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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
Quarterly report pursuant to Section 13 or 15(d) of
the Securities Exchange Act of 1934
| | | | | | | | | | | | | | |
| For the quarterly period ended | | Commission file | |
March 31,September 30, 2021 | | number | 1-5805 | |
JPMorgan Chase & Co.
(Exact name of registrant as specified in its charter)
| | | | | | | | | | | |
| Delaware | | 13-2624428 |
(State or other jurisdiction of
incorporation or organization) | | (I.R.S. employer
identification no.) |
| | | |
| 383 Madison Avenue, | | |
| New York, | New York | | 10179 |
| (Address of principal executive offices) | | (Zip Code) |
Registrant’s telephone number, including area code: (212) 270-6000
Securities registered pursuant to Section 12(b) of the Act:
| | | | | | | | |
| Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
| Common stock | JPM | The New York Stock Exchange |
Depositary Shares, each representing a one-four hundredth interest in a share of 6.10% Non-Cumulative Preferred Stock, Series AA | JPM PR G | The New York Stock Exchange |
Depositary Shares, each representing a one-four hundredth interest in a share of 6.15% Non-Cumulative Preferred Stock, Series BB | JPM PR H | The New York Stock Exchange |
Depositary Shares, each representing a one-four hundredth interest in a share of 5.75% Non-Cumulative Preferred Stock, Series DD | JPM PR D | The New York Stock Exchange |
| Depositary Shares, each representing a one-four hundredth interest in a share of 6.00% Non-Cumulative Preferred Stock, Series EE | JPM PR C | The New York Stock Exchange |
| Depositary Shares, each representing a one-four hundredth interest in a share of 4.75% Non-Cumulative Preferred Stock, Series GG | JPM PR J | The New York Stock Exchange |
| Depositary Shares, each representing a one-four hundredth interest in a share of 4.55% Non-Cumulative Preferred Stock, Series JJ | JPM PR K | The New York Stock Exchange |
| Depositary Shares, each representing a one-four hundredth interest in a share of 4.625% Non-Cumulative Preferred Stock, Series LL | JPM PR L | The New York Stock Exchange |
| Depositary Shares, each representing a one-four hundredth interest in a share of 4.20% Non-Cumulative Preferred Stock, Series MM | JPM PR M | The New York Stock Exchange |
| Alerian MLP Index ETNs due May 24, 2024 | AMJ | NYSE Arca, Inc. |
Guarantee of Callable Step-Up Fixed Rate Notes due April 26, 2028June 10, 2032 of JPMorgan Chase Financial Company LLC | JPM/2832 | The New York Stock Exchange |
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
| | | | | | | | | | | |
| Large accelerated filer | ☒ | Accelerated filer | ☐ |
| | | |
| Non-accelerated filer | ☐ | Smaller reporting company | ☐ |
| | | |
| | Emerging growth company | ☐ |
| | | |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐ | |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes ☒ No
Number of shares of common stock outstanding as of March 31,September 30, 2021: 3,027,128,1122,955,266,061
FORM 10-Q
TABLE OF CONTENTS
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| Item 1. | | 172194 |
| Item 1A. | | 172194 |
| Item 2. | | 173195 |
| Item 3. | | 174196 |
| Item 4. | | 174196 |
| Item 5. | | 174196 |
| Item 6. | | 174196 |
JPMorgan Chase & Co.
Consolidated financial highlights (unaudited)
| As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)
| As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)
| | | As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)
| | | Nine months ended Sept 30, |
| 1Q21 | 4Q20 | 3Q20 | 2Q20 | | 1Q20 | | | As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted)
| 3Q21 | 2Q21 | 1Q21 | 4Q20 | 3Q20 | | | 2021 | 2020 |
| Selected income statement data | Selected income statement data | | | Selected income statement data | | | |
Total net revenue(a) | Total net revenue(a) | $ | 32,266 | | $ | 29,335 | | $ | 29,255 | | $ | 33,075 | | | $ | 28,286 | | | | Total net revenue(a) | $ | 29,647 | | $ | 30,479 | | $ | 32,266 | | $ | 29,335 | | $ | 29,255 | | | | $ | 92,392 | | $ | 90,616 | |
| Total noninterest expense | Total noninterest expense | 18,725 | | 16,048 | | 16,875 | | 16,942 | | | 16,791 | | | | Total noninterest expense | 17,063 | | 17,667 | | 18,725 | | 16,048 | | 16,875 | | | | 53,455 | | 50,608 | |
Pre-provision profit(b) | Pre-provision profit(b) | 13,541 | | 13,287 | | 12,380 | | 16,133 | | | 11,495 | | | | Pre-provision profit(b) | 12,584 | | 12,812 | | 13,541 | | 13,287 | | 12,380 | | | | 38,937 | | 40,008 | |
| Provision for credit losses | Provision for credit losses | (4,156) | | (1,889) | | 611 | | 10,473 | | | 8,285 | | | | Provision for credit losses | (1,527) | | (2,285) | | (4,156) | | (1,889) | | 611 | | | | (7,968) | | 19,369 | |
| Income before income tax expense | Income before income tax expense | 17,697 | | 15,176 | | 11,769 | | 5,660 | | | 3,210 | | | | Income before income tax expense | 14,111 | | 15,097 | | 17,697 | | 15,176 | | 11,769 | | | | 46,905 | | 20,639 | |
Income tax expense(a) | Income tax expense(a) | 3,397 | | 3,040 | | 2,326 | | 973 | | | 345 | | | | Income tax expense(a) | 2,424 | | 3,149 | | 3,397 | | 3,040 | | 2,326 | | | | 8,970 | | 3,644 | |
| Net income | Net income | $ | 14,300 | | $ | 12,136 | | $ | 9,443 | | $ | 4,687 | | | $ | 2,865 | | | | Net income | $ | 11,687 | | $ | 11,948 | | $ | 14,300 | | $ | 12,136 | | $ | 9,443 | | | | $ | 37,935 | | $ | 16,995 | |
| | Earnings per share data | Earnings per share data | | | Earnings per share data | | | |
| Net income: Basic | Net income: Basic | $ | 4.51 | | $ | 3.80 | | $ | 2.93 | | $ | 1.39 | | | $ | 0.79 | | | | Net income: Basic | $ | 3.74 | | $ | 3.79 | | $ | 4.51 | | $ | 3.80 | | $ | 2.93 | | | | $ | 12.05 | | $ | 5.10 | |
| Diluted | Diluted | 4.50 | | 3.79 | | 2.92 | | 1.38 | | | 0.78 | | | | Diluted | 3.74 | | 3.78 | | 4.50 | | 3.79 | | 2.92 | | | | 12.02 | | 5.09 | |
| Average shares: Basic | Average shares: Basic | 3,073.5 | | 3,079.7 | | 3,077.8 | | 3,076.3 | | | 3,095.8 | | | | Average shares: Basic | 2,999.9 | | 3,036.6 | | 3,073.5 | | 3,079.7 | | 3,077.8 | | | | 3,036.4 | | 3,083.3 | |
| Diluted | Diluted | 3,078.9 | | 3,085.1 | | 3,082.8 | | 3,081.0 | | | 3,100.7 | | | | Diluted | 3,005.1 | | 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 and per common share data | | | Market and per common share data | | | |
| Market capitalization | Market capitalization | 460,820 | | 387,492 | | 293,451 | | 286,658 | | | 274,323 | | | | Market capitalization | 483,748 | | 464,778 | | 460,820 | | 387,492 | | 293,451 | | | | 483,748 | | 293,451 | |
| Common shares at period-end | Common shares at period-end | 3,027.1 | | 3,049.4 | | 3,048.2 | | 3,047.6 | | | 3,047.0 | | | | Common shares at period-end | 2,955.3 | | 2,988.2 | | 3,027.1 | | 3,049.4 | | 3,048.2 | | | | 2,955.3 | | 3,048.2 | |
| Book value per share | Book value per share | 82.31 | | 81.75 | | 79.08 | | 76.91 | | | 75.88 | | | | Book value per share | 86.36 | | 84.85 | | 82.31 | | 81.75 | | 79.08 | | | | 86.36 | | 79.08 | |
Tangible book value per share (“TBVPS”)(b) | Tangible book value per share (“TBVPS”)(b) | 66.56 | | 66.11 | | 63.93 | | 61.76 | | | 60.71 | | | | 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 share | Cash dividends declared per share | 0.90 | | 0.90 | | 0.90 | | 0.90 | | | 0.90 | | | | Cash dividends declared per share | 1.00 | | 0.90 | | 0.90 | | 0.90 | | 0.90 | | | | 2.80 | | 2.70 | |
| | Selected ratios and metrics | Selected ratios and metrics | | | Selected ratios and metrics | | | |
Return on common equity (“ROE”)(c) | Return on common equity (“ROE”)(c) | 23 | % | 19 | % | 15 | % | 7 | % | | 4 | % | | | Return on common equity (“ROE”)(c) | 18 | % | 18 | % | 23 | % | 19 | % | 15 | % | | | 20 | % | 9 | % |
Return on tangible common equity (“ROTCE”)(b)(c) | Return on tangible common equity (“ROTCE”)(b)(c) | 29 | | 24 | | 19 | | 9 | | | 5 | | | | Return on tangible common equity (“ROTCE”)(b)(c) | 22 | | 23 | | 29 | | 24 | | 19 | | | | 24 | | 11 | |
Return on assets(c) | Return on assets(c) | 1.61 | | 1.42 | | 1.14 | | 0.58 | | | 0.40 | | | | Return on assets(c) | 1.24 | | 1.29 | | 1.61 | | 1.42 | | 1.14 | | | | 1.37 | | 0.72 | |
| Overhead ratio | Overhead ratio | 58 | | 55 | | 58 | | 51 | | | 59 | | (a) | | Overhead ratio | 58 | | 58 | | 58 | | 55 | | 58 | | | | 58 | | 56 | |
| Loans-to-deposits ratio | Loans-to-deposits ratio | 44 | | 47 | | 49 | | 52 | | | 57 | | | | Loans-to-deposits ratio | 43 | | 45 | | 44 | | 47 | | 49 | | | | 43 | | 49 | |
Firm Liquidity coverage ratio (“LCR”) (average) | Firm Liquidity coverage ratio (“LCR”) (average) | 110 | | 110 | | 114 | | 117 | | | 114 | | | | Firm Liquidity coverage ratio (“LCR”) (average) | 112 | | 111 | | 110 | | 110 | | 114 | | | | 112 | | 114 | |
JPMorgan Chase Bank, N.A. LCR (average) | JPMorgan Chase Bank, N.A. LCR (average) | 166 | | 160 | | 157 | | 140 | | | 117 | | | | JPMorgan Chase Bank, N.A. LCR (average) | 174 | | 171 | | 166 | | 160 | | 157 | | | | 174 | | 157 | |
Common equity Tier 1 (“CET1”) capital ratio(d)(e) | Common equity Tier 1 (“CET1”) capital ratio(d)(e) | 13.1 | | 13.1 | | 13.1 | | 12.4 | | | 11.5 | | | | Common equity Tier 1 (“CET1”) capital ratio(d)(e) | 12.9 | | 13.0 | | 13.1 | | 13.1 | | 13.1 | | | | 12.9 | | 13.1 | |
Tier 1 capital ratio(d)(e) | Tier 1 capital ratio(d)(e) | 15.0 | | 15.0 | | 15.0 | | 14.3 | | | 13.3 | | | | Tier 1 capital ratio(d)(e) | 15.0 | | 15.1 | | 15.0 | | 15.0 | | 15.0 | | | | 15.0 | | 15.0 | |
Total capital ratio(d)(e) | Total capital ratio(d)(e) | 17.2 | | 17.3 | | 17.3 | | 16.7 | | | 15.5 | | | | Total capital ratio(d)(e) | 16.9 | | 17.1 | | 17.2 | | 17.3 | | 17.3 | | | | 16.9 | | 17.3 | |
Tier 1 leverage ratio(d)(e) | Tier 1 leverage ratio(d)(e) | 6.7 | | 7.0 | | 7.0 | | 6.9 | | | 7.5 | | | | Tier 1 leverage ratio(d)(e) | 6.6 | | 6.6 | | 6.7 | | 7.0 | | 7.0 | | | | 6.6 | | 7.0 | |
Supplementary leverage ratio (“SLR”)(d)(e) | Supplementary leverage ratio (“SLR”)(d)(e) | 6.7 | | 6.9 | | 7.0 | | 6.8 | | | 6.0 | | | | Supplementary leverage ratio (“SLR”)(d)(e) | 5.5 | | 5.4 | | 6.7 | | 6.9 | | 7.0 | | | | 5.5 | | 7.0 | |
| | Selected balance sheet data (period-end) | Selected balance sheet data (period-end) | | | Selected balance sheet data (period-end) | | | |
| Trading assets | Trading assets | $ | 544,052 | | $ | 503,126 | | $ | 505,822 | | $ | 491,716 | | | $ | 510,923 | | | | Trading assets | $ | 515,901 | | $ | 520,588 | | $ | 544,052 | | $ | 503,126 | | $ | 505,822 | | | | $ | 515,901 | | $ | 505,822 | |
| Investment securities, net of allowance for credit losses | Investment securities, net of allowance for credit losses | 597,394 | | 589,999 | | 531,136 | | 558,791 | | | 471,144 | | | | Investment securities, net of allowance for credit losses | 595,132 | | 573,637 | | 597,394 | | 589,999 | | 531,136 | | | | 595,132 | | 531,136 | |
| Loans | Loans | 1,011,307 | | 1,012,853 | | 989,740 | | 1,009,382 | | | 1,049,610 | | | | Loans | 1,044,615 | | 1,040,954 | | 1,011,307 | | 1,012,853 | | 989,740 | | | | 1,044,615 | | 989,740 | |
Total assets(a) | Total assets(a) | 3,689,336 | | 3,384,757 | | 3,245,061 | | 3,212,643 | | | 3,138,530 | | | | Total assets(a) | 3,757,576 | | 3,684,256 | | 3,689,336 | | 3,384,757 | | 3,245,061 | | | | 3,757,576 | | 3,245,061 | |
| Deposits | Deposits | 2,278,112 | | 2,144,257 | | 2,001,416 | | 1,931,029 | | | 1,836,009 | | | | Deposits | 2,402,353 | | 2,305,217 | | 2,278,112 | | 2,144,257 | | 2,001,416 | | | | 2,402,353 | | 2,001,416 | |
| Long-term debt | Long-term debt | 279,427 | | 281,685 | | 279,175 | | 317,003 | | | 299,344 | | | | Long-term debt | 298,465 | | 299,926 | | 279,427 | | 281,685 | | 279,175 | | | | 298,465 | | 279,175 | |
| Common stockholders’ equity | Common stockholders’ equity | 249,151 | | 249,291 | | 241,050 | | 234,403 | | | 231,199 | | | | Common stockholders’ equity | 255,203 | | 253,548 | | 249,151 | | 249,291 | | 241,050 | | | | 255,203 | | 241,050 | |
| Total stockholders’ equity | Total stockholders’ equity | 280,714 | | 279,354 | | 271,113 | | 264,466 | | | 261,262 | | | | Total stockholders’ equity | 290,041 | | 286,386 | | 280,714 | | 279,354 | | 271,113 | | | | 290,041 | | 271,113 | |
| Headcount | Headcount | 259,350 | | 255,351 | | 256,358 | | 256,710 | | | 256,720 | | | | Headcount | 265,790 | | 260,110 | | 259,350 | | 255,351 | | 256,358 | | | | 265,790 | | 256,358 | |
| | Credit quality metrics | Credit quality metrics | | | Credit quality metrics | | | |
| Allowances for loan losses and lending-related commitments | Allowances for loan losses and lending-related commitments | $ | 25,517 | | $ | 30,737 | | $ | 33,637 | | $ | 34,301 | | | $ | 25,391 | | | | 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 loans | Allowance for loan losses to total retained loans | 2.42 | % | 2.95 | % | 3.26 | % | 3.27 | % | (e) | 2.32 | % | | | Allowance for loan losses to total retained loans | 1.86 | % | 2.02 | % | 2.42 | % | 2.95 | % | 3.26 | % | | | 1.86 | % | 3.26 | % |
| Nonperforming assets | Nonperforming assets | $ | 10,257 | | $ | 10,906 | | $ | 11,462 | | $ | 9,715 | | | $ | 7,062 | | | | Nonperforming assets | $ | 8,882 | | $ | 9,802 | | $ | 10,257 | | $ | 10,906 | | $ | 11,462 | | | | $ | 8,882 | | $ | 11,462 | |
| Net charge-offs | Net charge-offs | 1,057 | | 1,050 | | 1,180 | | 1,560 | | | 1,469 | | | | Net charge-offs | 524 | | 734 | | 1,057 | | 1,050 | | 1,180 | | | | 2,315 | | 4,209 | |
| Net charge-off rate | Net charge-off rate | 0.45 | % | 0.44 | % | 0.49 | % | 0.64 | % | | 0.62 | % | | | Net charge-off rate | 0.21 | % | 0.31 | % | 0.45 | % | 0.44 | % | 0.49 | % | | | 0.32 | % | 0.58 | % |
(a)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 16-1720-21 for a further discussion of these measures.
(c)Quarterly ratios are based upon annualized amounts.
(d)For the nine months ended September 30, 2021 and 2020, the percentage represents average LCR for the three months ended September 30, 2021 and 2020. Refer to Liquidity Risk Management on pages 54-58 for additional information on the LCR results.
(e)The capital metrics reflect the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the Current Expected Credit Losses ("CECL") capital transition provisions that became effective in the first quarter of 2020. The SLR prior to the periods ended June 30, 2021 reflects the temporary exclusions of U.S. Treasury securities and deposits at Federal Reserve Banks, which became effective April 1, 2020 and remained in effect through March 31, 2021. Refer to Capital Risk Management on pages 36-4148-53 of this Form 10-Q and pages 91-101 of JPMorgan Chase’s 2020 Form 10-K for additional information.
(e)Prior-period amounts have been revised to conform with the current presentation.
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 firstthird quarter of 2021.
This Quarterly Report on Form 10-Q for the firstthird quarter of 2021 (“Form 10-Q”) should be read together with JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 2020 (“2020 Form 10-K”). Refer to the Glossary of terms and acronyms and line of business (“LOB”) metrics on pages 163-171185-193 for definitions of terms and acronyms used throughout this Form 10-Q.
The MD&AThis Form 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. Refer to Forward-looking Statements on page 7890 of this Form 10-Q, Part II, Item 1A, Risk Factors on pages 172-173194-195 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.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 update any forward-looking statements.
JPMorgan Chase & Co. (NYSE: JPM), a financial holding company incorporated under Delaware law in 1968, is a leading financial services firm based in the United States of America (“U.S.”), with operations worldwide. JPMorgan Chase had $3.7$3.8 trillion in assets and $280.7$290.0 billion in stockholders’ equity as of March 31,September 30, 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 globally 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 March 31,September 30, 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”). Refer 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.
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 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/ir.
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 2020 Form 10-K should be read together and in their entirety.
| | Financial performance of JPMorgan Chase | Financial performance of JPMorgan Chase | | | Financial performance of JPMorgan Chase | | | |
(unaudited) As of or for the period ended, (in millions, except per share data and ratios) | (unaudited) As of or for the period ended, (in millions, except per share data and ratios) | Three months ended March 31, | | (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, |
| 2021 | | 2020 | | Change | | (unaudited) As of or for the period ended, (in millions, except per share data and ratios) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Selected income statement data | Selected income statement data | | | |
Total net revenue(a) | Total net revenue(a) | $ | 32,266 | | $ | 28,286 | | 14 | % | | Total net revenue(a) | $ | 29,647 | | $ | 29,255 | | 1 | % | | $ | 92,392 | | $ | 90,616 | | 2 | % |
| Total noninterest expense | Total noninterest expense | 18,725 | | 16,791 | | 12 | | | Total noninterest expense | 17,063 | | 16,875 | | 1 | | | 53,455 | | 50,608 | | 6 | |
| Pre-provision profit | Pre-provision profit | 13,541 | | 11,495 | | 18 | | | Pre-provision profit | 12,584 | | 12,380 | | 2 | | | 38,937 | | 40,008 | | (3) | |
| Provision for credit losses | Provision for credit losses | (4,156) | | 8,285 | | NM | | Provision for credit losses | (1,527) | | 611 | | NM | | (7,968) | | 19,369 | | NM |
| Net income | Net income | 14,300 | | 2,865 | | 399 | | | Net income | 11,687 | | 9,443 | | 24 | | | 37,935 | | 16,995 | | 123 | |
| Diluted earnings per share | Diluted earnings per share | $ | 4.50 | | $ | 0.78 | | 477 | | | Diluted earnings per share | $ | 3.74 | | $ | 2.92 | | 28 | | | $ | 12.02 | | $ | 5.09 | | 136 | |
| Selected ratios and metrics | Selected ratios and metrics | | | Selected ratios and metrics | |
| | Return on common equity | Return on common equity | 23% | | 4% | | | Return on common equity | 18% | | 15% | | 20% | | 9% | |
| Return on tangible common equity | Return on tangible common equity | 29 | | 5 | | | Return on tangible common equity | 22 | | 19 | | 24 | | 11 | |
| | Book value per share | Book value per share | $ | 82.31 | | $ | 75.88 | | 8 | | | Book value per share | $ | 86.36 | | $ | 79.08 | | 9 | | | $ | 86.36 | | $ | 79.08 | | 9 | |
| Tangible book value per share | Tangible book value per share | 66.56 | | 60.71 | | 10 | | | Tangible book value per share | 69.87 | | 63.93 | | 9 | | | 69.87 | | 63.93 | | 9 | |
Capital ratios(b) | Capital ratios(b) | | | Capital ratios(b) | |
| CET1 | 13.1% | | 11.5% | | | |
| CET1 capital | | CET1 capital | 12.9% | | 13.1% | | 12.9% | | 13.1% | |
| Tier 1 capital | Tier 1 capital | 15.0 | | 13.3 | | | Tier 1 capital | 15.0 | | 15.0 | | 15.0 | | 15.0 | |
| Total capital | Total capital | 17.2 | | 15.5 | | | Total capital | 16.9 | | 17.3 | | 16.9 | | 17.3 | |
(a)Prior-period amount has been revised to conform with the current presentation. Refer to Note 1 for further information.
(b)The 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 Capital Risk Management on pages 36-4148-53 of this Form 10-Q and pages 91-101 of JPMorgan Chase’s 2020 Form 10-K for additional information.
Comparisons noted in the sections below are for the firstthird quarter of 2021 versus the firstthird quarter of 2020, unless otherwise specified.
Firmwide overview
JPMorgan Chase reported net income of $14.3$11.7 billion for the firstthird quarter of 2021, or $4.50$3.74 per share, on net revenue of $32.3$29.6 billion. The Firm reported ROE of 23%18% and ROTCE of 29%22%. The Firm's results for the firstthird quarter of 2021 included a reduction in the allowance for credit losses of $5.2$2.1 billion comparedand an income tax benefit of $566 million related to an increasefinalizing the Firm's 2020 U.S. federal tax return. The tax benefit included state and local impacts of federal tax method changes and a reduction in the valuation allowance for credit losses of $6.8 billion in the prior year, as well as a $550 million contribution to the Firm's Foundation.U.S. foreign tax credits.
•Net income was $14.3$11.7 billion, up $11.4$2.2 billion.
•Total net revenue was up 14%1%.
–Noninterest revenue was $19.4$16.6 billion, up 40%2%, predominantly driven by higher CIB Markets revenue, higher Investment Banking fees and the absence of losses in Credit Adjustments and Other in CIB and markdowns on held-for-sale positionsasset management fees in the bridge financing portfolioAWM, predominantly offset by net investment securities losses in CIB and CB recordedCorporate compared to net gains in the prior year. year, and lower revenue in Home Lending.
–Net interest income was $12.9$13.1 billion, down 11%up 1%, predominantly driven by the impact of lower rates partially offset by balance sheet growth. growth and higher market rates, predominantly offset by change in balance sheet mix and lower net interest income in CIB Markets.
•Noninterest expense was $18.7$17.1 billion, up 12%1%, predominantly driven by continued investments in the business, including marketing and technology, and higher volume- and revenue-related expense, predominantly offset by lower legal expense and continued investments instructural expense. Noninterest expense for the businesses. The increase in expense alsoprior year included an impairment on a $550 million contribution to the Firm's Foundation.legacy investment.
•The provision for credit losses was a net benefit of $4.2$1.5 billion, driven byreflecting a net reductionsreduction in the allowance for credit losses of $5.2$2.1 billion, compared todriven 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 $8.3$611 million, reflecting $1.2 billion in the prior year predominantly driven byof net additions tocharge-offs and a net reduction in the allowance for credit losses of $6.8 billion.$569 million.
•The total allowance for credit losses was $25.6$20.5 billion at March 31,September 30, 2021. The Firm had an allowance for loan losses to retained loans coverage ratio of 2.42%1.86%, compared with 2.95%2.02% in the fourthsecond quarter of 2020,2021, and 2.32%3.26% in the prior year; the decrease from the fourth quarter of 2020 was driven by net reductions in the allowance for loan losses.year.
•The Firm’s nonperforming assets totaled $10.3$8.9 billion at March 31,September 30, 2021, an increasea decrease of $3.2$2.6 billion from the prior year, reflecting client credit deterioration across multiple industries, including Real Estate,driven by:
–paydowns and upgrades in the wholesale portfolio;portfolio, across CB, CIB and AWM, and
–lower nonaccrual loans at fair value in the consumer portfolio loans placed on nonaccrual status relateddue to the impact of the COVID-19 pandemic. In the first quarter of 2021, nonperformingsales in CIB.
Nonperforming assets decreased $649were down $920 million from December 31, 2020,June 30, 2021, driven by lower nonaccrual loans in the wholesale portfolio,and consumer portfolios, reflecting the impact of net portfolio activityimproved credit performance and select client upgrades in Oil & Gas and Individuals; and lower nonaccrual loans at fair value in the CIB consumer portfolio, due to sales.paydowns.
•Firmwide average loans of $1.0 trillion were up 1%,5% driven by higher loans in CIB and AWM, and CIB, predominantlypartially offset by lower loans in CCBCB and CB. The increase in loans also reflects loans originated under the Paycheck Protection Program (“PPP”) in CCB and CB.CCB.
•Firmwide average deposits of $2.2$2.4 trillion were up 36%19%, reflecting significant inflows across the LOBs primarily driven by the effect of certain government actions in response to the COVID-19 pandemic.
•As of March 31, 2021, the Firm had average eligible High Quality Liquid Assets (“HQLA”) of approximately $697 billion and unencumbered marketable securities with a fair value of approximately $841 billion, resulting in approximately $1.5 trillion of liquidity sources. Refer to Liquidity Risk Management on pages 42-46 for additional information.
Selected capital-related metrics
•The Firm’s CET1 capital was $206$210 billion, and the Standardized and Advanced CET1 ratios were 13.1%12.9% and 13.7%13.6%, respectively.
•The Firm’s SLR was 6.7%, and without the temporary exclusions of U.S. Treasury securities and deposits at Federal Reserve Banks, 5.5%.
•The Firm grew TBVPS, ending the firstthird quarter of 2021 at $66.56,$69.87, up 10%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 16-1720-21 for a further discussion of each of these measures.
Business segment highlights
Selected business metrics for each of the Firm’s four LOBs are presented below for the firstthird quarter of 2021.
| | | | | | | | |
CCB
ROE
54% 34% | | •Average deposits up 32%20%; client investment assets up 44%29% •Average loans down 7%; debit2% YoY and up 1% QoQ; Card net charge-off rate of 1.39% •Debit and credit card sales volume(a) up 9%26% •Active mobile customers up 9%10% |
CIB
ROE
27% 26% | | •#1 ranking for Global Investment Banking fees with 9.4% wallet share of 9.0% in 1Q21YTD •Total Markets revenue of $9.1$6.3 billion, up 25%down 5%, with Fixed Income Markets up 15%down 20% and Equity Markets up 47%30% |
CB
ROE
19% 22% | | •Gross Investment Banking revenue of $1.1$1.3 billion, up 65%60% •Average loans down 2%;7% YoY and 1% QoQ; average deposits up 54%21% |
AWM
ROE
35% 33% | | •Assets under management (AUM)("AUM") of $2.8$3.0 trillion, up 28%17% •Average loans up 18%;20% YoY and 3% QoQ; average deposits up 43%41% |
(a)Excludes Commercial Card.
Refer to the Business Segment Results on pages 18-3422-46 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 threenine months of 2021, consisting of:
| | | | | | | | | | | |
$804 billion2.4 trillion | | Total credit provided and capital raised (including loans and commitments)(a) |
| | | |
| $69238
billion | | Credit for consumers |
| | | |
| $415
billion | | Credit for U.S. small businesses |
| | | |
| $300957 billion | | Credit for corporations |
| | | |
| $417 billion1.2 trillion | | Capital raised for corporate clients and non-U.S. government entities |
| | | |
| $1446
billion | | Credit and capital raised for nonprofit and U.S. government entities(b) |
| | | |
$1011 billion | | Loans under the Small Business Administration’s Paycheck Protection
Program |
(a)Excludes loans under the SBA’s PPP.
(b)Includes states, municipalities, hospitals and universities.
Recent events
•On April 15,September 21, 2021, JPMorgan Chase launched its digital retail bank in the U.K.
•On August 9, 2021, JPMorgan Chase announced that the China 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 aimshas opened bank branches in all of the lower 48 states.
•Firm acquisitions and investments:
–On October 13, 2021, JPMorgan 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 finance and facilitate more than $2.5 trillionacquire a controlling interest of approximately 75% in the car manufacturer’s payments platform, subject to advance long-term solutions that address climate change and contribute to sustainable development beginning in 2021 through the end of 2030. The target includes $1 trillion for green initiatives, such as renewable energy and clean technologies.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 7890 and Risk Factors on page 172194 of this Form 10-Q andand pages 8–32 of JPMorgan Chase’s 2020 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 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.
Full-year 2021
•Management expects net interest income, on a managed basis, to be approximately $55$52.5 billion, market dependent.
•Management expects adjusted expense to be approximately $70$71 billion, market dependent.
•Management expects the net charge-off rate in Card to be approximately 2.5%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 16-1720-21.
Business Developments
COVID-19 Pandemic
Throughout the COVID-19 pandemic, the Firm has remained focused on serving its clients, customers and communities, as well as the well-being of its employees.
The Firm has raised capital and provided credit to support its customers and clients. The Firm continues to participate inactively monitor the Small Business Association’s (“SBA”) PPPhealth and since inceptionsafety situations at local and regional levels as more of the Program has funded approximately $40 billionFirm's global workforce returns to the office, and will adapt its plans as these situations evolve.
For additional information on the impact of April 30, 2021. WhileU.S. government actions and programs in response to the Firm’s temporary assistance measures for those impacted by theCOVID-19 pandemic, have steadily declined since early 2020, the Firm continues to assist those impacted, primarily in the form of payment deferrals.refer to:
Refer to •Credit Portfolio on page 47 for further information on PPP; Consumer Credit portfolio on pages 48-5260 and Wholesale Credit Portfolio on pages 53-62 for further information on retained loans under payment deferral. Refer to Credit Portfolio on page 113 of JPMorgan Chase's 2020 Form 10-K for further information on PPP; PPP,
•Consumer Credit Portfolioportfolio on pages 61-65 and page 116 of JPMorgan Chase's 2020 Form 10-K, and Wholesale Credit Portfolio on pages 66-74 and page 122 of JPMorgan Chase's 2020 Form 10-K for further information on retained loans under payment deferral.deferral, and
The Firm remains focused on the well-being of its employees. While the vast majority of its global workforce continue to work from home, the Firm is actively monitoring the health and safety situations at local and regional levels, and will adapt its plans as these situations evolve.
Regulatory Developments Relating to the COVID-19 Pandemic
To address the economic impact of the COVID-19 pandemic, 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 pandemic. In the U.S., several stimulus packages were enacted including the CARES Act in March of 2020, the Consolidated Appropriations Act in December of 2020 and the American Rescue Plan Act in March of 2021, which provided funding to support loan facilities to assist consumers and businesses and stimulus payments to individuals.
Refer to •Regulatory Developments Relating to the COVID-19 Pandemic on pages 52-53 of JPMorgan Chase’s 2020 Form 10-K for furthera discussion onof U.S. government actions impacting the Firm and U.S. government facilities and programs in which the Firm has participated.
Post Brexit
Prior to December 31, 2020 the Firm substantially completed its Firmwide Brexit Implementation program which was intended to ensure the continuity of its business and operations with respect to EU clients. On March 26, 2021, the U.K. and the EU agreed on a Memorandum of Understanding that sets out a framework for regulatory cooperation in relation to cross-border financial services. The Firm will monitor developments and take any necessary actions to ensure business continuity with respect to the Firm's EU clients. Refer to Business Developments on page 50 of the 2020 Form 10-K for additional information.
Interbank Offered Rate (“IBOR”) transition
On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") confirmed that the publication of the principal tenors of the U.S. dollar LIBORLondon Interbank Offered Rate ("LIBOR") (i.e., overnight, one-month, three-month, six-month and 12-month LIBOR) will cease immediately following a final publication on June 30, 2023. The scheduled cessation date for U.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, and the2021. The Firm is prioritizingcontinues to prioritize those currencies and tenors of LIBOR for contract remediation inand 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 make progress on its initiativesengage with clients to appropriately mitigatearrange for the risks associatedremediation of in-scope IBOR-linked contracts, and to 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 discontinuation, including contract remediation.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 by December 31, 2021, and in connection with this, the Firm now offers various floating rate products, and provides and arranges various types of floating rate debt financings, that reference the Secured Overnight Financing Rate (“SOFR”) 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.reform and the legislative progress associated with 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 51 of theJPMorgan 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.
| | | | | | | | | | | | | | |
| 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 March 31,September 30, 2021 and 2020, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment's results. Refer to pages 74-7686-88 of this Form 10-Q and pages 152-155 of JPMorgan Chase’s 2020 Form 10-K for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.
| | Revenue | Revenue | | | | Revenue | | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Investment banking fees | Investment banking fees | $ | 2,970 | | | $ | 1,866 | | | 59 | % | | Investment banking fees | $ | 3,282 | | | $ | 2,187 | | | 50 | % | | $ | 9,722 | | | $ | 6,903 | | | 41 | % |
| Principal transactions | Principal transactions | 6,500 | | | 2,937 | | | 121 | | | Principal transactions | 3,546 | | | 4,142 | | | (14) | | | 14,122 | | | 14,700 | | | (4) | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | 1,687 | | | 1,706 | | | (1) | | | Lending- and deposit-related fees | 1,801 | | | 1,647 | | | 9 | | | 5,248 | | | 4,784 | | | 10 | |
| Asset management, administration and commissions | Asset management, administration and commissions | 5,029 | | | 4,540 | | | 11 | | | Asset management, administration and commissions | 5,257 | | | 4,470 | | | 18 | | | 15,480 | | | 13,276 | | | 17 | |
| Investment securities gains | 14 | | | 233 | | | (94) | | | |
| Investment securities gains/(losses) | | Investment securities gains/(losses) | (256) | | | 473 | | | NM | | (397) | | | 732 | | | NM |
| Mortgage fees and related income | Mortgage fees and related income | 704 | | | 320 | | | 120 | | | Mortgage fees and related income | 600 | | | 1,087 | | | (45) | | | 1,855 | | | 2,324 | | | (20) | |
| Card income | Card income | 1,350 | | | 995 | | | 36 | | | Card income | 1,005 | | | 1,169 | | | (14) | | | 4,002 | | | 3,138 | | | 28 | |
Other income(a)(b) | Other income(a)(b) | 1,123 | | | 1,250 | | | (10) | | | Other income(a)(b) | 1,332 | | | 1,067 | | | 25 | | | 3,650 | | | 3,454 | | | 6 | |
| Noninterest revenue | Noninterest revenue | 19,377 | | | 13,847 | | | 40 | | | Noninterest revenue | 16,567 | | | 16,242 | | | 2 | | | 53,682 | | | 49,311 | | | 9 | |
| Net interest income | Net interest income | 12,889 | | | 14,439 | | | (11) | | | Net interest income | 13,080 | | | 13,013 | | | 1 | | | 38,710 | | | 41,305 | | | (6) | |
| Total net revenue | Total net revenue | $ | 32,266 | | | $ | 28,286 | | | 14 | % | | Total net revenue | $ | 29,647 | | | $ | 29,255 | | | 1 | % | | $ | 92,392 | | | $ | 90,616 | | | 2 | % |
(a) Included operating lease income of $1.3$1.2 billion and $1.4 billion for the three months ended March 31,September 30, 2021 and 2020.2020, respectively and $3.8 billion and $4.2 billion for the nine months ended September 30, 2021 and 2020, respectively.
(b) Prior-period amount has been revised to conform with the current presentation. Refer to Note 1 for further information.
Quarterly results
Investment banking fees increased across products in CIB, primarily reflecting:
•higher equity underwriting fees largely driven by the IPO market due to increased industry-wide fees
•higher advisory fees driven by a higher number of completed transactions, in part related to transactions announced in the second half of 2020,increased M&A activity and wallet share gains, and
•higher debtequity underwriting fees driven by high-yield bonds and leveraged loans due to increased industry-wide fees and wallet share gains.gains and increased activity in the IPO market.
Refer to CIBCIB segment results on pages 23-2729-34 and Note 5 for additional information.
Principal transactions revenueincreased, in part due to the absence of two significant items in the prior year: a $951 million loss in CIB’s Credit Adjustments & Other; and an $896 million markdown on held-for-sale positions, in the bridge financing portfolio in CIB and CB.
Excluding these two items, principal transactions revenue increased in CIB driven by strong performance in:
•Equity Markets across derivatives, Cash Equities, and prime brokerage, and decreased, reflecting:
•lower revenue in CIB Fixed Income Markets across products, particularly in Securitized ProductsCommodities, Rates and Credit largely offset by lower revenue in Rates and Currencies & Emerging Markets compared to a strong prior year.year, including an adjustment to liquidity assumptions in the derivatives portfolio; and
The increase in principal transactions revenue also reflected net gainslosses on certain legacy private equity investments in Corporate, compared with net lossesgains in the prior year.year,
partially offset by
•higher revenue in CIB Equity Markets driven by strong performance across prime brokerage, derivatives and Cash equities.
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 on a total revenue basis.
Refer to CIB and Corporate segment results on pages 23-27 and pages 33-34,29-34 and Note 5 for additional information.
Lending- and deposit-related fees decreased reflecting:
•lower deposit-related fees in CCB given the higher deposits held in existing and new accounts,
predominantly offset by
•increased largely as a result of higher cash management fees in CIB and CB, and higher lending-related fees, particularly loan commitment fees in CIB.CB.
Refer to CCBCIB segment results on pages 20-22, CIB on pages 23-2729-34 and CB on pages 28-29, respectively,35-38, and Note 5 for additional information.
Asset management, administration and commissions revenue increased driven by higher asset management fees in AWM as a result of:
•ofstrong cumulative net inflows into long-term and liquidity products and higher average market levels, net of liquidity fee waivers, in AWM,waivers; and in CCB related to a lesser extent,
•the higher levelslevel of client investment assets on higher average market levels and net inflows in CCB.inflows.
Refer to CCBAWM and AWMCCB segment results on pages 20-2239-43, and pages 30-32,24-28, respectively, and Note 5 for additional information on asset management, administration and commissions revenue.
Investment securities gains gains/(losses)in both periods reflected the impact ofnet 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 mortgage-backed securities ("MBS"). ReferRefer to Corporate segment results on pages 33-3444-46 and Note 9 for additional information on investment securities gains.gains/(losses).
Mortgage fees and related income increased predominantlydecreased due to:
•lower net mortgage servicing revenue reflecting a net loss in MSR risk management results driven by updates to highermodel inputs, compared with a net gain in the prior period, and
•lower mortgage production revenue reflecting higherlower production margins, andpartially offset by higher volumes.
Refer to CCB segment results on pages 20-22,24-28, Note 5 and 14 for furtheradditional information.
Card income increased driven by lower acquisitiondecreased reflecting the amortization of higher account origination costs, and higher netincluding promotional offers. Net interchange incomewas relatively flat as the increase in CCB, with debit and credit card sales volume returningwas offset by an increase to pre-pandemic levels. the rewards liability. Refer to CCB segment results on pages 20-2224-28, Critical Accounting Estimates on pages 86-88, and Note 5 for additional information.
Other income increased reflecting:
•higher gains on several investments, predominantly in CIB, and
•the absence of losses in the prior year related to derivatives in Other Corporate and the early termination of certain of the Firm's long-term debt in Treasury and CIO,
partially offset by
•lower auto operating lease income in CCB as a result of the decline in volume.
Net interest income increased driven by balance sheet growth and higher market rates, primarily offset by change in balance sheet mix and lower net interest income in CIB Markets.
The Firm’s average interest-earning assets were $3.2 trillion, up $345 billion, primarily driven by higher deposits with banks, and the yield was 1.80%, down 25 basis points (“bps”). The net yield on these assets, on an FTE basis, was 1.62%, a decrease of 20 bps. The net yield excluding CIB Markets was 1.91%, down 14 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 information.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,
predominantly offset by
Other income•decreased reflecting:lower auto operating lease income in CCB as a result of the decline in volume, and
•Weather-related write-downs on certain renewable energy investments, as well as increased amortization on a higher level of alternative energy investments in the tax-oriented investment portfolio in CIB. The increased amortization was more than offset by lower income tax expense from the associated tax credits
•lower gainscredits. Additionally, the first quarter of 2021 included weather-related write-downs on certain Corporate investments, and
•lower operating lease income from a decline in auto operating lease volume in CCB,
partially offset by
•net valuation gains on certain investments, compared with losses in the prior year, in AWM, and
•the absence of losses on certain equity investments in CIB in the prior year.renewable energy investments.
Net interest incomedecreased 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 $3.1$3.2 trillion, up $661$454 billion, predominantly driven by higher deposits with banks and investment securities, and the yield was 1.87%1.82%, down 127 basis points (“bps”), primarily due to lower rates.65 bps. The net yield on these assets, on an FTE basis, was 1.69%1.64%, a decrease of 6840 bps. The net yield excluding CIB Markets was 1.93%1.92%, down 10849 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 162 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 16-17 for a further discussion of Net interest yield excluding CIB Markets.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Provision for credit losses | | | | | | | | | | |
| Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| 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 |
| | | | | | | | | | | | | | | | | | | | | | | |
| Provision for credit losses | | | | | | | | | | |
| Three months ended March 31, | | |
| (in millions) | 2021 | | 2020 | | Change | | | | | | |
| Consumer, excluding credit card | $ | (984) | | | $ | 619 | | | NM | | | | | | |
| Credit card | (2,517) | | | 5,063 | | | NM | | | | | | |
| Total consumer | (3,501) | | | 5,682 | | | NM | | | | | | |
| Wholesale | (671) | | | 2,594 | | | NM | | | | | | |
| Investment securities | 16 | | | 9 | | | 78 | % | | | | | | |
| Total provision for credit losses | $ | (4,156) | | | $ | 8,285 | | | NM | | | | | | |
Quarterly results
The provision for credit losses decreased driven by net reductions in both the consumerallowance 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 wholesaleCB. The prior year included a $270 million net reduction in the allowance for credit losses.
The decrease in consumer was driven by:
•a $4.5 billionan $874 million reduction in the allowance for credit losses, including $3.5 billionin particular $850 million in Card reflecting improvements in the Firm's macroeconomic scenarios, and $625 million in Home Lending primarily due to the continued improvement in home price index ("HPI") expectations and to a lesser extent portfolio run-off,outlook, and
•lower net charge-offs predominantly in Card reflecting lower charge-offs and higher recoveries primarilyas consumer cash balances remained elevated benefiting from the residual impact of government stimulus and payment assistance and government stimulus;programs;
•the prior year included a $4.4$396 million reduction in the allowance for credit losses.
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 and 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 reflects a net reduction of $716 million$2.3 billion in the allowance for credit losses across the LOBs, reflecting improvements in the Firm's macroeconomic scenarios.
Referoutlook. The prior year included a $6.7 billion net addition to CCB segment results on pages 20-22, CIB on pages 23-27, CB on pages 28-29, AWM on pages 30-32, the Allowance for Credit Losses on pages 63–64, and Notes 9 and 12 for additional information on the credit portfolio and the allowance for credit losses.
| | Noninterest expense | Noninterest expense | | | | Noninterest expense | | | | |
| (in millions) | (in millions) | Three months ended March 31, | | (in millions) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Compensation expense | Compensation expense | $ | 10,601 | | | $ | 8,895 | | | 19 | % | | $ | 9,087 | | | $ | 8,630 | | | 5 | % | | $ | 29,502 | | | $ | 27,034 | | | 9 | % |
| Noncompensation expense: | Noncompensation expense: | | | Noncompensation expense: | |
| Occupancy | Occupancy | 1,115 | | | 1,066 | | | 5 | | | Occupancy | 1,109 | | | 1,142 | | | (3) | | | 3,314 | | | 3,288 | | | 1 | |
| Technology, communications and equipment | Technology, communications and equipment | 2,519 | | | 2,578 | | | (2) | | | Technology, communications and equipment | 2,473 | | | 2,564 | | | (4) | | | 7,480 | | | 7,732 | | | (3) | |
| Professional and outside services | Professional and outside services | 2,203 | | | 2,028 | | | 9 | | | Professional and outside services | 2,523 | | | 2,178 | | | 16 | | | 7,111 | | | 6,205 | | | 15 | |
| Marketing | Marketing | 751 | | | 800 | | | (6) | | | Marketing | 712 | | | 470 | | | 51 | | | 2,089 | | | 1,751 | | | 19 | |
Other expense(a)(b) | Other expense(a)(b) | 1,536 | | | 1,424 | | | 8 | | | Other expense(a)(b) | 1,159 | | | 1,891 | | | (39) | | | 3,959 | | | 4,598 | | | (14) | |
| Total noncompensation expense | Total noncompensation expense | 8,124 | | | 7,896 | | | 3 | | | Total noncompensation expense | 7,976 | | | 8,245 | | | (3) | | | 23,953 | | | 23,574 | | | 2 | |
| Total noninterest expense | Total noninterest expense | $ | 18,725 | | | $ | 16,791 | | | 12 | % | | Total noninterest expense | $ | 17,063 | | | $ | 16,875 | | | 1 | % | | $ | 53,455 | | | $ | 50,608 | | | 6 | % |
(a)Included Firmwide legal expense of $28$76 million and $197$524 million for the three months ended March 31,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 $201$173 million and $99$186 million for the three months ended March 31,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 expense increased predominantly driven by higher revenue-relatedperformance-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 as well asand 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 LOBs, and the impact of investments in the businesses.
Noncompensation expense increased 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, in the businesses, including technology, and
•higher FDIC-relatedFDIC and other regulatory-related expense, largely driven by balance sheet growth,
partially offset by
•lower depreciation expense in CCB on lower auto lease assets and the impact of higher vehicle collateral values
•lower legal expense, predominantly indriven by CIB, and
•lower other structural expense, including lower travel and entertainment across the businesses and lower operating losses.absence of an impairment, in the prior year, on a legacy investment in Corporate.
Other volume- and revenue-related expense was relatively flatas the increase in brokerage expense in CIB and distribution expense in AWM was offset by lower depreciation from the decline in auto lease assets in CCB.
| | Income tax expense | Income tax expense | | | Income tax expense | | | |
| (in millions) | (in millions) | Three months ended March 31, | | (in millions) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Income before income tax expense | Income before income tax expense | $ | 17,697 | | | $ | 3,210 | | | 451 | % | | $ | 14,111 | | | $ | 11,769 | | | 20 | % | | $ | 46,905 | | | $ | 20,639 | | | 127 | % |
Income tax expense(a) | Income tax expense(a) | 3,397 | | | 345 | | | NM | | Income tax expense(a) | 2,424 | | | 2,326 | | | 4 | | | 8,970 | | | 3,644 | | | 146 | |
Effective tax rate(a) | Effective tax rate(a) | 19.2 | % | | 10.7 | % | | | 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 effective tax rate for the current period was 17.2%, and reflected an income tax benefit of $566 million related to finalizing the Firm's 2020 U.S. federal tax return. 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 19.8% and also reflected an income tax benefit related to prior year returns.
Both periods reflected the impact of the level and mix of income and expenses subject to U.S. federal, state and local taxes.
Year-to-date results
The effective tax rate increased drivenfor 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 higher level of pre-tax income that also reducedreduction in the relativevaluation 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 as well asdue to the resolutionlower level of certain tax auditspre-tax income.
Both periods reflected the impact of the level and mix of income and expenses subject to U.S. federal, state and local taxes.
| | | | | | | | | | | | | | |
| CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS |
Consolidated balance sheets analysis
The following is a discussion of the significant changes between March 31,September 30, 2021, and December 31, 2020.
| | Selected Consolidated balance sheets data | Selected Consolidated balance sheets data | Selected Consolidated balance sheets data |
| (in millions) | (in millions) | March 31,
2021 | | December 31,
2020 | Change | (in millions) | September 30,
2021 | | December 31,
2020 | Change |
| Assets | Assets | | Assets | |
| Cash and due from banks | Cash and due from banks | $ | 25,397 | | | $ | 24,874 | | 2 | % | Cash and due from banks | $ | 25,857 | | | $ | 24,874 | | 4 | % |
| Deposits with banks | Deposits with banks | 685,675 | | | 502,735 | | 36 | | Deposits with banks | 734,012 | | | 502,735 | | 46 | |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | 272,481 | | | 296,284 | | (8) | | Federal funds sold and securities purchased under resale agreements | 282,161 | | | 296,284 | | (5) | |
| Securities borrowed | Securities borrowed | 179,516 | | | 160,635 | | 12 | | Securities borrowed | 202,987 | | | 160,635 | | 26 | |
| Trading assets | Trading assets | 544,052 | | | 503,126 | | 8 | | Trading assets | 515,901 | | | 503,126 | | 3 | |
| | Available-for-sale securities | Available-for-sale securities | 379,942 | | | 388,178 | | (2) | | Available-for-sale securities | 251,590 | | | 388,178 | | (35) | |
| Held-to-maturity securities, net of allowance for credit losses | Held-to-maturity securities, net of allowance for credit losses | 217,452 | | | 201,821 | | 8 | | Held-to-maturity securities, net of allowance for credit losses | 343,542 | | | 201,821 | | 70 | |
| Investment securities, net of allowance for credit losses | Investment securities, net of allowance for credit losses | 597,394 | | | 589,999 | | 1 | | Investment securities, net of allowance for credit losses | 595,132 | | | 589,999 | | 1 | |
| Loans | Loans | 1,011,307 | | | 1,012,853 | | — | | Loans | 1,044,615 | | | 1,012,853 | | 3 | |
| Allowance for loan losses | Allowance for loan losses | (23,001) | | | (28,328) | | (19) | | Allowance for loan losses | (18,150) | | | (28,328) | | (36) | |
| Loans, net of allowance for loan losses | Loans, net of allowance for loan losses | 988,306 | | | 984,525 | | — | | Loans, net of allowance for loan losses | 1,026,465 | | | 984,525 | | 4 | |
| Accrued interest and accounts receivable | Accrued interest and accounts receivable | 114,754 | | | 90,503 | | 27 | | Accrued interest and accounts receivable | 116,395 | | | 90,503 | | 29 | |
| Premises and equipment | Premises and equipment | 26,926 | | | 27,109 | | (1) | | Premises and equipment | 26,996 | | | 27,109 | | — | |
| Goodwill, MSRs and other intangible assets | Goodwill, MSRs and other intangible assets | 54,588 | | | 53,428 | | 2 | | Goodwill, MSRs and other intangible assets | 56,566 | | | 53,428 | | 6 | |
Other assets(a) | Other assets(a) | 200,247 | | | 151,539 | | 32 | | Other assets(a) | 175,104 | | | 151,539 | | 16 | |
| Total assets | Total assets | $ | 3,689,336 | | | $ | 3,384,757 | | 9 | % | Total assets | $ | 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.
Cash and due from banks and deposits with banks increased primarily as a result of the continued growth in deposits and lowerlimited deployment opportunities in Treasury and CIO to deploy funds in securities purchased under resale agreements.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 decreased driven by the by:
•lower deployment of funds in Treasury and CIO;CIO, and in CIB lower client-driven market-making activities in CIB Markets,
partially offset by higher demand for securities to cover short positions. Refer to Liquidity Risk Management on pages 42-46 and Note 10 for additional information.
Securities borrowed• increased driven by client-driven activities in Fixed Income Financing and Equity Markets, and higher demand for securities to cover short positions in CIB. ReferCIB Markets.
Securities borrowed increased reflecting higher client-driven activities, and an increase in the demand for securities to Liquidity Risk Management on pages 42-46 andcover short positions in CIB Markets.
Refer Note 10 for additional information.information on securities purchased under resale agreements and securities borrowed.
Trading assets increased due to strong reflecting;
•client-driven market-making activities in equity instruments, predominantly in CIB Markets, including prime brokerage.brokerage,
partially offset by
•lower derivative receivables, primarily driven by maturities of certain trades in CIB, and
•lower deployment of funds in Treasury and CIO.
Refer to Notes 2 and 4 for additional information.
Investment securitiesincreased, reflecting net purchases of U.S. Treasuries in the held-to-maturity (“HTM”) portfolio predominantly offset by a decrease in the available-for-sale ("AFS") portfolio. The decrease in AFS was due to paydowns and net valuation losses, partially offset by net purchases.
Investment securities increased due to purchases and paydowns in held-to-maturity ("HTM") securities, partially offset by paydowns and net purchases in available-for-sale ("AFS") securities. In the second quarter of 2021, AFS securities of $104.5 billion were transferred to the HTM portfolio for capital management purposes. Refer to Corporate segment results on pages 33-34,44-46, Investment Portfolio Risk Management on page 65,77, and Notes 2 and 9 for additional information on Investment securities.information.
Loans were flat asincreased, reflecting:
•the reductionhigher secured lending in Card due to the impact of seasonality,CIB Markets; and higher payment rates; lower loanssecurities-based lending, mortgages, as well as custom lending in CB; and net paydowns in Home LendingAWM,
werepartially offset by
•the origination of PPPlower loans in CBB and CB; growthCB primarily driven by the impact of PPP forgiveness; and lower retained residential real estate loans in CIB loans held-for-sale and loans at fair value, and in AWM securities-based and custom lending, as well as mortgages.Home Lending primarily due to net paydowns.
The allowance for loan losses decreased, consisting of:
•a $4.5$7.9 billion reduction in consumer, predominantly in the credit card portfolio, reflecting improvements in the Firm's macroeconomic scenarios,outlook; and in the residential real estate portfolio, primarily due to the continued improvementimprovements in the HPI expectations and to a lesser extent portfolio run-off, andand
•an $875 milliona $2.3 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic scenarios.outlook.
There was a $107$104 million addition tonet 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. The total net reduction to the allowance for credit losses was $5.2 billion, as of March 31, 2021.in
the allowance for credit losses was $10.3 billion, as of September 30, 2021.
Refer to Credit and Investment Risk Management on pages 47-65,59-77, and Notes 2, 3, 11 and 12 for a more detailed discussion of loans and the allowance for loan losses.
Accrued interest and accounts receivable increased largely due to higher client receivables related to client-driven activities primarily in CIB prime brokerage.
Goodwill, MSRs and other intangibles increased driven by reflecting:
•higher MSRs as a result of lower prepayment speeds on higher rates, as well as net additions, topartially offset by the MSRs.realization of expected cash flows; and
•an increase in Goodwill as a result of the acquisitions of Nutmeg, OpenInvest, Frank and Campbell Global.
Refer to Note 14 for additional information.
Other assets increased predominantly due to the impact of securities financing transactions in CIB prime brokerage, as well as higher cash collateral placed with central counterparties ("CCPs"). in CIB, and higher tax receivables. Refer to Note 10 for additional information on securities lendingfinancing transactions.
| | Selected Consolidated balance sheets data (continued) | Selected Consolidated balance sheets data (continued) | | Selected Consolidated balance sheets data (continued) | |
| (in millions) | (in millions) | March 31,
2021 | | December 31,
2020 | Change | (in millions) | September 30,
2021 | | December 31,
2020 | Change |
| Liabilities | Liabilities | | Liabilities | |
| Deposits | Deposits | $ | 2,278,112 | | | $ | 2,144,257 | | 6 | % | Deposits | $ | 2,402,353 | | | $ | 2,144,257 | | 12 | % |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 304,019 | | | 215,209 | | 41 | | Federal funds purchased and securities loaned or sold under repurchase agreements | 254,920 | | | 215,209 | | 18 | |
| Short-term borrowings | Short-term borrowings | 54,978 | | | 45,208 | | 22 | | Short-term borrowings | 50,393 | | | 45,208 | | 11 | |
| Trading liabilities | Trading liabilities | 191,349 | | | 170,181 | | 12 | | Trading liabilities | 179,543 | | | 170,181 | | 6 | |
| Accounts payable and other liabilities(a) | Accounts payable and other liabilities(a) | 285,066 | | | 231,285 | | 23 | | Accounts payable and other liabilities(a) | 268,604 | | | 231,285 | | 16 | |
| Beneficial interests issued by consolidated variable interest entities (“VIEs”) | Beneficial interests issued by consolidated variable interest entities (“VIEs”) | 15,671 | | | 17,578 | | (11) | | Beneficial interests issued by consolidated variable interest entities (“VIEs”) | 13,257 | | | 17,578 | | (25) | |
| Long-term debt | Long-term debt | 279,427 | | | 281,685 | | (1) | | Long-term debt | 298,465 | | | 281,685 | | 6 | |
| Total liabilities | Total liabilities | 3,408,622 | | | 3,105,403 | | 10 | | Total liabilities | 3,467,535 | | | 3,105,403 | | 12 | |
| Stockholders’ equity | Stockholders’ equity | 280,714 | | | 279,354 | | — | | Stockholders’ equity | 290,041 | | | 279,354 | | 4 | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 3,689,336 | | | $ | 3,384,757 | | 9 | % | 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 lower spending, as well as growth from existing and new accounts across both consumer and small business customers. Refer to Liquidity Risk Management on pages 42-4654-58 and Notes 2 and 15 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased reflecting:
•higherthe impact of client activities and secured financing of trading assets in CIB Markets,
partially offset by
•lower secured financing of AFS investment securities in Treasury and CIO, as well as higher trading assets in CIB, and
•the impact of client activities in CIB.CIO.
Refer to Liquidity Risk Management on pages 42-4654-58 and Note 10 for additional information.
Short-term borrowings increased predominantly as a result of higher financing of prime brokerage activities and net issuance of structured notes in CIB, as well as the issuance of commercial paper in Treasury and CIO.CIB. Refer to pages 42-4654-58 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 in debt instruments, partially offset by lower derivative payables largely as a result of market movements. Refer to Notes 2 and 4 for additional information.
Accounts payable and other liabilities increased largely duereflecting higher client payables related to the impact of securities financing transactionsclient-driven activities primarily in CIB prime brokerage. Refer to Note 10 for additional information on securities lendingfinancing transactions.
Beneficial interests issued by consolidated VIEs decreased 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 conduits.conduits in CIB. Refer to Off-Balance Sheet Arrangements on page 1519 and Notes 13 and 22 for furtheradditional information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt was relatively flat as maturities and increased driven by net issuances, partially offset byfair value hedge accounting adjustments related to higher rates were offset by net issuances.rates. Refer to Liquidity Risk Management on pages 42-4654-58 for additional information.
Stockholders’ equity was relatively flat asincreased reflecting net income, waspartially offset by the net impact of capital actions, and a decrease in accumulated other comprehensive income (“AOCI”). The decrease in AOCI was driven by the impact of higher rates on the AFS securities portfolio and cash flow hedges. Refer to page 8294 for information on changes in stockholders’ equity, Capital actions on pages 39-40,51-52, and Note 19 for additional information on AOCI.
