.3 11.6 10.1 
SingaporeSingapore6.8 4.1 0.3 11.2 8.7 
SpainSpain9.1 1.5 — 10.6 5.8 
NetherlandsNetherlands5.4 0.2 5.7 11.3 9.0 Netherlands7.0 1.4 1.3 9.7 7.7 
Brazil4.3 6.4 — 10.7 7.2 
India4.5 5.1 1.1 10.7 11.3 
ItalyItaly5.0 5.1 0.3 10.4 6.8 Italy5.9 3.5 0.2 9.6 9.7 
Singapore4.9 2.2 1.1 8.2 6.8 
South Korea3.8 3.4 0.4 7.6 6.4 
Spain3.2 3.0 0.1 6.3 5.8 
SwedenSweden7.8 0.2 0.1 8.1 4.3 
Saudi ArabiaSaudi Arabia4.9 0.7 — 5.6 5.2 Saudi Arabia5.6 2.2 — 7.8 5.8 
BelgiumBelgium5.5 1.4 — 6.9 4.0 
Hong Kong SARHong Kong SAR3.0 1.7 0.6 5.3 5.1 Hong Kong SAR4.7 1.9 0.2 6.8 6.2 
Mexico4.3 0.5 — 4.8 4.7 
Belgium2.6 1.8 0.1 4.5 3.2 
(a)Country exposures presented in the table reflect 89% and 88%90% of total firmwideFirmwide non-U.S. exposure, where exposure is attributed to a specifican individual country, at September 30, 2020,2021 and December 31, 2019,2020, respectively.
(b)Lending and deposits includes loans and accrued interest receivable, lending related commitments (net of eligible collateral and the allowance for credit losses), deposits with banks (including central banks), acceptances, other monetary assets, and issued letters of credit net of participations. Excludes intra-day and operating exposures, such as those from settlement and clearing activities.
(c)Includes market-making inventory, Investment 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, 2019,2020, are based on the country rankings of the corresponding exposures at September 30, 2020,2021, not actual rankings of such exposures at December 31, 2019.2020.
8583


OPERATIONAL RISK MANAGEMENT
Operational risk is the risk associated withof an adverse outcome resulting from inadequate or failed internal processes or systems; human factors; or external events impacting the Firm’s processes or systems; itOperational Risk 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, cybersecuritycyber 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 129-131145-147 of JPMorgan Chase’s 20192020 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 132,148, Conduct Risk Management on page 133,149, Legal Risk Management on page 134150 and Estimations and Model Risk Management on page 135151 of JPMorgan Chase’s 20192020 Form 10-K for more information. Details on other select examples of operational risks are provided below.
Business and Technology Resiliency Risktechnology resiliency risk
Business disruptions can occur due to forces beyond the Firm’s control such as the spread of infectious diseases or pandemics, severe weather, power or telecommunications loss, accidents, failure of a third party to provide expected services, cyberattack, flooding, transit strikes, terrorism and health emergencies,emergencies. The safety of the spreadFirm’s employees and customers is of infectious diseases or pandemics.the highest priority. The Firmwide resiliency program is intended to enable the Firm to recover its critical business functions and supporting assets (i.e.(e.g., staff,people, technology, data and facilities) in the event of a business interruption, while prioritizing the health and safety
of employees and customers.interruption. 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 PandemicCybersecurity Risk
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 responseDue to the impactsongoing impact of COVID-19, the Firm continues to leverage use of remote access and video conferencing solutions provided by third parties to facilitate remote work. As a result, the Firm has deployed additional precautionary measures to mitigate cybersecurity risks.
Payment Fraud Risk
The risk of payment fraud has normalized since the heightened levels experienced during earlier stages of the COVID-19 pandemic, including the Firm’s expanded use of remote collaboration toolspandemic. The Firm continues toemploy various controls for managing payment fraud risk as well as providing employee 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.

client education and awareness trainings.
8684


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 judgmentjudgment- 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 and 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,trained, 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 88–9086-88 and Note 2 of this Form 10-Q, and Estimations and Model Risk Management section on page 135151 of JPMorgan Chase’s 20192020 Form 10-K for a summary of model-based valuations and other valuation techniques.

8785


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 and certain off-balance sheet lending-related commitments. 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 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 of JPMorgan Chase's 2020 Form 10-K for further information on these judgments as well as the Firm’s policies and methodologies used to determine the Firm’s allowance for credit losses.losses; and refer to Allowance for credit losses on pages 75-76 and Note 12 of this Form 10-Q for further information.
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. The eight-quarter forecast incorporates hundreds of macroeconomic variables (“MEVs”)MEVs that are relevant for exposures across the Firm, 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 geography.
•Key MEVs for the consumer portfolio include U.S. unemployment, house price index (“HPI”)HPI and U.S. real gross domestic product (“GDP”).GDP.
•Key MEVs for the wholesale portfolio include U.S. real GDP, U.S. unemployment, U.S. equity prices, corporate credit spreads, oil prices, commercial real estate prices and HPI.
Changes in the Firm’s assumptions and forecasts 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 affectaffected borrowers across the Firm’s consumer and wholesale lending portfolios. Significant judgment
The U.S. economy has continued to improve despite the ongoing impact of the COVID-19 pandemic, with the benefits of vaccination resulting in improvements in the Firm's macroeconomic outlook, particularly in the adverse scenarios. However, uncertainties remain, including the impact that additional waves and variants of COVID-19 may have on the pace of economic growth, the strength of underlying labor markets with the expiration of government assistance programs, and the potential for changes in consumer behavior that could have longer term impacts on certain sectors. Judgment is still required to estimate the severityspeed 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 severitytrajectory of the economic downturn caused by the COVID-19 pandemic have been rapidly changing and remain highly uncertain. It is difficult to predict exactly how borrower behavior will be impacted by these changes in economic conditions. The effectiveness of government support, customer assistance and enhanced unemployment benefits should act as mitigants to credit losses, but the extent of the mitigation impact remains uncertain.recovery.
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 inputs may be directionally inconsistent, such that improvement in one factor or input may offset deterioration in others.
To 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 scenarios considered in estimating the allowances for loan losses and lending-related commitments. The central and relative adverse scenarios each included a full suite of MEVs, but differed in the levels, paths and peaks/troughs of those variables over the eight-quarter forecast period.
For example, compared to the Firm’s central scenario describedshown on page 7775 and in Note 13,12, the Firm’s relative adverse scenario assumes a significantly elevated U.S. unemployment rate through the first half of 2021, averaging 3.0%approximately 2.3% higher over the eight-quarter forecast, with a peak difference of approximately 4.3%3.7% in the first quarter of 2021;2022; lower U.S. real GDP with a slower recovery, remaining nearly 3%2.7% lower at the end of the
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eight-quarter forecast, with a peak difference of nearly 6.8% in the
88


fourth quarter of 2020; and an 11.5% further deterioration in the national HPI with a troughapproximately 5.9% in the first quarter of 2022.2022; and lower national HPI with a peak difference of nearly 14.4% and forecasted trough, both in the first quarter of 2023.
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 weightcontinues to place meaningful weighting on its adverse scenarios in estimating its allowance for credit losses as of September 30, 2020,2021, and accordingly, the existing allowance already reflects credit losses beyond those estimated under the central scenario
•the impacts of changes in many MEVs 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 MEVs at a speed and to degrees not seenused in recent history, adding significantly higher degreesthe Firm's allowance estimate, which has created challenges in the use of uncertainty around modeled credit loss estimations 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 assistance, and the speed and trajectory of the subsequent recovery could significantly affect the Firm’s estimate of expected credit losses irrespective of the estimated sensitivities described below.
To demonstrate the sensitivity of credit loss estimates to macroeconomic forecasts as of September 30, 2020,2021, the 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, the differencecomparison between these two scenarios would result inreflects the following:following differences:
•An increase of approximately $1 billion$350 million for residential real estate loans and lending-related commitments
•An increase of approximately $5$2.6 billion for credit card loans
•An increase of approximately $4$2.1 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 it does not reflect any potential changes in other 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 September 30, 2020.2021.
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.
September 30, 2020
(in billions, except ratios)
Total assets at fair valueTotal level 3 assets
September 30, 2021
(in billions, except ratios)
September 30, 2021
(in billions, except ratios)
Total assets at fair valueTotal level 3 assets
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements$284.8 $— Federal funds sold and securities purchased under resale agreements$273.2 $— 
Securities borrowedSecurities borrowed44.5 — Securities borrowed72.8 — 
Trading assets:Trading assets:Trading assets:
Trading–debt and equity instrumentsTrading–debt and equity instruments$429.2 $3.0 Trading–debt and equity instruments447.9 2.5 
Derivative receivables(a)
Derivative receivables(a)
76.6 8.0 
Derivative receivables(a)
67.9 6.8 
Total trading assetsTotal trading assets505.8 11.0 Total trading assets515.8 9.3 
AFS securitiesAFS securities389.6 — AFS securities251.6 0.1 
LoansLoans38.2 1.8 Loans60.6 2.1 
MSRsMSRs3.0 3.0 MSRs5.4 5.4 
OtherOther342.7 0.6 Other13.7 0.2 
Total assets measured at fair value on a recurring basis
Total assets measured at fair value on a recurring basis
1,279.3 16.4 
Total assets measured at fair value on a recurring basis
1,193.1 17.1 
Total assets measured at fair value on a nonrecurring basisTotal assets measured at fair value on a nonrecurring basis3.5 1.7 Total assets measured at fair value on a nonrecurring basis2.7 1.5 
Total assets measured at fair value
Total assets measured at fair value
$1,282.8 $18.1 
Total assets measured at fair value
$1,195.8 $18.6 
Total Firm assetsTotal Firm assets$3,246.1 Total Firm assets$3,757.6 
Level 3 assets at fair value as a percentage of total Firm assets(a)
Level 3 assets at fair value as a percentage of total Firm assets(a)
0.6 %
Level 3 assets at fair value as a percentage of total Firm assets(a)
0.5 %
Level 3 assets at fair value as a percentage of total Firm assets at fair value(a)
Level 3 assets at fair value as a percentage of total Firm assets at fair value(a)
1.4 %
Level 3 assets at fair value as a percentage of total Firm assets at fair value(a)
1.6 %
(a)For purposes of the table above, the derivative receivables total reflects the impact of netting adjustments; however, the $8.0$6.8 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.

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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
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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 model or other 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,speed, default rates, volatilities, correlations, prices (such as commodity, equity or debt prices,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 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 137154 of JPMorgan Chase’s 20192020 Form 10-K for a description of the significant valuation judgments associated with goodwill impairment.
Refer to Note 1514 for additional information on goodwill, including the goodwill impairment assessment as of September 30, 2020.2021.
Credit card rewards liability
The credit card rewards liability was $7.6$9.4 billion and $6.4$7.7 billion at September 30, 20202021 and December 31, 2019,2020, respectively, and is recorded in accounts payable and other liabilities on the Consolidated balance sheets. The increase in the liability was driven by continued growth in rewards points earned on accelerated spend and promotional offers outpacing redemptions throughout 2021, and to a lesser extent adjustments to redemption rate assumptions. Refer to pages 137-138page 154 of JPMorgan Chase’s 20192020 Form 10-K for a description of the significant assumptions and judgmentssensitivities, associated with the Firm’s credit card rewards liability.
Income taxes
Refer to Income taxes on page 138pages 154-155 of JPMorgan Chase’s 20192020 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 2524 of this Form 10-Q, and Note 30 of JPMorgan Chase’s 20192020 Form 10-K for a description of the significant estimates and judgments associated with establishing litigation reserves.
9088


ACCOUNTING AND REPORTING DEVELOPMENTS
Financial Accounting Standards Board (“FASB”) Standards Adopted since January 1, 20202021
StandardSummary of guidanceEffects on financial statements
Financial Instruments – Credit Losses (“CECL”)Reference Rate

Reform

Issued June 2016March
 • Establishes a single allowance framework for all financial assets measured at amortized cost2020 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.updated January 2021
•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, hedge accounting 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 hedge accounting 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.
•The January 2021 update provides an election to account for derivatives modified to change the rate used for discounting, margining, or contract price alignment (collectively “discounting transition”) as modifications.
•Issued and effective March 12, 2020. The January 7, 2021 update was effective when issued.
•The Firm elected to prospectively apply certain of the practical expedients related to contract modifications and hedge accounting relationships, and discounting transition beginning in the third quarter of 2020. While these elections did not have a material impactThe discounting transition election was applied retrospectively. The main purpose of the practical expedients is to the Consolidated Financial Statements, they ease the administrative burden of accounting for contracts impacted by reference rate reform. These elections did not have a material impact on the Consolidated Financial Statements.

9189


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 the level of inflation;
•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;liquidity;
•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 and diverse 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 cyberattackscyber attacks 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 formForm 10-Q and Part I, Item 1A: Risk Factors in JPMorgan Chase’s 20192020 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 Annual Reports on Form 10-Ks,10-K, Quarterly Reports on Form 10-Qs,10-Q or Current Reports on Form 8-K.
9290



JPMorgan Chase & Co.
Consolidated statements of income (unaudited)
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions, except per share data)(in millions, except per share data)2020201920202019(in millions, except per share data)2021202020212020
RevenueRevenueRevenue
Investment banking feesInvestment banking fees$2,187 $1,967 $6,903 $5,658 Investment banking fees$3,282 $2,187 $9,722 $6,903 
Principal transactionsPrincipal transactions4,142 3,449 14,700 11,239 Principal transactions3,546 4,142 14,122 14,700 
Lending- and deposit-related fees(a)
Lending- and deposit-related fees(a)
1,647 1,671 4,784 4,854 
Lending- and deposit-related fees(a)
1,801 1,647 5,248 4,784 
Asset management, administration and commissions(a)
Asset management, administration and commissions(a)
4,470 4,306 13,276 12,607 
Asset management, administration and commissions(a)
5,257 4,470 15,480 13,276 
Investment securities gains473 78 732 135 
Investment securities gains/(losses)Investment securities gains/(losses)(256)473 (397)732 
Mortgage fees and related incomeMortgage fees and related income1,087 887 2,324 1,562 Mortgage fees and related income600 1,087 1,855 2,324 
Card income(b)
Card income(b)
1,169 1,233 3,138 3,741 
Card income(b)
1,005 1,169 4,002 3,138 
Other income(a)Other income(a)959 1,472 3,157 4,239 Other income(a)1,332 1,067 3,650 3,454 
Noninterest revenueNoninterest revenue16,134 15,063 49,014 44,035 Noninterest revenue16,567 16,242 53,682 49,311 
Interest incomeInterest income14,700 21,121 49,973 64,113 Interest income14,480 14,700 42,845 49,973 
Interest expenseInterest expense1,687 6,893 8,668 21,034 Interest expense1,400 1,687 4,135 8,668 
Net interest incomeNet interest income13,013 14,228 41,305 43,079 Net interest income13,080 13,013 38,710 41,305 
Total net revenueTotal net revenue29,147 29,291 90,319 87,114 Total net revenue29,647 29,255 92,392 90,616 
Provision for credit lossesProvision for credit losses611 1,514 19,369 4,158 Provision for credit losses(1,527)611 (7,968)19,369 
Noninterest expenseNoninterest expenseNoninterest expense
Compensation expenseCompensation expense8,630 8,583 27,034 26,067 Compensation expense9,087 8,630 29,502 27,034 
Occupancy expenseOccupancy expense1,142 1,110 3,288 3,238 Occupancy expense1,109 1,142 3,314 3,288 
Technology, communications and equipment expenseTechnology, communications and equipment expense2,564 2,494 7,732 7,236 Technology, communications and equipment expense2,473 2,564 7,480 7,732 
Professional and outside servicesProfessional and outside services2,178 2,056 6,205 6,307 Professional and outside services2,523 2,178 7,111 6,205 
Marketing(b)
Marketing(b)
470 895 1,751 2,504 
Marketing(b)
712 470 2,089 1,751 
Other expenseOther expense1,891 1,234 4,598 3,624 Other expense1,159 1,891 3,959 4,598 
Total noninterest expenseTotal noninterest expense16,875 16,372 50,608 48,976 Total noninterest expense17,063 16,875 53,455 50,608 
Income before income tax expenseIncome before income tax expense11,661 11,405 20,342 33,980 Income before income tax expense14,111 11,769 46,905 20,639 
Income tax expense(a)Income tax expense(a)2,218 2,325 3,347 6,069 Income tax expense(a)2,424 2,326 8,970 3,644 
Net incomeNet income$9,443 $9,080 $16,995 $27,911 Net income$11,687 $9,443 $37,935 $16,995 
Net income applicable to common stockholdersNet income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 Net income applicable to common stockholders$11,229 $9,015 $36,576 $15,712 
Net income per common share dataNet income per common share dataNet income per common share data
Basic earnings per shareBasic earnings per share$2.93 $2.69 $5.10 $8.17 Basic earnings per share$3.74 $2.93 $12.05 $5.10 
Diluted earnings per shareDiluted earnings per share2.92 2.68 5.09 8.15 Diluted earnings per share3.74 2.92 12.02 5.09 
Weighted-average basic sharesWeighted-average basic shares3,077.8 3,198.5 3,083.3 3,248.7 Weighted-average basic shares2,999.9 3,077.8 3,036.4 3,083.3 
Weighted-average diluted sharesWeighted-average diluted shares3,082.8 3,207.2 3,088.1 3,258.0 Weighted-average diluted shares3,005.1 3,082.8 3,041.7 3,088.1 
(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 Refer 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.Note 1 for further information.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.






93
91


JPMorgan Chase & Co.
Consolidated statements of comprehensive income (unaudited)
Three months ended
September 30,		Nine months ended
September 30,		Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Net incomeNet income$9,443 $9,080 $16,995 $27,911 Net income$11,687 $9,443 $37,935 $16,995 
Other comprehensive income/(loss), after–taxOther comprehensive income/(loss), after–taxOther comprehensive income/(loss), after–tax
Unrealized gains/(losses) on investment securitiesUnrealized gains/(losses) on investment securities514 479 4,377 2,986 Unrealized gains/(losses) on investment securities(434)514 (4,099)4,377 
Translation adjustments, net of hedgesTranslation adjustments, net of hedges127 (165)(61)(90)Translation adjustments, net of hedges(187)127 (373)(61)
Fair value hedgesFair value hedges(69)(1)35 87 Fair value hedges9 (69)(42)35 
Cash flow hedgesCash flow hedges(70)195 2,629 430 Cash flow hedges(450)(70)(2,108)2,629 
Defined benefit pension and OPEB plansDefined benefit pension and OPEB plans(12)46 14 123 Defined benefit pension and OPEB plans6 (12)83 14 
DVA on fair value option elected liabilitiesDVA on fair value option elected liabilities(339)132 377 (229)DVA on fair value option elected liabilities(551)(339)(484)377 
Total other comprehensive income/(loss), after–taxTotal other comprehensive income/(loss), after–tax151 686 7,371 3,307 Total other comprehensive income/(loss), after–tax(1,607)151 (7,023)7,371 
Comprehensive incomeComprehensive income$9,594 $9,766 $24,366 $31,218 Comprehensive income$10,080 $9,594 $30,912 $24,366 
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.

9492


JPMorgan Chase & Co.
Consolidated balance sheets (unaudited)
(in millions, except share data)September 30, 2020December 31, 2019
Assets
Cash and due from banks$20,816 $21,704 
Deposits with banks466,706 241,927 
Federal funds sold and securities purchased under resale agreements (included $284,763 and $14,561 at fair value)
319,849 249,157 
Securities borrowed (included $44,493 and $6,237 at fair value)
142,441 139,758 
Trading assets (included assets pledged of $152,341 and $111,522)(a)
505,822 369,687 
Available-for-sale securities (amortized cost of $382,099 and $345,306; included assets pledged of $34,285 and $10,325)
389,583 350,699 
Held-to-maturity securities (net of allowance for credit losses of $120)
141,553 47,540 
Investment securities, net of allowance for credit losses531,136 398,239 
Loans (included $38,220 and $44,955 at fair value)(a)
989,740 997,620 
Allowance for loan losses(30,814)(13,123)
Loans, net of allowance for loan losses958,926 984,497 
Accrued interest and accounts receivable76,945 72,861 
Premises and equipment26,672 25,813 
Goodwill, MSRs and other intangible assets51,594 53,341 
Other assets (included $14,088 and $12,676 at fair value and assets pledged of $3,227 and $3,349)(a)
145,169 130,395 
Total assets(b)
$3,246,076 $2,687,379 
Liabilities
Deposits (included $19,314 and $28,589 at fair value)
$2,001,416 $1,562,431 
Federal funds purchased and securities loaned or sold under repurchase agreements (included $180,904 and $549 at fair value)
236,440 183,675 
Short-term borrowings (included $19,029 and $5,920 at fair value)
41,992 40,920 
Trading liabilities162,493 119,277 
Accounts payable and other liabilities (included $3,297 and $3,728 at fair value)
234,256 210,407 
Beneficial interests issued by consolidated VIEs (included $39 and $36 at fair value)
19,191 17,841 
Long-term debt (included $72,986 and $75,745 at fair value)
279,175 291,498 
Total liabilities(b)
2,974,963 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 
Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares)
4,105 4,105 
Additional paid-in capital88,289 88,522 
Retained earnings228,014 223,211 
Accumulated other comprehensive income/(loss)8,940 1,569 
Shares held in restricted stock units (“RSU”) Trust, at cost (236,476 and 472,953 shares)
(11)(21)
Treasury stock, at cost (1,056,730,832 and 1,020,912,567 shares)
(88,287)(83,049)
Total stockholders’ equity271,113 261,330 
Total liabilities and stockholders’ equity$3,246,076 $2,687,379 
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
(in millions, except share data)September 30, 2021December 31, 2020
Assets
Cash and due from banks$25,857 $24,874 
Deposits with banks734,012 502,735 
Federal funds sold and securities purchased under resale agreements (included $273,158 and $238,015 at fair value)
282,161 296,284 
Securities borrowed (included $72,833 and $52,983 at fair value)
202,987 160,635 
Trading assets (included assets pledged of $104,047 and $130,645)
515,901 503,126 
Available-for-sale securities (amortized cost of $249,733 and $381,729, net of allowance for credit losses; included assets pledged of $13,621 and $32,227)
251,590 388,178 
Held-to-maturity securities (net of allowance for credit losses)343,542 201,821 
Investment securities, net of allowance for credit losses595,132 589,999 
Loans (included $60,628 and $44,474 at fair value)
1,044,615 1,012,853 
Allowance for loan losses(18,150)(28,328)
Loans, net of allowance for loan losses1,026,465 984,525 
Accrued interest and accounts receivable116,395 90,503 
Premises and equipment26,996 27,109 
Goodwill, MSRs and other intangible assets56,566 53,428 
Other assets(a) (included $14,471 and $13,827 at fair value and assets pledged of $4,740 and $3,739)
175,104 151,539 
Total assets(b)
$3,757,576 $3,384,757 
Liabilities
Deposits (included $11,808 and $14,484 at fair value)
$2,402,353 $2,144,257 
Federal funds purchased and securities loaned or sold under repurchase agreements (included $187,439 and $155,735 at fair value)
254,920 215,209 
Short-term borrowings (included $20,033 and $16,893 at fair value)
50,393 45,208 
Trading liabilities179,543 170,181 
Accounts payable and other liabilities(a) (included $5,340 and $3,476 at fair value)
268,604 231,285 
Beneficial interests issued by consolidated VIEs (included $99 and $41 at fair value)
13,257 17,578 
Long-term debt (included $76,499 and $76,817 at fair value)
298,465 281,685 
Total liabilities(b)
3,467,535 3,105,403 
Commitments and contingencies (refer to Notes 22, 23 and 24)00
Stockholders’ equity
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 3,483,750 and 3,006,250 shares)
34,838 30,063 
Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares)
4,105 4,105 
Additional paid-in capital88,357 88,394 
Retained earnings265,276 236,990 
Accumulated other comprehensive income963 7,986 
Treasury stock, at cost (1,149,667,834 and 1,055,499,435 shares)
(103,498)(88,184)
Total stockholders’ equity290,041 279,354 
Total liabilities and stockholders’ equity$3,757,576 $3,384,757 
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
(b) The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at September 30, 2020,2021, and December 31, 2019.2020. 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 1413 for a further discussion.
(in millions)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
AssetsAssetsAssets
Trading assetsTrading assets$2,467 $2,633 Trading assets$2,011 $1,934 
LoansLoans36,974 42,931 Loans35,352 37,619 
All other assetsAll other assets744 881 All other assets516 681 
Total assetsTotal assets$40,185 $46,445 Total assets$37,879 $40,234 
LiabilitiesLiabilitiesLiabilities
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs$19,191 $17,841 Beneficial interests issued by consolidated VIEs$13,257 $17,578 
All other liabilitiesAll other liabilities236 447 All other liabilities234 233 
Total liabilitiesTotal liabilities$19,427 $18,288 Total liabilities$13,491 $17,811 
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
9593


JPMorgan Chase & Co.
Consolidated statements of changes in stockholders’ equity (unaudited)
Three months ended September 30,Nine months ended September 30,
(in millions, except per share data)2020201920202019
Preferred stock
Balance at the beginning of the period$30,063 $26,993 $26,993 $26,068 
Issuance0 2,250 4,500 4,100 
Redemption0 (880)(1,430)(1,805)
Balance at September 3030,063 28,363 30,063 28,363 
Common stock
Balance at the beginning and end of the period4,105 4,105 4,105 4,105 
Additional paid-in capital
Balance at the beginning of the period88,125 88,359 88,522 89,162 
Shares issued and commitments to issue common stock for employee shared-based compensation awards, and related tax effects215 156 (177)(604)
Other(51)(3)(56)(46)
Balance at September 3088,289 88,512 88,289 88,512 
Retained earnings
Balance at the beginning of the period221,732 212,093 223,211 199,202 
Cumulative effect of changes in accounting principle— — (2,650)62 
Net income9,443 9,080 16,995 27,911 
Dividends declared:
Preferred stock(381)(423)(1,203)(1,201)
Common stock ($0.90 and $0.90 per share and $2.70 and $2.50 per share, respectively)
(2,780)(2,862)(8,339)(8,086)
Balance at September 30228,014 217,888 228,014 217,888 
Accumulated other comprehensive income/(loss)
Balance at the beginning of the period8,789 1,114 1,569 (1,507)
Other comprehensive income/(loss), after-tax151 686 7,371 3,307 
Balance at September 308,940 1,800 8,940 1,800 
Shares held in RSU Trust, at cost
Balance at the beginning of the period(11)(21)(21)(21)
Liquidation of RSU Trust0 0 10 0 
Balance at September 30(11)(21)(11)(21)
Treasury stock, at cost
Balance at the beginning of the period(88,337)(69,428)(83,049)(60,494)
Repurchase0 (6,949)(6,397)(17,250)
Reissuance50 78 1,159 1,445 
Balance at September 30(88,287)(76,299)(88,287)(76,299)
Total stockholders’ equity$271,113 $264,348 $271,113 $264,348 
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Three months ended September 30,Nine months ended September 30,
(in millions, except per share data)2021202020212020
Preferred stock
Balance at the beginning of the period$32,838 $30,063 $30,063 $26,993 
Issuance2,000 — 7,350 4,500 
Redemption— — (2,575)(1,430)
Balance at September 3034,838 30,063 34,838 30,063 
Common stock
Balance at the beginning and end of the period4,105 4,105 4,105 4,105 
Additional paid-in capital
Balance at the beginning of the period88,194 88,125 88,394 88,522 
Shares issued and commitments to issue common stock for employee share-based compensation awards, and related tax effects227 215 93 (177)
Other(64)(51)(130)(56)
Balance at September 3088,357 88,289 88,357 88,289 
Retained earnings
Balance at the beginning of the period256,983 221,732 236,990 223,211 
Cumulative effect of change in accounting principles— — — (2,650)
Net income11,687 9,443 37,935 16,995 
Dividends declared:
Preferred stock(402)(381)(1,174)(1,203)
Common stock ($1.00 and $0.90 per share and $2.80 and $2.70 per share, respectively)
(2,992)(2,780)(8,475)(8,339)
Balance at September 30265,276 228,014 265,276 228,014 
Accumulated other comprehensive income/(loss)
Balance at the beginning of the period2,570 8,789 7,986 1,569 
Other comprehensive income/(loss), after-tax(1,607)151 (7,023)7,371 
Balance at September 30963 8,940 963 8,940 
Shares held in Restricted Stock Units ("RSU") Trust, at cost
Balance at the beginning of the period— (11)— (21)
Liquidation of RSU Trust— — — 10 
Balance at September 30— (11)— (11)
Treasury stock, at cost
Balance at the beginning of the period(98,304)(88,337)(88,184)(83,049)
Repurchase(5,240)— (16,440)(6,397)
Reissuance46 50 1,126 1,159 
Balance at September 30(103,498)(88,287)(103,498)(88,287)
Total stockholders’ equity$290,041 $271,113 $290,041 $271,113 
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
9694


JPMorgan Chase & Co.
Consolidated statements of cash flows (unaudited)
Nine months ended September 30,Nine months ended September 30,
(in millions)(in millions)20202019(in millions)20212020
Operating activitiesOperating activitiesOperating activities
Net incomeNet income$16,995 $27,911 Net income$37,935 $16,995 
Adjustments to reconcile net income to net cash used in operating activities:Adjustments to reconcile net income to net cash used in operating activities:Adjustments to reconcile net income to net cash used in operating activities:
Provision for credit lossesProvision for credit losses19,369 4,158 Provision for credit losses(7,968)19,369 
Depreciation and amortizationDepreciation and amortization6,487 6,229 Depreciation and amortization6,001 6,487 
Deferred tax (benefit)/expense(a)Deferred tax (benefit)/expense(a)(5,436)(440)Deferred tax (benefit)/expense(a)(1,063)(5,139)
OtherOther1,245 1,645 Other2,662 1,245 
Originations and purchases of loans held-for-sale(a)
Originations and purchases of loans held-for-sale(a)
(112,142)(119,583)
Originations and purchases of loans held-for-sale(a)
(259,159)(112,142)
Proceeds from sales, securitizations and paydowns of loans held-for-sale(a)
Proceeds from sales, securitizations and paydowns of loans held-for-sale(a)
120,786 122,208 
Proceeds from sales, securitizations and paydowns of loans held-for-sale(a)
244,966 120,786 
Net change in:Net change in:Net change in:
Trading assets(a)
Trading assets(a)
(145,124)(92,041)
Trading assets(a)
2,700 (145,124)
Securities borrowedSecurities borrowed(2,509)(26,162)Securities borrowed(42,471)(2,509)
Accrued interest and accounts receivableAccrued interest and accounts receivable(4,398)(16,089)Accrued interest and accounts receivable(26,148)(4,398)
Other assets(a)
Other assets(a)
(28,548)(21,023)
Other assets(a)
(358)(28,732)
Trading liabilitiesTrading liabilities63,516 12,774 Trading liabilities(10,668)63,516 
Accounts payable and other liabilities(a)Accounts payable and other liabilities(a)16,608 19,661 Accounts payable and other liabilities(a)47,547 16,495 
Other operating adjustments(a)
Other operating adjustments(a)
1,293 2,033 
Other operating adjustments(a)
(987)1,293 
Net cash (used in) operating activitiesNet cash (used in) operating activities(51,858)(78,719)Net cash (used in) operating activities(7,011)(51,858)
Investing activitiesInvesting activitiesInvesting activities
Net change in:Net change in:Net change in:
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements(70,597)64,207 Federal funds sold and securities purchased under resale agreements14,089 (70,597)
Held-to-maturity securities:Held-to-maturity securities:Held-to-maturity securities:
Proceeds from paydowns and maturitiesProceeds from paydowns and maturities11,498 2,239 Proceeds from paydowns and maturities39,106 11,498 
PurchasesPurchases(5,528)(11,682)Purchases(78,976)(5,528)
Available-for-sale securities:Available-for-sale securities:Available-for-sale securities:
Proceeds from paydowns and maturitiesProceeds from paydowns and maturities43,709 41,378 Proceeds from paydowns and maturities39,346 43,709 
Proceeds from salesProceeds from sales110,354 43,460 Proceeds from sales146,858 110,354 
PurchasesPurchases(281,147)(200,262)Purchases(163,211)(281,147)
Proceeds from sales and securitizations of loans held-for-investmentProceeds from sales and securitizations of loans held-for-investment18,509 52,739 Proceeds from sales and securitizations of loans held-for-investment25,981 18,509 
Other changes in loans, net(a)
Other changes in loans, net(a)
(21,606)(24,297)
Other changes in loans, net(a)
(45,028)(21,606)
All other investing activities, netAll other investing activities, net(3,398)(4,283)All other investing activities, net(7,351)(3,398)
Net cash (used in) investing activitiesNet cash (used in) investing activities(198,206)(36,501)Net cash (used in) investing activities(29,186)(198,206)
Financing activitiesFinancing activitiesFinancing activities
Net change in:Net change in:Net change in:
DepositsDeposits452,454 77,147 Deposits234,716 452,454 
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements52,745 65,428 Federal funds purchased and securities loaned or sold under repurchase agreements39,753 52,745 
Short-term borrowingsShort-term borrowings1,945 (20,577)Short-term borrowings4,710 1,945 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs2,838 5,017 Beneficial interests issued by consolidated VIEs(1,839)2,838 
Proceeds from long-term borrowingsProceeds from long-term borrowings64,243 45,155 Proceeds from long-term borrowings69,272 64,243 
Payments of long-term borrowingsPayments of long-term borrowings(90,481)(51,936)Payments of long-term borrowings(46,041)(90,481)
Proceeds from issuance of preferred stockProceeds from issuance of preferred stock4,500 4,100 Proceeds from issuance of preferred stock7,350 4,500 
Redemption of preferred stockRedemption of preferred stock(1,430)(1,805)Redemption of preferred stock(2,575)(1,430)
Treasury stock repurchasedTreasury stock repurchased(6,517)(17,250)Treasury stock repurchased(16,286)(6,517)
Dividends paidDividends paid(9,551)(9,056)Dividends paid(9,472)(9,551)
All other financing activities, netAll other financing activities, net(59)(217)All other financing activities, net(1,573)(59)
Net cash provided by financing activitiesNet cash provided by financing activities470,687 96,006 Net cash provided by financing activities278,015 470,687 
Effect of exchange rate changes on cash and due from banks and deposits with banksEffect of exchange rate changes on cash and due from banks and deposits with banks3,268 (2,982)Effect of exchange rate changes on cash and due from banks and deposits with banks(9,558)3,268 
Net increase/(decrease) in cash and due from banks and deposits with banks223,891 (22,196)
Net increase in cash and due from banks and deposits with banksNet increase in cash and due from banks and deposits with banks232,260 223,891 
Cash and due from banks and deposits with banks at the beginning of the periodCash and due from banks and deposits with banks at the beginning of the period263,631 278,793 Cash and due from banks and deposits with banks at the beginning of the period527,609 263,631 
Cash and due from banks and deposits with banks at the end of the periodCash and due from banks and deposits with banks at the end of the period$487,522 $256,597 Cash and due from banks and deposits with banks at the end of the period$759,869 $487,522 
Cash interest paidCash interest paid$11,576 $20,790 Cash interest paid$3,882 $11,576 
Cash income taxes paid, net(a)Cash income taxes paid, net(a)6,124 3,478 Cash income taxes paid, net(a)17,617 6,523 
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information on the revisions to the operating activities.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
9795


Refer to the Glossary of Terms and Acronyms on pages 192-200185-193 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”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 institutionsbased 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 2625 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 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 20192020 Form 10-K.
Certain amounts reported in prior periods have been reclassified to conform with the current presentation.presentation, including certain deferred investment tax credits. In the first quarter of 2021 the Firm reclassified certain deferred investment tax credits from accounts payable and other liabilities to other assets to be a reduction to the carrying value of the associated tax-oriented investments. The reclassification also resulted in an increase in income tax expense and a corresponding increase in other income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation, including the Firm’s effective income tax rate. The reclassification did not change the Firm’s results of operations on a managed basis.
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 20192020 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 20192020 Form 10-K for further information on offsetting assets and liabilities.
98


Accounting standard adopted January 1, 2020
Financial Instruments – Credit Losses (“CECL”)Income tax expense
The adoptionFirm’s effective tax rate was 17.2% and 19.1% for the three and nine months ended September 30, 2021, respectively, and 19.8% and 17.7% for the three and nine months ended September 30, 2020, respectively. The effective tax rate for the three and nine months ended September 30, 2021 reflects the recognition of this guidance establishedan income tax benefit of $566 million related to finalizing the Firm’s 2020 U.S. federal tax return, which reduced the Firm’s effective tax rate by 4.0% and 1.2% respectively. The tax benefit included state and local impacts of federal tax method changes and a singlereduction in the valuation 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.U.S. foreign tax credits. Refer to Note 13 for further information.
The following table presents the impacts to the allowance for credit losses and retained earnings upon adoption25 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 impact3.5 
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 when 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 portfolio segment, to align with the methodology applied when 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, 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 2019JPMorgan Chase’s 2020 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 (issued as final on August 26, 2020) that provided 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”). Refer to Note 22 for further information.
9996


Note 2 – Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 20192020 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.

10097


The following table presents the assets and liabilities reported at fair value as of September 30, 2020,2021, and December 31, 2019,2020, 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 basisAssets and liabilities measured at fair value on a recurring basis
Fair value hierarchy
Derivative
netting
adjustments(g)
Fair value hierarchy
Derivative
netting
adjustments(f)
September 30, 2020 (in millions)Level 1Level 2Level 3Total fair value
September 30, 2021 (in millions)September 30, 2021 (in millions)Level 1Level 2Level 3
Derivative
netting
adjustments(f)
Total fair value
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements$0 $284,763 $0 $— $284,763 Federal funds sold and securities purchased under resale agreements$— $273,158 $— $273,158 
Securities borrowedSecurities borrowed0 44,493 0 — 44,493 Securities borrowed— 72,833 — 72,833 
Trading assets:Trading assets:Trading assets:
Debt instruments:Debt instruments:Debt instruments:
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
U.S. GSEs and government agencies(a)
U.S. GSEs and government agencies(a)
0 73,116 507 — 73,623 
U.S. GSEs and government agencies(a)
— 35,746 299 — 36,045 
Residential – nonagencyResidential – nonagency0 2,459 25 — 2,484 Residential – nonagency— 2,281 24 — 2,305 
Commercial – nonagencyCommercial – nonagency0 1,270 2 — 1,272 Commercial – nonagency— 1,662 19 — 1,681 
Total mortgage-backed securitiesTotal mortgage-backed securities0 76,845 534 — 77,379 Total mortgage-backed securities— 39,689 342 — 40,031 
U.S. Treasury, GSEs and government agencies(a)
U.S. Treasury, GSEs and government agencies(a)
94,565 12,020 0 — 106,585 
U.S. Treasury, GSEs and government agencies(a)
87,623 9,282 — — 96,905 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities0 7,485 8 — 7,493 Obligations of U.S. states and municipalities— 6,735 7 — 6,742 
Certificates of deposit, bankers’ acceptances and commercial paperCertificates of deposit, bankers’ acceptances and commercial paper0 2,020 0 — 2,020 Certificates of deposit, bankers’ acceptances and commercial paper— 2,567 — — 2,567 
Non-U.S. government debt securitiesNon-U.S. government debt securities32,221 40,926 165 — 73,312 Non-U.S. government debt securities41,486 48,345 104 — 89,935 
Corporate debt securitiesCorporate debt securities0 21,545 649 — 22,194 Corporate debt securities— 31,472 370 — 31,842 
Loans(b)
Loans(b)
0 5,548 730 — 6,278 
Loans(b)
— 6,359 982 — 7,341 
Asset-backed securitiesAsset-backed securities0 2,416 33 — 2,449 Asset-backed securities— 2,569 28 — 2,597 
Total debt instrumentsTotal debt instruments126,786 168,805 2,119 — 297,710 Total debt instruments129,109 147,018 1,833 — 277,960 
Equity securitiesEquity securities106,856 242 186 — 107,284 Equity securities124,349 1,658 634 — 126,641 
Physical commodities(c)(b)
Physical commodities(c)(b)
5,511 4,307 0 — 9,818 
Physical commodities(c)(b)
6,471 12,887 — — 19,358 
OtherOther0 13,679 653 — 14,332 Other— 23,920 58 — 23,978 
Total debt and equity instruments(d)(c)
Total debt and equity instruments(d)(c)
239,153 187,033 2,958 — 429,144 
Total debt and equity instruments(d)(c)
259,929 185,483 2,525 — 447,937 
Derivative receivables:Derivative receivables:Derivative receivables:
Interest rateInterest rate1,569 394,734 2,176 (361,421)37,058 Interest rate1,931 281,315 1,863 (260,343)24,766 
CreditCredit0 14,381 763 (13,751)1,393 Credit— 10,032 492 (9,349)1,175 
Foreign exchangeForeign exchange180 154,535 773 (144,060)11,428 Foreign exchange235 162,182 779 (148,671)14,525 
EquityEquity0 69,452 4,083 (54,599)18,936 Equity— 71,346 3,076 (63,930)10,492 
CommodityCommodity0 22,048 208 (14,445)7,811 Commodity— 35,781 534 (19,365)16,950 
Total derivative receivablesTotal derivative receivables1,749 655,150 8,003 (588,276)76,626 Total derivative receivables2,166 560,656 6,744 (501,658)67,908 
Total trading assets(e)(d)
Total trading assets(e)(d)
240,902 842,183 10,961 (588,276)505,770 
Total trading assets(e)(d)
262,095 746,139 9,269 (501,658)515,845 
Available-for-sale securities:Available-for-sale securities:Available-for-sale securities:
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
U.S. GSEs and government agencies(a)
U.S. GSEs and government agencies(a)
5 99,589 0 — 99,594 
U.S. GSEs and government agencies(a)
— 73,049 — — 73,049 
Residential – nonagencyResidential – nonagency0 11,423 0 — 11,423 Residential – nonagency— 6,373 — — 6,373 
Commercial – nonagencyCommercial – nonagency0 2,936 0 — 2,936 Commercial – nonagency— 3,132 — — 3,132 
Total mortgage-backed securitiesTotal mortgage-backed securities5 113,948 0 — 113,953 Total mortgage-backed securities— 82,554 — — 82,554 
U.S. Treasury and government agenciesU.S. Treasury and government agencies216,579 0 0 — 216,579 U.S. Treasury and government agencies121,471 — — — 121,471 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities0 20,883 0 — 20,883 Obligations of U.S. states and municipalities— 17,515 — — 17,515 
Certificates of deposit0 0 0 — 0 
Non-U.S. government debt securitiesNon-U.S. government debt securities11,905 9,132 0 — 21,037 Non-U.S. government debt securities5,457 10,368 — — 15,825 
Corporate debt securitiesCorporate debt securities0 271 0 — 271 Corporate debt securities— 165 95 — 260 
Asset-backed securities:Asset-backed securities:Asset-backed securities:
Collateralized loan obligationsCollateralized loan obligations0 10,202 0 — 10,202 Collateralized loan obligations— 9,137 — — 9,137 
OtherOther0 6,658 0 — 6,658 Other— 4,828 — — 4,828 
Total available-for-sale securitiesTotal available-for-sale securities228,489 161,094 0 — 389,583 Total available-for-sale securities126,928 124,567 95 — 251,590 
Loans (f)(e)
Loans (f)(e)
0 36,414 1,806 — 38,220 
Loans (f)(e)
— 58,557 2,071 — 60,628 
Mortgage servicing rightsMortgage servicing rights0 0 3,016 — 3,016 Mortgage servicing rights— — 5,351 — 5,351 
Other assets(e)(d)
Other assets(e)(d)
7,676 5,145 658 — 13,479 
Other assets(e)(d)
9,332 4,061 321 — 13,714 
Total assets measured at fair value on a recurring basisTotal assets measured at fair value on a recurring basis$477,067 $1,374,092 $16,441 $(588,276)$1,279,324 Total assets measured at fair value on a recurring basis$398,355 $1,279,315 $17,107 $(501,658)$1,193,119 
DepositsDeposits$0 $16,258 $3,056 $— $19,314 Deposits$— $9,431 $2,377 $— $11,808 
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements0 180,904 0 — 180,904 Federal funds purchased and securities loaned or sold under repurchase agreements— 187,439 — — 187,439 
Short-term borrowingsShort-term borrowings0 16,421 2,608 — 19,029 Short-term borrowings— 17,622 2,411 — 20,033 
Trading liabilities:Trading liabilities:Trading liabilities:
Debt and equity instruments(d)(c)
Debt and equity instruments(d)(c)
85,147 19,631 57 — 104,835 
Debt and equity instruments(d)(c)
98,932 27,096 30 — 126,058 
Derivative payables:Derivative payables:Derivative payables:
Interest rateInterest rate1,352 355,857 2,148 (346,886)12,471 Interest rate1,661 248,655 1,976 (243,460)8,832 
CreditCredit0 15,605 812 (14,175)2,242 Credit— 11,301 498 (10,406)1,393 
Foreign exchangeForeign exchange180 163,589 1,449 (149,705)15,513 Foreign exchange248 160,511 1,336 (148,090)14,005 
EquityEquity0 66,746 7,186 (54,576)19,356 Equity— 79,924 6,913 (69,063)17,774 
CommodityCommodity0 22,019 829 (14,772)8,076 Commodity— 33,037 1,406 (22,962)11,481 
Total derivative payablesTotal derivative payables1,532 623,816 12,424 (580,114)57,658 Total derivative payables1,909 533,428 12,129 (493,981)53,485 
Total trading liabilitiesTotal trading liabilities86,679 643,447 12,481 (580,114)162,493 Total trading liabilities100,841 560,524 12,159 (493,981)179,543 
Accounts payable and other liabilitiesAccounts payable and other liabilities2,945 308 44 — 3,297 Accounts payable and other liabilities4,957 332 51 — 5,340 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs0 39 0 — 39 Beneficial interests issued by consolidated VIEs— 99 — — 99 
Long-term debtLong-term debt0 50,770 22,216 — 72,986 Long-term debt— 52,985 23,514 — 76,499 
Total liabilities measured at fair value on a recurring basisTotal liabilities measured at fair value on a recurring basis$89,624 $908,147 $40,405 $(580,114)$458,062 Total liabilities measured at fair value on a recurring basis$105,798 $828,432 $40,512 $(493,981)$480,761 
10198