Consolidated cash flows analysis
The following is a discussion of cash flow activities during the threenine months ended March 31,September 30, 2021 and 2020.
| | (in millions) | (in millions) | | | Three months ended March 31, | (in millions) | | | Nine months ended September 30, |
| | 2021 | | 2020 | (in millions) | | | 2021 | | 2020 |
| Net cash provided by/(used in) | Net cash provided by/(used in) | | | | | | |
| Operating activities | Operating activities | | | $ | (43,872) | | | $ | (120,089) | | Operating activities | | | $ | (7,011) | | | $ | (51,858) | |
| Investing activities | Investing activities | | | 15,391 | | | (135,833) | | Investing activities | | | (29,186) | | | (198,206) | |
| Financing activities | Financing activities | | | 218,911 | | | 362,305 | | Financing activities | | | 278,015 | | | 470,687 | |
| Effect of exchange rate changes on cash | Effect of exchange rate changes on cash | | | (6,967) | | | (2,480) | | Effect of exchange rate changes on cash | | | (9,558) | | | 3,268 | |
| Net increase in cash and due from banks and deposits with banks | Net increase in cash and due from banks and deposits with banks | | | $ | 183,463 | | | $ | 103,903 | | Net increase in cash and due from banks and deposits with banks | | | $ | 232,260 | | | $ | 223,891 | |
Operating activities
•In 2021, cash used resulted from higher trading assets,securities borrowed and accrued interest and accounts receivable, and securities borrowed, partially offset by higher accounts payable and other liabilities and lower other assets.liabilities.
•In 2020, cash used resulted from higher trading assets and other assets, and accrued interest and accounts receivable, partially offset by higher trading liabilities and accounts payable and other liabilities.
Investing activities
•In 2021, cash provided reflectedused resulted from net loan originations and net purchases of investment securities, partially offset by lower securities purchased under resale agreements and net proceeds from sales and securitizations of loans held-for-investment, partially offset by net purchases of investment securities.agreements.
•In 2020, cash used reflectedresulted from net purchases of investment securities net originations of loans, and purchases of assets from money market mutual fund clients pursuant to nonrecourse advances provided by the Federal Reserve Bank of Boston ("FRBB")higher securities purchased under the Money Market Mutual Fund Liquidity Facility ("MMLF").
Financing activities
•In 2021, cash provided reflected higher deposits and securities loaned or sold under repurchase agreements, and net proceeds from long- and short-term borrowings.
•In 2020, cash provided reflected higher deposits and securities loaned or sold under repurchase agreements, andpartially offset by net proceeds frompaydowns of long- and short-term borrowings.
•For both periods, cash was used for repurchases of common stock and cash dividends on common and preferred stock.
* * *
Refer to Consolidated Balance Sheets Analysis on pages 12-13,16-17, Capital Risk Management on pages 36-41,48-53, and Liquidity Risk Management on pages 42-4654-58 of this Form 10-Q, and pages 102–108 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.
| | | | | | | | | | | | | | |
| OFF-BALANCE SHEET ARRANGEMENTS |
In the normal course of business, the Firm enters into various off-balance sheet arrangements and contractual obligations that may require future cash payments. Certain obligations are recognized on-balance sheet, while others are disclosed as off-balance sheet under accounting principles generally accepted in the U.S. (“U.S. GAAP”).
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 discussions 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 arrangement | Location of disclosure | Page references |
| Special-purpose entities: variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs | Refer to Note 13 | 137-142155-160 |
| Off-balance sheet lending-related financial instruments, guarantees, and other commitments | Refer to Note 22 | 152-155172-175 |
| | |
| 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 79-83.91-95.
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
•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 62–64 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of management’s use of non-GAAP financial measures.
The following summary table providestables provide a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.
| | | Three months ended March 31, | | Three months ended September 30, |
| | 2021 | | 2020 | | 2021 | | 2020 |
| (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(a) | Other income(a) | $ | 1,123 | | | $ | 744 | | | $ | 1,867 | | | $ | 1,250 | | | $ | 614 | | | $ | 1,864 | | Other income(a) | $ | 1,332 | | | $ | 690 | | | $ | 2,022 | | | $ | 1,067 | | | $ | 582 | | | $ | 1,649 | |
| Total noninterest revenue | Total noninterest revenue | 19,377 | | | 744 | | | 20,121 | | | 13,847 | | | 614 | | | 14,461 | | Total noninterest revenue | 16,567 | | | 690 | | | 17,257 | | | 16,242 | | | 582 | | | 16,824 | |
| Net interest income | Net interest income | 12,889 | | | 109 | | | 12,998 | | | 14,439 | | | 110 | | | 14,549 | | Net interest income | 13,080 | | | 104 | | | 13,184 | | | 13,013 | | | 104 | | | 13,117 | |
| Total net revenue | Total net revenue | 32,266 | | | 853 | | | 33,119 | | | 28,286 | | | 724 | | | 29,010 | | Total net revenue | 29,647 | | | 794 | | | 30,441 | | | 29,255 | | | 686 | | | 29,941 | |
| Total noninterest expense | Total noninterest expense | 18,725 | | | NA | | 18,725 | | | 16,791 | | | NA | | 16,791 | | Total noninterest expense | 17,063 | | | NA | | 17,063 | | | 16,875 | | | NA | | 16,875 | |
| Pre-provision profit | Pre-provision profit | 13,541 | | | 853 | | | 14,394 | | | 11,495 | | | 724 | | | 12,219 | | Pre-provision profit | 12,584 | | | 794 | | | 13,378 | | | 12,380 | | | 686 | | | 13,066 | |
| Provision for credit losses | Provision for credit losses | (4,156) | | | NA | | (4,156) | | | 8,285 | | | NA | | 8,285 | | Provision for credit losses | (1,527) | | | NA | | (1,527) | | | 611 | | | NA | | 611 | |
| Income before income tax expense | Income before income tax expense | 17,697 | | | 853 | | | 18,550 | | | 3,210 | | | 724 | | | 3,934 | | Income before income tax expense | 14,111 | | | 794 | | | 14,905 | | | 11,769 | | | 686 | | | 12,455 | |
Income tax expense(a) | Income tax expense(a) | 3,397 | | | 853 | | | 4,250 | | | 345 | | | 724 | | | 1,069 | | Income tax expense(a) | 2,424 | | | 794 | | | 3,218 | | | 2,326 | | | 686 | | | 3,012 | |
| Net income | Net income | $ | 14,300 | | | NA | | $ | 14,300 | | | $ | 2,865 | | | NA | | $ | 2,865 | | Net income | $ | 11,687 | | | NA | | $ | 11,687 | | | $ | 9,443 | | | NA | | $ | 9,443 | |
| Overhead ratio(a) | Overhead ratio(a) | 58 | % | | NM | | 57 | % | | 59 | % | | NM | | 58 | % | Overhead ratio(a) | 58 | % | | NM | | 56 | % | | 58 | % | | NM | | 56 | % |
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| Nine months ended September 30, |
| 2021 | | 2020 |
| (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 revenue | 53,682 | | | 2,241 | | | | 55,923 | | | 49,311 | | | 1,831 | | | | 51,142 | |
| Net interest income | 38,710 | | | 322 | | | | 39,032 | | | 41,305 | | | 321 | | | | 41,626 | |
| Total net revenue | 92,392 | | | 2,563 | | | | 94,955 | | | 90,616 | | | 2,152 | | | | 92,768 | |
| Total noninterest expense | 53,455 | | | NA | | | 53,455 | | | 50,608 | | | NA | | | 50,608 | |
| Pre-provision profit | 38,937 | | | 2,563 | | | | 41,500 | | | 40,008 | | | 2,152 | | | | 42,160 | |
| Provision for credit losses | (7,968) | | | NA | | | (7,968) | | | 19,369 | | | NA | | | 19,369 | |
| Income before income tax expense | 46,905 | | | 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 | |
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Overhead ratio(a) | 58 | % | | NM | | | 56 | % | | 56 | % | | NM | | | 55 | % |
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(a)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.
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 March 31, | |
(in millions, except rates) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | Change | |
(in millions, except rates) | 2021 | 2020 | | Change | | 2021 | 2020 | | Change |
| Net interest income – reported | Net interest income – reported | $ | 12,889 | | $ | 14,439 | | | (11) | % | | $ | 13,080 | | $ | 13,013 | | | 1 | % | | $ | 38,710 | | $ | 41,305 | | | (6) | % |
| Fully taxable-equivalent adjustments | Fully taxable-equivalent adjustments | 109 | | 110 | | | (1) | | | Fully taxable-equivalent adjustments | 104 | | 104 | | | — | | | 322 | | 321 | | | — | |
Net interest income – managed basis(a) | Net interest income – managed basis(a) | $ | 12,998 | | $ | 14,549 | | | (11) | | | 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) | 2,223 | | 1,596 | | | 39 | | | 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) | $ | 10,775 | | $ | 12,953 | | | (17) | | | Net interest income excluding CIB Markets(a) | $ | 11,217 | | $ | 11,041 | | | 2 | | | $ | 32,855 | | $ | 35,418 | | | (7) | |
| | Average interest-earning assets | Average interest-earning assets | $ | 3,126,569 | | $ | 2,465,549 | | | 27 | | | Average interest-earning assets | $ | 3,219,786 | | $ | 2,874,974 | | | 12 | | | $ | 3,174,858 | | $ | 2,720,636 | | | 17 | |
Less: Average CIB Markets interest-earning assets(b) | Less: Average CIB Markets interest-earning assets(b) | 866,591 | | 735,852 | | | 18 | | | Less: Average CIB Markets interest-earning assets(b) | 894,892 | | 730,141 | | | 23 | | | 881,547 | | 753,748 | | | 17 | |
| Average interest-earning assets excluding CIB Markets | Average interest-earning assets excluding CIB Markets | $ | 2,259,978 | | $ | 1,729,697 | | | 31 | % | | 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 basis | Net yield on average interest-earning assets – managed basis | 1.69 | % | 2.37 | % | | | Net yield on average interest-earning assets – managed basis | 1.62 | % | 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) | 1.04 | | 0.87 | | | | 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 Markets | Net yield on average interest-earning assets excluding CIB Markets | 1.93 | % | 3.01 | % | | | Net yield on average interest-earning assets excluding CIB Markets | 1.91 | % | 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 2633 for further information on CIB Markets.
The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
| | | | Period-end | | Average | | Period-end | | Average |
| (in millions, except per share and ratio data) | (in millions, except per share and ratio data) | Mar 31,
2021 | Dec 31,
2020 | | Three months ended March 31, | | (in millions, except per share and ratio data) | Sep 30,
2021 | Dec 31,
2020 | | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | Dec 31,
2020 | | 2021 | 2020 | | 2021 | 2020 |
| Common stockholders’ equity | Common stockholders’ equity | $ | 249,151 | | $ | 249,291 | | | $ | 245,542 | | $ | 234,530 | | | Common stockholders’ equity | $ | 255,203 | | | $ | 253,556 | | $ | 236,797 | | | $ | 250,011 | | $ | 235,251 | |
| Less: Goodwill | Less: Goodwill | 49,243 | | 49,248 | | | 49,249 | | 47,812 | | | Less: Goodwill | 50,313 | | 49,248 | | | 49,457 | | 47,820 | | | 49,323 | | 47,812 | |
| Less: Other intangible assets | Less: Other intangible assets | 875 | | 904 | | | 891 | | 812 | | | Less: Other intangible assets | 902 | | 904 | | | 849 | | 769 | | | 868 | | 791 | |
Add: Certain deferred tax liabilities(a) | Add: Certain deferred tax liabilities(a) | 2,457 | | 2,453 | | | 2,455 | | 2,385 | | | Add: Certain deferred tax liabilities(a) | 2,500 | | 2,453 | | | 2,480 | | 2,401 | | | 2,465 | | 2,393 | |
| Tangible common equity | Tangible common equity | $ | 201,490 | | $ | 201,592 | | | $ | 197,857 | | $ | 188,291 | | | Tangible common equity | $ | 206,488 | | $ | 201,592 | | | $ | 205,730 | | $ | 190,609 | | | $ | 202,285 | | $ | 189,041 | |
| | Return on tangible common equity | Return on tangible common equity | NA | NA | | 29 | % | 5 | % | | Return on tangible common equity | NA | NA | | 22 | % | 19 | % | | 24 | % | 11 | % |
| Tangible book value per share | Tangible book value per share | $ | 66.56 | | $ | 66.11 | | | NA | NA | | Tangible book value per share | $ | 69.87 | | $ | 66.11 | | | NA | NA | | NA | NA |
(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE.
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 16-1720-21 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 is 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.
Funds transfer pricing
Funds transfer pricing is the process by which the Firm allocates interest income and expense to each business segment and 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 segment 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 39,51, and page 98 of JPMorgan Chase’s 2020 Form 10-K for additional information on capital allocation.
Refer to Business Segment Results – Description of business segment reporting methodology on pages 65–66 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of those methodologies.
Segment results – managed basis
The following tables summarize the Firm’s results by segment for the periods indicated.
| | Three months ended March 31, | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking | |
| Three months ended September 30, | | Three months ended September 30, | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking |
| (in millions, except ratios) | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Total net revenue | Total net revenue | $ | 12,517 | | $ | 13,287 | (6)% | | $ | 14,605 | | $ | 10,003 | 46% | | $ | 2,393 | | $ | 2,165 | 11% | Total net revenue | $ | 12,521 | | $ | 12,895 | (3)% | | $ | 12,396 | | $ | 11,546 | 7% | | $ | 2,520 | | $ | 2,285 | 10% |
| Total noninterest expense | Total noninterest expense | 7,202 | | 7,269 | (1) | | 7,104 | | 5,955 | 19 | | 969 | | 986 | (2) | Total noninterest expense | 7,238 | | 6,912 | 5 | | 5,871 | | 5,832 | 1 | | 1,032 | | 969 | 7 |
| Pre-provision profit/(loss) | Pre-provision profit/(loss) | 5,315 | | 6,018 | (12) | | 7,501 | | 4,048 | 85 | | 1,424 | | 1,179 | 21 | Pre-provision profit/(loss) | 5,283 | | 5,983 | (12) | | 6,525 | | 5,714 | 14 | | 1,488 | | 1,316 | 13 |
| Provision for credit losses | Provision for credit losses | (3,602) | | 5,772 | NM | | (331) | | 1,401 | NM | | (118) | | 1,010 | NM | Provision for credit losses | (459) | | 795 | NM | | (638) | | (81) | NM | | (363) | | (147) |
| Net income/(loss) | Net income/(loss) | 6,728 | | 197 | NM | | 5,740 | | 1,985 | 189 | | 1,168 | | 139 | NM | Net income/(loss) | 4,341 | | 3,871 | 12 | | 5,562 | | 4,309 | 29 | | 1,407 | | 1,086 | 30 |
| Return on equity (“ROE”) | Return on equity (“ROE”) | 54 | % | 1% | | 27 | % | 9% | | 19 | % | 2% | | Return on equity (“ROE”) | 34% | 29% | | 26 | % | 21% | | 22 | % | 19% | |
| | Three months ended March 31, | Asset & Wealth Management | | Corporate | | Total | |
| Three months ended September 30, | | Three months ended September 30, | Asset & Wealth Management | | Corporate | | Total |
| (in millions, except ratios) | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Total net revenue | Total net revenue | $ | 4,077 | | $ | 3,389 | 20% | | $ | (473) | | $ | 166 | NM | | $ | 33,119 | | $ | 29,010 | 14% | Total net revenue | $ | 4,300 | | $ | 3,554 | 21% | | $ | (1,296) | | $ | (339) | (282)% | | $ | 30,441 | | $ | 29,941 | 2% |
| Total noninterest expense | Total noninterest expense | 2,574 | | 2,435 | 6 | | 876 | | 146 | 500 | | 18,725 | | 16,791 | 12 | Total noninterest expense | 2,762 | | 2,443 | 13 | | 160 | | 719 | (78) | | 17,063 | | 16,875 | 1 |
| Pre-provision profit/(loss) | Pre-provision profit/(loss) | 1,503 | | 954 | 58 | | (1,349) | | 20 | NM | | 14,394 | | 12,219 | 18 | Pre-provision profit/(loss) | 1,538 | | 1,111 | 38 | | (1,456) | | (1,058) | (38) | | 13,378 | | 13,066 | 2 |
| Provision for credit losses | Provision for credit losses | (121) | | 94 | NM | | 16 | | 8 | 100 | | (4,156) | | 8,285 | NM | Provision for credit losses | (60) | | (52) | (15) | | (7) | | 96 | NM | | (1,527) | | 611 | NM |
| Net income/(loss) | Net income/(loss) | 1,244 | | 669 | 86 | | (580) | | (125) | (364) | | 14,300 | | 2,865 | 399 | Net income/(loss) | 1,194 | | 876 | 36 | | (817) | | (699) | (17) | | 11,687 | | 9,443 | 24 |
| ROE | ROE | 35 | % | 25% | | NM | NM | | 23 | % | 4% | | ROE | 33 | % | 32% | | NM | NM | | 18 | % | 15% | |
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| Nine months ended September 30, | Consumer & Community Banking | | Corporate & Investment Bank | | Commercial Banking |
| (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Total net revenue | $ | 37,798 | | $ | 38,540 | (2)% | | $ | 40,215 | | $ | 37,932 | 6% | | $ | 7,396 | | $ | 6,850 | 8% |
| Total noninterest expense | 21,502 | | 20,948 | 3 | | 19,498 | | 18,599 | 5 | | 2,982 | | 2,848 | 5 |
| Pre-provision profit/(loss) | 16,296 | | 17,592 | (7) | | 20,717 | | 19,333 | 7 | | 4,414 | | 4,002 | 10 |
| Provision for credit losses | (5,929) | | 12,395 | NM | | (1,048) | | 3,307 | NM | | (858) | | 3,294 | NM |
| Net income/(loss) | 16,703 | | 3,892 | 329 | | 16,287 | | 11,745 | 39 | | 3,995 | | 544 | NM |
| ROE | 44% | 9% | | | 25% | 19% | | | 21 | % | 2% | |
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| Nine months ended September 30, | Asset & Wealth Management | | Corporate | | Total |
| (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Total net revenue | $ | 12,484 | | $ | 10,373 | 20% | | $ | (2,938) | | $ | (927) | (217)% | | $ | 94,955 | | $ | 92,768 | 2% |
| Total noninterest expense | 7,922 | | 7,201 | 10 | | 1,551 | | 1,012 | 53 | | 53,455 | | 50,608 | 6 |
| Pre-provision profit/(loss) | 4,562 | | 3,172 | 44 | | (4,489) | | (1,939) | (132) | | 41,500 | | 42,160 | (2) |
| Provision for credit losses | (191) | | 265 | NM | | 58 | | 108 | (46) | | (7,968) | | 19,369 | NM |
| Net income/(loss) | 3,591 | | 2,206 | 63 | | (2,641) | | (1,392) | (90) | | 37,935 | | 16,995 | 123 |
| ROE | 33 | % | 27% | | | NM | NM | | | 20 | % | 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 March 31,September 30, 2021 versus the corresponding periods in the prior year, unless otherwise specified.
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| CONSUMER & COMMUNITY BANKING |
Refer to pages 67–70 of JPMorgan Chase's 2020 Form 10-K and Line of Business Metrics on page 169191 for a further discussion of the business profile of CCB.
| | Selected income statement data | Selected income statement data | | | Selected income statement data | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except ratios) | (in millions, except ratios) | 2021 | | 2020 | | Change | | (in millions, except ratios) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Revenue | Revenue | | | Revenue | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | $ | 742 | | | $ | 972 | | | (24) | % | | Lending- and deposit-related fees | $ | 786 | | | $ | 771 | | | 2 | % | | $ | 2,281 | | | $ | 2,360 | | | (3) | % |
| Asset management, administration and commissions | Asset management, administration and commissions | 805 | | | 708 | | | 14 | | | Asset management, administration and commissions | 893 | | | 703 | | | 27 | | | 2,564 | | | 2,045 | | | 25 | |
| Mortgage fees and related income | Mortgage fees and related income | 703 | | | 320 | | | 120 | | | Mortgage fees and related income | 596 | | | 1,076 | | | (45) | | | 1,847 | | | 2,313 | | | (20) | |
| Card income | Card income | 999 | | | 652 | | | 53 | | | Card income | 651 | | | 826 | | | (21) | | | 2,888 | | | 2,145 | | | 35 | |
| All other income | All other income | 1,339 | | | 1,445 | | | (7) | | | All other income | 1,212 | | | 1,487 | | | (18) | | | 3,872 | | | 4,319 | | | (10) | |
| Noninterest revenue | Noninterest revenue | 4,588 | | | 4,097 | | | 12 | | | Noninterest revenue | 4,138 | | | 4,863 | | | (15) | | | 13,452 | | | 13,182 | | | 2 | |
| Net interest income | Net interest income | 7,929 | | | 9,190 | | | (14) | | | Net interest income | 8,383 | | | 8,032 | | | 4 | | | 24,346 | | | 25,358 | | | (4) | |
| Total net revenue | Total net revenue | 12,517 | | | 13,287 | | | (6) | | | Total net revenue | 12,521 | | | 12,895 | | | (3) | | | 37,798 | | | 38,540 | | | (2) | |
| | Provision for credit losses | Provision for credit losses | (3,602) | | | 5,772 | | | NM | | Provision for credit losses | (459) | | | 795 | | | NM | | (5,929) | | | 12,395 | | | NM |
| | Noninterest expense | Noninterest expense | | | Noninterest expense | |
| Compensation expense | Compensation expense | 2,976 | | | 2,782 | | | 7 | | | Compensation expense | 3,012 | | | 2,804 | | | 7 | | | 8,965 | | | 8,280 | | | 8 | |
Noncompensation expense(a) | Noncompensation expense(a) | 4,226 | | | 4,487 | | | (6) | | | Noncompensation expense(a) | 4,226 | | | 4,108 | | | 3 | | | 12,537 | | | 12,668 | | | (1) | |
| Total noninterest expense | Total noninterest expense | 7,202 | | | 7,269 | | | (1) | | | Total noninterest expense | 7,238 | | | 6,912 | | | 5 | | | 21,502 | | | 20,948 | | | 3 | |
| Income before income tax expense | Income before income tax expense | 8,917 | | | 246 | | | NM | | Income before income tax expense | 5,742 | | | 5,188 | | | 11 | | | 22,225 | | | 5,197 | | | 328 | |
| Income tax expense | Income tax expense | 2,189 | | | 49 | | | NM | | Income tax expense | 1,401 | | | 1,317 | | | 6 | | | 5,522 | | | 1,305 | | | 323 | |
| Net income | Net income | $ | 6,728 | | | $ | 197 | | | NM | | Net income | $ | 4,341 | | | $ | 3,871 | | | 12 | | | $ | 16,703 | | | $ | 3,892 | | | 329 | |
| | Revenue by line of business | Revenue by line of business | | | Revenue by line of business | |
| Consumer & Business Banking | Consumer & Business Banking | $ | 5,635 | | | $ | 6,266 | | | (10) | | | Consumer & Business Banking | $ | 6,157 | | | $ | 5,697 | | | 8 | | | $ | 17,808 | | | $ | 17,211 | | | 3 | |
| Home Lending | Home Lending | 1,458 | | | 1,161 | | | 26 | | | Home Lending | 1,400 | | | 1,714 | | | (18) | | | 4,207 | | | 4,562 | | | (8) | |
| Card & Auto | Card & Auto | 5,424 | | | 5,860 | | | (7) | | | Card & Auto | 4,964 | | | 5,484 | | | (9) | | | 15,783 | | | 16,767 | | | (6) | |
| | Mortgage fees and related income details: | Mortgage fees and related income details: | | | Mortgage fees and related income details: | |
| Production revenue | Production revenue | 757 | | | 319 | | | 137 | | | Production revenue | 614 | | | 765 | | | (20) | | | 1,888 | | | 1,826 | | | 3 | |
Net mortgage servicing revenue(b) | Net mortgage servicing revenue(b) | (54) | | | 1 | | | NM | | Net mortgage servicing revenue(b) | (18) | | | 311 | | | NM | | (41) | | | 487 | | | NM |
| Mortgage fees and related income | Mortgage fees and related income | $ | 703 | | | $ | 320 | | | 120 | % | | Mortgage fees and related income | $ | 596 | | | $ | 1,076 | | | (45) | % | | $ | 1,847 | | | $ | 2,313 | | | (20) | % |
| | Financial ratios | Financial ratios | | | Financial ratios | |
| Return on equity | Return on equity | 54 | % | | 1 | % | | | Return on equity | 34 | % | | 29 | % | | 44 | % | | 9 | % | |
| Overhead ratio | Overhead ratio | 58 | | 55 | | | Overhead ratio | 58 | | | 54 | | | 57 | | | 54 | | |
(a)Included depreciation expense on leased assets of $916$769 million and $1.1$1.0 billion for the three months ended March 31,September 30, 2021 and 2020, respectively, and $2.5 billion and $3.2 billion for the nine months ended September 30, 2021 and 2020, respectively.
(b)Included MSR risk management results of $(115)$(145) million and $(90)$145 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $(363) million and $134 million for the nine months ended September 30, 2021 and 2020, respectively.
Quarterly results
Net income was $6.7$4.3 billion, up $6.5 billion,12%, driven by a decrease in the provision for credit losses.
Net revenue was $12.5 billion, a decrease of 6%3%.
Net interest income was $7.9$8.4 billion, down 14%up 4%, driven by:
•the impact of deposit margin compression in CBB, lower loans in Card due to the cumulative impact of lower spend throughout 2020 and higher payment rates, and lower loans in Home Lending due to net paydowns,
partially offset by
•growth in deposits in CBB.
Noninterest revenue was $4.6 billion, up 12%, driven by:
•higher mortgage production revenue reflecting higher production margins and volumes, and
•higher card incomenet of margin compression as well as the impacts from PPP including the accelerated recognition of deferred processing fees due to loan forgiveness in CBB, lower acquisitionprepayments in Home Lending, higher auto loans, and lower funding costs and higher net interchange income, with debit and credit card sales volume returning to pre-pandemic levels,in Card,
partially offset by
•lower deposit-related fees givenrevolving loans in Card due to the impact of higher deposits heldpayments and lower cumulative sales volume throughout 2020.
Noninterest revenue was $4.1 billion, down 15%, driven by:
•lower net mortgage servicing revenue reflecting a net loss in existingMSR 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 new accounts,credit card sales volume was offset by an increase to the rewards liability, and
•lower auto lease volume.mortgage production revenue reflecting the net impact of lower production margins and higher volumes,
partially offset by
•higher asset management fees related to the higher level of client investment assets on higher average market levels and net inflows.
Refer to Note 14 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 $7.2 billion, relatively flat, reflecting:up 5%, driven by:
•continued investments in the business, including marketing expense reflecting increases in marketing campaigns and travel-related benefits,
•higher investments inexpense reflecting growth across the businessbusinesses, including performance-related compensation,
partially offset by
•lower structural expenses, and
•lower volume- and revenue-related expense, including lower depreciation onfrom lower auto lease assets.assets and the impact of higher vehicle collateral values.
The provision for credit losses was a net benefit of $3.6 billion,$459 million, compared with an expense of $5.8 billion$795 million in the prior year, driven by:
•a $4.6 billion$950 million reduction in the allowance for credit losses, primarily reflecting improvements in the Firm'sFirm’s macroeconomic scenarios,outlook consisting of $3.5 billion$850 million in Card $625and $100 million in Home Lending, primarily due to the continued improvement in HPI expectations and to a lesser extent portfolio run-off, $350 million in CBB, and $150 million in Auto, and
•lower net charge-offs predominantly in Card, reflecting lower charge-offs and higher recoveries primarilyas consumer cash balances remained elevated benefiting from the residual impact of government stimulus and payment assistance and government stimulus.programs.
The prior year included a $4.5 billion net addition to$300 million reduction in the allowance for credit losses.
Refer to Credit and Investment Risk Management on pages 47-6559-77 and Allowance for Credit Losses on pages 63–6475-76 for further discussions of the credit portfolios and the allowance for credit losses.
Year-to-date results
Net income was $16.7 billion, up $12.8 billion, driven by a decrease in the provision for credit losses.
Net revenue was $37.8 billion, a decrease of 2%.
Net interest income was $24.3 billion, down 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 and growth in CBB,
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 card income due to higher net interchange income reflecting the acceleration of debit and credit 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 from lower auto lease assets and the 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 in the prior year, driven by:
•an $8.2 billion reduction in the allowance for credit losses, driven by improvements in the Firm’s macroeconomic outlook, consisting of $6.2 billion in Card, $1.2 billion in Home Lending, primarily due to continued improvements in HPI expectations, $575 million in CBB and $225 million in Auto, 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 $8.7 billion addition to the allowance for credit losses.
| | Selected metrics | Selected metrics | | | | Selected metrics | | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in millions, except headcount) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Selected balance sheet data (period-end) | Selected balance sheet data (period-end) | | | Selected balance sheet data (period-end) | |
| Total assets | Total assets | $ | 487,978 | | | $ | 513,352 | | | (5) | % | | Total assets | $ | 493,169 | | | $ | 487,063 | | | 1 | % | | $ | 493,169 | | | $ | 487,063 | | | 1 | % |
| Loans: | Loans: | | | Loans: | |
| Consumer & Business Banking | 52,654 | | (c) | 30,004 | | | 75 | | | |
Consumer & Business Banking(a) | | Consumer & Business Banking(a) | 40,659 | | | 49,646 | | | (18) | | | 40,659 | | | 49,646 | | | (18) | |
Home Lending(a)(b) | Home Lending(a)(b) | 178,776 | | | 205,318 | | | (13) | | | Home Lending(a)(b) | 179,489 | | | 188,561 | | | (5) | | | 179,489 | | | 188,561 | | | (5) | |
| Card | Card | 132,493 | | | 154,021 | | | (14) | | | Card | 143,166 | | | 140,377 | | | 2 | | | 143,166 | | | 140,377 | | | 2 | |
| Auto | Auto | 67,662 | | | 61,468 | | | 10 | | | Auto | 68,391 | | | 62,304 | | | 10 | | | 68,391 | | | 62,304 | | | 10 | |
| Total loans | Total loans | 431,585 | | | 450,811 | | | (4) | | | Total loans | 431,705 | | | 440,888 | | | (2) | | | 431,705 | | | 440,888 | | | (2) | |
| Deposits | Deposits | 1,037,903 | | | 783,398 | | | 32 | | | Deposits | 1,093,852 | | | 909,198 | | | 20 | | | 1,093,852 | | | 909,198 | | | 20 | |
| Equity | Equity | 50,000 | | | 52,000 | | | (4) | | | Equity | 50,000 | | | 52,000 | | | (4) | | | 50,000 | | | 52,000 | | | (4) | |
| Selected balance sheet data (average) | Selected balance sheet data (average) | | | Selected balance sheet data (average) | |
| Total assets | Total assets | $ | 484,524 | | | $ | 525,695 | | | (8) | | | Total assets | $ | 491,512 | | | $ | 490,094 | | | — | | | $ | 487,107 | | | $ | 506,726 | | | (4) | |
| Loans: | Loans: | | | Loans: | |
| Consumer & Business Banking | Consumer & Business Banking | 49,868 | | | 29,570 | | | 69 | | | Consumer & Business Banking | 43,256 | | | 49,596 | | | (13) | | | 47,469 | | | 40,901 | | | 16 | |
Home Lending(b)(c) | Home Lending(b)(c) | 182,247 | | | 211,333 | | | (14) | | | Home Lending(b)(c) | 181,150 | | | 192,172 | | | (6) | | | 180,276 | | | 200,980 | | | (10) | |
| Card | Card | 134,884 | | | 162,660 | | | (17) | | | Card | 141,950 | | | 140,386 | | | 1 | | | 137,687 | | | 148,445 | | | (7) | |
| Auto | Auto | 66,960 | | | 60,893 | | | 10 | | | Auto | 67,785 | | | 60,345 | | | 12 | | | 67,313 | | | 60,514 | | | 11 | |
| Total loans | Total loans | 433,959 | | | 464,456 | | | (7) | | | Total loans | 434,141 | | | 442,499 | | | (2) | | | 432,745 | | | 450,840 | | | (4) | |
| Deposits | Deposits | 979,686 | | | 739,709 | | | 32 | | | Deposits | 1,076,323 | | | 895,535 | | | 20 | | | 1,034,947 | | | 825,493 | | | 25 | |
| Equity | Equity | 50,000 | | | 52,000 | | | (4) | | | Equity | 50,000 | | | 52,000 | | | (4) | | | 50,000 | | | 52,000 | | | (4) | |
| | Headcount | Headcount | 126,084 | | | 124,609 | | | 1 | % | | Headcount | 126,586 | | | 122,905 | | | 3 | % | | 126,586 | | | 122,905 | | | 3 | % |
(a)At March 31,September 30, 2021 and 2020, included $11.1 billion and $20.3 billionof loans, respectively, in Business Banking under the PPP. Refer to Credit Portfolio on page 60 for a further discussion of the PPP.
(b)At September 30, 2021 and 2020, Home Lending loans held-for-sale and loans at fair value were $13.2$14.5 billion and $10.8$10.0 billion, respectively.
(b)(c)Average Home Lending loans held-for sale and loans at fair value were $12.5$17.1 billion and $15.8$9.2 billion for the three months ended March 31,September 30, 2021 and 2020, respectively, and $14.6 billion and $11.2 billion for the nine months ended September 30, 2021 and 2020, respectively.
(c)At March 31, 2021, included $23.4 billion of loans in Business Banking under the PPP. Refer to Credit Portfolio on page 47 for a further discussion of the PPP.
| | Selected metrics | Selected metrics | | | Selected metrics | | | | | | | |
| | As of or for the three months
ended March 31, | | | 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) | (in millions, except ratio data) | 2021 | | 2020 | | Change | | (in millions, except ratio data) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Credit data and quality statistics | Credit data and quality statistics | | | Credit data and quality statistics | | | | | |
Nonaccrual loans(a)(c) | Nonaccrual loans(a)(c) | $ | 5,672 | | (c) | $ | 4,022 | | | 41 | % | | Nonaccrual loans(a)(c) | $ | 5,000 | | | $ | 5,144 | | | (3) | % | | $ | 5,000 | | | $ | 5,144 | | | (3) | % |
| | Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | | | Net charge-offs/(recoveries) | | | | | |
| Consumer & Business Banking | Consumer & Business Banking | 65 | | | 74 | | | (12) | | | Consumer & Business Banking | 66 | | | 54 | | | 22 | | | 203 | | | 188 | | | 8 | |
| Home Lending | Home Lending | (51) | | | (122) | | | 58 | | | Home Lending | (74) | | | 8 | | | NM | | (204) | | | (119) | | | (71) | |
| Card | Card | 983 | | | 1,313 | | | (25) | | | Card | 495 | | | 1,028 | | | (52) | | | 2,233 | | | 3,519 | | | (37) | |
| Auto | Auto | 26 | | | 48 | | | (46) | | | Auto | 4 | | | 5 | | | (20) | | | 14 | | | 98 | | | (86) | |
| Total net charge-offs/(recoveries) | Total net charge-offs/(recoveries) | $ | 1,023 | | | $ | 1,313 | | | (22) | | | Total net charge-offs/(recoveries) | $ | 491 | | | $ | 1,095 | | | (55) | | | $ | 2,246 | | | $ | 3,686 | | | (39) | |
| | Net charge-off/(recovery) rate | Net charge-off/(recovery) rate | | | Net charge-off/(recovery) rate | | | | | |
| Consumer & Business Banking | 0.53 | % | (d) | 1.01 | % | | | |
Consumer & Business Banking(d) | | Consumer & Business Banking(d) | 0.61 | % | | 0.43 | % | | | 0.57 | % | | 0.61 | % | | |
| Home Lending | Home Lending | (0.12) | | (0.25) | | | Home Lending | (0.18) | | 0.02 | | | (0.16) | | | (0.08) | | |
| Card | Card | 2.97 | | | 3.25 | | | Card | 1.39 | | | 2.92 | | | 2.18 | | | 3.17 | | |
| Auto | Auto | 0.16 | | | 0.32 | | | Auto | 0.02 | | | 0.03 | | | 0.03 | | | 0.22 | | |
| Total net charge-off/(recovery) rate | Total net charge-off/(recovery) rate | 0.99 | % | | 1.18 | % | | | Total net charge-off/(recovery) rate | 0.47 | % | | 1.01 | % | | | 0.72 | % | | 1.12 | % | | |
| 30+ day delinquency rate | 30+ day delinquency rate | | | 30+ day delinquency rate | | | | | |
Home Lending(b)(f) | Home Lending(b)(f) | 1.07 | % | (e) | 1.48 | % | | | Home Lending(b)(f) | 1.06 | % | | 1.62 | % | | | 1.06 | % | | 1.62 | % | | |
| Card | Card | 1.40 | | (e) | 1.96 | | | | Card | 1.00 | | | 1.57 | | | | 1.00 | | | 1.57 | | | |
| Auto | Auto | 0.42 | | (e) | 0.89 | | | | Auto | 0.46 | | | 0.54 | | | | 0.46 | | | 0.54 | | | |
| 90+ day delinquency rate - Card | 90+ day delinquency rate - Card | 0.80 | % | (e) | 1.02 | % | | | 90+ day delinquency rate - Card | 0.49 | % | | 0.69 | % | | | 0.49 | % | | 0.69 | % | | |
| | Allowance for loan losses | Allowance for loan losses | | | Allowance for loan losses | | | | | |
| Consumer & Business Banking | Consumer & Business Banking | $ | 1,022 | | | $ | 884 | | | 16 | | | Consumer & Business Banking | $ | 797 | | | $ | 1,372 | | | (42) | | | $ | 797 | | | $ | 1,372 | | | (42) | |
| Home Lending | Home Lending | 1,238 | | | 2,137 | | | (42) | | | Home Lending | 630 | | | 2,685 | | | (77) | | | 630 | | | 2,685 | | | (77) | |
| Card | Card | 14,300 | | | 14,950 | | | (4) | | | Card | 11,650 | | | 17,800 | | | (35) | | | 11,650 | | | 17,800 | | | (35) | |
| Auto | Auto | 892 | | | 732 | | | 22 | | | Auto | 813 | | | 1,044 | | | (22) | | | 813 | | | 1,044 | | | (22) | |
| Total allowance for loan losses | Total allowance for loan losses | $ | 17,452 | | | $ | 18,703 | | | (7) | % | | Total allowance for loan losses | $ | 13,890 | | | $ | 22,901 | | | (39) | % | | $ | 13,890 | | | $ | 22,901 | | | (39) | % |
(a)At March 31,September 30, 2021 and 2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $458$355 million and $616$851 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)At March 31, 2021 and 2020, excluded mortgage loans insured by U.S. government agencies of $557 million and $1.0 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(c)Generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic. Refer to Consumer Credit Portfolio on pages 48-5261-65 for further information on consumer payment assistance activity. The first quarter of 2021 includesIncludes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which arewere considered collateral-dependent. Collateral-dependent loans are charged downcollateral-dependent at time of exit.
(c)Prior-period amount has been revised to conform with the lower of amortized cost or fair value of the underlying collateral less costs to sell.current presentation.
(d)At March 31,September 30, 2021 and 2020, included $23.4$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 page 4760 for a further discussion of the PPP.
(e)At March 31,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 $8.1as follows: (1) $3.1 billion $105and $10.2 billion in Home Lending, respectively; (2) $53 million and $127$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 48-5261-65 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.
| | Selected metrics | Selected metrics | | | Selected metrics | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in billions, except ratios and where otherwise noted) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Business Metrics | Business Metrics | | | Business Metrics | |
| | Number of branches | Number of branches | 4,872 | | | 4,967 | | | (2) | % | | Number of branches | 4,854 | | | 4,960 | | | (2) | % | | 4,854 | | | 4,960 | | | (2) | % |
Active digital customers (in thousands)(a) | Active digital customers (in thousands)(a) | 56,671 | | | 53,833 | | | 5 | | | 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) | 41,872 | | | 38,256 | | | 9 | | | Active mobile customers (in thousands)(b) | 44,333 | | | 40,164 | | | 10 | | | 44,333 | | | 40,164 | | | 10 | |
| Debit and credit card sales volume | Debit and credit card sales volume | $ | 290.3 | | | $ | 266.0 | | | 9 | | | Debit and credit card sales volume | $ | 349.9 | | | $ | 278.2 | | | 26 | | | $ | 984.5 | | | $ | 781.8 | | | 26 | |
| | Consumer & Business Banking | Consumer & Business Banking | | | Consumer & Business Banking | |
| Average deposits | Average deposits | $ | 960.7 | | | $ | 725.0 | | | 33 | | | Average deposits | $ | 1,056.3 | | | $ | 874.3 | | | 21 | | | $ | 1,015.5 | | | $ | 807.2 | | | 26 | |
| Deposit margin | Deposit margin | 1.29 | % | | 2.05 | % | | | Deposit margin | 1.29 | % | | 1.43 | % | | 1.29 | % | | 1.64 | % | |
Business banking origination volume | Business banking origination volume | $ | 10.0 | | (f) | $ | 1.5 | | | NM | | Business banking origination volume | $ | 0.8 | | | $ | 1.4 | | | (38) | | | $ | 13.1 | | | $ | 25.9 | | | (50) | |
Client investment assets(c)(d) | Client investment assets(c)(d) | 637.0 | | | 442.6 | | | 44 | | | Client investment assets(c)(d) | 681.5 | | | 529.2 | | | 29 | | | 681.5 | | | 529.2 | | | 29 | |
| Number of client advisors | Number of client advisors | 4,500 | | 4,291 | | 5 | | | Number of client advisors | 4,689 | | 4,290 | | 9 | | | 4,689 | | 4,290 | | 9 | |
| | Home Lending | Home Lending | | | Home Lending | |
| Mortgage origination volume by channel | Mortgage origination volume by channel | | | Mortgage origination volume by channel | |
| Retail | Retail | $ | 23.0 | | | $ | 14.1 | | | 63 | | | Retail | $ | 23.7 | | | $ | 20.7 | | | 14 | | | $ | 69.4 | | | $ | 52.8 | | | 31 | |
| Correspondent | Correspondent | 16.3 | | | 14.0 | | | 16 | | | Correspondent | 17.9 | | | 8.3 | | | 116 | | | 51.1 | | | 28.5 | | | 79 | |
Total mortgage origination volume(d)(e) | Total mortgage origination volume(d)(e) | $ | 39.3 | | | $ | 28.1 | | | 40 | | | Total mortgage origination volume(d)(e) | $ | 41.6 | | | $ | 29.0 | | | 43 | | | $ | 120.5 | | | $ | 81.3 | | | 48 | |
| | | Third-party mortgage loans serviced (period-end) | Third-party mortgage loans serviced (period-end) | 443.2 | | | 505.0 | | | (12) | | | 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) | 4.5 | | | 3.3 | | | 36 | | | 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) | 1.02 | % | | 0.65 | % | | | 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(e)(f) | MSR revenue multiple(e)(f) | 3.78 | x | | 2.10 | x | | | MSR revenue multiple(e)(f) | 3.85 | x | | 2.28 | x | | 3.85 | x | | 2.28 | x | |
| | Credit Card | Credit Card | | | Credit Card | |
| Credit card sales volume, excluding Commercial Card | Credit card sales volume, excluding Commercial Card | $ | 183.7 | | | $ | 179.1 | | | 3 | | | Credit card sales volume, excluding Commercial Card | $ | 232.0 | | | $ | 178.1 | | | 30 | | | $ | 639.4 | | | $ | 505.7 | | | 26 | |
| Net revenue rate | Net revenue rate | 11.53 | % | | 10.54 | % | | | Net revenue rate | 9.74 | % | | 10.96 | % | | 10.84 | % | | 10.82 | % | |
| | Auto | Auto | | | Auto | |
| Loan and lease origination volume | Loan and lease origination volume | $ | 11.2 | | | $ | 8.3 | | | 35 | | | Loan and lease origination volume | $ | 11.5 | | | $ | 11.4 | | | 1 | | | $ | 35.1 | | | $ | 27.4 | | | 28 | |
| Average auto operating lease assets | Average auto operating lease assets | 20.3 | | | 23.1 | | | (12) | % | | Average auto operating lease assets | 18.8 | | | 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)Included origination volume under the PPP of $396 million for the three months ended September 30, 2020 and $10.6 billion and $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 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 30-3239-43 for additional information.
(d)(e)Firmwide mortgage origination volume was $43.2$46.1 billion and $31.9$36.2 billion for the three months ended March 31,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.
(e)(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).
(f)Included $9.3 billion of origination volume under the PPP for the three months ended March 31, 2021. Refer to Credit Portfolio on page 47 for a further discussion of the PPP.
| | | | | | | | | | | | | | |
| CORPORATE & INVESTMENT BANK |
Refer to pages 71–76 of JPMorgan Chase’s 2020 Form 10-K and Line of Business Metrics on page 169191 for a further discussion of the business profile of CIB.
| | Selected income statement data | Selected income statement data | | | Selected income statement data | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except ratios) | (in millions, except ratios) | 2021 | | 2020 | | Change | | (in millions, except ratios) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Revenue | Revenue | | | Revenue | |
| Investment banking fees | Investment banking fees | $ | 2,988 | | | $ | 1,907 | | | 57 | % | | Investment banking fees | $ | 3,297 | | | $ | 2,165 | | | 52 | % | | $ | 9,857 | | | $ | 6,919 | | | 42 | % |
| Principal transactions | Principal transactions | 6,045 | | | 3,188 | | | 90 | | | Principal transactions | 3,577 | | | 3,990 | | | (10) | | | 13,648 | | | 14,578 | | | (6) | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | 593 | | | 450 | | | 32 | | | Lending- and deposit-related fees | 634 | | | 546 | | | 16 | | | 1,860 | | | 1,496 | | | 24 | |
| Asset management, administration and commissions | Asset management, administration and commissions | 1,286 | | | 1,261 | | | 2 | | | Asset management, administration and commissions | 1,240 | | | 1,086 | | | 14 | | | 3,772 | | | 3,495 | | | 8 | |
| All other income | All other income | 176 | | | 90 | | | 96 | | | All other income | 313 | | | 331 | | | (5) | | | 924 | | | 830 | | | 11 | |
| Noninterest revenue | Noninterest revenue | 11,088 | | | 6,896 | | | 61 | | | Noninterest revenue | 9,061 | | | 8,118 | | | 12 | | | 30,061 | | | 27,318 | | | 10 | |
| Net interest income | Net interest income | 3,517 | | | 3,107 | | | 13 | | | Net interest income | 3,335 | | | 3,428 | | | (3) | | | 10,154 | | | 10,614 | | | (4) | |
Total net revenue(a) | Total net revenue(a) | 14,605 | | | 10,003 | | | 46 | | | Total net revenue(a) | 12,396 | | | 11,546 | | | 7 | | | 40,215 | | | 37,932 | | | 6 | |
| | Provision for credit losses | Provision for credit losses | (331) | | | 1,401 | | | NM | | Provision for credit losses | (638) | | | (81) | | | NM | | (1,048) | | | 3,307 | | | NM |
| | Noninterest expense | Noninterest expense | | | Noninterest expense | |
| Compensation expense | Compensation expense | 4,329 | | | 3,006 | | | 44 | | | Compensation expense | 2,827 | | | 2,651 | | | 7 | | | 10,738 | | | 9,654 | | | 11 | |
| Noncompensation expense | Noncompensation expense | 2,775 | | | 2,949 | | | (6) | | | Noncompensation expense | 3,044 | | | 3,181 | | | (4) | | | 8,760 | | | 8,945 | | | (2) | |
| Total noninterest expense | Total noninterest expense | 7,104 | | | 5,955 | | | 19 | | | Total noninterest expense | 5,871 | | | 5,832 | | | 1 | | | 19,498 | | | 18,599 | | | 5 | |
| Income before income tax expense | Income before income tax expense | 7,832 | | | 2,647 | | | 196 | | | Income before income tax expense | 7,163 | | | 5,795 | | | 24 | | | 21,765 | | | 16,026 | | | 36 | |
| Income tax expense | Income tax expense | 2,092 | | | 662 | | | 216 | | | Income tax expense | 1,601 | | | 1,486 | | | 8 | | | 5,478 | | | 4,281 | | | 28 | |
| Net income | Net income | $ | 5,740 | | | $ | 1,985 | | | 189 | % | | Net income | $ | 5,562 | | | $ | 4,309 | | | 29 | % | | $ | 16,287 | | | $ | 11,745 | | | 39 | % |
| Financial ratios | Financial ratios | | | Financial ratios | |
| Return on equity | Return on equity | 27 | % | | 9 | % | | | Return on equity | 26 | % | | 21 | % | | 25 | % | | 19 | % | |
| Overhead ratio | Overhead ratio | 49 | | | 60 | | | | Overhead ratio | 47 | | | 51 | | | 48 | | | 49 | | |
| Compensation expense as percentage of total net revenue | Compensation expense as percentage of total net revenue | 30 | | | 30 | | | | Compensation expense as percentage of total net revenue | 23 | | | 23 | | | 27 | | | 25 | | |
(a)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 $703$641 million and $573$533 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $2.1 billion and $1.7 billion for the nine months ended September 30, 2021 and 2020, respectively. 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 | Selected income statement data | | | Selected income statement data | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Revenue by business | Revenue by business | | | Revenue by business | |
| Investment Banking | Investment Banking | $ | 2,851 | | | $ | 886 | | | 222 | % | | Investment Banking | $ | 3,025 | | | $ | 2,087 | | | 45 | % | | $ | 9,300 | | | $ | 6,374 | | | 46 | % |
| Wholesale Payments | Wholesale Payments | 1,392 | | | 1,414 | | | (2) | | | Wholesale Payments | 1,624 | | | 1,332 | | | 22 | | | 4,469 | | | 4,133 | | | 8 | |
| Lending | Lending | 265 | | | 350 | | | (24) | | | Lending | 244 | | | 333 | | | (27) | | | 738 | | | 953 | | | (23) | |
| Total Banking | Total Banking | 4,508 | | | 2,650 | | | 70 | | | Total Banking | 4,893 | | | 3,752 | | | 30 | | | 14,507 | | | 11,460 | | | 27 | |
| Fixed Income Markets | Fixed Income Markets | 5,761 | | | 4,993 | | | 15 | | | Fixed Income Markets | 3,672 | | | 4,597 | | | (20) | | | 13,531 | | | 16,928 | | | (20) | |
| Equity Markets | Equity Markets | 3,289 | | | 2,237 | | | 47 | | | Equity Markets | 2,597 | | | 1,999 | | | 30 | | | 8,575 | | | 6,616 | | | 30 | |
| Securities Services | Securities Services | 1,050 | | | 1,074 | | | (2) | | | Securities Services | 1,126 | | | 1,029 | | | 9 | | | 3,264 | | | 3,200 | | | 2 | |
Credit Adjustments & Other(a) | Credit Adjustments & Other(a) | (3) | | | (951) | | | 100 | | | Credit Adjustments & Other(a) | 108 | | | 169 | | | (36) | | | 338 | | | (272) | | | NM |
| Total Markets & Securities Services | Total Markets & Securities Services | 10,097 | | | 7,353 | | | 37 | | | Total Markets & Securities Services | 7,503 | | | 7,794 | | | (4) | | | 25,708 | | | 26,472 | | | (3) | |
| Total net revenue | Total net revenue | $ | 14,605 | | | $ | 10,003 | | | 46 | % | | 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.
Quarterly results
Net income was $5.7$5.6 billion, up 189%.29% and includes a net benefit in the provision for credit losses.
Net revenue was $14.6$12.4 billion, up 46%7%.
Banking revenue was $4.5$4.9 billion, up 70%30%.
•Investment Banking revenue was $2.9$3.0 billion, up 222%45%, driven by higher Investment Banking fees, up 57%52%, reflecting higher advisory and equity underwriting fees.
–Advisory fees were $1.2 billion, up 187%, driven by increased M&A activity and wallet 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 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, and the absence of prior year markdowns on held-for-sale positions in the bridge financing portfolio.products. The Firm ranked #2#1 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 $1.1$3.2 billion, up 219%54%, largely driven by increased activity and wallet share gains in the IPO market due to increased industry-wide fees.market.
–Debt underwriting fees were $1.3$3.9 billion, up 17%16%, predominantly driven by high yield bonds andan active leveraged loans due to increased industry-wide fees and wallet share gains.
–Advisory fees were $680 million, up 35%, driven by a higher number of completed transactions, in partloan market primarily related to transactions announced in the second half of 2020.acquisition financing.
•Wholesale Payments revenue was $1.4$4.5 billion, down 2%up 8% and included gains on equity investments. Excluding these gains, revenue was $4.3 billion, up 4%, driven by higher deposit balances and fees, largely offset by deposit margin compression, predominantly offset by the impact of higher deposit balances.compression.
•Lending revenue was $265$738 million, down 24%23%, predominantly driven by fair value gains on hedges of accrual loans in the prior year.lower net interest income, partially offset by higher loan commitment fees.
Markets & Securities Services revenue was $10.1$25.7 billion, up 37%down 3%. Markets revenue was $9.1$22.1 billion, up 25%down 6%.
•Fixed Income Markets revenue was $5.8$13.5 billion, up 15%down 20%, predominantly driven by strong performance in Securitized Products and Credit, largely offset by lower
revenue in Rates, and Currencies & Emerging Markets, Fixed Income Financing and Commodities compared to a strong prior year.year, partially offset by higher revenue in Securitized Products.
•Equity Markets revenue was $3.3$8.6 billion, up 47%30%, driven by strong performance across derivatives, prime brokerage, and Cash Equities, and prime brokerage.Equities.
•Securities Services revenue was $1.1$3.3 billion, downup 2%, with deposit margin compression largelygrowth in deposits and fees, predominantly offset by deposit balance growth.margin compression.
•Credit Adjustments & Other was a gain of $338 million largely driven by valuation adjustments related to derivatives. The prior year loss of $3$272 million compared with a loss of $951 million in the prior year which 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 $7.1$19.5 billion, up 19%5%, predominantly driven by higher volume- and revenue-related expense, largely performance-related compensation, as well as higher structural expense, partially offset by lower legal expense.
The provision for credit losses was a net benefit of $331 million,$1.0 billion, driven by a net reduction in the allowance for credit losses, compared with an expense of $1.4$3.3 billion in the prior year.
Refer to Credit and Investment Risk Management on pages 47-65 and Allowance for Credit Losses on pages 63–64 for further discussions of the credit portfolios and the allowance for credit losses.
| | Selected metrics | Selected metrics | | | Selected metrics | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in millions, except headcount) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Selected balance sheet data (period-end) | Selected balance sheet data (period-end) | | | Selected balance sheet data (period-end) | |
Total assets(a) | Total assets(a) | $ | 1,355,123 | | | $ | 1,216,558 | | | 11 | % | | Total assets(a) | $ | 1,355,752 | | | $ | 1,088,282 | | | 25 | % | | $ | 1,355,752 | | | $ | 1,088,282 | | | 25 | % |
| Loans: | Loans: | | | Loans: | |
Loans retained(b) | Loans retained(b) | 134,134 | | | 165,376 | | | (19) | | | Loans retained(b) | 151,211 | | | 126,841 | | | 19 | | | 151,211 | | | 126,841 | | | 19 | |
Loans held-for-sale and loans at fair value(c) | Loans held-for-sale and loans at fair value(c) | 45,846 | | | 34,644 | | | 32 | | | Loans held-for-sale and loans at fair value(c) | 52,436 | | | 33,046 | | | 59 | | | 52,436 | | | 33,046 | | | 59 | |
| Total loans | Total loans | 179,980 | | | 200,020 | | | (10) | | | Total loans | 203,647 | | | 159,887 | | | 27 | | | 203,647 | | | 159,887 | | | 27 | |
| Equity | Equity | 83,000 | | | 80,000 | | | 4 | | | Equity | 83,000 | | | 80,000 | | | 4 | | | 83,000 | | | 80,000 | | | 4 | |
| Selected balance sheet data (average) | Selected balance sheet data (average) | | | Selected balance sheet data (average) | |
Total assets(a) | Total assets(a) | $ | 1,293,864 | | | $ | 1,081,912 | | | 20 | | | Total assets(a) | $ | 1,331,240 | | | $ | 1,099,618 | | | 21 | | | $ | 1,332,244 | | | $ | 1,116,072 | | | 19 | |
Trading assets-debt and equity instruments | Trading assets-debt and equity instruments | 464,692 | | | 398,504 | | | 17 | | | Trading assets-debt and equity instruments | 442,623 | | | 430,149 | | | 3 | | | 461,728 | | | 417,686 | | | 11 | |
Trading assets-derivative receivables | Trading assets-derivative receivables | 77,735 | | | 55,133 | | | 41 | | | Trading assets-derivative receivables | 64,730 | | | 73,978 | | | (13) | | | 69,159 | | | 67,858 | | | 2 | |
| Loans: | Loans: | | | Loans: | |
Loans retained(b) | Loans retained(b) | $ | 136,794 | | | $ | 128,838 | | | 6 | | | Loans retained(b) | $ | 149,826 | | | $ | 131,187 | | | 14 | | | $ | 142,286 | | | $ | 137,996 | | | 3 | |
Loans held-for-sale and loans at fair value(c) | Loans held-for-sale and loans at fair value(c) | 45,671 | | | 35,211 | | | 30 | | | Loans held-for-sale and loans at fair value(c) | 53,712 | | | 30,205 | | | 78 | | | 50,616 | | | 32,974 | | | 54 | |
| Total loans | Total loans | $ | 182,465 | | | $ | 164,049 | | | 11 | | | Total loans | $ | 203,538 | | | $ | 161,392 | | | 26 | | | $ | 192,902 | | | $ | 170,970 | | | 13 | |
| Equity | Equity | 83,000 | | | 80,000 | | | 4 | | | Equity | 83,000 | | | 80,000 | | | 4 | | | 83,000 | | | 80,000 | | | 4 | |
Headcount | Headcount | 62,772 | | | 60,245 | | | 4 | % | | Headcount | 66,267 | | | 61,830 | | | 7 | % | | 66,267 | | | 61,830 | | | 7 | % |
(a)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
(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.
(c)Loans held-for-sale and loans at fair value primarily reflect lending related positions originated and purchased in CIB Markets, including loans held for securitization.
(e)During the six months ended June 30, 2021, 1,155 technology and risk management employees were transferred from Corporate to CIB.
| | Selected metrics | Selected metrics | | | | Selected metrics | | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in millions, except ratios) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Credit data and quality statistics | Credit data and quality statistics | | | Credit data and quality statistics | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | $ | (7) | | | $ | 55 | | | NM | | Net charge-offs/(recoveries) | $ | 2 | | | $ | 23 | | | (91) | % | | $ | (17) | | | $ | 282 | | | NM |
| Nonperforming assets: | Nonperforming assets: | | | Nonperforming assets: | |
| Nonaccrual loans: | Nonaccrual loans: | | | Nonaccrual loans: | |
Nonaccrual loans retained(a) | Nonaccrual loans retained(a) | $ | 842 | | | $ | 689 | | | 22 | % | | Nonaccrual loans retained(a) | $ | 547 | | | $ | 1,178 | | | (54) | | | $ | 547 | | | $ | 1,178 | | | (54) | |
Nonaccrual loans held-for-sale and loans at fair value(b) | Nonaccrual loans held-for-sale and loans at fair value(b) | 1,266 | | | 766 | | | 65 | | | Nonaccrual loans held-for-sale and loans at fair value(b) | 1,234 | | | 2,111 | | | (42) | | | 1,234 | | | 2,111 | | | (42) | |
| Total nonaccrual loans | Total nonaccrual loans | 2,108 | | | 1,455 | | | 45 | | | Total nonaccrual loans | 1,781 | | | 3,289 | | | (46) | | | 1,781 | | | 3,289 | | | (46) | |
| Derivative receivables | Derivative receivables | 284 | | | 85 | | | 234 | | | Derivative receivables | 393 | | | 140 | | | 181 | | | 393 | | | 140 | | | 181 | |
| Assets acquired in loan satisfactions | Assets acquired in loan satisfactions | 97 | | | 43 | | | 126 | | | Assets acquired in loan satisfactions | 95 | | | 88 | | | 8 | | | 95 | | | 88 | | | 8 | |
| Total nonperforming assets | Total nonperforming assets | $ | 2,489 | | | $ | 1,583 | | | 57 | | | Total nonperforming assets | $ | 2,269 | | | $ | 3,517 | | | (35) | | | $ | 2,269 | | | $ | 3,517 | | | (35) | |
| Allowance for credit losses: | Allowance for credit losses: | | | Allowance for credit losses: | |
Allowance for loan losses | Allowance for loan losses | $ | 1,982 | | | $ | 1,422 | | | 39 | | | Allowance for loan losses | $ | 1,442 | | | $ | 2,863 | | | (50) | | | $ | 1,442 | | | $ | 2,863 | | | (50) | |
Allowance for lending-related commitments | Allowance for lending-related commitments | 1,602 | | | 1,468 | | | 9 | | | Allowance for lending-related commitments | 1,426 | | | 1,706 | | | (16) | | | 1,426 | | | 1,706 | | | (16) | |
| Total allowance for credit losses | Total allowance for credit losses | $ | 3,584 | | | $ | 2,890 | | | 24 | % | | Total allowance for credit losses | $ | 2,868 | | | $ | 4,569 | | | (37) | % | | $ | 2,868 | | | $ | 4,569 | | | (37) | % |
Net charge-off/(recovery) rate(c)(d) | Net charge-off/(recovery) rate(c)(d) | (0.02) | % | | 0.17 | % | | | Net charge-off/(recovery) rate(c)(d) | 0.01 | % | | 0.07 | % | | (0.02) | % | | 0.27 | % | |
Allowance for loan losses to period-end loans retained | Allowance for loan losses to period-end loans retained | 1.48 | | | 0.86 | | | | Allowance for loan losses to period-end loans retained | 0.95 | | | 2.26 | | | 0.95 | | | 2.26 | | |
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(d)(e) | Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(d)(e) | 2.06 | | | 1.11 | | | | Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(d)(e) | 1.29 | | | 3.15 | | | 1.29 | | | 3.15 | | |
Allowance for loan losses to nonaccrual loans retained(a)(c) | Allowance for loan losses to nonaccrual loans retained(a)(c) | 235 | | | 206 | | | | Allowance for loan losses to nonaccrual loans retained(a)(c) | 264 | | | 243 | | | 264 | | | 243 | | |
| Nonaccrual loans to total period-end loans | Nonaccrual loans to total period-end loans | 1.17 | % | | 0.73 | % | | | Nonaccrual loans to total period-end loans | 0.87 | % | | 2.06 | % | | 0.87 | % | | 2.06 | % | |
(a)Allowance for loan losses of $174$138 million and $317$320 million were held against these nonaccrual loans at March 31,September 30, 2021 and 2020, respectively.