Fair value hierarchy
Derivative
netting
adjustments(g)
Fair value hierarchy
Derivative
netting
adjustments(f)
December 31, 2019 (in millions)Level 1Level 2Level 3Total fair value
December 31, 2020 (in millions)December 31, 2020 (in millions)Level 1Level 2Level 3
Derivative
netting
adjustments(f)
Total fair value
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements$0 $14,561 $0 $— $14,561 Federal funds sold and securities purchased under resale agreements$— $238,015 $— $238,015 
Securities borrowedSecurities borrowed0 6,237 0 — 6,237 Securities borrowed— 52,983 — 52,983 
Trading assets:Trading assets:Trading assets:
Debt instruments:Debt instruments:Debt instruments:
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
U.S. GSEs and government agencies(a)
U.S. GSEs and government agencies(a)
0 44,510 797 — 45,307 
U.S. GSEs and government agencies(a)
— 68,395 449 — 68,844 
Residential – nonagencyResidential – nonagency0 1,977 23 — 2,000 Residential – nonagency— 2,138 28 — 2,166 
Commercial – nonagencyCommercial – nonagency0 1,486 4 — 1,490 Commercial – nonagency— 1,327 3 — 1,330 
Total mortgage-backed securitiesTotal mortgage-backed securities0 47,973 824 — 48,797 Total mortgage-backed securities— 71,860 480 — 72,340 
U.S. Treasury, GSEs and government agencies(a)
U.S. Treasury, GSEs and government agencies(a)
78,289 10,295 0 — 88,584 
U.S. Treasury, GSEs and government agencies(a)
104,263 10,996 — — 115,259 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities0 6,468 10 — 6,478 Obligations of U.S. states and municipalities— 7,184 8 — 7,192 
Certificates of deposit, bankers’ acceptances and commercial paperCertificates of deposit, bankers’ acceptances and commercial paper0 252 0 — 252 Certificates of deposit, bankers’ acceptances and commercial paper— 1,230 — — 1,230 
Non-U.S. government debt securitiesNon-U.S. government debt securities26,600 27,169 155 — 53,924 Non-U.S. government debt securities26,772 40,671 182 — 67,625 
Corporate debt securitiesCorporate debt securities0 17,956 558 — 18,514 Corporate debt securities— 21,017 507 — 21,524 
Loans(b)
Loans(b)
0 6,340 673 — 7,013 
Loans(b)
— 6,101 893 — 6,994 
Asset-backed securitiesAsset-backed securities0 2,593 37 — 2,630 Asset-backed securities— 2,304 28 — 2,332 
Total debt instrumentsTotal debt instruments104,889 119,046 2,257 — 226,192 Total debt instruments131,035 161,363 2,098 — 294,496 
Equity securitiesEquity securities71,890 244 196 — 72,330 Equity securities97,035 2,652 476 (g)— 100,163 
Physical commodities(c)(b)
Physical commodities(c)(b)
3,638 3,579 0 — 7,217 
Physical commodities(c)(b)
6,382 5,189 — — 11,571 
OtherOther0 13,896 232 — 14,128 Other— 21,351 (g)49 (g)— 21,400 
Total debt and equity instruments(d)(c)
Total debt and equity instruments(d)(c)
180,417 136,765 2,685 — 319,867 
Total debt and equity instruments(d)(c)
234,452 190,555 2,623 — 427,630 
Derivative receivables:Derivative receivables:Derivative receivables:
Interest rate721 311,173 

1,400 (285,873)27,421 
Credit0 14,252 624 (14,175)701 
Interest rate(g)
Interest rate(g)
2,318 387,023 

2,307 (355,923)35,725 
Credit(g)
Credit(g)
— 12,721 624 (12,665)680 
Foreign exchangeForeign exchange117 137,938 

432 (129,482)9,005 Foreign exchange146 205,127 

987 (190,479)15,781 
EquityEquity0 43,642 

2,085 (39,250)6,477 Equity— 67,093 (g)3,519 (54,125)16,487 
CommodityCommodity0 17,058 184 (11,080)6,162 Commodity— 21,272 231 (14,732)6,771 
Total derivative receivablesTotal derivative receivables838 524,063 

4,725 (479,860)49,766 Total derivative receivables2,464 693,236 

7,668 (627,924)75,444 
Total trading assets(e)(d)
Total trading assets(e)(d)
181,255 660,828 

7,410 (479,860)369,633 
Total trading assets(e)(d)
236,916 883,791 

10,291 (627,924)503,074 
Available-for-sale securities:Available-for-sale securities:Available-for-sale securities:
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
U.S. GSEs and government agencies(a)(g)
U.S. GSEs and government agencies(a)(g)
0 110,117 0 — 110,117 
U.S. GSEs and government agencies(a)(g)
7 113,294 — — 113,301 
Residential – nonagencyResidential – nonagency0 12,989 1 — 12,990 Residential – nonagency— 10,233 — — 10,233 
Commercial – nonagencyCommercial – nonagency0 5,188 0 — 5,188 Commercial – nonagency— 2,856 — — 2,856 
Total mortgage-backed securitiesTotal mortgage-backed securities0 128,294 1 — 128,295 Total mortgage-backed securities7 126,383 — — 126,390 
U.S. Treasury and government agenciesU.S. Treasury and government agencies139,436 0 0 — 139,436 U.S. Treasury and government agencies201,951 — — — 201,951 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities0 29,810 0 — 29,810 Obligations of U.S. states and municipalities— 20,396 — — 20,396 
Certificates of deposit0 77 0 — 77 
Non-U.S. government debt securitiesNon-U.S. government debt securities12,966 8,821 0 — 21,787 Non-U.S. government debt securities13,135 9,793 — — 22,928 
Corporate debt securitiesCorporate debt securities0 845 0 — 845 Corporate debt securities— 216 — — 216 
Asset-backed securities:Asset-backed securities:Asset-backed securities:
Collateralized loan obligationsCollateralized loan obligations0 24,991 0 — 24,991 Collateralized loan obligations— 10,048 — — 10,048 
OtherOther0 5,458 0 — 5,458 Other— 6,249 — — 6,249 
Total available-for-sale securitiesTotal available-for-sale securities152,402 198,296 1 — 350,699 Total available-for-sale securities215,093 173,085 — — 388,178 
Loans(f)(e)
Loans(f)(e)
0 44,439 516 — 44,955 
Loans(f)(e)
— 42,169 2,305 — 44,474 
Mortgage servicing rightsMortgage servicing rights0 0 4,699 — 4,699 Mortgage servicing rights— — 3,276 — 3,276 
Other assets(e)(d)
Other assets(e)(d)
7,305 3,824 917 — 12,046 
Other assets(e)(d)
8,110 4,561 538 — 13,209 
Total assets measured at fair value on a recurring basisTotal assets measured at fair value on a recurring basis$340,962 $928,185 

$13,543 

$(479,860)$802,830 Total assets measured at fair value on a recurring basis$460,119 $1,394,604 

$16,410 

$(627,924)$1,243,209 
DepositsDeposits$0 $25,229 $3,360 $— $28,589 Deposits$— $11,571 $2,913 $— $14,484 
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements0 549 0 — 549 Federal funds purchased and securities loaned or sold under repurchase agreements— 155,735 — — 155,735 
Short-term borrowingsShort-term borrowings0 4,246 1,674 — 5,920 Short-term borrowings— 14,473 2,420 — 16,893 
Trading liabilities:Trading liabilities:Trading liabilities:
Debt and equity instruments(d)(c)
Debt and equity instruments(d)(c)
59,047 16,481 41 — 75,569 
Debt and equity instruments(d)(c)
82,669 16,838 51 — 99,558 
Derivative payables:Derivative payables:Derivative payables:
Interest rate795 276,746 

1,732 (270,670)8,603 
Credit0 14,358 

763 (13,469)1,652 
Interest rate(g)
Interest rate(g)
2,496 349,442 

2,049 (340,975)13,012 
Credit(g)
Credit(g)
— 13,984 

848 (12,837)1,995 
Foreign exchangeForeign exchange109 143,960 

1,039 (131,950)13,158 Foreign exchange132 214,373 

1,421 (194,493)21,433 
EquityEquity0 47,261 

5,480 (40,204)12,537 Equity— 74,032 

7,381 (55,515)25,898 
CommodityCommodity0 19,685 

200 (12,127)7,758 Commodity— 21,767 

962 (14,444)8,285 
Total derivative payablesTotal derivative payables904 502,010 

9,214 (468,420)43,708 Total derivative payables2,628 673,598 

12,661 (618,264)70,623 
Total trading liabilitiesTotal trading liabilities59,951 518,491 

9,255 (468,420)119,277 Total trading liabilities85,297 690,436 

12,712 (618,264)170,181 
Accounts payable and other liabilitiesAccounts payable and other liabilities3,231 452 

45 — 3,728 Accounts payable and other liabilities2,895 513 

68 — 3,476 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs0 36 

0 — 36 Beneficial interests issued by consolidated VIEs— 41 

— — 41 
Long-term debtLong-term debt0 52,406 

23,339 — 75,745 Long-term debt— 53,420 

23,397 — 76,817 
Total liabilities measured at fair value on a recurring basisTotal liabilities measured at fair value on a recurring basis$63,182 $601,409 

$37,673 $(468,420)$233,844 Total liabilities measured at fair value on a recurring basis$88,192 $926,189 

$41,510 $(618,264)$437,627 
(a)At September 30, 2020,2021, and December 31, 2019,2020, included total U.S. GSE obligations of $109.5$68.6 billion and $104.5$117.6 billion, respectively, which were mortgage-related.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(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
102


approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. Refer to Note 54 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.
99

(d)(c)Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).
(e)(d)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At September 30, 2020,2021, and December 31, 2019,2020, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $661$813 million and $684$670 million, respectively. Included in these balances at September 30, 2020,2021, and December 31, 2019,2020, were trading assets of $52$56 million and $54$52 million, respectively, and other assets of $609$757 million and $630$618 million, respectively.
(f)(e)At September 30, 2020,2021, and December 31, 2019,2020, included within loans were $15.6$27.2 billion and $19.8$15.1 billion, respectively, of residential first-lien mortgages, and $5.2$8.1 billion and $8.2$6.3 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 $8.6$13.1 billion and $13.6$8.4 billion, respectively.
(g)(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.
(g)Prior-period amounts have been revised to conform with the current presentation.
Level 3 valuations
Refer to Note 2 of JPMorgan Chase’s 20192020 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.

103100


Level 3 inputs(a)
Level 3 inputs(a)
Level 3 inputs(a)
September 30, 2020
September 30, 2021September 30, 2021
Product/InstrumentProduct/Instrument
Fair value
(in millions)
Principal valuation technique
Unobservable inputs(g)
Range of input values
Average(i)
Product/Instrument
Fair value
(in millions)
Principal valuation technique
Unobservable inputs(g)
Range of input values
Average(i)
Residential mortgage-backed securities and loans(b)
Residential mortgage-backed securities and loans(b)
$1,249 Discounted cash flowsYield(2)%–18%5%
Residential mortgage-backed securities and loans(b)
$1,161 Discounted cash flowsYield(2)%–15%4%
Prepayment speed0%–45%10%Prepayment speed0%–100%12%
Conditional default rate0%–30%13%Conditional default rate0%–30%5%
Loss severity0%–107%9%Loss severity0%–110%5%
Commercial mortgage-backed securities and loans(c)
Commercial mortgage-backed securities and loans(c)
451 Market comparablesPrice$0–$100$83
Commercial mortgage-backed securities and loans(c)
480 Market comparablesPrice$0–$100$84
Obligations of U.S. states and municipalities8 Market comparablesPrice$81–$100$97
Corporate debt securitiesCorporate debt securities649 Market comparablesPrice$3–$130$73Corporate debt securities465 Market comparablesPrice$2–$150$95
Loans(d)
Loans(d)
1,370 Market comparablesPrice$2–$108$76
Loans(d)
1,754 Market comparablesPrice$5–$104$86
Asset-backed securitiesAsset-backed securities33 Market comparablesPrice$1–$95$61Asset-backed securities28 Market comparablesPrice$6–$99$56
Net interest rate derivativesNet interest rate derivatives(6)Option pricingInterest rate volatility8bps–517bps115bpsNet interest rate derivatives(118)Option pricingInterest rate volatility8bps–569bps120bps
Interest rate spread volatility11bps–23bps15bpsInterest rate spread volatility11bps–23bps15bps
Interest rate correlation(65)%–95%43%Interest rate correlation(65)%–95%33%
IR-FX correlation(35)%–50%0%IR-FX correlation(35)%–50%(3)%
34 Discounted cash flowsPrepayment speed3%–30%10%5 Discounted cash flowsPrepayment speed0%–30%8%
Net credit derivativesNet credit derivatives(87)Discounted cash flowsCredit correlation32%–64%47%Net credit derivatives(56)Discounted cash flowsCredit correlation33%–63%45%
Credit spread6bps–1,360 bps459bpsCredit spread1bps–2,539 bps395bps
Recovery rate0%–70%46%Recovery rate40%–67%54%
Conditional default rate2%–92%32%Conditional default rate100%100%
Loss severity100%100%Loss severity100%100%
38 Market comparablesPrice$0–$115$7150 Market comparablesPrice$0$115$78
Net foreign exchange derivativesNet foreign exchange derivatives(527)Option pricingIR-FX correlation(50)%–65%19%Net foreign exchange derivatives(448)Option pricingIR-FX correlation(40)%–65%21%
(149)Discounted cash flowsPrepayment speed9%9%(109)Discounted cash flowsPrepayment speed9%9%9%
Net equity derivativesNet equity derivatives(3,103)Option pricing
Forward equity price(h)
67%–105%99%Net equity derivatives(3,837)Option pricing
Forward equity price(h)
61%–123%99%
Equity volatility3%–119%35%Equity volatility2%–144%29%
Equity correlation45%–100%83%Equity correlation12%–100%55%
Equity-FX correlation(77)%–55%(23)%Equity-FX correlation(79)%–59%(27)%
Equity-IR correlation20%–35%26%Equity-IR correlation15%–50%28%
Net commodity derivativesNet commodity derivatives(621)Option pricingForward industrial metal price$1,551 / MT–$2,049 / MT$1,920 / MTNet commodity derivatives(872)Option pricingOil Commodity Forward$635 / MT–$850 / MT$743 / MT
Forward power price$14 / MWH–$65 / MWH$23 / MWHForward power price$24 / MWH–$64 / MWH$44 / MWH
Commodity volatility5%–94%10%Commodity volatility2%–142%72%
Commodity correlation(45)%–95%34%Commodity correlation(50)%–77%14%
MSRsMSRs3,016 Discounted cash flowsRefer to Note 15MSRs5,351 Discounted cash flowsRefer to Note 14
Other assets623 Discounted cash flowsCredit spread45bps45bps
Yield4%30%7%
688 Market comparablesPrice$29–$122$39
Long-term debt, short-term borrowings, and deposits(e)
Long-term debt, short-term borrowings, and deposits(e)
27,880 Option pricingInterest rate volatility8bps–517bps115bps
Long-term debt, short-term borrowings, and deposits(e)
27,319 Option pricingInterest rate volatility8bps–569bps120bps
Interest rate correlation(65)%–95%43%Interest rate correlation(65)%–95%33%
IR-FX correlation(35)%–50%0%IR-FX correlation(35)%–50%(3)%
Equity correlation45%–100%83%Equity correlation12%–100%55%
Equity-FX correlation(77)%–55%(23)%Equity-FX correlation(79)%–59%(27)%
Equity-IR correlation20%–35%26%Equity-IR correlation15%–50%28%
983 Discounted cash flowsCredit correlation33%–63%45%
Other level 3 assets and liabilities, net(f)
Other level 3 assets and liabilities, net(f)
250 
Other level 3 assets and liabilities, net(f)
1,043 
(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. GSE and government agency securities of $507$299 million, nonagency securities of $25$24 million and non-trading loans of $717$838 million.
(c)Comprises nonagency securities of $2$19 million, trading loans of $44$41 million and non-trading loans of $405$420 million.
(d)Comprises trading loans of $686$941 million and non-trading loans of $684$813 million.
(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 equity securities of $1.0 billion including $379 million in Other Assets, for which quoted prices are not readily available and the fair value is generally based on internal valuation techniques such as EBITDA multiples and comparable analysis. All other 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.
104101


Changes in and ranges of unobservable inputs
Refer to Note 2 of JPMorgan Chase’s 20192020 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 nine months ended September 30, 20202021 and 2019.2020. 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.

105


Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2020
(in millions)		Fair value at
July 1,
2020		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2020
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$469 $(4)$110 $(28)$(40)$0 $0 $507 $(2)
Residential – nonagency23 0 8 (2)(1)0 (3)25 0 
Commercial – nonagency2 0 0 0 0 0 0 2 0 
Total mortgage-backed securities494 (4)118 (30)(41)0 (3)534 (2)
Obligations of U.S. states and municipalities8 0 0 0 0 0 0 8 0 
Non-U.S. government debt securities167 6 25 (23)(2)0 (8)165 6 
Corporate debt securities946 45 114 (33)(225)4 (202)649 45 
Loans(b)
905 22 240 (173)(21)69 (312)730 8 
Asset-backed securities39 3 5 (21)(2)9 0 33 0 
Total debt instruments2,559 72 502 (280)(291)82 (525)2,119 57 
Equity securities191 24 13 (104)0 104 (42)186 29 
Other379 75 203 (4)(2)2 0 653 77 
Total trading assets – debt and equity instruments3,129 171 (d)718 (388)(293)188 (567)2,958 163 (d)
Net derivative receivables:(c)
Interest rate(104)657 15 (30)(647)35 102 28 323 
Credit(137)(62)22 (16)154 (12)2 (49)(21)
Foreign exchange(595)(57)7 (7)(34)7 3 (676)(90)
Equity(2,036)(1,437)323 (384)29 33 369 (3,103)(1,051)
Commodity(297)15 11 (79)36 (302)(5)(621)39 
Total net derivative receivables(3,169)(884)(d)378 (516)(462)(239)471 (4,421)(800)(d)
Available-for-sale securities:
Mortgage-backed securities0 0 0 0 0 0 0 0 0 
Total available-for-sale securities0 0 

0 0 0 0 0 0 0 

Loans(b)
1,874 (44)(d)197 (44)(324)316 (169)1,806 (44)(d)
Mortgage servicing rights3,080 34 (e)221 (104)(215)0 0 3,016 34 (e)
Other assets(b)
701 (21)(d)5 0 (27)0 0 658 32 (d)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2020
(in millions)		Fair value at
July 1,
2020		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$3,217 $43 (d)(f)$0 $— $170 $(110)$0 $(264)$3,056 $87 (d)(f)
Short-term borrowings2,305 (47)(d)(f)0 0 1,421 (1,093)25 (3)2,608 (47)(d)(f)
Trading liabilities – debt and equity instruments59 (2)(d)(5)5 0 1 3 (4)57 (3)(d)
Accounts payable and other liabilities91 3 (d)(62)4 0 0 8 0 44 3 (d)
Beneficial interests issued by consolidated VIEs0 0 

0 0 0 0 0 0 0 0 

Long-term debt22,728 766 (d)(f)0 0 1,225 (2,493)78 (88)22,216 646 (d)(f)
106


Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2019
(in millions)		Fair value at
July 1,
2019		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$617 $(71)$424 $(104)$(45)$0 $(10)$811 $(70)
Residential – nonagency42 0 2 (3)0 0 (17)24 (1)
Commercial – nonagency9 0 3 (5)0 0 (2)5 0 
Total mortgage-backed securities668 (71)429 (112)(45)0 (29)840 (71)
Obligations of U.S. states and municipalities680 (2)27 (77)(1)0 0 627 (2)
Non-U.S. government debt securities190 (1)40 (74)0 3 (12)146 (1)
Corporate debt securities562 45 56 (167)0 17 (29)484 3 
Loans(b)
797 (48)115 (74)(24)118 (94)790 (55)
Asset-backed securities33 0 11 (2)(2)3 (5)38 (2)
Total debt instruments2,930 (77)678 (506)(72)141 (169)2,925 (128)
Equity securities147 (14)10 (10)0 46 (9)170 (16)
Other311 18 35 (15)(15)0 (2)332 23 
Total trading assets – debt and equity instruments3,388 (73)(d)723 (531)(87)187 (180)3,427 (121)(d)
Net derivative receivables:(c)
Interest rate(544)88 39 (15)53 

10 50 (319)(15)
Credit(232)(65)3 (3)(23)3 0 (317)(68)
Foreign exchange(193)(653)2 (1)(1)6 (1)(841)(657)
Equity(2,560)(382)

174 (118)

(377)

(203)(2)

(3,468)(362)
Commodity(908)8 22 (69)6 18 876 (47)40 
Total net derivative receivables(4,437)(1,004)(d)240 (206)

(342)

(166)923 

(4,992)(1,062)(d)
Available-for-sale securities:
Mortgage-backed securities0 0 

1 0 

0 

0 0 

1 0 
Total available-for-sale securities0 0 

1 0 0 0 0 1 0 

Loans(b)
775 1 (d)26 (8)(84)93 (43)760 6 (d)
Mortgage servicing rights5,093 (447)(e)388 (359)(256)0 0 4,419 (447)(e)
Other assets(b)
1,072 (53)(d)30 (72)(34)0 0 943 (53)(d)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2019
(in millions)		Fair value at
July 1,
2019		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2019
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$4,066 $0 

$0 $0 $153 $(188)$12 $(407)$3,636 $16 (d)(f)
Short-term borrowings2,052 24 (d)(f)0 0 949 (1,040)17 (1)2,001 28 (d)(f)
Trading liabilities – debt and equity instruments45 0 

(5)25 0 1 2 0 68 0 

Accounts payable and other liabilities92 (6)(d)(71)4 0 0 0 0 19 (2)(d)
Beneficial interests issued by consolidated VIEs0 0 

0 0 0 0 0 0 0 0 

Long-term debt21,863 187 (d)(f)0 0 2,230 (1,758)

49 (222)22,349 

89 (d)(f)



107102


Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2020
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$797 $(153)$134 $(149)$(122)$0 $0 $507 $(140)
Residential – nonagency23 (1)12 (4)(2)0 (3)25 2 
Commercial – nonagency4 0 1 0 (1)1 (3)2 4 
Total mortgage-backed securities824 (154)147 (153)(125)1 (6)534 (134)
Obligations of U.S. states and municipalities10 0 0 (1)(1)0 0 8 0 
Non-U.S. government debt securities155 10 164 (148)(7)0 (9)165 7 
Corporate debt securities558 (10)475 (131)(234)296 (305)649 13 
Loans(b)
673 (72)829 (400)(130)676 (846)730 (35)
Asset-backed securities37 (4)42 (36)(5)9 (10)33 (1)
Total debt instruments2,257 (230)1,657 (869)(502)982 (1,176)2,119 (150)
Equity securities196 (79)37 (109)0 259 (118)186 (40)
Other232 239 213 (9)(23)4 (3)653 263 
Total trading assets – debt and equity instruments2,685 (70)(d)1,907 (987)(525)1,245 (1,297)2,958 73 (d)
Net derivative receivables:(c)
Interest rate(332)2,052 102 (97)(1,510)(317)130 28 290 
Credit(139)0 70 (150)137 59 (26)(49)24 
Foreign exchange(607)(214)46 (16)75 15 25 (676)(181)
Equity(3,395)564 912 (1,473)558 (524)255 (3,103)1,342 
Commodity(16)(248)22 (107)54 (306)(20)(621)363 
Total net derivative receivables(4,489)2,154 (d)1,152 (1,843)(686)(1,073)364 (4,421)1,838 (d)
Available-for-sale securities:
Mortgage-backed securities1 0 0 0 (1)0 0 0 0 
Total available-for-sale securities1 0 0 0 (1)0 0 0 0 
Loans(b)
516 (195)(d)450 (77)(678)2,312 (522)1,806 (147)(d)
Mortgage servicing rights4,699 (1,459)(e)663 (177)(710)0 0 3,016 (1,459)(e)
Other assets(b)
917 (56)(d)66 (28)(281)40 0 658 4 (d)
Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$3,360 $88 (d)(f)$0 $0 $636 $(538)$265 $(755)$3,056 $137 (d)(f)
Short-term borrowings1,674 (294)(d)(f)0 0 3,961 (2,769)77 (41)2,608 (27)(d)(f)
Trading liabilities – debt and equity instruments41 1 (d)(81)12 0 (4)96 (8)57 0 

Accounts payable and other liabilities45 (1)(d)(85)37 0 0 48 0 44 1 (d)
Beneficial interests issued by consolidated VIEs0 0 0 0 0 0 0 0 0 0 
Long-term debt23,339 (639)(d)(f)0 0 7,432 (7,851)1,056 (1,121)22,216 (507)(d)(f)



Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2021
(in millions)		Fair value at
  July 1,
2021		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2021		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2021
Purchases(f)
Sales
Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$329 $(12)$13 $(6)$(25)$— $— $299 $(12)
Residential – nonagency16 — 9 — (1)— — 24 (1)
Commercial – nonagency10 7 1 — (13)14 — 19 6 
Total mortgage-backed securities355 (5)23 (6)(39)14 — 342 (7)
Obligations of U.S. states and municipalities8 — — — (1)— — 7 — 
Non-U.S. government debt securities183 (2)128 (98)— — (107)104 (1)
Corporate debt securities487 (33)38 (115)(3)25 (29)370 (25)
Loans795 — 219 (197)(130)409 (114)982 2 
Asset-backed securities35 1 3 (4)— — (7)28 — 
Total debt instruments1,863 (39)411 (420)(173)448 (257)1,833 (31)
Equity securities690 (41)5 (44)— 62 (38)634 (34)
Other47 26 17 — (31)— (1)58 26 
Total trading assets – debt and equity instruments2,600 (54)(c)433 (464)(204)510 (296)2,525 (39)(c)
Net derivative receivables:(b)
Interest rate(22)618 21 (44)(683)13 (16)(113)246 
Credit(17)(9)4 (7)59 (4)(32)(6)(1)
Foreign exchange(583)2 28 (44)41 (5)4 (557)15 
Equity(4,936)723 192 (1,001)912 214 59 (3,837)397 
Commodity(1,167)88 130 (88)156 (2)11 (872)178 
Total net derivative receivables(6,725)1,422 (c)375 (1,184)485 216 26 (5,385)835 (c)
Available-for-sale securities:
Corporate debt securities— — 95 — — — — 95 — 
Total available-for-sale securities— — 

95 — — — — 95 — 

Loans1,734 (13)(c)209 (1)(180)427 (105)2,071 (11)(c)
Mortgage servicing rights4,549 (11)(d)1,013 1 (201)— — 5,351 (11)(d)
Other assets518 (35)(c)3 — (165)— — 321 (34)(c)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2021
(in millions)		Fair value at
  July 1,
2021		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2021		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2021
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
Deposits$2,684 $(11)(c)(e)$— $— $33 $(172)$— $(157)$2,377 $(7)(c)(e)
Short-term borrowings3,075 (699)(c)(e)— — 1,166 (1,121)— (10)2,411 (124)(c)(e)
Trading liabilities – debt and equity instruments36 (2)(c)(8)2 — — 3 (1)30 1 (c)
Accounts payable and other liabilities51 — 

— — — — — — 51 1 (c)
Long-term debt23,527 (216)(c)(e)— — 2,950 (2,512)11 (246)23,514 (242)(c)(e)
108103

Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2020
(in millions)		Fair value at
July 1,
2020		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2020		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2020
Purchases(f)
Sales
Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$469 $(4)$110 $(28)$(40)$— $— $507 $(2)
Residential – nonagency23 — 8 (2)(1)— (3)25 — 
Commercial – nonagency2 — — — — — — 2 — 
Total mortgage-backed securities494 (4)118 (30)(41)— (3)534 (2)
Obligations of U.S. states and municipalities8 — — — — — — 8 — 
Non-U.S. government debt securities167 6 25 (23)(2)— (8)165 6 
Corporate debt securities946 45 114 (33)(225)4 (202)649 45 
Loans905 22 240 (173)(21)69 (312)730 8 
Asset-backed securities39 3 5 (21)(2)9 — 33 — 
Total debt instruments2,559 72 502 (280)(291)82 (525)2,119 57 
Equity securities191 24 13 (104)— 104 (42)186 29 
Other379 75 203 (4)(2)2 — 653 77 
Total trading assets – debt and equity instruments3,129 171 (c)718 (388)(293)188 (567)2,958 163 (c)
Net derivative receivables:(b)
Interest rate(104)657 15 (30)(647)

35 102 28 323 
Credit(137)(62)22 (16)154 (12)2 (49)(21)
Foreign exchange(595)(57)7 (7)(34)7 3 (676)(90)
Equity(2,036)(1,437)

323 (384)

29 

33 369 

(3,103)(1,051)
Commodity(297)15 11 (79)36 (302)(5)(621)39 
Total net derivative receivables(3,169)(884)(c)378 (516)

(462)

(239)471 

(4,421)(800)(c)
Available-for-sale securities:
Mortgage-backed securities— — 

— — 

— 

— — 

— — 
Total available-for-sale securities— — 

— — — — — — — 

Loans1,874 (44)(c)197 (44)(324)316 (169)1,806 (44)(c)
Mortgage servicing rights3,080 34 (d)221 (104)(215)— — 3,016 34 (d)
Other assets701 (21)(c)5 — (27)— — 658 32 (c)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2020
(in millions)		Fair value at
July 1,
2020		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
Deposits$3,217 $43 (c)(e)$— $— $170 $(110)$— $(264)$3,056 $87 (c)(e)
Short-term borrowings2,305 (47)(c)(e)— — 1,421 (1,093)25 (3)2,608 (47)(c)(e)
Trading liabilities – debt and equity instruments59 (2)(c)(5)5 — 1 3 (4)57 (3)(c)
Accounts payable and other liabilities91 3 (c)(62)4 — — 8 — 44 3 (c)
Beneficial interests issued by consolidated VIEs— — 

— — — — — — — — 

Long-term debt22,728 766 (c)(e)— — 1,225 (2,493)

78 (88)22,216 

646 (c)(e)
104

Fair value measurements using significant unobservable inputsFair value measurements using significant unobservable inputs
Nine months ended
September 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(g)(f)
Sales
Settlements(h)
Nine months ended
September 30, 2021
(in millions)		Nine months ended
September 30, 2021
(in millions)		Fair value at
January 1,
2021		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2021		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2021
Purchases(g)(f)
Sales
Settlements(g)
Assets:(a)
Assets:(a)
Assets:(a)
Trading assets:Trading assets:Trading assets:
Debt instruments:Debt instruments:Debt instruments:
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
U.S. GSEs and government agenciesU.S. GSEs and government agencies$549 $(111)$747 $(272)$(83)$1 $(20)$811 $(116)U.S. GSEs and government agencies$449 $(22)$20 $(62)$(86)$1 $(1)$299 $(25)
Residential – nonagencyResidential – nonagency64 25 83 (86)(20)15 (57)24 (1)Residential – nonagency28 1 24 (24)(4)— (1)24 (2)
Commercial – nonagencyCommercial – nonagency11 2 19 (24)(14)15 (4)5 1 Commercial – nonagency3 7 12 (1)(16)14 — 19 6 
Total mortgage-backed securitiesTotal mortgage-backed securities624 (84)849 (382)(117)31 (81)840 (116)Total mortgage-backed securities480 (14)56 (87)(106)15 (2)342 (21)
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities689 12 85 (152)(7)0 0 627 13 Obligations of U.S. states and municipalities8 — — — (1)— — 7 — 
Non-U.S. government debt securitiesNon-U.S. government debt securities155 (2)228 (231)0 14 (18)146 3 Non-U.S. government debt securities182 (10)330 (284)(7)— (107)104 (2)
Corporate debt securitiesCorporate debt securities334 74 340 (236)(53)96 (71)484 15 Corporate debt securities507 (18)357 (415)(3)138 (196)370 (3)
Loans(b)
Loans(b)
738 28 362 (379)(80)358 (237)790 16 
Loans(b)
893 6 785 (434)(256)584 (596)982 — 
Asset-backed securitiesAsset-backed securities127 0 30 (81)(39)23 (22)38 (3)Asset-backed securities28 8 41 (43)(1)2 (7)28 — 
Total debt instrumentsTotal debt instruments2,667 28 1,894 (1,461)(296)522 (429)2,925 (72)Total debt instruments2,098 (28)1,569 (1,263)(374)739 (908)1,833 (26)
Equity securitiesEquity securities232 (28)33 (92)(22)142 (95)170 (21)Equity securities476 (38)258 (114)— 140 (88)634 (92)
OtherOther301 42 50 (16)(41)1 (5)332 55 Other49 74 118 — (86)3 (100)58 37 
Total trading assets – debt and equity instrumentsTotal trading assets – debt and equity instruments3,200 42 (d)1,977 (1,569)(359)665 (529)3,427 (38)(d)Total trading assets – debt and equity instruments2,623 8 (c)1,945 (1,377)(460)882 (1,096)2,525 (81)(c)
Net derivative receivables:(c)(b)
Net derivative receivables:(c)(b)
Net derivative receivables:(c)(b)
Interest rateInterest rate(38)(575)86 (102)

174 

22 114 (319)(694)Interest rate258 1,587 92 (146)(1,874)

68 (98)(113)212 
CreditCredit(107)(209)16 (5)(13)7 (6)(317)(169)Credit(224)140 6 (11)103 (13)(7)(6)143 
Foreign exchangeForeign exchange(297)(840)13 (18)294 (19)26 (841)(815)Foreign exchange(434)(196)67 (98)140 6 (42)(557)(44)
EquityEquity(2,225)328 335 (573)(1,062)(418)147 (3,468)(1,193)Equity(3,862)(195)

667 (2,246)

1,638 

233 (72)

(3,837)(187)
CommodityCommodity(1,129)370 32 (240)51 2 867 (47)634 Commodity(731)(505)140 (382)600 (3)9 (872)(223)
Total net derivative receivablesTotal net derivative receivables(3,796)(926)(d)482 (938)(556)(406)1,148 (4,992)(2,237)(d)Total net derivative receivables(4,993)831 (c)972 (2,883)

607 

291 (210)

(5,385)(99)(c)
Available-for-sale securities:Available-for-sale securities:Available-for-sale securities:
Mortgage-backed securities1 0 1 0 (1)0 0 1 0 
Corporate debt securitiesCorporate debt securities— — 

95 — 

— 

— — 

95 — 
Total available-for-sale securitiesTotal available-for-sale securities1 0 1 0 (1)0 0 1 0 Total available-for-sale securities— — 

95 — — — — 95 — 

Loans(b)
Loans(b)
856 41 (d)224 (36)(364)151 (112)760 25 (d)
Loans(b)
2,305 (79)(c)516 (326)(699)1,027 (673)2,071 (92)(c)
Mortgage servicing rightsMortgage servicing rights6,130 (1,572)(e)1,250 (687)(702)0 0 4,419 (1,572)(e)Mortgage servicing rights3,276 258 (d)2,410 (23)(570)— — 5,351 258 (d)
Other assets(b)
Other assets(b)
1,161 (122)(d)193 (161)(122)1 (7)943 (142)(d)
Other assets(b)
538 9 (c)10 (18)(217)— (1)321 22 (c)
Fair value measurements using significant unobservable inputsFair value measurements using significant unobservable inputs
Nine months ended
September 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2019
PurchasesSalesIssuances
Settlements(h)
Nine months ended
September 30, 2021
(in millions)		Nine months ended
September 30, 2021
(in millions)		Fair value at
January 1,
2021		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2021		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2021
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
Liabilities:(a)
Liabilities:(a)
DepositsDeposits$4,169 $241 (d)(f)$0 $0 $580 $(504)$12 $(862)$3,636 $250 (d)(f)Deposits$2,913 $(67)(c)(e)$— $— $252 $(360)$2 $(363)$2,377 $(60)(c)(e)
Short-term borrowingsShort-term borrowings1,523 142 (d)(f)0 0 2,637 (2,265)85 (121)2,001 74 (d)(f)Short-term borrowings2,420 (1,095)(c)(e)— — 5,479 (4,333)9 (69)2,411 (117)(c)(e)
Trading liabilities – debt and equity instrumentsTrading liabilities – debt and equity instruments50 0 (12)41 0 1 9 (21)68 (1)(d)Trading liabilities – debt and equity instruments51 (6)(c)(100)36 — — 62 (13)30 (2)(c)
Accounts payable and other liabilitiesAccounts payable and other liabilities10 (7)(d)(79)94 0 0 1 0 19 4 (d)Accounts payable and other liabilities68 (10)(c)— 1 — — — (8)51 (9)(c)
Beneficial interests issued by consolidated VIEs1 (1)(d)0 0 0 0 0 0 0 0 
Long-term debtLong-term debt19,418 1,915 (d)(f)0 0 6,929 (5,675)522 (760)22,349 2,010 (d)(f)Long-term debt23,397 190 (c)(e)— — 9,884 (9,250)

29 (736)23,514 

48 (c)(e)
105

Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2020		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2020
Purchases(f)
Sales
Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies$797 $(153)$134 $(149)$(122)$— $— $507 $(140)
Residential – nonagency23 (1)12 (4)(2)— (3)25 2 
Commercial – nonagency4 — 1 — (1)1 (3)2 4 
Total mortgage-backed securities824 (154)147 (153)(125)1 (6)534 (134)
Obligations of U.S. states and municipalities10 — — (1)(1)— — 8 — 
Non-U.S. government debt securities155 10 164 (148)(7)— (9)165 7 
Corporate debt securities558 (10)475 (131)(234)296 (305)649 13 
Loans673 (72)829 (400)(130)676 (846)730 (35)
Asset-backed securities37 (4)42 (36)(5)9 (10)33 (1)
Total debt instruments2,257 (230)1,657 (869)(502)982 (1,176)2,119 (150)
Equity securities196 (79)37 (109)— 259 (118)186 (40)
Other232 239 213 (9)(23)4 (3)653 263 
Total trading assets – debt and equity instruments2,685 (70)(c)1,907 (987)(525)1,245 (1,297)2,958 73 (c)
Net derivative receivables:(b)
Interest rate(332)2,052 102 (97)(1,510)

(317)130 28 290 
Credit(139)— 70 (150)137 59 (26)(49)24 
Foreign exchange(607)(214)46 (16)75 15 25 (676)(181)
Equity(3,395)564 

912 (1,473)

558 

(524)255 

(3,103)1,342 
Commodity(16)(248)22 (107)54 (306)(20)(621)363 
Total net derivative receivables(4,489)2,154 (c)1,152 (1,843)

(686)

(1,073)364 

(4,421)1,838 (c)
Available-for-sale securities:
Mortgage-backed securities1 — 

— — 

(1)

— — 

— — 
Total available-for-sale securities1 — 

— — (1)— — — — 

Loans516 (195)(c)450 (77)(678)2,312 (522)1,806 (147)(c)
Mortgage servicing rights4,699 (1,459)(d)663 (177)(710)— — 3,016 (1,459)(d)
Other assets917 (56)(c)66 (28)(281)40 — 658 4 (c)
Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
Deposits$3,360 $88 (c)(e)$— $— $636 $(538)$265 $(755)$3,056 $137 (c)(e)
Short-term borrowings1,674 (294)(c)(e)— — 3,961 (2,769)77 (41)2,608 (27)(c)(e)
Trading liabilities – debt and equity instruments41 1 (c)(81)12 — (4)96 (8)57 — 

Accounts payable and other liabilities45 (1)(c)(85)37 — — 48 — 44 1 (c)
Long-term debt23,339 (639)(c)(e)— — 7,432 (7,851)

1,056 (1,121)22,216 

(507)(c)(e)
(a)Level 3 assets at fair value as a percentage of total Firm assets at fair value (including assets measured at fair value on a nonrecurring basis) were 1%2% and 2%1% at September 30, 20202021 and December 31, 2019,2020, respectively. Level 3 liabilities at fair value as a percentage of total Firm liabilities at fair value (including liabilities measured at fair value on a nonrecurring basis) were 9%8% and 16%,9% at September 30, 20202021 and December 31, 2019,2020, respectively.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
109


(c)All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.
(d)(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.
106
(e)
(d)Changes in fair value for MSRs are reported in mortgage fees and related income.
(f)(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 nine months ended September 30, 20202021 and 2019, respectively.2020. Unrealized (gains)/losses are reported in OCI, and they were $120$318 million and $(62)$120 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $(78)$300 million and $108$(78) million for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(g)(f)Loan originations are included in purchases.
(h)(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.
(i)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.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets at fair value, including assets measured at fair value on a nonrecurring basis, were 0.6% of total Firm assets at September 30, 2020. The following describes significant changes to level 3 assets since December 31, 2019,2020, 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 112109 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and nine months ended September 30, 20202021
Level 3 assets were $16.4$17.1 billion at September 30, 2020,2021, reflecting a decreasean increase of $980 million$1.2 billion from June 30, 2020 with no movements that were significant2021 and an increase of $2.9 billion$697 million from December 31, 2019.2020.
The increase for the three months ended September 30, 2021 was largely driven by an $802 million increase in MSRs.
The increase for the nine months ended September 30, 20202021 was predominantly driven by:
•$2.0a $2.1 billion increase in MSRs.
partially offset by
•$444 million decrease in gross interest rate derivative receivables due to settlements net of gains and $443 million decrease in gross equity derivative receivables due to gainssettlements and purchasestransfers net of settlements.gains.
•$1.3 billion increase in non-trading loans dueRefer to net transfers.
largely offset by
•$1.7 billion decrease in MSRs due to losses.Note 14 for information on MSRs.
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 September 30, 2021, there were no significant transfers from level 2 into level 3.
For the nine months ended September 30, 2021, significant transfers from level 2 into level 3 included the following:
•$882 million of total debt and equity instruments, largely trading loans, driven by a decrease in observability.
•$937 million of gross equity derivative receivables and $704 million of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
•$1.0 billion of non-trading loans driven by a decrease in observability.
For the three months ended September 30, 2021, there were no significant transfers from level 3 into level 2.
For the nine months ended September 30, 2021, significant transfers from level 3 into level 2 included the following:
•$1.1 billion of total debt and equity instruments, largely trading loans, driven by an increase in observability.
•$1.7 billion of gross equity derivative receivables and $1.6 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
•$673 million of non-trading loans, driven by an increase in observability.
•$736 million 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 months ended September 30, 2020, there were no significant transfers from level 2 into level 3.
For the nine months ended September 30, 2020, significant transfers from level 2 into level 3 included the following:
•$2.2 billion of gross equity derivative receivables and $2.7 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
•$2.3 billion of non-trading loans, driven by a decrease in observability.
•$1.1 billion 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 months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:
•$965 million of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
For the nine months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:
•$1.7 billion of gross equity derivative receivables and $1.9 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
•$1.1 billion 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 nine months ended September 30, 2019, there were no significant transfers from level 2 into level 3.
For the three and nine months ended September 30, 2019, significant transfers from level 3 to level 2 included $906 million and $927 million, respectively of gross commodities derivative payables as a result of an increase in observability.
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.

110107


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 105-111102-108 for further information on these instruments.
Three months ended September 30, 2021
•$1.3 billion of net gains on assets, driven by gains in net interest rate derivative receivables and net equity derivative receivables due to market movements.
•$928 million of net gains on liabilities, largely driven by gains in short-term borrowings due to market movements.
Three months ended September 30, 2020
•$744 million of net losses on assets, driven by market movements in net equity derivative receivables.
•$763 million of net losses on liabilities, driven by market movements in long-term debt.
ThreeNine months ended September 30, 20192021
•$1.61.0 billion of net lossesgains on assets, predominantly driven by gains in net interest rate derivative receivables due to market movements, and MSRs largely reflecting faster prepayment speeds on lower rates. Referpartially offset by losses in net commodity derivative receivables due to Note 15 for information on MSRs.market movements.
•$205988 million of net lossesgains on liabilities, none of which were significant.driven by gains in short-term borrowings due to market movements.
Nine months ended September 30, 2020
•$374 million of net gains on assets, driven by gains in net interest rate derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 1514 for additional information on MSRs.
•$845 million of net gains on liabilities, predominantly driven by market movements in long-term debt.
Nine months ended September 30, 2019
•$2.5 billion of net losses on assets, driven by net derivative receivables due to market movements and MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 15 for additional information on MSRs.
•$2.3 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Credit and funding adjustments:Credit and funding adjustments:Credit and funding adjustments:
Derivatives CVADerivatives CVA$144 $55 $(574)$71 Derivatives CVA$60 $144 $343 $(574)
Derivatives FVADerivatives FVA109 (83)(236)(20)Derivatives FVA38 109 99 (236)
Refer to Note 2 of JPMorgan Chase’s 20192020 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.
111108


Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets and liabilities held as of September 30, 20202021 and 20192020, respectively, for which nonrecurring fair value adjustments were recorded during the nine months ended September 30, 20202021 and 20192020, respectively, by major product category and fair value hierarchy.
Fair value hierarchyTotal fair valueFair value hierarchyTotal fair value
September 30, 2020 (in millions)Level 1Level 2Level 3
September 30, 2021 (in millions)September 30, 2021 (in millions)Level 1Level 2Level 3Total fair value
LoansLoans$— $1,714 (c)$788 (d)$2,502 Loans$— $1,175 

$314 (b)
Other assets(a)
Other assets(a)
0 11 945 956 
Other assets(a)
— 7 1,202 1,209 
Total assets measured at fair value on a nonrecurring basisTotal assets measured at fair value on a nonrecurring basis$0 $1,725 $1,733 $3,458 Total assets measured at fair value on a nonrecurring basis$— $1,182 $1,516 $2,698 
Accounts payable and other liabilities(b)
Accounts payable and other liabilities(b)
0 0 3  3 
Accounts payable and other liabilities(b)
— — 2  2 
Total liabilities measured at fair value on a nonrecurring basisTotal liabilities measured at fair value on a nonrecurring basis$0 $0 $3 $3 Total liabilities measured at fair value on a nonrecurring basis$— $— $2 $2 
Fair value hierarchyTotal fair valueFair value hierarchyTotal fair value
September 30, 2019 (in millions)Level 1Level 2Level 3
September 30, 2020 (in millions)September 30, 2020 (in millions)Level 1Level 2Level 3Total fair value
LoansLoans$0 $5,338 (c)$246 $5,584 Loans$— $1,714 

$788 
Other assetsOther assets0 18 789 (e)807 Other assets— 11 945 

956 
Total assets measured at fair value on a nonrecurring basisTotal assets measured at fair value on a nonrecurring basis$0 $5,356 $1,035 $6,391 Total assets measured at fair value on a nonrecurring basis$— $1,725 $1,733 $3,458 
Accounts payable and other liabilitiesAccounts payable and other liabilities— — 3 

3 
Total liabilities measured at fair value on a nonrecurring basisTotal liabilities measured at fair value on a nonrecurring basis$— $— $3 $3 
(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 $945 million$1.2 billion in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2020, $377 million2021, $1.1 billion 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 September 30, 2020 the net markdowns associated with $556 million 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 September 30, 2019.
(c)Primarily includes certain mortgage loans that were reclassified to held-for-sale.
(d)Of the $788$314 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2020, $4712021, $208 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 14%12% to 46%45% with a weighted average of 30%25%.
(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 nine months ended September 30, 20202021 and 20192020, related to assets and liabilities held at those dates.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Loans(a)
Loans(a)
$(35) $(142)

$(318)

$(232)

Loans(a)
$(10) $(35)

$(40)

$(318)

Other assets(b)(a)
Other assets(b)(a)
(363) 37 (d)(539)137 (d)
Other assets(b)(a)
84  (363)

177 (539)
Accounts payable and other liabilitiesAccounts payable and other liabilities92 (c)0 (3)(c)0 Accounts payable and other liabilities—  92 

6 (3)
Total nonrecurring fair value gains/(losses)Total nonrecurring fair value gains/(losses)$(306)$(105)$(860)$(95)Total nonrecurring fair value gains/(losses)$74 $(306)$143 $(860)
(a)Includes the impact of certain mortgage loans that were reclassified to held-for-sale.
(b)Included $2$90 million and $48$2 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $(155)$197 million and $146$(155) million for the nine months ended September 30, 20202021 and 2019,2020, respectively, of net gains/(losses)/gains as a result of the measurement alternative.
(c)Represents marks 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 1211 for further information about the measurement of collateral-dependent loans.

112109


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 September 30, 20202021 and 20192020, 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 endedNine months ended Three months endedNine months ended
September 30September 30 September 30September 30
As of or for the period ended,As of or for the period ended,As of or for the period ended,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Other assetsOther assetsOther assets
Carrying value(a)
Carrying value(a)
$2,329 $2,771 $2,329 $2,771 
Carrying value(a)
$3,207 $2,329 $3,207 $2,329 
Upward carrying value changes(b)
Upward carrying value changes(b)
36 48 (d)49 183(d)
Upward carrying value changes(b)
100 36 

216 49

Downward carrying value changes/impairment(c)
Downward carrying value changes/impairment(c)
(34)0 (204)(37)
Downward carrying value changes/impairment(c)
(10)(34)(18)(204)
(a)The carrying value as of December 31, 20192020 was $2.4 billion. The period-end carrying values reflect cumulative purchases and sales in addition to upward and downward carrying value changes.
(b)The cumulative upward carrying value changes between January 1, 2018 and September 30, 20202021 were $590$826 million.
(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 20202021 were $(334)$(335) million.
(d)Prior-period amounts have been revised to conform with the current presentation.
Included in other assets above is the Firm’s interest in approximately 40 million Visa Class B common shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be convertible into Visa Class A common shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B common shares into Visa Class A common shares is 1.6228 at September 30, 2020,2021, and may be adjusted by Visa depending on developments related to the litigation matters.
113110


Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value
The following table presents, by fair value hierarchy classification, the carrying values and estimated fair values at September 30, 2020,2021, and December 31, 2019,2020, 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.
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
Estimated fair value hierarchyEstimated fair value hierarchyEstimated fair value hierarchyEstimated fair value hierarchy
(in billions)(in billions)Carrying
value		Level 1Level 2Level 3Total estimated
fair value		Carrying
value		Level 1Level 2Level 3Total estimated
fair value		(in billions)Carrying
value		Level 1Level 2Level 3Total estimated
fair value		Carrying
value		Level 1Level 2Level 3Total estimated
fair value
Financial assetsFinancial assetsFinancial assets
Cash and due from banksCash and due from banks$20.8 $20.8 $0 $0 $20.8 $21.7 $21.7 $0 $0 $21.7 Cash and due from banks$25.9 $25.9 $— $— $25.9 $24.9 $24.9 $— $— $24.9 
Deposits with banksDeposits with banks466.7 466.7 0 0 466.7 241.9 241.9 0 0 241.9 Deposits with banks734.0 734.0 — — 734.0 502.7 502.7 — — 502.7 
Accrued interest and accounts receivableAccrued interest and accounts receivable76.0 0 75.9 0.1 76.0 71.3 0 71.2 0.1 71.3 Accrued interest and accounts receivable115.7 — 115.6 0.1 115.7 89.4 — 89.3 0.1 89.4 
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements35.1 0 35.1 0 35.1 234.6 0 234.6 0 234.6 Federal funds sold and securities purchased under resale agreements9.0 — 9.0 — 9.0 58.3 — 58.3 — 58.3 
Securities borrowedSecurities borrowed97.9 0 97.9 0 97.9 133.5 0 133.5 0 133.5 Securities borrowed130.2 — 130.2 — 130.2 107.7 — 107.7 — 107.7 
Investment securities, held-to-maturityInvestment securities, held-to-maturity141.6 0.1 144.9 0 145.0 47.5 0.1 48.8 0 48.9 Investment securities, held-to-maturity343.5 181.3 163.1 — 344.4 201.8 53.2 152.3 — 205.5 
Loans, net of allowance for loan losses(a)
Loans, net of allowance for loan losses(a)
920.7 0 211.7 737.0 948.7 939.5 0 214.1 734.9 949.0 
Loans, net of allowance for loan losses(a)
965.8 — 203.2 781.7 984.9 940.1 — 210.9 755.6 966.5 
OtherOther77.0 0 75.8 1.4 77.2 61.3 0 60.6 0.8 61.4 Other98.0 — 96.7 1.4 98.1 81.8 — 80.0 1.9 81.9 
Financial liabilitiesFinancial liabilitiesFinancial liabilities
DepositsDeposits$1,982.1 $0 $1,982.2 $0 $1,982.2 $1,533.8 $0 $1,534.1 $0 $1,534.1 Deposits$2,390.5 $— $2,390.6 $— $2,390.6 $2,129.8 $— $2,128.9 $— $2,128.9 
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements55.5 0 55.5 0 55.5 183.1 0 183.1 0 183.1 Federal funds purchased and securities loaned or sold under repurchase agreements67.5 — 67.5 — 67.5 59.5 — 59.5 — 59.5 
Short-term borrowingsShort-term borrowings23.0 0 23.0 0 23.0 35.0 0 35.0 0 35.0 Short-term borrowings30.4 — 30.4 — 30.4 28.3 — 28.3 — 28.3 
Accounts payable and other liabilitiesAccounts payable and other liabilities189.5 0 185.4 3.8 189.2 164.0 0.1 160.0 3.5 163.6 Accounts payable and other liabilities228.6 — 224.0 4.2 228.2 186.6 — 181.9 4.3 186.2 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs19.2 0 19.2 0 19.2 17.8 0 17.9 0 17.9 Beneficial interests issued by consolidated VIEs13.2 — 13.2 — 13.2 17.5 — 17.6 — 17.6 
Long-term debtLong-term debt206.2 0 205.5 3.2 208.7 215.5 0 218.3 3.5 221.8 Long-term debt221.9 — 225.6 3.3 228.9 204.8 — 209.2 3.2 212.4 
(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.
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
Estimated fair value hierarchyEstimated fair value hierarchyEstimated fair value hierarchyEstimated fair value hierarchy
(in billions)(in billions)
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value
Carrying value(a)
Level 1Level 2Level 3Total estimated fair value(in billions)
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value
Wholesale lending-related commitmentsWholesale lending-related commitments$2.6 $0 $0 $2.4 $2.4 $1.2 $0 $0 $1.9 $1.9 Wholesale lending-related commitments$2.1 $— $— $3.1 $3.1 $2.2 $— $— $2.1 $2.1 
(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.commitments.
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 156173 of JPMorgan Chase’s 20192020 Form 10-K for a further discussion of the valuation of lending-related commitments.
114111


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
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 nine months ended September 30, 20202021 and 2019,2020, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.
Three months ended September 30,
20202019
(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (f)
Principal transactionsAll other income
Total changes in fair value recorded (f)
Federal funds sold and securities purchased under resale agreements$(148)$0 $(148)$(23)$0 $(23)
Securities borrowed5 0 5 99 0 99 
Trading assets:
Debt and equity instruments, excluding loans879 0 879 546 0 546 
Loans reported as trading assets:
Changes in instrument-specific credit risk(a)
216 0  216 (40)0  (40)
Other changes in fair value(a)
0 0  0 0 0  0 
Loans:
Changes in instrument-specific credit risk(a)
112 (13)(d)99 144 (4)(d)140 
Other changes in fair value(a)
93 928 (d)1,021 76 320 (d)396 
Other assets(a)
(28)(7)(e)(35)(5)0  (5)
Deposits(b)
(147)0 (147)(397)0 (397)
Federal funds purchased and securities loaned or sold under repurchase agreements58 0 58 2 0 2 
Short-term borrowings(b)
(54)0 (54)173 0 173 
Trading liabilities1 0 1 0 0 0 
Other liabilities(8)0 (8)1 0 1 
Long-term debt(b)(c)
(530)(4)(d)(534)(614)0 (614)







Three months ended September 30,
20212020
(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (e)
Principal transactionsAll other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreements$(19)$— $(19)$(148)$— $(148)
Securities borrowed(22)— (22)5 — 5 
Trading assets:
Debt and equity instruments, excluding loans(2,255)—  (2,255)1,780 (f)—  1,780 
Loans reported as trading assets:
Changes in instrument-specific credit risk66 —  66 216 —  216 
Other changes in fair value1 —  1 — —  — 
Loans:
Changes in instrument-specific credit risk119 (7)(c)112 112 (13)(c)99 
Other changes in fair value25 609 (c)634 93 928 (c)1,021 
Other assets(22)— 

(22)(28)(7)(d)(35)
Deposits(a)
38 — 38 (147)— (147)
Federal funds purchased and securities loaned or sold under repurchase agreements11 — 11 58 — 58 
Short-term borrowings(a)
388 — 388 (54)— (54)
Trading liabilities(1)— (1)1 — 1 
Other liabilities(1)— (1)(8)— (8)
Long-term debt(a)(b)
643 11 (c)(d)654 (530)(4)(c)(534)
115112


Nine months ended September 30,Nine months ended September 30,
2020201920212020
(in millions)(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (f)
Principal transactionsAll other income
Total changes in fair value recorded (f)
(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (e)
Principal transactionsAll other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements$96 $0 $96 $10 $0 $10 Federal funds sold and securities purchased under resale agreements$(33)$— $(33)$96 $— $96 
Securities borrowedSecurities borrowed173 0 173 179 0 179 Securities borrowed(119)— (119)173 — 173 
Trading assets:Trading assets:Trading assets:
Debt and equity instruments, excluding loansDebt and equity instruments, excluding loans(350)(1)(d)(351)2,104 0 2,104 Debt and equity instruments, excluding loans(1,188)(1)(c)(1,189)1,083 (f)(1)(c)1,082 
Loans reported as trading assets:Loans reported as trading assets:Loans reported as trading assets:
Changes in instrument-specific credit risk(a)
Changes in instrument-specific credit risk(a)
(39)0  (39)150 0 

150 
Changes in instrument-specific credit risk(a)
342 —  342 (39)—  (39)
Other changes in fair value(a)
Other changes in fair value(a)
1 0  1 (1)0 

(1)
Other changes in fair value(a)
(7)—  (7)1 —  1 
Loans:Loans:Loans:
Changes in instrument-specific credit risk(a)
Changes in instrument-specific credit risk(a)
143 2 (d)145 386 1 (d)387 
Changes in instrument-specific credit risk(a)
540 (9)(c)531 143 2 (c)145 
Other changes in fair value(a)
Other changes in fair value(a)
357 2,423 (d)2,780 285 885 (d)1,170 
Other changes in fair value(a)
(82)1,733 (c)1,651 357 2,423 (c)2,780 
Other assets(a)
Other assets(a)
74 1 (e)75 (2)3 (e)1 
Other assets(a)
6 (23)(d)(17)74 1 (d)75 
Deposits(b)(a)
Deposits(b)(a)
(612)0 (612)(1,589)0 (1,589)
Deposits(b)(a)
(53)— (53)(612)— (612)
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements(20)0 (20)(18)0 (18)Federal funds purchased and securities loaned or sold under repurchase agreements42 — 42 (20)— (20)
Short-term borrowings(b)(a)
Short-term borrowings(b)(a)
1,035 0 1,035 (601)0 (601)
Short-term borrowings(b)(a)
(223)— (223)1,035 — 1,035 
Trading liabilitiesTrading liabilities1 0 1 5 0 5 Trading liabilities(2)— (2)1 — 1 
Other liabilitiesOther liabilities(54)0 (54)(7)0 (7)Other liabilities1 — 1 (54)— (54)
Long-term debt(c)(b)
Long-term debt(c)(b)
70 (1)(d)69 (5,220)0 (5,220)
Long-term debt(c)(b)
(262)6 (c)(d)(256)70 (1)(c)69 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)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 $(6) million and $1 million for the three months ended September 30, 2021 and 2020, respectively and $(8) million and $20 million for the three and nine months ended September 30, 2021 and 2020, respectively. The amounts were 0t material for the three and nine months ended September 30, 2019.
(c)(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.
(d)(c)Reported in mortgage fees and related income.
(e)(d)Reported in other income.
(f)(e)Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than certain hybrid financial instruments.instruments recorded in CIB. Refer to Note 76 for further information regarding interest income and interest expense.
(f)Prior-period amounts have been revised to conform with the current presentation.
116
113


Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of September 30, 2020,2021, and December 31, 2019,2020, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(in millions)Contractual principal outstandingFair valueFair value over/(under) contractual principal outstandingContractual principal outstandingFair valueFair value over/(under) contractual principal outstanding(in millions)Contractual principal outstandingFair valueFair value over/(under) contractual principal outstandingContractual principal outstandingFair valueFair value over/(under) contractual principal outstanding
LoansLoansLoans
Nonaccrual loansNonaccrual loansNonaccrual loans
Loans reported as trading assets(a)
$2,917 $434 $(2,483)$2,563 $234 $(2,329)
Loans(a)
2,289 2,008 (281)964 696 (268)
Subtotal5,206 2,442 (2,764)3,527 930 (2,597)
90 or more days past due and government guaranteed(b)
Loans reported as trading assetsLoans reported as trading assets0 0 0 0 0 0 Loans reported as trading assets$3,591 $642 $(2,949)$3,386 $555 $(2,831)
LoansLoans310 297 (13)138 129 (9)Loans1,193 1,055 (138)1,867 1,507 (360)
SubtotalSubtotal310 297 (13)138 129 (9)Subtotal4,784 1,697 (3,087)5,253 2,062 (3,191)
90 or more days past due and government guaranteed(b)
90 or more days past due and government guaranteed(b)
Loans(a)
Loans(a)
301 289 (12)328 317 (11)
All other performing loans(c)(b)
All other performing loans(c)(b)
All other performing loans(c)(b)
Loans reported as trading assets(a)
7,654 5,844 (1,810)8,288 6,779 (1,509)
Loans(a)
35,493 35,915 422 43,955 44,130 175 
Loans reported as trading assetsLoans reported as trading assets7,950 6,699 (1,251)7,917 6,439 (1,478)
LoansLoans58,949 59,284 335 42,022 42,650 628 
SubtotalSubtotal43,147 41,759 (1,388)52,243 50,909 (1,334)Subtotal66,899 65,983 (916)49,939 49,089 (850)
Total loansTotal loans$48,663 $44,498 $(4,165)$55,908 $51,968 $(3,940)Total loans$71,984 $67,969 $(4,015)$55,520 $51,468 $(4,052)
Long-term debtLong-term debtLong-term debt
Principal-protected debtPrincipal-protected debt$40,141 (e)$39,536 $(605)$40,124 (e)$39,246 $(878)Principal-protected debt$37,445 (d)$35,244 $(2,201)$40,560 (d)$40,526 $(34)
Nonprincipal-protected debt(d)
NA33,450 NANA36,499 NA
Nonprincipal-protected debt(c)
Nonprincipal-protected debt(c)
NA41,255 NANA36,291 NA
Total long-term debtTotal long-term debtNA$72,986 NANA$75,745 NATotal long-term debtNA$76,499 NANA$76,817 NA
Long-term beneficial interestsLong-term beneficial interestsLong-term beneficial interests
Nonprincipal-protected debt(d)
NA$39 NANA$36 NA
Nonprincipal-protected debt(c)
Nonprincipal-protected debt(c)
NA$99 NANA$41 NA
Total long-term beneficial interestsTotal long-term beneficial interestsNA$39 NANA$36 NATotal long-term beneficial interestsNA$99 NANA$41 NA
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.
(c)(b)There were 0no performing loans that were ninety days or more past due as of September 30, 2020,2021, and December 31, 2019,2020, respectively.
(d)(c)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.
(e)(d)Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.
At September 30, 2020,2021, and December 31, 2019,2020, the contractual amount of lending-related commitments for which the fair value option was elected was $13.2$16.9 billion and $8.6$18.1 billion, respectively, with a corresponding fair value of $(115)$(2) million and $(120)$(39) million, respectively. Refer to Note 28 of JPMorgan Chase’s 20192020 Form 10-K, and Note 2322 of this Form 10-Q for further information regarding off-balance sheet lending-related financial instruments. Prior-period amounts have been revised to conform with the current presentation.
117114


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.
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(in millions)Long-term debtShort-term borrowingsDepositsTotalLong-term debtShort-term borrowingsDepositsTotal(in millions)Long-term debtShort-term borrowingsDepositsTotalLong-term debtShort-term borrowingsDepositsTotal
Risk exposureRisk exposureRisk exposure
Interest rateInterest rate$36,598 $59 $7,646 $44,303 $35,470 $34 $16,692 $52,196 Interest rate$35,571 $13 $5,700 $41,284 $38,129 $65 $5,057 $43,251 
CreditCredit5,302 1,052 0 6,354 5,715 875 0 6,590 Credit6,843 1,438 — 8,281 6,409 1,022 — 7,431 
Foreign exchangeForeign exchange3,645 134 0 3,779 3,862 48 5 3,915 Foreign exchange3,648 244 221 4,113 3,613 92 — 3,705 
EquityEquity26,414 5,902 7,094 39,410 29,294 4,852 8,177 42,323 Equity28,496 6,258 5,565 40,319 26,943 5,021 6,893 38,857 
CommodityCommodity363 26 2,274 2,663 472 32 1,454 1,958 Commodity321 — 6 (a)327 250 13 232 (a)495 
Total structured notesTotal structured notes$72,322 $7,173 $17,014 $96,509 $74,813 $5,841 $26,328 $106,982 Total structured notes$74,879 $7,953 $11,492 $94,324 $75,344 $6,213 $12,182 $93,739 

(a)Excludes deposits linked to precious metals for which the fair value option has not been elected of $676 million and $739 million for the periods ended September 30, 2021 and December 31, 2020, respectively.
118115


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 the Firm’s consumer 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 the Firm’s consumer 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.
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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 September 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 when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
September 30, 2020December 31, 2019
Credit exposure(h)(i)
On-balance sheet
Off-balance sheet(i)(k)
Credit exposure(h)(i)
On-balance sheet
Off-balance sheet(i)(k)
(in millions)
Loans(i)
Derivatives
Loans(i)
Derivatives
Consumer, excluding credit card$368,523 $322,098 (j)$— $46,425 $357,986 $317,817 $— $40,169 
Credit card(a)
803,237 140,377 — 662,860 819,644 168,924 — 650,720 
Total consumer-related(a)
1,171,760 462,475 — 709,285 1,177,630 486,741 — 690,889 
Wholesale-related(b)
Real Estate147,483 120,241 1,491 25,751 150,919 117,709 619 32,591 
Individuals and Individual Entities(c)
115,469 102,315 1,744 11,410 105,027 94,616 694 9,717 
Consumer & Retail107,037 41,461 2,802 62,774 106,986 36,985 1,424 68,577 
Industrials68,950 23,247 1,570 44,133 62,483 22,063 878 39,542 
Technology, Media &
Telecommunications		64,800 15,054 3,294 46,452 60,033 15,322 2,766 41,945 
Asset Managers61,569 26,167 8,758 26,644 54,304 24,008 7,160 23,136 
Healthcare59,864 20,617 3,430 35,817 50,824 17,607 2,078 31,139 
Banks & Finance Cos53,385 28,953 7,206 17,226 50,786 31,191 5,165 14,430 
Automotive40,930 16,819 3,453 20,658 35,118 18,844 368 15,906 
Oil & Gas40,431 12,920 1,340 26,171 41,641 13,101 852 27,688 
State & Municipal Govt(d)
37,472 17,245 2,435 17,792 30,095 13,271 2,000 14,824 
Utilities30,135 5,213 3,104 21,818 34,843 5,157 2,573 27,113 
Transportation17,154 7,689 1,713 7,752 14,497 5,253 715 8,529 
Chemicals & Plastics16,780 4,577 755 11,448 17,499 4,864 459 12,176 
Central Govt16,265 3,016 11,693 1,556 14,865 2,840 10,477 1,548 
Metals & Mining15,900 4,959 739 10,202 15,586 5,364 402 9,820 
Insurance13,509 1,215 2,741 9,553 12,348 1,356 2,282 8,710 
Financial Markets Infrastructure10,311 177 6,376 3,758 4,121 13 2,482 1,626 
Securities Firms8,092 599 4,865 2,628 7,381 757 4,507 2,117 
All other(e)
93,166 48,357 7,117 37,692 79,598 51,357 1,865 26,376 
Subtotal1,018,702 500,841 76,626 441,235 948,954 481,678 49,766 417,510 
Loans held-for-sale and loans at fair value26,424 26,424 — — 29,201 29,201 — — 
Receivables from customers and other(f)
30,847 — — — 33,706 — — — 
Total wholesale-related1,075,973 527,265 76,626 441,235 1,011,861 510,879 49,766 417,510 
Total exposure(g)(h)
$2,247,733 $989,740 $76,626 $1,150,520 $2,189,491 $997,620 $49,766 $1,108,399 
(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 September 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 September 30, 2020, and December 31, 2019, noted above, the Firm held: $7.5 billion and $6.5 billion, respectively, of trading assets; $20.9 billion and $29.8 billion, respectively, of AFS securities; and $12.8 billion and $4.8 billion, respectively, 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 91% and 9%, respectively, at September 30, 2020, and 90% and 10%, respectively, at December 31, 2019. Refer to Note 14 for more information on exposures to SPEs.
(f)Receivables from customers reflect 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 $478.4 billion and $254.0 billion, at September 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 collateral held against derivative receivables.
(i)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(j)At September 30, 2020, included $20.3 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 these loans.
(k)Represents lending-related financial instruments.
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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 20192020 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 disclosureAffected
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 hedgeCorporate127-128122-123
•Interest rate
Hedge floating-rate assets and liabilitiesCash flow hedgeCorporate129124
•Foreign exchange
Hedge foreign currency-denominated assets and liabilitiesFair value hedgeCorporate127-128122-123
•Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expenseCash flow hedgeCorporate129124
•Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entitiesNet investment hedgeCorporate130125
•Commodity
Hedge commodity inventoryFair value hedgeCIB, AWM127-128122-123
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 managementCCB130125
•Credit
Manage the credit risk associated with wholesale lending exposuresSpecified risk managementCIB130125
•Interest rate and foreign exchange
Manage the risk associated with certain other specified assets and liabilitiesSpecified risk managementCorporate130125
Market-making derivatives and other activities:
•Various
Market-making and related risk managementMarket-making and otherCIB130125
•Various
Other derivativesMarket-making and otherCIB, AWM, Corporate130125
121116


Notional amount of derivative contracts
The following table summarizes the notional amount of free-standing derivative contracts outstanding as of September 30, 2020,2021, and December 31, 2019.2020.
Notional amounts(b)
Notional amounts(b)
(in billions)(in billions)September 30, 2020December 31, 2019(in billions)September 30, 2021December 31, 2020
Interest rate contractsInterest rate contractsInterest rate contracts
SwapsSwaps$22,746 $21,228 Swaps$24,116 $20,990 (c)
Futures and forwardsFutures and forwards4,086 3,152 Futures and forwards3,824 3,057 
Written optionsWritten options3,512 3,938 Written options3,211 3,375 
Purchased optionsPurchased options3,875 4,361 Purchased options3,523 3,675 
Total interest rate contractsTotal interest rate contracts34,219 32,679 Total interest rate contracts34,674 31,097 
Credit derivatives(a)
Credit derivatives(a)
1,450 1,242 
Credit derivatives(a)
1,340 1,197 (c)
Foreign exchange contractsForeign exchange contractsForeign exchange contracts
Cross-currency swapsCross-currency swaps3,852 3,604 Cross-currency swaps4,081 3,924 
Spot, futures and forwardsSpot, futures and forwards7,304 5,577 Spot, futures and forwards8,268 6,871 
Written optionsWritten options810 700 Written options803 830 
Purchased optionsPurchased options815 718 Purchased options791 825 
Total foreign exchange contractsTotal foreign exchange contracts12,781 10,599 Total foreign exchange contracts13,943 12,450 
Equity contractsEquity contractsEquity contracts
SwapsSwaps416 406 Swaps628 448 
Futures and forwardsFutures and forwards130 142 Futures and forwards145 140 
Written optionsWritten options752 646 Written options750 668 (c)
Purchased optionsPurchased options714 611 Purchased options704 610 (c)
Total equity contractsTotal equity contracts2,012 1,805 Total equity contracts2,227 1,866 
Commodity contractsCommodity contractsCommodity contracts
SwapsSwaps134 147 Swaps185 138 
Spot, futures and forwardsSpot, futures and forwards219 211 Spot, futures and forwards195 198 
Written optionsWritten options138 135 Written options149 124 
Purchased optionsPurchased options125 124 Purchased options122 105 
Total commodity contractsTotal commodity contracts616 617 Total commodity contracts651 565 
Total derivative notional amountsTotal derivative notional amounts$51,078 $46,942 Total derivative notional amounts$52,835 $47,175 
(a)Refer to the Credit derivatives discussion on page 131126 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.
(c)Prior-period amounts have been revised to conform with the current presentation.
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.
122117


Impact of derivatives on the Consolidated balance sheets
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of September 30, 2020,2021, and December 31, 2019,2020, 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 receivablesGross derivative payablesGross derivative receivablesGross derivative payables
September 30, 2020
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
September 30, 2021
(in millions)		September 30, 2021
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
Trading assets and liabilitiesTrading assets and liabilitiesTrading assets and liabilities
Interest rateInterest rate$397,677 $802 $398,479 $37,058 $359,357 $0 $359,357 $12,471 Interest rate$284,351 $758 $285,109 $24,766 $252,292 $— $252,292 $8,832 
CreditCredit15,144 0 15,144 1,393 16,417 0 16,417 2,242 Credit10,524 — 10,524 1,175 11,799 — 11,799 1,393 
Foreign exchangeForeign exchange155,016 472 155,488 11,428 164,434 784 165,218 15,513 Foreign exchange162,107 1,089 163,196 14,525 161,159 936 162,095 14,005 
EquityEquity73,535 0 73,535 18,936 73,932 0 73,932 19,356 Equity74,422 — 74,422 10,492 86,837 — 86,837 17,774 
CommodityCommodity21,633 623 22,256 7,811 21,831 1,017 22,848 8,076 Commodity32,269 4,046 36,315 16,950 28,906 5,537 34,443 11,481 
Total fair value of trading assets and liabilitiesTotal fair value of trading assets and liabilities$663,005 $1,897 $664,902 $76,626 $635,971 $1,801 $637,772 $57,658 Total fair value of trading assets and liabilities$563,673 $5,893 $569,566 $67,908 $540,993 $6,473 $547,466 $53,485 
Gross derivative receivablesGross derivative payablesGross derivative receivablesGross derivative payables
December 31, 2019
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
December 31, 2020
(in millions)		December 31, 2020
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
Trading assets and liabilitiesTrading assets and liabilitiesTrading assets and liabilities
Interest rateInterest rate$312,451 $843 $313,294 $27,421 $279,272 $1 $279,273 $8,603 Interest rate$390,817 (c)$831 $391,648 $35,725 $353,987 (c)$— $353,987 $13,012 
CreditCredit14,876 0 14,876 701 15,121 0 15,121 1,652 Credit13,345 (c)— 13,345 680 14,832 (c)— 14,832 1,995 
Foreign exchangeForeign exchange138,179 308 138,487 9,005 144,125 983 145,108 13,158 Foreign exchange205,359 901 206,260 15,781 214,229 1,697 215,926 21,433 
EquityEquity45,727 0 45,727 6,477 52,741 0 52,741 12,537 Equity70,612 (c)— 70,612 16,487 (c)81,413 — 81,413 25,898 
CommodityCommodity16,914 328 17,242 6,162 19,736 149 19,885 7,758 Commodity20,579 924 21,503 6,771 20,834 1,895 22,729 8,285 
Total fair value of trading assets and liabilitiesTotal fair value of trading assets and liabilities$528,147 $1,479 $529,626 $49,766 $510,995 $1,133 $512,128 $43,708 Total fair value of trading assets and liabilities$700,712 $2,656 $703,368 $75,444 $685,295 $3,592 $688,887 $70,623 
(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.
(c)Prior-period amounts have been revised to conform with the current presentation.

123118


Derivatives netting
The following tables present, as of September 30, 2020,2021, and December 31, 2019,2020, 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 agencyliquid securities and other G7 government securities) and cash collateral held at third-party custodians, which are shown separately as “Collateral"Collateral not nettable on the Consolidated balance sheets”sheets" in the tables below, up to the fair value exposure amount;amount. For the purpose of this disclosure, the definition of liquid securities is consistent with the definition of high quality liquid assets as defined in the LCR rule;
•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.
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivablesGross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivablesGross derivative receivablesAmounts netted on the Consolidated balance sheetsNet
derivative receivables
U.S. GAAP nettable derivative receivablesU.S. GAAP nettable derivative receivablesU.S. GAAP nettable derivative receivables
Interest rate contracts:Interest rate contracts:Interest rate contracts:
Over-the-counter (“OTC”)Over-the-counter (“OTC”)$376,615 $(345,771)$30,844 $299,205 $(276,255)$22,950 Over-the-counter (“OTC”)$262,855 $(243,110)$19,745 $367,214 (e)$(337,609)(e)$29,605 
OTC–clearedOTC–cleared15,121 (14,984)137 9,442 (9,360)82 OTC–cleared17,441 (16,953)488 18,340 (17,919)421 
Exchange-traded(a)
Exchange-traded(a)
673 (666)7 347 (258)89 
Exchange-traded(a)
290 (280)10 554 (395)159 
Total interest rate contractsTotal interest rate contracts392,409 (361,421)30,988 308,994 (285,873)23,121 Total interest rate contracts280,586 (260,343)20,243 386,108 (355,923)30,185 
Credit contracts:Credit contracts:Credit contracts:
OTCOTC10,710 (9,913)797 10,743 (10,317)426 OTC7,735 (6,953)782 8,894 (e)(8,356)(e)538 
OTC–clearedOTC–cleared3,856 (3,838)18 3,864 (3,858)6 OTC–cleared2,492 (2,396)96 4,326 (4,309)17 
Total credit contractsTotal credit contracts14,566 (13,751)815 14,607 (14,175)432 Total credit contracts10,227 (9,349)878 13,220 (12,665)555 
Foreign exchange contracts:Foreign exchange contracts:Foreign exchange contracts:
OTCOTC151,749 (143,538)8,211 136,252 (129,324)6,928 OTC159,235 (148,098)11,137 201,349 (189,655)11,694 
OTC–clearedOTC–cleared538 (521)17 185 (152)33 OTC–cleared640 (572)68 834 (819)15 
Exchange-traded(a)
Exchange-traded(a)
17 (1)16 10 (6)4 
Exchange-traded(a)
10 (1)9 35 (5)30 
Total foreign exchange contractsTotal foreign exchange contracts152,304 (144,060)8,244 136,447 (129,482)6,965 Total foreign exchange contracts159,885 (148,671)11,214 202,218 (190,479)11,739 
Equity contracts:Equity contracts:Equity contracts:
OTCOTC31,974 (25,914)6,060 23,106 (20,820)2,286 OTC27,692 (25,632)2,060 29,844 (e)(27,374)2,470 
Exchange-traded(a)
Exchange-traded(a)
33,230 (28,685)4,545 19,654 (18,430)1,224 
Exchange-traded(a)
39,348 (38,298)1,050 28,294 (26,751)1,543 
Total equity contractsTotal equity contracts65,204 (54,599)10,605 42,760 (39,250)3,510 Total equity contracts67,040 (63,930)3,110 58,138 (54,125)4,013 
Commodity contracts:Commodity contracts:Commodity contracts:
OTCOTC11,812 (8,395)3,417 7,093 (5,149)1,944 OTC21,467 (8,256)13,211 10,924 (7,901)3,023 
OTC–clearedOTC–cleared22 (22)0 28 (28)0 OTC–cleared72 (72)— 20 (20)— 
Exchange-traded(a)
Exchange-traded(a)
6,317 (6,028)289 6,154 (5,903)251 
Exchange-traded(a)
11,482 (11,037)445 6,833 (6,811)22 
Total commodity contractsTotal commodity contracts18,151 (14,445)3,706 13,275 (11,080)2,195 Total commodity contracts33,021 (19,365)13,656 17,777 (14,732)3,045 
Derivative receivables with appropriate legal opinionDerivative receivables with appropriate legal opinion642,634 (588,276)54,358 (d)516,083 (479,860)36,223 (d)Derivative receivables with appropriate legal opinion550,759 (501,658)49,101 (d)677,461 (627,924)49,537 (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 obtained22,268 22,268 13,543 13,543 Derivative receivables where an appropriate legal opinion has not been either sought or obtained18,807 18,807 25,907 25,907 
Total derivative receivables recognized on the Consolidated balance sheetsTotal derivative receivables recognized on the Consolidated balance sheets$664,902 $76,626 $529,626 $49,766 Total derivative receivables recognized on the Consolidated balance sheets$569,566 $67,908 $703,368 $75,444 
Collateral not nettable on the Consolidated balance sheets(b)(c)
Collateral not nettable on the Consolidated balance sheets(b)(c)
(17,742)(14,226)
Collateral not nettable on the Consolidated balance sheets(b)(c)
(11,001)(14,806)
Net amountsNet amounts$58,884 $35,540 Net amounts$56,907 $60,638 
124119


September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payablesGross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payablesGross derivative payablesAmounts netted on the Consolidated balance sheetsNet
derivative payables
U.S. GAAP nettable derivative payablesU.S. GAAP nettable derivative payablesU.S. GAAP nettable derivative payables
Interest rate contracts:Interest rate contracts:Interest rate contracts:
OTCOTC$340,775 $(330,136)$10,639 $267,311 $(260,229)$7,082 OTC$232,047 $(224,749)$7,298 $332,214 (e)$(321,140)(e)$11,074 
OTC–clearedOTC–cleared16,396 (16,172)224 10,217 (10,138)79 OTC–cleared18,841 (18,532)309 19,710 (19,494)216 
Exchange-traded(a)
Exchange-traded(a)
584 (578)6 365 (303)62 
Exchange-traded(a)
184 (179)5 358 (341)17 
Total interest rate contractsTotal interest rate contracts357,755 (346,886)10,869 277,893 (270,670)7,223 Total interest rate contracts251,072 (243,460)7,612 352,282 (340,975)11,307 
Credit contracts:Credit contracts:Credit contracts:
OTCOTC11,855 (10,369)1,486 11,570 (10,080)1,490 OTC8,775 (8,060)715 10,311 (e)(8,781)(e)1,530 
OTC–clearedOTC–cleared3,815 (3,806)9 3,390 (3,389)1 OTC–cleared2,433 (2,346)87 4,075 (4,056)19 
Total credit contractsTotal credit contracts15,670 (14,175)1,495 14,960 (13,469)1,491 Total credit contracts11,208 (10,406)802 14,386 (12,837)1,549 
Foreign exchange contracts:Foreign exchange contracts:Foreign exchange contracts:
OTCOTC161,052 (149,114)11,938 142,360 (131,792)10,568 OTC157,829 (147,518)10,311 210,803 (193,672)17,131 
OTC–clearedOTC–cleared596 (587)9 186 (152)34 OTC–cleared579 (572)7 836 (819)17 
Exchange-traded(a)
Exchange-traded(a)
17 (4)13 12 (6)6 
Exchange-traded(a)
12 — 12 34 (2)32 
Total foreign exchange contractsTotal foreign exchange contracts161,665 (149,705)11,960 142,558 (131,950)10,608 Total foreign exchange contracts158,420 (148,090)10,330 211,673 (194,493)17,180 
Equity contracts:Equity contracts:Equity contracts:
OTCOTC31,055 (25,921)5,134 27,594 (21,778)5,816 OTC34,759 (30,733)4,026 35,330 (28,763)6,567 
Exchange-traded(a)
Exchange-traded(a)
32,508 (28,655)3,853 20,216 (18,426)1,790 
Exchange-traded(a)
43,462 (38,330)5,132 34,491 (26,752)7,739 
Total equity contractsTotal equity contracts63,563 (54,576)8,987 47,810 (40,204)7,606 Total equity contracts78,221 (69,063)9,158 69,821 (55,515)14,306 
Commodity contracts:Commodity contracts:Commodity contracts:
OTCOTC11,868 (8,590)3,278 8,714 (6,235)2,479 OTC18,060 (11,770)6,290 10,365 (7,544)2,821 
OTC–clearedOTC–cleared39 (39)0 30 (30)0 OTC–cleared85 (85)— 32 (32)— 
Exchange-traded(a)
Exchange-traded(a)
6,201 (6,143)58 6,012 (5,862)150 
Exchange-traded(a)
12,241 (11,107)1,134 7,391 (6,868)523 
Total commodity contractsTotal commodity contracts18,108 (14,772)3,336 14,756 (12,127)2,629 Total commodity contracts30,386 (22,962)7,424 17,788 (14,444)3,344 
Derivative payables with appropriate legal opinionDerivative payables with appropriate legal opinion616,761 (580,114)36,647 (d)497,977 (468,420)29,557 (d)Derivative payables with appropriate legal opinion529,307 (493,981)35,326 (d)665,950 (618,264)47,686 (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 obtained21,011 21,011 14,151 14,151 Derivative payables where an appropriate legal opinion has not been either sought or obtained18,159 18,159 22,937 22,937 
Total derivative payables recognized on the Consolidated balance sheetsTotal derivative payables recognized on the Consolidated balance sheets$637,772 $57,658 $512,128 $43,708 Total derivative payables recognized on the Consolidated balance sheets$547,466 $53,485 $688,887 $70,623 
Collateral not nettable on the Consolidated balance sheets(b)(c)
Collateral not nettable on the Consolidated balance sheets(b)(c)
(11,359)(7,896)
Collateral not nettable on the Consolidated balance sheets(b)(c)
(7,091)(11,964)
Net amountsNet amounts$46,299 $35,812 Net amounts$46,394 $58,659 
(a)Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)RepresentsIncludes liquid security collateral as well assecurities and other 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 $80.1$68.8 billion and $65.9$88.0 billion at September 30, 2020,2021, and December 31, 2019,2020, respectively. Net derivatives payable included cash collateral netted of $71.9$61.2 billion and $54.4$78.4 billion at September 30, 2020,2021, and December 31, 2019,2020, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.
(e)Prior-period amounts have been revised to conform with the current presentation.
125
120