(b)At March 31,September 30, 2021 and 2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $340$289 million and $124$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.
(d)(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.
| | Investment banking fees | Investment banking fees | | | Investment banking fees | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Advisory | Advisory | $ | 680 | | | $ | 503 | | | 35 | % | | Advisory | $ | 1,228 | | | $ | 428 | | | 187 | % | | $ | 2,824 | | | $ | 1,533 | | | 84 | % |
| Equity underwriting | Equity underwriting | 1,056 | | | 331 | | | 219 | | | Equity underwriting | 1,032 | | | 732 | | | 41 | | | 3,151 | | | 2,040 | | | 54 | |
Debt underwriting(a) | Debt underwriting(a) | 1,252 | | | 1,073 | | | 17 | | | Debt underwriting(a) | 1,037 | | | 1,005 | | | 3 | | | 3,882 | | | 3,346 | | | 16 | |
| Total investment banking fees | Total investment banking fees | $ | 2,988 | | | $ | 1,907 | | | 57 | % | | 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 share | League table results – wallet share | | | | | League table results – wallet share | | | | |
| | Three months ended March 31, | | | Full-year 2020 | | Three months ended September 30, | | Nine months ended September 30, | | Full-year 2020 |
| | 2021 | | 2020 | | | | 2021 | | 2020 | | 2021 | | 2020 | Full-year 2020 |
| | Rank | | Share | | Rank | | Share | | | Rank | | Share | | Rank | | Share | | Rank | | Share | | Rank | | Share | | Rank | | Rank | | Share |
Based on fees(a) | Based on fees(a) | | | | Based on fees(a) | |
M&A(b) | M&A(b) | | | | M&A(b) | |
| Global | Global | # | 2 | | | 9.0 | % | | # | 2 | | | 8.3 | % | | | # | 2 | | | 9.1 | % | Global | # | 2 | | | 9.9 | % | | # | 2 | | | 9.0 | % | | # | 2 | | | 9.5 | % | | # | 2 | | | 9.0 | % | | # | 2 | | | 9.0 | % |
| U.S. | U.S. | 2 | | | 9.6 | | | 2 | | | 9.0 | | | | 2 | | | 9.4 | | 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) | |
| Global | Global | 4 | | | 7.7 | | | 2 | | | 8.7 | | | | 2 | | | 8.7 | | Global | 2 | | | 9.5 | | | 3 | | | 8.1 | | | 2 | | | 9.3 | | | 2 | | | 9.8 | | | 2 | | | 8.9 | |
| U.S. | U.S. | 4 | | | 8.4 | | | 2 | | | 12.1 | | | | 2 | | | 11.2 | | 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) | |
| Global | Global | 1 | | | 9.0 | | | 1 | | | 8.9 | | | | 1 | | | 8.9 | | Global | 2 | | | 7.0 | | | 1 | | | 8.3 | | | 1 | | | 8.5 | | | 1 | | | 9.0 | | | 1 | | | 8.8 | |
| U.S. | U.S. | 1 | | | 11.9 | | | 2 | | | 12.4 | | | | 1 | | | 12.8 | | U.S. | 2 | | | 9.1 | | | 1 | | | 11.9 | | | 1 | | | 12.0 | | | 1 | | | 12.7 | | | 1 | | | 12.8 | |
| Loan syndications | Loan syndications | | | | Loan syndications | |
| Global | Global | 1 | | | 13.9 | | | 1 | | | 10.5 | | | | 1 | | | 11.1 | | Global | 2 | | | 7.6 | | | 1 | | | 14.2 | | | 1 | | | 11.0 | | | 1 | | | 11.3 | | | 1 | | | 11.1 | |
| U.S. | U.S. | 1 | | | 16.6 | | | 1 | | | 10.1 | | | | 1 | | | 11.6 | | 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) | # | 2 | | | 9.0 | % | | # | 1 | | | 8.9 | % | | | # | 1 | | | 9.1 | % | 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 AprilOctober 1, 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 securities.
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 5 and 6 for a description of the composition of these income statement line items. Refer to Markets revenue on page 74 of JPMorgan Chase’s 2020 Form 10-K for further information.
For the periods presented below, the predominant source of principal transactions revenue was the amount recognized upon executing new transactions.
| | | Three months ended March 31, | | Three months ended March 31, | | Three months ended September 30, | | Three months ended September 30, |
| | 2021 | | 2020 | | 2021 | | 2020 |
(in millions) |
(in millions) | Fixed Income Markets | Equity
Markets | Total
Markets | | Fixed Income Markets | Equity
Markets | Total
Markets |
(in millions) | Fixed Income Markets | Equity
Markets | Total
Markets | | Fixed Income Markets | Equity
Markets | Total
Markets |
| Principal transactions | Principal transactions | $ | 3,564 | | $ | 2,482 | | $ | 6,046 | | | $ | 3,143 | | $ | 1,723 | | $ | 4,866 | | Principal transactions | $ | 1,624 | | $ | 1,864 | | $ | 3,488 | | | $ | 2,411 | | $ | 1,402 | | $ | 3,813 | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | 69 | | 4 | | 73 | | | 47 | | 2 | | 49 | | Lending- and deposit-related fees | 83 | | 4 | | 87 | | | 62 | | 3 | | 65 | |
| Asset management, administration and commissions | Asset management, administration and commissions | 129 | | 544 | | 673 | | | 111 | | 608 | | 719 | | Asset management, administration and commissions | 127 | | 467 | | 594 | | | 100 | | 437 | | 537 | |
| All other income | All other income | 66 | | (31) | | 35 | | | 1 | | (1) | | — | | All other income | 173 | | (40) | | 133 | | | 138 | | (33) | | 105 | |
| Noninterest revenue | Noninterest revenue | 3,828 | | 2,999 | | 6,827 | | | 3,302 | | 2,332 | | 5,634 | | Noninterest revenue | 2,007 | | 2,295 | | 4,302 | | | 2,711 | | 1,809 | | 4,520 | |
| Net interest income | Net interest income | 1,933 | | 290 | | 2,223 | | | 1,691 | | (95) | | 1,596 | | Net interest income | 1,665 | | 302 | | 1,967 | | | 1,886 | | 190 | | 2,076 | |
| Total net revenue | Total net revenue | $ | 5,761 | | $ | 3,289 | | $ | 9,050 | | | $ | 4,993 | | $ | 2,237 | | $ | 7,230 | | 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, |
| | | 2021 | | 2020 |
|
(in millions) | |
(in millions) | Fixed Income Markets | Equity
Markets | Total
Markets | | Fixed Income Markets | Equity
Markets | Total
Markets |
| Principal transactions | | Principal transactions | $ | 7,113 | | $ | 6,225 | | $ | 13,338 | | | $ | 10,205 | | $ | 4,862 | | $ | 15,067 | |
| Lending- and deposit-related fees | | Lending- and deposit-related fees | 234 | | 12 | | 246 | | | 157 | | 7 | | 164 | |
| Asset management, administration and commissions | | Asset management, administration and commissions | 377 | | 1,496 | | 1,873 | | | 304 | | 1,542 | | 1,846 | |
| All other income | | All other income | 532 | | (60) | | 472 | | | 315 | | (56) | | 259 | |
| Noninterest revenue | | Noninterest revenue | 8,256 | | 7,673 | | 15,929 | | | 10,981 | | 6,355 | | 17,336 | |
| Net interest income | | Net interest income | 5,275 | | 902 | | 6,177 | | | 5,947 | | 261 | | 6,208 | |
| Total net revenue | | Total net revenue | $ | 13,531 | | $ | 8,575 | | $ | 22,106 | | | $ | 16,928 | | $ | 6,616 | | $ | 23,544 | |
| | Selected metrics | Selected metrics | | | | Selected metrics | | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in millions, except where otherwise noted) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
Assets under custody (“AUC”) by asset class (period-end) (in billions): | Assets under custody (“AUC”) by asset class (period-end) (in billions): | | | Assets under custody (“AUC”) by asset class (period-end) (in billions): | |
| Fixed Income | Fixed Income | $ | 15,552 | | | $ | 13,572 | | | 15 | % | | Fixed Income | $ | 15,799 | | | $ | 15,360 | | | 3 | % | | $ | 15,799 | | | $ | 15,360 | | | 3 | % |
| Equity | Equity | 12,006 | | | 7,819 | | | 54 | | | Equity | 12,276 | | | 9,914 | | | 24 | | | 12,276 | | | 9,914 | | | 24 | |
Other(a) | Other(a) | 3,693 | | | 3,018 | | | 22 | | | Other(a) | 3,887 | | | 3,354 | | | 16 | | | 3,887 | | | 3,354 | | | 16 | |
| Total AUC | Total AUC | $ | 31,251 | | | $ | 24,409 | | | 28 | | | Total AUC | $ | 31,962 | | | $ | 28,628 | | | 12 | | | $ | 31,962 | | | $ | 28,628 | | | 12 | |
Merchant processing volume (in billions)(b) | Merchant processing volume (in billions)(b) | $ | 425.7 | | | $ | 374.8 | | | 14 | | | 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) | Client deposits and other third-party liabilities (average)(c) | $ | 705,764 | | | $ | 514,464 | | | 37 | % | | 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.
| | International metrics | International metrics | | | | International metrics | | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | Change | | (in millions, except where
otherwise noted) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
Total net revenue(a) | Total net revenue(a) | | | Total net revenue(a) | |
| Europe/Middle East/Africa | Europe/Middle East/Africa | $ | 4,060 | | | $ | 2,591 | | | 57 | % | | Europe/Middle East/Africa | $ | 3,201 | | | $ | 3,126 | | | 2 | % | | $ | 11,045 | | | $ | 10,694 | | | 3 | % |
| Asia-Pacific | Asia-Pacific | 2,261 | | | 1,776 | | | 27 | | | Asia-Pacific | 1,973 | | | 1,909 | | | 3 | | | 6,026 | | | 5,881 | | | 2 | |
| Latin America/Caribbean | Latin America/Caribbean | 494 | | | 507 | | | (3) | | | Latin America/Caribbean | 526 | | | 423 | | | 24 | | | 1,480 | | | 1,517 | | | (2) | |
| Total international net revenue | Total international net revenue | 6,815 | | | 4,874 | | | 40 | | | Total international net revenue | 5,700 | | | 5,458 | | | 4 | | | 18,551 | | | 18,092 | | | 3 | |
| North America | North America | 7,790 | | | 5,129 | | | 52 | | | North America | 6,696 | | | 6,088 | | | 10 | | | 21,664 | | | 19,840 | | | 9 | |
| Total net revenue | Total net revenue | $ | 14,605 | | | $ | 10,003 | | | 46 | | | Total net revenue | $ | 12,396 | | | $ | 11,546 | | | 7 | | | $ | 40,215 | | | $ | 37,932 | | | 6 | |
| Loans retained (period-end)(a) | Loans retained (period-end)(a) | | | Loans retained (period-end)(a) | |
| Europe/Middle East/Africa | Europe/Middle East/Africa | $ | 28,624 | | | $ | 31,607 | | | (9) | | | Europe/Middle East/Africa | $ | 32,922 | | | $ | 26,945 | | | 22 | | | $ | 32,922 | | | $ | 26,945 | | | 22 | |
| Asia-Pacific | Asia-Pacific | 13,944 | | | 16,667 | | | (16) | | | Asia-Pacific | 14,544 | | | 12,734 | | | 14 | | | 14,544 | | | 12,734 | | | 14 | |
| Latin America/Caribbean | Latin America/Caribbean | 5,518 | | | 8,129 | | | (32) | | | Latin America/Caribbean | 6,495 | | | 6,306 | | | 3 | | | 6,495 | | | 6,306 | | | 3 | |
| Total international loans | Total international loans | 48,086 | | | 56,403 | | | (15) | | | Total international loans | 53,961 | | | 45,985 | | | 17 | | | 53,961 | | | 45,985 | | | 17 | |
| North America | North America | 86,048 | | | 108,973 | | | (21) | | | North America | 97,250 | | | 80,856 | | | 20 | | | 97,250 | | | 80,856 | | | 20 | |
| Total loans retained | Total loans retained | $ | 134,134 | | | $ | 165,376 | | | (19) | | | Total loans retained | $ | 151,211 | | | $ | 126,841 | | | 19 | | | $ | 151,211 | | | $ | 126,841 | | | 19 | |
| Client deposits and other third-party liabilities (average)(b) | Client deposits and other third-party liabilities (average)(b) | | | Client deposits and other third-party liabilities (average)(b) | |
| Europe/Middle East/Africa | Europe/Middle East/Africa | $ | 234,795 | | | $ | 190,976 | | | 23 | | | Europe/Middle East/Africa | $ | 245,895 | | | $ | 212,635 | | | 16 | | | $ | 243,279 | | | $ | 206,629 | | | 18 | |
| Asia-Pacific | Asia-Pacific | 131,761 | | | 103,792 | | | 27 | | | Asia-Pacific | 131,110 | | | 128,519 | | | 2 | | | 131,836 | | | 119,417 | | | 10 | |
| Latin America/Caribbean | Latin America/Caribbean | 43,927 | | | 30,849 | | | 42 | | | Latin America/Caribbean | 47,374 | | | 39,674 | | | 19 | | | 46,607 | | | 35,638 | | | 31 | |
| Total international | Total international | $ | 410,483 | | | $ | 325,617 | | | 26 | | | Total international | $ | 424,379 | | | $ | 380,828 | | | 11 | | | $ | 421,722 | | | $ | 361,684 | | | 17 | |
| North America | North America | 295,281 | | | 188,847 | | | 56 | | | North America | 289,997 | | | 254,133 | | | 14 | | | 292,317 | | | 224,271 | | | 30 | |
| Total client deposits and other third-party liabilities | Total client deposits and other third-party liabilities | $ | 705,764 | | | $ | 514,464 | | | 37 | | | Total client deposits and other third-party liabilities | $ | 714,376 | | | $ | 634,961 | | | 13 | | | $ | 714,039 | | | $ | 585,955 | | | 22 | |
| AUC (period-end)(b) (in billions) | AUC (period-end)(b) (in billions) | | | AUC (period-end)(b) (in billions) | |
| North America | North America | $ | 20,244 | | | $ | 15,590 | | | 30 | | | North America | $ | 20,792 | | | $ | 18,534 | | | 12 | | | $ | 20,792 | | | $ | 18,534 | | | 12 | |
| All other regions | All other regions | 11,007 | | | 8,819 | | | 25 | | | All other regions | 11,170 | | | 10,094 | | | 11 | | | 11,170 | | | 10,094 | | | 11 | |
| Total AUC | Total AUC | $ | 31,251 | | | $ | 24,409 | | | 28 | % | | 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.
Refer to pages 77–79 of JPMorgan Chase’s 2020 Form 10-K and Line of Business Metrics on page 170192 for a discussion of the business profile of CB.
| | Selected income statement data | Selected income statement data | | Selected income statement data | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Revenue | Revenue | | | | | | | Revenue | | | | | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | $ | 331 | | | $ | 261 | | | 27 | % | | Lending- and deposit-related fees | $ | 355 | | | $ | 304 | | | 17 | % | | $ | 1,036 | | | $ | 862 | | | 20 | % |
| | All other income | All other income | 586 | | | 347 | | | 69 | | | All other income | 633 | | | 457 | | | 39 | | | 1,819 | | | 1,330 | | | 37 | |
| Noninterest revenue | Noninterest revenue | 917 | | | 608 | | | 51 | | | Noninterest revenue | 988 | | | 761 | | | 30 | | | 2,855 | | | 2,192 | | | 30 | |
| Net interest income | Net interest income | 1,476 | | | 1,557 | | | (5) | | | Net interest income | 1,532 | | | 1,524 | | | 1 | | | 4,541 | | | 4,658 | | | (3) | |
Total net revenue(a) | Total net revenue(a) | 2,393 | | | 2,165 | | | 11 | | | Total net revenue(a) | 2,520 | | | 2,285 | | | 10 | | | 7,396 | | | 6,850 | | | 8 | |
| | Provision for credit losses | Provision for credit losses | (118) | | | 1,010 | | | NM | | Provision for credit losses | (363) | | | (147) | | | (147) | | | (858) | | | 3,294 | | | NM |
| | Noninterest expense | Noninterest expense | | | | | | | Noninterest expense | | | | | |
| Compensation expense | Compensation expense | 482 | | | 472 | | | 2 | | | Compensation expense | 511 | | | 492 | | | 4 | | | 1,477 | | | 1,394 | | | 6 | |
| Noncompensation expense | Noncompensation expense | 487 | | | 514 | | | (5) | | | Noncompensation expense | 521 | | | 477 | | | 9 | | | 1,505 | | | 1,454 | | | 4 | |
| | Total noninterest expense | Total noninterest expense | 969 | | | 986 | | | (2) | | | Total noninterest expense | 1,032 | | | 969 | | | 7 | | | 2,982 | | | 2,848 | | | 5 | |
| | Income before income tax expense | Income before income tax expense | 1,542 | | | 169 | | | NM | | Income before income tax expense | 1,851 | | | 1,463 | | | 27 | | | 5,272 | | | 708 | | | NM |
| Income tax expense | Income tax expense | 374 | | | 30 | | | NM | | Income tax expense | 444 | | | 377 | | | 18 | | | 1,277 | | | 164 | | | NM |
| Net income | Net income | $ | 1,168 | | | $ | 139 | | | NM | | Net income | $ | 1,407 | | | $ | 1,086 | | | 30 | % | | $ | 3,995 | | | $ | 544 | | | NM |
(a)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 $73$80 million and $81$82 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $231 million and $243 million for the nine months ended September 30, 2021 and 2020, respectively.
| | Selected income statement data (continued) | Selected income statement data (continued) | | Selected income statement data (continued) | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except ratios) | (in millions, except ratios) | 2021 | | 2020 | | Change | | (in millions, except ratios) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Revenue by product | Revenue by product | | | Revenue by product | | | | | |
| Lending | Lending | $ | 1,168 | | | $ | 954 | | | 22 | % | | Lending | $ | 1,138 | | | $ | 1,138 | | | — | % | | $ | 3,478 | | | $ | 3,219 | | | 8 | % |
| Wholesale payments | Wholesale payments | 843 | | | 978 | | | (14) | | | Wholesale payments | 947 | | | 867 | | | 9 | | | 2,704 | | | 2,770 | | | (2) | |
Investment banking(a) | Investment banking(a) | 350 | | | 235 | | | 49 | | | Investment banking(a) | 416 | | | 260 | | | 60 | | | 1,136 | | | 751 | | | 51 | |
| Other | Other | 32 | | | (2) | | | NM | | Other | 19 | | | 20 | | | (5) | | | 78 | | | 110 | | | (29) | |
| Total Commercial Banking net revenue | $ | 2,393 | | | $ | 2,165 | | | 11 | | | |
| Total net revenue | | Total net revenue | $ | 2,520 | | | $ | 2,285 | | | 10 | | | $ | 7,396 | | | $ | 6,850 | | | 8 | |
| Investment banking revenue, gross(b) | Investment banking revenue, gross(b) | $ | 1,129 | | | $ | 686 | | | 65 | | | Investment banking revenue, gross(b) | $ | 1,343 | | | $ | 840 | | | 60 | | | $ | 3,636 | | | $ | 2,377 | | | 53 | |
| | Revenue by client segments | Revenue by client segments | | | Revenue by client segments | | | | | |
| Middle Market Banking | Middle Market Banking | $ | 916 | | | $ | 943 | | | (3) | | | Middle Market Banking | $ | 1,017 | | | $ | 880 | | | 16 | | | $ | 2,942 | | | $ | 2,693 | | | 9 | |
| Corporate Client Banking | Corporate Client Banking | 851 | | | 673 | | | 26 | | | Corporate Client Banking | 878 | | | 808 | | | 9 | | | 2,580 | | | 2,347 | | | 10 | |
| Commercial Real Estate Banking | Commercial Real Estate Banking | 604 | | | 541 | | | 12 | | | Commercial Real Estate Banking | 602 | | | 576 | | | 5 | | | 1,805 | | | 1,683 | | | 7 | |
| | Other | Other | 22 | | | 8 | | | 175 | | | Other | 23 | | | 21 | | | 10 | | | 69 | | | 127 | | | (46) | |
| Total Commercial Banking net revenue | $ | 2,393 | | | $ | 2,165 | | | 11 | % | | |
| Total net revenue | | Total net revenue | $ | 2,520 | | | $ | 2,285 | | | 10 | % | | $ | 7,396 | | | $ | 6,850 | | | 8 | % |
| | Financial ratios | Financial ratios | | | Financial ratios | | | | | |
| Return on equity | Return on equity | 19 | % | | 2 | % | | | Return on equity | 22 | % | | 19 | % | | | 21 | % | | 2 | % | |
| Overhead ratio | Overhead ratio | 40 | | | 46 | | | | Overhead ratio | 41 | | | 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 1822 for discussion of revenue sharing.
Quarterly results
Net income was $1.2$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 $2.4$7.4 billion, up 11%8%. Net interest income was $1.5$4.5 billion, down 5%3%, driven by deposit margin compression, predominantly offset by the impact of lower funding costs on loans and higher deposit balances and lending revenue due to increased portfolio spreads.balances. Noninterest revenue was $917 million,$2.9 billion, up 51%30%, predominantly driven by higher investment banking revenue the absence of prior year markdowns in the bridge financing portfolio, and higher deposit-related fees, particularly cash management fees.wholesale payments revenue.
Noninterest expense was $969 million, down 2%$3.0 billion, up 5%, driven by lower structuralhigher investments in the business and higher volume- and revenue-related expense.
The provision for credit losses was a net benefit of $118$858 million, driven by a net reduction in the allowance for credit losses, compared with an expense of $1.0$3.3 billion in the prior year.
| | Selected metrics | Selected metrics | | | Selected metrics | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | Change | | (in millions, except headcount) | 2021 | | 2020 | Change | | 2021 | | 2020 | Change |
| Selected balance sheet data (period-end) | Selected balance sheet data (period-end) | | | Selected balance sheet data (period-end) | |
| Total assets | Total assets | $ | 223,583 | | | $ | 247,786 | | (10) | % | | Total assets | $ | 227,670 | | | $ | 228,583 | | — | % | | $ | 227,670 | | | $ | 228,583 | | — | % |
| Loans: | Loans: | | | Loans: | |
| Loans retained | Loans retained | 202,975 | | | 232,254 | | (13) | | | Loans retained | 201,283 | | | 214,352 | | (6) | | | 201,283 | | | 214,352 | | (6) | |
| Loans held-for-sale and loans at fair value | Loans held-for-sale and loans at fair value | 2,884 | | | 1,112 | | 159 | | | Loans held-for-sale and loans at fair value | 3,412 | | | 349 | | NM | | 3,412 | | | 349 | | NM |
| Total loans | Total loans | $ | 205,859 | | | $ | 233,366 | | (12) | | | Total loans | $ | 204,695 | | | $ | 214,701 | | (5) | | | $ | 204,695 | | | $ | 214,701 | | (5) | |
| Equity | Equity | 24,000 | | | 22,000 | | 9 | | | Equity | 24,000 | | | 22,000 | | 9 | | | 24,000 | | | 22,000 | | 9 | |
| | Period-end loans by client segment | Period-end loans by client segment | | | Period-end loans by client segment | |
| Middle Market Banking | $ | 59,983 | | (a) | $ | 60,317 | | (1) | | | |
Middle Market Banking(a) | | Middle Market Banking(a) | $ | 58,918 | | | $ | 61,812 | | (5) | | | $ | 58,918 | |
| $ | 61,812 | | (5) | |
| Corporate Client Banking | Corporate Client Banking | 45,540 | | | 69,540 | | (35) | | | Corporate Client Banking | 45,107 | | | 49,857 | | (10) | | | 45,107 | | | 49,857 | | (10) | |
| Commercial Real Estate Banking | Commercial Real Estate Banking | 100,035 | | | 102,799 | | (3) | | | Commercial Real Estate Banking | 100,458 | | | 102,484 | | (2) | | | 100,458 | | | 102,484 | | (2) | |
| | Other | Other | 301 | | | 710 | | (58) | | | Other | 212 | | | 548 | | (61) | | | 212 | | | 548 | | (61) | |
| Total Commercial Banking loans | $ | 205,859 | | (a) | $ | 233,366 | | (12) | | | |
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 assets | Total assets | $ | 225,574 | | | $ | 226,071 | | — | | | Total assets | $ | 222,760 | | | $ | 231,691 | | (4) | | | $ | 224,955 | | | $ | 235,079 | | (4) | |
| Loans: | Loans: | | | Loans: | |
| Loans retained | Loans retained | 204,164 | | | 209,988 | | (3) | | | Loans retained | 199,789 | | | 217,498 | | (8) | | | 202,002 | | | 220,167 | | (8) | |
| Loans held-for-sale and loans at fair value | Loans held-for-sale and loans at fair value | 2,578 | | | 1,831 | | 41 | | | Loans held-for-sale and loans at fair value | 2,790 | | | 629 | | 344 | | | 2,840 | | | 986 | | 188 | |
| Total loans | Total loans | $ | 206,742 | | | $ | 211,819 | | (2) | | | Total loans | $ | 202,579 | | | $ | 218,127 | | (7) | | | $ | 204,842 | | | $ | 221,153 | | (7) | |
| | Average loans by client segment | Average loans by client segment | | | Average loans by client segment | |
| Middle Market Banking | Middle Market Banking | $ | 60,011 | | | $ | 56,045 | | 7 | | | Middle Market Banking | $ | 59,032 | | | $ | 63,029 | | (6) | | | $ | 60,243 | | | $ | 61,789 | | (3) | |
| Corporate Client Banking | Corporate Client Banking | 45,719 | | | 53,032 | | (14) | | | Corporate Client Banking | 43,330 | | | 51,608 | | (16) | | | 44,154 | | | 55,967 | | (21) | |
| Commercial Real Estate Banking | Commercial Real Estate Banking | 100,661 | | | 101,526 | | (1) | | | Commercial Real Estate Banking | 100,120 | | | 102,905 | | (3) | | | 100,213 | | | 102,650 | | (2) | |
| | Other | Other | 351 | | | 1,216 | | (71) | | | Other | 97 | | | 585 | | (83) | | | 232 | | | 747 | | (69) | |
| Total Commercial Banking loans | $ | 206,742 | | | $ | 211,819 | | (2) | | | |
| Total loans | | Total loans | $ | 202,579 | | | $ | 218,127 | | (7) | | | $ | 204,842 | | | $ | 221,153 | | (7) | |
| | Client deposits and other third-party liabilities | Client deposits and other third-party liabilities | $ | 290,992 | | | $ | 188,808 | | 54 | | | Client deposits and other third-party liabilities | $ | 300,595 | | | $ | 248,289 | | 21 | | | $ | 293,981 | | | $ | 224,774 | | 31 | |
| Equity | Equity | 24,000 | | | 22,000 | | 9 | | | Equity | 24,000 | | | 22,000 | | 9 | | | 24,000 | | | 22,000 | | 9 | |
| | Headcount | Headcount | 11,748 | | | 11,779 | | — | % | | Headcount | 12,584 | | | 11,704 | | 8 | % | | 12,584 | | | 11,704 | | 8 | % |
(a)At March 31,September 30, 2021 and 2020, total loans included $7.4$2.0 billion and $6.6 billion of loans, respectively, under the PPP, of which $7.2$1.9 billion and $6.4 billion were in Middle Market Banking.Banking, respectively. Refer to Credit Portfolio on page 4760 for a further discussion of the PPP.
| | Selected metrics (continued) | Selected metrics (continued) | | | Selected metrics (continued) | | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | 2020 | Change | | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | | 2020 | | Change |
| Credit data and quality statistics | Credit data and quality statistics | | | Credit data and quality statistics | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | $ | 29 | | $ | 100 | | (71) | % | | Net charge-offs/(recoveries) | $ | 31 | | $ | 60 | | (48) | % | | $ | 63 | | | $ | 239 | | | (74) | % |
| Nonperforming assets | Nonperforming assets | | | Nonperforming assets | |
| Nonaccrual loans: | Nonaccrual loans: | | | Nonaccrual loans: | |
Nonaccrual loans retained(a)(b) | Nonaccrual loans retained(a)(b) | $ | 1,134 | | $ | 793 | | 43 | % | | Nonaccrual loans retained(a)(b) | $ | 735 | | $ | 1,468 | | (50) | % | | $ | 735 | | | $ | 1,468 | | | (50) | % |
Nonaccrual loans held-for-sale and loans at fair value | Nonaccrual loans held-for-sale and loans at fair value | — | | — | | — | | | Nonaccrual loans held-for-sale and loans at fair value | — | | 85 | | NM | | — | | | 85 | | | NM |
| Total nonaccrual loans | Total nonaccrual loans | $ | 1,134 | | $ | 793 | | 43 | | | Total nonaccrual loans | $ | 735 | | $ | 1,553 | | (53) | | | $ | 735 | | | $ | 1,553 | | | (53) | |
| | Assets acquired in loan satisfactions | Assets acquired in loan satisfactions | 24 | | 24 | | — | | | Assets acquired in loan satisfactions | 16 | | 24 | | (33) | | | 16 | | | 24 | | | (33) | |
| Total nonperforming assets | Total nonperforming assets | $ | 1,158 | | $ | 817 | | 42 | | | 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 | Allowance for loan losses | $ | 3,086 | | $ | 2,680 | | 15 | | | Allowance for loan losses | $ | 2,354 | | $ | 4,466 | | (47) | | | $ | 2,354 | | | $ | 4,466 | | | (47) | |
Allowance for lending-related commitments | Allowance for lending-related commitments | 753 | | 505 | | 49 | | | Allowance for lending-related commitments | 711 | | 864 | | (18) | | | 711 | | | 864 | | | (18) | |
| Total allowance for credit losses | Total allowance for credit losses | $ | 3,839 | | $ | 3,185 | | 21 | % | | 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) | 0.06 | % | 0.19 | % | | | Net charge-off/(recovery) rate(b)(c) | 0.06 | % | 0.11 | % | | 0.04 | % | | 0.15 | % | |
Allowance for loan losses to period-end loans retained | Allowance for loan losses to period-end loans retained | 1.52 | | 1.15 | | | | Allowance for loan losses to period-end loans retained | 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) | 272 | | 338 | | | | Allowance for loan losses to nonaccrual loans retained(a)(b) | 320 | | 304 | | | 320 | | | 304 | | |
| Nonaccrual loans to period-end total loans | Nonaccrual loans to period-end total loans | 0.55 | | 0.34 | | | | Nonaccrual loans to period-end total loans | 0.36 | | 0.72 | | | 0.36 | | | 0.72 | | |
(a)Allowance for loan losses of $227$123 million and $175$367 million was held against nonaccrual loans retained at March 31,September 30, 2021 and 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.
| | | | | | | | | | | | | | |
| ASSET & WEALTH MANAGEMENT |
Refer to pages 80–82 of JPMorgan Chase’s 2020 Form 10-K and Line of Business Metrics on pages 170-171192-193 for a discussion of the business profile of AWM.
| | Selected income statement data | Selected income statement data | | Selected income statement data | | |
| (in millions, except ratios) | (in millions, except ratios) | Three months ended March 31, | | (in millions, except ratios) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | Change | | (in millions, except ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Revenue | Revenue | | | |
| Asset management, administration and commissions | Asset management, administration and commissions | $ | 2,888 | | $ | 2,583 | | 12 | % | | Asset management, administration and commissions | $ | 3,096 | | $ | 2,646 | | 17 | % | | $ | 9,003 | | $ | 7,718 | | 17 | % |
| All other income | All other income | 258 | | (54) | | NM | | All other income | 216 | | 93 | | 132 | | | 620 | | 125 | | 396 | |
| Noninterest revenue | Noninterest revenue | 3,146 | | 2,529 | | 24 | | | Noninterest revenue | 3,312 | | 2,739 | | 21 | | | 9,623 | | 7,843 | | 23 | |
| Net interest income | Net interest income | 931 | | 860 | | 8 | | | Net interest income | 988 | | 815 | | 21 | | | 2,861 | | 2,530 | | 13 | |
| Total net revenue | Total net revenue | 4,077 | | 3,389 | | 20 | | | Total net revenue | 4,300 | | 3,554 | | 21 | | | 12,484 | | 10,373 | | 20 | |
| | Provision for credit losses | Provision for credit losses | (121) | | 94 | | NM | | Provision for credit losses | (60) | | (52) | | (15) | | | (191) | | 265 | | NM |
| | Noninterest expense | Noninterest expense | | | Noninterest expense | |
| Compensation expense | Compensation expense | 1,389 | | 1,226 | | 13 | | | Compensation expense | 1,387 | | 1,232 | | 13 | | | 4,132 | | 3,636 | | 14 | |
| Noncompensation expense | Noncompensation expense | 1,185 | | 1,209 | | (2) | | | Noncompensation expense | 1,375 | | 1,211 | | 14 | | | 3,790 | | 3,565 | | 6 | |
| Total noninterest expense | Total noninterest expense | 2,574 | | 2,435 | | 6 | | | Total noninterest expense | 2,762 | | 2,443 | | 13 | | | 7,922 | | 7,201 | | 10 | |
| | Income before income tax expense | Income before income tax expense | 1,624 | | 860 | | 89 | | | Income before income tax expense | 1,598 | | 1,163 | | 37 | | | 4,753 | | 2,907 | | 64 | |
| Income tax expense | Income tax expense | 380 | | 191 | | 99 | | | Income tax expense | 404 | | 287 | | 41 | | | 1,162 | | 701 | | 66 | |
| Net income | Net income | $ | 1,244 | | $ | 669 | | 86 | | | Net income | $ | 1,194 | | $ | 876 | | 36 | | | $ | 3,591 | | $ | 2,206 | | 63 | |
| | Revenue by line of business | Revenue by line of business | | | Revenue by line of business | |
| Asset Management | Asset Management | $ | 2,185 | | $ | 1,740 | | 26 | | | Asset Management | $ | 2,337 | | $ | 1,924 | | 21 | | | $ | 6,758 | | $ | 5,444 | | 24 | |
Global Private Bank(a) | Global Private Bank(a) | 1,892 | | 1,649 | | 15 | | | Global Private Bank(a) | 1,963 | | 1,630 | | 20 | | | 5,726 | | 4,929 | | 16 | |
| Total net revenue | Total net revenue | $ | 4,077 | | $ | 3,389 | | 20 | % | | Total net revenue | $ | 4,300 | | $ | 3,554 | | 21 | % | | $ | 12,484 | | $ | 10,373 | | 20 | % |
| | Financial ratios | Financial ratios | | | Financial ratios | |
| Return on equity | Return on equity | 35 | % | 25 | % | | | Return on equity | 33 | % | 32 | % | | 33 | % | 27 | % | |
| Overhead ratio | Overhead ratio | 63 | 72 | | | Overhead ratio | 64 | | 69 | | | 63 | | 69 | |
| Pre-tax margin ratio: | Pre-tax margin ratio: | | | Pre-tax margin ratio: | |
| Asset Management | Asset Management | 35 | 24 | | | Asset Management | 36 | | 30 | | | 36 | | 27 | | |
Global Private Bank(a) | Global Private Bank(a) | 45 | 27 | | | Global Private Bank(a) | 38 | | 35 | | | 40 | | 28 | | |
| Asset & Wealth Management | Asset & Wealth Management | 40 | 25 | | | Asset & Wealth Management | 37 | | 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 $1.2 billion, up 86%36%.
Net revenue was $4.1$4.3 billion, up 20%21%. Net interest income was $931$988 million, up 8%21%. Noninterest revenue was $3.1$3.3 billion, up 24%21%.
Revenue from Asset Management was $2.2$2.3 billion, up 26%21%, predominantly driven by:
•higher asset management fees on cumulative net inflows into long-term products and higher average market levels, net of liquidity fee waivers; and higher performance fees.
Revenue from Global Private Bank was $2.0 billion, up 20%, predominantly driven by:
•higher deposit and loan balances, higher asset management fees, as well as the impact of lower funding costs on loans, partially offset by deposit margin compression.
Noninterest expense was $2.8 billion, up 13% predominantly driven by higher performance-related compensation, distribution fees, and structural expense.
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-date results
Net income was $3.6 billion, an increase of 63%.
Net revenue was $12.5 billion, an increase of 20%. Net interest income was $2.9 billion, up 13%. Noninterest revenue was $9.6 billion, up 23%.
Revenue from Asset Management was $6.8 billion, up 24%, predominantly driven by:
•higher asset management fees on strong cumulative net inflows into long-term and liquidity products and higher average market levels, net of liquidity fee waivers,waivers; and
• higher net investment valuation gains, compared with losses in the prior year.gains.
Revenue from Global Private Bank was $1.9$5.7 billion, up 15%16%, largelypredominantly driven by:
•higher deposit and loan balances, higher asset management fees, loan margin expansion and an investment valuation gain,
largelyas well as the impact of lower funding costs on loans, partially offset by
•deposit margin compression.
Noninterest expense was $2.6$7.9 billion, up 6%an increase of 10%, predominantly driven by higher volume-performance-related compensation and revenue-related expense, partially offset by lower structural expense.distribution fees.
The provision for credit losses was a net benefit of $121$191 million, driven by a reduction in the allowance for credit losses.losses, compared with an expense of $265 million in the prior year.
Refer to Credit and Investment Risk Management on pages 47-65 and Allowance for Credit Losses on pages 63–64 for further discussions of the credit portfolios and the allowance for credit losses.
| | | | | | | | | | | | | | |
| 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 | Selected metrics | | | | Selected metrics | | | | |
| | As of or for the three months
ended March 31, | | | 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) | (in millions, except ranking data, headcount and ratios) | 2021 | 2020 | Change | | (in millions, except ranking data, headcount and ratios) | 2021 | 2020 | Change | | 2021 | 2020 | Change |
% of JPM mutual fund assets rated as 4- or 5-star(a) | % of JPM mutual fund assets rated as 4- or 5-star(a) | 60 | % | 62 | % | | | % 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) | % of JPM mutual fund assets ranked in 1st or 2nd quartile:(b) | | | % of JPM mutual fund assets ranked in 1st or 2nd quartile:(b) | |
| 1 year | 1 year | 60 | | 69 | | | | 1 year | 60 | | 55 | | | 60 | | 55 | | |
| 3 years | 3 years | 73 | | 74 | | | | 3 years | 78 | | 71 | | | 78 | | 71 | | |
| 5 years | 5 years | 74 | | 78 | | | | 5 years | 78 | | 71 | | | 78 | | 71 | | |
| Selected balance sheet data (period-end)(c) | Selected balance sheet data (period-end)(c) | | | Selected balance sheet data (period-end)(c) | |
| Total assets | Total assets | $ | 213,088 | | $ | 178,897 | | 19 | % | | Total assets | $ | 221,702 | | $ | 187,858 | | 18 | % | | $ | 221,702 | | $ | 187,858 | | 18 | % |
| Loans | Loans | 192,256 | | 163,763 | | 17 | | | Loans | 202,871 | | 172,695 | | 17 | | | 202,871 | | 172,695 | | 17 | |
| Deposits | Deposits | 217,460 | | 160,231 | | 36 | | | Deposits | 242,309 | | 166,049 | | 46 | | | 242,309 | | 166,049 | | 46 | |
| Equity | Equity | 14,000 | | 10,500 | | 33 | | | Equity | 14,000 | | 10,500 | | 33 | | | 14,000 | | 10,500 | | 33 | |
| Selected balance sheet data (average)(c) | Selected balance sheet data (average)(c) | | | Selected balance sheet data (average)(c) | |
| Total assets | Total assets | $ | 207,505 | | $ | 174,834 | | 19 | | | Total assets | $ | 219,022 | | $ | 181,850 | | 20 | | | $ | 213,679 | | $ | 177,539 | | 20 | |
| Loans | Loans | 188,726 | | 159,513 | | 18 | | | Loans | 200,635 | | 167,645 | | 20 | | | 194,888 | | 162,803 | | 20 | |
| Deposits | Deposits | 206,562 | | 144,570 | | 43 | | | Deposits | 229,710 | | 162,589 | | 41 | | | 218,742 | | 155,779 | | 40 | |
| Equity | Equity | 14,000 | | 10,500 | | 33 | | | Equity | 14,000 | | 10,500 | | 33 | | | 14,000 | | 10,500 | | 33 | |
| | Headcount | Headcount | 20,578 | | 21,302 | | (3) | | | Headcount | 22,051 | | 21,058 | | 5 | | | 22,051 | | 21,058 | | 5 | |
| | Number of Global Private Bank client advisors | Number of Global Private Bank client advisors | 2,462 | | 2,418 | | 2 | | | Number of Global Private Bank client advisors | 2,646 | | 2,520 | | 5 | | | 2,646 | | 2,520 | | 5 | |
| Credit data and quality statistics(c) | Credit data and quality statistics(c) | | | Credit data and quality statistics(c) | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | $ | 11 | | $ | 2 | | 450 | | | Net charge-offs/(recoveries) | $ | (1) | | $ | 2 | | NM | | $ | 22 | | $ | 2 | | NM |
| Nonaccrual loans | Nonaccrual loans | 755 | | 303 | | 149 | | | Nonaccrual loans | 686 | | 970 | | (29) | | | 686 | | 970 | | (29) | |
| Allowance for credit losses: | Allowance for credit losses: | | | Allowance for credit losses: | |
| Allowance for loan losses | Allowance for loan losses | $ | 479 | | $ | 436 | | 10 | | | Allowance for loan losses | $ | 402 | | $ | 580 | | (31) | | | $ | 402 | | $ | 580 | | (31) | |
| Allowance for lending-related commitments | Allowance for lending-related commitments | 25 | | 14 | | 79 | | | Allowance for lending-related commitments | 20 | | 41 | | (51) | | | 20 | | 41 | | (51) | |
| Total allowance for credit losses | Total allowance for credit losses | $ | 504 | | $ | 450 | | 12 | % | | Total allowance for credit losses | $ | 422 | | $ | 621 | | (32) | % | | $ | 422 | | $ | 621 | | (32) | % |
| Net charge-off/(recovery) rate | Net charge-off/(recovery) rate | 0.02 | % | 0.01 | % | | | Net charge-off/(recovery) rate | — | % | — | % | | 0.02 | % | — | % | |
| Allowance for loan losses to period-end loans | Allowance for loan losses to period-end loans | 0.25 | | 0.27 | | | | Allowance for loan losses to period-end loans | 0.20 | | 0.34 | | | 0.2 | | 0.34 | | |
| Allowance for loan losses to nonaccrual loans | Allowance for loan losses to nonaccrual loans | 63 | | 144 | | | | Allowance for loan losses to nonaccrual loans | 59 | | 60 | | | 59 | | 60 | | |
| Nonaccrual loans to period-end loans | Nonaccrual loans to period-end loans | 0.39 | | 0.19 | | | | Nonaccrual loans to period-end loans | 0.34 | | 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 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 Global Private Bank business.
Client assets
Client assets of $3.8$4.1 trillion and assets under management of $2.8$3.0 trillion were up 32%22% and 28%17%, respectively, driven by higher market levels and cumulative net inflows into long term and liquidity products.inflows.
| | Client assets | Client assets | | | Client assets | | |
| | As of March 31, | | As of September 30, |
| (in billions) | (in billions) | 2021 | 2020 | Change | (in billions) | 2021 | 2020 | Change |
| Assets by asset class | Assets by asset class | | Assets by asset class | |
| Liquidity | Liquidity | $ | 686 | | $ | 619 | | 11 | % | Liquidity | $ | 685 | | $ | 674 | | 2 | % |
| Fixed income | Fixed income | 662 | | 574 | | 15 | | Fixed income | 695 | | 650 | | 7 | |
| Equity | Equity | 661 | | 361 | | 83 | | Equity | 725 | | 499 | | 45 | |
| Multi-asset | Multi-asset | 669 | | 517 | | 29 | | Multi-asset | 702 | | 593 | | 18 | |
| Alternatives | Alternatives | 155 | | 139 | | 12 | | Alternatives | 189 | | 144 | | 31 | |
| Total assets under management | Total assets under management | 2,833 | | 2,210 | | 28 | | Total assets under management | 2,996 | | 2,560 | | 17 | |
| Custody/brokerage/administration/deposits | Custody/brokerage/administration/deposits | 995 | | 681 | | 46 | | Custody/brokerage/administration/deposits | 1,100 | | 810 | | 36 | |
Total client assets(a) | Total client assets(a) | $ | 3,828 | | $ | 2,891 | | 32 | | Total client assets(a) | $ | 4,096 | | $ | 3,370 | | 22 | |
| | Assets by client segment | Assets by client segment | | Assets by client segment | |
| Private Banking | Private Banking | $ | 718 | | $ | 577 | | 24 | | Private Banking | $ | 773 | | $ | 650 | | 19 | |
Global Institutional(b) | Global Institutional(b) | 1,320 | | 1,107 | | 19 | | Global Institutional(b) | 1,375 | | 1,245 | | 10 | |
Global Funds(b) | Global Funds(b) | 795 | | 526 | | 51 | | Global Funds(b) | 848 | | 665 | | 28 | |
| Total assets under management | Total assets under management | $ | 2,833 | | $ | 2,210 | | 28 | | Total assets under management | $ | 2,996 | | $ | 2,560 | | 17 | |
| | Private Banking | Private Banking | $ | 1,664 | | $ | 1,233 | | 35 | | Private Banking | $ | 1,817 | | $ | 1,422 | | 28 | |
Global Institutional(b) | Global Institutional(b) | 1,362 | | 1,128 | | 21 | | Global Institutional(b) | 1,425 | | 1,278 | | 12 | |
Global Funds(b) | Global Funds(b) | 802 | | 530 | | 51 | | Global Funds(b) | 854 | | 670 | | 27 | |
Total client assets(a) | Total client assets(a) | $ | 3,828 | | $ | 2,891 | | 32 | % | Total client assets(a) | $ | 4,096 | | $ | 3,370 | | 22 | % |
(a)Includes CCB client investment assets invested 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 segments were renamed to Global Institutional and Global Funds, respectively. This did not result in a change to the clients within either client segment.
| | | | | | | | | | | |
| Client assets (continued) | | | | | |
| Three months ended
March 31, | |
| (in billions) | 2021 | 2020 | | | |
| Assets under management rollforward | | | | | |
| Beginning balance | $ | 2,716 | | $ | 2,328 | | | | |
| Net asset flows: | | | | | |
| Liquidity | 44 | | 77 | | | | |
| Fixed income | 8 | | — | | | | |
| Equity | 31 | | (1) | | | | |
| Multi-asset | 6 | | (2) | | | | |
| Alternatives | 3 | | — | | | | |
| Market/performance/other impacts | 25 | | (192) | | | | |
| Ending balance, March 31 | $ | 2,833 | | $ | 2,210 | | | | |
| | | | | |
| Client assets rollforward | | | | | |
| Beginning balance | $ | 3,652 | | $ | 3,089 | | | | |
| Net asset flows | 130 | | 91 | | | | |
| Market/performance/other impacts | 46 | | (289) | | | | |
| Ending balance, March 31 | $ | 3,828 | | $ | 2,891 | | | | |
| | | | | | | | | | | | | | | | | |
| Client assets (continued) | | | | | |
| Three months ended September 30, | Nine months ended September 30, |
| (in billions) | 2021 | 2020 | | 2021 | 2020 |
| Assets under management rollforward | | | | | |
| Beginning balance | $ | 2,987 | | $ | 2,476 | | | $ | 2,716 | | $ | 2,328 | |
| Net asset flows: | | | | | |
| Liquidity | (11) | | (30) | | | 48 | | 140 | |
| Fixed income | 11 | | 22 | | | 36 | | 40 | |
| Equity | 16 | | 9 | | | 67 | | 19 | |
| Multi-asset | 3 | | (1) | | | 11 | | (5) | |
| Alternatives | 3 | | 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 flows | 75 | | 11 | | | 280 | | 237 | |
| Market/performance/other impacts | (23) | | 118 | | | 164 | | 44 | |
| Ending balance, September 30 | $ | 4,096 | | $ | 3,370 | | | $ | 4,096 | | $ | 3,370 | |
| | | | | | | | | | | | | | | |
| International metrics | | | | |
| Three months ended March 31, | | |
| (in millions) | 2021 | 2020 | Change | | | | |
Total net revenue (a) | | | | | | | |
| Europe/Middle East/Africa | $ | 834 | | $ | 623 | | 34 | % | | | | |
| Asia-Pacific | 514 | | 400 | | 29 | | | | | |
| Latin America/Caribbean | 214 | | 188 | | 14 | | | | | |
| Total international net revenue | 1,562 | | 1,211 | | 29 | | | | | |
| North America | 2,515 | | 2,178 | | 15 | | | | | |
Total net revenue(a) | $ | 4,077 | | $ | 3,389 | | 20 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| International | | | | |
| Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | 2021 | 2020 | Change | | 2021 | 2020 | Change |
Total net revenue (a) | | | | | | | |
| Europe/Middle East/Africa | $ | 905 | | $ | 755 | | 20 | % | | $ | 2,627 | | $ | 2,097 | | 25 | % |
| Asia-Pacific | 503 | | 413 | | 22 | | | 1,513 | | 1,191 | | 27 | |
| Latin America/Caribbean | 229 | | 199 | | 15 | | | 659 | | 585 | | 13 | |
| Total international net revenue | 1,637 | | 1,367 | | 20 | | | 4,799 | | 3,873 | | 24 | |
| North America | 2,663 | | 2,187 | | 22 | | | 7,685 | | 6,500 | | 18 | |
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 March 31, | | | As of September 30, | | As of September 30, |
| (in billions) | (in billions) | 2021 | 2020 | Change | | (in billions) | 2021 | 2020 | Change | | 2021 | 2020 | Change |
| Assets under management | Assets under management | | | Assets under management | |
| Europe/Middle East/Africa | Europe/Middle East/Africa | $ | 521 | | $ | 395 | | 32 | % | | Europe/Middle East/Africa | $ | 548 | | $ | 481 | | 14 | % | | $ | 548 | | $ | 481 | | 14 | % |
| Asia-Pacific | Asia-Pacific | 228 | | 174 | | 31 | | | Asia-Pacific | 246 | | 203 | | 21 | | | 246 | | 203 | | 21 | |
| Latin America/Caribbean | Latin America/Caribbean | 71 | | 56 | | 27 | | | Latin America/Caribbean | 76 | | 67 | | 13 | | | 76 | | 67 | | 13 | |
| Total international assets under management | Total international assets under management | 820 | | 625 | | 31 | | | Total international assets under management | 870 | | 751 | | 16 | | | 870 | | 751 | | 16 | |
| North America | North America | 2,013 | | 1,585 | | 27 | | | North America | 2,126 | | 1,809 | | 18 | | | 2,126 | | 1,809 | | 18 | |
| Total assets under management | Total assets under management | $ | 2,833 | | $ | 2,210 | | 28 | | | Total assets under management | $ | 2,996 | | $ | 2,560 | | 17 | | | $ | 2,996 | | $ | 2,560 | | 17 | |
| | Client assets | Client assets | | | Client assets | |
| Europe/Middle East/Africa | Europe/Middle East/Africa | $ | 629 | | $ | 479 | | 31 | | | Europe/Middle East/Africa | $ | 669 | | $ | 578 | | 16 | | | $ | 669 | | $ | 578 | | 16 | |
| Asia-Pacific | Asia-Pacific | 338 | | 248 | | 36 | | | Asia-Pacific | 371 | | 295 | | 26 | | | 371 | | 295 | | 26 | |
| Latin America/Caribbean | Latin America/Caribbean | 168 | | 134 | | 25 | | | Latin America/Caribbean | 181 | | 153 | | 18 | | | 181 | | 153 | | 18 | |
| Total international client assets | Total international client assets | 1,135 | | 861 | | 32 | | | Total international client assets | 1,221 | | 1,026 | | 19 | | | 1,221 | | 1,026 | | 19 | |
| North America | North America | 2,693 | | 2,030 | | 33 | | | North America | 2,875 | | 2,344 | | 23 | | | 2,875 | | 2,344 | | 23 | |
| Total client assets | Total client assets | $ | 3,828 | | $ | 2,891 | | 32 | % | | Total client assets | $ | 4,096 | | $ | 3,370 | | 22 | % | | $ | 4,096 | | $ | 3,370 | | 22 | % |
Refer to pages 83–84 of JPMorgan Chase’s 2020 Form 10-K for a discussion of Corporate.
| | Selected income statement and balance sheet data | Selected income statement and balance sheet data | | Selected income statement and balance sheet data | | |
| | As of or for the three months
ended March 31, | | | 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) | 2021 | | 2020 | | | Change | | (in millions, except headcount) | 2021 | | 2020 | | | Change | | 2021 | | 2020 | | Change |
| Revenue | Revenue | | | | | | | Revenue | | | | | |
| Principal transactions | Principal transactions | $ | 272 | | | $ | (113) | | | | NM | | Principal transactions | $ | (103) | | | $ | 87 | | | | NM | | $ | 161 | | | $ | (28) | | | NM |
| Investment securities gains | 14 | | | 233 | | | | (94) | % | | |
| Investment securities gains/(losses) | | Investment securities gains/(losses) | (256) | | | 466 | | | | NM | | (397) | | | 725 | | | NM |
| All other income | All other income | 96 | | | 211 | | | | (55) | | | All other income | 117 | | | (210) | | | | NM | | 168 | | | (90) | | | NM |
| Noninterest revenue | Noninterest revenue | 382 | | | 331 | | | | 15 | % | | Noninterest revenue | (242) | | | 343 | | | | NM | | (68) | | | 607 | | | NM |
| Net interest income | Net interest income | (855) | | | (165) | | | | (418) | % | | Net interest income | (1,054) | | | (682) | | | | (55) | % | | (2,870) | | | (1,534) | | | (87) | % |
Total net revenue(a) | Total net revenue(a) | (473) | | | 166 | | | | NM | | Total net revenue(a) | (1,296) | | | (339) | | | | (282) | | | (2,938) | | | (927) | | | (217) | |
| | Provision for credit losses | Provision for credit losses | 16 | | | 8 | | | | 100 | | | Provision for credit losses | (7) | | | 96 | | | | NM | | 58 | | | 108 | | | (46) | |
| | Noninterest expense | Noninterest expense | 876 | | | 146 | | | | 500 | % | | Noninterest expense | 160 | | | 719 | | | | (78) | | | 1,551 | | | 1,012 | | | 53 | |
| Income/(loss) before income tax expense/(benefit) | Income/(loss) before income tax expense/(benefit) | (1,365) | | | 12 | | | | NM | | Income/(loss) before income tax expense/(benefit) | (1,449) | | | (1,154) | | | | (26) | | | (4,547) | | | (2,047) | | | (122) | |
| Income tax expense/(benefit) | Income tax expense/(benefit) | (785) | | | 137 | | | | NM | | Income tax expense/(benefit) | (632) | | | (455) | | | | (39) | | | (1,906) | | | (655) | | | (191) | |
| Net income/(loss) | Net income/(loss) | $ | (580) | | | $ | (125) | | | | (364) | | | Net income/(loss) | $ | (817) | | | $ | (699) | | | | (17) | | | $ | (2,641) | | | $ | (1,392) | | | (90) | |
| Total net revenue | Total net revenue | | | | | | | Total net revenue | | | | | | | |
| | Treasury and CIO | Treasury and CIO | $ | (705) | | | $ | 169 | | | | NM | | Treasury and CIO | $ | (1,198) | | | $ | (243) | | | | (393) | | | $ | (2,984) | | | $ | (745) | | | (301) | |
| | Other Corporate | Other Corporate | 232 | | | (3) | | | | NM | | Other Corporate | (98) | | | (96) | | | | (2) | | | 46 | | | (182) | | | NM |
| Total net revenue | Total net revenue | $ | (473) | | | $ | 166 | | | | NM | | Total net revenue | $ | (1,296) | | | $ | (339) | | | | (282) | | | $ | (2,938) | | | $ | (927) | | | (217) | |
| Net income/(loss) | Net income/(loss) | | | | | | | Net income/(loss) | | | | | | | |
| | Treasury and CIO | Treasury and CIO | $ | (675) | | | $ | 83 | | | | NM | | Treasury and CIO | $ | (998) | | | $ | (349) | | | | (186) | | | $ | (2,629) | | | $ | (816) | | | (222) | |
| | Other Corporate | Other Corporate | 95 | | | (208) | | | | NM | | Other Corporate | 181 | | | (350) | | | | NM | | (12) | | | (576) | | | 98 | |
| Total net income/(loss) | Total net income/(loss) | $ | (580) | | | $ | (125) | | | | (364) | | | Total net income/(loss) | $ | (817) | | | $ | (699) | | | | (17) | | | $ | (2,641) | | | $ | (1,392) | | | (90) | |
| | Total assets (period-end) | Total assets (period-end) | $ | 1,409,564 | | | $ | 981,937 | | | | 44 | | | Total assets (period-end) | $ | 1,459,283 | | | $ | 1,253,275 | | | | 16 | | | $ | 1,459,283 | | | $ | 1,253,275 | | | 16 | |
| Loans (period-end) | Loans (period-end) | 1,627 | | | 1,650 | | | | (1) | | | Loans (period-end) | 1,697 | | | 1,569 | | | | 8 | | | 1,697 | | | 1,569 | | | 8 | |
| Headcount | Headcount | 38,168 | | | 38,785 | | | | (2) | % | | Headcount | 38,302 | | | 38,861 | | | | (1) | % | | 38,302 | |
| 38,861 | | | (1) | % |
(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $67$64 million and $61$62 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $197 million and $186 million for the nine months ended September 30, 2021 and 2020, respectively.
(b)During the six months ended June 30, 2021, 1,155 technology and risk management employees were transferred from Corporate to CIB.
Quarterly results
Net loss was $580$817 million compared with a net loss of $125$699 million in the prior year.
Net revenue was a loss of $473$1.3 billion, down $957 million, down $639 million. The decrease was driven by:
•lower net interest income on lower rates,limited deployment opportunities as well as limited opportunities to deploy funds in response to continued deposit growth continued,
partially offset by
•higher noninterest revenue reflectingnet 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, and
•net losses on certain legacy private equity investments, compared with net gains in the prior year,
partially offset by
•the absence of losses in the prior year offsetrelated to derivatives in Other Corporate and the early termination of certain of 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 gains reflecting the impact oflosses related to repositioning the investment securities portfolio, as well as lowercompared 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
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's long-term debt in Treasury and CIO and derivatives in Other Corporate investments.
Noninterest expense of $876 million$1.6 billion was up $730$539 million primarily due to a higher contribution to the Firm's Foundation and higher structural expense.legal and technology expense, partially offset by the absence of an impairment on a legacy investment in the prior year.
The current period income tax benefit was driven by the change in the level and mix of income and expenses subject to U.S. federal and state and local taxes, as well as the impact of the Firm’sFirm's estimated full-year expected tax rate relative to the level of year-to-date pretax income, partially offset byas well as an income tax benefit of $383 million related to finalizing the resolution of certainFirm's 2020 U.S. federal tax audits.return.
Treasury and CIO overview
At March 31,September 30, 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 9 for further information on the Firm’s investment securities portfolio and internal risk ratings.
Refer to Liquidity Risk Management on pages 42-4654-58 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 66-7078-82 for information on interest rate and foreign exchange and other risks.
| | Selected income statement and balance sheet data | Selected income statement and balance sheet data | | Selected income statement and balance sheet data | | |
| | As of or for the three months
ended March 31, | | | As of or for the three months
ended September 30, | | As of or for the nine months
ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | Change | | (in millions) | 2021 | | 2020 | | Change | | 2021 | | 2020 | | Change |
| Investment securities gains | $ | 14 | | | $ | 233 | | | (94) | % | | |
| Investment securities gains/(losses) | | Investment securities gains/(losses) | $ | (256) | | | $ | 466 | | | NM | | $ | (397) | | | $ | 725 | | | NM |
| Available-for-sale securities (average) | Available-for-sale securities (average) | $ | 372,443 | | | $ | 372,954 | | | — | % | | Available-for-sale securities (average) | $ | 223,747 | | | $ | 442,943 | | | (49) | % | | $ | 312,298 | | | $ | 414,228 | | | (25) | % |
Held-to-maturity securities (average)(a) | Held-to-maturity securities (average)(a) | 207,957 | | | 46,673 | | | 346 | | | Held-to-maturity securities (average)(a) | 339,544 | | | 103,596 | | | 228 | | | 263,214 | | | 74,102 | | | 255 | |
| Investment securities portfolio (average) | Investment securities portfolio (average) | $ | 580,400 | | | $ | 419,627 | | | 38 | | | Investment securities portfolio (average) | $ | 563,291 | | | $ | 546,539 | | | 3 | | | $ | 575,512 | | | $ | 488,330 | | | 18 | |
| Available-for-sale securities (period-end) | Available-for-sale securities (period-end) | $ | 377,911 | | | $ | 397,891 | | | (5) | | | 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)(b)(a) | Held-to-maturity securities, net of allowance for credit losses (period-end)(b)(a) | 217,452 | | | 71,200 | | | 205 | | | Held-to-maturity securities, net of allowance for credit losses (period-end)(b)(a) | 343,542 | | | 141,553 | | | 143 | | | 343,542 | | | 141,553 | | | 143 | |
Investment securities portfolio, net of allowance for credit losses (period-end)(b) | Investment securities portfolio, net of allowance for credit losses (period-end)(b) | $ | 595,363 | | | $ | 469,091 | | | 27 | % | | Investment securities portfolio, net of allowance for credit losses (period-end)(b) | $ | 593,026 | | | $ | 529,216 | | | 12 | % | | $ | 593,026 | | | $ | 529,216 | | | 12 | % |
(a)During 2021 and 2020, the Firm transferred $104.5 billion and $164.2 billion of investment securities, respectively, from AFS to HTM for capital management purposes, including $26.1 billion in the first quarter of 2020.purposes.
(b)At March 31,September 30, 2021 and 2020, the allowance for credit losses on HTMinvestment securities was $94$73 million and $19$120 million, respectively.
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 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 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.
Refer to pages 85-89 of JPMorgan Chase’s 2020 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 2020 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 functions | Risk governance and oversight functions | Form 10-Q page reference | Form 10-K page reference | Risk governance and oversight functions | Form 10-Q page reference | Form 10-K page reference |
| Strategic risk | Strategic risk | | 90 | Strategic risk | | 90 |
| Capital risk | Capital risk | 36-41 | 91-101 | Capital risk | 48-53 | 91-101 |
| Liquidity risk | Liquidity risk | 42-46 | 102-108 | Liquidity risk | 54-58 | 102-108 |
| Reputation risk | Reputation risk | | 109 | Reputation risk | | 109 |
| Consumer credit risk | Consumer credit risk | 48-52 | 114-120 | Consumer credit risk | 61-65 | 114-120 |
| Wholesale credit risk | Wholesale credit risk | 53-62 | 121-131 | Wholesale credit risk | 66-74 | 121-131 |
| Investment portfolio risk | Investment portfolio risk | 65 | 134 | Investment portfolio risk | 77 | 134 |
| Market risk | Market risk | 66-70 | 135-142 | Market risk | 78-82 | 135-142 |
| Country risk | Country risk | 71 | 143-144 | Country risk | 83 | 143-144 |
| Operational risk | Operational risk | 72 | 145-151 | Operational risk | 84 | 145-151 |
| Compliance risk | Compliance risk | | 148 | Compliance risk | | 148 |
| Conduct risk | Conduct risk | | 149 | Conduct risk | | 149 |
| Legal risk | Legal risk | | 150 | Legal risk | | 150 |
| Estimations and Model risk | Estimations and Model risk | 73 | 151 | Estimations and Model risk | 85 | 151 |
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 91-101 of JPMorgan Chase’s 2020 Form
10-K, Note 21 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.
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 ("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 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 3951 for additional information.
Key Regulatory Developments
CECL regulatory capital transition delay. As part of their response to the impact of the COVID-19 pandemic, the federal banking agencies issued a final rule 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 Firm has elected to apply the CECL capital transition provisions, and accordingly, for the period ended March 31,September 30, 2021, the capital metrics of the Firm exclude $4.5$3.3 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $7.0$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 have also been incorporated into Tier 2 capital, adjusted average assets, and total leverage 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.
SLR temporary revision. 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 remained in effect through March 31, 2021.
On June 1, 2020, the Federal Reserve, Office of the Comptroller of the Currency ("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 March 31, 2021, JPMorgan Chase Bank, N.A. did not elect to apply this exclusion.
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 March 31,September 30, 2021, the Firm had approximately $32$13 billion of loans remaining under the program.
Total leverage exposure for purposes of calculating the SLR includes PPP loans as the Firm did not participate in the Federal Reserve’s Paycheck Protection Program Lending (“PPPL”) Facility, which would allowhave allowed the Firm to exclude them under the final rule.
TLAC Holdings rule. On October 20, 2020, the federal banking agencies issued a final rule prescribing the regulatory capital treatment for holdings of Total 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 final rule became effective April 1, 2021 and isdid not expected to have a material impact on the Firm’s risk-based capital metrics.
The following table presentstables 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 91-101 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of these capital metrics.
| | | Standardized | | Advanced | | Standardized | | Advanced |
| (in millions, except ratios) | (in millions, except ratios) | March 31, 2021(c) | | December 31, 2020(c) | | Minimum capital ratios(d) | | March 31, 2021(c) | December 31, 2020(c) | | Minimum capital ratios(d) | (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 capital | CET1 capital | $ | 206,078 | | | $ | 205,078 | | | $ | 206,078 | | $ | 205,078 | | | CET1 capital | $ | 209,917 | | | $ | 205,078 | | | $ | 209,917 | | $ | 205,078 | | |
| Tier 1 capital | Tier 1 capital | 237,333 | | | 234,844 | | | 237,333 | | 234,844 | | | Tier 1 capital | 244,207 | | | 234,844 | | | 244,207 | | 234,844 | | |
| Total capital | Total capital | 271,407 | | | 269,923 | | | 258,635 | | 257,228 | | | Total capital | 274,994 | | | 269,923 | | | 264,469 | | 257,228 | | |
| Risk-weighted assets | Risk-weighted assets | 1,577,007 | | | 1,560,609 | | | 1,503,828 | | 1,484,431 | | | Risk-weighted assets | 1,628,406 | | | 1,560,609 | | | 1,544,512 | | 1,484,431 | | |
| CET1 capital ratio | CET1 capital ratio | 13.1 | % | | 13.1 | % | | 11.3 | % | | 13.7 | % | 13.8 | % | | 10.5 | % | CET1 capital ratio | 12.9 | % | | 13.1 | % | | 11.3 | % | | 13.6 | % | 13.8 | % | | 10.5 | % |
| Tier 1 capital ratio | Tier 1 capital ratio | 15.0 | | | 15.0 | | | 12.8 | | | 15.8 | | 15.8 | | | 12.0 | | Tier 1 capital ratio | 15.0 | | | 15.0 | | | 12.8 | | | 15.8 | | 15.8 | | | 12.0 | |
| Total capital ratio | Total capital ratio | 17.2 | | | 17.3 | | | 14.8 | | | 17.2 | | 17.3 | | | 14.0 | | Total capital ratio | 16.9 | | | 17.3 | | | 14.8 | | | 17.1 | | 17.3 | | | 14.0 | |
| Leverage-based capital metrics: | | |
Adjusted average assets(a) | $ | 3,565,545 | | | $ | 3,353,319 | | | $ | 3,565,545 | | $ | 3,353,319 | | | |
| Tier 1 leverage ratio | 6.7 | % | | 7.0 | % | | 4.0 | % | | 6.7 | % | 7.0 | % | | 4.0 | % | |
Total leverage exposure(b) | NA | | NA | | $ | 3,522,629 | | $ | 3,401,542 | | | |
SLR(b) | NA | | NA | | NA | | 6.7 | % | 6.9 | % | | 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 ratio | 6.6 | % | 7.0 | % | | 4.0 | % |
| Total leverage exposure | $ | 4,463,904 | | $ | 3,401,542 | | | |
| SLR | 5.5 | % | 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)The 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 rule issued by the Federal Reserve which became effective April 1, 2020 and remained in effect through March 31, 2021. The SLR excluding the relief was 5.5% and 5.8% for the periodsperiod ended March 31, 2021 and December 31, 2020, respectively.
(c)The capital metrics reflect the CECL capital transition provisions. Additionally, loans originated under the PPP receive a zero percent risk weight.2020.
(d)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 21 for additional information.
Capital components
The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of March 31,September 30, 2021 and December 31, 2020.
| | (in millions) | (in millions) | March 31,
2021 | December 31, 2020 | (in millions) | September 30,
2021 | December 31, 2020 |
| Total stockholders’ equity | Total stockholders’ equity | $ | 280,714 | | $ | 279,354 | | Total stockholders’ equity | $ | 290,041 | | $ | 279,354 | |
| Less: Preferred stock | Less: Preferred stock | 31,563 | | 30,063 | | Less: Preferred stock | 34,838 | | 30,063 | |
| Common stockholders’ equity | Common stockholders’ equity | 249,151 | | 249,291 | | Common stockholders’ equity | 255,203 | | 249,291 | |
| Add: | Add: | | Add: | |
Certain deferred tax liabilities(a) | Certain deferred tax liabilities(a) | 2,457 | | 2,453 | | Certain deferred tax liabilities(a) | 2,500 | | 2,453 | |
Other CET1 capital adjustments(b) | Other CET1 capital adjustments(b) | 4,588 | | 3,486 | | Other CET1 capital adjustments(b) | 3,429 | | 3,486 | |
| Less: | Less: | | Less: | |
| Goodwill | Goodwill | 49,243 | | 49,248 | | Goodwill | 50,313 | | 49,248 | |
| Other intangible assets | Other intangible assets | 875 | | 904 | | Other intangible assets | 902 | | 904 | |
| | Standardized/Advanced CET1 capital | Standardized/Advanced CET1 capital | 206,078 | | 205,078 | | Standardized/Advanced CET1 capital | 209,917 | | 205,078 | |
| Preferred stock | Preferred stock | 31,563 | | 30,063 | | Preferred stock | 34,838 | | 30,063 | |
| Less: Other Tier 1 adjustments | Less: Other Tier 1 adjustments | 308 | | 297 | | Less: Other Tier 1 adjustments | 548 | | 297 | |
| Standardized/Advanced Tier 1 capital | Standardized/Advanced Tier 1 capital | $ | 237,333 | | $ | 234,844 | | Standardized/Advanced Tier 1 capital | $ | 244,207 | | $ | 234,844 | |
| Long-term debt and other instruments qualifying as Tier 2 capital | Long-term debt and other instruments qualifying as Tier 2 capital | $ | 15,646 | | $ | 16,645 | | 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) | 18,486 | | 18,372 | | Qualifying allowance for credit losses(c) | 16,338 | | 18,372 | |
| Other | Other | (58) | | 62 | | Other | (284) | | 62 | |
| Standardized Tier 2 capital | Standardized Tier 2 capital | $ | 34,074 | | $ | 35,079 | | Standardized Tier 2 capital | $ | 30,787 | | $ | 35,079 | |
| Standardized Total capital | Standardized Total capital | $ | 271,407 | | $ | 269,923 | | 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) | (12,772) | | (12,695) | | Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d) | (10,525) | | (12,695) | |
| Advanced Tier 2 capital | Advanced Tier 2 capital | $ | 21,302 | | $ | 22,384 | | Advanced Tier 2 capital | $ | 20,262 | | $ | 22,384 | |
| Advanced Total capital | Advanced Total capital | $ | 258,635 | | $ | 257,228 | | 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 March 31,September 30, 2021 and December 31, 2020, the impact of the CECL capital transition provision was an increase in CET1 capital of $4.5$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 threenine months ended March 31,September 30, 2021.
| | | | | |
ThreeNine months ended March 31,September 30,
(in millions) | 2021 |
| Standardized/Advanced CET1 capital at December 31, 2020 | $ | 205,078 | |
| Net income applicable to common equity | 13,92136,761 | |
| Dividends declared on common stock | (2,760)(8,475) | |
| Net purchase of treasury stock | (3,967)(15,314) | |
| Changes in additional paid-in capital | (389)(37) | |
| Changes related to AOCI | (6,945)(7,023) | |
Adjustment related to AOCI(a) | 2,3962,592 | |
Changes related to other CET1 capital adjustments(b) | (1,256)(3,665) | |
| Change in Standardized/Advanced CET1 capital | 1,0004,839 | |
Standardized/Advanced CET1 capital at March 31,September 30, 2021 | $ | 206,078209,917 | |
| |
| Standardized/Advanced Tier 1 capital at December 31, 2020 | $ | 234,844 | |
Change in CET1 capital(b) | 1,0004,839 | |
| Net issuance of noncumulative perpetual preferred stock | 1,5004,775 | |
| Other | (11)(251) | |
| Change in Standardized/Advanced Tier 1 capital | 2,4899,363 | |
Standardized/Advanced Tier 1 capital at March 31,September 30, 2021 | $ | 237,333244,207 | |
| |
| Standardized Tier 2 capital at December 31, 2020 | $ | 35,079 | |
| Change in long-term debt and other instruments qualifying as Tier 2 | (999)(1,912) | |
Change in qualifying allowance for credit losses(b) | 114 (2,034) | |
| Other | (120)(346) | |
| Change in Standardized Tier 2 capital | (1,005)(4,292) | |
Standardized Tier 2 capital at March 31,September 30, 2021 | $ | 34,07430,787 | |
Standardized Total capital at March 31,September 30, 2021 | $ | 271,407274,994 | |
| |
| Advanced Tier 2 capital at December 31, 2020 | $ | 22,384 | |
| Change in long-term debt and other instruments qualifying as Tier 2 | (999)(1,912) | |
Change in qualifying allowance for credit losses(b) | 37136 | |
| Other | (120)(346) | |
| Change in Advanced Tier 2 capital | (1,082)(2,122) | |
Advanced Tier 2 capital at March 31,September 30, 2021 | $ | 21,30220,262 | |
Advanced Total capital at March 31,September 30, 2021 | $ | 258,635264,469 | |
(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.
RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the threenine months ended March 31,September 30, 2021. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.
| | | Standardized | | Advanced | | | Standardized | | Advanced | |
Three months ended March 31, 2021
(in millions) | Credit risk RWA | Market risk RWA | Total RWA | | Credit risk RWA | Market risk RWA | Operational risk
RWA | Total RWA | |
Nine months ended
September 30, 2021
(in millions) | | Nine months ended
September 30, 2021
(in millions) | Credit risk RWA | Market risk RWA | Total RWA | | Credit risk RWA | Market risk RWA | Operational risk
RWA | Total RWA |
| December 31, 2020 | December 31, 2020 | $ | 1,464,219 | | $ | 96,390 | | $ | 1,560,609 | | | $ | 1,002,330 | | $ | 96,910 | | $ | 385,191 | | $ | 1,484,431 | | December 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) | — | | (1,100) | | (1,100) | | | — | | (1,100) | | — | | (1,100) | | Model & data changes(a) | 1,370 | | (2,867) | | (1,497) | | | (200) | | (2,867) | | — | | (3,067) | |
Portfolio runoff(b) | Portfolio runoff(b) | (1,200) | | — | | (1,200) | | | (700) | | — | | — | | (700) | | Portfolio runoff(b) | (4,100) | | — | | (4,100) | | | (2,700) | | — | | — | | (2,700) | |
Movement in portfolio levels(c) | Movement in portfolio levels(c) | 13,896 | | 4,802 | | 18,698 | | | 11,431 | | 4,635 | | 5,131 | | 21,197 | | Movement in portfolio levels(c) | 66,795 | | 6,599 | | 73,394 | | | 38,228 | | 6,436 | | 21,184 | | 65,848 | |
| Changes in RWA | Changes in RWA | 12,696 | | 3,702 | | 16,398 | | | 10,731 | | 3,535 | | 5,131 | | 19,397 | | Changes in RWA | 64,065 | | 3,732 | | 67,797 | | | 35,328 | | 3,569 | | 21,184 | | 60,081 | |
| March 31, 2021 | $ | 1,476,915 | | $ | 100,092 | | $ | 1,577,007 | | | $ | 1,013,061 | | $ | 100,445 | | $ | 390,322 | | $ | 1,503,828 | | |
| September 30, 2021 | | September 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 page 95 of JPMorgan Chase’s 2020 Form 10-K for additional information.
The following table presents the components of the Firm’s SLR.
| Three months ended
(in millions, except ratio) | Three months ended
(in millions, except ratio) | March 31,
2021 | December 31,
2020 | Three months ended
(in millions, except ratio) | September 30,
2021 | December 31, 2020 | |
| Tier 1 capital | Tier 1 capital | $ | 237,333 | | $ | 234,844 | | Tier 1 capital | $ | 244,207 | | $ | 234,844 | | |
| Total average assets | Total average assets | 3,612,841 | | 3,399,818 | | Total average assets | 3,725,219 | | 3,399,818 | | |
Less: Regulatory capital adjustments(a) | Less: Regulatory capital adjustments(a) | 47,296 | | 46,499 | | Less: Regulatory capital adjustments(a) | 49,416 | | 46,499 | | |
Total adjusted average assets(b) | Total adjusted average assets(b) | 3,565,545 | | 3,353,319 | | Total adjusted average assets(b) | 3,675,803 | | 3,353,319 | | |
Add: Off-balance sheet exposures(c) | Add: Off-balance sheet exposures(c) | 757,651 | | 729,978 | | Add: Off-balance sheet exposures(c) | 788,101 | | 729,978 | | |
| Less: Exclusion for U.S. Treasuries and Federal Reserve Bank deposits | Less: Exclusion for U.S. Treasuries and Federal Reserve Bank deposits | 800,567 | | 681,755 | | Less: Exclusion for U.S. Treasuries and Federal Reserve Bank deposits | — | | 681,755 | | |
| Total leverage exposure | Total leverage exposure | $ | 3,522,629 | | $ | 3,401,542 | | Total leverage exposure | $ | 4,463,904 | | $ | 3,401,542 | | |
SLR(d) | SLR(d) | 6.7 | % | 6.9 | % | SLR(d) | 5.5 | % | 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, other intangible assets and adjustments for the CECL capital transition 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 5.5% and 5.8% for the periodsperiod ended March 31, 2021 and December 31, 2020, respectively.2020.
Refer to Note 21 for JPMorgan Chase Bank, N.A.’s 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 98 of JPMorgan Chase’s 2020 Form 10-K for additional information on capital allocation.
The following table presents the capital allocated to each business segment.
| | Line of business equity (Allocated capital) | Line of business equity (Allocated capital) | Line of business equity (Allocated capital) |
(in billions) |
(in billions) | March 31,
2021 | | December 31,
2020 |
(in billions) | September 30,
2021 | | December 31,
2020 |
| Consumer & Community Banking | Consumer & Community Banking | $ | 50.0 | | | $ | 52.0 | | Consumer & Community Banking | $ | 50.0 | | | $ | 52.0 | |
| Corporate & Investment Bank | Corporate & Investment Bank | 83.0 | | | 80.0 | | Corporate & Investment Bank | 83.0 | | | 80.0 | |
| Commercial Banking | Commercial Banking | 24.0 | | | 22.0 | | Commercial Banking | 24.0 | | | 22.0 | |
| Asset & Wealth Management | Asset & Wealth Management | 14.0 | | | 10.5 | | Asset & Wealth Management | 14.0 | | | 10.5 | |
| Corporate | Corporate | 78.2 | | | 84.8 | | Corporate | 84.2 | | | 84.8 | |
| Total common stockholders’ equity | Total common stockholders’ equity | $ | 249.2 | | | $ | 249.3 | | Total common stockholders’ equity | $ | 255.2 | | | $ | 249.3 | |
Capital actions
Common stock dividends
The Firm’sOn September 21, 2021, the Firm announced that its Board of Directors had declared a quarterly common stock dividend, is currentlywhich increased to $1.00 per share from $0.90 per share.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 March 15, 2020, in response to the economic disruptions caused by the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common stock. Subsequently, the Federal Reserve directed all large banks, including the Firm, to discontinue net share repurchases through the end of 2020. 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 common stock dividends in the first quarterand 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 March 25,June 24, 2021, the Federal Reserve extended theseannounced that the temporary restrictions through at leaston capital distributions would expire on June 30, 2021 as a result of the second quarterFirm remaining above its minimum risk-based capital requirements under the 2021 Comprehensive Capital Analysis and Review ("CCAR") stress test. Effective July 1, 2021, the Firm became subject
to the normal capital distribution restrictions provided under the regulatory capital framework. The Firm continues to be authorized to repurchase common shares under its existing common share repurchase program previously approved by the Board of 2021.Directors.
Refer to capital planning and stress testing on page 4052 for additional information.
The following table sets forth the Firm’s repurchases of common stock for the three and nine months ended March 31,September 30, 2021 and 2020.
| | | Three months ended
March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | 2020 | | (in millions) | 2021 | 2020(a) | | 2021 | 2020(a) |
| Total number of shares of common stock repurchased | Total number of shares of common stock repurchased | 34.7 | | 50.0 | | | Total number of shares of common stock repurchased | 33.4 | | — | | | 107.6 | | 50.0 | |
| Aggregate purchase price of common stock repurchases | Aggregate purchase price of common stock repurchases | $ | 4,999 | | $ | 6,397 | | | Aggregate purchase price of common stock repurchases | $ | 5,240 | | $ | — | | | $ | 16,440 | | $ | 6,397 | |
(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 stock. Subsequently, the Federal Reserve directed all large banks, including the Firm, to discontinue net share repurchases through the end of 2020.
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 173pages 195-196 of this Form 10-Q and page 34 of JPMorgan Chase’s 2020 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.
Preferred stock
Preferred stock dividends declared were $379$402 million and $1.2 billion for the three and nine months ended March 31,September 30, 2021.
On March 17,During the nine months ended September 30, 2021, the Firm issued $1.5 billionand redeemed several series of 4.55% non-cumulative preferred stock, Series JJ. On April 30, 2021, the Firm announced that it will redeem on June 1, 2021 all $1.4 billion of its outstanding 6.10% non-cumulative preferred stock, Series AA and all $1.2 billion of its outstanding 6.15% non-cumulative preferred stock, Series BB.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 AprilJune 28, 2021, JPMorgan Chase announced that it had completed the 2021 CCAR stress test process. On August 5, 2021, the Firm submitted its 2021 Capital Plan to the Federal Reserve underaffirmed the Federal Reserve’sFirm's 2021 Comprehensive Capital Analysis and Review ("CCAR") process. The Firm anticipates that the Federal Reserve will disclose the Firm’s indicative Stress Capital Buffer ("SCB") requirement which will becomeof 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 summary information regarding the Firm’s stress test results by July 1, 2021. The Firm's SCB is currently 3.3%.
Based on the Federal Reserve's March 25, 2021 announcement, if the Firm remains above all of its minimum risk-based capital requirements based on the 2021 CCAR stress test results, the temporary restrictions on capital distributions currentlywill remain in effect will expire as planned on June 30, 2021. However, if the Firm falls below any of its minimum risk-based requirements in the 2021 CCAR stress test it will remain subject to the temporary restrictions through at leastuntil September 30, 2021.2022.
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 100 of JPMorgan Chase’s 2020 Form 10-K for additional information on TLAC.
The following table presents the TLAC and external long-term debt minimum requirements including applicable regulatory buffers, as of March 31, 2021 and December 31, 2020, except as noted below.
| | | | | | |
| Minimum Requirements |
TLAC to RWA(a)
| 22.5 | % | |
TLAC to leverage exposure | 9.5 | | |
External long-term debt to RWA | 9.5 | | |
External long-term debt to leverage | 4.5 | | |
(a)For the period ended December 31, 2020, the TLAC to RWA minimum requirement was 23.0%.
The following table presents the eligible external TLAC and eligible LTD amounts, as well as a representation of the amounts as a percentage of the Firm’s total RWA and total leverage exposure applying the impact of the CECL capital transition provisions as of March 31,September 30, 2021 and December 31, 2020.
| | | March 31, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020(a) |
| (in billions, except ratio) | (in billions, except ratio) | External TLAC | LTD | External TLAC | LTD | (in billions, except ratio) | External TLAC | LTD | External TLAC | LTD |
| Total eligible amount | Total eligible amount | $ | 432.5 | | $ | 188.3 | | $ | 421.0 | | $ | 181.4 | | Total eligible amount | $ | 461.5 | | $ | 208.7 | | $ | 421.0 | | $ | 181.4 | |
| % of RWA | % of RWA | 27.4 | % | 11.9 | % | 27.0 | % | 11.6 | % | % of RWA | 28.3 | % | 12.8 | % | 27.0 | % | 11.6 | % |
| | Minimum Requirements | | Minimum Requirements | 22.5 | | 9.5 | | 23.0 | | 9.5 | |
| Surplus/(shortfall) | Surplus/(shortfall) | $ | 77.6 | | $ | 38.5 | | $ | 62.1 | | $ | 33.1 | | Surplus/(shortfall) | $ | 95.1 | | $ | 54.0 | | $ | 62.1 | | $ | 33.1 | |
| % of total leverage exposure(a) | 12.3 | % | 5.3 | % | 12.4 | % | 5.3 | % | |
| % of total leverage exposure | | % of total leverage exposure | 10.3 | % | 4.7 | % | 12.4 | % | 5.3 | % |
| Minimum Requirements | | Minimum Requirements | 9.5 | | 4.5 | | 9.5 | | 4.5 | |
| | Surplus/(shortfall) | Surplus/(shortfall) | $ | 97.8 | | $ | 29.7 | | $ | 97.9 | | $ | 28.3 | | 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 42-4654-58 for further information on long-term debt issued by the Parent Company, including long-term debt issued subsequent to the period ended March 31, 2021.Company.
Refer to Part I, Item 1A: Risk Factors on pages 8-32 of JPMorgan Chase’s 2020 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.
Broker-dealer regulatory capital
J.P. Morgan Securities
JPMorgan Chase’s principal U.S. broker-dealer subsidiary is J.P. Morgan Securities. J.P. Morgan Securities is subject to Rule 15c3-1 under the Securities Exchange Act of 1934 (the “Net Capital Rule”). J.P. Morgan Securities is also registered as a futures commission merchant and is subject to regulatory capital requirements, including those imposed by the SEC, 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 91-101page 101 of JPMorgan Chase’s 2020 Form 10-K for a discussion on J.P. Morgan Securities’ capital requirements.
The following table presents J.P. Morgan Securities’ net capital:
| | March 31, 2021 | | |
| September 30, 2021 | | September 30, 2021 | |
| (in millions) | (in millions) | Actual | Minimum | (in millions) | Actual | Minimum |
| Net Capital | Net Capital | $ | 25,908 | | $ | 4,966 | | 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 implementhave implemented Basel III and thereby subject J.P. Morgan Securities plc to its requirements.
Refer to Capital risk managementBroker-dealer regulatory capital on pages 91-101page 101 of JPMorgan Chase’s 2020 Form 10-K for a further discussion on J.P. Morgan Securities plc.
The Bank of England requires, on a transitional basis, that U.K. banks, including U.K. regulated subsidiaries of overseas groups, maintain a minimum requirement for own funds and eligible liabilities (“MREL”). As of March 31,September 30, 2021, J.P. Morgan Securities plc was compliant with the requirements of the MREL rule.
The following table presents J.P. Morgan Securities plc’s capital metrics:
| | March 31, 2021 | | |
| September 30, 2021 | | September 30, 2021 | | Regulatory Minimum ratios(a) |
| (in millions, except ratios) | (in millions, except ratios) | Estimated | Minimum ratios | (in millions, except ratios) | Estimated |
| Total capital | Total capital | $ | 54,673 | | | Total capital | $ | 54,842 | | |
| CET1 ratio | CET1 ratio | 17.2 | % | 4.5 | % | CET1 ratio | 16.6 | % | 4.5 | % |
| Total capital ratio | Total capital ratio | 22.0 | % | 8.0 | % | Total capital ratio | 21.2 | % | 8.0 | % |
| | | | | | | | | | | | | | |
| LIQUIDITY RISK MANAGEMENT |
Liquidity risk is the risk that the Firm will be unable to meet its contractual and contingent financial obligations as they arise or that it does not have the appropriate amount, composition and tenor of funding and liquidity to support its assets and liabilities. Refer to pages 102–108 of JPMorgan Chase’s 2020 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 eligible HQLA that is sufficient to meet their 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 103 of JPMorgan Chase’s 2020 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 and JPMorgan Chase Bank, N.A.’s average LCR for the three months ended March 31,September 30, 2021, December 31, 2020June 30, 2021 and March 31,September 30, 2020 based on the Firm’s interpretation of the LCR framework.
| | | Three months ended | | Three months ended |
Average amount
(in millions) | Average amount
(in millions) | March 31,
2021 | December 31, 2020 | March 31,
2020 | Average amount
(in millions) | September 30,
2021 | June 30, 2021 | September 30,
2020 |
| | JPMorgan Chase & Co. | JPMorgan Chase & Co. | | JPMorgan Chase & Co. | |
| HQLA | HQLA | | HQLA | |
Eligible cash(a) | Eligible cash(a) | $ | 578,029 | | $ | 455,612 | | $ | 205,027 | | Eligible cash(a) | $ | 690,013 | | $ | 673,724 | | $ | 458,336 | |
Eligible securities(b)(c) | Eligible securities(b)(c) | 118,542 | | 241,447 | | 343,124 | | Eligible securities(b)(c) | 34,049 | | 42,832 | | 211,841 | |
Total HQLA(d) | Total HQLA(d) | $ | 696,571 | | $ | 697,059 | | $ | 548,151 | | Total HQLA(d) | $ | 724,062 | | $ | 716,556 | | $ | 670,177 | |
| Net cash outflows | Net cash outflows | $ | 634,221 | | $ | 634,037 | | $ | 482,372 | | Net cash outflows | $ | 645,557 | | $ | 647,757 | | $ | 587,811 | |
| LCR | LCR | 110 | % | 110 | % | 114 | % | LCR | 112 | % | 111 | % | 114 | % |
Net excess eligible HQLA(d) | Net excess eligible HQLA(d) | $ | 62,350 | | $ | 63,022 | | $ | 65,779 | | Net excess eligible HQLA(d) | $ | 78,505 | | $ | 68,799 | | $ | 82,366 | |
| JPMorgan Chase Bank N.A.: | JPMorgan Chase Bank N.A.: | | JPMorgan Chase Bank N.A.: | |
| LCR | LCR | 166 | % | 160 | % | 117 | % | LCR | 174 | % | 171 | % | 157 | % |
| Net excess eligible HQLA | Net excess eligible HQLA | $ | 442,617 | | $ | 401,903 | | $ | 87,126 | | Net 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 was 110% forincreased during the three months ended March 31,September 30, 2021, and December 31, 2020.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 March 31,September 30, 2021, compared with the prior year period primarily due to the relative impact on net cash outflows from athe significant increase in deposits.
JPMorgan Chase Bank, N.A.’s average LCR increased during the three months ended March 31,September 30, 2021, compared with both the three month periods ended December 31, 2020June 30, 2021 and March 31,September 30, 2020 primarily due to growth in deposits. Deposits continued to increase in the firstthird quarter primarily driven by the effect of certain government actions in response to the COVID-19 pandemic. The increase in excess liquidity in JPMorgan Chase Bank, N.A. is excluded from the Firm’s reported LCR under the LCR rule.
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 and 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. The fair value of these securities was approximately $841$878 billion and $740 billion as of March 31,September 30, 2021 and December 31, 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, 2020, primarily due to an increase in CIB trading assets and an increase in excess eligible HQLA at JPMorgan Chase Bank, N.A. which was primarily a result of increased deposits.higher deposits as well as an increase in CIB trading assets.
The Firm also had available borrowing capacity at the 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 $301$303 billion and $307 billion as of March 31,September 30, 2021 and December 31, 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. 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
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.
The
As of September 30, 2021, the Firm estimates that it isand JPMorgan Chase Bank, N.A. are compliant with the 100% minimum NSFR, which becomes effective July 1, 2021, based on itsthe 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 March 31,September 30, 2021, and December 31, 2020, and the average deposit balances for the three and nine months ended March 31,September 30, 2021 and 2020, respectively.
| | | March 31, 2021 | December 31, 2020 | | Three months ended March 31, | | | | September 30, 2021 | December 31, 2020 | | Three months ended September 30, | | Nine months ended September 30, | |
| Deposits | Deposits | | Average | | | Deposits | | Average | | Average | |
| (in millions) | (in millions) | | 2021 | 2020 | | | December 31, 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| Consumer & Community Banking | Consumer & Community Banking | $ | 1,037,903 | | $ | 958,706 | | | $ | 979,686 | | $ | 739,709 | | | | Consumer & Community Banking | $ | 1,093,852 | | | $ | 1,076,323 | | $ | 895,535 | | | $ | 1,034,947 | | $ | 825,493 | | |
| Corporate & Investment Bank | Corporate & Investment Bank | 726,708 | | 702,215 | | | 747,087 | | 562,226 | | | | Corporate & Investment Bank | 750,920 | | | 762,539 | | 678,843 | | | 758,534 | | 631,351 | | |
| Commercial Banking | Commercial Banking | 295,748 | | 284,263 | | | 290,818 | | 188,683 | | | | Commercial Banking | 314,726 | | 284,263 | | | 300,433 | | 248,078 | | | 293,817 | | 224,591 | | |
| Asset & Wealth Management | Asset & Wealth Management | 217,460 | | 198,755 | | | 206,562 | | 144,570 | | | | Asset & Wealth Management | 242,309 | | 198,755 | | | 229,710 | | 162,589 | | | 218,742 | | 155,779 | | |
| Corporate | Corporate | 293 | | 318 | | | 479 | | 998 | | | | Corporate | 546 | | 318 | | | 454 | | 554 | | | 452 | | 760 | | |
| Total Firm | Total Firm | $ | 2,278,112 | | $ | 2,144,257 | | | $ | 2,224,632 | | $ | 1,636,186 | | | | 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 March 31,September 30, 2021 and December 31, 2020.
| | (in billions except ratios) | (in billions except ratios) | March 31, 2021 | | December 31, 2020 | (in billions except ratios) | September 30, 2021 | | December 31, 2020 |
| Deposits | Deposits | $ | 2,278.1 | | | $ | 2,144.3 | | Deposits | $ | 2,402.4 | | | $ | 2,144.3 | |
| Deposits as a % of total liabilities | Deposits as a % of total liabilities | 67 | % | | 69 | % | Deposits as a % of total liabilities | 69 | % | | 69 | % |
| Loans | Loans | $ | 1,011.3 | | | $ | 1,012.9 | | Loans | $ | 1,044.6 | | | $ | 1,012.9 | |
| Loans-to-deposits ratio | Loans-to-deposits ratio | 44 | % | | 47 | % | Loans-to-deposits ratio | 43 | % | | 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 March 31,September 30, 2021 compared to the three and nine months ended March 31,September 30, 2020, reflecting significant inflows 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 lower spending, as well as growth from existing and new accounts across both consumer and small business customers.
Refer to the discussion of the Firm’s Business Segment Results and the Consolidated Balance Sheets Analysis on pages 18-3422-46 and pages 12-13,16-17, respectively, for further information on deposit and liability balance trends.
The following table summarizes short-term and long-term funding, excluding deposits, as of March 31,September 30, 2021, and December 31, 2020, and average balances for the three and nine months ended March 31, September 30, 2021 and 2020, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 12-1316-17 and Note 10 for additional information.
| | | March 31, 2021 | December 31, 2020 | | Three months ended March 31, | | | | September 30, 2021 | December 31, 2020 | | Three months ended September 30, | | Nine months ended September 30, | |
| Sources of funds (excluding deposits) | Sources of funds (excluding deposits) | Average | | | Sources of funds (excluding deposits) | Average | | Average | |
| (in millions) | (in millions) | 2021 | | 2020 | | | | 2021 | | 2020 | | 2021 | | 2020 | |
| Commercial paper | Commercial paper | $ | 15,189 | | $ | 12,031 | | | $ | 12,853 | | | $ | 13,974 | | | | Commercial paper | $ | 10,309 | | $ | 12,031 | | $ | 10,304 | | | $ | 10,921 | | | $ | 12,275 | | | $ | 12,968 | | |
| Other borrowed funds | Other borrowed funds | 12,416 | | 8,510 | | | 11,246 | | | 9,093 | | | | Other borrowed funds | 10,788 | | 8,510 | | 12,257 | | | 8,791 | | | 12,467 | | | 8,832 | | |
| Total short-term unsecured funding | Total short-term unsecured funding | $ | 27,605 | | $ | 20,541 | | | $ | 24,099 | | | $ | 23,067 | | | | 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) | $ | 293,080 | | $ | 207,877 | | | $ | 291,405 | | | $ | 234,394 | | | | 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) | 8,396 | | 4,886 | | | 7,562 | | | 7,349 | | | | Securities loaned(a) | 6,529 | | 4,886 | | | 7,395 | | | 6,563 | | | 7,488 | | | 6,620 | | |
| Other borrowed funds | Other borrowed funds | 27,373 | | 24,667 | | (f) | 25,959 | | (f) | 19,761 | | (f) | | Other borrowed funds | 29,296 | | 24,667 | | (f) | 29,571 | | | 23,755 | | (f) | | 27,953 | | (f) | 23,907 | | (f) |
Obligations of Firm-administered multi-seller conduits(b) | Obligations of Firm-administered multi-seller conduits(b) | $ | 9,030 | | $ | 10,523 | | | $ | 10,211 | | | $ | 9,898 | | | | Obligations of Firm-administered multi-seller conduits(b) | $ | 8,612 | | $ | 10,523 | | | $ | 9,620 | | | $ | 12,120 | | | $ | 9,896 | | | $ | 11,484 | | |
| Total short-term secured funding | Total short-term secured funding | $ | 337,879 | | $ | 247,953 | | | $ | 335,137 | | | $ | 271,402 | | | | Total short-term secured funding | $ | 290,615 | | $ | 247,953 | | | $ | 277,924 | | | $ | 287,076 | | | $ | 303,183 | | | $ | 291,098 | | |
| | Senior notes | Senior notes | $ | 166,960 | | $ | 166,089 | | | $ | 167,453 | | | $ | 165,741 | | | | Senior notes | $ | 187,069 | | $ | 166,089 | | | $ | 188,568 | | | $ | 178,282 | | | $ | 178,697 | | | $ | 174,014 | | |
| | Subordinated debt | Subordinated debt | 20,522 | | 21,608 | | | 21,251 | | | 18,155 | | | | Subordinated debt | 20,689 | | 21,608 | | | 20,956 | | | 22,234 | | | 20,954 | | | 20,448 | | |
Structured notes(c) | Structured notes(c) | 74,389 | | 75,325 | | | 75,039 | | | 72,848 | | | | Structured notes(c) | 75,255 | | 75,325 | | | 75,285 | | | 74,038 | | | 75,226 | | | 72,665 | | |
| Total long-term unsecured funding | Total long-term unsecured funding | $ | 261,871 | | $ | 263,022 | | | $ | 263,743 | | | $ | 256,744 | | | | Total long-term unsecured funding | $ | 283,013 | | $ | 263,022 | | | $ | 284,809 | | | $ | 274,554 | | | $ | 274,877 | | | $ | 267,127 | | |
| Credit card securitization(b) | Credit card securitization(b) | $ | 4,319 | | $ | 4,943 | | | $ | 4,825 | | | $ | 6,171 | | | | Credit card securitization(b) | $ | 2,396 | | $ | 4,943 | | | $ | 2,396 | | | $ | 5,070 | | | $ | 3,412 | | | $ | 5,714 | | |
| | FHLB advances | FHLB advances | 13,121 | | 14,123 | | | 13,733 | | | 27,128 | | | | FHLB advances | 11,113 | | 14,123 | | | 11,713 | | | 30,628 | | | 12,532 | | | 31,293 | | |
Other long-term secured funding(d) | Other long-term secured funding(d) | 4,435 | | 4,540 | | | 4,626 | | | 4,408 | | | | Other long-term secured funding(d) | 4,339 | | 4,540 | | | 4,379 | | | 4,189 | | | 4,487 | | | 4,432 | | |
| Total long-term secured funding | Total long-term secured funding | $ | 21,875 | | $ | 23,606 | | | $ | 23,184 | | | $ | 37,707 | | | | Total long-term secured funding | $ | 17,848 | | $ | 23,606 | | | $ | 18,488 | | | $ | 39,887 | | | $ | 20,431 | | | $ | 41,439 | | |
| Preferred stock(e) | Preferred stock(e) | $ | 31,563 | | $ | 30,063 | | | $ | 30,312 | | | $ | 29,406 | | | | Preferred stock(e) | $ | 34,838 | | $ | 30,063 | | | $ | 34,229 | | | $ | 30,063 | | | $ | 32,417 | | | $ | 29,844 | | |
Common stockholders’ equity(e) | Common stockholders’ equity(e) | $ | 249,151 | | $ | 249,291 | | | $ | 245,542 | | | $ | 234,530 | | | | Common stockholders’ equity(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)Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.
(c)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
(d)Includes long-term structured notes which are secured.
(e)Refer to Capital Risk Management on pages 36-4148-53 and Consolidated statements of changes in stockholders’ equity on page 8294 of this Form 10-Q, and Note 21 and Note 22 of JPMorgan Chase’s 2020 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 March 31,September 30, 2021, compared with December 31, 2020, reflecting higherthe impact of client activities and secured financing of trading assets in CIB Markets, partially offset by lower secured financing of AFS investment securities in Treasury and CIO, as well as higher trading assets in CIB, andthe impact of client activities in CIB.CIO.
The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to 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.
The Firm’s sources of short-term unsecured funding consist of other borrowed funds and issuance of wholesale commercial paper. The increasedecrease in commercial paper at March 31,September 30, 2021, from December 31, 2020 was due to higherlower 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, 2021 compared to the prior year period, was primarily due to net issuances of structured notes and higher overdrafts in CIB Markets.
Long-term funding and issuance
Long-term funding provides an additional source 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 March 31,September 30, 2021 and 2020. Refer to Liquidity Risk Management on pages 102–108 and Note 20 of JPMorgan Chase’s 2020 Form 10-K for additional information on the IHC and long-term debt.
| | Long-term unsecured funding | Long-term unsecured funding | | | | | | Long-term unsecured funding | | | | | | |
| | Three months ended March 31, | | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, | | Three months ended September 30, | | Nine months ended September 30, |
| | 2021 | 2020 | | | 2021 | 2020 | | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| (Notional in millions) | (Notional in millions) | Parent Company | | Subsidiaries | (Notional in millions) | Parent Company | | Subsidiaries |
| Issuance | Issuance | | | | | Issuance | |
| Senior notes issued in the U.S. market | Senior notes issued in the U.S. market | $ | 9,250 | | $ | 5,250 | | | | $ | — | | $ | — | | | Senior notes issued in the U.S. market | $ | 4,500 | | $ | 1,000 | | | $ | 33,750 | | $ | 19,750 | | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Senior notes issued in non-U.S. markets | Senior notes issued in non-U.S. markets | 2,792 | | 1,355 | | | | — | | — | | | Senior notes issued in non-U.S. markets | — | | — | | | 5,581 | | 1,355 | | | — | | — | | | — | | — | |
| Total senior notes | Total senior notes | 12,042 | | 6,605 | | | | — | | — | | | Total senior notes | 4,500 | | 1,000 | | | 39,331 | | 21,105 | | | — | | — | | | — | | — | |
| Subordinated debt | Subordinated debt | — | | — | | | | — | | — | | | Subordinated debt | — | | — | | | — | | 3,000 | | | — | | — | | | — | | — | |
Structured notes(a) | Structured notes(a) | 1,496 | | 2,782 | | | | 10,495 | | 9,252 | | | Structured notes(a) | 798 | | 1,170 | | | 3,733 | | 6,478 | | | 8,145 | | 3,778 | | | 25,925 | | 16,892 | |
| Total long-term unsecured funding – issuance | Total long-term unsecured funding – issuance | $ | 13,538 | | $ | 9,387 | | | | $ | 10,495 | | $ | 9,252 | | | Total long-term unsecured funding – issuance | $ | 5,298 | | $ | 2,170 | | | $ | 43,064 | | $ | 30,583 | | | $ | 8,145 | | $ | 3,778 | | | $ | 25,925 | | $ | 16,892 | |
| | Maturities/redemptions | Maturities/redemptions | | | | | Maturities/redemptions | |
| Senior notes | Senior notes | $ | 2,700 | | $ | 5,466 | | | | $ | 66 | | $ | 4,065 | | | Senior notes | $ | 3,523 | | $ | 16,697 | | | $ | 10,840 | | $ | 24,781 | | | $ | — | | $ | 5 | | | $ | 66 | | $ | 7,642 | |
| | Subordinated debt | Subordinated debt | — | | — | | | | — | | — | | | Subordinated debt | 4 | | 100 | | | 4 | | 100 | | | — | | — | | | — | | — | |
| Structured notes | Structured notes | 1,970 | | 1,525 | | | | 8,514 | | 9,382 | | | Structured notes | 530 | | 1,879 | | | 3,691 | | 4,713 | | | 7,280 | | 7,513 | | | 25,453 | | 22,250 | |
| Total long-term unsecured funding – maturities/redemptions | Total long-term unsecured funding – maturities/redemptions | $ | 4,670 | | $ | 6,991 | | | | $ | 8,580 | | $ | 13,447 | | | 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.
Subsequent to March 31, 2021, the Parent Company issued approximately $16 billion of senior notes.
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 March 31,September 30, 2021 and 2020, respectively.
| | Long-term secured funding | Long-term secured funding | | | Long-term secured funding | | | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| | Issuance | | Maturities/Redemptions | | | Issuance | | Maturities/Redemptions | | Issuance | | Maturities/Redemptions |
| (in millions) | (in millions) | 2021 | 2020 | | 2021 | 2020 | | (in millions) | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| Credit card securitization | Credit card securitization | $ | — | | $ | 1,000 | | | $ | 625 | | $ | 900 | | | Credit card securitization | $ | — | | $ | — | | | $ | — | | $ | 851 | | | $ | — | | $ | 1,000 | | | $ | 2,550 | | $ | 2,525 | |
| | FHLB advances | FHLB advances | — | | 15,000 | | | 1,001 | | 7,503 | | | FHLB advances | — | | — | | | 1,002 | | 20,002 | | | — | | 15,000 | | | 3,008 | | 27,507 | |
Other long-term secured funding(a) | Other long-term secured funding(a) | 138 | | 234 | | | 108 | | 205 | | | Other long-term secured funding(a) | 63 | | 553 | | | 238 | | 473 | | | 304 | | 876 | | | 430 | | 907 | |
| Total long-term secured funding | Total long-term secured funding | $ | 138 | | $ | 16,234 | | | $ | 1,734 | | $ | 8,608 | | | 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 2020 Form 10-K for further description of the client-driven loan securitizations.
Credit ratings
The cost and availability of financing are influenced by credit ratings. Reductions in these ratings could have an adverse effect on the Firm’s access to liquidity sources, increase the cost of funds, trigger additional collateral or funding requirements and decrease the number of investors and counterparties willing to lend to the Firm. The nature and magnitude of the impact of ratings downgrades depends on numerous contractual and behavioral factors, which the Firm believes are incorporated in its liquidity risk and stress testing metrics. The Firm believes that it maintains sufficient liquidity to withstand a potential decrease in funding capacity due to ratings downgrades.
Additionally, the Firm’s funding requirements for VIEs and other third-party commitments may be adversely affected by a decline in credit ratings. Refer to SPEs on page 15,19, and liquidity risk and credit-related contingent features in Note 4 for additional information on the impact of a credit ratings downgrade on the funding requirements for VIEs, and on derivatives and collateral agreements.
The credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries as of March 31,September 30, 2021, except as noted below, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| JPMorgan Chase & Co. | | JPMorgan Chase Bank, N.A. | | J.P. Morgan Securities LLC
J.P. Morgan Securities plc |
March 31,September 30, 2021 | Long-term issuer | Short-term issuer | Outlook | | Long-term issuer | Short-term issuer | Outlook | | Long-term issuer | Short-term issuer | Outlook |
Moody’s Investors Service(a) | A2 | P-1 | Positive/Stable | | Aa2 | P-1 | Stable | | Aa3 | P-1 | Stable |
Standard & Poor’s(b) | A- | A-2 | StablePositive | | A+ | A-1 | StablePositive | | A+ | A-1 | StablePositive |
Fitch Ratings (a)(c) | AA- | F1+ | Stable | | AA | F1+ | Stable | | AA | F1+ | Stable |
(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 23, 2021, Fitch affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries, and revised the outlook from negative to stable.
Refer to page 108 of JPMorgan Chase’s 2020 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.
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| 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 48-6461-76 for a further discussion of Credit Risk.
Refer to page 6577 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 110–134 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the Firm’s Credit and Investment Risk Management framework.
Credit risk is the risk associated with the default or change in credit profile of a client, counterparty or customer.
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 11, 22, and 4 for additional information on the Firm’s loans, lending-related commitments and derivative receivables, including the Firm’s accounting policies.receivables.
Refer to Note 9 for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 10 for information regarding the credit risk inherent in the securities financing portfolio. Refer to Consumer Credit Portfolio on pages 48-5261-65 and Note 11 for further discussions of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 53-6266-74 and Note 11 for further discussions of the wholesale credit environment and wholesale loans.
| | Total credit portfolio | Total credit portfolio | | | | Total credit portfolio | | | |
| | Credit exposure | | Nonperforming(c) | | Credit exposure | | Nonperforming(d) |
| (in millions) | (in millions) | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | (in millions) | Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 |
| Loans retained | Loans retained | $ | 948,642 | | $ | 960,506 | | | $ | 8,397 | | $ | 8,782 | | Loans retained | $ | 974,260 | | $ | 960,506 | | | $ | 6,995 | | $ | 8,782 | |
| Loans held-for-sale | Loans held-for-sale | 11,898 | | 7,873 | | | 165 | | 284 | | Loans held-for-sale | 9,727 | | 7,873 | | | 190 | | 284 | |
| Loans at fair value | Loans at fair value | 50,767 | | 44,474 | | | 1,144 | | 1,507 | | Loans at fair value | 60,628 | | 44,474 | | | 1,058 | | 1,507 | |
| Total loans–reported | 1,011,307 | | 1,012,853 | | | 9,706 | | 10,573 | | |
| Total loans | | Total loans | 1,044,615 | | 1,012,853 | | | 8,243 | | 10,573 | |
| Derivative receivables | Derivative receivables | 73,119 | | 79,630 | | | 284 | | 56 | | Derivative receivables | 67,908 | | 75,444 | | (c) | 393 | | 56 | |
Receivables from customers(a) | Receivables from customers(a) | 58,180 | | 47,710 | | | — | | — | | Receivables from customers(a) | 58,752 | | 47,710 | | | — | | — | |
| Total credit-related assets | Total credit-related assets | 1,142,606 | | 1,140,193 | | | 9,990 | | 10,629 | | Total credit-related assets | 1,171,275 | | 1,136,007 | | | 8,636 | | 10,629 | |
| Assets acquired in loan satisfactions | Assets acquired in loan satisfactions | | Assets acquired in loan satisfactions | |
| Real estate owned | Real estate owned | NA | NA | | 250 | | 256 | | Real estate owned | NA | NA | | 229 | | 256 | |
| Other | Other | NA | NA | | 17 | | 21 | | Other | NA | NA | | 17 | | 21 | |
Total assets acquired in loan satisfactions | Total assets acquired in loan satisfactions | NA | NA | | 267 | | 277 | | Total assets acquired in loan satisfactions | NA | NA | | 246 | | 277 | |
| Lending-related commitments | Lending-related commitments | 1,211,856 | | 1,165,688 | | | 800 | | 577 | | Lending-related commitments | 1,266,530 | | 1,165,688 | | | 641 | | 577 | |
| Total credit portfolio | Total credit portfolio | $ | 2,354,462 | | $ | 2,305,881 | | | $ | 11,057 | | $ | 11,483 | | Total credit portfolio | $ | 2,437,805 | | $ | 2,301,695 | | | $ | 9,523 | | $ | 11,483 | |
Credit derivatives used in credit portfolio management activities(b) | $ | (22,649) | | $ | (22,239) | | | $ | — | | $ | — | | |
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) | $ | (33,868) | | $ | (23,965) | | | $ | — | | $ | — | |
| Liquid securities and other cash collateral held against derivatives | Liquid securities and other cash collateral held against derivatives | (13,958) | | (14,806) | | | NA | NA | Liquid securities and other cash collateral held against derivatives | (11,001) | | (14,806) | | | NA | NA |
| (in millions,
except ratios) | (in millions,
except ratios) | Three months ended March 31, | | (in millions,
except ratios) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | (in millions,
except ratios) | 2021 | 2020 | | 2021 | 2020 |
| Net charge-offs | Net charge-offs | $ | 1,057 | | $ | 1,469 | | | $ | 524 | | $ | 1,180 | | | $ | 2,315 | | $ | 4,209 | |
| Average retained loans | Average retained loans | 952,068 | | 948,635 | | | Average retained loans | 968,369 | | 950,850 | | | 958,260 | | 962,054 | |
| Net charge-off rates | Net charge-off rates | 0.45 | % | 0.62 | % | | Net charge-off rates | 0.21 | % | 0.49 | % | | 0.32 | % | 0.58 | % |
(a)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.
(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. Referexposures. Prior-period amount has been revised to Credit derivatives on page 62 and Note 4 for additional information.conform with the current presentation.
(c)Prior-period amounts have been revised to conform with the current presentation.
(d)At March 31,September 30, 2021, and December 31, 2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $798$644 million and $874 million, respectively, and real estate owned (“REO”) insured by U.S. government agencies of $8$5 million and $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.
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”). 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 48-5261-65 and Wholesale Credit Portfolio on pages 53-6266-74 for information on loan modifications as of March 31,September 30, 2021. Refer to Notes 12 and 13 of JPMorgan Chase's 2020 Form 10-K for further information on the Firm’s accounting policies for loan modifications and the allowance for credit losses.
Paycheck Protection Program
The Firm continues to participate in the PPP, for which the application deadline was extended to May 31, 2021. At March 31,September 30, 2021 and December 31, 2020, the Firm had approximately $32$13 billion and $27 billion, respectively, of PPP loans under the PPP, respectively,remaining, including $23$11 billion and $19 billion, respectively, in the consumer portfolio, and $9$2 billion and $8 billion, respectively, in the wholesale portfolio. The impact on interest income related to PPP loans was not material forSince inception of the three months ended March 31, 2021.
When certain criteria are met, PPP loans are subject to forgiveness andProgram, the Firm will receive paymentfunded approximately $40 billion of the forgiveness amount from the SBA. loans. The PPP ended on May 31, 2021 for new applications.
The Firm continues to process forgiveness applications, and through March 31,September 30, 2021, approximately $7$27 billion of loans were forgiven.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.
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| 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. In the first quarter of 2021, theThe macroeconomic environment continued to improve. Theimprove in 2021, with the credit performance of the consumer portfolio, including net charge-offs, benefitedbenefiting from government stimulus programs, payment deferralsdeferral programs and increasing home prices. The Firm may obtain
credit protection against certain pools of loans in the retained consumer portfolio through the issuance of credit linked notes. 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 22 of this Form 10-Q and Note 28 of JPMorgan Chase's 2020 Form 10-K for further information on lending-related commitments.
The following table presents consumer credit-related information with respect to the scored credit portfolios held in CCB, AWM, CIB and Corporate.
| | Consumer credit portfolio | Consumer credit portfolio | | | | Consumer credit portfolio | | | | |
| | | Three months ended March 31, | | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except ratios) | (in millions, except ratios) | Credit exposure | | Nonaccrual loans(i)(j) | | Net charge-offs/(recoveries) | | Net charge-off/(recovery) rate(k) | | (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) |
Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | 2021 | 2020 | | 2021 | | 2020 | | (in millions, except ratios) | Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| Consumer, excluding credit card | Consumer, excluding credit card | | | |
Residential real estate(a) | Residential real estate(a) | $ | 219,173 | | $ | 225,302 | | | $ | 5,247 | | $ | 5,313 | | | $ | (51) | | $ | (120) | | | (0.09) | % | | (0.20) | % | | 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) | 83,219 | | 76,825 | | | 135 | | 151 | | | 72 | | 114 | | | 0.37 | | (d) | 0.89 | | | 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 – retained | Total loans – retained | 302,392 | | 302,127 | | | 5,382 | | 5,464 | | | 21 | | (6) | | | 0.03 | | | (0.01) | | | Total loans – retained | 298,308 | | 302,127 | | | 4,911 | | 5,464 | | | (8) | | 60 | | | (0.01) | | 0.08 | | | (18) | | 137 | | | (0.01) | | 0.06 | |
| Loans held-for-sale | Loans held-for-sale | 1,232 | | 1,305 | | | — | | — | | | NA | NA | | NA | | NA | | Loans held-for-sale | 1,407 | | 1,305 | | | — | | — | | | NA | NA | | NA | NA | | NA | NA | | NA | NA |
Loans at fair value(e) | Loans at fair value(e) | 21,284 | | 15,147 | | | 608 | | 1,003 | | | NA | NA | | NA | | NA | | Loans at fair value(e) | 28,449 | | 15,147 | | | 440 | | 1,003 | | | NA | NA | | NA | NA | | NA | NA | | NA | NA |
| Total consumer, excluding credit card loans | Total consumer, excluding credit card loans | 324,908 | | 318,579 | | | 5,990 | | 6,467 | | | 21 | | (6) | | | 0.03 | | | (0.01) | | | Total consumer, excluding credit card loans | 328,164 | | 318,579 | | | 5,351 | | 6,467 | | | (8) | | 60 | | | (0.01) | | 0.08 | | | (18) | | 137 | | | (0.01) | | 0.06 | |
Lending-related commitments(f) | Lending-related commitments(f) | 56,245 | | 57,319 | | | | Lending-related commitments(f) | 56,684 | | 57,319 | | |
| Total consumer exposure, excluding credit card | Total consumer exposure, excluding credit card | 381,153 | | 375,898 | | | | Total consumer exposure, excluding credit card | 384,848 | | 375,898 | | |
| Credit card | Credit card | | | | Credit card | | |
Loans retained(g) | Loans retained(g) | 131,772 | | 143,432 | | | NA | NA | | 983 | | 1,313 | | | 2.97 | | | 3.25 | | | Loans retained(g) | 143,166 | | 143,432 | | | NA | NA | | 495 | | 1,028 | | | 1.39 | | 2.92 | | | 2,233 | | 3,519 | | | 2.18 | | 3.17 | |
| Loans held-for-sale | Loans held-for-sale | 721 | | 784 | | | NA | NA | | NA | NA | | NA | | NA | | Loans held-for-sale | — | | 784 | | | NA | NA | | NA | NA | | NA | NA | | NA | NA | | NA | NA |
| Total credit card loans | Total credit card loans | 132,493 | | 144,216 | | | NA | NA | | 983 | | 1,313 | | | 2.97 | | | 3.25 | | | Total credit card loans | 143,166 | | 144,216 | | | NA | NA | | 495 | | 1,028 | | | 1.39 | | 2.92 | | | 2,233 | | 3,519 | | | 2.18 | | 3.17 | |
Lending-related commitments(f)(h) | Lending-related commitments(f)(h) | 674,367 | | 658,506 | | | | Lending-related commitments(f)(h) | 710,610 | | 658,506 | | |
Total credit card exposure(h) | Total credit card exposure(h) | 806,860 | | 802,722 | | | | Total credit card exposure(h) | 853,776 | | 802,722 | | |
Total consumer credit portfolio(h) | Total consumer credit portfolio(h) | $ | 1,188,013 | | $ | 1,178,620 | | | $ | 5,990 | | $ | 6,467 | | | $ | 1,004 | | $ | 1,307 | | | 0.93 | % | | 1.15 | % | | Total consumer credit portfolio(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 March 31,September 30, 2021 and December 31, 2020, excluded operating lease assets of $20.0$18.3 billion and $20.6 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. Refer to Note 16 for further information.