Liquidity risk and credit-related contingent features
Refer to Note 5 of JPMorgan Chase’s 20192020 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 September 30, 2020,2021, and December 31, 2019.2020.
OTC and OTC-cleared derivative payables containing downgrade triggersOTC and OTC-cleared derivative payables containing downgrade triggersOTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
Aggregate fair value of net derivative payablesAggregate fair value of net derivative payables$25,629 $14,819 Aggregate fair value of net derivative payables$19,541 $26,945 (a)
Collateral postedCollateral posted24,299 13,329 Collateral posted17,160 26,289 
(a)Prior-period amount has been revised to conform with the current presentation.
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 September 30, 2020,2021, and December 31, 2019,2020, 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 derivativesLiquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(in millions)Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade(in millions)Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
Amount of additional collateral to be posted upon downgrade(a)
$163 $1,273 $189 $1,467 
Amount of additional collateral to be posted upon downgrade(a)
$230 $1,572 $119 $1,243 
Amount required to settle contracts with termination triggers upon downgrade(b)
Amount required to settle contracts with termination triggers upon downgrade(b)
158 1,977 104 1,398 
Amount required to settle contracts with termination triggers upon downgrade(b)
109 685 153 1,682 (c)
(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.
(c)Prior-period amount has been revised to conform with the current presentation.
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 11,10, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding was not material at September 30, 20202021 and December 31, 2019.2020.
126121

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 nine months ended September 30, 20202021 and 2019,2020, 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 September 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Three months ended September 30, 2021
(in millions)		Three months ended September 30, 2021
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract typeContract typeContract type
Interest rate(a)(b)
Interest rate(a)(b)
$(464)$743 $279 $0 $309 $0 
Interest rate(a)(b)
$(812)$1,401 $589 $— $592 $— 
Foreign exchange(c)
Foreign exchange(c)
307 (280)27 (79)27 (91)
Foreign exchange(c)
(363)367 4 (71)3 12 
Commodity(d)
Commodity(d)
(569)593 24 0 14 0 
Commodity(d)
(732)754 22 — 14 — 
TotalTotal$(726)$1,056 $330 $(79)$350 $(91)Total$(1,907)$2,522 $615 $(71)$609 $12 
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 September 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Three months ended September 30, 2020
(in millions)		Three months ended September 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract typeContract typeContract type
Interest rate(a)(b)
Interest rate(a)(b)
$1,770 $(1,550)$220 $0 $228 $0 
Interest rate(a)(b)
$(464)$743 $279 $— $309 $— 
Foreign exchange(c)
Foreign exchange(c)
(167)293 126 (224)126 (1)
Foreign exchange(c)
307 (280)27 (79)27 (91)
Commodity(d)
Commodity(d)
278 (232)46 0 49 0 
Commodity(d)
(569)593 24 — 14 — 
TotalTotal$1,881 $(1,489)$392 $(224)$403 $(1)Total$(726)$1,056 $330 $(79)$350 $(91)
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
Nine months ended September 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Nine months ended September 30, 2021
(in millions)		Nine months ended September 30, 2021
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract typeContract typeContract type
Interest rate(a)(b)
Interest rate(a)(b)
$4,087 $(3,333)$754 $0 $728 $0 
Interest rate(a)(b)
$(3,749)$5,217 $1,468 $— $1,572 $— 
Foreign exchange(c)
Foreign exchange(c)
579 (430)149 (379)149 45 
Foreign exchange(c)
(862)893 31 (221)30 (56)
Commodity(d)
Commodity(d)
(771)882 111 0 107 0 
Commodity(d)
(5,119)5,197 78 — 46 — 
TotalTotal$3,895 $(2,881)$1,014 $(379)$984 $45 Total$(9,730)$11,307 $1,577 $(221)$1,648 $(56)
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
Nine months ended September 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Nine months ended September 30, 2020
(in millions)		Nine months ended September 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract typeContract typeContract type
Interest rate(a)(b)
Interest rate(a)(b)
$4,996 $(4,399)$597 $0 $596 $0 
Interest rate(a)(b)
$4,087 $(3,333)$754 $— $728 $— 
Foreign exchange(c)
Foreign exchange(c)
(31)401 370 (675)370 114 
Foreign exchange(c)
579 (430)149 (379)149 45 
Commodity(d)
Commodity(d)
(164)237 73 0 67 0 
Commodity(d)
(771)882 111 — 107 — 
TotalTotal$4,801 $(3,761)$1,040 $(675)$1,033 $114 Total$3,895 $(2,881)$1,014 $(379)$984 $45 
(a)Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”("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.
127122

As of September 30, 20202021 and December 31, 2019,2020, 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:
September 30, 2020
(in millions)		Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
September 30, 2021
(in millions)		September 30, 2021
(in millions)
Carrying amount of the hedged items(a)(b)
Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
AssetsAssetsAssets
Investment securities - AFSInvestment securities - AFS$136,335 (c)$5,171 $800 $5,971 Investment securities - AFS$71,464 (c)$906 $558 $1,464 
LiabilitiesLiabilitiesLiabilities
Long-term debtLong-term debt$173,402 $5,324 $11,790 $17,114 Long-term debt$191,783 $(1,121)$9,042 $7,921 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs746 0 (3)(3)Beneficial interests issued by consolidated VIEs748 — (2)(2)
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
December 31, 2020
(in millions)		December 31, 2020
(in millions)
Carrying amount of the hedged items(a)(b)
Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
AssetsAssetsAssets
Investment securities - AFSInvestment securities - AFS$125,860 (c)$2,110 $278 $2,388 Investment securities - AFS$139,684 (c)$3,572 $847 $4,419 
LiabilitiesLiabilitiesLiabilities
Long-term debtLong-term debt$157,545 $6,719 $161 $6,880 Long-term debt$177,611 $3,194 $11,473 $14,667 
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs2,365 0 (8)(8)Beneficial interests issued by consolidated VIEs746 — (3)(3)
(a)Excludes physical commodities with a carrying value of $9.5$19.3 billion and $6.5$11.5 billion at September 30, 20202021 and December 31, 2019,2020, 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 September 30, 20202021 and December 31, 2019,2020, the carrying amount excluded for AFS securities is $14.4$12.6 billion and $14.9$14.5 billion, respectively, and for long-term debt is $6.4$11.8 billion and $2.8$6.6 billion, respectively.
(c)Carrying amount represents the amortized cost.cost, net of allowance if applicable. Refer to Note 9for additional information.
(d)Represents basis adjustments existing on the balance sheet date associated with hedged items that have been de-designated from qualifying fair value hedging 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.
128123

Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the three and nine months ended September 30, 20202021 and 2019,2020, respectively. The Firm includes the gain/(loss)gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2021
(in millions)		Three months ended September 30, 2021
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract typeContract type
Interest rate(a)
Interest rate(a)
$272 $(232)$(504)
Foreign exchange(b)
Foreign exchange(b)
54 (35)(89)
TotalTotal$326 $(267)$(593)
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 September 30, 2020
(in millions)		Three months ended September 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period		Three months ended September 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI
Total change
in OCI for period
Contract typeContract typeContract type
Interest rate(a)
Interest rate(a)
$214 $8 $(206)
Interest rate(a)
$214 $8 $(206)
Foreign exchange(b)
Foreign exchange(b)
13 126 113 
Foreign exchange(b)
13 126 113 
TotalTotal$227 $134 $(93)Total$227 $134 $(93)
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 September 30, 2019
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI
Total change
in OCI for period
Nine months ended September 30, 2021
(in millions)		Nine months ended September 30, 2021
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract typeContract typeContract type
Interest rate(a)
Interest rate(a)
$(16)$290 $306 
Interest rate(a)
$771 $(1,871)$(2,642)
Foreign exchange(b)
Foreign exchange(b)
(21)(68)(47)
Foreign exchange(b)
159 27 (132)
TotalTotal$(37)$222 $259 Total$930 $(1,844)$(2,774)
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2020
(in millions)		Nine months ended September 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period		Nine months ended September 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract typeContract typeContract type
Interest rate(a)
Interest rate(a)
$332 $3,881 $3,549 
Interest rate(a)
$332 $3,881 $3,549 
Foreign exchange(b)
Foreign exchange(b)
(4)(94)(90)
Foreign exchange(b)
(4)(94)(90)
TotalTotal$328 $3,787 $3,459 Total$328 $3,787 $3,459 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 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)
$(12)$501 $513 
Foreign exchange(b)
(90)(37)53 
Total$(102)$464 $566 
(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 nine months ended September 30, 20202021 and 2019.2020.
Over the next 12 months, the Firm expects that approximately $709$812 million (after-tax) of net gains recorded in AOCI at September 30, 2020,2021, 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 nineeight 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.
129124

Net investment hedge gains and losses
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three and nine months ended September 30, 20202021 and 2019.2020.
Gains/(losses) recorded in income and other comprehensive income/(loss)Gains/(losses) recorded in income and other comprehensive income/(loss)
2020201920212020
Three months ended September 30,
(in millions)		Three months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Amounts recorded in
income(a)(b)
Amounts recorded in OCIThree months ended September 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 derivativesForeign exchange derivatives$(37)$(868)$17 $866 Foreign exchange derivatives$(73)$1,028 $(37)$(868)
Gains/(losses) recorded in income and other comprehensive income/(loss)Gains/(losses) recorded in income and other comprehensive income/(loss)
2020201920212020
Nine months ended September 30,
(in millions)		Nine months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Amounts recorded in
income(a)(b)
Amounts recorded in OCINine months ended September 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 derivativesForeign exchange derivatives$(108)$308 $65 $705 Foreign exchange derivatives$(180)$1,958 $(108)$308 
(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. The amount reclassified for the three and nine months ended September 30, 2021 was not material. During the nine months ended September 30, 2020, the Firm reclassified pre-tax (losses)losses of $(8)$8 million to other income related to the liquidation of certain legal entities and the amount was 0tnot material for the three months ended September 30, 2020. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $5 million to other income related to the liquidation of certain legal entities. Refer to Note 2019 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Contract typeContract typeContract type
Interest rate(a)
Interest rate(a)
$597 $769 $2,533 $1,718 
Interest rate(a)
$320 $597 $822 $2,533 
Credit(b)
Credit(b)
(19)(21)(58)(33)
Credit(b)
(14)(19)(81)(58)
Foreign exchange(c)
Foreign exchange(c)
18 40 96 15 
Foreign exchange(c)
14 18 82 96 
TotalTotal$596 $788 $2,571 $1,700 Total$320 $596 $823 $2,571 
(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 65 for information on principal transactions revenue.
130125

Credit derivatives
Refer to Note 5 of JPMorgan Chase’s 20192020 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 September 30, 20202021 and December 31, 2019.2020. 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
September 30, 2020 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
September 30, 2021 (in millions)September 30, 2021 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivativesCredit derivativesCredit derivatives
Credit default swapsCredit default swaps$(655,517)$671,373 $15,856 $3,847 Credit default swaps$(577,311)$599,454 $22,143 $3,198 
Other credit derivatives(a)
Other credit derivatives(a)
(45,964)63,025 17,061 10,197 
Other credit derivatives(a)
(61,083)82,067 20,984 16,431 
Total credit derivativesTotal credit derivatives(701,481)734,398 32,917 14,044 Total credit derivatives(638,394)681,521 43,127 19,629 
Credit-related notesCredit-related notes0 0 0 9,452 Credit-related notes— — — 12,745 
TotalTotal$(701,481)$734,398 $32,917 $23,496 Total$(638,394)$681,521 $43,127 $32,374 
Maximum payout/Notional amountMaximum payout/Notional amount
December 31, 2019 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
December 31, 2020 (in millions)December 31, 2020 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivativesCredit derivativesCredit derivatives
Credit default swapsCredit default swaps$(562,338)$571,892 $9,554 $3,936 Credit default swaps$(533,900)(e)$552,021 (e)$18,121 $2,786 (e)
Other credit derivatives(a)
Other credit derivatives(a)
(50,395)(e)46,541 (e)(3,854)

7,364 
Other credit derivatives(a)
(40,084)57,344 17,260 

10,630 (e)
Total credit derivativesTotal credit derivatives(612,733)618,433 5,700 11,300 Total credit derivatives(573,984)609,365 35,381 13,416 
Credit-related notesCredit-related notes0 0 0 9,606 Credit-related notes— — — 10,248 
TotalTotal$(612,733)$618,433 $5,700 $20,906 Total$(573,984)$609,365 $35,381 $23,664 
(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.
(e)Prior-period amounts have been revised to conform with the current presentation.
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of September 30, 2020,2021, and December 31, 2019,2020, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
September 30, 2020
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Protection sold — credit derivatives ratings(a)/maturity profile
Protection sold — credit derivatives ratings(a)/maturity profile
September 30, 2021
(in millions)		September 30, 2021
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entityRisk rating of reference entityRisk rating of reference entity
Investment-gradeInvestment-grade$(102,910)$(334,763)$(87,060)$(524,733)$4,837 $(1,757)$3,080 Investment-grade$(116,560)$(291,195)$(78,593)$(486,348)$3,996 $(597)$3,399 
Noninvestment-gradeNoninvestment-grade(37,438)(112,679)(26,631)(176,748)3,332 (4,325)(993)Noninvestment-grade(31,180)(96,565)(24,301)(152,046)3,110 (1,886)1,224 
TotalTotal$(140,348)$(447,442)$(113,691)$(701,481)$8,169 $(6,082)$2,087 Total$(147,740)$(387,760)$(102,894)$(638,394)$7,106 $(2,483)$4,623 
December 31, 2019
(in millions)
<1 year(c)
1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)(c)
Fair value of payables(b)(c)
Net fair value
December 31, 2020
(in millions)		December 31, 2020
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entityRisk rating of reference entityRisk rating of reference entity
Investment-gradeInvestment-grade$(119,788)$(311,407)$(42,129)$(473,324)$6,168 $(901)$5,267 Investment-grade$(93,529)(c)$(306,830)(c)$(35,326)$(435,685)$5,372 (c)$(834)(c)$4,538 
Noninvestment-gradeNoninvestment-grade(41,799)(87,769)(9,841)(139,409)4,287 (2,817)1,470 Noninvestment-grade(31,809)(97,337)(9,153)(138,299)3,953 (2,542)1,411 
TotalTotal$(161,587)$(399,176)$(51,970)$(612,733)$10,455 $(3,718)$6,737 Total$(125,338)$(404,167)$(44,479)$(573,984)$9,325 $(3,376)$5,949 
(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 including cash collateral netting.
(c)Prior-period amounts have been revised to conform with the current presentation.
131126

Note 65 – Noninterest revenue and noninterest expense
Noninterest revenue
Refer to Note 6 of JPMorgan Chase’s 20192020 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
UnderwritingUnderwritingUnderwriting
EquityEquity$736 $517 $2,037 $1,293 Equity$1,034 $736 $3,169 $2,037 
DebtDebt1,019 955 3,342 2,720 Debt1,019 1,019 3,713 3,342 
Total underwritingTotal underwriting1,755 1,472 5,379 4,013 Total underwriting2,053 1,755 6,882 5,379 
AdvisoryAdvisory432 495 1,524 1,645 Advisory1,229 432 2,840 1,524 
Total investment banking feesTotal investment banking fees$2,187 $1,967 $6,903 $5,658 Total investment banking fees$3,282 $2,187 $9,722 $6,903 
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 cashfund deployment activities in Treasury and CIO. Refer to Note 76 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Trading revenue by instrument typeTrading revenue by instrument typeTrading revenue by instrument type
Interest rate(a)
Interest rate(a)
$287 $866 (d)$2,258 $2,128 (d)
Interest rate(a)
$339 $287 

$1,726 $2,258 
Credit(b)
Credit(b)
950 (c)309 (d)2,201 (c)1,402 (d)
Credit(b)
496 950 (c)2,525 

2,201 (c)
Foreign exchangeForeign exchange714 876 (d)3,606 2,501 (d)Foreign exchange648 714 2,287 3,606 
EquityEquity1,410 1,007 (d)4,816 4,282 (d)Equity1,863 1,410 6,449 4,816 
CommodityCommodity747 372 (d)1,775 984 (d)Commodity315 747 1,165 1,775 
Total trading
revenue		Total trading
revenue		4,108 3,430 14,656 11,297 Total trading revenue3,661 4,108 14,152 14,656 
Private equity gains/(losses)Private equity gains/(losses)34 19 44 (58)Private equity gains/(losses)(115)34 (30)44 
Principal transactionsPrincipal transactions$4,142 $3,449 $14,700 $11,239 Principal transactions$3,546 $4,142 $14,122 $14,700 
(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 marks 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 September 30,Nine months ended September 30,
(in millions)2020201920202019
Lending-related fees$337 $286 $916 $861 
Deposit-related fees(a)
1,310 1,385 3,868 3,993 
Total lending- and deposit-related fees$1,647 $1,671 $4,784 $4,854 
(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.
Three months ended September 30,Nine months ended September 30,
(in millions)2021202020212020
Lending-related fees$374 $337 $1,102 $916 
Deposit-related fees1,427 1,310 4,146 3,868 
Total lending- and deposit-related fees$1,801 $1,647 $5,248 $4,784 
Asset management, administration and commissions
The following table presents the components of asset management, administration and commissions.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Asset management feesAsset management feesAsset management fees
Investment management fees(a)
Investment management fees(a)
$2,937 $2,738 $8,439 $8,013 
Investment management fees(a)
$3,554 $2,937 $10,232 $8,439 
All other asset management fees(b)
All other asset management fees(b)
85 82 253 229 
All other asset management fees(b)
94 85 283 253 
Total asset management feesTotal asset management fees3,022 2,820 8,692 8,242 Total asset management fees3,648 3,022 10,515 8,692 
Total administration fees(c)
Total administration fees(c)
561 567 1,661 1,646 
Total administration fees(c)
642 561 1,925 1,661 
Commissions and other feesCommissions and other feesCommissions and other fees
Brokerage commissions(d)
Brokerage commissions(d)
645 634 2,224 1,861 
Brokerage commissions(d)
719 645 2,280 2,224 
All other commissions and fees(e)
All other commissions and fees(e)
242 285 699 858 
All other commissions and fees(e)
248 242 760 699 
Total commissions and feesTotal commissions and fees887 919 2,923 2,719 Total commissions and fees967 887 3,040 2,923 
Total asset management, administration and commissionsTotal asset management, administration and commissions$4,470 $4,306 $13,276 $12,607 Total asset management, administration and commissions$5,257 $4,470 $15,480 $13,276 
(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 have been revised to conform with the current presentation.
132127

Card income
The following table presents the components of card income:
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Interchange and merchant processing incomeInterchange and merchant processing income$4,757 $5,127 $13,479 $15,032 Interchange and merchant processing income$6,117 $4,757 $16,959 $13,479 
Rewards costs and partner payments(a)
Rewards costs and partner payments(a)
(3,497)(3,719)(9,895)(10,697)
Rewards costs and partner payments(a)
(4,860)(3,497)(12,676)(9,895)
Other card income(b)(a)
Other card income(b)(a)
(91)(175)(446)(594)
Other card income(b)(a)
(252)(91)(281)(446)
Total card incomeTotal card income$1,169 $1,233 $3,138 $3,741 Total card income$1,005 $1,169 $4,002 $3,138 
(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 MSRs14 for further information on mortgage fees and related income.servicing rights, including risk management activities.
Refer to Note 1716 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Legal expense/(benefit)$524 $10 $839 $(2)
Legal expenseLegal expense$76 $524 $289 $839 
FDIC-related expenseFDIC-related expense186 114 503 378 FDIC-related expense173 186 551 503 

Note 76 – Interest income and Interest expense
Refer to Note 7 of JPMorgan Chase’s 20192020 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
September 30,		Nine months ended
September 30,		Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Interest incomeInterest incomeInterest income
Loans(b)(a)
Loans(b)(a)
$10,215 $12,977 $33,409 $39,269 
Loans(b)(a)
$10,445 $10,215 $30,777 $33,409 
Taxable securitiesTaxable securities1,816 2,132 6,203 5,712 Taxable securities1,553 1,816 4,735 6,203 
Non-taxable securities(c)(b)
Non-taxable securities(c)(b)
294 318 901 1,021 
Non-taxable securities(c)(b)
262 294 809 901 
Total investment securities(a)
Total investment securities(a)
2,110 2,450 7,104 6,733 
Total investment securities(a)
1,815 2,110 5,544 7,104 
Trading assets - debt instruments(b)
Trading assets - debt instruments(b)
1,850 2,216 5,980 7,123 
Trading assets - debt instruments(b)
1,682 1,850 5,175 5,980 
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements401 1,542 2,097 4,865 Federal funds sold and securities purchased under resale agreements231 401 639 2,097 
Securities borrowed(d)(c)
Securities borrowed(d)(c)
(128)

434 (151)1,298 
Securities borrowed(d)(c)
(73)

(128)(240)(151)
Deposits with banksDeposits with banks69 898 708 3,200 Deposits with banks174 69 342 708 
All other interest-earning assets(e)(d)
All other interest-earning assets(e)(d)
183 604 826 1,625 
All other interest-earning assets(e)(d)
206 183 608 826 
Total interest incomeTotal interest income14,700 21,121 49,973 64,113 Total interest income$14,480 $14,700 $42,845 $49,973 
Interest expenseInterest expenseInterest expense
Interest-bearing depositsInterest-bearing deposits245 2,409 2,169 7,010 Interest-bearing deposits$126 $245 $404 $2,169 
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements105 1,241 1,023 3,577 Federal funds purchased and securities loaned or sold under repurchase agreements119 105 194 1,023 
Short-term borrowings(f)(e)
Short-term borrowings(f)(e)
60 261 335 1,051 
Short-term borrowings(f)(e)
31 60 97 335 
Trading liabilities – debt and all other interest-bearing liabilities(g)(f)
Trading liabilities – debt and all other interest-bearing liabilities(g)(f)
(51)660 278 2,141 
Trading liabilities – debt and all other interest-bearing liabilities(g)(f)
52 (51)130 278 
Long-term debtLong-term debt1,293 2,188 4,679 6,796 Long-term debt1,054 1,293 3,244 4,679 
Beneficial interest issued by consolidated VIEsBeneficial interest issued by consolidated VIEs35 134 184 459 Beneficial interest issued by consolidated VIEs18 35 66 184 
Total interest expenseTotal interest expense1,687 6,893 8,668 21,034 Total interest expense$1,400 $1,687 $4,135 $8,668 
Net interest incomeNet interest income13,013 14,228 41,305 43,079 Net interest income$13,080 $13,013 $38,710 $41,305 
Provision for credit lossesProvision for credit losses611 1,514 19,369 4,158 Provision for credit losses(1,527)611 (7,968)19,369 
Net interest income after provision for credit lossesNet interest income after provision for credit losses$12,402 $12,714 $21,936 $38,921 Net interest income after provision for credit losses$14,607 $12,402 $46,678 $21,936 
(a)Includes the amortization/accretion of unearned income (e.g., purchase premiums/discounts and net deferred fees/costs, etc.)costs).
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(c)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(d)(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.
(e)(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.
(f)(e)Includes commercial paper.
(g)(f)OtherAll other interest-bearing liabilities includes interest expense on prime brokerage-related customer payables.
133128

Note 87 – Pension and other postretirement employee benefit plans
Refer to Note 8 of JPMorgan Chase’s 20192020 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 September 30,Nine months ended September 30,
20202019202020192020201920202019
Pension plansOPEB plansPension plansOPEB plans
Components of net periodic benefit cost
Benefits earned during the period$9 $88 $0 $0 $25 $266 $0 $0 
Interest cost on benefit obligations120 148 5 6 360 447 15 18 
Expected return on plan assets(192)(227)(28)(28)(575)(686)(83)(84)
Amortization: 
Net (gain)/loss4 42 0 0 11 125 0 0 
Prior service (credit)/cost0 0 0 0 2 2 0 0 
Net periodic defined benefit (credit)/cost(59)51 (23)(22)(177)154 (68)(66)
Other defined benefit pension plans(a)
8 7 NANA27 20 NANA
Total defined benefit plans(51)58 (23)(22)(150)174 (68)(66)
Total defined contribution plans340 255 NANA960 718 NANA
Total pension and OPEB cost included in noninterest expense$289 $313 $(23)$(22)$810 $892 $(68)$(66)
(a)    Includes various defined benefit pension plans which are individually immaterial.
(in millions)Three months ended September 30,Nine months ended September 30,
2021202020212020
Pension and OPEB plansPension and OPEB plans
Components of net periodic benefit cost, U.S. defined benefit pension plans
Benefits earned during the period$— $— $1 $1 
Interest cost on benefit obligations85 105 256 316 
Expected return on plan assets(129)(158)(387)(475)
Amortization:
Net (gain)/loss3 2 8 5 
Net periodic defined benefit plan cost/(credit), U.S. defined benefit pension plans(41)(51)(122)(153)
Other defined benefit pension and OPEB plans(24)(23)(62)(65)
Total net periodic defined benefit plan cost/(credit)(65)(74)(184)(218)
Total defined contribution plans327 340 998 960 
Total pension and OPEB cost included in noninterest expense$262 $266 $814 $742 
The following table presents the fair values of plan assets for the U.S.Firm's defined benefit pension and OPEB plans and for the material non-U.S. defined benefit pension plans.
(in billions)September 30,
2020		December 31, 2019
Fair value of plan assets
Defined benefit pension plans$21.1 $20.4 
OPEB plans3.1 3.0 
There are 0 expected contributions to the U.S. defined benefit pension plan for 2020.
(in billions)September 30,
2021		December 31, 2020
Fair value of plan assets
U.S. defined benefit pension plans$17.5 $17.6 
Other defined benefit pension and OPEB plans7.9 7.8 
134129

Note 98 – Employee share-based incentives
Refer to Note 9 of JPMorgan Chase’s 20192020 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
September 30,		Nine months ended
September 30,		Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Cost of prior grants of RSUs, performance share units (“PSUs”) and employee stock options that are amortized over their applicable vesting periods$249 $265 $859 $882 
Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees272 294 1,108 900 
Cost of prior grants of RSUs, performance share units (“PSUs”), stock appreciation rights ("SARs") and stock options that are amortized over their applicable vesting periodsCost of prior grants of RSUs, performance share units (“PSUs”), stock appreciation rights ("SARs") and stock options that are amortized over their applicable vesting periods$283 $249 $919 $859 
Accrual of estimated costs of share-based awards to be granted in future periods, predominantly those to full-career eligible employeesAccrual of estimated costs of share-based awards to be granted in future periods, predominantly those to full-career eligible employees335 272 1,346 1,108 
Total noncash compensation expense related to employee share-based incentive plansTotal noncash compensation expense related to employee share-based incentive plans$521 $559 $1,967 $1,782 Total noncash compensation expense related to employee share-based incentive plans$618 $521 $2,265 $1,967 
In the first quarter of 2020,2021, in connection with its annual incentive grant for the 20192020 performance year, the Firm granted 1517 million RSUs and 496678 thousand PSUs with weighted-average grant date fair values of $135.64$137.38 per RSU and $135.30$136.94 per PSU.
135130

Note 109 – 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 nine months ended September 30, 2020, the Firm transferred $100.5 billion of investment securities, consisting of $74.4 billion in the third quarter of 2020 and $26.1 billion
in the first quarter of 2020, from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains of $2.9 billion and $1.0 billion on the securities at the dates of transfer for the quarters ended September 30, 2020, and March 31, 2020, respectively.
Unrealized gains or losses at the date of transfer of these securities continue to be reported in AOCI and are amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the premium or discount resulting from the transfer recorded at fair value.
Transfers of securities from AFS to HTM are non-cash transactions and are recorded at fair value.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
September 30, 2020December 31, 2019
(in millions)
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)
$96,865 $2,807 $78 $99,594 $107,811 $2,395 $89 $110,117 
Residential:
U.S.6,954 296 4 7,246 10,223 233 6 10,450 
Non-U.S.4,134 54 11 4,177 2,477 64 1 2,540 
Commercial2,923 62 49 2,936 5,137 64 13 5,188 
Total mortgage-backed securities110,876 3,219 142 113,953 125,648 2,756 109 128,295 
U.S. Treasury and government agencies213,887 2,820 128 216,579 139,162 449 175 139,436 
Obligations of U.S. states and municipalities19,518 1,370 5 20,883 27,693 2,118 1 29,810 
Certificates of deposit0 0 0 0 77 0 0 77 
Non-U.S. government debt securities20,695 353 11 21,037 21,427 377 17 21,787 
Corporate debt securities270 4 3 271 823 22 0 845 
Asset-backed securities:
Collateralized loan obligations10,253 19 70 10,202 25,038 9 56 24,991 
Other6,600 90 32 6,658 5,438 40 20 5,458 
Total available-for-sale securities(b)
382,099 7,875 391 389,583 345,306 5,771 378 350,699 
Held-to-maturity securities(c)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
100,364 2,992 85 103,271 36,523 1,165 62 37,626 
U.S. Residential4,791 5 2 4,794 0 0 0 0 
Commercial2,583 44 2 2,681 0 0 0 0 
Total mortgage-backed securities107,738 3,041 89 110,746 36,523 1,165 62 37,626 
U.S. Treasury and government agencies51 2 0 53 51 0 1 50 
Obligations of U.S. states and municipalities12,828 413 60 13,245 4,797 299 0 5,096 
Asset-backed securities:
Collateralized loan obligations20,936 34 18 20,952 6,169 0 0 6,169 
Total held-to-maturity securities, net of allowance for credit losses(d)
141,553 3,490 167 144,996 47,540 1,464 63 48,941 
Total investment securities, net of allowance for credit losses(d)
$523,652 $11,365 $558 $534,579 $392,846 $7,235 $441 $399,640 
(a)Includes AFS U.S. GSE obligations with fair values of $55.6 billion and $78.5 billion, and HTM U.S. GSE obligations with amortized cost of $82.4 billion and $31.6 billion, at September 30, 2020, and December 31, 2019, respectively. As of September 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 $92.9 billion and $96.5 billion, and $43.0 billion and $44.3 billion, respectively.
(b)There was 0 allowance for credit losses on AFS securities at September 30, 2020.
(c)The Firm purchased $514 million and $5.5 billion of HTM securities for the three and nine months ended September 30, 2020, respectively, and $10.9 billion and $11.7 billion for the three and nine months ended September 30, 2019, respectively.
(d)HTM securities measured at amortized cost are reported net of allowance for credit losses of $120 million at September 30, 2020.
(e)Excludes $2.0 billion and $1.9 billion of accrued interest receivables at September 30, 2020 and December 31, 2019, respectively. The Firm did 0t reverse through interest income any accrued interest receivables for the three and nine months ended September 30, 2020 and 2019.
136

At September 30, 2020,2021, 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&PDuring the second quarter of 2021, the Firm transferred $104.5 billion of investment securities from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains of $425 million on the securities at the date of transfer.
Refer to Note 10 of JPMorgan Chase’s 2020 Form 10-K for additional information regarding the investment securities portfolio.
The amortized costs and Moody’s, however the quantitative characteristics (e.g., probability of default (“PD”) and loss given default (“LGD”)) may differ as they reflect internal historical experiences and assumptions.Risk ratings are assigned at acquisition, are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary over the lifeestimated fair values of the investment securities portfolio were as follows for updated information affecting the issuer’s ability to fulfill its obligations.dates indicated.
September 30, 2021December 31, 2020
(in millions)
Amortized cost(c)(d)
Gross unrealized gainsGross unrealized lossesFair value
Amortized cost(c)(d)
Gross unrealized gainsGross unrealized lossesFair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
$72,749 $1,091 $791 $73,049 $110,979 $2,372 $50 $113,301 
Residential:
U.S.2,265 58 — 2,323 6,246 224 3 6,467 
Non-U.S.4,014 36 — 4,050 3,751 20 5 3,766 
Commercial3,102 41 11 3,132 2,819 71 34 2,856 
Total mortgage-backed securities82,130 1,226 802 82,554 123,795 2,687 92 126,390 
U.S. Treasury and government agencies121,227 730 486 121,471 199,910 2,141 100 201,951 
Obligations of U.S. states and municipalities16,471 1,049 5 17,515 18,993 1,404 1 20,396 
Non-U.S. government debt securities15,738 111 24 15,825 22,587 354 13 22,928 
Corporate debt securities263 6 9 260 215 4 3 216 
Asset-backed securities:
Collateralized loan obligations9,133 8 4 9,137 10,055 24 31 10,048 
Other4,771 59 2 4,828 6,174 91 16 6,249 
Total available-for-sale securities249,733 3,189 1,332 251,590 381,729 6,705 256 388,178 
Held-to-maturity securities(b)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
101,086 1,923 412 102,597 107,889 2,968 29 110,828 
U.S. Residential7,021 4 43 6,982 4,345 8 30 4,323 
Commercial3,738 20 21 3,737 2,602 77 — 2,679 
Total mortgage-backed securities111,845 1,947 476 113,316 114,836 3,053 59 117,830 
U.S. Treasury and government agencies182,368 133 1,225 181,276 53,184 50 — 53,234 
Obligations of U.S. states and municipalities13,465 397 9 13,853 12,751 519 — 13,270 
Asset-backed securities:
Collateralized loan obligations33,664 90 9 33,745 21,050 90 2 21,138 
Other2,200 4 1 2,203 — — — — 
Total held-to-maturity securities343,542 2,571 1,720 344,393 201,821 3,712 61 205,472 
Total investment securities, net of allowance for credit losses$593,275 $5,760 $3,052 $595,983 $583,550 $10,417 $317 $593,650 
(a)Includes AFS U.S. GSE obligations with fair values of $44.1 billion and $65.8 billion, and HTM U.S. GSE obligations with amortized cost of $71.9 billion and $86.3 billion, at September 30, 2021 and December 31, 2020, respectively. As of September 30, 2021, 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 $69.5 billion and $71.1 billion, and $46.3 billion and $46.3 billion, respectively.
(b)The Firm purchased $15.9 billion and $79.0 billion of HTM securities for the three and nine months ended September 30, 2021, respectively, and $514 million and $5.5 billion for the three and nine months ended September 30, 2020, respectively.
(c)The amortized cost of investment securities is reported net of allowance for credit losses of $73 million and $78 million at September 30, 2021 and December 31, 2020, respectively.
(d)Excludes $1.8 billion and $2.1 billion of accrued interest receivables at September 30, 2021 and December 31, 2020, respectively. The Firm did not reverse through interest income any accrued interest receivables for the three and nine months ended September 30, 2021 and 2020.
131

AFS securities impairment
The following tables present the fair value and gross unrealized losses by aging category for AFS securities at September 30, 20202021 and December 31, 2019.2020. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $206 million$1.3 billion and $264$150 million, at September 30, 20202021 and December 31, 2019,2020, 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 months12 months or moreLess than 12 months12 months or more
September 30, 2020 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
September 30, 2021 (in millions)September 30, 2021 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
Available-for-sale securitiesAvailable-for-sale securitiesAvailable-for-sale securities
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
Residential:Residential:Residential:
U.S.
U.S.
$446 $3 $119 $1 $565 $4 
U.S.
$72 $— $31 $— $103 $— 
Non-U.S.Non-U.S.2,678 9 243 2 2,921 11 Non-U.S.134 — — — 134 — 
CommercialCommercial1,069 23 178 26 1,247 49 Commercial250 5 363 6 613 11 
Total mortgage-backed securitiesTotal mortgage-backed securities4,193 35 540 29 4,733 64 Total mortgage-backed securities456 5 394 6 850 11 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities233 5 0 0 233 5 Obligations of U.S. states and municipalities271 5 — — 271 5 
Certificates of deposit0 0 0 0 0 0 
Non-U.S. government debt securitiesNon-U.S. government debt securities3,510 7 922 4 4,432 11 Non-U.S. government debt securities5,031 17 441 7 5,472 24 
Corporate debt securitiesCorporate debt securities94 3 0 0 94 3 Corporate debt securities149 9 40 — 189 9 
Asset-backed securities:Asset-backed securities:Asset-backed securities:
Collateralized loan obligationsCollateralized loan obligations6,656 48 2,393 22 9,049 70 Collateralized loan obligations4,381 4 270 — 4,651 4 
OtherOther549 5 734 27 1,283 32 Other1,500 — 206 2 1,706 2 
Total available-for-sale securities with gross unrealized lossesTotal available-for-sale securities with gross unrealized losses$15,235 $103 $4,589 $82 $19,824 $185 Total available-for-sale securities with gross unrealized losses$11,788 $40 $1,351 $15 $13,139 $55 
Available-for-sale securities with gross unrealized lossesAvailable-for-sale securities with gross unrealized losses
Less than 12 months12 months or moreLess than 12 months12 months or more
December 31, 2019 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
December 31, 2020 (in millions)December 31, 2020 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
Available-for-sale securitiesAvailable-for-sale securitiesAvailable-for-sale securities
Mortgage-backed securities:Mortgage-backed securities:Mortgage-backed securities:
Residential:Residential:Residential:
U.S.U.S.$1,072 $3 $423 $3 $1,495 $6 U.S.$562 $3 $32 $— $594 $3 
Non-U.S.Non-U.S.13 0 420 1 433 1 Non-U.S.2,507 4 235 1 2,742 5 
CommercialCommercial1,287 12 199 1 1,486 13 Commercial699 18 124 16 823 34 
Total mortgage-backed securitiesTotal mortgage-backed securities2,372 15 1,042 5 3,414 20 Total mortgage-backed securities3,768 25 391 17 4,159 42 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities186 1 0 0 186 1 Obligations of U.S. states and municipalities49 1 — — 49 1 
Certificates of deposit77 0 0 0 77 0 
Non-U.S. government debt securitiesNon-U.S. government debt securities3,970 13 1,406 4 5,376 17 Non-U.S. government debt securities2,709 9 968 4 3,677 13 
Corporate debt securitiesCorporate debt securities0 0 0 0 0 0 Corporate debt securities91 3 5 — 96 3 
Asset-backed securities:Asset-backed securities:Asset-backed securities:
Collateralized loan obligationsCollateralized loan obligations10,364 11 7,756 45 18,120 56 Collateralized loan obligations5,248 18 2,645 13 7,893 31 
OtherOther1,639 9 753 11 2,392 20 Other268 1 685 15 953 16 
Total available-for-sale securities with gross unrealized lossesTotal available-for-sale securities with gross unrealized losses$18,608 $49 $10,957 $65 $29,565 $114 Total available-for-sale securities with gross unrealized losses$12,133 $57 $4,694 $49 $16,827 $106 
137

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.
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, 2020 or September 30, 2020.

138132

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 both September 30, 2021 and December 31, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 93%98% rated AAA.at least AA+.
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 and U.S. residential mortgage-backed securities
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 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 HTMinvestment securities was $73 million and $120 million as of September 30, 2020, reflecting $97 million2021 and $110 million recognized in the provision for credit losses for the three and nine months ended September 30, 2020, respectively.
Refer to Note 10 of JPMorgan Chase’s 2020 Form 10-K for further discussion of accounting policies for AFS and HTM securities.
Selected impacts of investment securities on the Consolidated statements of income
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Realized gains$1,123 $78 $2,842 $454 
Realized losses(648)0 (2,108)(319)
Intent to sell(a)
(2)0 (2)0 
Net investment securities gains$473 $78 $732 $135 
Provision for credit losses$97 NA110 NA
(a)Represents losses recognized in earnings on investment securities the Firm intends to sell.
Three months ended September 30,Nine months ended September 30,
(in millions)2021202020212020
Realized gains$60 $1,123 $481 $2,842 
Realized losses(316)(650)(878)(2,110)
Investment securities gains/(losses)$(256)$473 $(397)$732 
Provision for credit losses$(14)$97 $(5)$110 
139133

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2020,2021, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 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
By remaining maturity September 30, 2021 (in millions)By remaining maturity September 30, 2021 (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 securitiesAvailable-for-sale securitiesAvailable-for-sale securities
Mortgage-backed securitiesMortgage-backed securitiesMortgage-backed securities
Amortized costAmortized cost$0 $433 $7,834 $102,609 $110,876 Amortized cost$— $2,882 $5,326 $73,925 $82,133 
Fair valueFair value0 449 8,149 105,355 113,953 Fair value— 2,916 5,650 73,988 82,554 
Average yield(a)
Average yield(a)
3.74 %2.28 %1.66 %2.93 %2.84 %
Average yield(a)
— %1.47 %1.79 %2.33 %2.26 %
U.S. Treasury and government agenciesU.S. Treasury and government agenciesU.S. Treasury and government agencies
Amortized costAmortized cost$38,577 $119,641 $44,776 $10,893 $213,887 Amortized cost$5,111 $88,001 $19,610 $8,505 $121,227 
Fair valueFair value38,629 121,118 46,023 10,809 216,579 Fair value5,150 88,082 19,581 8,658 121,471 
Average yield(a)
Average yield(a)
0.37 %0.66 %0.85 %0.48 %0.64 %
Average yield(a)
1.28 %0.53 %0.68 %0.50 %0.58 %
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalitiesObligations of U.S. states and municipalities
Amortized costAmortized cost$61 $187 $923 $18,347 $19,518 Amortized cost$15 $167 $1,216 $15,073 $16,471 
Fair valueFair value62 196 980 19,645 20,883 Fair value16 172 1,277 16,050 17,515 
Average yield(a)
Average yield(a)
3.68 %4.62 %4.91 %4.83 %4.83 %
Average yield(a)
3.91 %4.37 %4.88 %5.01 %4.99 %
Non-U.S. government debt securitiesNon-U.S. government debt securitiesNon-U.S. government debt securities
Amortized costAmortized cost$7,945 $7,691 $5,059 $0 $20,695 Amortized cost$6,750 $4,980 $3,811 $197 $15,738 
Fair valueFair value7,966 7,900 5,171 0 21,037 Fair value6,762 5,050 3,816 197 15,825 
Average yield(a)
Average yield(a)
1.22 %1.77 %0.79 %0 %1.32 %
Average yield(a)
2.02 %2.54 %0.84 %0.38 %1.88 %
Corporate debt securitiesCorporate debt securitiesCorporate debt securities
Amortized costAmortized cost$21 $129 $120 $0 $270 Amortized cost$— $233 $30 $— $263 
Fair valueFair value21 128 122 0 271 Fair value— 228 32 — 260 
Average yield(a)
Average yield(a)
2.70 %2.29 %2.30 %0 %2.33 %
Average yield(a)
— %7.74 %1.63 %— %7.01 %
Asset-backed securitiesAsset-backed securitiesAsset-backed securities
Amortized costAmortized cost$77 $3,088 $6,162 $7,526 $16,853 Amortized cost$1,500 $1,076 $3,800 $7,528 $13,904 
Fair valueFair value77 3,115 6,141 7,527 16,860 Fair value1,500 1,081 3,807 7,577 13,965 
Average yield(a)
Average yield(a)
0.52 %2.18 %1.40 %1.49 %1.58 %
Average yield(a)
1.19 %1.93 %1.27 %1.26 %1.31 %
Total available-for-sale securitiesTotal available-for-sale securitiesTotal available-for-sale securities
Amortized costAmortized cost$46,681 $131,169 $64,874 $139,375 $382,099 Amortized cost$13,376 $97,339 $33,793 $105,228 $249,736 
Fair valueFair value46,755 132,906 66,586 143,336 389,583 Fair value13,428 97,529 34,163 106,470 251,590 
Average yield(a)
Average yield(a)
0.52 %0.77 %1.06 %2.91 %1.57 %
Average yield(a)
1.65 %0.70 %1.09 %2.48 %1.56 %
Held-to-maturity securitiesHeld-to-maturity securitiesHeld-to-maturity securities
Mortgage-backed securitiesMortgage-backed securitiesMortgage-backed securities
Amortized costAmortized cost$0 $0 $11,183 $96,611 $107,794 Amortized cost$— $1,029 $11,737 $99,091 $111,857 
Fair valueFair value0 0 11,999 98,747 110,746 Fair value— 1,050 12,197 100,069 113,316 
Average yield(a)
Average yield(a)
0 %0 %2.42 %2.98 %2.92 %
Average yield(a)
— %1.68 %2.42 %2.90 %2.84 %
U.S. Treasury and government agenciesU.S. Treasury and government agenciesU.S. Treasury and government agencies
Amortized costAmortized cost$0 $51 $0 $0 $51 Amortized cost$14,376 $97,814 $70,178 $— $182,368 
Fair valueFair value0 53 0 0 53 Fair value14,383 97,545 69,348 — 181,276 
Average yield(a)
Average yield(a)
0 %1.47 %0 %0 %1.47 %
Average yield(a)
0.65 %0.66 %1.29 %— %0.90 %
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalitiesObligations of U.S. states and municipalities
Amortized costAmortized cost$0 $54 $481 $12,357 $12,892 Amortized cost$35 $66 $1,059 $12,363 $13,523 
Fair valueFair value0 55 506 12,684 13,245 Fair value35 66 1,105 12,647 13,853 
Average yield(a)
Average yield(a)
0 %3.25 %3.49 %3.60 %3.59 %
Average yield(a)
3.78 %2.67 %3.67 %3.84 %3.82 %
Asset-backed securitiesAsset-backed securitiesAsset-backed securities
Amortized costAmortized cost$0 $0 $10,970 $9,966 $20,936 Amortized cost$— $— $13,535 $22,329 $35,864 
Fair valueFair value0 0 10,977 9,975 20,952 Fair value— — 13,592 22,356 35,948 
Average yield(a)
Average yield(a)
0 %0 %1.46 %1.37 %1.42 %
Average yield(a)
— %— %1.19 %1.25 %1.23 %
Total held-to-maturity securitiesTotal held-to-maturity securitiesTotal held-to-maturity securities
Amortized costAmortized cost$0 $105 $22,634 $118,934 $141,673 Amortized cost$14,411 $98,909 $96,509 $133,783 $343,612 
Fair valueFair value0 108 23,482 121,406 144,996 Fair value14,418 98,661 96,242 135,072 344,393 
Average yield(a)
Average yield(a)
0 %2.39 %1.97 %2.91 %2.76 %
Average yield(a)
0.66 %0.67 %1.44 %2.71 %1.68 %
(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 46 years for agency residential MBS, 34 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.
140134

Note 1110 – 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 111 of JPMorgan Chase’s 2020 Form 10-K for furthera discussion of the offsetting of assets and liabilities. Fees received and paid in connection withaccounting policies relating to 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.activities. Refer to Note 3 for further information regarding the fair value option. The securities financingborrowed and securities lending 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 September 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.elected. Refer to Note 2423 for further information regarding assets pledged and collateral received in securities financing agreements.

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The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of September 30, 20202021 and December 31, 2019.2020. 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.
September 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)
Assets
Securities purchased under resale agreements$653,504 $(333,655)$319,849 $(297,189)$22,660 
Securities borrowed169,400 (26,959)142,441 (97,418)45,023 
Liabilities
Securities sold under repurchase agreements$561,489 $(333,655)$227,834 $(210,378)$17,456 
Securities loaned and other(a)
36,307 (26,959)9,348 (8,884)464 
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 $3.3 billion and $3.7 billion at September 30, 2020 and December 31, 2019, respectively, accounted for at fair value, In transactions where the Firm is acting as lender. In the Consolidated balance sheets,lender in a securities-for-securities lending agreement and receives securities that can be pledged or sold as collateral, the Firm recognizes the securities received at fair value within other assets and the obligation to return those securities within accounts payable and other liabilities.liabilities on the Consolidated balance sheets.
September 30, 2021
(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$569,373 $(287,212)$282,161 $(269,113)$13,048 
Securities borrowed243,904 (40,917)202,987 (149,458)53,529 
Liabilities
Securities sold under repurchase agreements$533,390 $(287,212)$246,178 $(222,187)$23,991 
Securities loaned and other(a)
52,735 (40,917)11,818 (11,362)456 
December 31, 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)
Assets
Securities purchased under resale agreements$666,467 $(370,183)$296,284 $(273,206)$23,078 
Securities borrowed193,700 (33,065)160,635 (115,219)45,416 
Liabilities
Securities sold under repurchase agreements$578,060 $(370,183)$207,877 $(191,980)$15,897 
Securities loaned and other(a)
41,366 (33,065)8,301 (8,257)44 
(a)Includes securities-for-securities lending agreements of $5.3 billion and $3.4 billion at September 30, 2021 and December 31, 2020, respectively, accounted for at fair value, where the Firm is acting as lender.
(b)In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related net asset or liability with that counterparty.
(c)Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At September 30, 20202021 and December 31, 2019,2020, included $15.4$10.6 billion and $11.0$17.0 billion, respectively, of securities purchased under resale agreements; $41.8$49.0 billion and $31.9$42.1 billion, respectively, of securities borrowed; $16.3$22.6 billion and $22.7$14.5 billion, respectively, of securities sold under repurchase agreements; and $36$203 million and $7$8 million, respectively, of securities loaned and other.
142135

The tables below present as of September 30, 2020,2021, and December 31, 20192020 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
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions) (in millions)Securities sold under repurchase agreementsSecurities loaned and otherSecurities sold under repurchase agreementsSecurities loaned and other (in millions)Securities sold under repurchase agreementsSecurities loaned and otherSecurities sold under repurchase agreementsSecurities loaned and other
Mortgage-backed securitiesMortgage-backed securitiesMortgage-backed securities
U.S. GSEs and government agenciesU.S. GSEs and government agencies$62,739 $0 $34,119 $0 U.S. GSEs and government agencies$21,919 $— $56,744 $— 
Residential - nonagencyResidential - nonagency588 0 1,239 0 Residential - nonagency722 — 1,016 — 
Commercial - nonagencyCommercial - nonagency846 0 1,612 0 Commercial - nonagency1,065 — 855 — 
U.S. Treasury, GSEs and government agenciesU.S. Treasury, GSEs and government agencies299,978 155 334,398 29 U.S. Treasury, GSEs and government agencies280,004 230 315,834 143 
Obligations of U.S. states and municipalitiesObligations of U.S. states and municipalities1,372 2 1,181 0 Obligations of U.S. states and municipalities1,726 8 1,525 2 
Non-U.S. government debtNon-U.S. government debt157,840 2,104 145,548 1,528 Non-U.S. government debt155,164 2,021 157,563 1,730 
Corporate debt securitiesCorporate debt securities20,415 1,847 13,826 1,580 Corporate debt securities35,682 1,325 22,849 1,864 
Asset-backed securitiesAsset-backed securities1,348 0 1,794 0 Asset-backed securities703 — 694 — 
Equity securitiesEquity securities16,363 32,199 21,455 33,512 Equity securities36,405 49,151 20,980 37,627 
TotalTotal$561,489 $36,307 $555,172 $36,649 Total$533,390 $52,735 $578,060 $41,366 
Remaining contractual maturity of the agreementsRemaining contractual maturity of the agreements
Overnight and continuousGreater than
90 days		Overnight and continuousGreater than
90 days
September 30, 2020 (in millions)Up to 30 days30 – 90 daysTotal
September 30, 2021 (in millions)September 30, 2021 (in millions)Overnight and continuousUp to 30 days30 – 90 daysGreater than
90 days		Total
Total securities sold under repurchase agreementsTotal securities sold under repurchase agreements$234,766 $215,363 $41,042 $70,318 $561,489 Total securities sold under repurchase agreements$201,325 $40,302 $533,390 
Total securities loaned and otherTotal securities loaned and other34,354 9 628 1,316 36,307 Total securities loaned and other51,764 76 — 895 52,735 
Remaining contractual maturity of the agreements
Overnight and continuousGreater than
90 days
December 31, 2019 (in millions)Up to 30 days30 – 90 daysTotal
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)Prior-period amounts have been revised to conform with the current presentation.
Remaining contractual maturity of the agreements
Overnight and continuousGreater than
90 days
December 31, 2020 (in millions)Up to 30 days30 – 90 daysTotal
Total securities sold under repurchase agreements$238,667 $230,980 $70,777 $37,636 $578,060 
Total securities loaned and other37,887 1,647 500 1,332 41,366 
Transfers not qualifying for sale accounting
At September 30, 2020,2021, and December 31, 2019,2020, the Firm held $526$484 million and $743$598 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.
143136

Note 1211 – 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 112 of JPMorgan Chase's 2020 Form 10-K 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, 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.accounting policies. Refer to Note 133 of this Form 10-Q 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.
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•Loans to borrowers who have experienced an event that suggests a loss is either known or highly certain are subject to accelerated charge-off standards (e.g., residential real estate and auto loans are charged off or charged down within 60 days of receiving notification of a bankruptcy filing).
•Auto loans upon repossession of the automobile.
Other than in certain limited circumstances, the Firm typically does not recognize charge-offs on the government-guaranteed portion of loans.
Wholesale loans are charged off when it is highly certain that a loss has been realized. The determination of whether to recognize a charge-off includes many factors, including the prioritization of the Firm’s claim in bankruptcy, expectations of the workout/restructuring of the loan and valuation of the borrower’s equity or the loan collateral.
When a loan is charged down to the 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 for which the fair value option has been elected 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’sFirm's elections of fair value accounting under the fair value option. Refer to Note 2 and Note 3of this Form 10-Q for further information on loans carried at fair value and classified as trading assets.
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.
Consumer, excluding
credit card		Credit card
Wholesale(c)(d)
• Residential real estate(a)
• Auto and other(b)
• Credit card loans
• Secured by real estate
• Commercial and industrial
• Other(e)
(a)Includes scored mortgage and home equity loans held in CCB and AWM,and scored mortgage loans held in CIB and 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 loans held in CCB, including business banking and auto dealer loans for which the wholesale methodology is applied when determining the allowance for loan losses.
(d)The wholesale portfolio segment's classes align with loan classifications as defined by the bank regulatory agencies, based on the loan's collateral, purpose, and type of borrower.
(e)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 Global Private Bank clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2020 Form 10-K for more information on SPEs.
The following tables summarize the Firm’s loan balances by portfolio segment.
September 30, 2021Consumer, excluding credit cardCredit cardWholesale
Total(a)(b)
(in millions)
Retained$298,308 $143,166 $532,786 $974,260 
Held-for-sale1,407 — 8,320 9,727 
At fair value28,449 — 32,179 60,628 
Total$328,164 $143,166 $573,285 $1,044,615 
December 31, 2020Consumer, excluding credit cardCredit cardWholesale
Total(a)(b)
(in millions)
Retained$302,127 $143,432 $514,947 $960,506 
Held-for-sale1,305 784 5,784 7,873 
At fair value15,147 — 29,327 44,474 
Total$318,579 $144,216 $550,058 $1,012,853 
(a)Excludes $2.7 billion and $2.9 billion of accrued interest receivables at September 30, 2021, and December 31, 2020, respectively. The Firm wrote off accrued interest receivables of $10 million and $34 million for the three months ended September 30, 2021 and 2020, respectively, and $30 million and $82 million for the nine months ended September 30, 2021 and 2020, 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 September 30, 2021, and December 31, 2020.


145137

The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table.
20212020
Three months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
Purchases$101 (b)(c)$— $245 $346 $1,780 (b)(c)$— $309 $2,089 
Sales— — 7,826 7,826 — — 4,578 4,578 
Retained loans reclassified to held-for-sale(a)
522 — 397 919 995 

787 403 2,185 
20212020
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
Purchases$403 (b)(c)$— $772 $1,175 $3,180 (b)(c)$— $937 $4,117 
Sales181 — 22,307 22,488 348 — 13,579 13,927 
Retained loans reclassified to held-for-sale(a)
771 — 2,061 2,832 1,822 

787 1,154 3,763 
(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 and nine months ended September 30, 2021 and 2020. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA.
(c)Excludes purchases of retained loans of $7.3 billion and $3.1 billion for the three months ended September 30, 2021 and 2020, respectively, and $19.3 billion and $10.5 billion for the nine months ended September 30, 2021 and 2020, respectively, which are predominantly sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards.
Loan classification changes
Gains and losses on sales of loans
Loans in the held-for-investment portfolio that management decidesNet gains/(losses) on sales of loans and lending-related commitments (including adjustments to sell are transferred to therecord loans and lending-related commitments 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 arevalue) recognized in noninterest revenue.
revenue for the three and nine months ended September 30, 2021 was $31 million and $225 million, respectively, of which $30 million and $211 million, respectively, related to loans. Net gains/(losses) on sales of loans and lending-related commitments for the three and nine months ended September 30, 2020 was $113 million and $(75) million, respectively, of which $24 million and $(76) million, respectively, related to loans. In addition, the event that management decides to retain a loansale of loans may also result in write downs, recoveries or changes in the held-for-sale portfolio,allowance recognized in the loan is transferred to the held-for-investment portfolio at amortized cost on the date of transfer. These loans are subsequently assessed for impairment based on the Firm’s allowance methodology. Refer to Note 13 for a further discussion of the methodologies used in establishing the Firm’s allowance for loan losses.
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.
Loans, exceptprovision 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 tothe 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 furtherlosses.
discussion of the methodology used to estimate the Firm’s asset-specific allowance.Loan modifications
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:because:
•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 ofby the CARES Act and extended by the Consolidated Appropriations 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.
146

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 loan classes. 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 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 CIB and 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 when 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.
147

The following tables summarize the Firm’s loan balances by portfolio segment.
September 30, 2020Consumer, excluding credit cardCredit cardWholesale
Total(b)
(in millions)
Retained$305,106 $139,590 $500,841 $945,537 (c)
Held-for-sale1,391 787 3,805 5,983 
At fair value(a)
15,601 0 22,619 38,220 
Total$322,098 $140,377 $527,265 $989,740 
December 31, 2019Consumer, excluding credit cardCredit cardWholesale
Total(b)
(in millions)
Retained$294,999 $168,924 $481,678 $945,601 (c)
Held-for-sale3,002 0 4,062 7,064 
At fair value(a)
19,816 0 25,139 44,955 
Total$317,817 $168,924 $510,879 $997,620 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Excludes $2.8 billion and $2.9 billion of accrued interest receivables at September 30, 2020, and December 31, 2019, respectively. The Firm wrote off accrued interest receivables of $34 million and $15 million for the three months ended September 30, 2020 and 2019, respectively, and $82 million and $38 million for the nine months ended September 30, 2020 and 2019, respectively.
(c)Loans (other than those for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of September 30, 2020, and December 31, 2019.

The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table.
20202019
Three months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
Purchases$1,780 (b)(c)$0 $309 $2,089 $259 (b)(c)$0 $453 $712 
Sales0 0 4,578 4,578 14,965 0 5,564 20,529 
Retained loans reclassified to held-for-sale(a)
995 787 403 2,185 3,889 

0 359 4,248 
20202019
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
Purchases$3,180 (b)(c)$0 $937 $4,117 $1,044 (b)(c)$0 $1,041 $2,085 
Sales348 0 13,579 13,927 30,474 0 16,414 46,888 
Retained loans reclassified to held-for-sale(a)
1,822 787 1,154 3,763 8,950 0 1,784 10,734 
(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 and nine months ended September 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 $3.1 billion and $4.7 billion for the three months ended September 30, 2020 and 2019, respectively, and $10.5 billion and $12.2 billion for the nine months ended September 30, 2020 and 2019, respectively.
Gains and losses on sales of loans
Net gains/(losses) on sales of loans and lending-related commitments (including adjustments to record loans and lending-related commitments held-for-sale at the lower of cost or fair value) recognized in noninterest revenue were $113 million and $(75) million for the three and nine months ended September 30, 2020, respectively, of which $24 million and $(76) million, respectively, were related to loans. Net gains on sales of loans were $254 million and $433 million for the three and nine months ended September 30, 2019, respectively. 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.
148138

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)(in millions)September 30,
2020		December 31,
2019		(in millions)September 30,
2021		December 31,
2020
Residential real estateResidential real estate$229,751 $243,317 Residential real estate$221,671 $225,302 
Auto and other(a)
Auto and other(a)
75,355 51,682 
Auto and other(a)
76,637 76,825 
Total retained loansTotal retained loans$305,106 $294,999 Total retained loans$298,308 $302,127 
(a)At September 30, 2021 and December 31, 2020, included $20.3$11.1 billion and $19.2 billion of loans, respectively, 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 warningRefer to Note 12 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, otherJPMorgan Chase's 2020 Form 10-K for further information on consumer credit quality indicators for consumer loans vary based on the class of loan, as follows:indicators.
•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.


149
139

Residential real estate
The following table providestables provide information on delinquency, which is the primary credit quality indicator for retained residential real estate loans.
(in millions, except ratios)(in millions, except ratios)September 30, 2020December 31, 2019(in millions, except ratios)September 30, 2021
Term loans by origination year(d)Revolving loansTotalTotalTerm loans by origination year(d)Revolving loansTotal
20202019201820172016Prior to 2016Within the revolving periodConverted to term loans20212020201920182017Prior to 2017Within the revolving periodConverted to term loans
Loan delinquency(a)(b)
Loan delinquency(a)(b)
Loan delinquency(a)(b)
CurrentCurrent$40,303 $35,666 $15,973 $23,425 $31,870 $54,731 $7,942 $16,553 $226,463 $239,979 Current$50,900$51,577$21,058$8,958$13,231$54,691$6,707$12,595$219,717
30–149 days past due30–149 days past due11 46 39 59 102 949 12 285 1,503 1,910 30–149 days past due1113171047916172735
150 or more days past due150 or more days past due10 38 53 68 58 1,198 14 346 1,785 1,428 150 or more days past due—751392752621,219
Total retained loansTotal retained loans$40,324 $35,750 $16,065 $23,552 $32,030 $56,878 $7,968 $17,184 $229,751 $243,317 Total retained loans$50,911$51,590$21,082$8,980$13,254$56,097$6,728$13,029$221,671
% of 30+ days past due to total retained loans(c)
% of 30+ days past due to total retained loans(c)
0.05 %0.23 %0.57 %0.54 %0.50 %3.67 %0.33 %3.67 %1.40 %1.35 %
% of 30+ days past due to total retained loans(c)
0.02 %0.03 %0.11 %0.24 %0.17 %2.45 %0.31 %3.33 %0.87 %
(in millions, except ratios)December 31, 2020
Term loans by origination year(d)
Revolving loansTotal
20202019201820172016Prior to 2016Within the revolving periodConverted to term loans
Loan delinquency(a)(b)
Current$56,576(e)$31,820$13,900$20,410$27,978$49,218(e)$7,902(e)$15,260(e)$223,064
30–149 days past due925202229674212451,045
150 or more days past due314101818844222641,193
Total retained loans$56,588$31,859$13,930$20,450$28,025$50,736$7,945$15,769$225,302
% of 30+ days past due to total retained loans(c)
0.02 %0.12 %0.22 %0.20 %0.17 %2.91 %(e)0.54 %(e)3.23 %(e)0.98 %
(a)Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $10$41 million and $17$36 million; 30–149 days past due included $29$11 million and $20$16 million; and 150 or more days past due included $31$20 million and $26$24 million at September 30, 2020,2021 and December 31, 2019,2020, respectively.
(b)At September 30, 2021 and December 31, 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 September 30, 2020,2021 and December 31, 2019,2020, residential real estate loans excluded mortgage loans insured by U.S. government agencies of $60$31 million and $46$40 million, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(d)Purchased loans are included in the year in which they were originated.
(e)Prior-period amounts have been revised to conform with the current presentation.
Approximately 34%36% of the total revolving loans are senior lien loans; the remaining balance are junior lien loans. The lien position the Firm holds is considered in the Firm’s allowance for credit losses. Revolving loans that have been converted to term loans have higher delinquency rates than those that are still within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for revolving loans within the revolving period.

150140

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)(in millions, except weighted-average data)September 30, 2020December 31, 2019(in millions, except weighted-average data)September 30, 2021December 31, 2020
Nonaccrual loans(e)(d)
Nonaccrual loans(e)(d)
$4,909 $2,780 
Nonaccrual loans(e)(d)
$4,794 $5,313 
90 or more days past due and government guaranteed(f)(e)
90 or more days past due and government guaranteed(f)(e)
55 38 
90 or more days past due and government guaranteed(f)(e)
25 33 
Current estimated LTV ratios(g)(h)
Current estimated LTV ratios(f)(g)(h)
Current estimated LTV ratios(f)(g)(h)
Greater than 125% and refreshed FICO scores:Greater than 125% and refreshed FICO scores:Greater than 125% and refreshed FICO scores:
Equal to or greater than 660Equal to or greater than 660$26 $31 Equal to or greater than 660$12 $6 
Less than 660Less than 66026 38 Less than 6603 12 
101% to 125% and refreshed FICO scores:101% to 125% and refreshed FICO scores:101% to 125% and refreshed FICO scores:
Equal to or greater than 660Equal to or greater than 660123 134 Equal to or greater than 66031 38 
Less than 660Less than 660100 132 Less than 66020 44 
80% to 100% and refreshed FICO scores:80% to 100% and refreshed FICO scores:80% to 100% and refreshed FICO scores:
Equal to or greater than 660Equal to or greater than 6606,180 5,953 Equal to or greater than 6602,146 2,177 
Less than 660Less than 660659 764 Less than 660103 239 
Less than 80% and refreshed FICO scores:Less than 80% and refreshed FICO scores:Less than 80% and refreshed FICO scores:
Equal to or greater than 660Equal to or greater than 660208,422 219,469 Equal to or greater than 660205,919 208,238 
Less than 660Less than 66012,266 14,681 Less than 66010,054 11,980 
No FICO/LTV availableNo FICO/LTV available1,879 2,052 No FICO/LTV available3,311 2,492 
U.S. government-guaranteedU.S. government-guaranteed70 63 U.S. government-guaranteed72 76 
Total retained loansTotal retained loans$229,751 $243,317 Total retained loans$221,671 $225,302 
Weighted average LTV ratio(g)(i)
56 %55 %
Weighted average FICO(h)(i)
763 758 
Weighted average LTV ratio(f)(i)
Weighted average LTV ratio(f)(i)
51 %54 %
Weighted average FICO(g)(i)
Weighted average FICO(g)(i)
764 763 
Geographic region(j)
Geographic region(j)
Geographic region(j)
CaliforniaCalifornia$75,807 $82,147 California$70,719 $73,444 
New YorkNew York32,014 31,996 New York32,221 32,287 
FloridaFlorida15,439 13,981 
TexasTexas13,901 14,474 Texas13,645 13,773 
Florida13,827 13,668 
IllinoisIllinois13,800 15,587 Illinois11,860 13,130 
ColoradoColorado8,307 8,447 Colorado8,496 8,235 
WashingtonWashington8,163 8,990 Washington8,071 7,917 
New JerseyNew Jersey7,395 7,752 New Jersey6,884 7,227 
MassachusettsMassachusetts5,857 6,210 Massachusetts6,009 5,784 
ConnecticutConnecticut4,962 4,954 Connecticut5,188 5,024 
All other(k)
All other(k)
45,718 49,092 
All other(k)
43,139 44,500 
Total retained loansTotal retained loans$229,751 $243,317 Total retained loans$221,671 $225,302 
(a)Includes collateral-dependent residential real estate loans that are charged down to the fair value of the underlying collateral less costs to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At September 30, 2020,2021, approximately 8%7% of Chapter 7 residential real estate loans were 30 days or more past due, respectively.due.
(b)At September 30, 2020, nonaccrual loans included $1.5 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 down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral has subsequently improved, the related allowance may be negative.
(d)(c)Interest income on nonaccrual loans recognized on a cash basis was $41 million and $39 million and $40$127 million and $119 million for the three months ended September 30, 2020 and 2019, respectively, and $119 million and $124 million for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(e)(d)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 payment related deferral programs and are 90 or more days past due,, predominantly all of which were considered collateral-dependent and charged down to the lowerat time of amortized cost or fair value of the underlying collateral less costs to sell.exit.
(f)(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 September 30, 2020,2021 and December 31, 2019,2020, these balances included $55 million and $34 million, respectively, of loans that arewere 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 0no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at September 30, 2020,2021 and December 31, 2019.2020.
(g)(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.
(h)(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)Prior-period amounts have been revised to conform with the current presentation.
(i)Excludes loans with no FICO and/or LTV data available.
(j)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.2021.
(k)At September 30, 2020,2021 and December 31, 2019,2020, included mortgage loans insured by U.S. government agencies of $70$72 million and $63$76 million, respectively. These amounts have been excluded from the geographic regions presented based upon the government guarantee.
151141

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.TDRs nor are loans for which the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided by the CARES Act and extended by the Consolidated Appropriations Act. The carrying value of new TDRs was $199$116 million and $112$199 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $537$674 million and $386$537 million for the nine months ended September 30, 20202021 and 2019,2020, 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. 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, and loans with short-term or other insignificant modifications that are not considered concessions.concessions, and loans for which the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided by the CARES Act and extended by the Consolidated Appropriations Act.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Number of loans approved for a trial modificationNumber of loans approved for a trial modification1,623 1,219 4,468 4,444 Number of loans approved for a trial modification1,448 1,623 4,014 4,468 
Number of loans permanently modifiedNumber of loans permanently modified1,615 1,162 5,200 3,956 Number of loans permanently modified917 1,615 3,817 5,200 
Concession granted:(a)
Concession granted:(a)
Concession granted:(a)
Interest rate reductionInterest rate reduction40 %89 %51 %78 %Interest rate reduction75 %40 %74 %51 %
Term or payment extensionTerm or payment extension39 68 53 72 Term or payment extension64 39 49 53 
Principal and/or interest deferredPrincipal and/or interest deferred21 10 12 13 Principal and/or interest deferred19 21 24 12 
Principal forgivenessPrincipal forgiveness1 5 2 5 Principal forgiveness1 1 2 2 
Other(b)
Other(b)
65 76 65 63 
Other(b)
24 65 39 65 
(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 nine months ended September 30, 2020 and 2019.TDR.














142

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.debt, loans with short-term or other insignificant modifications that are not considered concessions, and loans for which the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided by the CARES Act and extended by the Consolidated Appropriations Act.
(in millions, except weighted-average data)(in millions, except weighted-average data)Three months ended September 30,Nine months ended September 30,(in millions, except weighted-average data)Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Weighted-average interest rate of loans with interest rate reductions – before TDRWeighted-average interest rate of loans with interest rate reductions – before TDR4.99 %5.57 %5.10 %5.77 %Weighted-average interest rate of loans with interest rate reductions – before TDR4.65 %4.99 %4.55 %5.10 %
Weighted-average interest rate of loans with interest rate reductions – after TDRWeighted-average interest rate of loans with interest rate reductions – after TDR3.34 3.58 3.40 3.90 Weighted-average interest rate of loans with interest rate reductions – after TDR2.89 3.34 2.91 3.40 
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDRWeighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR23202220Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR23232322
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDRWeighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR39393939Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR37393739
Charge-offs recognized upon permanent modificationCharge-offs recognized upon permanent modification$1 $0 $2 $1 Charge-offs recognized upon permanent modification$— $1 $— $2 
Principal deferredPrincipal deferred3 6 12 17 Principal deferred5 3 23 12 
Principal forgivenPrincipal forgiven1 2 4 6 Principal forgiven— 1 1 4 
Balance of loans that redefaulted within one year of permanent modification(a)
Balance of loans that redefaulted within one year of permanent modification(a)
$65 $53 $173 $132 
Balance of loans that redefaulted within one year of permanent modification(a)
$52 $65 $97 $173 
(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 twelve months may not be representative of ultimate redefault levels.
152

At September 30, 2020,2021, the weighted-average estimated remaining lives of residential real estate loans permanently modified in TDRs were 6four 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 September 30, 2020,2021 and December 31, 2019,2020, the Firm had residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $904$693 million and $1.2 billion,$846 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.
In response to the COVID-19 pandemic, the Firm has temporarily suspended certain foreclosure activities. This could delay recognition of foreclosed properties until the foreclosure moratoriums are lifted.


143

Auto and other
The following table providestables provide information on delinquency, which is the primary credit quality indicator for retained auto and other consumer loans.
September 30, 2020December 31, 2019September 30, 2021

(in millions, except ratios)
(in millions, except ratios)		Term Loans by origination yearRevolving loans
(in millions, except ratios)		Term Loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal20212020201920182017Prior to 2017Within the revolving periodConverted to term loansTotal
Loan delinquency(a)
Loan delinquency(a)
Loan delinquency(a)
CurrentCurrent$40,069 (b)$14,393 $8,516 $5,470 $2,683 $1,082 $2,573 $174 $74,960 $51,005 Current$35,379 (c)$21,917 (c)$8,641$4,466$2,343$993$2,246$129$76,114
30–119 days past due30–119 days past due65 99 72 51 43 26 18 10 384 667 30–119 days past due110 193 77493025128504
120 or more days past due120 or more days past due0 0 0 0 0 1 5 5 11 10 120 or more days past due— 4 —1—15819
Total retained loansTotal retained loans$40,134 $14,492 $8,588 $5,521 $2,726 $1,109 $2,596 $189 $75,355 $51,682 Total retained loans$35,489 $22,114 $8,718$4,516$2,373$1,019$2,263$145$76,637
% of 30+ days past due to total retained loans(b)% of 30+ days past due to total retained loans(b)0.16 %0.68 %0.84 %0.92 %1.58 %2.43 %0.89 %7.94 %0.52 %1.31 %% of 30+ days past due to total retained loans(b)0.31 %0.32 %0.88 %1.11 %1.26 %2.55 %0.75 %11.03 %0.68 %
December 31, 2020

(in millions, except ratios)		Term Loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotal
Loan delinquency(a)
Current$46,169(d)$12,829$7,367$4,521$2,058$742$2,517$158$76,361
30–119 days past due97107775342233017446
120 or more days past due———1—18818
Total retained loans$46,266$12,936$7,444$4,575$2,100$766$2,555$183$76,825
% of 30+ days past due to total retained loans0.21 %0.83 %1.03 %1.18 %2.00 %3.13 %1.49 %13.66 %0.60 %
(a)At September 30, 2021 and December 31, 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 September 30, 2021, auto and other loans excluded $126 million of PPP loans guaranteed by the SBA that are 30 or more days past due. These amounts have been excluded based upon the SBA guarantee. At December 31, 2020, all PPP loans guaranteed by the SBA were current.
(c)At September 30, 2021, included $20.3$9.1 billion of loans originated in 2021 and $2.0 billion of loans originated in 2020 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 these loans.
(d)At December 31, 2020, included $19.2 billion of loans in Business Banking under the PPP.
144

Nonaccrual and other credit quality indicators
The following table provides information on nonaccrual and other credit quality indicators for retained auto and other consumer loans.
(in millions, except ratios)(in millions, except ratios)Total Auto and other(in millions, except ratios)Total Auto and other
Sep 30, 2020Dec 31, 2019September 30, 2021December 31, 2020
Nonaccrual loans(a)(b)(c)
Nonaccrual loans(a)(b)(c)
138 146 
Nonaccrual loans(a)(b)(c)
117 151 
Geographic region(d)
Geographic region(d)
Geographic region(d)
CaliforniaCalifornia$12,074 $7,795 California$12,137 $12,302 
TexasTexas8,333 8,235 
New YorkNew York8,932 3,706 New York7,511 8,824 
Texas7,990 5,457 
FloridaFlorida4,500 3,025 Florida5,125 4,668 
IllinoisIllinois3,829 2,443 Illinois3,333 3,768 
New JerseyNew Jersey2,633 1,798 New Jersey2,580 2,646 
ArizonaArizona2,442 1,347 Arizona2,103 2,465 
PennsylvaniaPennsylvania2,076 1,924 
OhioOhio2,181 1,490 Ohio2,029 2,163 
Colorado1,868 1,247 
Pennsylvania1,866 1,721 
LouisianaLouisiana1,870 1,808 
All otherAll other27,040 21,653 All other29,540 28,022 
Total retained loansTotal retained loans$75,355 $51,682 Total retained loans$76,637 $76,825 
(a)There were 0no loans that were 90 or more days past due and still accruing interest at September 30, 2020,2021 and December 31, 2019.2020.
(b)AllGenerally, all consumer nonaccrual auto and other consumer loans generally have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral has subsequently improved, the related allowance may be negative.
(c)Interest income on nonaccrual loans recognized on a cash basis was not material for the three and nine months ended months ended September 30, 20202021 and 20192020.
(d)The geographic regions presented in this table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.2021.
Loan modifications
Certain auto and 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 nine months ended September 30, 20202021 and 2019.2020. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of September 30, 20202021 and December 31, 20192020 were not material.


153145

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. Theloans.
distributionRefer to Note 12 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 scoreJPMorgan Chase's 2020 Form 10-K for further information which is obtained at least quarterly, for a statistically significant random sample ofon the credit card loan portfolio, is indicated in the following table. FICO is considered to be the industry benchmark forincluding 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.quality indicators.
The following table providestables provide information on delinquency, which is the primary credit quality indicator for retained credit card loans.

(in millions, except ratios)

(in millions, except ratios)
September 30, 2020December 31, 2019

(in millions, except ratios)
September 30, 2021
Within the revolving period
Converted to term loans(b)
TotalTotalWithin the revolving period
Converted to term loans(b)
Total
Loan delinquency(a)
Loan delinquency(a)
Loan delinquency(a)
Current and less than 30 days past due
and still accruing		Current and less than 30 days past due
and still accruing		$136,103 $1,289 $137,392 $165,767 Current and less than 30 days past due
and still accruing		$140,730 $1,001 $141,731 
30–89 days past due and still accruing30–89 days past due and still accruing1,139 99 1,238 1,550 30–89 days past due and still accruing679 57 736 
90 or more days past due and still accruing90 or more days past due and still accruing916 44 960 1,607 90 or more days past due and still accruing674 25 699 
Total retained loansTotal retained loans$138,158 $1,432 $139,590 $168,924 Total retained loans$142,083 $1,083 $143,166 
Loan delinquency ratiosLoan delinquency ratiosLoan delinquency ratios
% of 30+ days past due to total retained loans% of 30+ days past due to total retained loans1.49 %9.99 %1.57 %1.87 %% of 30+ days past due to total retained loans0.95 %7.57 %1.00 %
% of 90+ days past due to total retained loans% of 90+ days past due to total retained loans0.66 3.07 0.69 0.95 % of 90+ days past due to total retained loans0.47 2.31 0.49 

(in millions, except ratios)
December 31, 2020
Within the revolving period
Converted to term loans(b)
Total
Loan delinquency(a)
Current and less than 30 days past due
and still accruing		$139,783 $1,239 $141,022 
30–89 days past due and still accruing997 94 1,091 
90 or more days past due and still accruing1,277 42 1,319 
Total retained loans$142,057 $1,375 $143,432 
Loan delinquency ratios
% of 30+ days past due to total retained loans1.60 %9.89 %1.68 %
% of 90+ days past due to total retained loans0.90 3.05 0.92 
(a)At September 30, 2021 and December 31, 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)(in millions, except ratios)September 30, 2020December 31, 2019(in millions, except ratios)September 30, 2021December 31, 2020
Geographic region(a)
Geographic region(a)
Geographic region(a)
CaliforniaCalifornia$20,400 $25,783 California$21,211 $20,921 
TexasTexas14,116 16,728 Texas14,752 14,544 
New YorkNew York11,773 14,544 New York11,924 11,919 
FloridaFlorida9,170 10,830 Florida9,514 9,562 
IllinoisIllinois7,862 9,579 Illinois8,004 8,006 
New JerseyNew Jersey5,820 7,165 New Jersey5,967 5,927 
OhioOhio4,524 5,406 Ohio4,566 4,673 
PennsylvaniaPennsylvania4,315 5,245 Pennsylvania4,332 4,476 
ColoradoColorado4,018 4,763 Colorado4,322 4,092 
MichiganMichigan3,491 4,164 Michigan3,513 3,553 
All otherAll other54,101 64,717 All other55,061 55,759 
Total retained loansTotal retained loans$139,590 $168,924 Total retained loans$143,166 $143,432 
Percentage of portfolio based on carrying value with estimated refreshed FICO scoresPercentage of portfolio based on carrying value with estimated refreshed FICO scoresPercentage of portfolio based on carrying value with estimated refreshed FICO scores
Equal to or greater than 660Equal to or greater than 66084.7 %84.0 %Equal to or greater than 66088.2 %85.9 %
Less than 660Less than 66014.6 15.4 Less than 66011.6 13.9 
No FICO availableNo FICO available0.7 0.6 No FICO available0.2 0.2 
(a)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.2021.
154146

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.
If the cardholder does not comply with the modified payment terms, then the credit card loan continues to age and will ultimately be charged-off in accordance with the Firm’s standard charge-off policy. In most cases, the Firm does not reinstate the borrower’s line of credit.
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)		(in millions, except
weighted-average data)		Three months ended September 30,Nine months ended September 30,(in millions, except
weighted-average data)		Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Balance of new TDRs(a)
Balance of new TDRs(a)
$220$242$648$717
Balance of new TDRs(a)
$82$220$315$648
Weighted-average interest rate of loans – before TDRWeighted-average interest rate of loans – before TDR17.65 %19.18 %18.21 %19.23 %Weighted-average interest rate of loans – before TDR17.75 %17.65 %17.79 %18.21 %
Weighted-average interest rate of loans – after TDRWeighted-average interest rate of loans – after TDR4.80 4.65 4.55 4.80 Weighted-average interest rate of loans – after TDR5.15 4.80 5.19 4.55 
Balance of loans that redefaulted within one year of modification(b)
Balance of loans that redefaulted within one year of modification(b)
$22$42$83$108
Balance of loans that redefaulted within one year of modification(b)
$13$22$45$83
(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. Defaulted modified credit card loans remain in the modification program and continue to be charged off in accordance with the Firm’s standard charge-off policy.
155147

Wholesale loan portfolio
Wholesale loans include loans made to a variety of clients, ranging from large corporate and institutional clients, to small businesses and 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., PD and 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 412 of JPMorgan Chase’s 2020 Form 10-K for further detailinformation on industry concentrations.these risk ratings.

156

The following tables provide information on internal risk rating, which is the primary credit quality indicator for retained wholesale loans.
Secured by real estateCommercial and industrial
Other(b)
Total retained loansSecured by real estateCommercial and industrial
Other(a)
Total retained loans
(in millions, except ratios)(in millions, except ratios)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		(in millions, except ratios)Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Loans by risk ratingsLoans by risk ratingsLoans by risk ratings
Investment-gradeInvestment-grade$93,052 $96,611 $70,373 (a)$80,489 $200,755 $186,344 $364,180 (a)$363,444 Investment-grade$90,209 $90,147 $68,112 $71,917 $230,185 $217,209 $388,506 $379,273 
Noninvestment-grade:Noninvestment-grade:Noninvestment-grade:
NoncriticizedNoncriticized26,318 22,493 61,920 60,437 28,444 27,591 116,682 110,521 Noncriticized23,661 26,129 56,658 57,870 49,097 33,053 129,416 117,052 
Criticized performingCriticized performing2,042 1,131 13,294 4,399 898 1,126 16,234 6,656 Criticized performing3,922 3,234 7,712 10,991 1,146 1,079 12,780 15,304 
Criticized nonaccrualCriticized nonaccrual450 183 2,351 844 944 30 3,745 1,057 Criticized nonaccrual375 483 994 1,931 715 904 2,084 3,318 
Total noninvestment- gradeTotal noninvestment- grade28,810 23,807 77,565 65,680 30,286 28,747 136,661 118,234 Total noninvestment- grade27,958 29,846 65,364 70,792 50,958 35,036 144,280 135,674 
Total retained loansTotal retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 $500,841 $481,678 Total retained loans$118,167 $119,993 $133,476 $142,709 $281,143 $252,245 $532,786 $514,947 
% of investment-grade to total retained loans% of investment-grade to total retained loans76.36 %80.23 %47.57 %55.07 %86.89 %86.63 %72.71 %75.45 %% of investment-grade to total retained loans76.34 %75.13 %51.03 %50.39 %81.87 %86.11 %72.92 %73.65 %
% of total criticized to total retained loans% of total criticized to total retained loans2.04 1.09 10.58 3.59 0.80 0.54 3.99 1.60 % of total criticized to total retained loans3.64 3.10 6.52 9.05 0.66 0.79 2.79 3.62 
% of criticized nonaccrual to total retained loans% of criticized nonaccrual to total retained loans0.37 0.15 1.59 0.58 0.41 0.01 0.75 0.22 % of criticized nonaccrual to total retained loans0.32 0.40 0.74 1.35 0.25 0.36 0.39 0.64 
Secured by real estate

(in millions)		September 30, 2020December 31, 2019
Term loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal
Loans by risk ratings
Investment-grade$13,326 $20,495 $12,963 $12,336 $14,590 $18,232 $1,110 $0 $93,052 $96,611 
Noninvestment-grade2,192 3,956 4,429 2,835 2,777 12,076 543 2 28,810 23,807 
Total retained loans$15,518 $24,451 $17,392 $15,171 $17,367 $30,308 $1,653 $2 $121,862 $120,418 
(a)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 Global Private Bank clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2020 Form 10-K for more information on SPEs.
Commercial and industrialSecured by real estate

(in millions)
(in millions)		September 30, 2020December 31, 2019
(in millions)		September 30, 2021
Term loans by origination yearRevolving loansTerm loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal20212020201920182017Prior to 2017Within the revolving periodConverted to term loansTotal
Loans by risk ratingsLoans by risk ratingsLoans by risk ratings
Investment-gradeInvestment-grade$19,444 (a)$8,283 $3,371 $2,673 $1,107 $1,290 $34,169 $36 $70,373 $80,489 Investment-grade$15,893 $16,153 $18,216 $9,486 $8,240 $21,072 $1,141 $8 $90,209 
Noninvestment-gradeNoninvestment-grade12,504 10,298 6,413 2,710 725 3,090 41,729 96 77,565 65,680 Noninvestment-grade3,661 4,460 5,052 4,344 3,311 6,606 522 2 27,958 
Total retained loansTotal retained loans$31,948 $18,581 $9,784 $5,383 $1,832 $4,380 $75,898 $132 $147,938 $146,169 Total retained loans$19,554 $20,613 $23,268 $13,830 $11,551 $27,678 $1,663 $10 $118,167 
Other(b)
Secured by real estate

(in millions)
(in millions)		September 30, 2020December 31, 2019
(in millions)		December 31, 2020
Term loans by origination year(a)Revolving loansTerm loans by origination year(a)Revolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotal
Loans by risk ratingsLoans by risk ratingsLoans by risk ratings
Investment-gradeInvestment-grade$25,774 $11,508 $8,228 $6,696 $3,877 $13,642 $130,774 $256 $200,755 $186,344 Investment-grade$17,004 $19,870 $12,448 $11,218 $13,611 $14,898 $1,098 $— $90,147 
Noninvestment-gradeNoninvestment-grade5,991 2,572 1,705 468 155 848 18,379 168 30,286 28,747 Noninvestment-grade4,998 6,027 5,886 4,184 3,738 4,523 489 1 29,846 
Total retained loansTotal retained loans$31,765 $14,080 $9,933 $7,164 $4,032 $14,490 $149,153 $424 $231,041 $215,091 Total retained loans$22,002 $25,897 $18,334 $15,402 $17,349 $19,421 $1,587 $1 $119,993 
(a)Prior-period amounts have been revised to conform with the current presentation.

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Commercial and industrial

(in millions)		September 30, 2021
Term loans by origination yearRevolving loans
20212020201920182017Prior to 2017Within the revolving periodConverted to term loansTotal
Loans by risk ratings
Investment-grade$16,741 $7,060 $4,243 $1,496 $1,288 $1,104 $36,179 $1 $68,112 (a)
Noninvestment-grade13,286 8,498 5,493 2,733 1,141 784 33,353 76 65,364 
Total retained loans$30,027 $15,558 $9,736 $4,229 $2,429 $1,888 $69,532 $77 $133,476 
Commercial and industrial

(in millions)		December 31, 2020
Term loans by origination year (b)
Revolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotal
Loans by risk ratings
Investment-grade$21,233 $7,341 $2,950 $1,756 $1,034 $1,178 $36,424 $1 $71,917 (c)
Noninvestment-grade15,488 9,189 5,470 2,323 611 786 36,852 73 70,792 
Total retained loans$36,721 $16,530 $8,420 $4,079 $1,645 $1,964 $73,276 $74 $142,709 
(a)At September 30, 2020, included $8.02021, $2.0 billion of the $2.2 billion total PPP loans underin the PPP, of which $7.4 billion is included inwholesale portfolio were commercial and industrial. Of the $2.0 billion, $1.3 billion were originated in 2021 and $639 million were originated in 2020. PPP loans are guaranteed by the SBA.SBA and considered investment-grade. 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 these loans.
(b)Prior-period amounts have been revised to conform with the current presentation.
(c)At December 31, 2020, $7.4 billion of the $8.0 billion total PPP loans in the wholesale portfolio were commercial and industrial.