(c)Includes scored auto and business banking loans and overdrafts.
(d)At March 31,September 30, 2021 and December 31, 2020, included $23.4$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 page 4760 for a further discussion of the PPP.
(e)Includes scored mortgage loans held in CCB and CIB.
(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 22 for further information.
(g)Includes billed interest and fees.
(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 March 31,September 30, 2021 and December 31, 2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $798$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.
(j)(k)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 arewere 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.
(k)(l)Average consumer loans held-for-sale and loans at fair value were $21.3$35.2 billion and $22.4$16.0 billion for the three months ended March 31,September 30, 2021 and 2020, respectively, and were $27.9 billion and $18.2 billion for the nine months ended September 30, 2021 and 2020, respectively. These amounts were excluded when calculating net charge-off/(recovery) rates.
Consumer assistance
In March 2020, the Firm began providing assistance to customers in response to the COVID-19 pandemic, predominantly in the form of payment deferrals.
As of March 31, 2021, the Firm had $9.3 billion of retained loans under payment deferral programs, which represented a decrease of approximately $1.5 billion from December 31, 2020, $3.0 billion from September 30, 2020 and $19.0 billion from June 30, 2020. During the firstthird quarter of 2021, there were approximately $886$390 million of new enrollments
in consumer payment deferral programs.
As of September 30, 2021, the Firm had approximately $3.7 billion of retained consumer loans under payment deferral programs, a decrease of approximately $24.6 billion from June 30, 2020. The loans under deferral were predominantly in residential real estate and credit card.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.
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| March 31, 2021 | | December 31, 2020 | | September 30, 2020 | | June 30, 2020 | | |
| (in millions, except ratios) | Loan balance | Percent of loan class balance(e) | Percent of accounts who exited payment deferral and are current | | Loan balance | | Loan balance | | | | | Loan balance | | | Type of assistance |
Residential real estate(a)(b) | $ | 9,059 | | 4.1 | % | 96 | % | | $ | 10,106 | | | $ | 11,458 | | | | | | $ | 20,548 | | | | Rolling three month payment deferral up to eighteen months; in most cases, deferred payments will be due at the end of the loan term |
Auto and other(c) | 127 | | 0.2 | | 96 | | | 377 | | | 457 | | | | | | 3,357 | | | | •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 card | 105 | | 0.1 | | 94 | | (f) | 264 | | | 368 | | | | | | 4,384 | | | | 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(d) | $ | 9,291 | | 2.1 | % | 94 | % | | $ | 10,747 | | | $ | 12,283 | | | | | | $ | 28,289 | | | |
(a)Excludes $11.0 billion, $13.4 billion, $17.1 billion and $34.0Of the $3.7 billion of third-party mortgageretained loans serviced at March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020, respectively.
(b)The weighted average LTV ratio of residential real estate loans under payment deferral at March 31, 2021 was 52%.
(c)Excludes risk-rated business banking and auto dealer loans held in CCB and auto operating lease assets that were still under payment deferral programs. Auto operating lease asset payment assistance is currently offering one month payment deferral (initially offered three month payment deferral). Deferrals do not extend the termprograms as of the lease and all deferred payments are due at the end of the lease term.
(d)Includes $3.6September 30, 2021, approximately $1.6 billion $3.8 billion, $3.8 billion and $5.7 billion of loans that were accounted for as TDRs prior to payment deferral as of March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020, respectively.
(e)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.
(f)89% of the balance that exited deferral were current at March 31, 2021.
Of the $9.3 billion of loans still under payment deferral programs as of March 31, 2021, approximately $3.9 billion$100 million were accounted for as TDRs either because they were accounted for as TDRs prior to payment deferral, or because they did not qualify for or the Firm did not elect the option to suspend TDR accounting guidance provided by the CARES Act and extended by the Consolidated Appropriations Act.
Predominantly all borrowers, including those with loans accounted for as TDRs, 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 due at maturity upon exit. For those borrowers Borrowers that are unable to resume or continue making payments in accordance with the original or modified contractual terms of their agreements upon exit from deferral programs they 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.
Consumer, excluding credit card
Portfolio analysis
Loan balancesLoans increased from December 31, 2020 driven by higher residential real estate loans in auto and other reflecting PPP loan originations,at fair value, partially offset by lower retained residential real estate 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 retained loan portfolioRetained loans declined from December 31, 2020 due to paydowns predominantly in Home Lending which were largely offset byoutpacing originations of prime mortgage loans in Home Lending, andlargely offset by growth in AWM. Retained nonaccrual loans were relatively flatdecreased from December 31, 2020. Net2020 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 to loan prepayments as a result of the low rate environment compared to net charge-offs for the three months ended March 31, 2021 wereSeptember 30, 2020, and lower when compared withnet recoveries for the same period innine months ended September 30, 2020. In addition, the prior year as the prior year benefited fromnine months ended September 30, 2020 included a recovery on a loan sale in Home Lending.sale.
The loans held-for-sale and loansLoans at fair value portfolio increased from December 31, 2020, largelyreflecting loan purchase activity in CIB driven by warehouse loanshigher client demand, as well as increased originations in Home Lending.Lending due to the continued low rate environment. Nonaccrual loans at fair value decreased from December 31, 2020 largely due to sales in CIB.
The carrying value of home equity lines of credit outstanding was $22.2$19.8 billion at March 31,September 30, 2021. This amount included $8.6$6.6 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $7.3$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 March 31,September 30, 2021 and December 31, 2020, the carrying value of interest-only residential mortgage loans were $25.9$27.8 billion and $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. Charge-offsNet recoveries and charge-offs for the three and nine months ended March 31,September 30, 2021, respectively, were consistent with the broader residential mortgage portfolionot material, as the credit performance of this portfolio is generally in line with the performance of the broader residentialprime mortgage 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) | (in millions) | March 31,
2021 | December 31,
2020 | (in millions) | September 30,
2021 | December 31,
2020 |
| Current | Current | $ | 775 | | $ | 669 | | Current | $ | 740 | | $ | 669 | |
| 30-89 days past due | 30-89 days past due | 146 | | 235 | | 30-89 days past due | 140 | | 235 | |
| 90 or more days past due | 90 or more days past due | 798 | | 874 | | 90 or more days past due | 644 | | 874 | |
| Total government guaranteed loans | Total government guaranteed loans | $ | 1,719 | | $ | 1,778 | | 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 11 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 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, 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 11 for further information on modifications for the three and nine months ended and March 31,September 30, 2021 and 2020.
| | (in millions) | (in millions) | March 31, 2021 | | December 31, 2020 | | (in millions) | September 30, 2021 | | December 31, 2020 |
Retained loans(a) | Retained loans(a) | $ | 14,943 | | | $ | 15,406 | | | Retained loans(a) | $ | 13,728 | | | $ | 15,406 | |
Nonaccrual retained loans(b) | Nonaccrual retained loans(b) | $ | 3,907 | | | $ | 3,899 | | | Nonaccrual retained loans(b) | $ | 3,913 | | | $ | 3,899 | |
(a)At March 31,September 30, 2021 and December 31, 2020, $9 million and $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 13 for additional information about sales of loans in securitization transactions with Ginnie Mae.
(b)At both March 31,September 30, 2021 and December 31, 2020, nonaccrual loans included $2.9 billion and $3.0 billion of TDRs for which the borrowers were less than 90 days past due. Refer to Note 1112 of JPMorgan Chase’s 2020 Form 10-K for additional information about loans modified in a TDR that are on nonaccrual status.
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, 2020 due to PPP loan originations net of forgiveness in Business Banking as well as from growth in the scored auto portfolio frompredominantly 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 forgiveness and paydowns largely offset by loan originations. Net charge offs for the three months ended September 30, 2021 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 charge-offs as the current year had a greater benefit from government 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 0.13%0.03% and 0.41%0.04% for the three months ended March 31,September 30, 2021 and 2020, respectively. Auto charge-offsrespectively, and 0.01% and 0.28% for the threenine months ended March 31,September 30, 2021 benefited from government stimulus, payment assistance programs, and high vehicle collateral values.2020, respectively.
Nonperforming assets
The following table presents information as of March 31,September 30, 2021 and December 31, 2020, about consumer, excluding credit card, nonperforming assets.
| Nonperforming assets(a) | Nonperforming assets(a) | | | Nonperforming assets(a) | | |
| (in millions) | (in millions) | March 31,
2021 | | December 31,
2020 | | (in millions) | September 30,
2021 | | December 31,
2020 | |
| Nonaccrual loans | Nonaccrual loans | | | Nonaccrual loans | | |
Residential real estate(b) | Residential real estate(b) | $ | 5,855 | | | $ | 6,316 | | | Residential real estate(b) | $ | 5,232 | | | $ | 6,316 | | |
| Auto and other | Auto and other | 135 | | | 151 | | | Auto and other | 119 | | | 151 | | |
| Total nonaccrual loans | Total nonaccrual loans | 5,990 | | | 6,467 | | | Total nonaccrual loans | 5,351 | | | 6,467 | | |
| Assets acquired in loan satisfactions | Assets acquired in loan satisfactions | | | Assets acquired in loan satisfactions | | |
| Real estate owned | Real estate owned | 118 | | | 131 | | | Real estate owned | 105 | | | 131 | | |
| Other | Other | 17 | | | 21 | | | Other | 17 | | | 21 | | |
| Total assets acquired in loan satisfactions | Total assets acquired in loan satisfactions | 135 | | | 152 | | | Total assets acquired in loan satisfactions | 122 | | | 152 | | |
| Total nonperforming assets | Total nonperforming assets | $ | 6,125 | | | $ | 6,619 | | | Total nonperforming assets | $ | 5,473 | | | $ | 6,619 | | |
(a)At March 31,September 30, 2021 and December 31, 2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $798$644 million and $874 million, respectively, and REO insured by U.S. government agencies of $8$5 million and $9 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)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 arewere 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.
Nonaccrual loans
The following table presents changes in consumer, excluding credit card, nonaccrual loans for the threenine months ended March 31,September 30, 2021 and 2020.
| Nonaccrual loan activity(a) | Nonaccrual loan activity(a) | | Nonaccrual loan activity(a) | | |
Three months ended March 31,
(in millions) | 2021 | | 2020 | |
Nine months ended September 30,
(in millions) | | Nine months ended September 30,
(in millions) | 2021 | | 2020 | |
| Beginning balance | Beginning balance | $ | 6,467 | | | $ | 3,366 | | Beginning balance | $ | 6,467 | | | $ | 3,366 | | |
| | Additions: | Additions: | | Additions: | | | |
| PCD loans, upon adoption of CECL | PCD loans, upon adoption of CECL | NA | | 708 | PCD loans, upon adoption of CECL | NA | | 708 | |
| Other additions | Other additions | 673 | | | 1,016 | | Other additions | 2,032 | | | 4,109 | | (b) |
| Total additions | Total additions | 673 | | | 1,724 | | Total additions | 2,032 | | | 4,817 | | |
| | Reductions: | Reductions: | | Reductions: | | | |
Principal payments and other(a) | Principal payments and other(a) | 598 | | | 341 | | Principal payments and other(a) | 1,625 | | | 508 | | |
| Charge-offs | Charge-offs | 73 | | | 97 | | Charge-offs | 167 | | | 319 | | |
| Returned to performing status | Returned to performing status | 459 | | | 150 | | Returned to performing status | 1,295 | | | 619 | | |
| Foreclosures and other liquidations | Foreclosures and other liquidations | 20 | | | 103 | | Foreclosures and other liquidations | 61 | | | 332 | | |
| Total reductions | Total reductions | 1,150 | | | 691 | | Total reductions | 3,148 | | | 1,778 | | |
| | Net changes | Net changes | (477) | | | 1,033 | | Net changes | (1,116) | | | 3,039 | | |
| Ending balance | Ending balance | $ | 5,990 | | | $ | 4,399 | | Ending balance | $ | 5,351 | | | $ | 6,405 | | |
(a)Other reductions includes loan sales.
Active(b)Includes loans to customers that have exited COVID-19 related payment deferral programs and suspended foreclosure: Refer to Note 11 for information on loans thatare 90 or more days past due, predominantly all of which were in the processconsidered collateral-dependent at time of active or suspended foreclosure.exit.
Refer to Note 11 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 are reported in the consumer, excluding credit card portfolio’s residential real estate class.estate.
| | (in millions, except ratios) | (in millions, except ratios) | March 31,
2021 | December 31,
2020 | (in millions, except ratios) | September 30,
2021 | December 31,
2020 |
Loan delinquency(a) | Loan delinquency(a) | | Loan delinquency(a) | |
| Current | Current | $ | 15,298 | | $ | 16,036 | | Current | $ | 13,658 | | $ | 16,036 | |
| 30-149 days past due | 30-149 days past due | 362 | | 432 | | 30-149 days past due | 283 | | 432 | |
| 150 or more days past due | 150 or more days past due | 545 | | 573 | | 150 or more days past due | 574 | | 573 | |
| | Total PCD loans | Total PCD loans | $ | 16,205 | | $ | 17,041 | | 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 loans | 5.60 | % | 5.90 | % | % of 30+ days past due to total retained PCD loans | 5.90 | % | 5.90 | % |
| Nonaccrual loans(b) | Nonaccrual loans(b) | $ | 1,639 | | 1,609 | | Nonaccrual loans(b) | $ | 1,581 | | $ | 1,609 | |
| Three months ended March 31,
(in millions, except ratios) | 2021 | 2020 | |
| (in millions, except ratios) | | (in millions, except ratios) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | 2021 | 2020 |
| Net charge-offs | Net charge-offs | $ | 13 | | $ | 6 | | Net charge-offs | $ | 1 | | $ | 33 | | | $ | 17 | | $ | 66 | |
| Net charge-off rate | Net charge-off rate | 0.32 | % | 0.12 | % | Net charge-off rate | 0.03 | % | 0.71 | % | | 0.14 | % | 0.46 | % |
(a)At MarchSeptember 30, 2021 and December 31, 2021,2020, 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 arewere 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.
Credit card
Total credit card loans decreasedwere relatively flat from December 31, 2020 reflecting higher payments, offset by strong sales volume in the impactsecond and third quarters of seasonality as well as higher payment rates.2021. The March 31,September 30, 2021 30+ and 90+ day delinquency rates of 1.40%1.00% and 0.80%0.49%, respectively, decreased compared to the December 31, 2020 30+ and 90+ day delinquency rates of 1.68% and 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 March 31,September 30, 2021 compared with the same period in the prior year periods reflecting lower charge-offs and higher recoveries primarilyas consumer cash balances remained elevated benefiting from the impact of government stimulus and payment assistance and government stimulus.programs.
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 11 for further information about this portfolio, including information about delinquencies.
Geographic and FICO composition of credit card loans
Refer to Note 11 for information on the geographic and FICO composition of the Firm’s credit card loans.
Modifications of credit card loans
At March 31,September 30, 2021, the Firm had $1.3$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 $1.4 billion at December 31, 2020. Refer to Note 11 for additional information about loan modification programs to borrowers.
| | | | | | | | | | | | | | |
| WHOLESALE CREDIT PORTFOLIO |
In its wholesale businesses, the Firm is exposed to credit risk primarily through its underwriting, lending, market-making, and hedging activities with and for clients and counterparties, as well as through various operating services (such as cash management and clearing activities), securities financing activities and cash placed with banks. A portion of the loans originated or acquired by the Firm’s wholesale businesses is generally retained on the balance sheet. The Firm distributes a significant percentage of the loans that it originates into the market as part of its syndicated loan business and to manage portfolio concentrations and credit risk. The wholesale portfolio is actively managed, in part by conducting ongoing, in-depth reviews of client credit quality and transaction structure inclusive of collateral where applicable, and of industry, product and client concentrations. Refer to the industry discussion on pages 55-5968-71 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 exposure for which the wholesale methodology is applied when determining the allowance for credit losses.
In the first quarter ofnine months ended September 30, 2021, the macroeconomiccredit environment continued to improve following the broad-based credit deterioration in 2020 that resulted from the impacts of the COVID-19 pandemic.
As of March 31,September 30, 2021, retained loans remained relatively flat while lending relatedincreased $17.8 billion driven by CIB and AWM partially offset by decreases in CB and CCB. In CB, the decrease was largely driven by a net decrease in PPP loans. Lending-related commitments increased $31.4$49.4 billion, from December 31, 2020 to $481.2 billion,predominantly driven by net portfolio activity in CIB and CB, including an increase in held for sale commitments intended to be syndicated.
In the threenine months ended March 31,September 30, 2021, the investment- gradeinvestment-grade percentage of the credit portfolio decreased from 71% to 69%70% driven by net portfolio activity, including new commitments. Criticized exposure increased $5.3 billion fromwas $41.6 billion at both September 30, 2021 and December 31, 2020 to $46.9 billion at March 31, 2021,2020. 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 downgrades,upgrades being partially offset by select upgrades. Nonperforming exposuredowngrades. The decrease in nonperforming loans was relatively flat at $4.9 billion and net charge off activity was $53partially offset by an increase in nonperforming derivatives. Net charge-offs were $100 million.
| | Wholesale credit portfolio | Wholesale credit portfolio | Wholesale credit portfolio |
| | Credit exposure | | Nonperforming(c) | | Credit exposure | | Nonperforming(d) |
| (in millions) | (in millions) | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | (in millions) | Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 |
| Loans retained | Loans retained | $ | 514,478 | | $ | 514,947 | | | $ | 3,015 | | $ | 3,318 | | Loans retained | $ | 532,786 | | $ | 514,947 | | | $ | 2,084 | | $ | 3,318 | |
| Loans held-for-sale | Loans held-for-sale | 9,945 | | 5,784 | | | 165 | | 284 | | Loans held-for-sale | 8,320 | | 5,784 | | | 190 | | 284 | |
| Loans at fair value | Loans at fair value | 29,483 | | 29,327 | | | 536 | | 504 | | Loans at fair value | 32,179 | | 29,327 | | | 618 | | 504 | |
| Loans–reported | 553,906 | | 550,058 | | | 3,716 | | 4,106 | | |
| Loans | | Loans | 573,285 | | 550,058 | | | 2,892 | | 4,106 | |
| Derivative receivables | Derivative receivables | 73,119 | | 79,630 | | | 284 | | 56 | | Derivative receivables | 67,908 | | 75,444 | | (c) | 393 | | 56 | |
Receivables from customers(a) | Receivables from customers(a) | 58,180 | | 47,710 | | | — | | — | | Receivables from customers(a) | 58,752 | | 47,710 | | | — | | — | |
| Total wholesale credit-related assets | Total wholesale credit-related assets | 685,205 | | 677,398 | | | 4,000 | | 4,162 | | Total wholesale credit-related assets | 699,945 | | 673,212 | | | 3,285 | | 4,162 | |
| Assets acquired in loan satisfactions | Assets acquired in loan satisfactions | | | | Assets acquired in loan satisfactions | |
| Real estate owned | Real estate owned | NA | NA | | 132 | | 125 | | Real estate owned | NA | NA | | 124 | | 125 | |
| Other | Other | NA | NA | | — | | — | | Other | NA | NA | | — | | — | |
| Total assets acquired in loan satisfactions | Total assets acquired in loan satisfactions | NA | NA | | 132 | | 125 | | Total assets acquired in loan satisfactions | NA | NA | | 124 | | 125 | |
| Lending-related commitments | Lending-related commitments | 481,244 | | 449,863 | | | 800 | | 577 | | Lending-related commitments | 499,236 | | 449,863 | | | 641 | | 577 | |
| Total wholesale credit portfolio | Total wholesale credit portfolio | $ | 1,166,449 | | $ | 1,127,261 | | | $ | 4,932 | | $ | 4,864 | | Total wholesale credit portfolio | $ | 1,199,181 | | $ | 1,123,075 | | | $ | 4,050 | | $ | 4,864 | |
Credit derivatives used in credit portfolio management activities(b) | $ | (22,649) | | $ | (22,239) | | | $ | — | | $ | — | | |
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 derivatives | Liquid securities and other cash collateral held against derivatives | (13,958) | | (14,806) | | | NA | NA | Liquid securities and other cash collateral held against derivatives | (11,001) | | (14,806) | | | NA | NA |
(a)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.
(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 6274 and Note 4 for additional information.
(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 March 31,September 30, 2021, predominantly all of these loans were considered performing.
Wholesale assistance
In March 2020, the Firm began providing assistance to clients in response to the COVID-19 pandemic, predominantly in the form of payment deferrals and covenant modifications.
As of March 31,September 30, 2021, the Firm had approximately $1.3 billion$177 million of retained loans still under payment deferral, representing 0.25% of the loan portfolio which has decreased approximately $0.3from $16.8 billion from December 31, 2020, $5.0 billion from September 30, 2020, and $15.5 billion fromat June 30, 2020. Predominantly all clients that
exited deferral are current or have paid down their loans, and the Firm has not experienced significant new payment deferral requests.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) | March 31, 2021 | | December 31, 2020 | | September 30, 2020 | | June 30, 2020 |
| Industry | Loan balance | Percent of total industry loan balance(b) | IG percentage of loan balance in payment deferral | | Loan balance | | Loan balance | | Loan balance |
| Real Estate | $ | 407 | | 0.35 | % | 6 | % | | $ | 550 | | | $ | 4,385 | | | $ | 5,211 | |
| Transportation | 369 | | 5.94 | | 98 | | | 394 | | | 346 | | | 294 | |
| Industrials | 18 | | 0.09 | | — | | | 19 | | | 91 | | | 335 | |
| Consumer and Retail | 15 | | 0.04 | | — | | | 82 | | | 413 | | | 690 | |
| Individuals and Individual Entities | 6 | | 0.01 | | 100 | | | 402 | | | 691 | | | 809 | |
| Automotive | — | | — | | — | | | 22 | | | 15 | | | 8,827 | |
| Healthcare | — | | — | | — | | | 7 | | | 100 | | | 300 | |
All Other Industries(a) | 479 | | 0.26 | | 77 | | | 147 | | | 233 | | | 309 | |
| Total wholesale | $ | 1,294 | | 0.25 | % | 59 | % | | $ | 1,623 | | | $ | 6,274 | | | $ | 16,775 | |
(a)As of March 31, 2021, predominantly SPEs.
(b)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 by the CARES Act and extended by the Consolidated Appropriations Act. Loans under assistance continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of March 31,September 30, 2021, predominantlysubstantially all of these loans were considered performing.
Wholesale credit exposure – maturity and ratings profile
The following tables present the maturity and internal risk ratings profiles of the wholesale credit portfolio as of March 31,September 30, 2021, and December 31, 2020. The Firm generally considers internal ratings with qualitative characteristics equivalent to BBB-/Baa3 or higher as investment 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(d) | | Ratings profile | | Maturity profile(e) | | Ratings profile |
| | 1 year or less | 1 year through 5 years | After 5 years | Total | | Investment-grade | | Noninvestment-grade | Total | Total % of IG | | 1 year or less | 1 year through 5 years | After 5 years | Total | | Investment-grade | | Noninvestment-grade | Total | Total % of IG |
March 31, 2021
(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 years | After 5 years | Total | | Investment-grade | | Noninvestment-grade | Total | Total % of IG |
| Loans retained | Loans retained | $ | 190,787 | | $ | 194,130 | | $ | 129,561 | | $ | 514,478 | | | $ | 379,827 | | | $ | 134,651 | | $ | 514,478 | | 74 | % | Loans retained |
| Derivative receivables | Derivative receivables | | 73,119 | | | 73,119 | | | Derivative receivables | | 67,908 | | | 67,908 | | |
| Less: Liquid securities and other cash collateral held against derivatives | Less: Liquid securities and other cash collateral held against derivatives | | (13,958) | | | (13,958) | | | Less: Liquid securities and other cash collateral held against derivatives | | (11,001) | | | (11,001) | | |
| Total derivative receivables, net of collateral | Total derivative receivables, net of collateral | 22,062 | | 14,791 | | 22,308 | | 59,161 | | | 34,339 | | | 24,822 | | 59,161 | | 58 | | Total derivative receivables, net of collateral | 18,272 | | 17,146 | | 21,489 | | 56,907 | | | 36,178 | | | 20,729 | | 56,907 | | 64 | |
| Lending-related commitments | Lending-related commitments | 132,273 | | 326,744 | | 22,227 | | 481,244 | | | 315,860 | | | 165,384 | | 481,244 | | 66 | | Lending-related commitments | 131,685 | | 340,669 | | 26,882 | | 499,236 | | | 338,916 | | | 160,320 | | 499,236 | | 68 | |
| Subtotal | Subtotal | 345,122 | | 535,665 | | 174,096 | | 1,054,883 | | | 730,026 | | | 324,857 | | 1,054,883 | | 69 | | Subtotal | 350,099 | | 563,961 | | 174,869 | | 1,088,929 | | | 763,600 | | | 325,329 | | 1,088,929 | | 70 | |
Loans held-for-sale and loans at fair value(a) | Loans held-for-sale and loans at fair value(a) | | 39,428 | | | 39,428 | | | Loans held-for-sale and loans at fair value(a) | | 40,499 | | | 40,499 | | |
| Receivables from customers | Receivables from customers | | 58,180 | | | 58,180 | | | Receivables from customers | | 58,752 | | | 58,752 | | |
| Total exposure – net of liquid securities and other cash collateral held against derivatives | Total exposure – net of liquid securities and other cash collateral held against derivatives | | $ | 1,152,491 | | | $ | 1,152,491 | | | Total exposure – net of liquid securities and other cash collateral held against derivatives | | $ | 1,188,180 | | | $ | 1,188,180 | | |
Credit derivatives used in credit portfolio management activities(b)(c) | $ | (10,219) | | $ | (7,939) | | $ | (4,491) | | $ | (22,649) | | | $ | (18,458) | | | $ | (4,191) | | $ | (22,649) | | 81 | % | |
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 | % |
| | | Maturity profile(d) | | Ratings profile | | Maturity profile(e) | | Ratings profile |
| | 1 year or less | 1 year through 5 years | After 5 years | Total | | Investment-grade | | Noninvestment-grade | Total | Total % of IG | | 1 year or less | 1 year through 5 years | After 5 years | Total | | Investment-grade | | Noninvestment-grade | Total | | Total % of IG |
December 31, 2020
(in millions, except ratios) | December 31, 2020
(in millions, except ratios) | December 31, 2020
(in millions, except ratios) | |
| Loans retained | Loans retained | $ | 183,969 | | $ | 197,905 | | $ | 133,073 | | $ | 514,947 | | | $ | 379,273 | | | $ | 135,674 | | $ | 514,947 | | 74 | % | Loans retained | $ | 183,969 | | $ | 197,905 | | $ | 133,073 | | $ | 514,947 | | | $ | 379,273 | | | $ | 135,674 | | $ | 514,947 | | | 74 | % |
| Derivative receivables | Derivative receivables | | 79,630 | | | 79,630 | | | Derivative receivables | | 75,444 | | (d) | | 75,444 | | (d) | |
| Less: Liquid securities and other cash collateral held against derivatives | Less: Liquid securities and other cash collateral held against derivatives | | (14,806) | | | (14,806) | | | Less: Liquid securities and other cash collateral held against derivatives | | (14,806) | | | (14,806) | | |
| Total derivative receivables, net of collateral | Total derivative receivables, net of collateral | 18,456 | | 17,599 | | 28,769 | | 64,824 | | | 38,941 | | | 25,883 | | 64,824 | | 60 | | Total derivative receivables, net of collateral | 17,750 | | 14,478 | | 28,410 | | 60,638 | | | 38,941 | | | 21,697 | | 60,638 | | | 64 | |
| Lending-related commitments | Lending-related commitments | 116,950 | | 315,179 | | 17,734 | | 449,863 | | | 312,694 | | | 137,169 | | 449,863 | | 70 | | Lending-related commitments | 116,950 | | 315,179 | | 17,734 | | 449,863 | | | 312,694 | | | 137,169 | | 449,863 | | | 70 | |
| Subtotal | Subtotal | 319,375 | | 530,683 | | 179,576 | | 1,029,634 | | | 730,908 | | | 298,726 | | 1,029,634 | | 71 | | Subtotal | 318,669 | | 527,562 | | 179,217 | | 1,025,448 | | | 730,908 | | | 294,540 | | 1,025,448 | | | 71 | |
Loans held-for-sale and loans at fair value(a) | Loans held-for-sale and loans at fair value(a) | | 35,111 | | | 35,111 | | | Loans held-for-sale and loans at fair value(a) | | 35,111 | | | 35,111 | | |
| Receivables from customers | Receivables from customers | | 47,710 | | | 47,710 | | | Receivables from customers | | 47,710 | | | 47,710 | | |
| Total exposure – net of liquid securities and other cash collateral held against derivatives | Total exposure – net of liquid securities and other cash collateral held against derivatives | | $ | 1,112,455 | | | $ | 1,112,455 | | | Total exposure – net of liquid securities and other cash collateral held against derivatives | | $ | 1,108,269 | | | $ | 1,108,269 | | |
Credit derivatives used in credit portfolio management activities(b)(c) | $ | (6,190) | | $ | (13,223) | | $ | (2,826) | | $ | (22,239) | | | $ | (17,860) | | | $ | (4,379) | | $ | (22,239) | | 80 | % | |
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)Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(b)These derivatives do not qualify for hedge accounting under U.S. GAAP.
(c)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties. 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.
(d)Prior-period amounts have been revised to conform with the current presentation.
(e)The maturity profile of retained loans, lending-related commitments and derivative receivables is generally based on remaining contractual maturity. Derivative contracts that are in a receivable position at March 31,September 30, 2021, may become payable prior to maturity based on their cash flow profile or changes in market conditions.
Wholesale credit exposure – industry exposures
The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns.
Exposures deemed criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful categories. Total criticized exposure excluding loans held-for-sale and loans at fair value, was $46.9$41.6 billion at March 31,both September 30, 2021 compared with $41.6 billion atand December 31, 2020, representing approximately 4.4%3.8% and 4.0% of total wholesale credit exposure, respectively. The increase in total criticized exposure was driven byrespectively, as select downgrades partiallywere offset by select upgrades .and net portfolio activity. The total criticized exposure at September 30, 2021 was largely undrawn and $42.8$38.5 billion was performing.
The table below summarizes by industry the Firm’s exposures as of March 31,September 30, 2021, and December 31, 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 cash collateral held against derivative
receivables |
| | | Noninvestment-grade |
| As of or for the three months ended | Credit exposure(f)(g) | Investment- grade | Noncriticized | Criticized performing | Criticized nonperforming |
| March 31, 2021 |
| (in millions) |
| Real Estate | $ | 145,222 | | $ | 110,810 | | $ | 28,135 | | $ | 5,826 | | $ | 451 | | $ | 368 | | $ | (6) | | $ | (107) | | $ | — | |
Individuals and Individual Entities(b) | 126,502 | | 112,183 | | 13,582 | | 167 | | 570 | | 1,650 | | 11 | | — | | (1) | |
| Consumer & Retail | 110,003 | | 56,974 | | 42,901 | | 9,385 | | 743 | | 197 | | 3 | | (210) | | — | |
Technology, Media &
Telecommunications | 74,985 | | 36,101 | | 32,526 | | 5,962 | | 396 | | 35 | | 3 | | (864) | | (12) | |
| Asset Managers | 74,071 | | 62,840 | | 11,126 | | 86 | | 19 | | 49 | | — | | — | | (6,057) | |
| Industrials | 69,813 | | 35,179 | | 30,770 | | 3,658 | | 206 | | 200 | | — | | (631) | | (1) | |
| Healthcare | 64,001 | | 44,784 | | 17,365 | | 1,740 | | 112 | | 120 | | (6) | | (305) | | (149) | |
| Banks & Finance Cos | 56,688 | | 37,498 | | 18,242 | | 940 | | 8 | | 140 | | 9 | | (398) | | (1,295) | |
| Automotive | 43,462 | | 25,530 | | 15,228 | | 2,648 | | 56 | | 110 | | (2) | | (396) | | — | |
| Oil & Gas | 41,505 | | 17,314 | | 18,929 | | 4,774 | | 488 | | 129 | | 41 | | (332) | | (16) | |
State & Municipal Govt(c) | 37,451 | | 36,793 | | 550 | | 100 | | 8 | | 67 | | — | | — | | (25) | |
| Utilities | 30,284 | | 22,423 | | 6,761 | | 833 | | 267 | | 8 | | — | | (396) | | (8) | |
| Transportation | 17,601 | | 7,209 | | 5,707 | | 4,438 | | 247 | | 40 | | (3) | | (81) | | (24) | |
| Chemicals & Plastics | 17,017 | | 10,562 | | 5,604 | | 822 | | 29 | | 11 | | — | | (10) | | — | |
| Metals & Mining | 15,932 | | 6,348 | | 8,700 | | 763 | | 121 | | 1 | | — | | (108) | | (18) | |
| Insurance | 14,592 | | 11,325 | | 3,265 | | 2 | | — | | 4 | | — | | — | | (2,415) | |
| Central Govt | 13,570 | | 13,168 | | 402 | | — | | — | | — | | — | | (8,086) | | (261) | |
| Securities Firms | 7,250 | | 4,355 | | 2,340 | | 551 | | 4 | | 1 | | — | | (48) | | (1,739) | |
| Financial Markets Infrastructure | 5,810 | | 5,760 | | 50 | | — | | — | | — | | — | | — | | — | |
All other(d) | 103,082 | | 85,782 | | 16,832 | | 94 | | 374 | | 162 | | 3 | | (10,677) | | (1,937) | |
| Subtotal | $ | 1,068,841 | | $ | 742,938 | | $ | 279,015 | | $ | 42,789 | | $ | 4,099 | | $ | 3,292 | | $ | 53 | | $ | (22,649) | | $ | (13,958) | |
| Loans held-for-sale and loans at fair value | 39,428 | | | | | | | | | |
| Receivables from customers | 58,180 | | | | | | | | | |
Total(e) | $ | 1,166,449 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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- grade | Noncriticized | Criticized performing | Criticized 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 & Retail | 115,534 | | 59,037 | | 47,732 | | 8,293 | | 472 | | 115 | | 10 | | (167) | | — | |
| Asset Managers | 80,801 | | 68,069 | | 12,726 | | — | | 6 | | 7 | | — | | — | | (4,739) | |
| Technology, Media & Telecommunications | 79,946 | | 47,608 | | 25,737 | | 6,271 | | 330 | | 40 | | (3) | | (964) | | (27) | |
| Industrials | 68,298 | | 34,913 | | 29,699 | | 3,577 | | 109 | | 146 | | 11 | | (772) | | (10) | |
| Healthcare | 60,544 | | 42,521 | | 16,325 | | 1,637 | | 61 | | 83 | | (5) | | (305) | | (153) | |
| Banks & Finance Cos | 55,086 | | 34,004 | | 19,498 | | 1,572 | | 12 | | 91 | | 10 | | (565) | | (1,161) | |
| Oil & Gas | 46,203 | | 18,935 | | 23,955 | | 3,067 | | 246 | | 31 | | 57 | | (320) | | (1) | |
| Automotive | 38,042 | | 25,809 | | 11,460 | | 601 | | 172 | | — | | (3) | | (420) | | — | |
State & Municipal Govt(c) | 35,318 | | 34,628 | | 576 | | 101 | | 13 | | 3 | | — | | — | | (14) | |
| Utilities | 33,727 | | 24,664 | | 7,790 | | 1,099 | | 174 | | 5 | | 6 | | (383) | | (4) | |
| Chemicals & Plastics | 19,766 | | 11,437 | | 7,897 | | 424 | | 8 | | 7 | | — | | (10) | | — | |
| Transportation | 16,459 | | 6,937 | | 4,884 | | 4,434 | | 204 | | 16 | | — | | (51) | | (24) | |
| Metals & Mining | 15,426 | | 6,875 | | 8,133 | | 326 | | 92 | | — | | 2 | | (29) | | (2) | |
| Insurance | 14,515 | | 10,739 | | 3,722 | | 54 | | — | | — | | — | | — | | (2,235) | |
| Central Govt | 12,982 | | 12,697 | | 285 | | — | | — | | — | | — | | (6,326) | | (197) | |
| Securities Firms | 5,573 | | 2,611 | | 2,409 | | 550 | | 3 | | — | | — | | (48) | | (285) | |
| Financial Markets Infrastructure | 5,257 | | 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 value | 40,499 | | | | | | | | | |
| Receivables from customers | 58,752 | | | | | | | | | |
Total(e) | $ | 1,199,181 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (continued from previous page) | | | | | | | | |
| | | | | | Selected metrics |
| | | | | | 30 days or more past due and accruing loans(h) | Net
charge-offs/
(recoveries) | Credit derivative hedges(i) | Liquid securities
and other cash collateral held against derivative
receivables |
| | | Noninvestment-grade |
| As of or for the year ended | Credit exposure(f)(g) | Investment- grade | Noncriticized | Criticized performing | Criticized nonperforming |
| December 31, 2020 |
| (in millions) |
| Real Estate | $ | 148,498 | | $ | 116,124 | | $ | 27,576 | | $ | 4,294 | | $ | 504 | | $ | 374 | | $ | 94 | | $ | (110) | | $ | — | |
Individuals and Individual Entities(b) | 122,870 | | 107,266 | | 14,688 | | 227 | | 689 | | 1,570 | | (17) | | — | | — | |
| Consumer & Retail | 108,437 | | 57,580 | | 41,624 | | 8,852 | | 381 | | 203 | | 55 | | (381) | | (5) | |
Technology, Media &
Telecommunications | 72,150 | | 36,435 | | 27,770 | | 7,738 | | 207 | | 10 | | 73 | | (934) | | (56) | |
| Asset Managers | 66,573 | | 57,582 | | 8,885 | | 85 | | 21 | | 19 | | 1 | | — | | (4,685) | |
| Industrials | 66,470 | | 37,512 | | 26,881 | | 1,852 | | 225 | | 278 | | 70 | | (658) | | (61) | |
| Healthcare | 60,118 | | 44,901 | | 13,356 | | 1,684 | | 177 | | 96 | | 104 | | (378) | | (191) | |
| Banks & Finance Cos | 54,032 | | 35,115 | | 17,820 | | 1,045 | | 52 | | 20 | | 13 | | (555) | | (1,648) | |
| Automotive | 43,331 | | 25,548 | | 15,575 | | 2,149 | | 59 | | 152 | | 22 | | (434) | | — | |
| Oil & Gas | 39,159 | | 18,456 | | 14,969 | | 4,952 | | 782 | | 11 | | 249 | | (238) | | (4) | |
State & Municipal Govt(c) | 38,286 | | 37,705 | | 574 | | 2 | | 5 | | 41 | | — | | — | | (41) | |
| Utilities | 30,124 | | 22,451 | | 7,048 | | 571 | | 54 | | 14 | | (7) | | (402) | | (1) | |
| Transportation | 16,232 | | 7,549 | | 6,340 | | 2,137 | | 206 | | 30 | | 117 | | (83) | | (26) | |
| Chemicals & Plastics | 17,176 | | 10,622 | | 5,703 | | 822 | | 29 | | 6 | | — | | (83) | | — | |
| Metals & Mining | 15,542 | | 5,958 | | 8,699 | | 704 | | 181 | | 8 | | 16 | | (141) | | (13) | |
| Insurance | 13,141 | | 10,177 | | 2,960 | | 3 | | 1 | | 7 | | — | | — | | (1,771) | |
| Central Govt | 17,025 | | 16,652 | | 373 | | — | | — | | — | | — | | (8,364) | | (982) | |
| Securities Firms | 8,048 | | 6,116 | | 1,927 | | 1 | | 4 | | — | | 18 | | (49) | | (3,423) | |
| Financial Markets Infrastructure | 6,515 | | 6,449 | | 66 | | — | | — | | — | | — | | — | | (10) | |
All other(d) | 100,713 | | 84,650 | | 15,185 | | 504 | | 374 | | 83 | | (9) | | (9,429) | | (1,889) | |
| Subtotal | $ | 1,044,440 | | $ | 744,848 | | $ | 258,019 | | $ | 37,622 | | $ | 3,951 | | $ | 2,922 | | $ | 799 | | $ | (22,239) | | $ | (14,806) | |
| Loans held-for-sale and loans at fair value | 35,111 | | |
| | | | | | |
| Receivables from customers | 47,710 | | | | | | | | | |
Total(e) | $ | 1,127,261 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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- grade | Noncriticized | | Criticized performing | Criticized 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 & Retail | 108,437 | | | 57,580 | | 41,624 | | | 8,852 | | 381 | | 203 | | 55 | | (381) | | (5) | |
| Asset Managers | 66,573 | | | 57,582 | | 8,885 | | | 85 | | 21 | | 19 | | 1 | | — | | (4,685) | |
| Technology, Media & Telecommunications | 72,150 | | | 36,435 | | 27,770 | | | 7,738 | | 207 | | 10 | | 73 | | (984) | | (56) | |
| Industrials | 66,470 | | | 37,512 | | 26,881 | | | 1,852 | | 225 | | 278 | | 70 | | (658) | | (61) | |
| Healthcare | 60,118 | | | 44,901 | | 13,356 | | | 1,684 | | 177 | | 96 | | 104 | | (378) | | (191) | |
| Banks & Finance Cos | 54,032 | | | 35,115 | | 17,820 | | | 1,045 | | 52 | | 20 | | 13 | | (659) | | (1,648) | |
| Oil & Gas | 39,159 | | | 18,456 | | 14,969 | | | 4,952 | | 782 | | 11 | | 249 | | (488) | | (4) | |
| Automotive | 43,331 | | | 25,548 | | 15,575 | | | 2,149 | | 59 | | 152 | | 22 | | (434) | | — | |
State & Municipal Govt(c) | 38,286 | | | 37,705 | | 574 | | | 2 | | 5 | | 41 | | — | | — | | (41) | |
| Utilities | 30,124 | | | 22,451 | | 7,048 | | | 571 | | 54 | | 14 | | (7) | | (402) | | (1) | |
| Chemicals & Plastics | 17,176 | | | 10,622 | | 5,703 | | | 822 | | 29 | | 6 | | — | | (83) | | — | |
| Transportation | 16,232 | | | 7,549 | | 6,340 | | | 2,137 | | 206 | | 30 | | 117 | | (83) | | (26) | |
| Metals & Mining | 15,542 | | | 5,958 | | 8,699 | | | 704 | | 181 | | 8 | | 16 | | (141) | | (13) | |
| Insurance | 13,141 | | | 10,177 | | 2,960 | | | 3 | | 1 | | 7 | | — | | — | | (1,771) | |
| Central Govt | 17,025 | | | 16,652 | | 373 | | | — | | — | | — | | — | | (8,364) | | (982) | |
| Securities Firms | 8,048 | | | 6,116 | | 1,927 | | | 1 | | 4 | | — | | 18 | | (49) | | (3,423) | |
| Financial Markets Infrastructure | 6,515 | | | 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 value | 35,111 | | | |
| | | | | | | |
| Receivables from customers | 47,710 | | | | | | | | | | | |
Total(e) | $ | 1,123,075 | | | | | | | | | | | |
(a)The industry rankings presented in the table as of December 31, 2020, are based on the industry rankings of the corresponding exposures at March 31,September 30, 2021, not actual rankings of such exposures at December 31, 2020.
(b)Individuals and Individual Entities predominantly consists of Global 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 March 31,September 30, 2021, and December 31, 2020, noted above, the Firm held: $7.0$6.7 billion and $7.2 billion, respectively, of trading assets; $19.9$17.5 billion and $20.4 billion, respectively, of AFS securities; and $12.7$13.5 billion and $12.8 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 9 for further information.
(d)All other includes: SPEs, and Private education and civic organizations, representing approximately 93% and 7%, respectively, at September 30, 2021 and 92% and 8%, respectively, at both March 31, 2021, and December 31, 2020.
(e)Excludes cash placed with banks of $700.7$749.7 billion and $516.9 billion, at March 31,September 30, 2021, and December 31, 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)Credit exposure includes held-for-sale and fair value option elected lending-related commitments.
(h)Prior-period amounts have been revised to conform with the current presentation.
(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.
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 $145.2$156.3 billion as of March 31,September 30, 2021, of which $84.3$86.5 billion was multifamily lending as shown in the table below. Criticized exposure increased by $1.5$1.8 billion from $4.8 billion at December 31, 2020 to $6.3$6.6 billion at September 30, 2021, driven by select downgrades.downgrades partially offset by select upgrades.
| | | March 31, 2021 | | | September 30, 2021 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(d) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(d) |
Multifamily(a) | Multifamily(a) | $ | 84,092 | | | $ | 159 | | | $ | 84,251 | | | 85 | % | | 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 | | |
| Office | Office | 16,223 | | | 240 | | | 16,463 | | | 74 | | | 71 | | | Office | 15,819 | | | 231 | | | 16,050 | | | 75 | | | 71 | | |
Other Income Producing Properties(b) | 10,248 | | | 316 | | | 10,564 | | | 70 | | | 65 | | | |
| Services and Non Income Producing | | Services and Non Income Producing | 11,463 | | | 30 | | | 11,493 | | | 59 | | | 46 | | |
| Industrial | | Industrial | 10,524 | | | 46 | | | 10,570 | | | 76 | | | 61 | | |
| Retail | Retail | 10,301 | | | 133 | | | 10,434 | | | 59 | | | 67 | | | Retail | 9,755 | | | 125 | | | 9,880 | | | 64 | | | 66 | | |
| Industrial | 9,356 | | | 59 | | | 9,415 | | | 82 | | | 67 | | | |
| Services and Non Income Producing | 8,963 | | | 25 | | | 8,988 | | | 63 | | | 46 | | | |
| Lodging | Lodging | 5,033 | | | 74 | | | 5,107 | | | 11 | | | 30 | | | Lodging | 3,456 | | | 52 | | | 3,508 | | | 5 | | | 34 | | |
Total Real Estate Exposure(c) | Total Real Estate Exposure(c) | 144,216 | | | 1,006 | | | 145,222 | | | 76 | | | 79 | | | Total Real Estate Exposure(c) | 155,234 | | | 1,064 | | | 156,298 | | | 78 | | | 75 | | |
| | | December 31, 2020 | | | December 31, 2020 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(d) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(d) |
Multifamily(a) | Multifamily(a) | $ | 85,368 | | | $ | 183 | | | $ | 85,551 | | | 85 | % | | 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 | | |
| Office | Office | 16,372 | | | 475 | | | 16,847 | | | 76 | | | 70 | | | Office | 16,372 | | | 475 | | | 16,847 | | | 76 | | | 70 | | |
Other Income Producing Properties(b) | 13,435 | | | 421 | | | 13,856 | | | 76 | | | 55 | | | |
| Services and Non Income Producing | | Services and Non Income Producing | 9,242 | | | 22 | | | 9,264 | | | 62 | | | 47 | | |
| Industrial | | Industrial | 9,039 | | | 69 | | | 9,108 | | | 76 | | | 73 | | |
| Retail | Retail | 10,573 | | | 199 | | | 10,772 | | | 60 | | | 69 | | | Retail | 10,573 | | | 199 | | | 10,772 | | | 60 | | | 69 | | |
| Industrial | 9,039 | | | 69 | | | 9,108 | | | 76 | | | 73 | | | |
| Services and Non Income Producing | 9,242 | | | 22 | | | 9,264 | | | 62 | | | 47 | | | |
| Lodging | Lodging | 3,084 | | | 16 | | | 3,100 | | | 24 | | | 57 | | | Lodging | 3,084 | | | 16 | | | 3,100 | | | 24 | | | 57 | | |
| Total Real Estate Exposure | Total Real Estate Exposure | 147,113 | | | 1,385 | | | 148,498 | | | 78 | | | 80 | | | Total Real Estate Exposure | 147,113 | | | 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 81%76% secured; unsecured exposure is approximately 78% investment-grade.
(d)Represents drawn exposure as a percentage of credit exposure.
Consumer & Retail
Consumer & Retail exposure was $110.0$115.5 billion as of March 31,September 30, 2021, and predominantly included Retail, Food and Beverage, and Business and Consumer Services as shown in the table below. Criticized exposure increased by $895 million from $9.2 billion to $10.1 billion, driven by downgrades, partially offset by net portfolio activity.
| | | March 31, 2021 | | | September 30, 2021 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(d) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(d) |
Retail(a) | Retail(a) | $ | 30,935 | | | $ | 998 | | | $ | 31,933 | | | 47 | % | | 33 | % | | Retail(a) | $ | 31,673 | | | $ | 1,795 | | | $ | 33,468 | | | 51 | % | | 31 | % | |
| Food and Beverage | Food and Beverage | 28,574 | | | 934 | | | 29,508 | | | 62 | | | 34 | | | Food and Beverage | 30,326 | | | 1,067 | | | 31,393 | | | 60 | | | 34 | | |
| Business and Consumer Services | Business and Consumer Services | 26,844 | | | 423 | | | 27,267 | | | 53 | | | 37 | | | Business and Consumer Services | 27,371 | | | 400 | | | 27,771 | | | 50 | | | 35 | | |
| Consumer Hard Goods | Consumer Hard Goods | 13,587 | | | 105 | | | 13,692 | | | 58 | | | 34 | | | Consumer Hard Goods | 15,162 | | | 111 | | | 15,273 | | | 53 | | | 31 | | |
Leisure(b) | Leisure(b) | 7,420 | | | 183 | | | 7,603 | | | 18 | | | 43 | | | Leisure(b) | 7,491 | | | 138 | | | 7,629 | | | 14 | | | 33 | | |
Total Consumer & Retail(c) | Total Consumer & Retail(c) | 107,360 | | | 2,643 | | | 110,003 | | | 52 | | | 35 | | | Total Consumer & Retail(c) | 112,023 | | | 3,511 | | | 115,534 | | | 51 | | | 33 | | |
| | | December 31, 2020 | | | December 31, 2020 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(d) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(d) |
Retail(a) | Retail(a) | $ | 32,486 | | | $ | 887 | | | $ | 33,373 | | | 52 | % | | 33 | % | | Retail(a) | $ | 32,486 | | | $ | 887 | | | $ | 33,373 | | | 52 | % | | 33 | % | |
| Food and Beverage | Food and Beverage | 28,012 | | | 897 | | | 28,909 | | | 62 | | | 33 | | | Food and Beverage | 28,012 | | | 897 | | | 28,909 | | | 62 | | | 33 | | |
| Business and Consumer Services | Business and Consumer Services | 24,760 | | | 599 | | | 25,359 | | | 52 | | | 41 | | | Business and Consumer Services | 24,760 | | | 599 | | | 25,359 | | | 52 | | | 41 | | |
| Consumer Hard Goods | Consumer Hard Goods | 12,937 | | | 178 | | | 13,115 | | | 59 | | | 36 | | | Consumer Hard Goods | 12,937 | | | 178 | | | 13,115 | | | 59 | | | 36 | | |
Leisure(b) | Leisure(b) | 7,440 | | | 241 | | | 7,681 | | | 18 | | | 43 | | | Leisure(b) | 7,440 | | | 241 | | | 7,681 | | | 18 | | | 43 | | |
| Total Consumer & Retail | Total Consumer & Retail | 105,635 | | | 2,802 | | | 108,437 | | | 53 | | | 36 | | | Total Consumer & Retail | 105,635 | | | 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 March 31,September 30, 2021 approximately 74%79% of the noninvestment-grade Leisure portfolio is secured.
(c)Approximately 77%78% of the noninvestment-grade portfolio is secured.
(d)Represents drawn exposure as a percent of credit exposure.
Oil & Gas
Oil & Gas exposure was $41.5$46.2 billion as of March 31,September 30, 2021, including $20.4$27.2 billion of Exploration & Production and Oil field Services as shown in the table below. During the threenine months ended March 31,September 30, 2021, the investment-grade percentage decreased from 47% to 42%41%, as a result of new non-investment grade commitments.predominantly driven by increased noninvestment-grade derivative receivables resulting from market movements related to Oil & Gas prices. However, criticized exposure decreased by $472 million$2.4 billion from $5.7 billion at December 31, 2020 to $5.3$3.3 billion at September 30, 2021, driven by select upgrades and net portfolio activity largelyand select upgrades partially offset by select downgrades.
| | | March 31, 2021 | | | September 30, 2021 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(c) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative Receivables | | Credit exposure | | % Investment-grade | % Drawn(c) |
| Exploration & Production ("E&P") and Oil field Services | Exploration & Production ("E&P") and Oil field Services | $ | 17,692 | | | $ | 2,676 | | | $ | 20,368 | | | 30 | % | | 34 | % | | Exploration & Production ("E&P") and Oil field Services | $ | 17,833 | | | $ | 9,393 | | | $ | 27,226 | | | 29 | % | | 24 | % | |
Other Oil & Gas(a) | Other Oil & Gas(a) | 20,564 | | | 573 | | | 21,137 | | | 53 | | | 21 | | | Other Oil & Gas(a) | 17,964 | | | 1,013 | | | 18,977 | | | 58 | | | 24 | | |
Total Oil & Gas(b) | Total Oil & Gas(b) | 38,256 | | | 3,249 | | | 41,505 | | | 42 | | | 27 | | | Total Oil & Gas(b) | 35,797 | | | 10,406 | | | 46,203 | | | 41 | | | 24 | | |
| | | December 31, 2020 | | | December 31, 2020 | |
| (in millions, except ratios) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(c) | (in millions, except ratios) | Loans and Lending-related Commitments | | Derivative
Receivables | | Credit exposure | | % Investment-
grade | % Drawn(c) |
| Exploration & Production ("E&P") and Oil field Services | Exploration & Production ("E&P") and Oil field Services | $ | 18,228 | | | $ | 1,048 | | | $ | 19,276 | | | 32 | % | | 37 | % | | Exploration & Production ("E&P") and Oil field Services | $ | 18,228 | | | $ | 1,048 | | | $ | 19,276 | | | 32 | % | | 37 | % | |
Other Oil & Gas(a) | Other Oil & Gas(a) | 19,288 | | | 595 | | | 19,883 | | | 62 | | | 21 | | | Other Oil & Gas(a) | 19,288 | | | 595 | | | 19,883 | | | 62 | | | 21 | | |
Total Oil & Gas(b) | Total Oil & Gas(b) | 37,516 | | | 1,643 | | | 39,159 | | | 47 | | | 29 | | | 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 $16.4$20.3 billion and $13.2 billion at March 31,September 30, 2021 and December 31, 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.
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 11 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 threenine months ended March 31,September 30, 2021 and 2020. Since March 31,September 30, 2020, nonaccrual loan exposure increased $1.5decreased $1.7 billion, driven by downgrades across multiple industries on client credit deterioration,largely in Oil & Gas and Individuals and Individual Entities, with the largest concentration in Real Estate, predominantly within Retail and Lodging. In the three months ended March 31, 2021, nonaccrual loan exposure decreased $390 million, when compared to December 31, 2020 driven by net portfolio activity and select client upgrades in Oil & Gas and Individuals.being partially offset by select downgrades.
| | Wholesale nonaccrual loan activity | Wholesale nonaccrual loan activity | Wholesale nonaccrual loan activity |
Three months ended March 31,
(in millions) | | 2021 | 2020 | |
Nine months ended September 30,
(in millions) | | Nine months ended September 30,
(in millions) | | 2021 | 2020 |
Beginning balance(a) | Beginning balance(a) | | $ | 4,106 | | $ | 1,271 | | Beginning balance(a) | | $ | 4,106 | | $ | 1,271 | |
| Additions | Additions | | 847 | | 1,333 | | Additions | | 2,021 | | 5,650 | |
| Reductions: | Reductions: | | Reductions: | |
| Paydowns and other | Paydowns and other | | 819 | | 171 | | Paydowns and other | | 1,782 | | 1,381 | |
| Gross charge-offs | Gross charge-offs | | 88 | | 181 | | Gross charge-offs | | 180 | | 614 | |
| Returned to performing status | Returned to performing status | | 209 | | 24 | | Returned to performing status | | 893 | | 238 | |
| Sales | Sales | | 121 | | 14 | | Sales | | 380 | | 91 | |
| Total reductions | Total reductions | | 1,237 | | 390 | | Total reductions | | 3,235 | | 2,324 | |
| Net changes | Net changes | | (390) | | 943 | | Net changes | | (1,214) | | 3,326 | |
| Ending balance | Ending balance | | $ | 3,716 | | $ | 2,214 | | 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 March 31,September 30, 2021 and 2020. The amounts in the table below do not include gains or losses from sales of nonaccrual 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
March 31, | | (in millions, except ratios) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | (in millions, except ratios) | 2021 | 2020 | | 2021 | 2020 |
| Loans – reported | | | |
| Loans | | Loans | |
| Average loans retained | Average loans retained | $ | 515,858 | | $ | 491,819 | | | Average loans retained | $ | 528,979 | | $ | 504,449 | | | $ | 521,628 | | $ | 512,137 | |
| Gross charge-offs | Gross charge-offs | 88 | | 181 | | | Gross charge-offs | 52 | | 150 | | | 187 | | 641 | |
| Gross recoveries collected | Gross recoveries collected | (35) | | (19) | | | Gross recoveries collected | (15) | | (58) | | | (87) | | (88) | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | 53 | | 162 | | | Net charge-offs/(recoveries) | 37 | | 92 | | | 100 | | 553 | |
| Net charge-off/(recovery) rate | Net charge-off/(recovery) rate | 0.04 | % | 0.13 | % | | Net charge-off/(recovery) rate | 0.03 | % | 0.07 | % | | 0.03 | % | 0.14 | % |
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 22 for further information on wholesale lending-related commitments.
Receivables from customers
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). 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 March 31,September 30, 2021, and December 31, 2020, respectively.2020. Refer to Note 4 for additional information on the Firm’s use of collateral agreements. Refer to Note 4 for a further discussion of derivative contracts, counterparties and settlement types.
The fair value of derivative receivables reported on the Consolidated balance sheets were $73.1$67.9 billion and $79.6$75.4 billion at March 31,September 30, 2021, and December 31, 2020, respectively, with decreases 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.
In addition, the Firm held liquid securities and other cash collateral that the Firm believes is legally enforceable and may be used as security when the fair value of the client’s exposure is in the Firm’s favor. LiquidFor these purposes, the definition of liquid securities representsis 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 following tables summarize the net derivative receivables and the internal ratings profile for the periods presented.
| | | | | | | | |
| Derivative receivables | | |
| (in millions) | March 31,
2021 | December 31,
2020 |
| Total, net of cash collateral | $ | 73,119 | | $ | 79,630 | |
| Liquid securities and other cash collateral held against derivative receivables | (13,958) | | (14,806) | |
| Total, net of liquid securities and other cash collateral | $ | 59,161 | | $ | 64,824 | |
| Other collateral held against derivative receivables | (5,716) | | (6,022) | |
| Total, net of collateral | $ | 53,445 | | $ | 58,802 | |
| | | | | | | | | | | | | | | | | |
| Ratings profile of derivative receivables | | | | | |
| March 31, 2021 | | December 31, 2020 |
(in millions, except ratios) | Exposure net of collateral | % of exposure net of collateral | | Exposure net of collateral | % of exposure net of collateral |
| Investment-grade | $ | 32,774 | | 61 | % | | $ | 37,013 | | 63 | % |
| Noninvestment-grade | 20,671 | | 39 | | | 21,789 | | 37 | |
| Total | $ | 53,445 | | 100 | % | | $ | 58,802 | | 100 | % |
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 4 for additional information on the Firm’s use of collateral agreements.
The following tables summarize the net derivative receivables and the internal ratings profile for the periods 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, 2021 | | December 31, 2020 | |
(in millions, except ratios) | Exposure net of collateral | % of exposure net of collateral | | Exposure net of collateral | | % of exposure net of collateral | |
| Investment-grade | $ | 34,379 | | 63 | % | | $ | 37,013 | | | 63 | % | |
| Noninvestment-grade | 20,622 | | 37 | | | 21,789 | | (a) | 37 | | (a) |
| Total | $ | 55,001 | | 100 | % | | $ | 58,802 | | | 100 | % | |
(a)Prior-period amounts have been revised to conform with the current presentation.