Other(a)

(in millions)		September 30, 2021
Term loans by origination yearRevolving loans
20212020201920182017Prior to 2017Within the revolving periodConverted to term loansTotal
Loans by risk ratings
Investment-grade$22,301 $20,154 $7,079 $3,229 $4,185 $8,930 $163,875 $432 $230,185 
Noninvestment-grade12,011 3,112 1,488 1,425 312 1,574 31,007 29 50,958 
Total retained loans$34,312 $23,266 $8,567 $4,654 $4,497 $10,504 $194,882 $461 $281,143 
Other(a)

(in millions)		December 31, 2020
Term loans by origination year(b)
Revolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotal
Loans by risk ratings
Investment-grade$33,190 $11,116 $7,455 $6,804 $4,089 $8,252 $145,524 $779 $217,209 
Noninvestment-grade5,048 2,231 1,660 553 175 535 24,710 124 35,036 
Total retained loans$38,238 $13,347 $9,115 $7,357 $4,264 $8,787 $170,234 $903 $252,245 
(a)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 ManagementGlobal Private Bank clients within AWM). Refer to Note 14 of JPMorgan Chase’s 20192020 Form 10-K for more information on SPEs.
(b)Prior-period amounts have been revised to conform with the current presentation.

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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)
(in millions, except ratios)		MultifamilyOther commercialTotal retained loans secured by real estate
(in millions, except ratios)		MultifamilyOther commercialTotal retained loans secured by real estate
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Retained loans secured by real estateRetained loans secured by real estate$74,480 $73,840 $47,382 $46,578 $121,862 $120,418 Retained loans secured by real estate$72,903 $73,078 $45,264 $46,915 $118,167 $119,993 
CriticizedCriticized565 340 1,927 974 2,492 1,314 Criticized1,710 1,144 2,587 2,573 4,297 3,717 
% of total criticized to total retained loans secured by real estate% of total criticized to total retained loans secured by real estate0.76 %0.46 %4.07 %2.09 %2.04 %1.09 %% of total criticized to total retained loans secured by real estate2.35 %1.57 %5.72 %5.48 %3.64 %3.10 %
Criticized nonaccrualCriticized nonaccrual$51 $28 $399 $155 $450 $183 Criticized nonaccrual$84 $56 $291 $427 $375 $483 
% of criticized nonaccrual loans to total retained loans secured by real estate% of criticized nonaccrual loans to total retained loans secured by real estate0.07 %0.04 %0.84 %0.33 %0.37 %0.15 %% of criticized nonaccrual loans to total retained loans secured by real estate0.12 %0.08 %0.64 %0.91 %0.32 %0.40 %
Geographic distribution and delinquency
The following table provides information on the geographic distribution and delinquency for retained wholesale loans.
Secured by real estateCommercial
and industrial		OtherTotal
retained loans		Secured by real estateCommercial
 and industrial		OtherTotal
 retained loans
(in millions,
except ratios)		(in millions,
except ratios)		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		(in millions,
except ratios)		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Loans by geographic distribution(a)
Loans by geographic distribution(a)
Loans by geographic distribution(a)
Total U.S.Total U.S.$119,062 $117,836 $112,316 $111,954 $166,006 $150,512 $397,384 $380,302 Total U.S.$115,155 $116,990 $95,657 $109,273 $203,631 $180,583 $414,443 $406,846 
Total non-U.S.Total non-U.S.2,800 2,582 35,622 34,215 65,035 64,579 103,457 101,376 Total non-U.S.3,012 3,003 37,819 33,436 77,512 71,662 118,343 108,101 
Total retained loansTotal retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 

$500,841 $481,678 Total retained loans$118,167 $119,993 $133,476 $142,709 $281,143 $252,245 

$532,786 $514,947 
Loan delinquency(b)
Loan delinquency(b)
Loan delinquency(b)
Current and less than 30 days past due and still accruingCurrent and less than 30 days past due and still accruing$121,302 $120,119 $145,165 $144,839 $229,191 $214,641 

$495,658 $479,599 Current and less than 30 days past due and still accruing$117,563 $118,894 $131,863 $140,100 $278,607 $249,713 

$528,033 $508,707 
30–89 days past due and still accruing30–89 days past due and still accruing110 115 404 449 891 415 1,405 979 30–89 days past due and still accruing150 601 546 658 1,789 1,606 2,485 2,865 
90 or more days past due and still accruing(c)
90 or more days past due and still accruing(c)
0 1 18 37 15 5 33 43 
90 or more days past due and still accruing(c)
79 15 73 20 32 22 184 57 
Criticized nonaccrualCriticized nonaccrual450 183 2,351 844 944 30 3,745 1,057 Criticized nonaccrual375 483 994 1,931 715 904 2,084 3,318 
Total retained loansTotal retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 

$500,841 $481,678 Total retained loans$118,167 $119,993 $133,476 $142,709 $281,143 $252,245 

$532,786 $514,947 
(a)The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.
(b)At September 30, 2021 and December 31, 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. 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 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.
The following tables provide information about net charge-offs on retained wholesale loans.
Wholesale net charge-offs/(recoveries)Secured by real estateCommercial
 and industrial		OtherTotal
 retained loans
Three months ended September 30,
(in millions)		20212020202120202021202020212020
Net charge-offs/(recoveries)$9 $(3)$23 $95 $5 $— $37 $92 
Secured by real estateCommercial
 and industrial		OtherTotal
 retained loans
Nine months ended September 30,
(in millions)		20212020202120202021202020212020
Net charge-offs/(recoveries)$10 $9 $75 $531 $15 $13 $100 $553 
Nonaccrual loans
The following table provides information on retained wholesale nonaccrual loans.

(in millions)
(in millions)		Secured by real estateCommercial
and industrial		OtherTotal
retained loans
(in millions)		Secured by real estateCommercial
and industrial		OtherTotal
retained loans
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
Nonaccrual loans(a)
Nonaccrual loans(a)
Nonaccrual loans(a)
With an allowanceWith an allowance$349 $169 $1,978 $688 $844 $28 $3,171 $885 With an allowance$309 $351 $722 $1,667 $520 $800 $1,551 $2,818 
Without an allowance(b)
101 14 373 156 100 2 574 172 
Without an allowance(b)
Without an allowance(b)
66 132 272 264 195 104 533 500 
Total nonaccrual loans(c)
Total nonaccrual loans(c)
$450 $183 $2,351 $844 $944 $30 $3,745 $1,057 
Total nonaccrual loans(c)
$375 $483 $994 $1,931 $715 $904 $2,084 $3,318 
(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 September 30, 2020, predominantly2021, substantially all of these loans were considered performing.
(b)When the discounted cash flows or 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.
(c)Interest income on nonaccrual loans recognized on a cash basis werewas not material for the three and nine months ended September 30, 20202021 and 2019.2020.
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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.TDRs nor are loans for which the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided by the CARES Act and extended by the Consolidated Appropriations Act.

The carrying value of TDRs was $928 million and $954 million as of September 30, 2021, and December 31, 2020, respectively. The carrying value of new TDRs was $180 million and $188 million for the three months ended September 30, 2021 and 2020, respectively, and $832 million and $352 million for the nine months ended September 30, 2021 and 2020, respectively. New TDRs for the three and nine months ended September 30, 2021 reflected deferral of principal and interest payments, extending maturity dates and the receipt of assets in partial satisfaction of the loan predominantly in Other and Commercial and Industrial loan classes. The impact of these modifications as well asresulting in new TDRs werewas not material to the Firm for the three and nine months ended September 30, 20202021 and 2019.2020.
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Note 1312 – Allowance for credit losses
Effective January 1, 2020,The Firm's allowance for credit losses represents management's estimate of expected credit losses over the Firm adoptedremaining expected life of the CECL accounting guidance. The adoption of this guidance established a single allowance framework for allFirm's 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. lending-related commitments.
Refer to Note 113 of JPMorgan Chase's 2020 Form 10-K 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 income statement effect of all changes in the allowance for credit losses is recognized in the provision for credit losses.
Determining the appropriatenessa detailed discussion 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.accounting policies.
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. The assessment of risk characteristics is subject to significant management 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 five
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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.
The COVID-19 pandemic has stressed many MEVs to degrees not experienced in recent history, which creates additional challenges in the use of modeled credit loss estimates and increases the reliance on management judgment. During the second and third quarters, certain MEVs were 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 certain of the Firm’s scenarios 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 loss estimates, particularly in the consumer portfolio. In addition, for the wholesale portfolio, management used the historical relationship between credit spreads and portfolio default rates to inform the 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. These adjustments are accomplished in part by analyzing the historical loss experience, including during stressed periods, for each major product or model. Management applies judgement in making this adjustment, including taking into account uncertainties associated with the economic and political conditions, quality of underwriting standards, borrower behavior, credit concentrations or deterioration within an industry, product or portfolio, as well as other relevant internal and external factors affecting the credit quality of the portfolio. In certain instances, the interrelationships between these factors create further uncertainties.
In the third quarter of 2020, the Firm continued to make qualitative adjustments which placed significant weighting on its adverse scenarios, as a result of continued 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 delinquencies 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.
160152

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 of JPMorgan Chase’s 2020 Form 10-K 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 when 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
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, 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 
Cumulative effect of a change in accounting principle297 5,517 (1,642)4,172 NANANANA
Gross charge-offs620 4,104 641 5,365 665 4,050 307 5,022 
Gross recoveries collected(483)(585)(88)(1,156)(409)(433)(45)(887)
Net charge-offs137 3,519 553 4,209 256 3,617 262 4,135 
Write-offs of PCI loans(a)
NANANANA132 0 0 132 
Provision for loan losses1,803 10,119 5,802 17,724 (227)4,017 258 4,048 
Other1 0 3 4 0 (1)10 9 
Ending balance at September 30,$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Allowance for lending-related commitments
Beginning balance at January 1,$12 $0 $1,179 $1,191 $12 $0 $1,043 $1,055 
Cumulative effect of a change in accounting principle133 0 (35)98 NANANANA
Provision for lending-related commitments71 0 1,464 1,535 0 0 110 110 
Other0 0 (1)(1)0 0 0 0 
Ending balance at September 30,$216 $0 $2,607 $2,823 $12 $0 $1,153 $1,165 
Total allowance for credit losses$4,718 $17,800 $11,119 $33,637 $2,831 $5,583 $5,986 $14,400 
Allowance for loan losses by impairment methodology
Asset-specific(b)
$228 $652 $792 $1,672 $88 $488 $399 $975 
Portfolio-based4,274 17,148 7,720 29,142 1,475 5,095 4,434 11,004 
PCINANANANA1,256 0 0 1,256 
Total allowance for loan losses$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Loans by impairment methodology
Asset-specific(b)
$16,888 $1,432 $3,856 $22,176 $6,117 $1,423 $1,760 $9,300 
Portfolio-based288,218 138,158 496,985 923,361 268,179 158,148 471,970 898,297 
PCINANANANA21,290 0 0 21,290 
Total retained loans$305,106 $139,590 $500,841 $945,537 $295,586 $159,571 $473,730 $928,887 
Collateral-dependent loans
Net charge-offs$109 $0 $22 $131 $23 $0 $28 $51 
Loans measured at fair value of collateral less cost to sell4,517 0 130 4,647 2,079 0 117 2,196 
Allowance for lending-related commitments by impairment methodology
Asset-specific$0 $0 $109 $109 $0 $0 $135 $135 
Portfolio-based216 0 2,498 2,714 12 0 1,018 1,030 
Total allowance for lending-related commitments(c)
$216 $0 $2,607 $2,823 $12 $0 $1,153 $1,165 
Lending-related commitments by impairment methodology
Asset-specific$0 $0 $607 $607 $0 $0 $446 $446 
Portfolio-based(d)
35,587 0 417,402 452,989 32,291 0 386,203 418,494 
Total lending-related commitments$35,587 $0 $418,009 $453,596 $32,291 $0 $386,649 $418,940 
161

20212020
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding credit cardCredit cardWholesaleTotal
Allowance for loan losses
Beginning balance at January 1,$3,636 $17,800 $6,892 $28,328 $2,538 $5,683 $4,902 $13,123 
Cumulative effect of a change in accounting principleNANANANA297 5,517 (1,642)4,172 
Gross charge-offs452 2,957 187 3,596 620 4,104 641 5,365 
Gross recoveries collected(470)(724)(87)(1,281)(483)(585)(88)(1,156)
Net charge-offs/(recoveries)(18)2,233 100 2,315 137 3,519 553 4,209 
Provision for loan losses(1,778)(3,917)(2,162)(7,857)1,803 10,119 5,802 17,724 
Other(2)— (4)(6)1 — 3 4 
Ending balance at September 30,$1,874 $11,650 $4,626 $18,150 $4,502 $17,800 $8,512 $30,814 
Allowance for lending-related commitments
Beginning balance at January 1,$187 $— $2,222 $2,409 $12 $— $1,179 $1,191 
Cumulative effect of a change in accounting principleNANANANA133 — (35)98 
Provision for lending-related commitments(45)— (61)(106)71 — 1,464 1,535 
Other— — 2 2 — — (1)(1)
Ending balance at September 30,$142 $— $2,163 $2,305 $216 $— $2,607 $2,823 
Total allowance for credit losses(a)
$2,016 $11,650 $6,789 $20,455 $4,718 $17,800 $11,119 $33,637 
Allowance for loan losses by impairment methodology
Asset-specific(b)
$(571)$383 $357 $169 $228 $652 $792 $1,672 
Portfolio-based2,445 11,267 4,269 17,981 4,274 17,148 7,720 29,142 
Total allowance for loan losses$1,874 $11,650 $4,626 $18,150 $4,502 $17,800 $8,512 $30,814 
Loans by impairment methodology
Asset-specific(b)
$14,464 $1,083 $2,330 $17,877 $16,888 $1,432 $3,856 $22,176 
Portfolio-based283,844 142,083 530,456 956,383 288,218 138,158 496,985 923,361 
Total retained loans$298,308 $143,166 $532,786 $974,260 $305,106 $139,590 $500,841 $945,537 
Collateral-dependent loans
Net charge-offs$26 $— $9 $35 $109 $— $22 $131 
Loans measured at fair value of collateral less cost to sell4,460 — 364 4,824 4,517 — 130 4,647 
Allowance for lending-related commitments by impairment methodology
Asset-specific$— $— $129 $129 $— $— $109 $109 
Portfolio-based142 — 2,034 2,176 216 — 2,498 2,714 
Total allowance for lending-related commitments(c)
$142 $— $2,163 $2,305 $216 $— $2,607 $2,823 
Lending-related commitments by impairment methodology
Asset-specific$— $— $641 $641 $— $— $607 $607 
Portfolio-based(d)
36,819 — 457,548 494,367 35,587 — 416,267 (d)451,854 
Total lending-related commitments$36,819 $— $458,189 $495,008 $35,587 $— $416,874 $452,461 
(a)Prior to the adoption of CECL, write-offs of PCI loans were recorded againstExcludes the allowance for loancredit losses when actual losses for a pool exceeded estimated losses that were recordedon investment securities of $73 million and $120 million 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.September 30, 2021 and 2020, respectively.
(b)Includes collateral dependent loans, including those considered TDRs and those for which foreclosure is deemed probable, modified PCD loans and non-collateral dependent 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 September 30, 20202021 and 2019,2020, lending-related commitments excluded $10.8$19.9 billion and $9.4$10.8 billion, respectively, for the consumer, excluding credit card portfolio segment; $662.9$710.6 billion and $645.9$662.9 billion, respectively, for the credit card portfolio segment; and $23.2$41.0 billion and $24.2 billion.$24.4 billion, respectively, for the wholesale portfolio segment, which were not subject to the allowance for lending-related commitments. Prior-period amount for wholesale lending-related commitments, including the amount not subject to allowance, has been revised to conform with the current presentation.
(e)
153
Excludes HTM securities, which had an allowance for credit losses of $120 million and a provision for credit losses of $110 million as of and for the nine months ended September 30, 2020.
Discussion of changes in the allowance during 2020
The increaseallowance for credit losses as of September 30, 2021 was $20.5 billion, a decrease from $30.8 billion at December 31, 2020. The decrease in the allowance for loancredit losses and lending related commitments was primarily driven by reflected:
•an increase$8.0 billion reduction in consumer, predominantly in the provision for credit losses,card portfolio, reflecting improvements in the deteriorationFirm's macroeconomic outlook; and    
•a $2.3 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic outlook.
The COVID-19 pandemic has stressed many MEVs used in the Firm's allowance estimate which has created challenges in the use of modeled credit loss estimates, increased the reliance on management judgment, and uncertainty aroundresulted in adjustments to appropriately address the future macroeconomic environment aseconomic circumstances. These adjustments continued through the third quarter of 2021, although to a result oflesser extent than experienced during 2020.
The U.S. economy has continued to improve despite the ongoing impact of the COVID-19 pandemic.
–Inpandemic, with the first quarterbenefits of 2020, management’s macroeconomic forecast included a declinevaccination resulting in improvements in the U.S. real GDP of approximately 25% and an increaseFirm's macroeconomic outlook, particularly in the U.S. unemployment rate to above 10%, foradverse scenarios. However, uncertainties remain, including the first halfimpact that additional waves and variants of 2020, followed by a solid recovery in the second half of 2020.
–In the second quarter of 2020, basedCOVID-19 may have on the increased uncertainty around the duration and depth of the downturn and speedpace of economic recovery,growth, the Firm’s central case assumptions reflected a more protracted downturnstrength of underlying labor markets with the slower recoveryexpiration of U.S. real GDP.
–Ingovernment assistance programs, and the third quarter of 2020, the Firm’s central case assumptions reflected some near term improvementpotential for changes in economic trends, however there is elevated uncertainty around potential impacts to medium andconsumer behavior that could have longer term macroeconomic conditions.
In the first, second and third quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as follows:
20202021
4Q2Q4Q
Central case assumptions
U.S. unemployment rate(a)
1Q 20206.6 %5.5 %4.6 %
2Q 202010.9 9.0 7.7 
3Q 20209.5 8.5 7.3 
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)
3Q 2020(5.4)(3.7)(2.4)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
impacts on certain sectors. As a result of elevated macroeconomic uncertainty beyond the central case,these uncertainties, the Firm continued to place significantretained meaningful weighting on its adverse scenarios whichin the third quarter of 2021, in line with the second quarter of 2021, but to a lesser extent than the fourth quarter of 2020. These adverse scenarios incorporate more punitive macroeconomic factors than the central case assumptions outlined above,below, resulting in a weighted average U.S. unemployment rates, remaining above ten percentrate near 7% into the first quarter of 2022 and falling below 6% in the third quarter of 2022, and a weighted average cumulative change in U.S. GDP of 3.8% in the fourth quarter of 2021.2022.
The Firm’s central case assumptions reflected U.S. unemployment rates and U.S. real GDP as follows:
Assumptions at September 30, 2021
4Q212Q224Q22
U.S. unemployment rate(a)
5.1 %4.4 %4.1 %
Cumulative change in U.S. real GDP from 12/31/20193.3 %5.0 %6.2 %
Assumptions at December 31, 2020
2Q214Q212Q22
U.S. unemployment rate(a)
6.8 %5.7 %5.1 %
Cumulative change in U.S. real GDP from 12/31/2019(1.9)%0.6 %2.0 %
(a)Reflects quarterly average of forecasted U.S. unemployment rate.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.

162154

Note 1413 – Variable interest entities
Refer to Note 1 of JPMorgan Chase’s 20192020 Form 10-K for a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs. Refer to Note 14 of JPMorgan Chase's 2020 Form 10-K for a detailed discussion of VIEs, including the Firm’s accounting policies regarding securitizations.
The following table summarizes the most significant types of Firm-sponsored VIEs by business segment. The Firm considers a “Firm-sponsored” VIE to include any entity where: (1) JPMorgan Chase is the primary beneficiary of the structure; (2) the VIE is used by JPMorgan Chase to securitize Firm assets; (3) the VIE issues financial instruments with the JPMorgan Chase name; or (4) the entity is a JPMorgan Chase–administered asset-backed commercial paper conduit.
Line of BusinessTransaction TypeActivityForm 10-Q page referencereferences
CCBCredit card securitization trustsSecuritization of originated credit card receivables163155
Mortgage securitization trustsServicing and securitization of both originated and purchased residential mortgages163-165155-157
CIBMortgage and other securitization trustsSecuritization of both originated and purchased residential and commercial mortgages, and other consumer loans163-165155-157
Multi-seller conduitsAssist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs165157
Municipal bond vehiclesFinancing of municipal bond investments165157
The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 166–167158–159 of this Note for more information on consolidated VIE assets and liabilities as well as 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 166 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.
163155

The following table presentstables present the total unpaid principal amount of assets held in Firm-sponsored private-label securitization entities, including those in which the Firm has continuing involvement, and those that are consolidated by the Firm. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit
risk retention rules), recourse or guarantee arrangements, and derivative contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. The Firm’s maximum loss exposure from retained and purchased interests is the carrying value of these interests. Refer to Securitization activity on page 167 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 167-168 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)
September 30, 2020 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
September 30, 2021 (in millions)September 30, 2021 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
Securitization-related(a)
Securitization-related(a)
Securitization-related(a)
Residential mortgage:Residential mortgage:Residential mortgage:
Prime/Alt-A and option ARMsPrime/Alt-A and option ARMs$54,012 $2,034 $44,680 $571 $884 $0 $1,455 Prime/Alt-A and option ARMs$52,280 $1,057 $43,700 $561 $572 $100 $1,233 
SubprimeSubprime13,353 48 12,586 3 0 0 3 Subprime11,430 29 10,537 3 — — 3 
Commercial and other(b)
Commercial and other(b)
117,103 0 94,944 887 1,591 280 2,758 
Commercial and other(b)
135,904 — 110,012 861 2,443 324 3,628 
TotalTotal$184,468 $2,082 $152,210 $1,461 $2,475 $280 $4,216 Total$199,614 $1,086 $164,249 $1,425 $3,015 $424 $4,864 
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)
December 31, 2019 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by
JPMorgan
Chase
December 31, 2020 (in millions)December 31, 2020 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by
JPMorgan
Chase
Securitization-related(a)
Securitization-related(a)
Securitization-related(a)
Residential mortgage:Residential mortgage:Residential mortgage:
Prime/Alt-A and option ARMsPrime/Alt-A and option ARMs$60,348 $2,796 $48,734 $535 $625 $0 $1,160 Prime/Alt-A and option ARMs$49,644 $1,693 $41,265 $574 $724 $— $1,298 
SubprimeSubprime14,661 0 13,490 7 0 0 7 Subprime12,896 46 12,154 9 — — 9 
Commercial and other(b)
Commercial and other(b)
111,903 0 80,878 785 773 241 1,799 
Commercial and other(b)
119,732 — 92,351 955 1,549 262 2,766 
TotalTotal$186,912 $2,796 $143,102 $1,327 $1,398 $241 $2,966 Total$182,272 $1,739 $145,770 $1,538 $2,273 $262 $4,073 
(a)Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 167-168 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);servicing; securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (refer to Note 5 for further information on derivatives);entities; senior and subordinated securities of $125$167 million and $24$72 million, respectively, at September 30, 2020,2021, and $106$105 million and $94$40 million, respectively, at December 31, 2019,2020, which the Firm purchased in connection with CIB’s secondary market-making activities.
(d)Includes interests held in re-securitization transactions.
(e)As of both September 30, 2020,2021 and December 31, 2019, 71% and 63%, respectively,2020, 73% 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 $1.4$1.1 billion and $1.1$1.3 billion of investment-grade retained interests, and $53$131 million and $72$41 million of noninvestment-grade retained interests at September 30, 2020,2021, and December 31, 2019,2020, respectively. The retained interests in commercial and other securitization trusts consisted of $1.9$2.8 billion and $1.2$2.0 billion of investment-grade retained interests, and $857$854 million and $575$753 million of noninvestment-grade retained interests at September 30, 2020,2021 and December 31, 2019,2020, respectively.
164156

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 166 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 166 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Transfers of securities to VIEsTransfers of securities to VIEsTransfers of securities to VIEs
U.S. GSEs and government agenciesU.S. GSEs and government agencies$12,488 $5,377 $27,710 $12,444 U.S. GSEs and government agencies$11,258 $12,488 $43,157 $27,710 
The Firm did not transfer any private label securities to re-securitization VIEs during the three and nine months ended September 30, 20202021 and 2019, respectively,2020, and retained interests in any such Firm-sponsored VIEs as of September 30, 20202021 and December 31, 20192020 were immaterial.
The following table presents information on the Firm's interests in nonconsolidated re-securitization VIEs.
Nonconsolidated
re-securitization VIEs		Nonconsolidated
re-securitization VIEs
(in millions)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
U.S. GSEs and government agenciesU.S. GSEs and government agenciesU.S. GSEs and government agencies
Interest in VIEsInterest in VIEs$3,456 $2,928 Interest in VIEs$2,074 $2,631 
As of September 30, 2020,2021, and December 31, 2019,2020, 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 $11.4$12.5 billion and $16.3$13.5 billion of the commercial paper issued by the Firm-administered multi-seller conduits at September 30, 2020,2021, and December 31, 2019,2020, respectively, which have been eliminated in consolidation. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. Other than the amounts required to be held pursuant to credit risk retention rules, the Firm is not obligated under any agreement to purchase the commercial paper issued by the Firm-administered multi-seller conduits.
Deal-specific liquidity facilities, program-wide liquidity and credit enhancement provided by the Firm have been eliminated in consolidation. The Firm or the Firm-administered multi-seller conduits provide lending-related commitments to certain clients of the Firm-administered multi-seller conduits. The unfunded commitments were $10.7$12.5 billion and $8.9$12.2 billion at September 30, 2020,2021, and December 31, 2019,2020, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 2322 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 166-167 of this Note for further information.party.
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.


165157

Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of September 30, 2020,2021, and December 31, 2019.2020.
AssetsLiabilitiesAssetsLiabilities
September 30, 2020 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
September 30, 2021 (in millions)September 30, 2021 (in millions)Trading assetsLoans
Other(c)
 Total
assets(d)
Beneficial interests in
VIE assets(e)
Other(f)
Total
liabilities
VIE program typeVIE program typeVIE program type
Firm-sponsored credit card trustsFirm-sponsored credit card trusts$0$11,838$207$12,045$4,942$3$4,945Firm-sponsored credit card trusts$—$10,606$97$10,703$2,396$1$2,397
Firm-administered multi-seller conduitsFirm-administered multi-seller conduits422,95716023,12111,6223011,652Firm-administered multi-seller conduits221,0777621,1558,612378,649
Municipal bond vehiclesMunicipal bond vehicles2,461052,4662,40212,403Municipal bond vehicles2,009—42,0131,976—1,976
Mortgage securitization entities(a)
Mortgage securitization entities(a)
02,0121182,130225113338
Mortgage securitization entities(a)
—1,091471,13821690306
OtherOther2167254423089Other—2,578(b)2922,87057106163
TotalTotal$2,467$36,974$744$40,185$19,191$236$19,427Total$2,011$35,352$516$37,879$13,257$234$13,491
AssetsLiabilitiesAssetsLiabilities
December 31, 2019 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
December 31, 2020 (in millions)December 31, 2020 (in millions)Trading assetsLoans
Other(c)
 Total
assets(d)
Beneficial interests in
VIE assets(e)
Other(f)
Total
liabilities
VIE program typeVIE program typeVIE program type
Firm-sponsored credit card trustsFirm-sponsored credit card trusts$0$14,986$266$15,252$6,461$6$6,467Firm-sponsored credit card trusts$—$11,962$148$12,110$4,943$3$4,946
Firm-administered multi-seller conduitsFirm-administered multi-seller conduits125,18335525,5399,223369,259Firm-administered multi-seller conduits223,78718823,97710,5233310,556
Municipal bond vehiclesMunicipal bond vehicles1,903041,9071,88131,884Municipal bond vehicles1,930—21,9321,902—1,902
Mortgage securitization entities(a)
Mortgage securitization entities(a)
662,762642,892276130406
Mortgage securitization entities(a)
—1,694941,788210108318
OtherOther66301928550272Other2176249427—89
TotalTotal$2,633$42,931$881$46,445$17,841$447$18,288Total$1,934$37,619$681$40,234$17,578$233$17,811
(a)Includes residential and commercial mortgage securitizations.
(b)Predominantly includes purchased supply chain finance receivables and purchased auto loan securitizations in CIB.
(c)Includes assets classified as cash and other assets on the Consolidated balance sheets.
(c)(d)The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.
(d)(e)The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.”VIEs”. 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 $5.2$2.7 billion and $6.7$5.2 billion at September 30, 2020,2021, and December 31, 2019,2020, respectively.
(e)(f)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
VIEs sponsored by third parties
The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that 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 $21.5$24.7 billion and $19.1$23.6 billion, of which $7.8$8.6 billion and $5.5$8.7 billion was unfunded at September 30, 20202021 and December 31, 2019,2020, respectively. In orderThe prior-period maximum loss exposure amount has been revised to conform with the current presentation. The Firm assesses each project and to reduce the risk of loss, the Firm assesses each project and withholdsmay withhold varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 25 of JPMorgan Chase’s 20192020 Form 10-K for further information on affordable housing tax credits. Refer tocredits and Note 2322 of this Form 10-Q for more information on off-balance sheet lending-related commitments.
166158

Customer municipal bond vehicles (TOB trusts)
The Firm may provide various services to customer TOB trusts, including remarketing agent, liquidity or tender option provider. In certain customer TOB transactions, the Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder.
In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate customer TOB trusts, since the Firm does not have the power to make decisions that significantly impact the economic performance of the municipal bond vehicle.
The Firm’s maximum exposure as a liquidity provider to customer TOB trusts at September 30, 20202021 and
December 31, 20192020 was $6.4$6.9 billion and $5.5$6.7 billion, respectively. The fair value of assets held by such VIEs at September 30, 20202021 and December 31, 2019,2020 was $9.9$10.6 billion and $8.6$10.5 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,mortgages, credit card receivables, 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.mortgages.
Securitization activity
The following table provides information related to the Firm’s securitization activities for the three and nine months ended September 30, 20202021 and 2019,2020, related to assets held in Firm-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved at the time of the securitization.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
(in millions)(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)
(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)
Principal securitizedPrincipal securitized$2,852 $1,330 $3,225 $1,477 $6,450 $5,379 $7,132 $4,215 Principal securitized$8,245 $4,426 $2,852 $1,330 $16,437 $9,214 $6,450 $5,379 
All cash flows during the period:(a)
All cash flows during the period:(a)
All cash flows during the period:(a)
Proceeds received from loan sales as financial instruments(b)(c)
Proceeds received from loan sales as financial instruments(b)(c)
$2,955 $1,392 $3,327 $1,506 $6,645 $5,577 $7,337 $4,329 
Proceeds received from loan sales as financial instruments(b)(c)
$8,424 $4,456 $2,955 $1,392 $16,876 $9,335 $6,645 $5,577 
Servicing fees collectedServicing fees collected54 1 70 0 165 1 220 1 Servicing fees collected39 — 54 1 121 — 165 1 
Cash flows received on interestsCash flows received on interests207 78 115 34 538 138 314 183 Cash flows received on interests121 92 207 78 477 215 538 138 
(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)IncludesRepresents prime mortgages only.mortgages. 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 2322 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 toindemnifications and Note 1514 for additional information about the impact of the Firm’s sale of certain excess MSRs.
167159

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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Carrying value of loans soldCarrying value of loans sold$18,065 $35,556 $60,447 $73,873 Carrying value of loans sold$29,033 $18,065 $76,639 $60,447 
Proceeds received from loan sales as cashProceeds received from loan sales as cash5 3 27 73 Proceeds received from loan sales as cash70 5 110 27 
Proceeds from loan sales as securities(a)(b)
Proceeds from loan sales as securities(a)(b)
17,858 35,512 59,795 73,172 
Proceeds from loan sales as securities(a)(b)
28,549 17,858 75,331 59,795 
Total proceeds received from loan sales(c)
Total proceeds received from loan sales(c)
$17,863 $35,515 $59,822 $73,245 
Total proceeds received from loan sales(c)
$28,619 $17,863 $75,441 $59,822 
Gains/(losses) on loan sales(d)(e)
Gains/(losses) on loan sales(d)(e)
$0 $342 $6 $495 
Gains/(losses) on loan sales(d)(e)
$— $— $4 $6 
(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 23,22, 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 1211 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 September 30, 20202021 and December 31, 2019.2020. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)(in millions)Sep 30,
2020		Dec 31,
2019		(in millions)Sep 30,
2021		Dec 31,
2020
Loans repurchased or option to repurchase(a)
Loans repurchased or option to repurchase(a)
$1,491 $2,941 
Loans repurchased or option to repurchase(a)
$1,103 $1,413 
Real estate ownedReal estate owned10 41 Real estate owned5 9 
Foreclosed government-guaranteed residential mortgage loans(b)
Foreclosed government-guaranteed residential mortgage loans(b)
72 198 
Foreclosed government-guaranteed residential mortgage loans(b)
44 64 
(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 September 30, 2020,2021, and December 31, 2019.2020.
Net liquidation lossesNet liquidation losses
Securitized assets90 days past dueThree months ended September 30,Nine months ended September 30,Securitized assets90 days past dueThree months ended September 30,Nine months ended September 30,
(in millions)(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		2020201920202019(in millions)Sep 30,
2021		Dec 31,
2020		Sep 30,
2021		Dec 31,
2020		2021202020212020
Securitized loansSecuritized loansSecuritized loans
Residential mortgage:Residential mortgage:Residential mortgage:
Prime / Alt-A & option ARMsPrime / Alt-A & option ARMs$44,680 $48,734 $5,591 $2,449 $9 $146 $184 $474 Prime / Alt-A & option ARMs$43,700 $41,265 $3,160 $4,988 $— $9 $14 $184 
SubprimeSubprime12,586 13,490 2,417 1,813 24 145 159 456 Subprime10,537 12,154 1,808 2,406 — 24 18 159 
Commercial and otherCommercial and other94,944 80,878 5,025 187 0 118 11 283 Commercial and other110,012 92,351 3,254 5,958 244 — 265 11 
Total loans securitizedTotal loans securitized$152,210 $143,102 $13,033 $4,449 $33 $409 $354 $1,213 Total loans securitized$164,249 $145,770 $8,222 $13,352 $244 $33 $297 $354 
168160

Note 1514 – Goodwill and Mortgage servicing rights
Refer to Note 15 of JPMorgan Chase’s 20192020 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 reportable business segments.segments and Corporate.
(in millions)September 30,
2020		December 31,
2019
Consumer & Community Banking(a)
$30,082 $30,082 
Corporate & Investment Bank(a)
7,897 7,901 
Commercial Banking2,985 2,982 
Asset & Wealth Management6,855 6,858 
Total goodwill$47,819 $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-period amounts have been revised to conform with the current presentation.
(in millions)September 30,
2021		December 31,
2020
Consumer & Community Banking$31,472 $31,311 
Corporate & Investment Bank7,906 7,913 
Commercial Banking2,986 2,985 
Asset & Wealth Management7,222 7,039 
Corporate727 — 
Total goodwill$50,313 $49,248 
The following table presents changes in the carrying amount of goodwill.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
Balance at beginning
of period
Balance at beginning
of period
$47,811 $47,477 $47,823 $47,471 
Balance at beginning
of period
$49,256 $47,811 $49,248 $47,823 
Changes during the period from:Changes during the period from:Changes during the period from:
Business combinations(a)
Business combinations(a)
0 348 0 348 
Business combinations(a)
1,065 — 1,065 — 
Other(b)
Other(b)
8 (7)(4)(1)
Other(b)
(8)8 — (4)
Balance at September 30,Balance at September 30,$47,819 $47,818 $47,819 $47,818 Balance at September 30,$50,313 $47,819 $50,313 $47,819 
(a)For the three and nine months ended September 30, 2019,2021, represents estimated goodwill associated with the July 24, 2019 acquisitionacquisitions of InstaMed. This goodwill was allocated to CIB, CBNutmeg in Corporate, OpenInvest and Campbell Global in AWM and Frank in CCB.
(b)Primarily relates to foreign currency adjustments.adjustments and adjustments to goodwill related to prior period acquisitions.

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. Refer to Note 15 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the Firm’s goodwill impairment testing.
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 September 30, 2020,2021, the Firm reviewed current economic conditions, including the potential impacts of the COVID-19 pandemic on business performance, estimated market cost of equity, as well as actualsactual business results and projections of business performance for all its reporting units.performance. The Firm has concluded that the goodwill allocated to its reporting units was 0tnot impaired as of September 30, 2020,2021, or December 31, 2019,2020, nor was goodwill written off due to impairment during the nine months ended September 30, 20202021 or 2019.2020.
169161

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 20192020 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 nine months ended September 30, 20202021 and 2019.2020.
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,		As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where otherwise noted)(in millions, except where otherwise noted)2020201920202019(in millions, except where otherwise noted)2021202020212020
Fair value at beginning of periodFair value at beginning of period$3,080 $5,093 $4,699 $6,130 Fair value at beginning of period$4,549 $3,080 $3,276 $4,699 
MSR activity:MSR activity:MSR activity:
Originations of MSRsOriginations of MSRs204 390 639 1,146 Originations of MSRs429 204 1,252 639 
Purchase of MSRsPurchase of MSRs17 (2)24 104 Purchase of MSRs584 17 1,158 24 
Disposition of MSRs(a)
Disposition of MSRs(a)
(104)(359)(177)(687)
Disposition of MSRs(a)
1 (104)(23)(177)
Net additions/(dispositions)Net additions/(dispositions)117 29 486 563 Net additions/(dispositions)1,014 117 2,387 486 
Changes due to collection/realization of expected cash flowsChanges due to collection/realization of expected cash flows(215)(256)(710)(702)Changes due to collection/realization of expected cash flows(201)(215)(570)(710)
Changes in valuation due to inputs and assumptions:Changes in valuation due to inputs and assumptions:Changes in valuation due to inputs and assumptions:
Changes due to market interest rates and other(b)
Changes due to market interest rates and other(b)
(59)(433)(1,573)(1,274)
Changes due to market interest rates and other(b)
133 (59)469 (1,573)
Changes in valuation due to other inputs and assumptions:Changes in valuation due to other inputs and assumptions:Changes in valuation due to other inputs and assumptions:
Projected cash flows (e.g., cost to service)Projected cash flows (e.g., cost to service)(82)17 (80)(333)(e)Projected cash flows (e.g., cost to service)119 (82)96 (80)
Discount ratesDiscount rates199 0 199 153 Discount rates— 199 — 199 
Prepayment model changes and other(c)
Prepayment model changes and other(c)
(24)(31)(5)(118)
Prepayment model changes and other(c)
(263)(24)(307)(5)
Total changes in valuation due to other inputs and assumptionsTotal changes in valuation due to other inputs and assumptions93 (14)114 (298)Total changes in valuation due to other inputs and assumptions(144)93 (211)114 
Total changes in valuation due to inputs and assumptionsTotal changes in valuation due to inputs and assumptions34 (447)(1,459)(1,572)Total changes in valuation due to inputs and assumptions(11)34 258 (1,459)
Fair value at September 30$3,016 $4,419 $3,016 $4,419 
Fair value at September 30,Fair value at September 30,$5,351 $3,016 $5,351 $3,016 
Changes in unrealized gains/(losses) included in income related to MSRs held at September 30,Changes in unrealized gains/(losses) included in income related to MSRs held at September 30,$34 $(447)$(1,459)$(1,572)Changes in unrealized gains/(losses) included in income related to MSRs held at September 30,$(11)$34 $258 $(1,459)
Contractual service fees, late fees and other ancillary fees included in incomeContractual service fees, late fees and other ancillary fees included in income333 397 1,026 1,254 Contractual service fees, late fees and other ancillary fees included in income334 333 932 1,026 
Third-party mortgage loans serviced at September 30, (in billions)Third-party mortgage loans serviced at September 30, (in billions)456 537 456 537 Third-party mortgage loans serviced at September 30, (in billions)510 456 510 456 
Servicer advances, net of an allowance for uncollectible amounts, at September 30, (in billions)(d)
Servicer advances, net of an allowance for uncollectible amounts, at September 30, (in billions)(d)
1.7 2.0 1.7 2.0 
Servicer advances, net of an allowance for uncollectible amounts, at September 30, (in billions)(d)
1.7 1.7 1.7 1.7 
(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.
170162

The following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the three and nine months ended September 30, 20202021 and 2019.2020.
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)(in millions)2020201920202019(in millions)2021202020212020
CCB mortgage fees and related incomeCCB mortgage fees and related incomeCCB mortgage fees and related income
Net production revenue$765 $738 $1,826 $1,291 
Production revenueProduction revenue$614 $765 $1,888 $1,826 
Net mortgage servicing revenue:Net mortgage servicing revenue:Net mortgage servicing revenue:
Operating revenue:Operating revenue:Operating revenue:
Loan servicing revenueLoan servicing revenue381 351 1,063 1,172 Loan servicing revenue328 381 892 1,063 
Changes in MSR asset fair value due to collection/realization of expected cash flowsChanges in MSR asset fair value due to collection/realization of expected cash flows(215)(256)(710)(702)Changes in MSR asset fair value due to collection/realization of expected cash flows(201)(215)(570)(710)
Total operating revenueTotal operating revenue166 95 353 470 Total operating revenue127 166 322 353 
Risk management:Risk management:Risk management:
Changes in MSR asset fair value due to market interest rates and other(a)
Changes in MSR asset fair value due to market interest rates and other(a)
(59)(433)(1,573)(1,274)
Changes in MSR asset fair value due to market interest rates and other(a)
133 (59)469 (1,573)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
93 (14)114 (298)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
(144)93 (211)114 
Changes in derivative fair value and otherChanges in derivative fair value and other111 500 1,593 1,372 Changes in derivative fair value and other(134)111 (621)1,593 
Total risk managementTotal risk management145 53 134 (200)Total risk management(145)145 (363)134 
Total net mortgage servicing revenueTotal net mortgage servicing revenue311 148 487 270 Total net mortgage servicing revenue(18)311 (41)487 
Total CCB mortgage fees and related incomeTotal CCB mortgage fees and related income1,076 886 2,313 1,561 Total CCB mortgage fees and related income596 1,076 1,847 2,313 
All otherAll other11 1 11 1 All other4 11 8 11 
Mortgage fees and related incomeMortgage fees and related income$1,087 $887 $2,324 $1,562 Mortgage fees and related income$600 $1,087 $1,855 $2,324 
(a)Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(b)Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2020,2021, and December 31, 2019,2020, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
(in millions, except rates)(in millions, except rates)Sep 30,
2020		Dec 31,
2019		(in millions, except rates)Sep 30,
2021		Dec 31,
2020
Weighted-average prepayment speed assumption (constant prepayment rate)Weighted-average prepayment speed assumption (constant prepayment rate)16.94 %11.67 %Weighted-average prepayment speed assumption (constant prepayment rate)10.12 %14.90 %
Impact on fair value of 10% adverse changeImpact on fair value of 10% adverse change$(203)$(200)Impact on fair value of 10% adverse change$(220)$(206)
Impact on fair value of 20% adverse changeImpact on fair value of 20% adverse change(386)(384)Impact on fair value of 20% adverse change(423)(392)
Weighted-average option adjusted spread(a)
Weighted-average option adjusted spread(a)
7.37 %7.93 %
Weighted-average option adjusted spread(a)
6.56 %7.19 %
Impact on fair value of a 100 basis point adverse changeImpact on fair value of a 100 basis point adverse change$(121)$(169)Impact on fair value of a 100 basis point adverse change$(226)$(134)
Impact on fair value of a 200 basis point adverse changeImpact on fair value of a 200 basis point adverse change(233)(326)Impact on fair value of a 200 basis point adverse change(433)(258)
(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.