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 activities | | Credit derivatives and credit-related notes used in credit portfolio management activities |
| | Notional amount of protection purchased and sold(a) | | Notional amount of protection purchased and sold(a) |
| (in millions) | (in millions) | March 31,
2021 | | December 31,
2020 | (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 commitments | Loans and lending-related commitments | $ | 2,161 | | | $ | 3,877 | | Loans and lending-related commitments | $ | 2,803 | | | $ | 4,856 | |
| Derivative receivables | Derivative receivables | 20,488 | | | 18,362 | | Derivative receivables | 28,781 | | | 18,362 | |
| Credit derivatives used in credit portfolio management activities | $ | 22,649 | | | $ | 22,239 | | |
| Credit derivatives and credit-related notes used in credit portfolio management activities | | Credit derivatives and credit-related notes used in credit portfolio management activities | $ | 31,584 | | | $ | 23,218 | |
(a)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 4 of this Form 10-Q and Note 5 of JPMorgan Chase’s 2020 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.
| | | | | | | | | | | | | | |
| 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) and is presented separately on the Consolidated balance sheets,
•the allowance for lending-related commitments, which is presented on the Consolidated balance sheets in accounts payable and other liabilities, and
•the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognizedreflected within Investment Securities on the Consolidated balance sheets.
Discussion of changes in the allowance
The allowance for credit losses as of March 31,September 30, 2021 decreased when compared towas $20.5 billion, a decrease from $30.8 billion at December 31, 2020, consisting of:2020. The decrease in the allowance for credit losses reflected:
•a $4.5an $8.0 billion reduction in consumer, predominantly in the credit card portfolio, reflecting improvements in the Firm's macroeconomic scenarios, and in the residential real estate portfolio primarily due to the continued improvement in the HPI expectations and to a lesser extent portfolio run-off,outlook; and
•a $716 million$2.3 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic scenariosoutlook.
While the economy is showing signs of improvement, theThe COVID-19 pandemic has stressed many MEVs macroeconomic variables (“MEVs”) used in the Firm's allowance estimate at a speed and to degrees not experienced in recent history, which has created additional challenges in the use of modeled credit loss estimates, and increased the reliance on management judgment.judgment, and resulted in adjustments to appropriately address the economic circumstances. These challenges inadjustments continued through the usethird quarter of modeled credit loss estimates remain, albeit2021, although to a lesser extent than experienced during 2020. In periods where certain MEVs are outside the range of historical experience on which the Firm’s models have been trained, the Firm makes adjustments
The U.S. economy has continued to appropriately address these economic circumstances.
Further,improve despite the improvementongoing impact of the COVID-19 pandemic, with the benefits of vaccination resulting in improvements in the economy,Firm's macroeconomic outlook, particularly in the adverse scenarios. However, uncertainties remain, including the healthimpact that additional waves and variants of COVID-19 may have on the pace of economic growth, the strength of underlying labor markets vaccine efficacy against new virus strains,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 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 below, resulting in a weighted average U.S. unemployment rates rising above eight percent in 2021 and remaining at approximately six percentrate near 7% into the secondfirst quarter of 2022
and falling below 6% in the third quarter of 2022, withand a weighted average cumulative change in U.S. gross
domestic product ("GDP") returning to pre-pandemic levelsof 3.8% in 1Q22.the fourth quarter of 2022.
The Firm’s central case assumptions reflected U.S. unemployment rates and U.S. real GDP as follows:follows:
| | | Assumptions at March 31, 2021 | | Assumptions at September 30, 2021 |
| | 2Q21 | 4Q21 | 2Q22 | | 4Q21 | 2Q22 | 4Q22 |
U.S. unemployment rate(a) | U.S. unemployment rate(a) | 5.7 | % | 4.8 | % | 4.3 | % | U.S. unemployment rate(a) | 5.1 | % | 4.4 | % | 4.1 | % |
| Cumulative change in U.S. real GDP from 12/31/2019 | Cumulative change in U.S. real GDP from 12/31/2019 | 0.2 | % | 2.7 | % | 4.3 | % | Cumulative change in U.S. real GDP from 12/31/2019 | 3.3 | % | 5.0 | % | 6.2 | % |
| | | Assumptions at December 31, 2020 | | Assumptions at December 31, 2020 |
| | 2Q21 | 4Q21 | 2Q22 | | 2Q21 | 4Q21 | 2Q22 |
U.S. unemployment rate(a) | U.S. unemployment rate(a) | 6.8 | % | 5.7 | % | 5.1 | % | U.S. unemployment rate(a) | 6.8 | % | 5.7 | % | 5.1 | % |
| Cumulative change in U.S. real GDP from 12/31/2019 | Cumulative change in U.S. real GDP from 12/31/2019 | (1.9) | % | 0.6 | % | 2.0 | % | 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.
Refer to Critical Accounting Estimates Used by the Firm on pages 74-7686-88 for further information on the allowance for credit losses and related management judgments.
Refer to Consumer Credit Portfolio on pages 48-52,61-65, Wholesale Credit Portfolio on pages 53-6266-74 and Note 11 for additional information on the consumer and wholesale credit portfolios.
| | Allowance for credit losses and related information | Allowance for credit losses and related information | | | Allowance for credit losses and related information | | |
| | 2021(c) | | 2020(c) | | 2021 | | 2020 |
| Three months ended March 31, | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total | |
| Nine months ended September 30, | | Nine months ended September 30, | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total |
| (in millions, except ratios) | (in millions, except ratios) | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total | (in millions, except ratios) | |
| Allowance for loan losses | Allowance for loan losses | | Allowance for loan losses | |
| Beginning balance at January 1, | Beginning balance at January 1, | $ | 3,636 | | $ | 17,800 | | $ | 6,892 | | $ | 28,328 | | | $ | 2,538 | | $ | 5,683 | | $ | 4,902 | | $ | 13,123 | | 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 principle | Cumulative effect of a change in accounting principle | NA | | 297 | | 5,517 | | (1,642) | | 4,172 | | Cumulative effect of a change in accounting principle | NA | | 297 | | 5,517 | | (1,642) | | 4,172 | |
| Gross charge-offs | Gross charge-offs | 166 | | 1,214 | | 88 | | 1,468 | | | 233 | | 1,488 | | 181 | | 1,902 | | Gross charge-offs | 452 | | 2,957 | | 187 | | 3,596 | | | 620 | | 4,104 | | 641 | | 5,365 | |
| Gross recoveries collected | Gross recoveries collected | (145) | | (231) | | (35) | | (411) | | | (239) | | (175) | | (19) | | (433) | | Gross recoveries collected | (470) | | (724) | | (87) | | (1,281) | | | (483) | | (585) | | (88) | | (1,156) | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | 21 | | 983 | | 53 | | 1,057 | | | (6) | | 1,313 | | 162 | | 1,469 | | Net charge-offs/(recoveries) | (18) | | 2,233 | | 100 | | 2,315 | | | 137 | | 3,519 | | 553 | | 4,209 | |
| Provision for loan losses | Provision for loan losses | (932) | | (2,517) | | (830) | | (4,279) | | | 613 | | 5,063 | | 1,742 | | 7,418 | | Provision for loan losses | (1,778) | | (3,917) | | (2,162) | | (7,857) | | | 1,803 | | 10,119 | | 5,802 | | 17,724 | |
| Other | Other | (1) | | — | | 10 | | 9 | | | — | | — | | — | | — | | Other | (2) | | — | | (4) | | (6) | | | 1 | | — | | 3 | | 4 | |
| Ending balance at March 31, | $ | 2,682 | | $ | 14,300 | | $ | 6,019 | | $ | 23,001 | | | $ | 3,454 | | $ | 14,950 | | $ | 4,840 | | $ | 23,244 | | |
| Ending balance at September 30, | | 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 | Allowance for lending-related commitments | | Allowance for lending-related commitments | |
| Beginning balance at January 1, | Beginning balance at January 1, | $ | 187 | | $ | — | | $ | 2,222 | | $ | 2,409 | | | $ | 12 | | $ | — | | $ | 1,179 | | $ | 1,191 | | Beginning balance at January 1, | $ | 187 | | $ | — | | $ | 2,222 | | $ | 2,409 | | | $ | 12 | | $ | — | | $ | 1,179 | | $ | 1,191 | |
| Cumulative effect of a change in accounting principle | Cumulative effect of a change in accounting principle | NA | | 133 | | — | | (35) | | 98 | | Cumulative effect of a change in accounting principle | NA | | 133 | | — | | (35) | | 98 | |
| Provision for lending-related commitments | Provision for lending-related commitments | (52) | | — | | 159 | | 107 | | | 6 | | — | | 852 | | 858 | | Provision for lending-related commitments | (45) | | — | | (61) | | (106) | | | 71 | | — | | 1,464 | | 1,535 | |
| Other | Other | — | | — | | — | | — | | | — | | — | | — | | — | | Other | — | | — | | 2 | | 2 | | | — | | — | | (1) | | (1) | |
| Ending balance at March 31, | $ | 135 | | $ | — | | $ | 2,381 | | $ | 2,516 | | | $ | 151 | | $ | — | | $ | 1,996 | | $ | 2,147 | | |
| Ending balance at September 30, | | Ending balance at September 30, | $ | 142 | | $ | — | | $ | 2,163 | | $ | 2,305 | | | $ | 216 | | $ | — | | $ | 2,607 | | $ | 2,823 | |
| | Impairment methodology | Impairment methodology | | Impairment methodology | |
Asset-specific(a) | Asset-specific(a) | $ | (348) | | $ | 522 | | $ | 529 | | $ | 703 | | | $ | 223 | | $ | 530 | | $ | 556 | | $ | 1,309 | | Asset-specific(a) | $ | (571) | | $ | 383 | | $ | 357 | | $ | 169 | | | $ | 228 | | $ | 652 | | $ | 792 | | $ | 1,672 | |
| Portfolio-based | Portfolio-based | 3,030 | | 13,778 | | 5,490 | | 22,298 | | | 3,231 | | 14,420 | | 4,284 | | 21,935 | | Portfolio-based | 2,445 | | 11,267 | | 4,269 | | 17,981 | | | 4,274 | | 17,148 | | 7,720 | | 29,142 | |
| Total allowance for loan losses | Total allowance for loan losses | $ | 2,682 | | $ | 14,300 | | $ | 6,019 | | $ | 23,001 | | | $ | 3,454 | | $ | 14,950 | | $ | 4,840 | | $ | 23,244 | | Total allowance for loan losses | $ | 1,874 | | $ | 11,650 | | $ | 4,626 | | $ | 18,150 | | | $ | 4,502 | | $ | 17,800 | | $ | 8,512 | | $ | 30,814 | |
| | Impairment methodology | Impairment methodology | | Impairment methodology | |
| Asset-specific | Asset-specific | $ | — | | $ | — | | $ | 144 | | $ | 144 | | | $ | — | | $ | — | | $ | 187 | | $ | 187 | | Asset-specific | $ | — | | $ | — | | $ | 129 | | $ | 129 | | | $ | — | | $ | — | | $ | 109 | | $ | 109 | |
| Portfolio-based | Portfolio-based | 135 | | — | | 2,237 | | 2,372 | | | 151 | | — | | 1,809 | | 1,960 | | Portfolio-based | 142 | | — | | 2,034 | | 2,176 | | | 216 | | — | | 2,498 | | 2,714 | |
| Total allowance for lending-related commitments | Total allowance for lending-related commitments | $ | 135 | | $ | — | | $ | 2,381 | | $ | 2,516 | | | $ | 151 | | $ | — | | $ | 1,996 | | $ | 2,147 | | Total allowance for lending-related commitments | $ | 142 | | $ | — | | $ | 2,163 | | $ | 2,305 | | | $ | 216 | | $ | — | | $ | 2,607 | | $ | 2,823 | |
| Total allowance for credit losses | Total allowance for credit losses | $ | 2,817 | | $ | 14,300 | | $ | 8,400 | | $ | 25,517 | | | $ | 3,605 | | $ | 14,950 | | $ | 6,836 | | $ | 25,391 | | Total allowance for credit losses | $ | 2,016 | | $ | 11,650 | | $ | 6,789 | | $ | 20,455 | | | $ | 4,718 | | $ | 17,800 | | $ | 11,119 | | $ | 33,637 | |
| | Memo: | Memo: | | Memo: | |
| Retained loans, end of period | Retained loans, end of period | $ | 302,392 | | $ | 131,772 | | $ | 514,478 | | $ | 948,642 | | | $ | 293,779 | | $ | 154,021 | | $ | 555,289 | | $ | 1,003,089 | | Retained loans, end of period | $ | 298,308 | | $ | 143,166 | | $ | 532,786 | | $ | 974,260 | | | $ | 305,106 | | $ | 139,590 | | $ | 500,841 | | $ | 945,537 | |
| Retained loans, average | Retained loans, average | 302,055 | | 134,155 | | 515,858 | | 952,068 | | | 294,156 | | 162,660 | | 491,819 | | 948,635 | | Retained loans, average | 299,620 | | 137,012 | | 521,628 | | 958,260 | | | 301,535 | | 148,382 | | 512,137 | | 962,054 | |
| Credit ratios | Credit ratios | | Credit ratios | |
| Allowance for loan losses to retained loans | Allowance for loan losses to retained loans | 0.89 | % | 10.85 | % | 1.17 | % | 2.42 | % | | 1.18 | % | 9.71 | % | 0.87 | % | 2.32 | % | Allowance for loan losses to retained loans | 0.63 | % | 8.14 | % | 0.87 | % | 1.86 | % | | 1.48 | % | 12.75 | % | 1.70 | % | 3.26 | % |
Allowance for loan losses to retained nonaccrual loans(b)(c) | Allowance for loan losses to retained nonaccrual loans(b)(c) | 50 | | NM | 200 | | 274 | | | 89 | | NM | 247 | | 398 | | Allowance for loan losses to retained nonaccrual loans(b)(c) | 38 | | NM | 222 | | 259 | | | 89 | | NM | 227 | | 350 | |
| Allowance for loan losses to retained nonaccrual loans excluding credit card | Allowance for loan losses to retained nonaccrual loans excluding credit card | 50 | | NM | 200 | | 104 | | | 89 | | NM | 247 | | 142 | | Allowance for loan losses to retained nonaccrual loans excluding credit card | 38 | | NM | 222 | | 93 | | | 89 | | NM | 227 | | 148 | |
| Net charge-off/(recovery) rates | Net charge-off/(recovery) rates | 0.03 | | 2.97 | | 0.04 | | 0.45 | | | (0.01) | | 3.25 | | 0.13 | | 0.62 | | Net charge-off/(recovery) rates | (0.01) | | 2.18 | | 0.03 | | 0.32 | | | 0.06 | | 3.17 | | 0.14 | | 0.58 | |
(a)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 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.
(c)Excludes the allowance for credit losses on HTM securities. The allowance for credit losses on HTM securities was $94 million and $19 million as of March 31, 2021 and 2020, respectively.
| | | | | | | | | | | | | | |
| 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 March 31,September 30, 2021, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $595.4$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 33-3444-46 and Note 9 for further information on the investment securities portfolio and internal risk ratings. Refer to Market Risk Management on pages 66-7078-82 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk Management on pages 42-4654-58 for further information on related liquidity risk.
Principal investment risk
Principal investments are typically privately 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, principal investments include tax-oriented investments and investments made to enhance or accelerate the Firm’s business strategies. and 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 as a result of the COVID-19 pandemic. However, uncertainties remain that could result in future negative impacts.
The table below presents the aggregate carrying values of the principal investment portfolios as March 31,September 30, 2021 and December 31, 2020.
| | (in billions) | (in billions) | March 31, 2021 | | December 31, 2020 | (in billions) | September 30, 2021 | | December 31, 2020 |
Tax-oriented investments (e.g., affordable housing and alternative energy investments)(a) | $ | 19.5 | | | $ | 20.0 | | |
Tax-oriented investments, primarily in alternative energy and affordable housing(a) | | Tax-oriented investments, primarily in alternative energy and affordable housing(a) | $ | 20.9 | | | $ | 20.0 | |
| Private equity, various debt and equity instruments, and real assets | Private equity, various debt and equity instruments, and real assets | 5.8 | | | 6.2 | | Private equity, various debt and equity instruments, and real assets | 7.0 | | | 6.2 | |
| Total carrying value | Total carrying value | $ | 25.3 | | | $ | 26.2 | | 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 134 of JPMorgan Chase’s 2020 Form 10-K for a discussion of the Firm’s Investment Portfolio Risk Management governance and oversight.
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 135–142 of JPMorgan Chase’s 2020 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.
Market Risk Management continues to actively monitor 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 are 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 73.85.
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.
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 151 of JPMorgan Chase’s 2020 Form 10-K for information regarding model reviews and approvals.
Refer to page 137 of JPMorgan Chase’s 2020 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, 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 140-142 of JPMorgan Chase’s 2020 Form 10-K for further information regarding nonstatistical market risk measures used by the Firm.
The table below shows the results of the Firm’s Risk Management VaR measure using a 95% confidence level. VaR can vary significantly as positions change, market volatility fluctuates, and diversification benefits change.
| | Total VaR | Total VaR | | | | | Total VaR | | | | |
| | Three months ended | | | | Three months ended | | |
| | March 31, 2021 | | December 31, 2020 | | March 31, 2020 | | | | September 30, 2021 | | June 30, 2021 | | September 30, 2020 | | |
| (in millions) | (in millions) | Avg. | Min | Max | | Avg. | Min | Max | | Avg. | Min | Max | | | (in millions) | | Avg. | Min | Max | | Avg. | Min | Max | | Avg. | Min | Max | | |
| CIB trading VaR by risk type | CIB trading VaR by risk type | | | | CIB trading VaR by risk type | | |
| Fixed income | Fixed income | $ | 125 | | | $ | 34 | | | $ | 153 | | | $ | 106 | | | $ | 87 | | | $ | 138 | | | $ | 60 | | | $ | 30 | | | $ | 156 | | | | Fixed income | | $ | 38 | | | $ | 30 | | | $ | 46 | | | $ | 39 | | | $ | 33 | | | $ | 44 | | | $ | 93 | | | $ | 79 | | | $ | 124 | | | |
| Foreign exchange | Foreign exchange | 11 | | | 5 | | | 27 | | | 12 | | | 7 | | | 18 | | | 7 | | | 4 | | | 11 | | | | Foreign exchange | | 5 | | | 3 | | | 8 | | | 6 | | | 4 | | | 9 | | | 13 | | | 7 | | | 18 | | | |
| Equities | Equities | 22 | | | 19 | | | 38 | | | 23 | | | 21 | | | 30 | | | 20 | | | 13 | | | 41 | | | | Equities | | 11 | | | 8 | | | 15 | | | 18 | | | 11 | | | 23 | | | 26 | | | 22 | | | 31 | | | |
| Commodities and other | Commodities and other | 33 | | | 22 | | | 43 | | | 36 | | | 24 | | | 44 | | | 10 | | | 7 | | | 24 | | | | Commodities and other | | 11 | | | 9 | | | 13 | | | 22 | | | 12 | | | 35 | | | 33 | | | 24 | | | 47 | | | |
| Diversification benefit to CIB trading VaR | Diversification benefit to CIB trading VaR | (90) | | (a) | NM | (c) | NM | (c) | | (85) | | (a) | NM | (c) | NM | (c) | | (40) | | (a) | NM | (c) | NM | (c) | | 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 VaR | CIB trading VaR | 101 | | | 40 | |
| 134 | |
| | 92 | | | 72 | | | 117 | | | 57 | | | 27 | | | 160 | | | | CIB trading VaR | | 32 | | | 22 | |
| 44 | |
| | 41 | | | 34 | | | 51 | | | 89 | | | 73 | | | 115 | | | |
| Credit portfolio VaR | Credit portfolio VaR | 8 | | | 5 | | | 12 | | | 12 | | | 6 | | | 21 | | | 9 | | | 3 | | | 25 | | | | Credit portfolio VaR | | 5 | | | 4 | | | 7 | | | 6 | | | 4 | | | 9 | | | 15 | | | 12 | | | 17 | | | |
| Diversification benefit to CIB VaR | Diversification benefit to CIB VaR | (10) | | (a) | NM | (c) | NM | (c) | | (13) | | (a) | NM | (c) | NM | (c) | | (8) | | (a) | NM | (c) | NM | (c) | | Diversification benefit to CIB VaR | | (4) | | (a) | NM | (b) | NM | (b) | | (6) | | (a) | NM | (b) | NM | (b) | | (14) | | (a) | NM | (b) | NM | (b) | |
| CIB VaR | CIB VaR | 99 | | | 39 | |
| 133 | |
| | 91 | | | 69 | | | 117 | | | 58 | | | 27 | | | 162 | | | | CIB VaR | | 33 | | | 22 | |
| 45 | |
| | 41 | | | 34 | | | 52 | | | 90 | | | 74 | | | 116 | | | |
| | CCB VaR | CCB VaR | 6 | | | 4 | | | 11 | | | 6 | | | 3 | | | 10 | | | 7 | | | 3 | | | 11 | | | | CCB VaR | | 6 | | | 4 | | | 10 | | | 5 | | | 4 | | | 7 | | | 3 | | | 1 | | | 7 | | | |
| Corporate and other LOB VaR | Corporate and other LOB VaR | 45 | | (b) | 20 | |
| 94 | | (b) | | 35 | | (b) | 17 | | | 82 | | (b) | | 11 | | | 9 | | | 14 | | | | Corporate and other LOB VaR | | 17 | |
| 15 | |
| 19 | |
| | 20 | |
| 18 | | | 22 | |
| | 16 | | | 15 | | | 19 | | | |
| Diversification benefit to other VaR | Diversification benefit to other VaR | (6) | | (a) | NM | (c) | NM | (c) | | (6) | | (a) | NM | (c) | NM | (c) | | (5) | | (a) | NM | (c) | NM | (c) | | Diversification benefit to other VaR | | (4) | | (a) | NM | (b) | NM | (b) | | (5) | | (a) | NM | (b) | NM | (b) | | (3) | | (a) | NM | (b) | NM | (b) | |
| Other VaR | Other VaR | 45 | | | 21 | |
| 94 | |
| | 35 | | | 17 | | | 82 | | | 13 | | | 10 | | | 16 | | | | Other VaR | | 19 | | | 16 | |
| 23 | |
| | 20 | | | 19 | | | 22 | | | 16 | | | 14 | | | 19 | | | |
| Diversification benefit to CIB and other VaR | Diversification benefit to CIB and other VaR | (38) | | (a) | NM | (c) | NM | (c) | | (30) | | (a) | NM | (c) | NM | (c) | | (12) | | (a) | NM | (c) | NM | (c) | | 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 VaR | Total VaR | $ | 106 | | | $ | 40 | |
| $ | 153 | |
| | $ | 96 | | | $ | 67 | | | $ | 129 | | | $ | 59 | | | $ | 27 | | | $ | 164 | | | | 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)Average and maximum Corporate and other LOB VaR were driven by a private equity position that became publicly traded at the end of the third quarter of 2020. As of March 31, 2021 the Firm no longer holds this position.
(c)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 increaseddecreased by $10$7 million for the three months ended March 31,September 30, 2021 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 quarteryear. This decrease was driven by increases in exposure in fixed income, partially offset by volatility which occurred in late March of 2020 at the onset of the COVID-19 pandemic rolling out of the one-year historical look-back period.
Year over year results
Average total VaR increased by $47 million for the three months ended March 31, 2021, compared with the same period, in the prior year. This increase was driven by volatility which occurred at the onset of the COVID-19 pandemic and predominantly impacted exposureimpacting exposures in fixed income as well as increases from Corporate VaR due to the inclusion of a private equity position that became publicly traded at the end of the third quarter of 2020. These increases were partially offset by risk reductions in equities.
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 to more effectively measure the risk from these loans. In the absence of this refinement, the average Total VaR and each of the components would have been higher by the amounts reported in the following table:
| | | | | | | | | | | |
(in millions) | Amount by which reported average VaR would have been higher for the three months ended March 31, 2021 |
CIB fixed income VaR | | $ | 21 | | |
CIB trading VaR | | 19 | | |
CIB VaR | | 20 | | |
Total VaR | | 18 | | |
commodities.
The following graph presents daily Risk Management VaR for the five trailing quarters. As noted previously, average total VaR increaseddecreased by $47$54 million for the three months ended March 31,September 30, 2021, compared with the same period in the prior year. However, as of March 31, 2021 dailyDaily Risk Management VaR has declined from March 31, 2020returned to pre-pandemic levels, as the volatility which occurred in late March of 2020 at the onset of the COVID-19 pandemic has begun to rollrolled out of the one-year historical look-back period.
Daily Risk Management VaR
| | | | | | | | | | | | | | |
First Quarter
2020 | Second Quarter
2020 | Third Quarter
2020 | Fourth Quarter
2020 | First Quarter
2021 | Second Quarter
2021 | Third Quarter
2021 |
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 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 March 31,September 30, 2021, the Firm posted backtesting gains on 165157 of the 259 days, and observed twoeight VaR backtesting exceptions. For the three months ended March 31,September 30, 2021, the Firm posted backtesting gains on 4744 of the 6366 days, and did not observe anyobserved four VaR backtesting exceptions.
The following chart presents the distribution of Firmwide daily backtesting gains and losses for the trailing 12 months and three months ended March 31,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 daily backtesting loss exceeds the daily Risk Management VaR for the 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.
Distribution of Daily Backtesting Gains and Losses
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 136 of JPMorgan Chase’s 2020 Form 10-K for a summary by LOB and Corporate, identifying positions included in earnings-at-risk.
One way the Firm evaluates its structural interest rate risk is through earnings-at-risk. Earnings-at-risk estimates the Firm’s interest rate exposure for a given interest rate scenario. It is presented as a sensitivity to a baseline, which includes net interest income and certain interest rate sensitive fees. The baseline uses market interest rates and in the case of deposits, pricing assumptions. The Firm conducts simulations of changes to this baseline for interest rate-sensitive assets and liabilities denominated in U.S. dollars and other currencies (“non-U.S. dollar” currencies). These simulations primarily include retained loans, deposits, deposits with banks, investment securities, long-term debt and any related interest rate hedges, and funds transfer pricing of other positions in risk management VaR and other sensitivity-based measures as described on page 136 of JPMorgan Chase’s 2020 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, known as deposit betas, 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, 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 78 for additional information).
The Firm’s U.S. dollar sensitivities are presented in the table below.
| | (in billions) | (in billions) | March 31, 2021 | | December 31, 2020 | (in billions) | September 30, 2021 | | December 31, 2020 |
| Parallel shift: | Parallel shift: | | Parallel shift: | |
| +100 bps shift in rates | +100 bps shift in rates | $ | 6.0 | | | $ | 6.9 | | +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 rates | 1.6 | | | 2.4 | | +100 bps shift in long-term rates | 1.3 | | | 2.4 | |
| | Flatter yield curve: | Flatter yield curve: | | Flatter yield curve: | |
| +100 bps shift in short-term rates | +100 bps shift in short-term rates | 4.4 | | | 4.5 | | +100 bps shift in short-term rates | 5.4 | | | 4.5 | |
|
The change in the Firm’s U.S. dollar sensitivities as of March 31,September 30, 2021 compared to December 31, 2020 reflected updates to the Firm’s baseline for higher 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 March 31,September 30, 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) | March 31, 2021 | | December 31, 2020 | (in billions) | September 30, 2021 | | December 31, 2020 |
| Parallel shift: | Parallel shift: | | Parallel shift: | |
| +100 bps shift in rates | +100 bps shift in rates | $ | 0.9 | | | $ | 0.9 | | +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 rates | 0.9 | | | 0.8 | | +100 bps shift in short-term rates | 0.8 | | | 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 March 31,September 30, 2021 and December 31, 2020.
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 predominant business activities that give rise to market risk on page 136 of JPMorgan Chase’s 2020 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 March 31,September 30, 2021 and December 31, 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) | | March 31, 2021 | | December 31, 2020 | Gain/(loss) (in millions) | | September 30, 2021 | | December 31, 2020 |
| Activity | Activity | | Description | | Sensitivity measure | | Activity | | Description | | Sensitivity measure | |
| Debt and equity(a) | Debt and equity(a) | | | Debt and equity(a) | | |
| Asset Management activities | Asset Management activities | | Consists of seed capital and related hedges; fund co-investments(b); and certain deferred compensation and related hedges(c) | | 10% decline in market value | | $ | (51) | | | $ | (48) | | | 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 equity | Other 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 | | (885) | | | (919) | | | 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 activities | Funding activities | | | Funding activities | | |
| Non-USD LTD cross-currency basis | Non-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 | | (17) | | | (16) | | | 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”) exposure | Non-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 currency | | 17 | | | 13 | | | 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 currency | | 19 | | | 13 | | |
Derivatives – funding spread risk | Derivatives – funding spread risk | | Impact of changes in the spread related to derivatives FVA(b) | | 1 basis point parallel increase in spread | | (3) | | | (4) | | | Derivatives – funding spread risk | | 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 | Fair value option elected liabilities – funding spread risk | | Impact of changes in the spread related to fair value option elected liabilities DVA(d) | | 1 basis point parallel increase in spread | | 39 | | | 33 | | | Fair value option elected liabilities – funding spread risk | | Impact of changes in the spread related to fair value option elected liabilities DVA(e) | | 1 basis point parallel increase in spread | | 44 | | | 40 | | |
| Fair value option elected liabilities – interest rate sensitivity | Fair value option elected liabilities – interest rate sensitivity | | Interest rate sensitivity on fair value option liabilities resulting from a change in the Firm’s own credit spread(d) | | 1 basis point parallel increase in spread | | (1) | | | (3) | | | 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 | | | 3 | | | | 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 spread | | 2 | | | 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)Effective September 30, 2021, the Firm’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 the Firm’s funding spread risk. Prior-period amounts have been revised to conform with the current presentation.
(c)Impact recognized through net revenue.
(c)(d)Impact recognized through noninterest expense.
(d)(e)Impact recognized through OCI.
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.
Given the remaining uncertainty around the COVID-19 pandemic, Country Risk Management continues to monitor the impact toof the COVID-19 pandemic on individual countries.
Refer to pages 143-144 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the 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 March 31,September 30, 2021 and their comparative exposures as of December 31, 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 existing or potentially adverse credit conditions. Country exposures may fluctuate from period to period due to client activity and market flows.
The increase in exposure to Australia was predominantly due to increased cash placements with the central bank of Australia in the first quarter of 2021, predominantly driven by client activity following recent policy decisions in the country and growth in 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) | March 31, 2021 | | December 31, 2020(e) |
(in billions) | September 30, 2021 | | December 31, 2020(e) |
| | | Lending and deposits(b) | Trading and investing(c) | Other(d) | Total exposure | | Total exposure | | | Lending and deposits(b) | Trading and investing(c) | Other(d) | Total exposure | | Total exposure |
| Germany | Germany | | $ | 110.1 | | $ | 5.0 | | $ | 0.5 | | $ | 115.6 | | | $ | 127.2 | | Germany | | $ | 110.7 | | $ | 4.0 | | $ | 0.3 | | $ | 115.0 | | | $ | 127.2 | |
| United Kingdom | United Kingdom | | 52.8 | | 13.1 | | 2.3 | | 68.2 | | | 68.4 | | United Kingdom | | 52.2 | | 13.0 | | 2.3 | | 67.5 | | | 68.4 | |
| Japan | Japan | | 38.4 | | 14.0 | | 0.3 | | 52.7 | | | 45.6 | | Japan | | 25.6 | | 9.3 | | 0.3 | | 35.2 | | | 45.6 | |
| Australia | Australia | | 24.5 | | 6.7 | | — | | 31.2 | | | 15.9 | | Australia | | 24.0 | | 7.5 | | 0.2 | | 31.7 | | | 15.9 | |
| France | France | | 13.4 | | 3.8 | | 2.7 | | 19.9 | | | 18.8 | | France | | 13.5 | | 4.8 | | 1.7 | | 20.0 | | | 18.8 | |
| China | China | | 10.0 | | 6.5 | | 1.6 | | 18.1 | | | 21.2 | | China | | 11.0 | | 7.0 | | 1.7 | | 19.7 | | | 21.2 | |
| Switzerland | Switzerland | | 10.2 | | 0.5 | | 4.5 | | 15.2 | | | 18.7 | | Switzerland | | 11.1 | | 0.8 | | 2.8 | | 14.7 | | | 18.7 | |
| Canada | | Canada | | 12.5 | | 1.5 | | 0.2 | | 14.2 | | | 14.5 | |
| Brazil | Brazil | | 5.8 | | 8.1 | | — | | 13.9 | | | 10.8 | | Brazil | | 4.6 | | 8.3 | | — | | 12.9 | | | 10.8 | |
| Canada | | 12.4 | | 0.5 | | 0.2 | | 13.1 | | | 14.5 | | |
| Luxembourg | Luxembourg | | 11.0 | | 1.1 | | — | | 12.1 | | | 12.4 | | Luxembourg | | 10.7 | | 1.4 | | — | | 12.1 | | | 12.4 | |
| India | India | | 4.8 | | 4.0 | | 0.9 | | 9.7 | | | 10.5 | | India | | 4.9 | | 5.4 | | 1.4 | | 11.7 | | | 10.5 | |
| South Korea | South Korea | | 4.4 | | 4.7 | | 0.4 | | 9.5 | | | 10.1 | | South Korea | | 4.1 | | 7.2 | | 0.3 | | 11.6 | | | 10.1 | |
| Singapore | | Singapore | | 6.8 | | 4.1 | | 0.3 | | 11.2 | | | 8.7 | |
| Spain | | Spain | | 9.1 | | 1.5 | | — | | 10.6 | | | 5.8 | |
| Netherlands | Netherlands | | 7.4 | | 0.1 | | 2.0 | | 9.5 | | | 7.7 | | Netherlands | | 7.0 | | 1.4 | | 1.3 | | 9.7 | | | 7.7 | |
| Singapore | | 4.9 | | 2.7 | | 0.8 | | 8.4 | | | 8.7 | | |
| Italy | Italy | | 4.1 | | 3.2 | | 0.2 | | 7.5 | | | 9.7 | | Italy | | 5.9 | | 3.5 | | 0.2 | | 9.6 | | | 9.7 | |
| Sweden | | Sweden | | 7.8 | | 0.2 | | 0.1 | | 8.1 | | | 4.3 | |
| Saudi Arabia | | Saudi Arabia | | 5.6 | | 2.2 | | — | | 7.8 | | | 5.8 | |
| Belgium | | Belgium | | 5.5 | | 1.4 | | — | | 6.9 | | | 4.0 | |
| Hong Kong SAR | Hong Kong SAR | | 4.6 | | 1.8 | | 0.2 | | 6.6 | | | 6.2 | | Hong Kong SAR | | 4.7 | | 1.9 | | 0.2 | | 6.8 | | | 6.2 | |
| Saudi Arabia | | 5.7 | | 0.8 | | — | | 6.5 | | | 5.8 | | |
| Spain | | 3.9 | | 2.1 | | — | | 6.0 | | | 5.8 | | |
| Belgium | | 2.8 | | 1.6 | | 0.1 | | 4.5 | | | 4.0 | | |
| Mexico | | 4.0 | | 0.1 | | — | | 4.1 | | | 4.9 | | |
(a)Country exposures presented in the table reflect 89% and 90% of total Firmwide non-U.S. exposure, where exposure is attributed to an individual country, at March 31,September 30, 2021 and December 31, 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, 2020, are based on the country rankings of the corresponding exposures at March 31,September 30, 2021, not actual rankings of such exposures at December 31, 2020.
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| OPERATIONAL RISK MANAGEMENT |
Operational risk is the risk of an adverse outcome resulting from inadequate or failed internal processes or systems; human factors; or external events impacting the Firm’s processes or systems; Operational 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, cyber 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 145-147 of JPMorgan Chase’s 2020 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 148, Conduct Risk Management on page 149, Legal Risk Management on page 150 and Estimations and Model Risk Management on page 151 of JPMorgan Chase’s 2020 Form 10-K for more information. Details on other select examples of operational risks are provided below.
Business and technology resiliency risk
Business disruptions can occur due to forces beyond the Firm’s control such as 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. The safety of the Firm’s employees and customers is of the highest priority. The Firmwide resiliency program is intended to enable the Firm to recover its critical business functions and supporting assets (i.e.(e.g., staff,people, technology, data and facilities) in the event of a business 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.
Cybersecurity Risk
Due to the on-goingongoing impact of COVID-19, the Firm continues to leverage use of remote access and also 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 remains at ahas normalized since the heightened level across the industry, particularlylevels experienced during earlier stages of the COVID-19 pandemic due to the use of contingent forms of payment authentication methods and the perpetuation of scams involving the pandemic, including an increase in the level of fraud attempts against consumers. The complexities of these incidents and the strategies used by perpetrators continue to evolve.pandemic. The Firm employscontinues toemploy various controls for managing payment fraud risk as well as providing employee and client education and awareness trainings.
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| ESTIMATIONS AND MODEL RISK MANAGEMENT |
Estimations and Model risk, a subcategory of operational risk, is the potential for adverse consequences from decisions based on incorrect or misused estimation outputs.
The Firm uses models and other analytical and judgment- based estimations across various businesses and functions. The estimation methods are of varying levels of sophistication and are used for many purposes, such as the valuation of positions and measurement of risk, 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 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 74-7686-88 and Note 2 of this Form 10-Q, and Estimations and Model Risk Management section on page 151 of JPMorgan Chase’s 2020 Form 10-K for a summary of model-based valuations and other valuation techniques.
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| 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; and refer to Allowance for credit losses on pages 63–6475-76 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, HPI and U.S. real 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 resulted in a weak labor market and weak overall economic conditions that affected borrowers across the Firm’s consumer and wholesale lending portfolios. While
The U.S. economy has continued to improve despite the economy is showing signsongoing impact of improvement,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 healthimpact that additional waves and variants of COVID-19 may have on the pace of economic growth, the strength of underlying labor markets vaccine efficacy against new virus strains,with the expiration of government assistance programs, and the potential for changes in consumer behavior that could have longer term impacts on certain sectors. Further, significant judgmentJudgment is still required to estimate the speed and trajectory of the economic 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 6375 and in Note 12, the Firm’s relative adverse scenario assumes a significantly elevated U.S. unemployment rate through 2021, averaging 2.4%approximately 2.3% higher over the eight-quarter forecast, with a peak difference of approximately 4.4%3.7% in the thirdfirst quarter of 2021;2022; lower U.S. real GDP with a slower recovery, remaining 2.6%nearly 2.7% lower at the end of the
eight-quarter forecast, with a peak difference of nearly 6.6%approximately 5.9% in the thirdfirst quarter of 2021;2022; and lower national HPI with a peak difference of 17.4%nearly 14.4% and aforecasted trough, both in the secondfirst quarter of 2022.2023.
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 March 31,September 30, 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 used in the Firm's allowance estimate, at a speed and to degrees not seenwhich has created challenges in recent history, which continues to add higher degreesthe use of uncertainty around modeled credit loss estimations
•significant changes in the expected severity and duration of the economic downturn caused by the COVID-19 pandemic, effects of government support and customer assistance, and 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 March 31,September 30, 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 comparison between these two scenarios reflects the following differences:
•An increase of approximately $700$350 million for residential real estate loans and lending-related commitments
•An increase of approximately $3.6$2.6 billion for credit card loans
•An increase of approximately $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 March 31,September 30, 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.
| March 31, 2021
(in billions, except ratios) | Total assets at fair value | | Total level 3 assets | |
September 30, 2021
(in billions, except ratios) | | September 30, 2021
(in billions, except ratios) | Total assets at fair value | | Total level 3 assets |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | $ | 267.6 | | | $ | — | | Federal funds sold and securities purchased under resale agreements | $ | 273.2 | | | $ | — | |
| Securities borrowed | Securities borrowed | 66.3 | | | — | | Securities borrowed | 72.8 | | | — | |
| Trading assets: | Trading assets: | | Trading assets: | |
| Trading–debt and equity instruments | Trading–debt and equity instruments | $ | 470.9 | | | $ | 2.7 | | Trading–debt and equity instruments | 447.9 | | | 2.5 | |
Derivative receivables(a) | Derivative receivables(a) | 73.1 | | | 7.9 | | Derivative receivables(a) | 67.9 | | | 6.8 | |
| Total trading assets | Total trading assets | 544.0 | | | 10.6 | | Total trading assets | 515.8 | | | 9.3 | |
| AFS securities | AFS securities | 379.9 | | | — | | AFS securities | 251.6 | | | 0.1 | |
| Loans | Loans | 50.8 | | | 1.8 | | Loans | 60.6 | | | 2.1 | |
| MSRs | MSRs | 4.5 | | | 4.5 | | MSRs | 5.4 | | | 5.4 | |
| Other | Other | 383.7 | | | 0.5 | | Other | 13.7 | | | 0.2 | |
Total assets measured at fair value on a recurring basis | Total assets measured at fair value on a recurring basis | 1,362.9 | | | 17.4 | | Total assets measured at fair value on a recurring basis | 1,193.1 | | | 17.1 | |
| Total assets measured at fair value on a nonrecurring basis | Total assets measured at fair value on a nonrecurring basis | 2.5 | | | 0.7 | | Total assets measured at fair value on a nonrecurring basis | 2.7 | | | 1.5 | |
Total assets measured at fair value | Total assets measured at fair value | $ | 1,365.4 | | | $ | 18.1 | | Total assets measured at fair value | $ | 1,195.8 | | | $ | 18.6 | |
| Total Firm assets | Total Firm assets | $ | 3,689.3 | | | 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) | | 0.5 | % | 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) | | 1.3 | % | 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 $7.9$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.
Valuation
Estimating fair value requires the application of judgment. The type and level of judgment required is largely dependent on the amount of observable market information available to the Firm. For instruments valued using internally developed valuation models and other valuation techniques that use significant unobservable inputs and are therefore classified within level 3 of the valuation hierarchy, judgments used to estimate fair value are more significant than those required when estimating the fair value of instruments classified within levels 1 and 2.
In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation 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 speed, default rates, volatilities, correlations, prices (such as commodity, equity or debt prices), valuations of comparable instruments, foreign exchange rates and credit curves. Refer to Note 2 for a further discussion of the valuation of level 3 instruments, including unobservable inputs used.
For instruments classified in levels 2 and 3, management judgment must be applied to assess the appropriate level of valuation adjustments to reflect counterparty credit quality, the Firm’s creditworthiness, market funding rates, liquidity considerations, unobservable parameters, and for portfolios that meet specified criteria, the size of the net open risk position. The judgments made are typically affected by the type of product and its specific contractual terms, and the level of liquidity for the product or within the market as a whole. In periods of heightened market volatility and uncertainty 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 154 of JPMorgan Chase’s 2020 Form 10-K for a description of the significant valuation judgments associated with goodwill impairment.
Refer to Note 14 for additional information on goodwill, including the goodwill impairment assessment as of March 31,September 30, 2021.
Credit card rewards liability
The credit card rewards liability was $8.0$9.4 billion and $7.7 billion at March 31,September 30, 2021 and December 31, 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 page 154 of JPMorgan Chase’s 2020 Form 10-K for a description of the significant assumptions and sensitivities, associated with the Firm’s credit card rewards liability.
Income taxes
Refer to Income taxes on pagepages 154-155 of JPMorgan Chase’s 2020 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 24 of this Form 10-Q, and Note 30 of JPMorgan Chase’s 2020 Form 10-K for a description of the significant estimates and judgments associated with establishing litigation reserves.
| | | | | | | | | | | | | | |
| ACCOUNTING AND REPORTING DEVELOPMENTS |
| | | | | | | | | | | | | | |
| Financial Accounting Standards Board (“FASB”) Standards Adopted since January 1, 2021 |
| | | | |
| Standard | | Summary of guidance | | Effects on financial statements |
| | | | |
Reference Rate Reform
Issued March 2020 and updated January 2021 | | •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 apply certain of the practical expedients related to contract modifications and hedge accounting relationships, and discounting transition beginning in the third quarter of 2020. The discounting transition election was applied retrospectively. The main purpose of the practical expedients is to 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. |
| | | | | | | | | | | | | | |
| 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;
•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, 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 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 cyber 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 2020 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-K, Quarterly Reports on Form 10-Q or Current Reports on Form 8-K.
JPMorgan Chase & Co.
Consolidated statements of income (unaudited)
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except per share data) | (in millions, except per share data) | | 2021 | | 2020 | | (in millions, except per share data) | | 2021 | | 2020 | | 2021 | | 2020 |
| Revenue | Revenue | | | Revenue | |
| Investment banking fees | Investment banking fees | | $ | 2,970 | | | $ | 1,866 | | | Investment banking fees | | $ | 3,282 | | | $ | 2,187 | | | $ | 9,722 | | | $ | 6,903 | |
| Principal transactions | Principal transactions | | 6,500 | | | 2,937 | | | Principal transactions | | 3,546 | | | 4,142 | | | 14,122 | | | 14,700 | |
| Lending- and deposit-related fees | Lending- and deposit-related fees | | 1,687 | | | 1,706 | | | Lending- and deposit-related fees | | 1,801 | | | 1,647 | | | 5,248 | | | 4,784 | |
| Asset management, administration and commissions | Asset management, administration and commissions | | 5,029 | | | 4,540 | | | Asset management, administration and commissions | | 5,257 | | | 4,470 | | | 15,480 | | | 13,276 | |
| Investment securities gains | | 14 | | | 233 | | | |
| Investment securities gains/(losses) | | Investment securities gains/(losses) | | (256) | | | 473 | | | (397) | | | 732 | |
| Mortgage fees and related income | Mortgage fees and related income | | 704 | | | 320 | | | Mortgage fees and related income | | 600 | | | 1,087 | | | 1,855 | | | 2,324 | |
| Card income | Card income | | 1,350 | | | 995 | | | Card income | | 1,005 | | | 1,169 | | | 4,002 | | | 3,138 | |
Other income(a) | Other income(a) | | 1,123 | | | 1,250 | | | Other income(a) | | 1,332 | | | 1,067 | | | 3,650 | | | 3,454 | |
| Noninterest revenue | Noninterest revenue | | 19,377 | | | 13,847 | | | Noninterest revenue | | 16,567 | | | 16,242 | | | 53,682 | | | 49,311 | |
| Interest income | Interest income | | 14,271 | | | 19,161 | | | Interest income | | 14,480 | | | 14,700 | | | 42,845 | | | 49,973 | |
| Interest expense | Interest expense | | 1,382 | | | 4,722 | | | Interest expense | | 1,400 | | | 1,687 | | | 4,135 | | | 8,668 | |
| Net interest income | Net interest income | | 12,889 | | | 14,439 | | | Net interest income | | 13,080 | | | 13,013 | | | 38,710 | | | 41,305 | |
| Total net revenue | Total net revenue | | 32,266 | | | 28,286 | | | Total net revenue | | 29,647 | | | 29,255 | | | 92,392 | | | 90,616 | |
| | Provision for credit losses | Provision for credit losses | | (4,156) | | | 8,285 | | | Provision for credit losses | | (1,527) | | | 611 | | | (7,968) | | | 19,369 | |
| | Noninterest expense | Noninterest expense | | | Noninterest expense | |
| Compensation expense | Compensation expense | | 10,601 | | | 8,895 | | | Compensation expense | | 9,087 | | | 8,630 | | | 29,502 | | | 27,034 | |
| Occupancy expense | Occupancy expense | | 1,115 | | | 1,066 | | | Occupancy expense | | 1,109 | | | 1,142 | | | 3,314 | | | 3,288 | |
| Technology, communications and equipment expense | Technology, communications and equipment expense | | 2,519 | | | 2,578 | | | Technology, communications and equipment expense | | 2,473 | | | 2,564 | | | 7,480 | | | 7,732 | |
| Professional and outside services | Professional and outside services | | 2,203 | | | 2,028 | | | Professional and outside services | | 2,523 | | | 2,178 | | | 7,111 | | | 6,205 | |
| Marketing | Marketing | | 751 | | | 800 | | | Marketing | | 712 | | | 470 | | | 2,089 | | | 1,751 | |
| Other expense | Other expense | | 1,536 | | | 1,424 | | | Other expense | | 1,159 | | | 1,891 | | | 3,959 | | | 4,598 | |
| Total noninterest expense | Total noninterest expense | | 18,725 | | | 16,791 | | | Total noninterest expense | | 17,063 | | | 16,875 | | | 53,455 | | | 50,608 | |
| Income before income tax expense | Income before income tax expense | | 17,697 | | | 3,210 | | | Income before income tax expense | | 14,111 | | | 11,769 | | | 46,905 | | | 20,639 | |
Income tax expense(a) | Income tax expense(a) | | 3,397 | | | 345 | | | Income tax expense(a) | | 2,424 | | | 2,326 | | | 8,970 | | | 3,644 | |
| Net income | Net income | | $ | 14,300 | | | $ | 2,865 | | | Net income | | $ | 11,687 | | | $ | 9,443 | | | $ | 37,935 | | | $ | 16,995 | |
| Net income applicable to common stockholders | Net income applicable to common stockholders | | $ | 13,851 | | | $ | 2,431 | | | Net income applicable to common stockholders | | $ | 11,229 | | | $ | 9,015 | | | $ | 36,576 | | | $ | 15,712 | |
| Net income per common share data | Net income per common share data | | | Net income per common share data | |
| Basic earnings per share | Basic earnings per share | | $ | 4.51 | | | $ | 0.79 | | | Basic earnings per share | | $ | 3.74 | | | $ | 2.93 | | | $ | 12.05 | | | $ | 5.10 | |
| Diluted earnings per share | Diluted earnings per share | | 4.50 | | | 0.78 | | | Diluted earnings per share | | 3.74 | | | 2.92 | | | 12.02 | | | 5.09 | |
| | Weighted-average basic shares | Weighted-average basic shares | | 3,073.5 | | | 3,095.8 | | | Weighted-average basic shares | | 2,999.9 | | | 3,077.8 | | | 3,036.4 | | | 3,083.3 | |
| Weighted-average diluted shares | Weighted-average diluted shares | | 3,078.9 | | | 3,100.7 | | | Weighted-average diluted shares | | 3,005.1 | | | 3,082.8 | | | 3,041.7 | | | 3,088.1 | |
|
(a) Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
JPMorgan Chase & Co.
Consolidated statements of comprehensive income (unaudited)
| | | Three months ended
March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | | 2021 | | 2020 | | (in millions) | | 2021 | | 2020 | | 2021 | | 2020 |
| Net income | Net income | | $ | 14,300 | | | $ | 2,865 | | | Net income | | $ | 11,687 | | | $ | 9,443 | | | $ | 37,935 | | | $ | 16,995 | |
| Other comprehensive income/(loss), after–tax | Other comprehensive income/(loss), after–tax | | | Other comprehensive income/(loss), after–tax | |
| Unrealized gains/(losses) on investment securities | Unrealized gains/(losses) on investment securities | | (4,339) | | | 1,119 | | | Unrealized gains/(losses) on investment securities | | (434) | | | 514 | | | (4,099) | | | 4,377 | |
| Translation adjustments, net of hedges | Translation adjustments, net of hedges | | (250) | | | (330) | | | Translation adjustments, net of hedges | | (187) | | | 127 | | | (373) | | | (61) | |
| Fair value hedges | Fair value hedges | | (28) | | | 88 | | | Fair value hedges | | 9 | | | (69) | | | (42) | | | 35 | |
| Cash flow hedges | Cash flow hedges | | (2,249) | | | 2,465 | | | Cash flow hedges | | (450) | | | (70) | | | (2,108) | | | 2,629 | |
| Defined benefit pension and OPEB plans | Defined benefit pension and OPEB plans | | 68 | | | 33 | | | Defined benefit pension and OPEB plans | | 6 | | | (12) | | | 83 | | | 14 | |
| DVA on fair value option elected liabilities | DVA on fair value option elected liabilities | | (147) | | | 2,474 | | | DVA on fair value option elected liabilities | | (551) | | | (339) | | | (484) | | | 377 | |
| Total other comprehensive income/(loss), after–tax | Total other comprehensive income/(loss), after–tax | | (6,945) | | | 5,849 | | | Total other comprehensive income/(loss), after–tax | | (1,607) | | | 151 | | | (7,023) | | | 7,371 | |
| Comprehensive income | Comprehensive income | | $ | 7,355 | | | $ | 8,714 | | | Comprehensive income | | $ | 10,080 | | | $ | 9,594 | | | $ | 30,912 | | | $ | 24,366 | |
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
JPMorgan Chase & Co.
Consolidated balance sheets (unaudited)
| | (in millions, except share data) | (in millions, except share data) | March 31, 2021 | | December 31, 2020 | (in millions, except share data) | September 30, 2021 | | December 31, 2020 |
| Assets | Assets | | Assets | |
| Cash and due from banks | Cash and due from banks | $ | 25,397 | | | $ | 24,874 | | Cash and due from banks | $ | 25,857 | | | $ | 24,874 | |
| Deposits with banks | Deposits with banks | 685,675 | | | 502,735 | | Deposits with banks | 734,012 | | | 502,735 | |
Federal funds sold and securities purchased under resale agreements (included $267,613 and $238,015 at fair value) | 272,481 | | | 296,284 | | |
Securities borrowed (included $66,277 and $52,983 at fair value) | 179,516 | | | 160,635 | | |
Trading assets (included assets pledged of $117,020 and $130,645) | 544,052 | | | 503,126 | | |
Available-for-sale securities (amortized cost of $378,756 and $381,729; included assets pledged of $64,540 and $32,227) | 379,942 | | | 388,178 | | |
Held-to-maturity securities (net of allowance for credit losses of $94 and $78) | 217,452 | | | 201,821 | | |
Federal funds sold and securities purchased under resale agreements (included $273,158 and $238,015 at fair value) | | 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) | | 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) | | 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) | | 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) | | Held-to-maturity securities (net of allowance for credit losses) | 343,542 | | | 201,821 | |
| Investment securities, net of allowance for credit losses | Investment securities, net of allowance for credit losses | 597,394 | | | 589,999 | | Investment securities, net of allowance for credit losses | 595,132 | | | 589,999 | |
Loans (included $50,767 and $44,474 at fair value) | 1,011,307 | | | 1,012,853 | | |
Loans (included $60,628 and $44,474 at fair value) | | Loans (included $60,628 and $44,474 at fair value) | 1,044,615 | | | 1,012,853 | |
| Allowance for loan losses | Allowance for loan losses | (23,001) | | | (28,328) | | Allowance for loan losses | (18,150) | | | (28,328) | |
| Loans, net of allowance for loan losses | Loans, net of allowance for loan losses | 988,306 | | | 984,525 | | Loans, net of allowance for loan losses | 1,026,465 | | | 984,525 | |
| Accrued interest and accounts receivable | Accrued interest and accounts receivable | 114,754 | | | 90,503 | | Accrued interest and accounts receivable | 116,395 | | | 90,503 | |
| Premises and equipment | Premises and equipment | 26,926 | | | 27,109 | | Premises and equipment | 26,996 | | | 27,109 | |
| | Goodwill, MSRs and other intangible assets | Goodwill, MSRs and other intangible assets | 54,588 | | | 53,428 | | Goodwill, MSRs and other intangible assets | 56,566 | | | 53,428 | |
Other assets(a) (included $50,492 and $13,827 at fair value and assets pledged of $37,581 and $3,739) | 200,247 | | | 151,539 | | |
Other assets(a) (included $14,471 and $13,827 at fair value and assets pledged of $4,740 and $3,739) | | 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) | Total assets(b) | $ | 3,689,336 | | | $ | 3,384,757 | | Total assets(b) | $ | 3,757,576 | | | $ | 3,384,757 | |
| Liabilities | Liabilities | | Liabilities | |
Deposits (included $14,107 and $14,484 at fair value) | $ | 2,278,112 | | | $ | 2,144,257 | | |
Federal funds purchased and securities loaned or sold under repurchase agreements (included $197,834 and $155,735 at fair value) | 304,019 | | | 215,209 | | |
Deposits (included $11,808 and $14,484 at fair value) | | 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) | | 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 $20,002 and $16,893 at fair value) | 54,978 | | | 45,208 | | |
Short-term borrowings (included $20,033 and $16,893 at fair value) | | Short-term borrowings (included $20,033 and $16,893 at fair value) | 50,393 | | | 45,208 | |
| Trading liabilities | Trading liabilities | 191,349 | | | 170,181 | | Trading liabilities | 179,543 | | | 170,181 | |
Accounts payable and other liabilities(a) (included $42,824 and $3,476 at fair value) | 285,066 | | | 231,285 | | |
Beneficial interests issued by consolidated VIEs (included $193 and $41 at fair value) | 15,671 | | | 17,578 | | |
Long-term debt (included $75,693 and $76,817 at fair value) | 279,427 | | | 281,685 | | |
Accounts payable and other liabilities(a) (included $5,340 and $3,476 at fair value) | | 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) | | 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) | | Long-term debt (included $76,499 and $76,817 at fair value) | 298,465 | | | 281,685 | |
Total liabilities(b) | Total liabilities(b) | 3,408,622 | | | 3,105,403 | | Total liabilities(b) | 3,467,535 | | | 3,105,403 | |
| Commitments and contingencies (refer to Notes 22, 23 and 24) | Commitments and contingencies (refer to Notes 22, 23 and 24) | 0 | | 0 | Commitments and contingencies (refer to Notes 22, 23 and 24) | 0 | | 0 |
| Stockholders’ equity | Stockholders’ equity | | Stockholders’ equity | |
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 3,156,250 and 3,006,250 shares) | 31,563 | | | 30,063 | | |
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 3,483,750 and 3,006,250 shares) | | 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) | Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares) | 4,105 | | | 4,105 | | Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares) | 4,105 | | | 4,105 | |
| Additional paid-in capital | Additional paid-in capital | 88,005 | | | 88,394 | | Additional paid-in capital | 88,357 | | | 88,394 | |
| Retained earnings | Retained earnings | 248,151 | | | 236,990 | | Retained earnings | 265,276 | | | 236,990 | |
| Accumulated other comprehensive income | Accumulated other comprehensive income | 1,041 | | | 7,986 | | Accumulated other comprehensive income | 963 | | | 7,986 | |
| Treasury stock, at cost (1,077,805,783 and 1,055,499,435 shares) | (92,151) | | | (88,184) | | |
Treasury stock, at cost (1,149,667,834 and 1,055,499,435 shares) | | Treasury stock, at cost (1,149,667,834 and 1,055,499,435 shares) | (103,498) | | | (88,184) | |
| Total stockholders’ equity | Total stockholders’ equity | 280,714 | | | 279,354 | | Total stockholders’ equity | 290,041 | | | 279,354 | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 3,689,336 | | | $ | 3,384,757 | | Total liabilities and stockholders’ equity | $ | 3,757,576 | | | $ | 3,384,757 | |
(a) 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 March 31,September 30, 2021, and December 31, 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 13 for a further discussiondiscussion.
| | (in millions) | (in millions) | March 31, 2021 | | December 31, 2020 | (in millions) | September 30, 2021 | | December 31, 2020 |
| Assets | Assets | | Assets | |
| Trading assets | Trading assets | $ | 1,994 | | | $ | 1,934 | | Trading assets | $ | 2,011 | | | $ | 1,934 | |
| Loans | Loans | 33,509 | | | 37,619 | | Loans | 35,352 | | | 37,619 | |
| All other assets | All other assets | 701 | | | 681 | | All other assets | 516 | | | 681 | |
| Total assets | Total assets | $ | 36,204 | | | $ | 40,234 | | Total assets | $ | 37,879 | | | $ | 40,234 | |
| Liabilities | Liabilities | | Liabilities | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | $ | 15,671 | | | $ | 17,578 | | Beneficial interests issued by consolidated VIEs | $ | 13,257 | | | $ | 17,578 | |
| All other liabilities | All other liabilities | 239 | | | 233 | | All other liabilities | 234 | | | 233 | |
| Total liabilities | Total liabilities | $ | 15,910 | | | $ | 17,811 | | Total liabilities | $ | 13,491 | | | $ | 17,811 | |
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
JPMorgan Chase & Co.