171163

Note 1615 – Deposits
Refer to Note 17 of JPMorgan Chase’s 20192020 Form 10-K for further information on deposits.
At September 30, 2020,2021 and December 31, 2019,2020, noninterest-bearing and interest-bearing deposits were as follows.
(in millions)(in millions)September 30,
2020		December 31, 2019(in millions)September 30,
2021		December 31, 2020
U.S. officesU.S. officesU.S. offices
Noninterest-bearing (included $12,699 and $22,637 at fair value)(a)
$540,116 $395,667 
Noninterest-bearing (included $9,186 and $9,873 at fair value)(a)
Noninterest-bearing (included $9,186 and $9,873 at fair value)(a)
$656,438 $572,711 
Interest-bearing (included $2,567 and $2,534 at fair value)(a)
1,117,149 876,156 
Interest-bearing (included $630 and $2,567 at fair value)(a)
Interest-bearing (included $630 and $2,567 at fair value)(a)
1,344,092 1,197,032 
Total deposits in U.S. officesTotal deposits in U.S. offices1,657,265 1,271,823 Total deposits in U.S. offices2,000,530 1,769,743 
Non-U.S. officesNon-U.S. officesNon-U.S. offices
Noninterest-bearing (included $1,481 and $1,980 at fair value)(a)
21,406 20,087 
Noninterest-bearing (included $1,788 and $1,486 at fair value)(a)
Noninterest-bearing (included $1,788 and $1,486 at fair value)(a)
28,589 23,435 
Interest-bearing (included $2,567 and $1,438 at fair value)(a)
322,745 270,521 
Interest-bearing (included $204 and $558 at fair value)(a)
Interest-bearing (included $204 and $558 at fair value)(a)
373,234 351,079 
Total deposits in non-U.S. officesTotal deposits in non-U.S. offices344,151 290,608 Total deposits in non-U.S. offices401,823 374,514 
Total depositsTotal deposits$2,001,416 $1,562,431 Total deposits$2,402,353 $2,144,257 
(a)Includes structured notes classified as deposits for which the fair value option has been elected. Refer to Note 3 for further information.


Note 1716 – Leases
Refer to Note 18 of JPMorgan Chase’s 20192020 Form 10-K for a further discussion on leases.
Firm as lessee
At September 30, 2020,2021, 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 ROUright-of-use ("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)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
Right-of-use assetsRight-of-use assets$7,883 $8,190 Right-of-use assets$7,837 $8,006 
Lease liabilitiesLease liabilities8,335 8,505 Lease liabilities8,262 8,508 
The Firm’s net rental expense was $474$490 million and $468$474 million for the three months ended September 30, 2021 and 2020, respectively, and 2019,$1.5 billion and $1.4 billion for each of the nine months ended September 30, 2021 and 2020, and 2019.respectively.
Firm as lessor
The Firm’s lease financings are generallypredominantly auto 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 September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,

(in millions)
(in millions)		2020201920202019
(in millions)		2021202020212020
Operating lease incomeOperating lease income$1,425 $1,384 $4,236 $4,027 Operating lease income$1,190 $1,425 $3,792 $4,236 
Depreciation expenseDepreciation expense1,035 1,053 3,261 3,038 Depreciation expense785 1,035 2,595 3,261 


172164

Note 1817 - Preferred stock
Refer to Note 21 of JPMorgan Chase’s 20192020 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 September 30, 20202021 and December 31, 2019,2020, and the quarterly dividend declarations for the three and nine months ended September 30, 20202021 and 2019.2020.
Shares
Carrying value
 (in millions)
Contractual rate in effect at September 30, 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 September 30, 2021Earliest redemption date
Floating annualized rate(a)
Dividend declared
per share
September 30, 2020December 31, 2019September 30, 2020December 31, 2019Issue dateThree months ended September 30,Nine months ended September 30,September 30, 2021December 31, 2020September 30, 2021December 31, 2020Issue dateThree months ended September 30,Nine months ended September 30,
2019Contractual rate in effect at September 30, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/ Term SOFR plus:2020Contractual rate in effect at September 30, 2021Earliest redemption date
Floating annualized rate(a)
Fixed-rate:Fixed-rate:Fixed-rate:
Series P0 0 $0 $0 2/5/20130 %3/1/2018NA$0td36.25
Series T0 0 0 0 1/30/20140 3/1/2019NA0NA0167.50
Series W0 0 0 0 6/23/20140 9/1/2019NA0157.500472.50
Series YSeries Y0 143,000 0 1,430 2/12/20150 3/1/2020NA0153.13153.13459.39Series Y— — $— $— 2/12/2015— %3/1/2020NA$—$—$—$153.13
Series AASeries AA142,500 142,500 1,425 1,425 6/4/20156.100 9/1/2020NA152.50152.50457.50457.50Series AA— 142,500 — 1,425 6/4/2015— 9/1/2020NA—152.50305.00457.50
Series BBSeries BB115,000 115,000 1,150 1,150 7/29/20156.150 9/1/2020NA153.75153.75461.25461.25Series BB— 115,000 — 1,150 7/29/2015— 9/1/2020NA—153.75307.50461.25
Series DDSeries DD169,625 169,625 1,696 1,696 9/21/20185.750 12/1/2023NA143.75143.75431.25431.25Series DD169,625 169,625 1,696 1,696 9/21/20185.750 12/1/2023NA143.75143.75431.25431.25
Series EESeries EE185,000 185,000 1,850 1,850 1/24/20196.000 3/1/2024NA150.00150.00450.00361.67Series EE185,000 185,000 1,850 1,850 1/24/20196.000 3/1/2024NA150.00150.00450.00450.00
Series GGSeries GG90,000 90,000 900 900 11/7/20194.750 12/1/2024NA118.75NA387.92NASeries GG90,000 90,000 900 900 11/7/20194.750 12/1/2024NA118.75118.75356.25387.92(b)
Series JJSeries JJ150,000 — 1,500 — 3/17/20214.550 6/1/2026NA113.75NA207.28NA(c)
Series LLSeries LL185,000 — 1,850 — 5/20/20214.625 6/1/2026NA129.76NA129.76NA(d)
Series MMSeries MM200,000 — 2,000 — 7/29/20214.200 9/1/2026NA—NA—NA(e)
Fixed-to-floating-rate:Fixed-to-floating-rate:Fixed-to-floating-rate:
Series ISeries I293,375 293,375 $2,934 $2,934 4/23/2008LIBOR + 3.47%4/30/2018LIBOR + 3.47%$95.53$146.58$334.90$455.09Series I293,375 293,375 $2,934 $2,934 4/23/2008LIBOR + 3.47%4/30/2018LIBOR + 3.47%$90.96$95.53$276.42$334.90
Series QSeries Q150,000 150,000 1,500 1,500 4/23/20135.150 5/1/2023LIBOR + 3.25128.75128.75386.25386.25Series Q150,000 150,000 1,500 1,500 4/23/20135.150 5/1/2023LIBOR + 3.25128.75128.75386.25386.25
Series RSeries R150,000 150,000 1,500 1,500 7/29/20136.000 8/1/2023LIBOR + 3.30150.00150.00450.00450.00Series R150,000 150,000 1,500 1,500 7/29/20136.000 8/1/2023LIBOR + 3.30150.00150.00450.00450.00
Series SSeries S200,000 200,000 2,000 2,000 1/22/20146.750 2/1/2024LIBOR + 3.78168.75168.75506.25506.25Series S200,000 200,000 2,000 2,000 1/22/20146.750 2/1/2024LIBOR + 3.78168.75168.75506.25506.25
Series USeries U100,000 100,000 1,000 1,000 3/10/20146.125 4/30/2024LIBOR + 3.33153.13153.13459.38459.38Series U100,000 100,000 1,000 1,000 3/10/20146.125 4/30/2024LIBOR + 3.33153.13153.13459.38459.38
Series VSeries V250,000 250,000 2,500 2,500 6/9/2014LIBOR + 3.327/1/2019LIBOR + 3.3292.41144.11343.30394.11(a)Series V250,000 250,000 2,500 2,500 6/9/2014LIBOR + 3.32%7/1/2019LIBOR + 3.3288.5592.41263.54343.30
Series XSeries X160,000 160,000 1,600 1,600 9/23/20146.100 10/1/2024LIBOR + 3.33152.50152.50457.50457.50Series X160,000 160,000 1,600 1,600 9/23/20146.100 10/1/2024LIBOR + 3.33152.50152.50457.50457.50
Series ZSeries Z200,000 200,000 2,000 2,000 4/21/2015LIBOR + 3.805/1/2020LIBOR + 3.80102.40132.50352.05397.50(b)Series Z200,000 200,000 2,000 2,000 4/21/2015LIBOR + 3.80%5/1/2020LIBOR + 3.8099.23102.40300.97352.05(f)
Series CCSeries CC125,750 125,750 1,258 1,258 10/20/20174.625 11/1/2022LIBOR + 2.58115.63115.63346.88346.88Series CC125,750 125,750 1,258 1,258 10/20/20174.625 11/1/2022LIBOR + 2.58115.63115.63346.88346.88
Series FFSeries FF225,000 225,000 2,250 2,250 7/31/20195.000 8/1/2024SOFR + 3.38125.00126.39375.00126.39Series FF225,000 225,000 2,250 2,250 7/31/20195.000 8/1/2024SOFR + 3.38125.00125.00375.00375.00
Series HHSeries HH300,000 0 3,000 0 1/23/20204.600 2/1/2025SOFR + 3.125115.00NA355.22NASeries HH300,000 300,000 3,000 3,000 1/23/20204.600 2/1/2025SOFR + 3.125115.00115.00345.00355.22(g)
Series IISeries II150,000 0 1,500 0 2/24/20204.000 4/1/2025SOFR + 2.745100.00NA241.11NASeries II150,000 150,000 1,500 1,500 2/24/20204.000 4/1/2025SOFR + 2.745100.00100.00300.00241.11(h)
Series KKSeries KK200,000 — 2,000 — 5/12/20213.650 6/1/2026CMT + 2.85110.51NA110.51NA(i)
Total preferred stockTotal preferred stock3,006,250 2,699,250 $30,063 $26,993 Total preferred stock3,483,750 3,006,250 $34,838 $30,063 
(a)PriorFloating annualized rate includes three-month LIBOR, three-month term SOFR or five-year Constant Maturity Treasury ("CMT") rate, as applicable, plus the spreads noted above.
(b)Dividends in the amount of $150.42 per share were declared on January 8, 2020 and include dividends from the original issue date of November 7, 2019 through February 29, 2020. Dividends were declared quarterly thereafter at the contractual rate.
(c)Dividends in the amount of $93.53 per share were declared on April 9, 2021 and include dividends from the original issue date of March 17, 2021 though May 31, 2021. Dividends were declared quarterly thereafter at the contractual rate.
(d)Dividends in the amount of $129.76 per share were declared on July 8, 2021 from the original issue date of May 20, 2021 though August 31, 2021.
(e)No dividends were declared for Series MM from the original issue date of July 29,2021 through September 30, 2021.
(f)The dividend rate for Series Z preferred stock became floating and payable quarterly starting on May 1, 2020; prior to July 1, 2019,which the dividend rate was fixed at 5%.5.3% or $265.00 per share payable semi annually.
(b)(g)Prior toDividends in the amount of $125.22 per share were declared on March 13, 2020 and include dividends from the original issue date of January 23, 2020 through April 30, 2020. Dividends were declared quarterly thereafter at the contractual rate.
(h)Dividends in the amount of $141.11 per share were declared on May 1,15, 2020 and include dividends from the dividend rate was fixedoriginal issue date of February 24, 2020 through June 30, 2020. Dividends were declared quarterly thereafter at 5.3%.the contractual rate.
(i)Dividends in the amount of $110.51 per share were declared on July 8, 2021 from the original issue date of May 12, 2021 through August 31, 2021.
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 $30.4$35.2 billion at September 30, 2020.2021.
Redemptions
On June 1, 2021, the Firm redeemed all $1.43 billion of its 6.10% non-cumulative preferred stock, Series AA and all $1.15 billion of its 6.15% non-cumulative preferred stock, Series BB.
On March 1, 2020, the Firm redeemed all $1.43 billion of its 6.125% non-cumulative 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.
173165

Note 1918 – Earnings per share
Refer to Note 23 of JPMorgan Chase’s 20192020 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 nine months ended September 30, 20202021 and 2019.2020.
(in millions, except per share amounts)(in millions, except per share amounts)Three months ended
September 30,		Nine months ended
September 30,		(in millions, except per share amounts)Three months ended September 30,Nine months ended September 30,
20202019202020192021202020212020
Basic earnings per shareBasic earnings per shareBasic earnings per share
Net incomeNet income$9,443 $9,080 $16,995 $27,911 Net income$11,687 $9,443 $37,935 $16,995 
Less: Preferred stock dividendsLess: Preferred stock dividends381 423 1,203 1,201 Less: Preferred stock dividends402 381 1,174 1,203 
Net income applicable to common equityNet income applicable to common equity9,062 8,657 15,792 26,710 Net income applicable to common equity11,285 9,062 36,761 15,792 
Less: Dividends and undistributed earnings allocated to participating securitiesLess: Dividends and undistributed earnings allocated to participating securities47 51 80 159 Less: Dividends and undistributed earnings allocated to participating securities56 47 185 80 
Net income applicable to common stockholdersNet income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 Net income applicable to common stockholders$11,229 $9,015 $36,576 $15,712 
Total weighted-average basic shares
outstanding
Total weighted-average basic shares
outstanding
3,077.8 3,198.5 3,083.3 3,248.7 
Total weighted-average basic shares
outstanding
2,999.9 3,077.8 3,036.4 3,083.3 
Net income per shareNet income per share$2.93 $2.69 $5.10 $8.17 Net income per share$3.74 $2.93 $12.05 $5.10 
Diluted earnings per shareDiluted earnings per shareDiluted earnings per share
Net income applicable to common stockholdersNet income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 Net income applicable to common stockholders$11,229 $9,015 $36,576 $15,712 
Total weighted-average basic shares
outstanding
Total weighted-average basic shares
outstanding
3,077.8 3,198.5 3,083.3 3,248.7 
Total weighted-average basic shares
outstanding
2,999.9 3,077.8 3,036.4 3,083.3 
Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUsAdd: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs5.0 8.7 4.8 9.3 Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs5.2 5.0 5.3 4.8 
Total weighted-average diluted shares outstandingTotal weighted-average diluted shares outstanding3,082.8 3,207.2 3,088.1 3,258.0 Total weighted-average diluted shares outstanding3,005.1 3,082.8 3,041.7 3,088.1 
Net income per shareNet income per share$2.92 $2.68 $5.09 $8.15 Net income per share$3.74 $2.92 $12.02 $5.09 

174166

Note 2019 – 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
September 30, 2021
(in millions)		As of or for the three months ended
September 30, 2021
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at July 1, 2021Balance at July 1, 2021$4,515 $(659)$(163)$725 $(1,055)$(793)$2,570 
Net changeNet change(434)(187)9 (450)6 (551)(1,607)
Balance at September 30, 2021Balance at September 30, 2021$4,081 (a)$(846)$(154)$275 $(1,049)$(1,344)$963 
As of or for the three months ended
September 30, 2020
(in millions)		As of or for the three months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)As of or for the three months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
As of or for the three months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at July 1, 2020Balance at July 1, 2020$7,920 $(895)$(27)$2,762 $(1,318)$347 $8,789 Balance at July 1, 2020$7,920 $(895)$(27)$2,762 $(1,318)$347 $8,789 
Net changeNet change514 127 (69)(70)(12)(339)151 Net change514 127 (69)(70)(12)(339)151 
Balance at September 30, 2020Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 
As of or for the three months ended
September 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at July 1, 2019$3,709 $(652)(73)$126 $(2,231)$235 $1,114 
As of or for the nine months ended
September 30, 2021
(in millions)		As of or for the nine months ended
September 30, 2021
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at January 1, 2021Balance at January 1, 2021$8,180 $(473)$(112)$2,383 $(1,132)$(860)$7,986 
Net changeNet change479 (165)(1)195 46 132 686 Net change(4,099)(373)(42)(2,108)83 (484)(7,023)
Balance at September 30, 2019$4,188 $(817)$(74)$321 $(2,185)$367 $1,800 
Balance at September 30, 2021Balance at September 30, 2021$4,081 (a)$(846)$(154)$275 $(1,049)$(1,344)$963 
As of or for the nine months ended
September 30, 2020
(in millions)		As of or for the nine months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)As of or for the nine months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
As of or for the nine months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at January 1, 2020Balance at January 1, 2020$4,057 $(707)$(131)$63 $(1,344)$(369)$1,569 Balance at January 1, 2020$4,057 $(707)$(131)$63 $(1,344)$(369)$1,569 
Net changeNet change4,377 (61)35 2,629 14 377 7,371 Net change4,377 (61)35 2,629 14 377 7,371 
Balance at September 30, 2020Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 
As of or for the nine months ended
September 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined 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 change2,986 (90)87 430 123 (229)3,307 
Balance at September 30, 2019$4,188 $(817)$(74)$321 $(2,185)$367 $1,800 
(a)Includes after-tax net unamortized unrealized gains of $2.7 billion related to AFS securities that have been transferred to HTM.HTM at both September 30, 2021 and 2020. Refer to Note 10 of JPMorgan Chase's 2020 Form 10-K for further information.





















175
167

The following table presents the pre-tax and after-tax changes in the components of OCI.
2020201920212020
Three months ended September 30,
(in millions)		Three months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-taxThree months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-tax
Unrealized gains/(losses) on investment securities:Unrealized gains/(losses) on investment securities:Unrealized gains/(losses) on investment securities:
Net unrealized gains/(losses) arising during the periodNet unrealized gains/(losses) arising during the period$1,143 $(270)$873 $708 $(169)$539 Net unrealized gains/(losses) arising during the period$(826)$197 $(629)$1,143 $(270)$873 
Reclassification adjustment for realized (gains)/losses included in net income(a)
Reclassification adjustment for realized (gains)/losses included in net income(a)
(473)114 (359)(78)18 (60)
Reclassification adjustment for realized (gains)/losses included in net income(a)
256 (61)195 (473)114 (359)
Net changeNet change670 (156)514 630 (151)479 Net change(570)136 (434)670 (156)514 
Translation adjustments(b):
Translation adjustments(b):
Translation adjustments(b):
TranslationTranslation871 (86)785 (861)40 (821)Translation(1,030)63 (967)871 (86)785 
HedgesHedges(868)210 (658)866 (210)656 Hedges1,028 (248)780 (868)210 (658)
Net changeNet change3 124 127 5 (170)(165)Net change(2)(185)(187)3 124 127 
Fair value hedges, net change(c):
Fair value hedges, net change(c):
(91)22 (69)(1)0 (1)
Fair value hedges, net change(c):
12 (3)9 (91)22 (69)
Cash flow hedges:Cash flow hedges:Cash flow hedges:
Net unrealized gains/(losses) arising during the periodNet unrealized gains/(losses) arising during the period134 (32)102 222 (55)167 Net unrealized gains/(losses) arising during the period(267)65 (202)134 (32)102 
Reclassification adjustment for realized (gains)/losses included in net income(d)
Reclassification adjustment for realized (gains)/losses included in net income(d)
(227)55 (172)37 (9)28 
Reclassification adjustment for realized (gains)/losses included in net income(d)
(326)78 (248)(227)55 (172)
Net changeNet change(93)23 (70)259 (64)195 Net change(593)143 (450)(93)23 (70)
Defined benefit pension and OPEB plans:
Net gain/(loss) arising during the period0 0 0 0 0 0 
Reclassification adjustments included in net income(e):
Amortization of net loss4 (1)3 42 (10)32 
Amortization of prior service cost/(credit)0 1 1 0 0 0 
Foreign exchange and other(22)6 (16)18 (4)14 
Net change(18)6 (12)60 (14)46 
Defined benefit pension and OPEB plans, net change:Defined benefit pension and OPEB plans, net change:8 (2)6 (18)6 (12)
DVA on fair value option elected liabilities, net change:DVA on fair value option elected liabilities, net change:(445)106 (339)173 (41)132 DVA on fair value option elected liabilities, net change:(729)178 (551)(445)106 (339)
Total other comprehensive income/(loss)Total other comprehensive income/(loss)$26 $125 $151 $1,126 $(440)$686 Total other comprehensive income/(loss)$(1,874)$267 $(1,607)$26 $125 $151 
2020201920212020
Nine months ended September 30,
(in millions)		Nine months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-taxNine months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-tax
Unrealized gains/(losses) on investment securities:Unrealized gains/(losses) on investment securities:Unrealized gains/(losses) on investment securities:
Net unrealized gains/(losses) arising during the periodNet unrealized gains/(losses) arising during the period$6,494 $(1,561)$4,933 $4,074 $(985)$3,089 Net unrealized gains/(losses) arising during the period$(5,792)$1,391 $(4,401)$6,494 $(1,561)$4,933 
Reclassification adjustment for realized (gains)/losses included in net income(a)
Reclassification adjustment for realized (gains)/losses included in net income(a)
(732)176 (556)(135)32 (103)
Reclassification adjustment for realized (gains)/losses included in net income(a)
397 (95)302 (732)176 (556)
Net changeNet change5,762 (1,385)4,377 3,939 (953)2,986 Net change(5,395)1,296 (4,099)5,762 (1,385)4,377 
Translation adjustments(b):
Translation adjustments(b):
Translation adjustments(b):
TranslationTranslation(316)15 (301)(697)76 (621)Translation(1,950)92 (1,858)(316)15 (301)
HedgesHedges316 (76)240 700 (169)531 Hedges1,958 (473)1,485 316 (76)240 
Net changeNet change0 (61)(61)3 (93)(90)Net change8 (381)(373)— (61)(61)
Fair value hedges, net change(c):
Fair value hedges, net change(c):
45 (10)35 114 (27)87 
Fair value hedges, net change(c):
(56)14 (42)45 (10)35 
Cash flow hedges:Cash flow hedges:Cash flow hedges:
Net unrealized gains/(losses) arising during the periodNet unrealized gains/(losses) arising during the period3,787 (909)2,878 464 (112)352 Net unrealized gains/(losses) arising during the period(1,844)443 (1,401)3,787 (909)2,878 
Reclassification adjustment for realized (gains)/losses included in net income(d)
Reclassification adjustment for realized (gains)/losses included in net income(d)
(328)79 (249)102 (24)78 
Reclassification adjustment for realized (gains)/losses included in net income(d)
(930)223 (707)(328)79 (249)
Net changeNet change3,459 (830)2,629 566 (136)430 Net change(2,774)666 (2,108)3,459 (830)2,629 
Defined benefit pension and OPEB plans:
Net gain/(loss) arising during the period9 (2)7 2 (2)0 
Reclassification adjustments included in net income(e):
Amortization of net loss11 (3)8 125 (26)99 
Amortization of prior service cost/(credit)2 (1)1 2 (1)1 
Foreign exchange and other1 (3)(2)19 4 23 
Net change23 (9)14 148 (25)123 
Defined benefit pension and OPEB plans, net change:Defined benefit pension and OPEB plans, net change:101 (18)83 23 (9)14 
DVA on fair value option elected liabilities, net change:DVA on fair value option elected liabilities, net change:496 (119)377 (296)67 (229)DVA on fair value option elected liabilities, net change:(642)158 (484)496 (119)377 
Total other comprehensive income/(loss)Total other comprehensive income/(loss)$9,785 $(2,414)$7,371 $4,474 $(1,167)$3,307 Total other comprehensive income/(loss)$(8,758)$1,735 $(7,023)$9,785 $(2,414)$7,371 
(a)The pre-tax amount is reported in Investment securities gainsgains/(losses) in the Consolidated statements of income.
(b)Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. The amounts were 0tnot material for the three and nine months ended September 30, 2020. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $6 million to other income2021 and $1 million to other expense, respectively. These amounts, which related to the liquidation of certain legal entities, are comprised of $5 million related to net investment hedge gains and $2 million related to cumulative translation adjustments.2020.
(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.swaps.
(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.
176168

Note 2120 – Restricted cash and other restricted
assets
Refer to Note 26 of JPMorgan Chase’s 20192020 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)(in billions)September 30,
2020		December 31, 2019(in billions)September 30,
2021		December 31, 2020
Cash reserves – Federal Reserve Banks(a)
$0 $26.6 
Segregated for the benefit of securities and cleared derivative customersSegregated for the benefit of securities and cleared derivative customers20.0 16.0 Segregated for the benefit of securities and cleared derivative customers16.2 19.3 
Cash reserves at non-U.S. central banks and held for other general purposesCash reserves at non-U.S. central banks and held for other general purposes4.7 3.9 Cash reserves at non-U.S. central banks and held for other general purposes5.1 5.1 
Total restricted cash(b)
$24.7 $46.5 
Total restricted cash(a)
Total restricted cash(a)
$21.3 $24.4 
(a)Effective March 26, 2020, the Federal Reserve temporarily eliminated reserve requirements for depository institutions.
(b)Comprises $23.1$20.0 billion and $45.3$22.7 billion in deposits with banks, and $1.6$1.3 billion and $1.2$1.7 billion in cash and due from banks on the Consolidated balance sheet as of September 30, 20202021 and December 31, 2019,2020, respectively.
Also, as of September 30, 20202021 and December 31, 2019,2020, the Firm had the following other restricted assets:
•Cash and securities pledged with clearing organizations for the benefit of customers of $35.1$45.7 billion and $24.7$37.2 billion, respectively.
•Securities with a fair value of $5.6$24.2 billion and $8.8$1.3 billion, respectively, were also restricted in relation to customer activity.


169

Note 2221 – Regulatory capital
Refer to Note 27 of JPMorgan Chase’s 20192020 Form 10-K for a detailed discussion on regulatory capital.
The Federal Reserve establishes capital requirements, including well-capitalized standards,requirements, for the consolidated financial holding company. The Office of the Comptroller of the Currency (“OCC”)OCC establishes similar minimum capital requirements and standards for the Firm’s principal IDI subsidiary, 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 established by their respective primary regulators.
The following table presents the minimum and well-capitalized risk-based ratios to which the Firm and its IDI subsidiaries were subject as of September 30, 20202021 and December 31, 2019.2020.
Minimum capital ratiosWell-capitalized ratiosStandardized Minimum capital ratiosAdvanced Minimum capital ratiosWell-capitalized ratios
BHC(a)(e)
IDI(b)(e)
BHC(c)
IDI(d)
BHC(a)
IDI(b)
BHC(a)
IDI(b)
BHC(c)
IDI(d)
Capital ratios
Risk-based capital ratiosRisk-based capital ratios
CET1 capitalCET1 capital10.5 %7.0 %N/A6.5 %CET1 capital11.3 %7.0 %10.5 %7.0 %NA6.5 %
Tier 1 capitalTier 1 capital12.0 8.5 6.0 8.0 Tier 1 capital12.8 8.5 12.0 8.5 6.0 %8.0 
Total capitalTotal capital14.0 10.5 10.0 10.0 Total capital14.8 10.5 14.0 10.5 10.0 10.0 
Tier 1 leverage4.0 4.0 N/A5.0 
SLR5.0 6.0 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.Firm. The CET1, Tier 1 and Total capital minimum capital ratios each include a capital conservation bufferrespective minimum requirement of 2.5% andplus a GSIB surcharge of 3.5% as calculated under Method 2.2; plus a 3.3% SCB for Basel III Standardized ratios and a fixed 2.5% capital conservation buffer for Basel III Advanced ratios. The countercyclical buffer is currently set to 0% by the federal banking agencies.
(b)Represents requirements for JPMorgan Chase’s IDI subsidiaries. The CET1, Tier 1 and Total capital minimum capital ratios include a fixed 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.
The following table presents the minimum and well-capitalized leverage-based ratios to which the Firm and its IDI subsidiaries were subject as of September 30, 2021 and December 31, 2020.
Minimum capital ratios(a)
Well-capitalized ratios
BHCIDI
BHC(b)
IDI
Leverage-based capital ratios
Tier 1 leverage4.0 %4.0 %NA5.0 %
SLR5.0 6.0 NA6.0 
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.
(e)(a)Represents minimum SLR requirement of 3.0%, as well as supplementary leverage buffer requirements of 2.0% and 3.0% for BHC and IDI subsidiaries, respectively.
Current Expected Credit Losses(b)The Federal Reserve's regulations do not establish well-capitalized thresholds for these measures for BHCs.
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 CET1regulatory capital at 25% per year in each of 2020 to 2023. transition delay
As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interima final rule (issued as final on August 26, 2020) that provided the option beginning January 1, 2020 to delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period.
177

The 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
September 30, 2020,2021, the capital metrics of the Firm exclude $6.4$3.3 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $15.2$1.9 billion increase in the allowance for credit losses from January 1, 2020 (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions onhave also been incorporated into Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital metrics.exposure. Refer to Note 127 of JPMorgan Chase’s 2020 Form 10-K for further information on the CECL accounting guidance.capital transition provisions.
170

The following tables present risk-based capital metrics under both the risk-basedBasel III Standardized and Basel III Advanced Approaches 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 September 30, 2020, the capital metrics are presented applying the CECL capital transition provisions. As of September 30, 20202021 and December 31, 2019,2020, JPMorgan Chase and JPMorgan Chase Bank, N.A. were well-capitalized and met all capital requirements to which each was subject.
September 30, 2020
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.(d)(a)
JPMorgan
Chase Bank, N.A.(d)
JPMorgan
Chase & Co.(d)
JPMorgan
Chase Bank, N.A.(d)
September 30, 2021
(in millions, except ratios)		September 30, 2021
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.(d)(a)
JPMorgan
Chase Bank, N.A.(a)
JPMorgan
Chase & Co.(a)
JPMorgan
Chase Bank, N.A.(a)
Risk-based capital metrics:(a)
Risk-based capital metrics:(a)
Risk-based capital metrics:(a)
CET1 capitalCET1 capital$197,719 $225,547 $197,719 $225,547 CET1 capital$209,917 $259,990 $209,917 $259,990 
Tier 1 capitalTier 1 capital227,486 225,549 227,486 225,549 Tier 1 capital244,207 259,994 244,207 259,994 
Total capitalTotal capital262,397 242,927 249,947 230,846 Total capital274,994 276,303 264,469 265,403 
Risk-weighted assetsRisk-weighted assets1,514,509 1,444,069 1,429,334 1,298,354 Risk-weighted assets1,628,406 1,562,370 1,544,512 1,396,725 
CET1 capital ratioCET1 capital ratio13.1 %15.6 %13.8 %17.4 %CET1 capital ratio12.9 %16.6 %13.6 %18.6 %
Tier 1 capital ratioTier 1 capital ratio15.0 15.6 15.9 17.4 Tier 1 capital ratio15.0 16.6 15.8 18.6 
Total capital ratioTotal capital ratio17.3 16.8 17.5 17.8 Total capital ratio16.9 17.7 17.1 19.0 
Leverage-based capital metrics:
Adjusted average assets(b)
$3,243,290 $2,852,307 $3,243,290 $2,852,307 
Tier 1 leverage ratio7.0 %7.9 %7.0 %7.9 %
Total leverage exposure(c)
NA$3,247,392 $3,544,506 
SLR(c)
NA7.0 %6.4 %
December 31, 2019
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.(a)		JPMorgan
Chase Bank, N.A.		JPMorgan
Chase & Co.		JPMorgan
Chase Bank, N.A.
December 31, 2020
(in millions, except ratios)		December 31, 2020
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.(a)
JPMorgan
Chase Bank, N.A.(a)
JPMorgan
Chase & Co.(a)
JPMorgan
Chase Bank, N.A.(a)
Risk-based capital metrics:(a)
Risk-based capital metrics:(a)
Risk-based capital metrics:(a)
CET1 capitalCET1 capital$187,753 $206,848 $187,753 $206,848 CET1 capital$205,078 $234,235 $205,078 $234,235 
Tier 1 capitalTier 1 capital214,432 206,851 214,432 206,851 Tier 1 capital234,844 234,237 234,844 234,237 
Total capitalTotal capital242,589 224,390 232,112 214,091 Total capital269,923 252,045 257,228 239,673 
Risk-weighted assetsRisk-weighted assets1,515,869 1,457,689 1,397,878 1,269,991 Risk-weighted assets1,560,609 1,492,138 1,484,431 1,343,185 
CET1 capital ratioCET1 capital ratio12.4 %14.2 %13.4 %16.3 %CET1 capital ratio13.1 %15.7 %13.8 %17.4 %
Tier 1 capital ratioTier 1 capital ratio14.1 14.2 15.3 16.3 Tier 1 capital ratio15.0 15.7 15.8 17.4 
Total capital ratioTotal capital ratio16.0 15.4 16.6 16.9 Total capital ratio17.3 16.9 17.3 17.8 
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$3,423,431 $3,044,509 
SLRNA6.3 %6.8 %
(a)The capital adequacy ofmetrics reflect the Firm and JPMorgan Chase Bank, N.A. is evaluated againstCECL capital transition provisions. Additionally, loans originated under the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced).PPP receive a zero percent risk weight.
(b)

(in millions, except ratios)		September 30, 2021December 31, 2020
JPMorgan
Chase & Co.(b)
JPMorgan
Chase Bank, N.A.(b)
JPMorgan
Chase & Co.(b)(c)
JPMorgan
Chase Bank, N.A.(b)(c)
Leverage-based capital metrics:
Adjusted average assets(a)
$3,675,803 $3,223,098 $3,353,319 $2,970,285 
Tier 1 leverage ratio6.6 %8.1 %7.0 %7.9 %
Total leverage exposure$4,463,904 $4,003,800 $3,401,542 $3,688,797 
SLR5.5 %6.5 %6.9 %6.3 %
(a)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.
(b)The capital metrics reflect the CECL capital transition provisions.
(c)As of September 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 onwhich became effective April 1, 2020.2020 and remained in effect through March 31, 2021. On June 1, 2020, the Federal Reserve, OCC and FDIC issued an interim final rule which became effective April 1, 2020 and remained in effect through March 31, 2021 that provides IDI subsidiaries with an option to apply this temporary exclusion subject to certain restrictions. As of September 30, 2020, JPMorgan Chase Bank, N.A. hasdid not electedelect to apply this exclusion.
(d)As of September 30, 2020, the capital metrics 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.
178171

Note 2322 – 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 20192020 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 1312 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.commitments.
The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at September 30, 2020,2021, and December 31, 2019.2020. 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.
179172

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.
Off–balance sheet lending-related financial instruments, guarantees and other commitmentsOff–balance sheet lending-related financial instruments, guarantees and other commitmentsOff–balance sheet lending-related financial instruments, guarantees and other commitments
Contractual amount
Carrying value(j)
Contractual amount
Carrying value(i)
September 30, 2020Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		September 30, 2021Dec 31,
2020		Sep 30,
2021		Dec 31,
2020
By remaining maturity
(in millions)		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 yearsTotalTotalBy 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 yearsTotalTotal
Lending-relatedLending-relatedLending-related
Consumer, excluding credit card:Consumer, excluding credit card:Consumer, excluding credit card:
Residential real estate(a)
Residential real estate(a)
$15,739 $1,447 $3,570 $14,816 $35,572 $30,217 $216 $12 
Residential real estate(a)
$26,748 $2,030 $5,313 $10,451 $44,542 $46,047 $130 $148 
Auto and otherAuto and other10,044 1 16 792 10,853 9,952 0 0 Auto and other11,255 — — 887 12,142 11,272 — — 
Total consumer, excluding credit cardTotal consumer, excluding credit card25,783 1,448 3,586 15,608 46,425 40,169 216 12 Total consumer, excluding credit card38,003 2,030 5,313 11,338 56,684 57,319 130 148 
Credit card(b)
Credit card(b)
662,860 0 0 0 662,860 650,720 0 0 
Credit card(b)
710,610 — — — 710,610 658,506 — — 
Total consumer(b)(c)
Total consumer(b)(c)
688,643 1,448 3,586 15,608 709,285 690,889 216 12 
Total consumer(b)(c)
748,613 2,030 5,313 11,338 767,294 715,825 130 148 
Wholesale:Wholesale:Wholesale:
Other unfunded commitments to extend credit(e)(d)
Other unfunded commitments to extend credit(e)(d)
96,207 160,733 134,223 15,571 406,734 380,307 2,492 952 
Other unfunded commitments to extend credit(e)(d)
114,200 184,046 143,335 25,311 466,892 415,828 2,087 2,148 
Standby letters of credit and other financial guarantees(d)
Standby letters of credit and other financial guarantees(d)
17,847 8,170 3,915 1,520 31,452 34,242 473 618 
Standby letters of credit and other financial guarantees(d)
13,549 8,709 4,114 1,571 27,943 30,982 614 443 
Other letters of credit(d)
Other letters of credit(d)
2,954 76 19 0 3,049 2,961 20 4 
Other letters of credit(d)
3,936 372 93 — 4,401 3,053 10 14 
Total wholesale(c)
Total wholesale(c)
117,008 168,979 138,157 17,091 441,235 417,510 2,985 1,574 
Total wholesale(c)
131,685 193,127 147,542 26,882 499,236 449,863 2,711 2,605 
Total lending-relatedTotal lending-related$805,651 $170,427 $141,743 $32,699 $1,150,520 $1,108,399 $3,201 $1,586 Total lending-related$880,298 $195,157 $152,855 $38,220 $1,266,530 $1,165,688 $2,841 $2,753 
Other guarantees and commitmentsOther guarantees and commitmentsOther guarantees and commitments
Securities lending indemnification agreements and guarantees(f)(e)
Securities lending indemnification agreements and guarantees(f)(e)
$220,361 $0 $0 $0 $220,361 $204,827 $0 $0 
Securities lending indemnification agreements and guarantees(f)(e)
$306,562 $— $— $— $306,562 $250,418 $— $— 
Derivatives qualifying as guaranteesDerivatives qualifying as guarantees2,668 290 12,045 40,377 55,380 53,089 451 159 Derivatives qualifying as guarantees2,828 420 11,693 39,870 54,811 54,415 390 322 
Unsettled resale and securities borrowed agreementsUnsettled resale and securities borrowed agreements142,799 3,555 0 0 146,354 117,951 1 0 Unsettled resale and securities borrowed agreements150,495 6,839 — — 157,334 102,355 (h)1 2 
Unsettled repurchase and securities loaned agreementsUnsettled repurchase and securities loaned agreements120,904 586 0 0 121,490 73,351 (1)0 Unsettled repurchase and securities loaned agreements136,019 583 — — 136,602 104,901 — (1)
Loan sale and securitization-related indemnifications:Loan sale and securitization-related indemnifications:Loan sale and securitization-related indemnifications:
Mortgage repurchase liabilityMortgage repurchase liabilityNANA84 59 Mortgage repurchase liabilityNANA61 84 
Loans sold with recourseLoans sold with recourseNA853 944 24 27 Loans sold with recourseNA807 889 20 23 
Exchange & clearing house guarantees and commitments(g)(f)
Exchange & clearing house guarantees and commitments(g)(f)
89,121 0 0 0 89,121 206,432 0 0 
Exchange & clearing house guarantees and commitments(g)(f)
119,331 — — — 119,331 142,003 — — 
Other guarantees and commitments(h)(g)
Other guarantees and commitments(h)(g)
1,236 499 711 4,052 6,498 6,334 (i)(64)(66)
Other guarantees and commitments(h)(g)
6,787 2,886 323 1,747 11,743 9,639 (h)51 52 
(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 September 30, 2020,2021, and December 31, 2019,2020, reflected the contractual amount net of risk participations totaling $50$48 million and $76$72 million, respectively, for other unfunded commitments to extend credit; $8.8$7.9 billion and $9.8$8.5 billion, respectively, for standby letters of credit and other financial guarantees; and $462$609 million and $546$357 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(e)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans, which resulted in a corresponding reclassification of commitments from Other guarantees and commitments to Wholesale other unfunded commitments to extend credit. Prior-period amounts have been revised to conform with the current presentation.
(f)At September 30, 2020,2021, and December 31, 2019,2020, collateral held by the Firm in support of securities lending indemnification agreements was $233.0$324.0 billion and $216.2$264.3 billion, respectively. Securities lending collateral primarily consists of cash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(g)(f)At September 30, 2020,2021, and December 31, 2019,2020, 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.
(h)(g)At September 30, 2020,2021, and December 31, 2019,2020, 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 predominantlyto purchase secondary market loans, unfunded commitments related to certain tax-oriented equity investments.investments, and other equity investment commitments,
(i)(h)Prior-period amounts have been revised to conform with the current presentation.
(j)(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 September 30, 2020, includes net markdowns on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

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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
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third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade financings 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 September 30, 2020,2021, and December 31, 2019.2020.
Standby letters of credit, other financial guarantees and other letters of credit
September 30, 2020December 31, 2019September 30, 2021December 31, 2020
(in millions)(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		(in millions)Standby letters of
credit and other financial guarantees		Other letters
of credit		Standby letters of
credit and other financial guarantees		Other letters
of credit
Investment-grade(a)
Investment-grade(a)
$23,461 $2,338 $26,880 $2,137 
Investment-grade(a)
$19,823 $3,502 $22,850 $2,263 
Noninvestment-grade(a)
Noninvestment-grade(a)
7,991 711 7,362 824 
Noninvestment-grade(a)
8,120 899 8,132 790 
Total contractual amountTotal contractual amount$31,452 $3,049 $34,242 $2,961 Total contractual amount$27,943 $4,401 $30,982 $3,053 
Allowance for lending-related commitmentsAllowance for lending-related commitments$98 $20 $216 $4 Allowance for lending-related commitments$78 $10 $80 $14 
Guarantee liabilityGuarantee liability375 0 402 0 Guarantee liability536 — 363 — 
Total carrying valueTotal carrying value$473 $20 $618 $4 Total carrying value$614 $10 $443 $14 
Commitments with collateralCommitments with collateral$17,249 $417 $17,853 $728 Commitments with collateral$15,071 $929 $17,238 $498 
(a)The ratings scale is based on the Firm’s internal risk ratings. Refer to Note 1211 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 20192020 Form 10-K for further information on these derivatives.
The following table summarizes the derivatives qualifying as guarantees as of September 30, 2020,2021, and December 31, 2019.2020.
(in millions)(in millions)September 30, 2020December 31, 2019(in millions)September 30, 2021December 31, 2020
Notional amountsNotional amountsNotional amounts
Derivative guaranteesDerivative guarantees$55,380 $53,089 Derivative guarantees$54,811 $54,415 
Stable value contracts with contractually limited exposureStable value contracts with contractually limited exposure28,955 28,877 Stable value contracts with contractually limited exposure29,741 27,752 
Maximum exposure of stable value contracts with contractually limited exposureMaximum exposure of stable value contracts with contractually limited exposure2,974 2,967 Maximum exposure of stable value contracts with contractually limited exposure2,878 2,803 
Fair valueFair valueFair value
Derivative payablesDerivative payables451 159 Derivative payables390 322 
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 54 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 $14 million and $11 million at September 30, 2020 and December 31, 2019, respectively.
181174

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 2524 of this Form 10-Q and Note 30 of JPMorgan Chase’s 20192020 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 180.173. Refer to Note 11 of JPMorgan Chase’s 20192020 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.Company and no other subsidiary of the Parent Company guarantees these securities. These guarantees, which rank on a parity with the Firm’s unsecured and unsubordinated indebtedness, are not included in the table on page 180173 of this Note. Refer to Note 20 of JPMorgan Chase’s 20192020 Form 10-K for additional information.

Note 2423 – Pledged assets and collateral
Refer to Note 29 of JPMorgan Chase’s 20192020 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)(in billions)September 30, 2020December 31, 2019(in billions)September 30, 2021December 31, 2020
Assets that may be sold or repledged or otherwise used by secured partiesAssets that may be sold or repledged or otherwise used by secured parties$189.9 $125.2 Assets that may be sold or repledged or otherwise used by secured parties$122.4 $166.6 
Assets that may not be sold or repledged or otherwise used by secured partiesAssets that may not be sold or repledged or otherwise used by secured parties98.8 80.2 Assets that may not be sold or repledged or otherwise used by secured parties115.3 113.9 
Assets pledged at Federal Reserve banks and FHLBsAssets pledged at Federal Reserve banks and FHLBs441.6 478.9 Assets pledged at Federal Reserve banks and FHLBs462.9 455.3 
Total pledged assetsTotal pledged assets$730.3 $684.3 Total pledged assets$700.6 $735.8 
Total pledged assets do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. Refer to Note 1413 for additional information on assets and liabilities of consolidated VIEs. Refer to Note 1110 for additional information on the Firm’s securities financing activities. Refer to Note 20 of JPMorgan Chase’s 20192020 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)September 30, 2020December 31, 2019
Collateral permitted to be sold or repledged, delivered, or otherwise used$1,361.5 $1,282.5 
Collateral sold, repledged, delivered or otherwise used999.8 1,000.5 (a)
(a)Includes collateral repledged to the Federal Reserve under the Federal Reserve’s open market operations.
(in billions)September 30, 2021December 31, 2020
Collateral permitted to be sold or repledged, delivered, or otherwise used$1,417.7 $1,451.7 
Collateral sold, repledged, delivered or otherwise used1,085.7 1,038.9 
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Note 2524 – Litigation
Contingencies
As of September 30, 2020,2021, 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.investigations or regulatory enforcement matters. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations and regulatory enforcement matters 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 $1.7$1.5 billion at September 30, 2020.2021. 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.
Advisory and Other Activities. JPMorgan Chase Bank, N.A. has been advised by one of its U.S. regulators of a potential civil money penalty action against the Bank related to historical deficiencies in internal controls and internal audit over certain advisory and other activities. The Bank already has controls in place to address the deficiencies related to the proposed penalty. The Firm is currently engaged in resolution discussions with the U.S. regulator. There is no assurance that such discussions will result in resolution.
Amrapali. India’s Enforcement Directorate (“ED”) is investigating JPMorganJ.P. Morgan 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.and is ongoing. In August 2021, the ED issued an order fining J.P. Morgan India Private Limited approximately $31.5 million. The Firm is appealing the order and the fine. Relatedly, 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 ofED attached approximately $25 million from J.P. Morgan India Private Limited in connection with 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.investigation. The Firm is responding to and cooperating with the PMLA 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
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Chase Bank, N.A. applied for summary judgment and was unsuccessful. The claim is ongoing and noa trial date has been set.scheduled to commence in February 2022.
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
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entered thereafter and a term of probation endingwhich ended in January 2020. The term of probation has concluded,2020, with the Firm remaining in good standing throughout the probation period. The Department of Labor 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 the Department of Labor to reapply in due course forapprove 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, a putative class actions haveaction has 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 ratesrates. Another putative class action was brought against the Firm and other foreign exchange dealers on behalf of purported indirect purchasers of FX instruments; these actions also remain pending ininstruments. In 2020, the District Court. In 2020,Court approved a settlement by the Firm and 11 other defendants agreed to settle theof that class action filed by purported indirect purchasers for a total of $10 million. That settlement remains subject to 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, Brazil and Australia.
Inquiries Concerning Preservation Requirements. The Firm has been responding to requests for information and other material from certain of its regulators concerning its compliance with records preservation requirements in connection with business communications sent over electronic messaging channels that have not been approved by the Firm. The Firm is cooperating with these inquiries and is currently engaged in certain advanced resolution discussions. There is no assurance that the discussions will result in a resolution.
Interchange Litigation. GroupsGroups 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 appealed the District Court’s approval 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 settlementescrow in accordance with the settlement agreement. The class action seeking primarily injunctive relief continues separately.separately, and in September 2021, the District Court granted plaintiffs’ motion for class certification in part, and denied the motion in part.
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.Litigation. JPMorgan Chase has responded to inquiries from various governmental agencies and entities around the world relating primarily to the British Bankers Association’s ("BBA") 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 ofvarious individual and putative class actions related to benchmarks,benchmark rates, 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
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changes in these rates and assert a variety of claims including antitrust claims seeking treble damages.
LIBOR. In actions related to U.S. dollar LIBOR during the period that it was administered by the BBA, the Firm has obtained dismissal of certain actions and resolved certain of theseother actions, and others are in various stages of litigation. The United States District Court dismissed certain claims, including antitrust claims brought by some plaintiffs whomfor the Southern 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 CourtNew York has 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.including the Firm. In thea 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’the motion by defendants, including the Firm, to dismiss plaintiffs’ complaint, and the plaintiffs have
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appealed. In addition, in August 2020, a group of individual plaintiffs filed a lawsuit asserting antitrust claims, alleging that the Firm and other defendants were engaged in an unlawful agreement to set U.S. dollar LIBOR and conspired to monopolize the market for LIBOR-based consumer loans and credit cards. In November 2020 and May 2021, plaintiffs filed motions for a preliminary injunction each seeking to enjoin defendants from setting U.S. dollar LIBOR and to prohibit defendants from enforcing any financial instruments that rely on U.S. dollar LIBOR. The court held a hearing to address these motions in September 2021. 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”),and the Australian Bank Bill Swap Reference Rate and one 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.
In addition to the actions pending or consolidated in the Southern District of New York, in August 2020, a group of individual plaintiffs filed a lawsuit asserting antitrust claims in the United States District Court for the Northern District of California, alleging that the Firm and other defendants were engaged in an unlawful agreement to set LIBOR and conspired to monopolize the market for LIBOR-based consumer loans and credit cards. The complaint seeks injunctive relief and monetary damages.
Metals and U.S. Treasuries Investigations and Litigation and Related Inquiries. The Firm previously reported that it and/or certain of its subsidiaries had entered into resolutions with the U.S. Department of Justice (“DOJ”), the U.S. Commodity Futures Trading Commission (“CFTC”) and the U.S. Securities and Exchange Commission (“SEC”), which, collectively, resolved those agencies’ respective investigations relating to historical trading practices by former employees in the precious metals and U.S. treasuries markets and related conduct from 2008 to 2016.
The Firm entered into a Deferred Prosecution Agreement (“DPA”) with the DOJ in which it agreed to the filing of a criminal information charging JPMorgan Chase & Co. with 2 counts of wire fraud and agreed, along with JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC, to certain terms and obligations as set forth therein. Under the terms of the DPA, the criminal information will be dismissed after
three years, provided that JPMorgan Chase & Co., JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC fully comply with all of their obligations.
Across the 3 resolutions with the DOJ, CFTC and SEC, JPMorgan Chase & Co., JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC agreed to pay a total monetary amount of approximately $920 million. A portion of the total monetary amount includes victim compensation payments.
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, and the consolidated action is stayed through MayDecember 2021. In July 2021, the parties informed the Court that they have entered into a settlement to resolve the action. In Canada, plaintiffs have moved to commence putative class action proceedings based on similar alleged underlying
conduct for precious metals. In addition, several putative class actions have beenwere 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. Treasury futures and options, and bringing claims under the Commodity Exchange Act. Some of the complaints also allege unjust enrichment. The actions in the Northern District of Illinois have been transferred to the Southern District of New York. AThe Court consolidated these putative class actions in October 2020 and plaintiffs filed their consolidated amended complaint in April 2021. In May 2021, the parties informed the Court that they have entered into a settlement to resolve the action.
In October 2020, 2 putative class action complaint has also beencomplaints were filed under the Securities Exchange Act of 1934 in the United States District Court for the Eastern District of New York against the Firm and certain individual defendants on behalf of shareholders who acquired shares during the putative class period alleging that certain SEC filings of the Firm were materially false or misleading in that they did not disclose certain information relating to the above-referenced investigationsinvestigations. The Court consolidated these putative class actions in January 2021. Plaintiffs filed their second amended complaint in May 2021, which additionally alleged that certain orders in precious metals futures contracts placed by precious metals futures traders during the putative class period were materially false and misleading. Defendants have moved to dismiss.
Securities Lending Antitrust Litigation. JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC, J.P. Morgan Prime, Inc., and J.P. Morgan Strategic Securities Lending Corp. are named as defendants in a putative class action filed in the United States District Court for the Southern District of New York. The complaint asserts violations of federal antitrust law and New York State common law in connection with an alleged conspiracy to prevent the emergence of anonymous exchange trading for securities lending transactions. Defendants’ motion to dismiss the complaint was denied. Plaintiffs have moved to certify a class in this action, which defendants are opposing.
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 hasBank, N.A. 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. 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
178

2020 ordered the annulment of the ordonnance de renvoi referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel.correctionnel. The Court of Appeal hearings are scheduledfound in November and December 2020January 2021 that it had no power to take further consideraction against JPMorgan Chase’s
185

status in this matter. AChase Bank, N.A. following the Court of Cassation’s ruling. At the opening of a trial of the managers of Wendel is due to commence beforein January 2021, the tribunal correctionnel directed the criminal authorities to clarify whether a further investigation should be opened against JPMorgan Chase Bank, N.A., pending which the trial was postponed. In April 2021, the Court of Cassation declined to hear JPMorgan Chase Bank, N.A.’s appeal of the January 2021 decision of the tribunal correctionnel at this stage of the proceedings. In August 2021, JPMorgan Chase Bank, N.A. entered into a Convention Judicaire d’Intérêt Public with the French criminal authorities, under which it agreed to pay a fine of €25 million to resolve the potential legal proceedings. The resolution, which did not contain any admissions, was approved by the Presiding Judge of the tribunal judiciaire, and JPMorgan Chase Bank, N.A. paid the fine in JanuarySeptember 2021. 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, upward or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense/(benefit)expense was $524$76 million and $10$524 million for the three months ended September 30, 20202021 and 2019,2020, respectively, and $839$289 million and $(2)$839 million for the nine months ended September 30, 20202021 and 2019, respectively.2020. 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.
186179

Note 2625 – 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 20192020 Form 10-K for a further discussion concerningof JPMorgan Chase’s business segments.
Segment results
The following tables providetable provides a summary of the Firm’s segment results as of or for the three and nine months ended September 30, 20202021 and 2019,2020, 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
(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 20192020 Form 10-K for additional information on the Firm’s managed basis.
Business segment capitalCapital allocation
The amount of capital assigned to each businesssegment is referred to as equity. Periodically, the assumptions and methodologies used to allocate capital are assessedreassessed and as a result, the capital allocated to the LOBs may change. Refer to Line of business equity on page 9098 of JPMorgan Chase’s 20192020 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 are reported across CCB, CIB and CB based primarily on client relationships. Prior period amounts 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 September 30,
(in millions, except ratios)		As of or for the three months ended September 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
Corporate &
Investment Bank		Commercial BankingAsset & Wealth ManagementAs of or for the three months
ended September 30,
(in millions, except ratios)		Consumer &
Community Banking		Corporate &
Investment Bank		Commercial BankingAsset & Wealth Management
2020201920202019202020192020201920212020202120202021202020212020
Noninterest revenueNoninterest revenue$4,758$4,806$8,075$7,354$761$666$2,887$2,713Noninterest revenue$4,138$4,863$9,061$8,118$988$761$3,312$2,739
Net interest incomeNet interest income7,9979,1523,4282,1681,5241,608850855Net interest income8,3838,0323,3353,4281,5321,524988815
Total net revenueTotal net revenue12,75513,95811,5039,5222,2852,2743,7373,568Total net revenue12,52112,89512,39611,5462,5202,2854,3003,554
Provision for credit lossesProvision for credit losses7941,311(81)92(147)67(51)44Provision for credit losses(459)795(638)(81)(363)(147)(60)(52)
Noninterest expenseNoninterest expense6,7707,0255,7975,5049669402,6232,622Noninterest expense7,2386,9125,8715,8321,0329692,7622,443
Income/(loss) before income tax expense/(benefit)Income/(loss) before income tax expense/(benefit)5,1915,6225,7873,9261,4661,2671,165902Income/(loss) before income tax expense/(benefit)5,7425,1887,1635,7951,8511,4631,5981,163
Income tax expense/(benefit)Income tax expense/(benefit)1,3181,3771,4831,095378324288234Income tax expense/(benefit)1,4011,3171,6011,486444377404287
Net income/(loss)Net income/(loss)$3,873$4,245$4,304$2,831$1,088$943$877$668Net income/(loss)$4,341$3,871$5,562$4,309$1,407$1,086$1,194$876
Average equityAverage equity$52,000$52,000$80,000$80,000$22,000$22,000$10,500$10,500Average equity$50,000$52,000$83,000$80,000$24,000$22,000$14,000$10,500
Total assetsTotal assets480,325525,2231,089,2931,030,396228,587222,483194,596174,226Total assets493,169487,0631,355,7521,088,282(b)227,670228,583221,702187,858
ROEROE29 %31 %21 %13 %19 %16 %32 %24 %ROE34 %29 %26 %21 %22 %19 %33 %32 %
Overhead ratioOverhead ratio53 50 50 58 42 41 70 73 Overhead ratio5854 47 51 41 42 64 69 
As of or for the three months ended September 30,
(in millions, except ratios)		As of or for the three months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total(b)
As of or for the three months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total
202020192020201920202019202120202021202020212020
Noninterest revenueNoninterest revenue$343$120$(690)$(596)$16,134$15,063Noninterest revenue$(242)$343$(690)$(582)(b)$16,567$16,242(b)
Net interest incomeNet interest income(682)572(104)(127)13,01314,228Net interest income(1,054)(682)(104)(104)13,08013,013
Total net revenueTotal net revenue(339)692(794)(723)29,14729,291Total net revenue(1,296)(339)(794)(686)29,64729,255
Provision for credit lossesProvision for credit losses960006111,514Provision for credit losses(7)96——(1,527)611
Noninterest expenseNoninterest expense7192810016,87516,372Noninterest expense160719——17,06316,875
Income/(loss) before income tax expense/(benefit)Income/(loss) before income tax expense/(benefit)(1,154)411(794)(723)11,66111,405Income/(loss) before income tax expense/(benefit)(1,449)(1,154)(794)(686)14,11111,769
Income tax expense/(benefit)Income tax expense/(benefit)(455)18(794)(723)2,2182,325Income tax expense/(benefit)(632)(455)(794)(686)(b)2,4242,326(b)
Net income/(loss)Net income/(loss)$(699)$393$0$0$9,443$9,080Net income/(loss)$(817)$(699)$—$—$11,687$9,443
Average equityAverage equity$72,297$71,113$0$0$236,797$235,613Average equity$82,556$72,297$—$—$253,556$236,797
Total assetsTotal assets1,253,275812,333NANA3,246,0762,764,661Total assets1,459,2831,253,275NANA3,757,5763,245,061(b)
ROEROENMNMNMNM15 %15 %ROENMNMNMNM18 %15 %
Overhead ratioOverhead ratioNMNMNMNM58 56 Overhead ratioNMNMNMNM58 58 (b)
(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. Refer to Note 1 for further information.
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Segment results and reconciliation(a)
Segment results and reconciliation(a)
Segment results and reconciliation(a)
As of or for the nine months ended September 30,
(in millions, except ratios)		As of or for the nine months ended September 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
Corporate &
Investment Bank		Commercial BankingAsset & Wealth ManagementAs of or for the nine months ended September 30,
(in millions, except ratios)		Consumer &
Community Banking		Corporate &
Investment Bank		Commercial BankingAsset & Wealth Management
2020201920202019202020192020201920212020202120202021202020212020
Noninterest revenueNoninterest revenue$12,833$12,948$27,189$22,850$2,197$2,022$8,316$7,989Noninterest revenue$13,452$13,182$30,061$27,318$2,855$2,192$9,623$7,843
Net interest incomeNet interest income25,25127,93710,6146,5374,6584,9502,6372,627Net interest income24,34625,35810,15410,6144,5414,6582,8612,530
Total net revenueTotal net revenue38,08440,88537,80329,3876,8556,97210,95310,616Total net revenue37,79838,54040,21537,9327,3966,85012,48410,373
Provision for credit lossesProvision for credit losses12,3943,7453,3071793,29418626648Provision for credit losses(5,929)12,395(1,048)3,307(858)3,294(191)265
Noninterest expenseNoninterest expense20,49820,78418,45716,7942,8532,8097,7887,865Noninterest expense21,50220,94819,49818,5992,9822,8487,9227,201
Income/(loss) before income tax expense/(benefit)Income/(loss) before income tax expense/(benefit)5,19216,35616,03912,4147083,9772,8992,703Income/(loss) before income tax expense/(benefit)22,2255,19721,76516,0265,2727084,7532,907
Income tax expense/(benefit)Income tax expense/(benefit)1,3044,0074,2833,377164972700655Income tax expense/(benefit)5,5221,3055,4784,2811,2771641,162701
Net income/(loss)Net income/(loss)$3,888$12,349$11,756$9,037$544$3,005$2,199$2,048Net income/(loss)$16,703$3,892$16,287$11,745$3,995$544$3,591$2,206
Average equityAverage equity$52,000$52,000$80,000$80,000$22,000$22,000$10,500$10,500Average equity$50,000$52,000$83,000$80,000$24,000$22,000$14,000$10,500
Total assetsTotal assets480,325525,2231,089,2931,030,396228,587222,483194,596174,226Total assets493,169487,0631,355,7521,088,282(b)227,670228,583221,702187,858
Return on equity9%31 %19 %14 %2 %17 %27 %25 %
ROEROE44 %9 %25 %19 %21 %2 %33 %27 %
Overhead ratioOverhead ratio5451 49 57 42 40 71 74 Overhead ratio57 54 48 49 40 42 63 69 
As of or for the nine months ended September 30,
(in millions, except ratios)		As of or for the nine months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total(b)
As of or for the nine months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total
202020192020201920202019202120202021202020212020
Noninterest revenueNoninterest revenue$607$3$(2,128)$(1,777)$49,014$44,035Noninterest revenue$(68)$607$(2,241)$(1,831)(b)$53,682$49,311(b)
Net interest incomeNet interest income(1,534)1,436(321)(408)41,30543,079Net interest income(2,870)(1,534)(322)(321)38,71041,305
Total net revenueTotal net revenue(927)1,439(2,449)(2,185)90,31987,114Total net revenue(2,938)(927)(2,563)(2,152)92,39290,616
Provision for credit lossesProvision for credit losses10800019,3694,158Provision for credit losses58108——(7,968)19,369
Noninterest expenseNoninterest expense1,0127240050,60848,976Noninterest expense1,5511,012——53,45550,608
Income/(loss) before income tax expense/(benefit)Income/(loss) before income tax expense/(benefit)(2,047)715(2,449)(2,185)20,34233,980Income/(loss) before income tax expense/(benefit)(4,547)(2,047)(2,563)(2,152)46,90520,639
Income tax expense/(benefit)Income tax expense/(benefit)(655)(757)(2,449)(2,185)3,3476,069Income tax expense/(benefit)(1,906)(655)(2,563)(2,152)(b)8,9703,644(b)
Net income/(loss)Net income/(loss)$(1,392)$1,472$0$0$16,995$27,911Net income/(loss)$(2,641)$(1,392)$—$—$37,935$16,995
Average equityAverage equity$70,751$68,417$0$0$235,251$232,917Average equity$79,011$70,751$—$—$250,011$235,251
Total assetsTotal assets1,253,275812,333NANA3,246,0762,764,661Total assets1,459,2831,253,275NANA3,757,5763,245,061(b)
Return on equityNMNMNMNM9 %15 %
ROEROENMNMNMNM20 %9 %
Overhead ratioOverhead ratioNMNMNMNM56 56 Overhead ratioNMNMNMNM58 56 (b)
(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.





 Refer to Note 1 for further information.
188181

jpm-20210930_g4.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 September 30, 2020,2021, and the related consolidated statements of income, comprehensive income, and changes in stockholders’ equity for the three-month and nine-month periods ended September 30, 20202021 and 20192020 and the consolidated statements of cash flows for the nine-month periods ended September 30, 20202021 and 2019,2020, 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, 2019,2020, 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 25,23, 2021, which included a paragraph describing a change in the manner of accounting for credit losses on certain financial instruments in the 2020 financial statements, 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, 2019,2020, 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”)(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.jpm-20200930_g4.jpg
November 2, 2020

jpm-20210930_g5.jpg


November 2, 2021






















PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
189182

JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)Consolidated average balance sheets, interest and rates (unaudited)Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)(Taxable-equivalent interest and rates; in millions, except rates)(Taxable-equivalent interest and rates; in millions, except rates)
Three months ended September 30, 2020Three months ended September 30, 2019Three months ended September 30, 2021Three months ended September 30, 2020
Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)
AssetsAssetsAssets
Deposits with banksDeposits with banks$509,979 $69 0.05 %$267,578 $898 1.33 %Deposits with banks$756,653 $174 0.09 %$509,979 $69 0.05 %
Federal funds sold and securities purchased under resale agreementsFederal funds sold and securities purchased under resale agreements277,899 401 0.57 276,721 1,542 2.21 Federal funds sold and securities purchased under resale agreements262,679 231 0.35 277,899 401 0.57 
Securities borrowedSecurities borrowed147,184 (128)(0.35)(h)139,939 434 

1.23 Securities borrowed189,418 (73)(0.15)(h)147,184 (128)

(0.35)(h)
Trading assets – debt instruments(a)
Trading assets – debt instruments(a)
322,321 1,859 2.29 298,358 2,228 2.96 
Trading assets – debt instruments(a)
275,860 1,689 2.43 322,321 1,859 2.29 
Taxable securitiesTaxable securities515,007 1,816 1.40 308,619 2,132 2.74 Taxable securities534,771 1,553 1.15 515,007 1,816 1.40 
Nontaxable securities(b)(a)
Nontaxable securities(b)(a)
33,537 358 4.25 34,515 396 4.55 
Nontaxable securities(b)(a)
30,573 331 4.30 33,537 358 4.25 
Total investment securitiesTotal investment securities548,544 2,174 1.58 (i)343,134 2,528 2.92 (i)Total investment securities565,344 1,884 1.32 (i)548,544 2,174 1.58 (i)
Loans(a)
Loans(a)
991,241 10,246 4.11 984,248 13,014 5.25 
Loans(a)
1,042,591 10,473 3.99 991,241 10,246 4.11 
All other interest-earning assets(c)(b)
All other interest-earning assets(c)(b)
77,806 183 0.94 54,973 604 4.36 
All other interest-earning assets(c)(b)
127,241 206 0.64 77,806 183 0.94 
Total interest-earning assetsTotal interest-earning assets2,874,974 14,804 2.05 2,364,951 21,248 3.56 Total interest-earning assets3,219,786 14,584 1.80 2,874,974 14,804 2.05 
Allowance for loan lossesAllowance for loan losses(31,574)(13,142)Allowance for loan losses(19,500)(31,574)
Cash and due from banksCash and due from banks21,404 20,375 Cash and due from banks27,065 21,404 
Trading assets – equity and other instrumentsTrading assets – equity and other instruments119,905 113,980 Trading assets – equity and other instruments177,315 124,266 (j)
Trading assets – derivative receivablesTrading assets – derivative receivables81,300 57,062 Trading assets – derivative receivables65,574 76,939 (j)
Goodwill, MSRs and other intangible AssetsGoodwill, MSRs and other intangible Assets51,547 53,125 Goodwill, MSRs and other intangible Assets54,947 51,547 
All other noninterest-earning assets(a)(c)
All other noninterest-earning assets(a)(c)
172,601 168,701 
All other noninterest-earning assets(a)(c)
200,032 171,562 
Total assetsTotal assets$3,290,157 $2,765,052 Total assets$3,725,219 $3,289,118 
LiabilitiesLiabilitiesLiabilities
Interest-bearing depositsInterest-bearing deposits$1,434,034 $245 0.07 %$1,123,452 $2,409 0.85 %Interest-bearing deposits$1,696,850 $126 0.03 %$1,434,034 $245 0.07 %
Federal funds purchased and securities loaned or sold under repurchase agreementsFederal funds purchased and securities loaned or sold under repurchase agreements253,779 105 0.17 239,698 1,241 2.05 Federal funds purchased and securities loaned or sold under repurchase agreements240,912 119 0.20 253,779 105 0.17 
Short-term borrowings(d)
Short-term borrowings(d)
36,697 60 0.65 44,814 261 2.31 
Short-term borrowings(d)
43,759 31 0.26 36,697 60 0.65 
Trading liabilities – debt and all other interest-bearing
liabilities(e)(f)
Trading liabilities – debt and all other interest-bearing
liabilities(e)(f)
206,643 (51)(0.10)(h)183,369 660 1.43 
Trading liabilities – debt and all other interest-bearing
liabilities(e)(f)
241,297 52 0.09 (h)206,643 (51)(0.10)(h)
Beneficial interests issued by consolidated VIEsBeneficial interests issued by consolidated VIEs19,838 35 0.71 21,123 134 2.53 Beneficial interests issued by consolidated VIEs14,232 18 0.50 19,838 35 0.71 
Long-term debtLong-term debt267,175 1,293 1.93 248,985 2,188 3.49 Long-term debt257,593 1,054 1.62 267,175 1,293 1.93 
Total interest-bearing liabilitiesTotal interest-bearing liabilities2,218,166 1,687 0.30 1,861,441 6,893 1.47 Total interest-bearing liabilities2,494,643 1,400 0.22 2,218,166 1,687 0.30 
Noninterest-bearing depositsNoninterest-bearing deposits551,565 407,428 Noninterest-bearing deposits672,609 551,565 
Trading liabilities – equity and other instruments(f)
Trading liabilities – equity and other instruments(f)
32,256 31,310 
Trading liabilities – equity and other instruments(f)
35,505 32,256 
Trading liabilities – derivative payablesTrading liabilities – derivative payables64,599 45,987 Trading liabilities – derivative payables55,907 64,599 
All other liabilities, including the allowance for lending-related commitments(c)All other liabilities, including the allowance for lending-related commitments(c)156,711 155,032 All other liabilities, including the allowance for lending-related commitments(c)178,770 155,672 
Total liabilitiesTotal liabilities3,023,297 2,501,198 Total liabilities3,437,434 3,022,258 
Stockholders’ equityStockholders’ equityStockholders’ equity
Preferred stockPreferred stock30,063 28,241 Preferred stock34,229 30,063 
Common stockholders’ equityCommon stockholders’ equity236,797 235,613 Common stockholders’ equity253,556 236,797 
Total stockholders’ equityTotal stockholders’ equity266,860 263,854 Total stockholders’ equity287,785 266,860 
Total liabilities and stockholders’ equityTotal liabilities and stockholders’ equity$3,290,157 $2,765,052 Total liabilities and stockholders’ equity$3,725,219 $3,289,118 
Interest rate spreadInterest rate spread1.75 %2.09 %Interest rate spread1.58 %1.75 %
Net interest income and net yield on interest-earning assetsNet interest income and net yield on interest-earning assets$13,117 1.82 $14,355 2.41 Net interest income and net yield on interest-earning assets$13,184 1.62 $13,117 1.82 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)(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)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
(d)Includes commercial paper.
(e)All other interest-bearing liabilities include prime brokerage-related customer payables.
(f)The combined balance of trading liabilities – debt and equity instruments was $105.0$122.5 billion and $102.3$105.0 billion for the three months ended September 30, 20202021 and 2019,2020, respectively.
(g)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)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.
(i)The annualized rate for securities based on amortized cost was 1.61%1.34% and 2.97%1.61% for the three months ended September 30, 20202021 and 2019,2020, respectively, and does not give effect to changes in fair value that are reflected in AOCI.
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JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)
 Nine months ended September 30, 2020Nine months ended September 30, 2019
Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)
Assets
Deposits with banks$422,860 $708 0.22 %$282,483 $3,200 1.51 %
Federal funds sold and securities purchased under resale agreements258,607 2,097 1.08 284,616 4,865 2.29 
Securities borrowed141,567 (151)(0.14)(h)129,915 1,298 1.34 
Trading assets – debt instruments(a)
324,061 6,008 2.48 299,834 7,160 3.19 
Taxable securities456,733 6,203 1.81 258,406 5,712 2.96 
Nontaxable securities(b)
33,589 1,096 4.36 36,490 1,271 4.66 
Total investment securities490,322 7,299 1.99 (i)294,896 6,983 3.17 (i)
Loans(a)
1,007,360 33,507 4.44 990,731 39,390 5.32 
All other interest-earning assets(a)(c)
75,859 826 1.46 51,931 1,625 4.18 
Total interest-earning assets2,720,636 50,294 2.47 2,334,406 64,521 3.70 
Allowance for loan losses(24,100)(13,366)
Cash and due from banks21,745 20,824 
Trading assets – equity and other instruments111,198 114,394 
Trading assets – derivative receivables75,656 54,098 
Goodwill, MSRs and other intangible Assets52,006 53,853 
All other noninterest-earning assets(a)
179,972 165,692 
Total assets$3,137,113 $2,729,901 
Liabilities
Interest-bearing deposits$1,342,270 $2,169 0.22 %$1,102,751 $7,010 0.85 %
Federal funds purchased and securities loaned or sold under repurchase agreements258,156 1,023 0.53 225,471 3,577 2.12 
Short-term borrowings(d)
39,749 335 1.13 56,635 1,051 2.48 
Trading liabilities – debt and all other interest-bearing liabilities(e)(f)
202,322 278 0.18 (h)186,167 2,141 1.54 
Beneficial interests issued by consolidated VIEs19,407 184 1.27 23,549 459 2.61 
Long-term debt260,194 4,679 2.40 247,782 6,796 3.67 
Total interest-bearing liabilities2,122,098 8,668 0.55 1,842,355 21,034 1.53 
Noninterest-bearing deposits495,704 405,075 
Trading liabilities – equity and other instruments(f)
32,258 32,059 
Trading liabilities – derivative payables60,936 41,952 
All other liabilities, including the allowance for lending-related commitments161,022 148,086 
Total liabilities2,872,018 2,469,527 
Stockholders’ equity
Preferred stock29,844 27,457 
Common stockholders’ equity235,251 232,917 
Total stockholders’ equity265,095 260,374 
Total liabilities and stockholders’ equity$3,137,113 $2,729,901 
Interest rate spread1.92 %2.17 %
Net interest income and net yield on interest-earning assets$41,626 2.04 $43,487 2.49 
(a)(j)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
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(b)
JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)
 Nine months ended September 30, 2021Nine months ended September 30, 2020
Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)
Assets
Deposits with banks$703,616 $342 0.06 %$422,860 $708 0.22 %
Federal funds sold and securities purchased under resale agreements269,324 639 0.32 258,607 2,097 1.08 
Securities borrowed185,127 (240)(0.17)(h)141,567 (151)(0.14)(h)
Trading assets – debt instruments291,673 5,198 2.38 324,061 6,008 2.48 
Taxable securities546,258 4,735 1.16 456,733 6,203 1.81 
Nontaxable securities(a)
31,308 1,018 4.35 33,589 1,096 4.36 
Total investment securities577,566 5,753 1.33 (i)490,322 7,299 1.99 (i)
Loans1,027,023 30,867 4.02 1,007,360 33,507 4.44 
All other interest-earning assets(b)
120,529 608 0.67 75,859 826 1.46 
Total interest-earning assets3,174,858 43,167 1.82 2,720,636 50,294 2.47 
Allowance for loan losses(23,546)(24,100)
Cash and due from banks26,338 21,745 
Trading assets – equity and other instruments180,253 113,431 (j)
Trading assets – derivative receivables70,139 73,423 (j)
Goodwill, MSRs and other intangible Assets54,467 52,006 
All other noninterest-earning assets(c)
206,818 179,009 
Total assets$3,689,327 $3,136,150 
Liabilities
Interest-bearing deposits$1,659,214 $404 0.03 %$1,342,270 $2,169 0.22 %
Federal funds purchased and securities loaned or sold under repurchase agreements267,659 194 0.10 258,156 1,023 0.53 
Short-term borrowings(d)
43,998 97 0.29 39,749 335 1.13 
Trading liabilities – debt and all other interest-bearing
liabilities(e)(f)
239,666 130 0.07 (h)202,322 278 0.18 (h)
Beneficial interests issued by consolidated VIEs15,501 66 0.57 19,407 184 1.27 
Long-term debt248,581 3,244 1.74 260,194 4,679 2.40 
Total interest-bearing liabilities2,474,619 4,135 0.22 2,122,098 8,668 0.55 
Noninterest-bearing deposits647,278 495,704 
Trading liabilities – equity and other instruments(f)
35,312 32,258 
Trading liabilities – derivative payables62,089 60,936 
All other liabilities, including the allowance for lending-related commitments(c)
187,601 160,059 
Total liabilities3,406,899 2,871,055 
Stockholders’ equity
Preferred stock32,417 29,844 
Common stockholders’ equity250,011 235,251 
Total stockholders’ equity282,428 265,095 
Total liabilities and stockholders’ equity$3,689,327 $3,136,150 
Interest rate spread1.60 %1.92 %
Net interest income and net yield on interest-earning assets$39,032 1.64 $41,626 2.04 
(a)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)(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)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
(d)Includes commercial paper.
(e)OtherAll other interest-bearing liabilities include prime brokerage-related customer payables.
(f)The combined balance of trading liabilities – debt and equity instruments were $105.0was $128.1 billion and $106.8$105.0 billion for the nine months ended September 30, 20202021 and 2019,2020, respectively.
(g)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)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.
(i)The annualized rate for securities based on amortized cost was 2.03%1.35% and 3.20% and2.03% for the nine months ended September 30, 20202021 and 2019,2020, respectively, and does not give effect to changes in fair value that are reflected in AOCI.
(j)Prior-period amounts have been revised to conform with the current presentation.
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GLOSSARY OF TERMS AND ACRONYMS
20192020 Form 10-K: Annual report on Form 10-K for year ended December 31, 2019,2020, 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
CMT: Constant Maturity Treasury
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.
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
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EC: European Commission
Eligible HQLA: Eligible high-quality liquid assets, for purposes of calculating the LCR, is the amount of unencumbered HQLA that satisfy certain operational considerations as defined in the LCR rule.
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
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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
ESG: Environmental, Social and Governance
Exchange-traded derivatives: Derivative contracts that are executed on an exchange and settled via a central clearing house.
Expense categories:
•Volume- andand/or 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.
FINRA: Financial Industry Regulatory Authority
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
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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
JPMorgan Chase Foundation or Foundation: a not-for-profit organization that makes contributions for charitable and educational purposes.
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
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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.

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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.
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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.
NFA: National Futures Association
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.
NSFR: Net Stable Funding Ratio
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” loansrepresented 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 under the Small Business Association ("SBA")
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.

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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
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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.
S&P: Standard and Poors
SAR(s): Stock appreciation rights
SCB:Stress capital buffer
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:securities: Shelf offerings are SEC provisions that allow issuers to register for new securities without selling the entire issuance at once. Since these issuances are filedSecurities registered with the SEC but areunder a
shelf registration statement that have not yet priced in the market, theybeen issued,
offered or sold. These securities are not included in the league
tables until the actual securities are issued.they have actually been issued.
Single-name: Single reference-entities
SLR: Supplementary leverage ratio
SMBS: Stripped mortgage-backed securities
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, underlying reference pool of loans 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.
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
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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.
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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 loans.
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LINE OF BUSINESS METRICS
CONSUMER & COMMUNITY BANKING (“CCB”)
Debit and credit card sales volume: Dollar amount of cardmembercard member 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 productionProduction 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 productionProduction 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.
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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 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.
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, Global Institutional and RetailGlobal Funds clients. Includes "Committed capital not Called."
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 globaloffers multi-asset investment services - including asset management pension analytics, asset-liability managementsolutions across equities, fixed income, alternatives and active risk-budgeting strategies.money market funds to institutional and retail investors providing for a broad range of clients’ investment needs.
Wealth Management:Global Private Bank: offers investment adviceprovides retirement products and wealth management, includingservices, brokerage, custody, trusts and estates, loans, mortgages, deposits and investment management capital markets and risk management, tax and estate planning, banking, lending and specialty-wealth advisory services.to high net worth clients.
AWM’s client segments consist of the following:
Private Banking: clients include high- and ultra-high-net-worth individuals, families, money managers and business owners and small corporations worldwide.owners.
Global Institutional: clients include both corporate and public institutions, endowments, foundations, nonprofit organizations and governments worldwide.
Retail:Global Funds: 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 “overallAn overall Morningstar rating”rating is derived from a weighted average of the performance associated with a fund’s three-, five- and ten-yearten- year (if applicable) Morningstar Rating metrics. For U.S. domiciledU.S.-domiciled funds, separate star ratings are givenprovided 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.these rankings. All ratings, the assigned peer
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categories and the asset values used to derive this
199

analysisthese rankings are sourced from thesethe applicable fund rating providers. The dataprovider. Where applicable, the fund rating providers re-denominate theredenominate asset values into U.S. dollars. This %The percentage of AUM is based on star ratings at the share class level for U.S. domiciledU.S.-domiciled funds, and at a “primary share class” level to represent the star rating of all other funds, except for Japan, wherefor which 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 couldmay have been different if all funds/accounts would haveshare classes had 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 analysisthese rankings are sourced from the fund rankingrating providers. Quartile rankings are donebased on the net-of-fee absolute return of each fund. The dataWhere applicable, the fund rating providers re-denominate theredenominate asset values into U.S. dollars. This %The percentage of AUM is based on fund performance and associated peer rankings at the share class level for U.S. domiciledU.S.-domiciled funds, at a “primary share class” level to represent the quartile ranking of thefor 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 couldmay have been different if all funds/accounts would haveshare classes had been included. Past performance is not indicative of future results.

“Primary share class” means the C share class for European funds and Acc share class for Hong Kong and Taiwan funds. If these share classes are not available, the oldest share class is used as the primary share class.
200193

Item 3.    Quantitative and Qualitative Disclosures About Market Risk.
Refer to the Market Risk Management section of Management’s discussion and analysis and pages 119–126135–142 of JPMorgan Chase’s 20192020 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 all misstatements. In addition, in a firm as large and complex as JPMorgan Chase,Deficiencies or 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 142158 of JPMorgan Chase’s 20192020 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 September 30, 2020,2021, 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 2524 of this Form 10-Q for information that updates the disclosures set forth under Part I, Item 3: Legal Proceedings, in JPMorgan Chase’s 20192020 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 6–288-32 of JPMorgan Chase’s 20192020 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.
TheOngoing effects of the COVID-19 pandemic has caused and is causing significantcould harm to the global economy and ournegatively affect JPMorgan Chase’s businesses.
On March 11, 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, to be a global pandemic. The COVID-19 pandemic and governmental responses to the pandemic, which included the institution of social distancing and shelter-in-place requirements in certain areas of the U.S. and other countries, have had, and continue to have, a severe impactresulted in adverse impacts on global economic conditions, including:
•significant disruption and volatility in the financial markets
•significant disruption of global supply chains, and
•closures of many businesses, leading to loss of revenues and increased unemployment, andunemployment.
•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 had a significant adverse effectnegative impact on certain of JPMorgan Chase’s businesses and results of operations, including:
•significantly reducedreduction in demand for certain products and services from JPMorgan Chase’s clients and customers, resulting in lower revenue, and
•possible increases in the allowance for credit losses.
Certain models used by JPMorgan Chase in connection with the determination of the allowance for credit losses have experienced heightened performance risk in the economic environment precipitated by the effects of the COVID-19 pandemic and government stimulus. There can be no assurance that, even after adjustments have been made to model outputs, JPMorgan Chase will not recognize unexpected losses arising from the model uncertainty that has resulted from these developments.
Although global economic conditions have been improving despite the continuation of the COVID-19 pandemic, any ongoing negative economic impacts arising from the pandemic or any prolongation or worsening of the pandemic, including as a result of additional waves or
194

variants of the COVID-19 disease or the emergence of other diseases that have similar outcomes, could have significant adverse effects on JPMorgan Chase’s businesses, results of operations and financial condition, including:
•recognition of credit lossescharge-offs and increases in the allowance for credit losses, especially if businesses remain closed, unemployment continuesincluding any delayed recognition of charge-offs due to rise andthe impact of government stimulus actions or payment assistance provided to clients and customers draw on their lines of credit
•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
201

•possible constraints on liquidity andor capital whether due to elevated levels of deposits, increases in risk-weighted assets (“RWA”) related to supporting client activities, or todowngrades in client credit ratings, regulatory actions or other factors, any or all of which could require JPMorgan Chase to take or refrain from taking actions that it otherwise would under its liquidity and capital management strategies, and
•the possibility that significant portions of JPMorgan Chase’s workforce are unable to work effectively, including because of illness, quarantines, sheltering-in-placeshelter-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 fully predicted, including including:
•the ultimate scope and duration of the pandemic
•the availability, effectiveness and acceptance of vaccines
•actions taken by governmental authorities and other third parties in response to the pandemic. Those negative effects, including pandemic, and
•the recognition of charge-offs, may be delayed becauseeffect that the pandemic or any prolongation or worsening of the impactpandemic may have on the pace of prior
economic growth, the strength of labor markets, particularly in light of the expiration of government assistance programs, and the potential future government stimulus actions or payment assistance provided to clients and customers. for changes in consumer behavior that could have longer-term impacts on certain sectors.
In addition, JPMorgan Chase’s participation directly or indirectly, including on behalf of customers and clients or by affiliated entities, 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 to:
•increased governmental and regulatory scrutiny
•negative publicity, or and
•increased exposure to litigation,
any or all of which could increase itsJPMorgan Chase’s operational, legal and compliance costs and damage its reputation. To the extent that 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 20192020 Form 10-K.
Supervision and regulation
Refer to the Supervision and regulation section on pages 1–63–7 of JPMorgan Chase’s 20192020 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 September 30, 2020.2021.
Repurchases under the common equityshare repurchase program
Refer to Capital Risk Management on pages 49-5448-53 of this Form 10-Q and pages 85-9291-101 of JPMorgan Chase’s 20192020 Form 10-K for information regarding repurchases under the Firm’s common equityshare repurchase program.

On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common equity. In JuneDecember 18, 2020, the Federal Reserve directedannounced that all large bank holding companies,banks, including the Firm, to discontinue netcould resume share repurchases at least throughcommencing in the end of the thirdfirst quarter of 2020.2021. Subsequently, the Firm announced that its Board of Directors authorized a new common share repurchase program for up to $30 billion. As such, there were no shares repurchased during the second and third quarters of 2020. On September 30, 2020,directed by the Federal Reserve, directed all large bank holding companies, includingtotal net repurchases and common stock dividends in the first and second quarters of 2021 were restricted and could not exceed the average of the Firm’s net income for the four preceding calendar quarters.
On June 24, 2021, the Federal Reserve announced that the temporary restrictions on capital distributions would expire on June 30, 2021 as a result of the Firm to extendremaining above its minimum risk-based capital requirements under the discontinuation of net share repurchases through the end of the fourth quarter of 2020. Through the date of the filing of this Form 10-Q,2021 CCAR stress test. Effective July 1, 2021, the Firm has notbecame subject to the normal capital distribution restrictions provided under the regulatory capital framework. The Firm continues to be authorized a stockto repurchase common shares under its existing common share repurchase program previously approved by the Board of Directors.



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Shares repurchased pursuant to the common share repurchase program during the nine months ended September 30, 2021, were as part of its annual capital plan.follows.
Nine months ended September 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)
Nine months ended September 30, 2021 Nine months ended September 30, 2021Total number of shares of common stock repurchased
Average price paid per share of common stock(a)
Aggregate purchase price of common stock repurchases
 (in millions)(a)
Dollar value of remaining authorized repurchase
(in millions)(a)(b)
First quarterFirst quarter50,003,062 127.92 6,397 9,183 (b)First quarter34,652,594 $144.25 $4,999 $25,001 
Second quarterSecond quarter— — — 9,183 (b)Second quarter39,544,940 156.83 6,201 18,800 
JulyJuly— — — —  July11,553,877 153.44 1,773 17,027 
AugustAugust— — — —  August11,306,308 157.60 1,782 15,245 
SeptemberSeptember— — — —  September10,540,632 159.85 1,685 13,560 
Third quarterThird quarter— — — — Third quarter33,400,817 156.87 5,240 13,560 
Year-to-dateYear-to-date50,003,062 127.92 6,397 — Year-to-date107,598,351 $152.79 $16,440 $13,560 
(a)Excludes commissions cost.
(b)TheRepresents the amount remaining $9.2 billion unused portion under the prior $29.4$30 billion repurchase program expired on June 30, 2020.program.
Item 3.    Defaults Upon Senior Securities.
None.
Item 4.    Mine Safety Disclosures.
Not applicable.
Item 5.    Other Information.
None.


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Item 6.    Exhibits.
Exhibit No.Description of Exhibit
15
(a)22
31.1
31.2
32
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)
104Cover 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 September 30, 2020,2021, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and nine months ended September 30, 20202021 and 2019,2020, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and nine months ended September 30, 20202021 and 2019,2020, (iii) the Consolidated balance sheets (unaudited) as of September 30, 2020,2021, and December 31, 2019,2020, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended September 30, 20202021 and 2019,2020, (v) the Consolidated statements of cash flows (unaudited) for the three and nine months ended September 30, 20202021 and 2019,2020, and (vi) the Notes to Consolidated Financial Statements (unaudited).
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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 GilesElena Korablina
Nicole GilesElena Korablina
Managing Director and Firmwide Controller
(Principal Accounting Officer)

Date:November 2, 20202021





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INDEX TO EXHIBITS


Exhibit No.Description of Exhibit
15
31.1
31.2
32
101.INSThe instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document.
101.SCHXBRL Taxonomy Extension Schema Document.
101.CALXBRL Taxonomy Extension Calculation Linkbase Document.
101.DEFXBRL Taxonomy Extension Definition Linkbase Document.
101.LABXBRL Taxonomy Extension Label Linkbase Document.
101.PREXBRL Taxonomy Extension Presentation Linkbase Document.
104Cover 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.
205