Consolidated statements of changes in stockholders’ equity (unaudited)
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions, except per share data) | (in millions, except per share data) | | 2021 | | 2020 | | (in millions, except per share data) | | 2021 | | 2020 | | 2021 | | 2020 |
| Preferred stock | Preferred stock | | | Preferred stock | |
| Balance at the beginning of the period | Balance at the beginning of the period | | $ | 30,063 | | | $ | 26,993 | | | Balance at the beginning of the period | | $ | 32,838 | | | $ | 30,063 | | | $ | 30,063 | | | $ | 26,993 | |
| Issuance | Issuance | | 1,500 | | | 4,500 | | | Issuance | | 2,000 | | | — | | | 7,350 | | | 4,500 | |
| Redemption | Redemption | | 0 | | | (1,430) | | | Redemption | | — | | | — | | | (2,575) | | | (1,430) | |
| Balance at March 31 | | 31,563 | | | 30,063 | | | |
| Balance at September 30 | | Balance at September 30 | | 34,838 | | | 30,063 | | | 34,838 | | | 30,063 | |
| | Common stock | Common stock | | | Common stock | |
| Balance at the beginning and end of the period | Balance at the beginning and end of the period | | 4,105 | | | 4,105 | | | Balance at the beginning and end of the period | | 4,105 | | | 4,105 | | | 4,105 | | | 4,105 | |
| | Additional paid-in capital | Additional paid-in capital | | | Additional paid-in capital | |
| Balance at the beginning of the period | Balance at the beginning of the period | | 88,394 | | | 88,522 | | | Balance at the beginning of the period | | 88,194 | | | 88,125 | | | 88,394 | | | 88,522 | |
| Shares issued and commitments to issue common stock for employee share-based compensation awards, and related tax effects | Shares issued and commitments to issue common stock for employee share-based compensation awards, and related tax effects | | (363) | | | (660) | | | Shares issued and commitments to issue common stock for employee share-based compensation awards, and related tax effects | | 227 | | | 215 | | | 93 | | | (177) | |
| Other | Other | | (26) | | | (5) | | | Other | | (64) | | | (51) | | | (130) | | | (56) | |
| Balance at March 31 | | 88,005 | | | 87,857 | | | |
| Balance at September 30 | | Balance at September 30 | | 88,357 | | | 88,289 | | | 88,357 | | | 88,289 | |
| | Retained earnings | Retained earnings | | | Retained earnings | |
| Balance at the beginning of the period | Balance at the beginning of the period | | 236,990 | | | 223,211 | | | Balance at the beginning of the period | | 256,983 | | | 221,732 | | | 236,990 | | | 223,211 | |
| Cumulative effect of change in accounting principles | Cumulative effect of change in accounting principles | | — | | | (2,650) | | | Cumulative effect of change in accounting principles | | — | | | — | | | — | | | (2,650) | |
| Net income | Net income | | 14,300 | | | 2,865 | | | Net income | | 11,687 | | | 9,443 | | | 37,935 | | | 16,995 | |
| Dividends declared: | Dividends declared: | | | Dividends declared: | |
| Preferred stock | Preferred stock | | (379) | | | (421) | | | Preferred stock | | (402) | | | (381) | | | (1,174) | | | (1,203) | |
Common stock ($0.90 and $0.90 per share) | | (2,760) | | | (2,779) | | | |
| Balance at March 31 | | 248,151 | | | 220,226 | | | |
Common stock ($1.00 and $0.90 per share and $2.80 and $2.70 per share, respectively) | | 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 30 | | Balance at September 30 | | 265,276 | | | 228,014 | | | 265,276 | | | 228,014 | |
| | Accumulated other comprehensive income/(loss) | Accumulated other comprehensive income/(loss) | | | Accumulated other comprehensive income/(loss) | |
| Balance at the beginning of the period | Balance at the beginning of the period | | 7,986 | | | 1,569 | | | Balance at the beginning of the period | | 2,570 | | | 8,789 | | | 7,986 | | | 1,569 | |
| | Other comprehensive income/(loss), after-tax | Other comprehensive income/(loss), after-tax | | (6,945) | | | 5,849 | | | Other comprehensive income/(loss), after-tax | | (1,607) | | | 151 | | | (7,023) | | | 7,371 | |
| Balance at March 31 | | 1,041 | | | 7,418 | | | |
| Balance at September 30 | | Balance at September 30 | | 963 | | | 8,940 | | | 963 | | | 8,940 | |
| | Shares held in RSU Trust, at cost | | | |
| Balance at the beginning and end of the period | | 0 | | | (21) | | | |
| | Shares held in Restricted Stock Units ("RSU") Trust, at cost | | Shares held in Restricted Stock Units ("RSU") Trust, at cost | |
| Balance at the beginning of the period | | Balance at the beginning of the period | | — | | | (11) | | | — | | | (21) | |
| Liquidation of RSU Trust | | Liquidation of RSU Trust | | — | | | — | | | — | | | 10 | |
| Balance at September 30 | | Balance at September 30 | | — | | | (11) | | | — | | | (11) | |
| | Treasury stock, at cost | Treasury stock, at cost | | | Treasury stock, at cost | |
| Balance at the beginning of the period | Balance at the beginning of the period | | (88,184) | | | (83,049) | | | Balance at the beginning of the period | | (98,304) | | | (88,337) | | | (88,184) | | | (83,049) | |
| Repurchase | Repurchase | | (4,999) | | | (6,397) | | | Repurchase | | (5,240) | | | — | | | (16,440) | | | (6,397) | |
| Reissuance | Reissuance | | 1,032 | | | 1,060 | | | Reissuance | | 46 | | | 50 | | | 1,126 | | | 1,159 | |
| Balance at March 31 | | (92,151) | | | (88,386) | | | |
| Balance at September 30 | | Balance at September 30 | | (103,498) | | | (88,287) | | | (103,498) | | | (88,287) | |
| | Total stockholders’ equity | Total stockholders’ equity | | $ | 280,714 | | | $ | 261,262 | | | 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.
JPMorgan Chase & Co.
Consolidated statements of cash flows (unaudited)
| | | Three months ended March 31, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | (in millions) | 2021 | | 2020 |
| Operating activities | Operating activities | | Operating activities | |
| Net income | Net income | $ | 14,300 | | | $ | 2,865 | | 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 losses | Provision for credit losses | (4,156) | | | 8,285 | | Provision for credit losses | (7,968) | | | 19,369 | |
| Depreciation and amortization | Depreciation and amortization | 2,070 | | | 2,197 | | Depreciation and amortization | 6,001 | | | 6,487 | |
| Deferred tax (benefit)/expense(a) | Deferred tax (benefit)/expense(a) | 998 | | | (1,235) | | Deferred tax (benefit)/expense(a) | (1,063) | | | (5,139) | |
| | Other | Other | 890 | | | 411 | | Other | 2,662 | | | 1,245 | |
| Originations and purchases of loans held-for-sale | Originations and purchases of loans held-for-sale | (85,457) | | | (47,352) | | Originations and purchases of loans held-for-sale | (259,159) | | | (112,142) | |
| Proceeds from sales, securitizations and paydowns of loans held-for-sale | Proceeds from sales, securitizations and paydowns of loans held-for-sale | 75,547 | | | 52,345 | | Proceeds from sales, securitizations and paydowns of loans held-for-sale | 244,966 | | | 120,786 | |
| Net change in: | Net change in: | | Net change in: | |
| Trading assets | Trading assets | (34,262) | | | (167,827) | | Trading assets | 2,700 | | | (145,124) | |
| Securities borrowed | Securities borrowed | (18,951) | | | 145 | | Securities borrowed | (42,471) | | | (2,509) | |
| Accrued interest and accounts receivable | Accrued interest and accounts receivable | (24,323) | | | (49,323) | | Accrued interest and accounts receivable | (26,148) | | | (4,398) | |
Other assets(a) | Other assets(a) | 7,131 | | | (61,897) | | Other assets(a) | (358) | | | (28,732) | |
| Trading liabilities | Trading liabilities | (7) | | | 97,078 | | Trading liabilities | (10,668) | | | 63,516 | |
Accounts payable and other liabilities(a) | Accounts payable and other liabilities(a) | 23,559 | | | 45,020 | | Accounts payable and other liabilities(a) | 47,547 | | | 16,495 | |
| Other operating adjustments | Other operating adjustments | (1,211) | | | (801) | | Other operating adjustments | (987) | | | 1,293 | |
| Net cash (used in) operating activities | Net cash (used in) operating activities | (43,872) | | | (120,089) | | Net cash (used in) operating activities | (7,011) | | | (51,858) | |
| Investing activities | Investing activities | | Investing activities | |
| Net change in: | Net change in: | | Net change in: | |
| | Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | 23,791 | | | 1,120 | | Federal funds sold and securities purchased under resale agreements | 14,089 | | | (70,597) | |
| Held-to-maturity securities: | Held-to-maturity securities: | | Held-to-maturity securities: | |
| Proceeds from paydowns and maturities | Proceeds from paydowns and maturities | 14,700 | | | 2,599 | | Proceeds from paydowns and maturities | 39,106 | | | 11,498 | |
| Purchases | Purchases | (31,348) | | | (205) | | Purchases | (78,976) | | | (5,528) | |
| Available-for-sale securities: | Available-for-sale securities: | | Available-for-sale securities: | |
| Proceeds from paydowns and maturities | Proceeds from paydowns and maturities | 14,096 | | | 12,420 | | Proceeds from paydowns and maturities | 39,346 | | | 43,709 | |
| Proceeds from sales | Proceeds from sales | 80,823 | | | 50,990 | | Proceeds from sales | 146,858 | | | 110,354 | |
| Purchases | Purchases | (95,958) | | | (131,605) | | Purchases | (163,211) | | | (281,147) | |
| Proceeds from sales and securitizations of loans held-for-investment | Proceeds from sales and securitizations of loans held-for-investment | 6,619 | | | 7,564 | | Proceeds from sales and securitizations of loans held-for-investment | 25,981 | | | 18,509 | |
| Other changes in loans, net | Other changes in loans, net | 3,321 | | | (65,608) | | Other changes in loans, net | (45,028) | | | (21,606) | |
| Net purchases of assets pursuant to nonrecourse advances provided by the FRBB under the MMLF | 0 | | | (11,985) | | |
| | | All other investing activities, net | All other investing activities, net | (653) | | | (1,123) | | All other investing activities, net | (7,351) | | | (3,398) | |
| Net cash provided by/(used in) investing activities | 15,391 | | | (135,833) | | |
| Net cash (used in) investing activities | | Net cash (used in) investing activities | (29,186) | | | (198,206) | |
| Financing activities | Financing activities | | Financing activities | |
| Net change in: | Net change in: | | Net change in: | |
| Deposits | Deposits | 120,501 | | | 297,976 | | Deposits | 234,716 | | | 452,454 | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 88,844 | | | 49,273 | | Federal funds purchased and securities loaned or sold under repurchase agreements | 39,753 | | | 52,745 | |
| Short-term borrowings | Short-term borrowings | 9,387 | | | 12,455 | | Short-term borrowings | 4,710 | | | 1,945 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | (1,439) | | | 1,613 | | Beneficial interests issued by consolidated VIEs | (1,839) | | | 2,838 | |
| Proceeds from long-term borrowings | Proceeds from long-term borrowings | 24,162 | | | 34,851 | | Proceeds from long-term borrowings | 69,272 | | | 64,243 | |
| Payments of long-term borrowings | Payments of long-term borrowings | (14,983) | | | (29,057) | | Payments of long-term borrowings | (46,041) | | | (90,481) | |
| | Proceeds from issuance of preferred stock | Proceeds from issuance of preferred stock | 1,500 | | | 4,500 | | Proceeds from issuance of preferred stock | 7,350 | | | 4,500 | |
| Redemption of preferred stock | Redemption of preferred stock | 0 | | | (1,430) | | Redemption of preferred stock | (2,575) | | | (1,430) | |
| Treasury stock repurchased | Treasury stock repurchased | (4,806) | | | (6,517) | | Treasury stock repurchased | (16,286) | | | (6,517) | |
| Dividends paid | Dividends paid | (3,193) | | | (3,188) | | Dividends paid | (9,472) | | | (9,551) | |
| All other financing activities, net | All other financing activities, net | (1,062) | | | 1,829 | | All other financing activities, net | (1,573) | | | (59) | |
| Net cash provided by financing activities | Net cash provided by financing activities | 218,911 | | | 362,305 | | Net cash provided by financing activities | 278,015 | | | 470,687 | |
| Effect of exchange rate changes on cash and due from banks and deposits with banks | Effect of exchange rate changes on cash and due from banks and deposits with banks | (6,967) | | | (2,480) | | Effect of exchange rate changes on cash and due from banks and deposits with banks | (9,558) | | | 3,268 | |
| Net increase in cash and due from banks and deposits with banks | Net increase in cash and due from banks and deposits with banks | 183,463 | | | 103,903 | | Net increase in cash and due from banks and deposits with banks | 232,260 | | | 223,891 | |
| Cash and due from banks and deposits with banks at the beginning of the period | Cash and due from banks and deposits with banks at the beginning of the period | 527,609 | | | 263,631 | | Cash and due from banks and deposits with banks at the beginning of the period | 527,609 | | | 263,631 | |
| Cash and due from banks and deposits with banks at the end of the period | Cash and due from banks and deposits with banks at the end of the period | $ | 711,072 | | | $ | 367,534 | | Cash and due from banks and deposits with banks at the end of the period | $ | 759,869 | | | $ | 487,522 | |
| Cash interest paid | Cash interest paid | $ | 1,127 | | | $ | 4,374 | | Cash interest paid | $ | 3,882 | | | $ | 11,576 | |
Cash income taxes paid, net | Cash income taxes paid, net | 640 | | | 763 | | Cash income taxes paid, net | 17,617 | | | 6,523 | |
(a) Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.information on the revisions to the operating activities.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
Refer to the Glossary of Terms and Acronyms on pages 163-171185-193 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”), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm based 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 25 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 2020 Form 10-K.
Certain amounts reported in prior periods have been reclassified to conform with the current 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 certainthe 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 2020 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 2020 Form 10-K for further information on offsetting assets and liabilities.
The Firm’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 an 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 reduction in the valuation allowance for U.S. foreign tax credits. Refer to Note 25 of JPMorgan Chase’s 2020 Form 10-K for further information.
Note 2 – Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K for a discussion of the Firm’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy.
The following table presents the assets and liabilities reported at fair value as of March 31,September 30, 2021, and December 31, 2020, by major product category and fair value hierarchy.
| | Assets and liabilities measured at fair value on a recurring basis | Assets and liabilities measured at fair value on a recurring basis | | | Assets and liabilities measured at fair value on a recurring basis | | |
| | Fair value hierarchy | | Derivative
netting
adjustments(f) | | | Fair value hierarchy | | Derivative
netting
adjustments(f) | |
| | March 31, 2021 (in millions) | Level 1 | Level 2 | | Level 3 | | Total fair value | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Level 1 | Level 2 | | Level 3 | | Derivative
netting
adjustments(f) | Total fair value |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | $ | 0 | | $ | 267,613 | | | $ | 0 | | | $ | — | | $ | 267,613 | | Federal funds sold and securities purchased under resale agreements | $ | — | | $ | 273,158 | | | $ | — | | | $ | 273,158 | |
| Securities borrowed | Securities borrowed | 0 | | 66,277 | | | 0 | | | — | | 66,277 | | 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 | | 50,988 | | | 397 | | | — | | 51,385 | | U.S. GSEs and government agencies(a) | — | | 35,746 | | | 299 | | | — | | 36,045 | |
| Residential – nonagency | Residential – nonagency | 0 | | 2,258 | | | 32 | | | — | | 2,290 | | Residential – nonagency | — | | 2,281 | | | 24 | | | — | | 2,305 | |
| Commercial – nonagency | Commercial – nonagency | 0 | | 1,183 | | | 2 | | | — | | 1,185 | | Commercial – nonagency | — | | 1,662 | | | 19 | | | — | | 1,681 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 0 | | 54,429 | | | 431 | | | — | | 54,860 | | 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) | 74,980 | | 10,095 | | | 0 | | | — | | 85,075 | | U.S. Treasury, GSEs and government agencies(a) | 87,623 | | 9,282 | | | — | | | — | | 96,905 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 0 | | 7,009 | | | 8 | | | — | | 7,017 | | Obligations of U.S. states and municipalities | — | | 6,735 | | | 7 | | | — | | 6,742 | |
| Certificates of deposit, bankers’ acceptances and commercial paper | Certificates of deposit, bankers’ acceptances and commercial paper | 0 | | 1,584 | | | 0 | | | — | | 1,584 | | Certificates of deposit, bankers’ acceptances and commercial paper | — | | 2,567 | | | — | | | — | | 2,567 | |
| Non-U.S. government debt securities | Non-U.S. government debt securities | 40,535 | | 51,757 | | | 177 | | | — | | 92,469 | | Non-U.S. government debt securities | 41,486 | | 48,345 | | | 104 | | | — | | 89,935 | |
| Corporate debt securities | Corporate debt securities | 0 | | 28,118 | | | 370 | | | — | | 28,488 | | Corporate debt securities | — | | 31,472 | | | 370 | | | — | | 31,842 | |
| Loans | Loans | 0 | | 7,071 | | | 832 | | | — | | 7,903 | | Loans | — | | 6,359 | | | 982 | | | — | | 7,341 | |
| Asset-backed securities | Asset-backed securities | 0 | | 2,538 | | | 54 | | | — | | 2,592 | | Asset-backed securities | — | | 2,569 | | | 28 | | | — | | 2,597 | |
| Total debt instruments | Total debt instruments | 115,515 | | 162,601 | | | 1,872 | | | — | | 279,988 | | Total debt instruments | 129,109 | | 147,018 | | | 1,833 | | | — | | 277,960 | |
| Equity securities | Equity securities | 152,474 | | 1,992 | | | 688 | | | — | | 155,154 | | Equity securities | 124,349 | | 1,658 | | | 634 | | | — | | 126,641 | |
Physical commodities(b) | Physical commodities(b) | 10,769 | | 6,314 | | | 0 | | | — | | 17,083 | | Physical commodities(b) | 6,471 | | 12,887 | | | — | | | — | | 19,358 | |
| Other | Other | 0 | | 18,531 | | | 122 | | | — | | 18,653 | | Other | — | | 23,920 | | | 58 | | | — | | 23,978 | |
Total debt and equity instruments(c) | Total debt and equity instruments(c) | 278,758 | | 189,438 | | | 2,682 | | | — | | 470,878 | | Total debt and equity instruments(c) | 259,929 | | 185,483 | | | 2,525 | | | — | | 447,937 | |
| Derivative receivables: | Derivative receivables: | | Derivative receivables: | |
| Interest rate | Interest rate | 3,646 | | 305,725 | | | 2,250 | | | (283,073) | | 28,548 | | Interest rate | 1,931 | | 281,315 | | | 1,863 | | | (260,343) | | 24,766 | |
| Credit | Credit | 0 | | 13,575 | | | 637 | | | (13,164) | | 1,048 | | Credit | — | | 10,032 | | | 492 | | | (9,349) | | 1,175 | |
| Foreign exchange | Foreign exchange | 144 | | 185,794 | | | 689 | | | (171,515) | | 15,112 | | Foreign exchange | 235 | | 162,182 | | | 779 | | | (148,671) | | 14,525 | |
| Equity | Equity | 0 | | 69,570 | | | 4,008 | | | (53,825) | | 19,753 | | Equity | — | | 71,346 | | | 3,076 | | | (63,930) | | 10,492 | |
| Commodity | Commodity | 0 | | 23,387 | | | 292 | | | (15,021) | | 8,658 | | Commodity | — | | 35,781 | | | 534 | | | (19,365) | | 16,950 | |
| Total derivative receivables | Total derivative receivables | 3,790 | | 598,051 | | | 7,876 | | | (536,598) | | 73,119 | | Total derivative receivables | 2,166 | | 560,656 | | | 6,744 | | | (501,658) | | 67,908 | |
Total trading assets(d) | Total trading assets(d) | 282,548 | | 787,489 | | | 10,558 | | | (536,598) | | 543,997 | | Total trading assets(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) | 3 | | 112,456 | | | 0 | | | — | | 112,459 | | U.S. GSEs and government agencies(a) | — | | 73,049 | | | — | | | — | | 73,049 | |
| Residential – nonagency | Residential – nonagency | 0 | | 10,601 | | | 0 | | | — | | 10,601 | | Residential – nonagency | — | | 6,373 | | | — | | | — | | 6,373 | |
| Commercial – nonagency | Commercial – nonagency | 0 | | 3,029 | | | 0 | | | — | | 3,029 | | Commercial – nonagency | — | | 3,132 | | | — | | | — | | 3,132 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 3 | | 126,086 | | | 0 | | | — | | 126,089 | | Total mortgage-backed securities | — | | 82,554 | | | — | | | — | | 82,554 | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | 194,784 | | 0 | | | 0 | | | — | | 194,784 | | U.S. Treasury and government agencies | 121,471 | | — | | | — | | | — | | 121,471 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 0 | | 19,922 | | | 0 | | | — | | 19,922 | | Obligations of U.S. states and municipalities | — | | 17,515 | | | — | | | — | | 17,515 | |
| Certificates of deposit | 0 | | 0 | | | 0 | | | — | | 0 | | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | 12,270 | | 8,603 | | | 0 | | | — | | 20,873 | | Non-U.S. government debt securities | 5,457 | | 10,368 | | | — | | | — | | 15,825 | |
| Corporate debt securities | Corporate debt securities | 0 | | 210 | | | 0 | | | — | | 210 | | Corporate debt securities | — | | 165 | | | 95 | | | — | | 260 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 0 | | 11,329 | | | 0 | | | — | | 11,329 | | Collateralized loan obligations | — | | 9,137 | | | — | | | — | | 9,137 | |
| Other | Other | 0 | | 6,735 | | | 0 | | | — | | 6,735 | | Other | — | | 4,828 | | | — | | | — | | 4,828 | |
| | Total available-for-sale securities | Total available-for-sale securities | 207,057 | | 172,885 | | | 0 | | | — | | 379,942 | | Total available-for-sale securities | 126,928 | | 124,567 | | | 95 | | | — | | 251,590 | |
Loans (e) | Loans (e) | 0 | | 48,944 | | | 1,823 | | | — | | 50,767 | | Loans (e) | — | | 58,557 | | | 2,071 | | | — | | 60,628 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | | 0 | | | 4,470 | | | — | | 4,470 | | Mortgage servicing rights | — | | — | | | 5,351 | | | — | | 5,351 | |
Other assets(d) | Other assets(d) | 42,839 | | 6,519 | | | 511 | | | — | | 49,869 | | Other assets(d) | 9,332 | | 4,061 | | | 321 | | | — | | 13,714 | |
| Total assets measured at fair value on a recurring basis | Total assets measured at fair value on a recurring basis | $ | 532,444 | | $ | 1,349,727 | | | $ | 17,362 | | | $ | (536,598) | | $ | 1,362,935 | | Total assets measured at fair value on a recurring basis | $ | 398,355 | | $ | 1,279,315 | | | $ | 17,107 | | | $ | (501,658) | | $ | 1,193,119 | |
| Deposits | Deposits | $ | 0 | | $ | 11,455 | | | $ | 2,652 | | | $ | — | | $ | 14,107 | | Deposits | $ | — | | $ | 9,431 | | | $ | 2,377 | | | $ | — | | $ | 11,808 | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 0 | | 197,834 | | | 0 | | | — | | 197,834 | | Federal funds purchased and securities loaned or sold under repurchase agreements | — | | 187,439 | | | — | | | — | | 187,439 | |
| Short-term borrowings | Short-term borrowings | 0 | | 16,338 | | | 3,664 | | | — | | 20,002 | | Short-term borrowings | — | | 17,622 | | | 2,411 | | | — | | 20,033 | |
| Trading liabilities: | Trading liabilities: | | Trading liabilities: | |
Debt and equity instruments(c) | Debt and equity instruments(c) | 104,557 | | 26,292 | | | 60 | | | — | | 130,909 | | Debt and equity instruments(c) | 98,932 | | 27,096 | | | 30 | | | — | | 126,058 | |
| Derivative payables: | Derivative payables: | | Derivative payables: | |
| Interest rate | Interest rate | 3,194 | | 273,891 | | | 2,101 | | | (268,442) | | 10,744 | | Interest rate | 1,661 | | 248,655 | | | 1,976 | | | (243,460) | | 8,832 | |
| Credit | Credit | 0 | | 13,961 | | | 641 | | | (12,704) | | 1,898 | | Credit | — | | 11,301 | | | 498 | | | (10,406) | | 1,393 | |
| Foreign exchange | Foreign exchange | 154 | | 184,124 | | | 1,228 | | | (168,468) | | 17,038 | | Foreign exchange | 248 | | 160,511 | | | 1,336 | | | (148,090) | | 14,005 | |
| Equity | Equity | 0 | | 71,701 | | | 7,842 | | | (57,143) | | 22,400 | | Equity | — | | 79,924 | | | 6,913 | | | (69,063) | | 17,774 | |
| Commodity | Commodity | 0 | | 22,657 | | | 1,203 | | | (15,500) | | 8,360 | | Commodity | — | | 33,037 | | | 1,406 | | | (22,962) | | 11,481 | |
| Total derivative payables | Total derivative payables | 3,348 | | 566,334 | | | 13,015 | | | (522,257) | | 60,440 | | Total derivative payables | 1,909 | | 533,428 | | | 12,129 | | | (493,981) | | 53,485 | |
| Total trading liabilities | Total trading liabilities | 107,905 | | 592,626 | | | 13,075 | | | (522,257) | | 191,349 | | Total trading liabilities | 100,841 | | 560,524 | | | 12,159 | | | (493,981) | | 179,543 | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 39,933 | | 2,830 | | | 61 | | | — | | 42,824 | | Accounts payable and other liabilities | 4,957 | | 332 | | | 51 | | | — | | 5,340 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | 0 | | 193 | | | 0 | | | — | | 193 | | Beneficial interests issued by consolidated VIEs | — | | 99 | | | — | | | — | | 99 | |
| Long-term debt | Long-term debt | 0 | | 53,118 | | | 22,575 | | | — | | 75,693 | | Long-term debt | — | | 52,985 | | | 23,514 | | | — | | 76,499 | |
| Total liabilities measured at fair value on a recurring basis | Total liabilities measured at fair value on a recurring basis | $ | 147,838 | | $ | 874,394 | | | $ | 42,027 | | | $ | (522,257) | | $ | 542,002 | | Total liabilities measured at fair value on a recurring basis | $ | 105,798 | | $ | 828,432 | | | $ | 40,512 | | | $ | (493,981) | | $ | 480,761 | |
| | | Fair value hierarchy | | Derivative
netting
adjustments(f) | | | Fair value hierarchy | | Derivative
netting
adjustments(f) | |
| | December 31, 2020 (in millions) | December 31, 2020 (in millions) | Level 1 | Level 2 | | Level 3 | | Total fair value | December 31, 2020 (in millions) | Level 1 | Level 2 | | Level 3 | | Total fair value |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | $ | 0 | | $ | 238,015 | | | $ | 0 | | | $ | — | | | $ | 238,015 | | Federal funds sold and securities purchased under resale agreements | $ | — | | $ | 238,015 | | | $ | — | | | $ | — | | | $ | 238,015 | |
| Securities borrowed | Securities borrowed | 0 | | 52,983 | | | 0 | | | — | | | 52,983 | | 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 | | 68,395 | | | 449 | | | — | | | 68,844 | | U.S. GSEs and government agencies(a) | — | | 68,395 | | | 449 | | | — | | | 68,844 | |
| Residential – nonagency | Residential – nonagency | 0 | | 2,138 | | | 28 | | | — | | | 2,166 | | Residential – nonagency | — | | 2,138 | | | 28 | | | — | | | 2,166 | |
| Commercial – nonagency | Commercial – nonagency | 0 | | 1,327 | | | 3 | | | — | | | 1,330 | | Commercial – nonagency | — | | 1,327 | | | 3 | | | — | | | 1,330 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 0 | | 71,860 | | | 480 | | | — | | | 72,340 | | 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) | 104,263 | | 10,996 | | | 0 | | | — | | | 115,259 | | U.S. Treasury, GSEs and government agencies(a) | 104,263 | | 10,996 | | | — | | | — | | | 115,259 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 0 | | 7,184 | | | 8 | | | — | | | 7,192 | | Obligations of U.S. states and municipalities | — | | 7,184 | | | 8 | | | — | | | 7,192 | |
| Certificates of deposit, bankers’ acceptances and commercial paper | Certificates of deposit, bankers’ acceptances and commercial paper | 0 | | 1,230 | | | 0 | | | — | | | 1,230 | | Certificates of deposit, bankers’ acceptances and commercial paper | — | | 1,230 | | | — | | | — | | | 1,230 | |
| Non-U.S. government debt securities | Non-U.S. government debt securities | 26,772 | | 40,671 | | | 182 | | | — | | | 67,625 | | Non-U.S. government debt securities | 26,772 | | 40,671 | | | 182 | | | — | | | 67,625 | |
| Corporate debt securities | Corporate debt securities | 0 | | 21,017 | | | 507 | | | — | | | 21,524 | | Corporate debt securities | — | | 21,017 | | | 507 | | | — | | | 21,524 | |
| Loans | Loans | 0 | | 6,101 | | | 893 | | | — | | | 6,994 | | Loans | — | | 6,101 | | | 893 | | | — | | | 6,994 | |
| Asset-backed securities | Asset-backed securities | 0 | | 2,304 | | | 28 | | | — | | | 2,332 | | Asset-backed securities | — | | 2,304 | | | 28 | | | — | | | 2,332 | |
| Total debt instruments | Total debt instruments | 131,035 | | 161,363 | | | 2,098 | | | — | | | 294,496 | | Total debt instruments | 131,035 | | 161,363 | | | 2,098 | | | — | | | 294,496 | |
| Equity securities | Equity securities | 97,035 | | 2,652 | | | 476 | | (g) | — | | | 100,163 | | Equity securities | 97,035 | | 2,652 | | | 476 | | (g) | — | | | 100,163 | |
Physical commodities(b) | Physical commodities(b) | 6,382 | | 5,189 | | | 0 | | | — | | | 11,571 | | Physical commodities(b) | 6,382 | | 5,189 | | | — | | | — | | | 11,571 | |
| Other | Other | 0 | | 17,165 | | | 49 | | (g) | — | | | 17,214 | | Other | — | | 21,351 | | (g) | 49 | | (g) | — | | | 21,400 | |
Total debt and equity instruments(c) | Total debt and equity instruments(c) | 234,452 | | 186,369 | | | 2,623 | | | — | | | 423,444 | | Total debt and equity instruments(c) | 234,452 | | 190,555 | | | 2,623 | | | — | | | 427,630 | |
| Derivative receivables: | Derivative receivables: | | Derivative receivables: | |
| Interest rate | 2,318 | | 386,865 | |
| 2,307 | | | (355,765) | | | 35,725 | | |
| Credit | 0 | | 12,879 | | | 624 | | | (12,823) | | | 680 | | |
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 exchange | Foreign exchange | 146 | | 205,127 | |
| 987 | | | (190,479) | | | 15,781 | | Foreign exchange | 146 | | 205,127 | |
| 987 | | | (190,479) | | | 15,781 | |
| Equity | Equity | 0 | | 71,279 | |
| 3,519 | | | (54,125) | | | 20,673 | | Equity | — | | 67,093 | | (g) | 3,519 | | | (54,125) | | | 16,487 | |
| Commodity | Commodity | 0 | | 21,272 | | | 231 | | | (14,732) | | | 6,771 | | Commodity | — | | 21,272 | | | 231 | | | (14,732) | | | 6,771 | |
| Total derivative receivables | Total derivative receivables | 2,464 | | 697,422 | |
| 7,668 | | | (627,924) | | | 79,630 | | Total derivative receivables | 2,464 | | 693,236 | |
| 7,668 | | | (627,924) | | | 75,444 | |
Total trading assets(d) | Total trading assets(d) | 236,916 | | 883,791 | |
| 10,291 | | | (627,924) | | | 503,074 | | Total trading assets(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) | 7 | | 113,294 | | | 0 | | | — | | | 113,301 | | U.S. GSEs and government agencies(a)(g) | 7 | | 113,294 | | | — | | | — | | | 113,301 | |
| Residential – nonagency | Residential – nonagency | 0 | | 10,233 | | | 0 | | | — | | | 10,233 | | Residential – nonagency | — | | 10,233 | | | — | | | — | | | 10,233 | |
| Commercial – nonagency | Commercial – nonagency | 0 | | 2,856 | | | 0 | | | — | | | 2,856 | | Commercial – nonagency | — | | 2,856 | | | — | | | — | | | 2,856 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 7 | | 126,383 | | | 0 | | | — | | | 126,390 | | Total mortgage-backed securities | 7 | | 126,383 | | | — | | | — | | | 126,390 | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | 201,951 | | 0 | | | 0 | | | — | | | 201,951 | | U.S. Treasury and government agencies | 201,951 | | — | | | — | | | — | | | 201,951 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 0 | | 20,396 | | | 0 | | | — | | | 20,396 | | Obligations of U.S. states and municipalities | — | | 20,396 | | | — | | | — | | | 20,396 | |
| Certificates of deposit | 0 | | 0 | | | 0 | | | — | | | 0 | | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | 13,135 | | 9,793 | | | 0 | | | — | | | 22,928 | | Non-U.S. government debt securities | 13,135 | | 9,793 | | | — | | | — | | | 22,928 | |
| Corporate debt securities | Corporate debt securities | 0 | | 216 | | | 0 | | | — | | | 216 | | Corporate debt securities | — | | 216 | | | — | | | — | | | 216 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 0 | | 10,048 | | | 0 | | | — | | | 10,048 | | Collateralized loan obligations | — | | 10,048 | | | — | | | — | | | 10,048 | |
| Other | Other | 0 | | 6,249 | | | 0 | | | — | | | 6,249 | | Other | — | | 6,249 | | | — | | | — | | | 6,249 | |
| | Total available-for-sale securities | Total available-for-sale securities | 215,093 | | 173,085 | | | 0 | | | — | | | 388,178 | | Total available-for-sale securities | 215,093 | | 173,085 | | | — | | | — | | | 388,178 | |
Loans(e) | Loans(e) | 0 | | 42,169 | | | 2,305 | | | — | | | 44,474 | | Loans(e) | — | | 42,169 | | | 2,305 | | | — | | | 44,474 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | | 0 | | | 3,276 | | | — | | | 3,276 | | Mortgage servicing rights | — | | — | | | 3,276 | | | — | | | 3,276 | |
Other assets(d) | Other assets(d) | 8,110 | | 4,561 | | | 538 | | | — | | | 13,209 | | Other assets(d) | 8,110 | | 4,561 | | | 538 | | | — | | | 13,209 | |
| Total assets measured at fair value on a recurring basis | Total assets measured at fair value on a recurring basis | $ | 460,119 | | $ | 1,394,604 | |
| $ | 16,410 | |
| $ | (627,924) | | | $ | 1,243,209 | | Total assets measured at fair value on a recurring basis | $ | 460,119 | | $ | 1,394,604 | |
| $ | 16,410 | |
| $ | (627,924) | | | $ | 1,243,209 | |
| Deposits | Deposits | $ | 0 | | $ | 11,571 | | | $ | 2,913 | | | $ | — | | | $ | 14,484 | | Deposits | $ | — | | $ | 11,571 | | | $ | 2,913 | | | $ | — | | | $ | 14,484 | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 0 | | 155,735 | | | 0 | | | — | | | 155,735 | | Federal funds purchased and securities loaned or sold under repurchase agreements | — | | 155,735 | | | — | | | — | | | 155,735 | |
| Short-term borrowings | Short-term borrowings | 0 | | 14,473 | | | 2,420 | | | — | | | 16,893 | | Short-term borrowings | — | | 14,473 | | | 2,420 | | | — | | | 16,893 | |
| Trading liabilities: | Trading liabilities: | | Trading liabilities: | |
Debt and equity instruments(c) | Debt and equity instruments(c) | 82,669 | | 16,838 | | | 51 | | | — | | | 99,558 | | Debt and equity instruments(c) | 82,669 | | 16,838 | | | 51 | | | — | | | 99,558 | |
| Derivative payables: | Derivative payables: | | Derivative payables: | |
| Interest rate | 2,496 | | 349,082 | |
| 2,049 | | | (340,615) | | | 13,012 | | |
| Credit | 0 | | 14,344 | |
| 848 | | | (13,197) | | | 1,995 | | |
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 exchange | Foreign exchange | 132 | | 214,373 | |
| 1,421 | | | (194,493) | | | 21,433 | | Foreign exchange | 132 | | 214,373 | |
| 1,421 | | | (194,493) | | | 21,433 | |
| Equity | Equity | 0 | | 74,032 | |
| 7,381 | | | (55,515) | | | 25,898 | | Equity | — | | 74,032 | |
| 7,381 | | | (55,515) | | | 25,898 | |
| Commodity | Commodity | 0 | | 21,767 | |
| 962 | | | (14,444) | | | 8,285 | | Commodity | — | | 21,767 | |
| 962 | | | (14,444) | | | 8,285 | |
| Total derivative payables | Total derivative payables | 2,628 | | 673,598 | |
| 12,661 | | | (618,264) | | | 70,623 | | Total derivative payables | 2,628 | | 673,598 | |
| 12,661 | | | (618,264) | | | 70,623 | |
| Total trading liabilities | Total trading liabilities | 85,297 | | 690,436 | |
| 12,712 | | | (618,264) | | | 170,181 | | Total trading liabilities | 85,297 | | 690,436 | |
| 12,712 | | | (618,264) | | | 170,181 | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 2,895 | | 513 | |
| 68 | | | — | | | 3,476 | | Accounts payable and other liabilities | 2,895 | | 513 | |
| 68 | | | — | | | 3,476 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | 0 | | 41 | |
| 0 | | | — | | | 41 | | Beneficial interests issued by consolidated VIEs | — | | 41 | |
| — | | | — | | | 41 | |
| Long-term debt | Long-term debt | 0 | | 53,420 | |
| 23,397 | | | — | | | 76,817 | | Long-term debt | — | | 53,420 | |
| 23,397 | | | — | | | 76,817 | |
| Total liabilities measured at fair value on a recurring basis | Total liabilities measured at fair value on a recurring basis | $ | 88,192 | | $ | 926,189 | |
| $ | 41,510 | | | $ | (618,264) | | | $ | 437,627 | | Total liabilities measured at fair value on a recurring basis | $ | 88,192 | | $ | 926,189 | |
| $ | 41,510 | | | $ | (618,264) | | | $ | 437,627 | |
(a)At March 31,September 30, 2021, and December 31, 2020, included total U.S. GSE obligations of $96.3$68.6 billion and $117.6 billion, respectively, which were mortgage-related.
(b)Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. Refer to Note 4 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.
(c)Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).
(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 March 31,September 30, 2021, and December 31, 2020, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $678$813 million and $670 million, respectively. Included in these balances at March 31,September 30, 2021, and December 31, 2020, were trading assets of $55$56 million and $52 million, respectively, and other assets of $623$757 million and $618 million, respectively.
(e)At March 31,September 30, 2021, and December 31, 2020, included within loans were $20.1$27.2 billion and $15.1 billion, respectively, of residential first-lien mortgages, and $6.0$8.1 billion and $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 $11.9$13.1 billion and $8.4 billion, respectively.
(f)As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
(g)The prior-periodPrior-period amounts have been revised to conform with the current period presentation.
Level 3 valuations
Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K for further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments.
The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and the weighted or arithmetic averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.
The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.
In the Firm’s view, the input range, weighted and arithmetic average values do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.
| Level 3 inputs(a) | Level 3 inputs(a) | | Level 3 inputs(a) | |
| March 31, 2021 | | | | | |
| September 30, 2021 | | September 30, 2021 | | | | |
| Product/Instrument | Product/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) | $ | 991 | | | Discounted cash flows | Yield | 0% | – | 15% | | 6% | Residential mortgage-backed securities and loans(b) | $ | 1,161 | | | Discounted cash flows | Yield | (2)% | – | 15% | | 4% |
| Prepayment speed | 0% | – | 48% | | 9% | | Prepayment speed | 0% | – | 100% | | 12% |
| | Conditional default rate | 0% | – | 30% | | 10% | | Conditional default rate | 0% | – | 30% | | 5% |
| | Loss severity | 0% | – | 109% | | 8% | | Loss severity | 0% | – | 110% | | 5% |
Commercial mortgage-backed securities and loans(c) | Commercial mortgage-backed securities and loans(c) | 516 | | | Market comparables | Price | $0 | – | $100 | | $86 | Commercial mortgage-backed securities and loans(c) | 480 | | | Market comparables | Price | $0 | – | $100 | | $84 |
| | Corporate debt securities | Corporate debt securities | 370 | | | Market comparables | Price | $10 | – | $120 | | $96 | Corporate debt securities | 465 | | | Market comparables | Price | $2 | – | $150 | | $95 |
| Loans(d) | Loans(d) | 1,579 | | | Market comparables | Price | $5 | – | $111 | | $82 | Loans(d) | 1,754 | | | Market comparables | Price | $5 | – | $104 | | $86 |
| | Asset-backed securities | Asset-backed securities | 54 | | | Market comparables | Price | $2 | – | $96 | | $61 | Asset-backed securities | 28 | | | Market comparables | Price | $6 | – | $99 | | $56 |
| Net interest rate derivatives | Net interest rate derivatives | 130 | | | Option pricing | Interest rate volatility | 7 bps | – | 723 bps | | 132 bps | Net interest rate derivatives | (118) | | | Option pricing | Interest rate volatility | 8bps | – | 569bps | | 120bps |
| | Interest rate spread volatility | 11 bps | – | 23 bps | | 15 bps | | Interest rate spread volatility | 11bps | – | 23bps | | 15bps |
| | Interest rate correlation | (65)% | – | 99% | | 36% | | Interest rate correlation | (65)% | – | 95% | | 33% |
| | IR-FX correlation | (35)% | – | 50% | | (1)% | | IR-FX correlation | (35)% | – | 50% | | (3)% |
| | 19 | | | Discounted cash flows | Prepayment speed | 0% | – | 30% | | 8% | | 5 | | | Discounted cash flows | Prepayment speed | 0% | – | 30% | | 8% |
| Net credit derivatives | Net credit derivatives | (41) | | | Discounted cash flows | Credit correlation | 37% | – | 65% | | 49% | Net credit derivatives | (56) | | | Discounted cash flows | Credit correlation | 33% | – | 63% | | 45% |
| | Credit spread | 1 bps | – | 1,501 bps | | 396 bps | | Credit spread | 1bps | – | 2,539 bps | | 395bps |
| | Recovery rate | 0% | – | 70% | | 47% | | Recovery rate | 40% | – | 67% | | 54% |
| | | Conditional default rate | 2% | – | 100% | | 37% | | Conditional default rate | 100% | | 100% |
| | Loss severity | 100% | | 100% | | Loss severity | 100% | | 100% |
| | 37 | | | Market comparables | Price | $0 | – | $115 | | $69 | | 50 | | | Market comparables | Price | $0 | | $115 | | $78 |
| Net foreign exchange derivatives | Net foreign exchange derivatives | (424) | | | Option pricing | IR-FX correlation | (40)% | – | 65% | | 17% | Net foreign exchange derivatives | (448) | | | Option pricing | IR-FX correlation | (40)% | – | 65% | | 21% |
| | (115) | | | Discounted cash flows | Prepayment speed | 9% | | 9% | | (109) | | | Discounted cash flows | Prepayment speed | 9% | | 9% | | 9% |
| Net equity derivatives | Net equity derivatives | (3,834) | | | Option pricing | Forward equity price(h) | 61% | – | 130% | | 99% | Net equity derivatives | (3,837) | | | Option pricing | Forward equity price(h) | 61% | – | 123% | | 99% |
| | Equity volatility | 4% | – | 146% | | 33% | | Equity volatility | 2% | – | 144% | | 29% |
| | Equity correlation | 12% | – | 99% | | 55% | | Equity correlation | 12% | – | 100% | | 55% |
| | Equity-FX correlation | (79)% | – | 60% | | (26)% | | Equity-FX correlation | (79)% | – | 59% | | (27)% |
| | Equity-IR correlation | 15% | – | 50% | | 28% | | Equity-IR correlation | 15% | – | 50% | | 28% |
| Net commodity derivatives | Net commodity derivatives | (911) | | | Option pricing | OIl Commodity Forward | $478 / MT | – | $553 / MT | | $516 / MT | Net commodity derivatives | (872) | | | Option pricing | Oil Commodity Forward | $635 / MT | – | $850 / MT | | $743 / MT |
| | Forward power price | $13 / MWH | – | $55 / MWH | | $34 / MWH | | Forward power price | $24 / MWH | – | $64 / MWH | | $44 / MWH |
| | | Commodity volatility | 2% | – | 70% | | 36% | | Commodity volatility | 2% | – | 142% | | 72% |
| | Commodity correlation | (50)% | – | 95% | | 23% | | Commodity correlation | (50)% | – | 77% | | 14% |
| MSRs | MSRs | 4,470 | | | Discounted cash flows | Refer to Note 14 | | MSRs | 5,351 | | | Discounted cash flows | Refer to Note 14 | |
| | Long-term debt, short-term borrowings, and deposits(e) | Long-term debt, short-term borrowings, and deposits(e) | 27,985 | | | Option pricing | Interest rate volatility | 7 bps | – | 723 bps | | 132 bps | Long-term debt, short-term borrowings, and deposits(e) | 27,319 | | | Option pricing | Interest rate volatility | 8bps | – | 569bps | | 120bps |
| Interest rate correlation | (65)% | – | 99% | | 36% | | Interest rate correlation | (65)% | – | 95% | | 33% |
| IR-FX correlation | (35)% | – | 50% | | (1)% | | IR-FX correlation | (35)% | – | 50% | | (3)% |
| Equity correlation | 12% | – | 99% | | 55% | | Equity correlation | 12% | – | 100% | | 55% |
| Equity-FX correlation | (79)% | – | 60% | | (26)% | | Equity-FX correlation | (79)% | – | 59% | | (27)% |
| Equity-IR correlation | 15% | – | 50% | | 28% | | Equity-IR correlation | 15% | – | 50% | | 28% |
| | 906 | | | Discounted cash flows | Credit correlation | 37% | – | 65% | | 49% | | 983 | | | Discounted cash flows | Credit correlation | 33% | – | 63% | | 45% |
Other level 3 assets and liabilities, net(f) | Other level 3 assets and liabilities, net(f) | 1,385 | | | 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 $397$299 million, nonagency securities of $32$24 million and non-trading loans of $562$838 million.
(c)Comprises nonagency securities of $2$19 million, trading loans of $41 million and non-trading loans of $473$420 million.
(d)Comprises trading loans of $791$941 million and non-trading loans of $788$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 $968 million,$1.0 billion including $280$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 are insignificant both individually and in aggregate.
(g)Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.
(h)Forward equity price is expressed as a percentage of the current equity price.
(i)Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.
Changes in and ranges of unobservable inputs
Refer to Note 2 of JPMorgan Chase’s 2020 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 March 31,September 30, 2021 and 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.
| | | Fair value measurements using significant unobservable inputs | | | | Fair value measurements using significant unobservable inputs | | |
Three months ended
March 31, 2021
(in millions) | Fair value at
January 1,
2021 | Total realized/unrealized gains/(losses) | | Transfers into
level 3 | Transfers (out of) level 3 | Fair value at
March 31, 2021 | Change in unrealized gains/(losses) related
to financial instruments held at March 31, 2021 | |
Purchases(f) | Sales | | Settlements(g) | |
Three months ended
September 30, 2021
(in millions) | | 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 3 | Fair 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) | 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 agencies | U.S. GSEs and government agencies | $ | 449 | | | $ | 23 | | | $ | 6 | | $ | (48) | | | $ | (33) | | 0 | $ | 0 | | | $ | 397 | | | $ | 22 | | | U.S. GSEs and government agencies | $ | 329 | | | $ | (12) | | | $ | 13 | | $ | (6) | | | $ | (25) | | $ | — | | $ | — | | | $ | 299 | | | $ | (12) | | |
| Residential – nonagency | Residential – nonagency | 28 | | | 1 | | | 9 | | (3) | | | (2) | | 0 | (1) | | | 32 | | | 0 | | | Residential – nonagency | 16 | | | — | | | 9 | | — | | | (1) | | — | | — | | | 24 | | | (1) | | |
| Commercial – nonagency | Commercial – nonagency | 3 | | | 0 | | | 0 | | (1) | | | 0 | | 0 | 0 | | | 2 | | | 0 | | | Commercial – nonagency | 10 | | | 7 | | | 1 | | — | | | (13) | | 14 | | — | | | 19 | | | 6 | | |
| Total mortgage-backed securities | Total mortgage-backed securities | 480 | | | 24 | | | 15 | | (52) | | | (35) | | 0 | | (1) | | | 431 | | | 22 | | | Total mortgage-backed securities | 355 | | | (5) | | | 23 | | (6) | | | (39) | | 14 | | — | | | 342 | | | (7) | | |
| | Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 8 | | | 0 | | | 0 | | 0 | | | 0 | | 0 | | 0 | | | 8 | | | 0 | | | Obligations of U.S. states and municipalities | 8 | | | — | | | — | | — | | | (1) | | — | | — | | | 7 | | | — | | |
| Non-U.S. government debt securities | Non-U.S. government debt securities | 182 | | | (9) | | | 118 | | (107) | | | (7) | | 0 | | 0 | | | 177 | | | (9) | | | Non-U.S. government debt securities | 183 | | | (2) | | | 128 | | (98) | | | — | | — | | (107) | | | 104 | | | (1) | | |
| Corporate debt securities | Corporate debt securities | 507 | | | (15) | | | 91 | | (146) | | | 0 | | 85 | | (152) | | | 370 | | | (14) | | | Corporate debt securities | 487 | | | (33) | | | 38 | | (115) | | | (3) | | 25 | | (29) | | | 370 | | | (25) | | |
| Loans | Loans | 893 | | | 7 | | | 272 | | (152) | | | (1) | | 90 | | (277) | | | 832 | | | 8 | | | Loans | 795 | | | — | | | 219 | | (197) | | | (130) | | 409 | | (114) | | | 982 | | | 2 | | |
| Asset-backed securities | Asset-backed securities | 28 | | | (1) | | | 28 | | (3) | | | 0 | | 2 | | 0 | | | 54 | | | (1) | | | Asset-backed securities | 35 | | | 1 | | | 3 | | (4) | | | — | | — | | (7) | | | 28 | | | — | | |
| Total debt instruments | Total debt instruments | 2,098 | | | 6 | | | 524 | | (460) | | | (43) | | 177 | | (430) | | | 1,872 | | | 6 | | | Total debt instruments | 1,863 | | | (39) | | | 411 | | (420) | | | (173) | | 448 | | (257) | | | 1,833 | | | (31) | | |
| Equity securities | Equity securities | 476 | | | (5) | | | 230 | | (43) | | | 0 | | 54 | | (24) | | | 688 | | | 3 | | | Equity securities | 690 | | | (41) | | | 5 | | (44) | | | — | | 62 | | (38) | | | 634 | | | (34) | | |
| Other | Other | 49 | | | 41 | | | 65 | | 0 | | | (29) | | 0 | | (4) | | | 122 | | | 36 | | | Other | 47 | | | 26 | | | 17 | | — | | | (31) | | — | | (1) | | | 58 | | | 26 | | |
| Total trading assets – debt and equity instruments | Total trading assets – debt and equity instruments | 2,623 | | | 42 | | (c) | 819 | | (503) | | | (72) | | 231 | | (458) | | | 2,682 | | | 45 | | (c) | Total trading assets – debt and equity instruments | 2,600 | | | (54) | | (c) | 433 | | (464) | | | (204) | | 510 | | (296) | | | 2,525 | | | (39) | | (c) |
Net derivative receivables:(b) | Net derivative receivables:(b) | | Net derivative receivables:(b) | |
| Interest rate | Interest rate | 258 | | | 445 | | | 53 | | (93) | | | (534) | | 57 | | (37) | | | 149 | | | 313 | | | Interest rate | (22) | | | 618 | | | 21 | | (44) | | | (683) | | 13 | | (16) | | | (113) | | | 246 | | |
| Credit | Credit | (224) | | | 183 | | | 1 | | (2) | | | 27 | | (3) | | 14 | | | (4) | | | 168 | | | Credit | (17) | | | (9) | | | 4 | | (7) | | | 59 | | (4) | | (32) | | | (6) | | | (1) | | |
| Foreign exchange | Foreign exchange | (434) | | | (200) | | | 2 | | (6) | | | 111 | | 10 | | (22) | | | (539) | | | (214) | | | Foreign exchange | (583) | | | 2 | | | 28 | | (44) | | | 41 | | (5) | | 4 | | | (557) | | | 15 | | |
| Equity | Equity | (3,862) | | | 23 | | | 194 | | (838) | | | 126 | | 110 | | 413 | | | (3,834) | | | (213) | | | Equity | (4,936) | | | 723 | | | 192 | | (1,001) | | | 912 | | 214 | | 59 | | | (3,837) | | | 397 | | |
| Commodity | Commodity | (731) | | | (246) | | | 4 | | (213) | | | 279 | | (1) | | (3) | | | (911) | | | (145) | | | Commodity | (1,167) | | | 88 | | | 130 | | (88) | | | 156 | | (2) | | 11 | | | (872) | | | 178 | | |
| Total net derivative receivables | Total net derivative receivables | (4,993) | | | 205 | | (c) | 254 | | (1,152) | | | 9 | | 173 | | 365 | | | (5,139) | | | (91) | | (c) | Total net derivative receivables | (6,725) | | | 1,422 | | (c) | 375 | | (1,184) | | | 485 | | 216 | | 26 | | | (5,385) | | | 835 | | (c) |
| Available-for-sale securities: | Available-for-sale securities: | | Available-for-sale securities: | |
| Mortgage-backed securities | 0 | | | 0 | | | 0 | | 0 | | | 0 | | 0 | | 0 | | | 0 | | | 0 | | | |
| Corporate debt securities | | Corporate debt securities | — | | | — | | | 95 | | — | | | — | | — | | — | | | 95 | | | — | | |
| | Total available-for-sale securities | Total available-for-sale securities | 0 | | | 0 | |
| 0 | | 0 | | | 0 | | 0 | | 0 | | | 0 | | | 0 | |
| Total available-for-sale securities | — | | | — | |
| 95 | | — | | | — | | — | | — | | | 95 | | | — | |
|
| Loans | Loans | 2,305 | | | (73) | | (c) | 67 | | (190) | | | (201) | | 155 | | (240) | | | 1,823 | | | (112) | | (c) | Loans | 1,734 | | | (13) | | (c) | 209 | | (1) | | | (180) | | 427 | | (105) | | | 2,071 | | | (11) | | (c) |
| Mortgage servicing rights | Mortgage servicing rights | 3,276 | | | 797 | | (d) | 583 | | 1 | | | (187) | | 0 | | 0 | | | 4,470 | | | 797 | | (d) | Mortgage servicing rights | 4,549 | | | (11) | | (d) | 1,013 | | 1 | | | (201) | | — | | — | | | 5,351 | | | (11) | | (d) |
| Other assets | Other assets | 538 | | | 13 | | (c) | 3 | | (18) | | | (25) | | 0 | | 0 | | | 511 | | | 12 | | (c) | Other assets | 518 | | | (35) | | (c) | 3 | | — | | | (165) | | — | | — | | | 321 | | | (34) | | (c) |
| | | Fair value measurements using significant unobservable inputs | | | | Fair value measurements using significant unobservable inputs | | |
Three months ended
March 31, 2021
(in millions) | Fair value at
January 1,
2021 | Total realized/unrealized (gains)/losses | | Transfers into
level 3 | Transfers (out of) level 3 | Fair value at
March 31, 2021 | Change in unrealized (gains)/losses related
to financial instruments held at March 31, 2021 | |
| Purchases | Sales | Issuances | Settlements(g) | |
Three months ended
September 30, 2021
(in millions) | | 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 3 | Fair value at
September 30, 2021 | Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2021 |
| Purchases | Sales | Issuances | Settlements(g) |
Liabilities:(a) | Liabilities:(a) | | Liabilities:(a) | |
| Deposits | Deposits | $ | 2,913 | | | $ | (103) | | (c)(e) | $ | 0 | | $ | 0 | | $ | 69 | | $ | (95) | | $ | 1 | | $ | (133) | | | $ | 2,652 | | | $ | (105) | | (c)(e) | Deposits | $ | 2,684 | | | $ | (11) | | (c)(e) | $ | — | | $ | — | | $ | 33 | | $ | (172) | | $ | — | | $ | (157) | | | $ | 2,377 | | | $ | (7) | | (c)(e) |
| | Short-term borrowings | Short-term borrowings | 2,420 | | | (113) | | (c)(e) | 0 | | 0 | | 2,918 | | (1,506) | | 0 | | (55) | | | 3,664 | | | (27) | | (c)(e) | Short-term borrowings | 3,075 | | | (699) | | (c)(e) | — | | — | | 1,166 | | (1,121) | | — | | (10) | | | 2,411 | | | (124) | | (c)(e) |
| Trading liabilities – debt and equity instruments | Trading liabilities – debt and equity instruments | 51 | | | (3) | | (c) | (65) | | 21 | | 0 | | 0 | | 59 | | (3) | | | 60 | | | 0 | |
| Trading liabilities – debt and equity instruments | 36 | | | (2) | | (c) | (8) | | 2 | | — | | — | | 3 | | (1) | | | 30 | | | 1 | | (c) |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 68 | | | (1) | | (c) | 0 | | 1 | | 0 | | 0 | | 0 | | (7) | | | 61 | | | (1) | | (c) | Accounts payable and other liabilities | 51 | | | — | |
| — | | — | | — | | — | | — | | — | | | 51 | | | 1 | | (c) |
| Beneficial interests issued by consolidated VIEs | 0 | | | 0 | |
| 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | 0 | | | 0 | |
| |
| | Long-term debt | Long-term debt | 23,397 | | | (308) | | (c)(e) | 0 | | 0 | | 3,465 | | (3,649) | | 11 | | (341) | | | 22,575 | | | (324) | | (c)(e) | Long-term debt | 23,527 | | | (216) | | (c)(e) | — | | — | | 2,950 | | (2,512) | | 11 | | (246) | | | 23,514 | | | (242) | | (c)(e) |
| | | Fair value measurements using significant unobservable inputs | | | | Fair value measurements using significant unobservable inputs | | |
Three months ended
March 31, 2020
(in millions) | Fair value at
January 1,
2020 | Total realized/unrealized gains/(losses) | | Transfers into
level 3 | Transfers (out of) level 3 | Fair value at
March 31, 2020 | Change in unrealized gains/(losses) related
to financial instruments held at March 31, 2020 | |
Purchases(f) | Sales | | Settlements(g) | | |
Three months ended
September 30, 2020
(in millions) | | 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 3 | Fair 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) | 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 agencies | U.S. GSEs and government agencies | $ | 797 | | | $ | (139) | | | $ | 19 | | $ | (116) | | | $ | (42) | | | $ | 0 | | $ | 0 | | | $ | 519 | | | $ | (131) | | | U.S. GSEs and government agencies | $ | 469 | | | $ | (4) | | | $ | 110 | | $ | (28) | | | $ | (40) | | | $ | — | | $ | — | | | $ | 507 | | | $ | (2) | | |
| Residential – nonagency | Residential – nonagency | 23 | | | (1) | | | 2 | | 0 | | | 0 | | | 0 | | 0 | | | 24 | | | (1) | | | Residential – nonagency | 23 | | | — | | | 8 | | (2) | | | (1) | | | — | | (3) | | | 25 | | | — | | |
| Commercial – nonagency | Commercial – nonagency | 4 | | | 0 | | | 1 | | 0 | | | (1) | | | 1 | | (2) | | | 3 | | | 0 | | | Commercial – nonagency | 2 | | | — | | | — | | — | | | — | | | — | | — | | | 2 | | | — | | |
| Total mortgage-backed securities | Total mortgage-backed securities | 824 | | | (140) | | | 22 | | (116) | | | (43) | | | 1 | | (2) | | | 546 | | | (132) | | | Total mortgage-backed securities | 494 | | | (4) | | | 118 | | (30) | | | (41) | | | — | | (3) | | | 534 | | | (2) | | |
| | Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 10 | | | 0 | | | 0 | | (1) | | | 0 | | | 0 | | 0 | | | 9 | | | 0 | | | Obligations of U.S. states and municipalities | 8 | | | — | | | — | | — | | | — | | | — | | — | | | 8 | | | — | | |
| Non-U.S. government debt securities | Non-U.S. government debt securities | 155 | | | (12) | | | 90 | | (57) | | | 0 | | | 0 | | (1) | | | 175 | | | (10) | | | Non-U.S. government debt securities | 167 | | | 6 | | | 25 | | (23) | | | (2) | | | — | | (8) | | | 165 | | | 6 | | |
| Corporate debt securities | Corporate debt securities | 558 | | | (55) | | | 292 | | (42) | | | 0 | | | 227 | | (27) | | | 953 | | | (50) | | | Corporate debt securities | 946 | | | 45 | | | 114 | | (33) | | | (225) | | | 4 | | (202) | | | 649 | | | 45 | | |
| Loans | Loans | 673 | | | (98) | | | 497 | | (130) | | | (16) | | | 568 | | (108) | | | 1,386 | | | (127) | | | Loans | 905 | | | 22 | | | 240 | | (173) | | | (21) | | | 69 | | (312) | | | 730 | | | 8 | | |
| Asset-backed securities | Asset-backed securities | 37 | | | (2) | | | 36 | | (15) | | | (1) | | | 0 | | (3) | | | 52 | | | (1) | | | Asset-backed securities | 39 | | | 3 | | | 5 | | (21) | | | (2) | | | 9 | | — | | | 33 | | | — | | |
| Total debt instruments | Total debt instruments | 2,257 | | | (307) | | | 937 | | (361) | | | (60) | | | 796 | | (141) | | | 3,121 | | | (320) | | | Total debt instruments | 2,559 | | | 72 | | | 502 | | (280) | | | (291) | | | 82 | | (525) | | | 2,119 | | | 57 | | |
| Equity securities | Equity securities | 196 | | | (38) | | | 10 | | (4) | | | 0 | | | 82 | | (33) | | | 213 | | | (39) | | | Equity securities | 191 | | | 24 | | | 13 | | (104) | | | — | | | 104 | | (42) | | | 186 | | | 29 | | |
| Other | Other | 232 | | | (1) | | | 9 | | (5) | | | (12) | | | 0 | | (2) | | | 221 | | | 2 | | | Other | 379 | | | 75 | | | 203 | | (4) | | | (2) | | | 2 | | — | | | 653 | | | 77 | | |
| Total trading assets – debt and equity instruments | Total trading assets – debt and equity instruments | 2,685 | | | (346) | | (c) | 956 | | (370) | | | (72) | | | 878 | | (176) | | | 3,555 | | | (357) | | (c) | Total trading assets – debt and equity instruments | 3,129 | | | 171 | | (c) | 718 | | (388) | | | (293) | | | 188 | | (567) | | | 2,958 | | | 163 | | (c) |
Net derivative receivables:(b) | Net derivative receivables:(b) | | Net derivative receivables:(b) | |
| Interest rate | Interest rate | (332) | | | 642 | | | 66 | | (50) | | | (241) | |
| (172) | | (49) | | | (136) | | | 282 | | | Interest rate | (104) | | | 657 | | | 15 | | (30) | | | (647) | |
| 35 | | 102 | | | 28 | | | 323 | | |
| Credit | Credit | (139) | | | 108 | | | 18 | | (128) | | | (33) | | | 60 | | 3 | | | (111) | | | 65 | | | Credit | (137) | | | (62) | | | 22 | | (16) | | | 154 | | | (12) | | 2 | | | (49) | | | (21) | | |
| Foreign exchange | Foreign exchange | (607) | | | (339) | | | 38 | | (4) | | | (14) | | | 0 | | (1) | | | (927) | | | (508) | | | Foreign exchange | (595) | | | (57) | | | 7 | | (7) | | | (34) | | | 7 | | 3 | | | (676) | | | (90) | | |
| Equity | Equity | (3,395) | | | 3,037 | |
| 59 | | (548) | | |
| 583 | |
| (656) | | 94 | |
| (826) | | | 3,707 | | | Equity | (2,036) | | | (1,437) | |
| 323 | | (384) | | |
| 29 | |
| 33 | | 369 | |
| (3,103) | | | (1,051) | | |
| Commodity | Commodity | (16) | | | (403) | | | 4 | | (15) | | | 9 | | | (6) | | 2 | | | (425) | | | (399) | | | Commodity | (297) | | | 15 | | | 11 | | (79) | | | 36 | | | (302) | | (5) | | | (621) | | | 39 | | |
| Total net derivative receivables | Total net derivative receivables | (4,489) | | | 3,045 | | (c) | 185 | | (745) | | |
| 304 | |
| (774) | | 49 | |
| (2,425) | | | 3,147 | | (c) | Total net derivative receivables | (3,169) | | | (884) | | (c) | 378 | | (516) | | |
| (462) | |
| (239) | | 471 | |
| (4,421) | | | (800) | | (c) |
| Available-for-sale securities: | Available-for-sale securities: | | Available-for-sale securities: | |
| Mortgage-backed securities | Mortgage-backed securities | 1 | | | 0 | |
| 0 | | 0 | | |
| (1) | |
| 0 | | 0 | |
| 0 | | | 0 | | | Mortgage-backed securities | — | | | — | |
| — | | — | | |
| — | |
| — | | — | |
| — | | | — | | |
| | Total available-for-sale securities | Total available-for-sale securities | 1 | | | 0 | |
| 0 | | — | | | (1) | | | 0 | | 0 | | | 0 | | | 0 | |
| Total available-for-sale securities | — | | | — | |
| — | | — | | | — | | | — | | — | | | — | | | — | |
|
| Loans | Loans | 516 | | | (64) | | (c) | 191 | | (32) | | | (9) | | | 1,514 | | (31) | | | 2,085 | | | (63) | | (c) | Loans | 1,874 | | | (44) | | (c) | 197 | | (44) | | | (324) | | | 316 | | (169) | | | 1,806 | | | (44) | | (c) |
| Mortgage servicing rights | Mortgage servicing rights | 4,699 | | | (1,382) | | (d) | 273 | | (75) | | | (248) | | | 0 | | 0 | | | 3,267 | | | (1,382) | | (d) | Mortgage servicing rights | 3,080 | | | 34 | | (d) | 221 | | (104) | | | (215) | | | — | | — | | | 3,016 | | | 34 | | (d) |
| Other assets | Other assets | 917 | | | (92) | | (c) | 13 | | (28) | | | (228) | | | 0 | | 0 | | | 582 | | | (91) | | (c) | Other assets | 701 | | | (21) | | (c) | 5 | | — | | | (27) | | | — | | — | | | 658 | | | 32 | | (c) |
| | | | Fair value measurements using significant unobservable inputs | | | | Fair value measurements using significant unobservable inputs | | |
Three months ended
March 31, 2020
(in millions) | Fair value at
January 1,
2020 | Total realized/unrealized (gains)/losses | | Transfers into
level 3 | Transfers (out of) level 3 | Fair value at
March 31, 2020 | Change in unrealized (gains)/losses related
to financial instruments held at March 31, 2020 | |
| Purchases | Sales | | Issuances | Settlements(g) | | |
Three months ended
September 30, 2020
(in millions) | | 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 3 | Fair value at
September 30, 2020 | Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020 |
| Purchases | Sales | | Issuances | Settlements(g) | |
Liabilities:(a) | Liabilities:(a) | | Liabilities:(a) | |
| Deposits | Deposits | $ | 3,360 | | | $ | (149) | | (c)(e) | $ | 0 | | $ | 0 | | | $ | 386 | | $ | (172) | | | $ | 4 | | $ | (250) | | | $ | 3,179 | | | $ | (135) | | (c)(e) | Deposits | $ | 3,217 | | | $ | 43 | | (c)(e) | $ | — | | $ | — | | | $ | 170 | | $ | (110) | | | $ | — | | $ | (264) | | | $ | 3,056 | | | $ | 87 | | (c)(e) |
| | Short-term borrowings | Short-term borrowings | 1,674 | | | (345) | | (c)(e) | 0 | | 0 | | | 1,615 | | (929) | | | 40 | | (16) | | | 2,039 | | | (409) | | (c)(e) | Short-term borrowings | 2,305 | | | (47) | | (c)(e) | — | | — | | | 1,421 | | (1,093) | | | 25 | | (3) | | | 2,608 | | | (47) | | (c)(e) |
| Trading liabilities – debt and equity instruments | Trading liabilities – debt and equity instruments | 41 | | | 3 | | (c) | (75) | | 7 | | | 0 | | 0 | | | 86 | | (1) | | | 61 | | | 6 | | (c) | Trading liabilities – debt and equity instruments | 59 | | | (2) | | (c) | (5) | | 5 | | | — | | 1 | | | 3 | | (4) | | | 57 | | | (3) | | (c) |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 45 | | | (8) | | (c) | (23) | | 1 | | | 0 | | 0 | | | 0 | | 0 | | | 15 | | | (7) | | (c) | Accounts payable and other liabilities | 91 | | | 3 | | (c) | (62) | | 4 | | | — | | — | | | 8 | | — | | | 44 | | | 3 | | (c) |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | 0 | | | 0 | |
| 0 | | 0 | | | 0 | | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Beneficial interests issued by consolidated VIEs | — | | | — | |
| — | | — | | | — | | — | | | — | | — | | | — | | | — | |
|
| Long-term debt | Long-term debt | 23,339 | | | (4,110) | | (c)(e) | 0 | | 0 | | | 4,607 | | (3,549) | |
| 370 | | (516) | | | 20,141 | |
| (3,984) | | (c)(e) | Long-term debt | 22,728 | | | 766 | | (c)(e) | — | | — | | | 1,225 | | (2,493) | |
| 78 | | (88) | | | 22,216 | |
| 646 | | (c)(e) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fair value measurements using significant unobservable inputs | | |
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 3 | Fair 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 | $ | 449 | | | $ | (22) | | | $ | 20 | | $ | (62) | | | | $ | (86) | | | $ | 1 | | $ | (1) | | | $ | 299 | | | $ | (25) | | |
| Residential – nonagency | 28 | | | 1 | | | 24 | | (24) | | | | (4) | | | — | | (1) | | | 24 | | | (2) | | |
| Commercial – nonagency | 3 | | | 7 | | | 12 | | (1) | | | | (16) | | | 14 | | — | | | 19 | | | 6 | | |
| Total mortgage-backed securities | 480 | | | (14) | | | 56 | | (87) | | | | (106) | | | 15 | | (2) | | | 342 | | | (21) | | |
| | | | | | | | | | | | | | | | | |
| Obligations of U.S. states and municipalities | 8 | | | — | | | — | | — | | | | (1) | | | — | | — | | | 7 | | | — | | |
| Non-U.S. government debt securities | 182 | | | (10) | | | 330 | | (284) | | | | (7) | | | — | | (107) | | | 104 | | | (2) | | |
| Corporate debt securities | 507 | | | (18) | | | 357 | | (415) | | | | (3) | | | 138 | | (196) | | | 370 | | | (3) | | |
| Loans | 893 | | | 6 | | | 785 | | (434) | | | | (256) | | | 584 | | (596) | | | 982 | | | — | | |
| Asset-backed securities | 28 | | | 8 | | | 41 | | (43) | | | | (1) | | | 2 | | (7) | | | 28 | | | — | | |
| Total debt instruments | 2,098 | | | (28) | | | 1,569 | | (1,263) | | | | (374) | | | 739 | | (908) | | | 1,833 | | | (26) | | |
| Equity securities | 476 | | | (38) | | | 258 | | (114) | | | | — | | | 140 | | (88) | | | 634 | | | (92) | | |
| Other | 49 | | | 74 | | | 118 | | — | | | | (86) | | | 3 | | (100) | | | 58 | | | 37 | | |
| Total trading assets – debt and equity instruments | 2,623 | | | 8 | | (c) | 1,945 | | (1,377) | | | | (460) | | | 882 | | (1,096) | | | 2,525 | | | (81) | | (c) |
Net derivative receivables:(b) | | | | | | | | | | | | | | | | | |
| Interest rate | 258 | | | 1,587 | | | 92 | | (146) | | | | (1,874) | |
| 68 | | (98) | | | (113) | | | 212 | | |
| Credit | (224) | | | 140 | | | 6 | | (11) | | | | 103 | | | (13) | | (7) | | | (6) | | | 143 | | |
| Foreign exchange | (434) | | | (196) | | | 67 | | (98) | | | | 140 | | | 6 | | (42) | | | (557) | | | (44) | | |
| Equity | (3,862) | | | (195) | |
| 667 | | (2,246) | | |
| 1,638 | |
| 233 | | (72) | |
| (3,837) | | | (187) | | |
| Commodity | (731) | | | (505) | | | 140 | | (382) | | | | 600 | | | (3) | | 9 | | | (872) | | | (223) | | |
| Total net derivative receivables | (4,993) | | | 831 | | (c) | 972 | | (2,883) | | |
| 607 | |
| 291 | | (210) | |
| (5,385) | | | (99) | | (c) |
| Available-for-sale securities: | | | | | | | | | | | | | | | | | |
| Corporate debt securities | — | | | — | |
| 95 | | — | | |
| — | |
| — | | — | |
| 95 | | | — | | |
| | | | | | | | | | | | | | | | | |
| Total available-for-sale securities | — | | | — | |
| 95 | | — | | | | — | | | — | | — | | | 95 | | | — | |
|
| Loans | 2,305 | | | (79) | | (c) | 516 | | (326) | | | | (699) | | | 1,027 | | (673) | | | 2,071 | | | (92) | | (c) |
| Mortgage servicing rights | 3,276 | | | 258 | | (d) | 2,410 | | (23) | | | | (570) | | | — | | — | | | 5,351 | | | 258 | | (d) |
| Other assets | 538 | | | 9 | | (c) | 10 | | (18) | | | | (217) | | | — | | (1) | | | 321 | | | 22 | | (c) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Fair value measurements using significant unobservable inputs | | |
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 3 | Fair value at
September 30, 2021 | Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2021 |
| Purchases | Sales | | Issuances | Settlements(g) | |
Liabilities:(a) | | | | | | | | | | | | | | | | | |
| Deposits | $ | 2,913 | | | $ | (67) | | (c)(e) | $ | — | | $ | — | | | $ | 252 | | $ | (360) | | | $ | 2 | | $ | (363) | | | $ | 2,377 | | | $ | (60) | | (c)(e) |
| | | | | | | | | | | | | | | | | |
| Short-term borrowings | 2,420 | | | (1,095) | | (c)(e) | — | | — | | | 5,479 | | (4,333) | | | 9 | | (69) | | | 2,411 | | | (117) | | (c)(e) |
| Trading liabilities – debt and equity instruments | 51 | | | (6) | | (c) | (100) | | 36 | | | — | | — | | | 62 | | (13) | | | 30 | | | (2) | | (c) |
| Accounts payable and other liabilities | 68 | | | (10) | | (c) | — | | 1 | | | — | | — | | | — | | (8) | | | 51 | | | (9) | | (c) |
| | | | | | | | | | | | | | | | | |
| Long-term debt | 23,397 | | | 190 | | (c)(e) | — | | — | | | 9,884 | | (9,250) | |
| 29 | | (736) | | | 23,514 | |
| 48 | | (c)(e) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 3 | Fair 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 – nonagency | 23 | | | (1) | | | 12 | | (4) | | | | (2) | | | — | | (3) | | | 25 | | | 2 | | |
| Commercial – nonagency | 4 | | | — | | | 1 | | — | | | | (1) | | | 1 | | (3) | | | 2 | | | 4 | | |
| Total mortgage-backed securities | 824 | | | (154) | | | 147 | | (153) | | | | (125) | | | 1 | | (6) | | | 534 | | | (134) | | |
| | | | | | | | | | | | | | | | | |
| Obligations of U.S. states and municipalities | 10 | | | — | | | — | | (1) | | | | (1) | | | — | | — | | | 8 | | | — | | |
| Non-U.S. government debt securities | 155 | | | 10 | | | 164 | | (148) | | | | (7) | | | — | | (9) | | | 165 | | | 7 | | |
| Corporate debt securities | 558 | | | (10) | | | 475 | | (131) | | | | (234) | | | 296 | | (305) | | | 649 | | | 13 | | |
| Loans | 673 | | | (72) | | | 829 | | (400) | | | | (130) | | | 676 | | (846) | | | 730 | | | (35) | | |
| Asset-backed securities | 37 | | | (4) | | | 42 | | (36) | | | | (5) | | | 9 | | (10) | | | 33 | | | (1) | | |
| Total debt instruments | 2,257 | | | (230) | | | 1,657 | | (869) | | | | (502) | | | 982 | | (1,176) | | | 2,119 | | | (150) | | |
| Equity securities | 196 | | | (79) | | | 37 | | (109) | | | | — | | | 259 | | (118) | | | 186 | | | (40) | | |
| Other | 232 | | | 239 | | | 213 | | (9) | | | | (23) | | | 4 | | (3) | | | 653 | | | 263 | | |
| Total trading assets – debt and equity instruments | 2,685 | | | (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 securities | 1 | | | — | |
| — | | — | | |
| (1) | |
| — | | — | |
| — | | | — | | |
| | | | | | | | | | | | | | | | | |
| Total available-for-sale securities | 1 | | | — | |
| — | | — | | | | (1) | | | — | | — | | | — | | | — | |
|
| Loans | 516 | | | (195) | | (c) | 450 | | (77) | | | | (678) | | | 2,312 | | (522) | | | 1,806 | | | (147) | | (c) |
| Mortgage servicing rights | 4,699 | | | (1,459) | | (d) | 663 | | (177) | | | | (710) | | | — | | — | | | 3,016 | | | (1,459) | | (d) |
| Other assets | 917 | | | (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)/losses | | | | | | | Transfers into
level 3 | Transfers (out of) level 3 | Fair value at
September 30, 2020 | Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020 |
| Purchases | Sales | | Issuances | Settlements(g) | |
Liabilities:(a) | | | | | | | | | | | | | | | | | |
| Deposits | $ | 3,360 | | | $ | 88 | | (c)(e) | $ | — | | $ | — | | | $ | 636 | | $ | (538) | | | $ | 265 | | $ | (755) | | | $ | 3,056 | | | $ | 137 | | (c)(e) |
| | | | | | | | | | | | | | | | | |
| Short-term borrowings | 1,674 | | | (294) | | (c)(e) | — | | — | | | 3,961 | | (2,769) | | | 77 | | (41) | | | 2,608 | | | (27) | | (c)(e) |
| Trading liabilities – debt and equity instruments | 41 | | | 1 | | (c) | (81) | | 12 | | | — | | (4) | | | 96 | | (8) | | | 57 | | | — | |
|
| Accounts payable and other liabilities | 45 | | | (1) | | (c) | (85) | | 37 | | | — | | — | | | 48 | | — | | | 44 | | | 1 | | (c) |
| | | | | | | | | | | | | | | | | |
| Long-term debt | 23,339 | | | (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 2% and 1% at both March 31,September 30, 2021 and December 31, 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 8% and 9%, at March 31,September 30, 2021 and December 31, 2020, respectively.
(b)All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.
(c)Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.
(d)Changes in fair value for MSRs are reported in mortgage fees and related income.
(e)Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three and nine months ended March 31,September 30, 2021 and 2020. Unrealized (gains)/losses are reported in OCI, and were $(22)$318 million and $(1.1) billion$120 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $300 million and $(78) million for the nine months ended September 30, 2021 and 2020, respectively.
(f)Loan originations are included in purchases.
(g)Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations associated with beneficial interests in VIEs and other items.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets at fair value, including assets measured at fair value on a nonrecurring basis, were 0.5% of total Firm assets at March 31, 2021. The following describes significant changes to level 3 assets since December 31, 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 94109 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and nine months ended March 31,September 30, 2021
Level 3 assets were $17.4$17.1 billion at March 31,September 30, 2021, reflecting an increase of $952$1.2 billion from June 30, 2021 and an increase of $697 million from December 31, 2020.
The increase for the three months ended March 31,September 30, 2021 was largely driven by an $802 million increase in MSRs.
The increase for the nine months ended September 30, 2021 was predominantly driven by by:
•a $1.2$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 settlements and transfers net of gains.
Refer to 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 March 31,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 orincluded 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 March 31,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:
•$2.1 billion of total debt and equity instruments, predominantly trading loans, driven by a decrease in observability.
•$1.02.2 billion of gross equity derivative receivables and $1.7$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 March 31,September 30, 2020, there were no significant transfers from level 3 into level 2.2 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.
All transfers are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
Gains and losses
The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the periods indicated. These amounts exclude any effects of the Firm’s risk management activities where the financial instruments are classified as level 1 and 2 of the fair value hierarchy. Refer to Changes in level 3 recurring fair value measurements rollforward tables on pages 90–93102-108 for further information on these instruments.
Three months ended March 31,September 30, 2021
•$984 million1.3 billion of net gains on assets, driven by MSRs reflecting lower prepayment speeds on higher rates. Refergains in net interest rate derivative receivables and net equity derivative receivables due to Note 14 for information on MSRs.market movements.
•$528928 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 March 31, 2020September 30, 2021
•$1.21.0 billion of net gains on assets, driven by gains in net equityinterest rate derivative receivables due to market movements, partially offset by losses in net commodity derivative receivables due to market movements.
•$988 million of net gains on liabilities, 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 14 for additional information on MSRs.
•$4.6 billion 845 millionof net gains on liabilities, predominantly driven by market movements in long-term debt.
Credit and funding adjustments — derivatives
The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Credit and funding adjustments: | Credit and funding adjustments: | | | Credit and funding adjustments: | |
| Derivatives CVA | Derivatives CVA | $ | 240 | | | $ | (924) | | | Derivatives CVA | $ | 60 | | | $ | 144 | | | $ | 343 | | | $ | (574) | |
| Derivatives FVA | Derivatives FVA | 105 | | | (1,021) | | | Derivatives FVA | 38 | | | 109 | | | 99 | | | (236) | |
|
Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K for further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities.
Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets and liabilities held as of March 31,September 30, 2021 and 2020, for which nonrecurring fair value adjustments were recorded during the threenine months ended March 31,September 30, 2021 and 2020, by major product category and fair value hierarchy.
| | | Fair value hierarchy | | Total fair value | | Fair value hierarchy | | Total fair value |
| March 31, 2021 (in millions) | Level 1 | Level 2 | | Level 3 | | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Level 1 | Level 2 | | Level 3 | | Total fair value |
| Loans | Loans | $ | 0 | | $ | 1,857 | |
| $ | 303 | | (b) | $ | 2,160 | | Loans | $ | — | | $ | 1,175 | |
| $ | 314 | | (b) |
Other assets(a) | Other assets(a) | 0 | | 12 | | | 370 | | | 382 | | Other assets(a) | — | | 7 | | | 1,202 | | | 1,209 | |
| Total assets measured at fair value on a nonrecurring basis | Total assets measured at fair value on a nonrecurring basis | $ | 0 | | $ | 1,869 | | | $ | 673 | | | $ | 2,542 | | Total assets measured at fair value on a nonrecurring basis | $ | — | | $ | 1,182 | | | $ | 1,516 | | | $ | 2,698 | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 0 | | 0 | | | 14 | | | 14 | | Accounts payable and other liabilities | — | | — | | | 2 | | | 2 | |
| Total liabilities measured at fair value on a nonrecurring basis | Total liabilities measured at fair value on a nonrecurring basis | $ | 0 | | $ | 0 | | | $ | 14 | | | $ | 14 | | Total liabilities measured at fair value on a nonrecurring basis | $ | — | | $ | — | | | $ | 2 | | | $ | 2 | |
| | | Fair value hierarchy | | Total fair value | | Fair value hierarchy | | Total fair value |
| March 31, 2020 (in millions) | Level 1 | Level 2 | | Level 3 | | |
| September 30, 2020 (in millions) | | September 30, 2020 (in millions) | Level 1 | Level 2 | | Level 3 | | Total fair value |
| Loans | Loans | $ | 0 | | $ | 2,336 | |
| $ | 559 | | | $ | 2,895 | | Loans | $ | — | | $ | 1,714 | |
| $ | 788 | | |
| Other assets | Other assets | 0 | | 11 | | | 334 | |
| 345 | | Other assets | — | | 11 | | | 945 | |
| 956 | |
| Total assets measured at fair value on a nonrecurring basis | Total assets measured at fair value on a nonrecurring basis | $ | 0 | | $ | 2,347 | | | $ | 893 | | | $ | 3,240 | | Total assets measured at fair value on a nonrecurring basis | $ | — | | $ | 1,725 | | | $ | 1,733 | | | $ | 3,458 | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 0 | | 0 | | | 775 | |
| 775 | | Accounts payable and other liabilities | — | | — | | | 3 | |
| 3 | |
| Total liabilities measured at fair value on a nonrecurring basis | Total liabilities measured at fair value on a nonrecurring basis | $ | 0 | | $ | 0 | | | $ | 775 | | | $ | 775 | | Total 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 $370 million$1.2 billion in level 3 assets measured at fair value on a nonrecurring basis as of March 31,September 30, 2021, $316 million$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)Of the $303$314 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31,September 30, 2021, $137$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 13%12% to 45% with a weighted average of 26%25%.
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 March 31,September 30, 2021 and 2020, related to assets and liabilities held at those dates.
| | | Three months ended March 31, | | | | Three months ended September 30, | | Nine months ended September 30, | |
| (in millions) | (in millions) | 2021 | | 2020 | | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 | |
| Loans | Loans | $ | (33) | | | $ | (267) | |
| | Loans | $ | (10) | | | $ | (35) | |
| $ | (40) | |
| $ | (318) | |
|
Other assets(a) | Other assets(a) | 2 | | | (169) | |
| | Other assets(a) | 84 | | | (363) | |
| 177 | | | (539) | | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | (3) | | | (775) | |
| | Accounts payable and other liabilities | — | | | 92 | |
| 6 | | | (3) | | |
| Total nonrecurring fair value gains/(losses) | Total nonrecurring fair value gains/(losses) | $ | (34) | | | $ | (1,211) | | | | Total nonrecurring fair value gains/(losses) | $ | 74 | | | $ | (306) | | | $ | 143 | | | $ | (860) | | |
(a)Included $6$90 million and $(154)$2 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $197 million and $(155) million for the nine months ended September 30, 2021 and 2020, respectively, of net gains/(losses) as a result of the measurement alternative.
Refer to Note 11 for further information about the measurement of collateral-dependent loans.
Equity securities without readily determinable fair values
The Firm measures certain equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in other income.
In its determination of the new carrying values upon observable price changes, the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with the Firm’s valuation techniques for private equity direct investments.
The following table presents the carrying value of equity securities without readily determinable fair values held as of March 31,September 30, 2021 and 2020, 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 ended | | | Three months ended | | Nine months ended | |
| | | March 31 | | | September 30 | | September 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) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 | |
| Other assets | Other assets | | | Other assets | |
Carrying value(a) | Carrying value(a) | $ | 2,302 | | | $ | 2,560 | | | Carrying value(a) | $ | 3,207 | | | $ | 2,329 | | | $ | 3,207 | | | $ | 2,329 | | |
Upward carrying value changes(b) | Upward carrying value changes(b) | 7 | | | 9 | | | Upward carrying value changes(b) | 100 | | | 36 | |
| 216 | | | 49 |
|
Downward carrying value changes/impairment(c) | Downward carrying value changes/impairment(c) | (1) | | | (162) | | | Downward carrying value changes/impairment(c) | (10) | | | (34) | | | (18) | | | (204) | | |
|
(a)The carrying value as of December 31, 2020 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 March 31,September 30, 2021 were $618$826 million.
(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31,September 30, 2021 were $(340)$(335) million.
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 March 31,September 30, 2021, and may be adjusted by Visa depending on developments related to the litigation matters.
Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value
The following table presents, by fair value hierarchy classification, the carrying values and estimated fair values at March 31,September 30, 2021, and December 31, 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.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | |
| (in billions) | (in billions) | Carrying
value | Level 1 | Level 2 | Level 3 | Total estimated
fair value | | Carrying
value | Level 1 | Level 2 | Level 3 | Total estimated
fair value | (in billions) | Carrying
value | Level 1 | Level 2 | Level 3 | Total estimated
fair value | | Carrying
value | Level 1 | Level 2 | Level 3 | Total estimated
fair value |
| Financial assets | Financial assets | | Financial assets | |
| Cash and due from banks | Cash and due from banks | $ | 25.4 | | $ | 25.4 | | $ | 0 | | $ | 0 | | $ | 25.4 | | | $ | 24.9 | | $ | 24.9 | | $ | 0 | | $ | 0 | | $ | 24.9 | | Cash and due from banks | $ | 25.9 | | $ | 25.9 | | $ | — | | $ | — | | $ | 25.9 | | | $ | 24.9 | | $ | 24.9 | | $ | — | | $ | — | | $ | 24.9 | |
| Deposits with banks | Deposits with banks | 685.7 | | 685.7 | | 0 | | 0 | | 685.7 | | | 502.7 | | 502.7 | | 0 | | 0 | | 502.7 | | Deposits with banks | 734.0 | | 734.0 | | — | | — | | 734.0 | | | 502.7 | | 502.7 | | — | | — | | 502.7 | |
| Accrued interest and accounts receivable | Accrued interest and accounts receivable | 113.6 | | 0 | | 113.5 | | 0.1 | | 113.6 | | | 89.4 | | 0 | | 89.3 | | 0.1 | | 89.4 | | Accrued interest and accounts receivable | 115.7 | | — | | 115.6 | | 0.1 | | 115.7 | | | 89.4 | | — | | 89.3 | | 0.1 | | 89.4 | |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | 4.9 | | 0 | | 4.9 | | 0 | | 4.9 | | | 58.3 | | 0 | | 58.3 | | 0 | | 58.3 | | Federal funds sold and securities purchased under resale agreements | 9.0 | | — | | 9.0 | | — | | 9.0 | | | 58.3 | | — | | 58.3 | | — | | 58.3 | |
| Securities borrowed | Securities borrowed | 113.4 | | 0 | | 113.2 | | 0 | | 113.2 | | | 107.7 | | 0 | | 107.7 | | 0 | | 107.7 | | Securities borrowed | 130.2 | | — | | 130.2 | | — | | 130.2 | | | 107.7 | | — | | 107.7 | | — | | 107.7 | |
| Investment securities, held-to-maturity | Investment securities, held-to-maturity | 217.5 | | 74.5 | | 143.2 | | 0 | | 217.7 | | | 201.8 | | 53.2 | | 152.3 | | 0 | | 205.5 | | Investment securities, held-to-maturity | 343.5 | | 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) | 937.5 | | 0 | | 206.7 | | 752.7 | | 959.4 | | | 940.1 | | 0 | | 210.9 | | 755.6 | | 966.5 | | Loans, net of allowance for loan losses(a) | 965.8 | | — | | 203.2 | | 781.7 | | 984.9 | | | 940.1 | | — | | 210.9 | | 755.6 | | 966.5 | |
| Other | Other | 95.0 | | 0 | | 93.2 | | 1.9 | | 95.1 | | | 81.8 | | 0 | | 80.0 | | 1.9 | | 81.9 | | Other | 98.0 | | — | | 96.7 | | 1.4 | | 98.1 | | | 81.8 | | — | | 80.0 | | 1.9 | | 81.9 | |
| Financial liabilities | Financial liabilities | | Financial liabilities | |
| Deposits | Deposits | $ | 2,264.0 | | $ | 0 | | $ | 2,264.0 | | $ | 0 | | $ | 2,264.0 | | | $ | 2,129.8 | | $ | 0 | | $ | 2,128.9 | | $ | 0 | | $ | 2,128.9 | | 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 agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 106.2 | | 0 | | 106.2 | | 0 | | 106.2 | | | 59.5 | | 0 | | 59.5 | | 0 | | 59.5 | | Federal funds purchased and securities loaned or sold under repurchase agreements | 67.5 | | — | | 67.5 | | — | | 67.5 | | | 59.5 | | — | | 59.5 | | — | | 59.5 | |
| | Short-term borrowings | Short-term borrowings | 35.0 | | 0 | | 35.0 | | 0 | | 35.0 | | | 28.3 | | 0 | | 28.3 | | 0 | | 28.3 | | Short-term borrowings | 30.4 | | — | | 30.4 | | — | | 30.4 | | | 28.3 | | — | | 28.3 | | — | | 28.3 | |
| Accounts payable and other liabilities | Accounts payable and other liabilities | 205.9 | | 0 | | 201.6 | | 3.9 | | 205.5 | | | 186.6 | | 0 | | 181.9 | | 4.3 | | 186.2 | | Accounts payable and other liabilities | 228.6 | | — | | 224.0 | | 4.2 | | 228.2 | | | 186.6 | | — | | 181.9 | | 4.3 | | 186.2 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | 15.5 | | 0 | | 15.5 | | 0 | | 15.5 | | | 17.5 | | 0 | | 17.6 | | 0 | | 17.6 | | Beneficial interests issued by consolidated VIEs | 13.2 | | — | | 13.2 | | — | | 13.2 | | | 17.5 | | — | | 17.6 | | — | | 17.6 | |
| Long-term debt | Long-term debt | 203.7 | | 0 | | 207.8 | | 3.3 | | 211.1 | | | 204.8 | | 0 | | 209.2 | | 3.2 | | 212.4 | | Long-term debt | 221.9 | | — | | 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.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | | | | Estimated fair value hierarchy | |
| (in billions) | (in billions) | Carrying value(a) (b) | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value(a) (b) | Level 1 | Level 2 | Level 3 | Total estimated fair value | (in billions) | Carrying value(a) (b) | Level 1 | Level 2 | Level 3 | Total estimated fair value | | Carrying value(a) (b) | Level 1 | Level 2 | Level 3 | Total estimated fair value |
| Wholesale lending-related commitments | Wholesale lending-related commitments | $ | 2.4 | | $ | 0 | | $ | 0 | | $ | 2.8 | | $ | 2.8 | | | $ | 2.2 | | $ | 0 | | $ | 0 | | $ | 2.1 | | $ | 2.1 | | 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.
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 173 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the valuation of lending-related commitments.
Note 3 – Fair value option
The fair value option provides an option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments.
The Firm has elected to measure certain instruments at fair value for several reasons including to mitigate income statement volatility caused by the differences between the measurement basis of elected instruments (e.g., certain instruments that otherwise would be accounted for on an accrual basis) and the associated risk management arrangements that are accounted for on a fair value basis, as well as to better reflect those instruments that are managed on a fair value basis.
The Firm’s election of fair value includes the following instruments:
•Loans purchased or originated as part of securitization warehousing activity, subject to bifurcation accounting, or managed on a fair value basis, including lending-related commitments
•Certain securities financing agreements
•Owned beneficial interests in securitized financial assets that contain embedded credit derivatives, which would otherwise be required to be separately accounted for as a derivative instrument
•Structured notes, which are predominantly financial instruments that contain embedded derivatives that are issued as part of client-driven activities
•Certain long-term beneficial interests issued by CIB’s consolidated securitization trusts where the underlying assets are carried at fair value
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 March 31,September 30, 2021 and 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 March 31, | | | Three months ended September 30, | |
| | 2021 | | 2020 | | | 2021 | | 2020 | |
| (in millions) | (in millions) | Principal transactions | | All other income | Total changes in fair value recorded (e) | | Principal transactions | | All other income | Total changes in fair value recorded (e) | (in millions) | Principal transactions | | All other income | Total changes in fair value recorded (e) | | Principal transactions | | All other income | Total changes in fair value recorded (e) |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | $ | (12) | | | $ | 0 | | | $ | (12) | | | $ | 543 | | | $ | 0 | | | $ | 543 | | | Federal funds sold and securities purchased under resale agreements | $ | (19) | | | $ | — | | | $ | (19) | | | $ | (148) | | | $ | — | | | $ | (148) | | |
| Securities borrowed | Securities borrowed | (70) | | | 0 | | | (70) | | | 226 | | | 0 | | | 226 | | | Securities borrowed | (22) | | | — | | | (22) | | | 5 | | | — | | | 5 | | |
| Trading assets: | Trading assets: | | | Trading assets: | | |
| Debt and equity instruments, excluding loans | Debt and equity instruments, excluding loans | 621 | | | 0 | | | 621 | | | (2,438) | | | (1) | | (c) | (2,439) | | | Debt and equity instruments, excluding loans | (2,255) | | | — | | | (2,255) | | | 1,780 | | (f) | — | | | 1,780 | | |
| Loans reported as trading assets: | Loans reported as trading assets: | | | Loans reported as trading assets: | | |
| Changes in instrument-specific credit risk | Changes in instrument-specific credit risk | 204 | | | 0 | | | 204 | | | (656) | | | 0 | | | (656) | | | Changes in instrument-specific credit risk | 66 | | | — | | | 66 | | | 216 | | | — | | | 216 | | |
| Other changes in fair value | Other changes in fair value | (1) | | | 0 | | | (1) | | | 1 | | | 0 | | | 1 | | | Other changes in fair value | 1 | | | — | | | 1 | | | — | | | — | | | — | | |
| Loans: | Loans: | | | Loans: | | |
| Changes in instrument-specific credit risk | Changes in instrument-specific credit risk | 237 | | | 1 | | (c) | 238 | | | 64 | | | (23) | | (c) | 41 | | | Changes in instrument-specific credit risk | 119 | | | (7) | | (c) | 112 | | | 112 | | | (13) | | (c) | 99 | | |
Other changes in fair value(a) | Other changes in fair value(a) | (250) | | | 340 | | (c) | 90 | | | 268 | | | 741 | | (c) | 1,009 | | | Other changes in fair value(a) | 25 | | | 609 | | (c) | 634 | | | 93 | | | 928 | | (c) | 1,021 | | |
| Other assets | Other assets | 19 | | | (19) | | (d) | 0 | | | 85 | | | (17) | | (d) | 68 | | | Other assets | (22) | | | — | |
| (22) | | | (28) | | | (7) | | (d) | (35) | | |
Deposits(a) | Deposits(a) | 167 | | | 0 | | | 167 | | | (103) | | | 0 | | | (103) | | | Deposits(a) | 38 | | | — | | | 38 | | | (147) | | | — | | | (147) | | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 34 | | | 0 | | | 34 | | | (259) | | | 0 | | | (259) | | | Federal funds purchased and securities loaned or sold under repurchase agreements | 11 | | | — | | | 11 | | | 58 | | | — | | | 58 | | |
Short-term borrowings(a) | Short-term borrowings(a) | (122) | | | 0 | | | (122) | | | 1,720 | | | 0 | | | 1,720 | | | Short-term borrowings(a) | 388 | | | — | | | 388 | | | (54) | | | — | | | (54) | | |
| Trading liabilities | Trading liabilities | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | | Trading liabilities | (1) | | | — | | | (1) | | | 1 | | | — | | | 1 | | |
| | Other liabilities | Other liabilities | 1 | | | 0 | | | 1 | | | (35) | | | 0 | | | (35) | | | Other liabilities | (1) | | | — | | | (1) | | | (8) | | | — | | | (8) | | |
Long-term debt(a)(b) | Long-term debt(a)(b) | 1,247 | | | (5) | | (c)(d) | 1,242 | | | 4,181 | | | 5 | | (c) | 4,186 | | | Long-term debt(a)(b) | 643 | | | 11 | | (c)(d) | 654 | | | (530) | | | (4) | | (c) | (534) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Nine months ended September 30, | |
| 2021 | | 2020 | |
| (in millions) | Principal transactions | | All other income | Total changes in fair value recorded (e) | | Principal transactions | | All other income | Total changes in fair value recorded (e) |
| Federal funds sold and securities purchased under resale agreements | $ | (33) | | | $ | — | | | $ | (33) | | | | $ | 96 | | | $ | — | | | $ | 96 | | |
| Securities borrowed | (119) | | | — | | | (119) | | | | 173 | | | — | | | 173 | | |
| Trading assets: | | | | | | | | | | | | | |
| Debt and equity instruments, excluding loans | (1,188) | | | (1) | | (c) | (1,189) | | | | 1,083 | | (f) | (1) | | (c) | 1,082 | | |
| Loans reported as trading assets: | | | | | | | | | | | | | |
| Changes in instrument-specific credit risk | 342 | | | — | | | 342 | | | | (39) | | | — | | | (39) | | |
| Other changes in fair value | (7) | | | — | | | (7) | | | | 1 | | | — | | | 1 | | |
| Loans: | | | | | | | | | | | | | |
| Changes in instrument-specific credit risk | 540 | | | (9) | | (c) | 531 | | | | 143 | | | 2 | | (c) | 145 | | |
| Other changes in fair value | (82) | | | 1,733 | | (c) | 1,651 | | | | 357 | | | 2,423 | | (c) | 2,780 | | |
| Other assets | 6 | | | (23) | | (d) | (17) | | | | 74 | | | 1 | | (d) | 75 | | |
Deposits(a) | (53) | | | — | | | (53) | | | | (612) | | | — | | | (612) | | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | 42 | | | — | | | 42 | | | | (20) | | | — | | | (20) | | |
Short-term borrowings(a) | (223) | | | — | | | (223) | | | | 1,035 | | | — | | | 1,035 | | |
| Trading liabilities | (2) | | | — | | | (2) | | | | 1 | | | — | | | 1 | | |
| | | | | | | | | | | | | |
| Other liabilities | 1 | | | — | | | 1 | | | | (54) | | | — | | | (54) | | |
Long-term debt(a)(b) | (262) | | | 6 | | (c)(d) | (256) | | | | 70 | | | (1) | | (c) | 69 | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
(a)Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were $(2)$(6) million and $1 million for both the three months ended March 31,September 30, 2021 and 2020, respectively and $(8) million and $20 million for the nine months ended September 30, 2021 and 2020, respectively.
(b)Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.
(c)Reported in mortgage fees and related income.
(d)Reported in other income.
(e)Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than certain hybrid financial instruments recorded in CIB. Refer to Note 6 for further information regarding interest income and interest expense.
(f)Prior-period amounts have been revised to conform with the current presentation.
Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of March 31,September 30, 2021, and December 31, 2020, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | (in millions) | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding | | Contractual principal outstanding | | Fair value | Fair value over/(under) contractual principal outstanding |
| Loans | Loans | | Loans | |
| Nonaccrual loans | Nonaccrual loans | | Nonaccrual loans | |
| Loans reported as trading assets | Loans reported as trading assets | $ | 3,102 | | | $ | 426 | | $ | (2,676) | | | $ | 3,386 | | | $ | 555 | | $ | (2,831) | | Loans reported as trading assets | $ | 3,591 | | | $ | 642 | | $ | (2,949) | | | $ | 3,386 | | | $ | 555 | | $ | (2,831) | |
| Loans | Loans | 1,388 | | | 1,144 | | (244) | | | 1,867 | | | 1,507 | | (360) | | Loans | 1,193 | | | 1,055 | | (138) | | | 1,867 | | | 1,507 | | (360) | |
| Subtotal | Subtotal | 4,490 | | | 1,570 | | (2,920) | | | 5,253 | | | 2,062 | | (3,191) | | Subtotal | 4,784 | | | 1,697 | | (3,087) | | | 5,253 | | | 2,062 | | (3,191) | |
| 90 or more days past due and government guaranteed | 90 or more days past due and government guaranteed | | 90 or more days past due and government guaranteed | |
| Loans(a) | Loans(a) | 355 | | | 340 | | (15) | | | 328 | | | 317 | | (11) | | Loans(a) | 301 | | | 289 | | (12) | | | 328 | | | 317 | | (11) | |
| All other performing loans(b) | All other performing loans(b) | | All other performing loans(b) | |
| Loans reported as trading assets | Loans reported as trading assets | 8,758 | | | 7,477 | | (1,281) | | | 7,917 | | | 6,439 | | (1,478) | | Loans reported as trading assets | 7,950 | | | 6,699 | | (1,251) | | | 7,917 | | | 6,439 | | (1,478) | |
| Loans | Loans | 49,143 | | | 49,283 | | 140 | | | 42,022 | | | 42,650 | | 628 | | Loans | 58,949 | | | 59,284 | | 335 | | | 42,022 | | | 42,650 | | 628 | |
| Subtotal | Subtotal | 57,901 | | | 56,760 | | (1,141) | | | 49,939 | | | 49,089 | | (850) | | Subtotal | 66,899 | | | 65,983 | | (916) | | | 49,939 | | | 49,089 | | (850) | |
| Total loans | Total loans | $ | 62,746 | | | $ | 58,670 | | $ | (4,076) | | | $ | 55,520 | | | $ | 51,468 | | $ | (4,052) | | Total loans | $ | 71,984 | | | $ | 67,969 | | $ | (4,015) | | | $ | 55,520 | | | $ | 51,468 | | $ | (4,052) | |
| Long-term debt | Long-term debt | | Long-term debt | |
| Principal-protected debt | Principal-protected debt | $ | 39,625 | | (d) | $ | 36,943 | | $ | (2,682) | | | $ | 40,560 | | (d) | $ | 40,526 | | $ | (34) | | Principal-protected debt | $ | 37,445 | | (d) | $ | 35,244 | | $ | (2,201) | | | $ | 40,560 | | (d) | $ | 40,526 | | $ | (34) | |
Nonprincipal-protected debt(c) | Nonprincipal-protected debt(c) | NA | | 38,750 | | NA | | NA | | 36,291 | | NA | Nonprincipal-protected debt(c) | NA | | 41,255 | | NA | | NA | | 36,291 | | NA |
| Total long-term debt | Total long-term debt | NA | | $ | 75,693 | | NA | | NA | | $ | 76,817 | | NA | Total long-term debt | NA | | $ | 76,499 | | NA | | NA | | $ | 76,817 | | NA |
| Long-term beneficial interests | Long-term beneficial interests | | Long-term beneficial interests | |
Nonprincipal-protected debt(c) | Nonprincipal-protected debt(c) | NA | | $ | 193 | | NA | | NA | | $ | 41 | | NA | Nonprincipal-protected debt(c) | NA | | $ | 99 | | NA | | NA | | $ | 41 | | NA |
| Total long-term beneficial interests | Total long-term beneficial interests | NA | | $ | 193 | | NA | | NA | | $ | 41 | | NA | Total long-term beneficial interests | NA | | $ | 99 | | NA | | NA | | $ | 41 | | NA |
(a)These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.
(b)There were 0no performing loans that were ninety days or more past due as of March 31,September 30, 2021, and December 31, 2020, respectively.
(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.
(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 March 31,September 30, 2021, and December 31, 2020, the contractual amount of lending-related commitments for which the fair value option was elected was $20.9$16.9 billion and $18.1 billion, respectively, with a corresponding fair value of $75$(2) million and $(39) million, respectively. Refer to Note 28 of JPMorgan Chase’s 2020 Form 10-K, and Note 22 of this Form 10-Q for further information regarding off-balance sheet lending-related financial instruments.
Structured note products by balance sheet classification and risk component
The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Long-term debt | Short-term borrowings | Deposits | | Total | | Long-term debt | Short-term borrowings | Deposits | | Total | (in millions) | Long-term debt | Short-term borrowings | Deposits | | Total | | Long-term debt | Short-term borrowings | Deposits | | Total |
| Risk exposure | Risk exposure | | Risk exposure | |
| Interest rate | Interest rate | $ | 35,665 | | $ | 115 | | $ | 5,197 | | | $ | 40,977 | | | $ | 38,129 | | $ | 65 | | $ | 5,057 | | | $ | 43,251 | | Interest rate | $ | 35,571 | | $ | 13 | | $ | 5,700 | | | $ | 41,284 | | | $ | 38,129 | | $ | 65 | | $ | 5,057 | | | $ | 43,251 | |
| Credit | Credit | 6,492 | | 1,630 | | 0 | | | 8,122 | | | 6,409 | | 1,022 | | 0 | | | 7,431 | | Credit | 6,843 | | 1,438 | | — | | | 8,281 | | | 6,409 | | 1,022 | | — | | | 7,431 | |
| Foreign exchange | Foreign exchange | 3,357 | | 526 | | 231 | | | 4,114 | | | 3,613 | | 92 | | 0 | | | 3,705 | | Foreign exchange | 3,648 | | 244 | | 221 | | | 4,113 | | | 3,613 | | 92 | | — | | | 3,705 | |
| Equity | Equity | 28,719 | | 7,414 | | 6,382 | | | 42,515 | | | 26,943 | | 5,021 | | 6,893 | | | 38,857 | | Equity | 28,496 | | 6,258 | | 5,565 | | | 40,319 | | | 26,943 | | 5,021 | | 6,893 | | | 38,857 | |
| Commodity | Commodity | 200 | | 12 | | 20 | | (a) | 232 | | | 250 | | 13 | | 232 | | (a) | 495 | | Commodity | 321 | | — | | 6 | | (a) | 327 | | | 250 | | 13 | | 232 | | (a) | 495 | |
| Total structured notes | Total structured notes | $ | 74,433 | | $ | 9,697 | | $ | 11,830 | | | $ | 95,960 | | | $ | 75,344 | | $ | 6,213 | | $ | 12,182 | | | $ | 93,739 | | 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 $717$676 million and $739 million for the periods ended March 31,September 30, 2021 and December 31, 2020, respectively.
Note 4 – 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 2020 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 Derivative | Use of Derivative | Designation and disclosure | Affected
segment or unit | 10-Q page reference |
| Manage specifically identified risk exposures in qualifying hedge accounting relationships: |
•Interest rate | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 106-107122-123 |
•Interest rate | Hedge floating-rate assets and liabilities | Cash flow hedge | Corporate | 108124 |
•Foreign exchange | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 106-107122-123 |
•Foreign exchange | Hedge foreign currency-denominated forecasted revenue and expense | Cash flow hedge | Corporate | 108124 |
•Foreign exchange | Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities | Net investment hedge | Corporate | 109125 |
•Commodity | Hedge commodity inventory | Fair value hedge | CIB, AWM | 106-107122-123 |
| Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: |
•Interest rate | Manage the risk associated with mortgage commitments, warehouse loans and MSRs | Specified risk management | CCB | 109125 |
•Credit | Manage the credit risk associated with wholesale lending exposures | Specified risk management | CIB | 109125 |
| | | | |
•Interest rate and foreign exchange | Manage the risk associated with certain other specified assets and liabilities | Specified risk management | Corporate | 109125 |
| Market-making derivatives and other activities: |
•Various | Market-making and related risk management | Market-making and other | CIB | 109125 |
•Various | Other derivatives | Market-making and other | CIB, AWM, Corporate | 109125 |
Notional amount of derivative contracts
The following table summarizes the notional amount of free-standing derivative contracts outstanding as of March 31,September 30, 2021, and December 31, 2020.
| | | Notional amounts(b) | | Notional amounts(b) | |
| (in billions) | (in billions) | March 31, 2021 | December 31, 2020 | (in billions) | September 30, 2021 | December 31, 2020 | |
| Interest rate contracts | Interest rate contracts | | Interest rate contracts | |
| Swaps | Swaps | $ | 23,774 | | $ | 20,986 | | Swaps | $ | 24,116 | | $ | 20,990 | | (c) |
| Futures and forwards | Futures and forwards | 5,186 | | 3,057 | | Futures and forwards | 3,824 | | 3,057 | | |
| Written options | Written options | 3,412 | | 3,375 | | Written options | 3,211 | | 3,375 | | |
| Purchased options | Purchased options | 3,707 | | 3,675 | | Purchased options | 3,523 | | 3,675 | | |
| Total interest rate contracts | Total interest rate contracts | 36,079 | | 31,093 | | Total interest rate contracts | 34,674 | | 31,097 | | |
Credit derivatives(a) | Credit derivatives(a) | 1,335 | | 1,201 | | Credit derivatives(a) | 1,340 | | 1,197 | | (c) |
| Foreign exchange contracts | Foreign exchange contracts | | Foreign exchange contracts | |
| Cross-currency swaps | Cross-currency swaps | 3,850 | | 3,924 | | Cross-currency swaps | 4,081 | | 3,924 | | |
| Spot, futures and forwards | Spot, futures and forwards | 7,647 | | 6,871 | | Spot, futures and forwards | 8,268 | | 6,871 | | |
| Written options | Written options | 837 | | 830 | | Written options | 803 | | 830 | | |
| Purchased options | Purchased options | 827 | | 825 | | Purchased options | 791 | | 825 | | |
| Total foreign exchange contracts | Total foreign exchange contracts | 13,161 | | 12,450 | | Total foreign exchange contracts | 13,943 | | 12,450 | | |
| Equity contracts | Equity contracts | | Equity contracts | |
| Swaps | Swaps | 496 | | 448 | | Swaps | 628 | | 448 | | |
| Futures and forwards | Futures and forwards | 138 | | 140 | | Futures and forwards | 145 | | 140 | | |
| Written options | Written options | 695 | | 676 | | Written options | 750 | | 668 | | (c) |
| Purchased options | Purchased options | 638 | | 621 | | Purchased options | 704 | | 610 | | (c) |
| Total equity contracts | Total equity contracts | 1,967 | | 1,885 | | Total equity contracts | 2,227 | | 1,866 | | |
| Commodity contracts | Commodity contracts | | Commodity contracts | |
| Swaps | Swaps | 178 | | 138 | | Swaps | 185 | | 138 | | |
| Spot, futures and forwards | Spot, futures and forwards | 199 | | 198 | | Spot, futures and forwards | 195 | | 198 | | |
| Written options | Written options | 142 | | 124 | | Written options | 149 | | 124 | | |
| Purchased options | Purchased options | 126 | | 105 | | Purchased options | 122 | | 105 | | |
| Total commodity contracts | Total commodity contracts | 645 | | 565 | | Total commodity contracts | 651 | | 565 | | |
| Total derivative notional amounts | Total derivative notional amounts | $ | 53,187 | | $ | 47,194 | | Total derivative notional amounts | $ | 52,835 | | $ | 47,175 | | |
(a)Refer to the Credit derivatives discussion on page 110126 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.
Impact of derivatives on the Consolidated balance sheets
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of March 31,September 30, 2021, and December 31, 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 receivables | | Gross derivative payables | | | Gross derivative receivables | | Gross derivative payables | |
March 31, 2021
(in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated
as hedges | | Total derivative payables | | Net derivative payables(b) | |
September 30, 2021
(in millions) | | September 30, 2021
(in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated
as hedges | | Total derivative payables | | Net derivative payables(b) |
| Trading assets and liabilities | Trading assets and liabilities | | Trading assets and liabilities | |
| Interest rate | Interest rate | $ | 310,838 | | | $ | 783 | | | $ | 311,621 | | | $ | 28,548 | | | $ | 279,186 | | | $ | 0 | | | $ | 279,186 | | | $ | 10,744 | | Interest rate | $ | 284,351 | | | $ | 758 | | | $ | 285,109 | | | $ | 24,766 | | | $ | 252,292 | | | $ | — | | | $ | 252,292 | | | $ | 8,832 | |
| Credit | Credit | 14,212 | | | 0 | | | 14,212 | | | 1,048 | | | 14,602 | | | 0 | | | 14,602 | | | 1,898 | | Credit | 10,524 | | | — | | | 10,524 | | | 1,175 | | | 11,799 | | | — | | | 11,799 | | | 1,393 | |
| Foreign exchange | Foreign exchange | 185,672 | | | 955 | | | 186,627 | | | 15,112 | | | 184,033 | | | 1,473 | | | 185,506 | | | 17,038 | | Foreign exchange | 162,107 | | | 1,089 | | | 163,196 | | | 14,525 | | | 161,159 | | | 936 | | | 162,095 | | | 14,005 | |
| Equity | Equity | 73,578 | | | 0 | | | 73,578 | | | 19,753 | | | 79,543 | | | 0 | | | 79,543 | | | 22,400 | | Equity | 74,422 | | | — | | | 74,422 | | | 10,492 | | | 86,837 | | | — | | | 86,837 | | | 17,774 | |
| Commodity | Commodity | 22,089 | | | 1,590 | | | 23,679 | | | 8,658 | | | 21,682 | | | 2,178 | | | 23,860 | | | 8,360 | | Commodity | 32,269 | | | 4,046 | | | 36,315 | | | 16,950 | | | 28,906 | | | 5,537 | | | 34,443 | | | 11,481 | |
| Total fair value of trading assets and liabilities | Total fair value of trading assets and liabilities | $ | 606,389 | | | $ | 3,328 | | | $ | 609,717 | | | $ | 73,119 | | | $ | 579,046 | | | $ | 3,651 | | | $ | 582,697 | | | $ | 60,440 | | 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 receivables | | Gross derivative payables | | | Gross derivative receivables | | Gross derivative payables | |
December 31, 2020
(in millions) | December 31, 2020
(in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated
as hedges | | Total derivative payables | | Net derivative payables(b) | December 31, 2020
(in millions) | Not designated as hedges | | Designated as hedges | | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | | Designated
as hedges | | Total derivative payables | | Net derivative payables(b) |
| Trading assets and liabilities | Trading assets and liabilities | | Trading assets and liabilities | |
| Interest rate | Interest rate | $ | 390,659 | | | $ | 831 | | | $ | 391,490 | | | $ | 35,725 | | | $ | 353,627 | | | $ | 0 | | | $ | 353,627 | | | $ | 13,012 | | Interest rate | $ | 390,817 | | (c) | $ | 831 | | | $ | 391,648 | | | $ | 35,725 | | | $ | 353,987 | | (c) | $ | — | | | $ | 353,987 | | | $ | 13,012 | |
| Credit | Credit | 13,503 | | | 0 | | | 13,503 | | | 680 | | | 15,192 | | | 0 | | | 15,192 | | | 1,995 | | Credit | 13,345 | | (c) | — | | | 13,345 | | | 680 | | | 14,832 | | (c) | — | | | 14,832 | | | 1,995 | |
| Foreign exchange | Foreign exchange | 205,359 | | | 901 | | | 206,260 | | | 15,781 | | | 214,229 | | | 1,697 | | | 215,926 | | | 21,433 | | Foreign exchange | 205,359 | | | 901 | | | 206,260 | | | 15,781 | | | 214,229 | | | 1,697 | | | 215,926 | | | 21,433 | |
| Equity | Equity | 74,798 | | | 0 | | | 74,798 | | | 20,673 | | | 81,413 | | | 0 | | | 81,413 | | | 25,898 | | Equity | 70,612 | | (c) | — | | | 70,612 | | | 16,487 | | (c) | 81,413 | | | — | | | 81,413 | | | 25,898 | |
| Commodity | Commodity | 20,579 | | | 924 | | | 21,503 | | | 6,771 | | | 20,834 | | | 1,895 | | | 22,729 | | | 8,285 | | Commodity | 20,579 | | | 924 | | | 21,503 | | | 6,771 | | | 20,834 | | | 1,895 | | | 22,729 | | | 8,285 | |
| Total fair value of trading assets and liabilities | Total fair value of trading assets and liabilities | $ | 704,898 | | | $ | 2,656 | | | $ | 707,554 | | | $ | 79,630 | | | $ | 685,295 | | | $ | 3,592 | | | $ | 688,887 | | | $ | 70,623 | | 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.
Derivatives netting
The following tables present, as of March 31,September 30, 2021, and December 31, 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 liquid securities and other 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. LiquidFor the purpose of this disclosure, the definition of liquid securities representis 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.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | | Gross derivative receivables | | Amounts netted on the Consolidated balance sheets | Net derivative receivables | (in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | | Gross derivative receivables | | Amounts netted on the Consolidated balance sheets | Net
derivative receivables |
| U.S. GAAP nettable derivative receivables | U.S. GAAP nettable derivative receivables | | U.S. GAAP nettable derivative receivables | |
| Interest rate contracts: | Interest rate contracts: | | Interest rate contracts: | |
| Over-the-counter (“OTC”) | Over-the-counter (“OTC”) | $ | 288,187 | | $ | (265,270) | | | $ | 22,917 | | | $ | 367,056 | | | $ | (337,451) | | | $ | 29,605 | | | Over-the-counter (“OTC”) | $ | 262,855 | | $ | (243,110) | | | $ | 19,745 | | | $ | 367,214 | | (e) | $ | (337,609) | | (e) | $ | 29,605 | | |
| OTC–cleared | OTC–cleared | 17,627 | | (17,498) | | | 129 | | | 18,340 | | | (17,919) | | | 421 | | | OTC–cleared | 17,441 | | (16,953) | | | 488 | | | 18,340 | | | (17,919) | | | 421 | | |
Exchange-traded(a) | Exchange-traded(a) | 334 | | (305) | | | 29 | | | 554 | | | (395) | | | 159 | | | Exchange-traded(a) | 290 | | (280) | | | 10 | | | 554 | | | (395) | | | 159 | | |
| Total interest rate contracts | Total interest rate contracts | 306,148 | | (283,073) | | | 23,075 | | | 385,950 | | | (355,765) | | | 30,185 | | | Total interest rate contracts | 280,586 | | (260,343) | | | 20,243 | | | 386,108 | | | (355,923) | | | 30,185 | | |
| Credit contracts: | Credit contracts: | | Credit contracts: | |
| OTC | OTC | 9,229 | | (8,460) | | | 769 | | | 9,052 | | | (8,514) | | | 538 | | | OTC | 7,735 | | (6,953) | | | 782 | | | 8,894 | | (e) | (8,356) | | (e) | 538 | | |
| OTC–cleared | OTC–cleared | 4,758 | | (4,704) | | | 54 | | | 4,326 | | | (4,309) | | | 17 | | | OTC–cleared | 2,492 | | (2,396) | | | 96 | | | 4,326 | | | (4,309) | | | 17 | | |
| Total credit contracts | Total credit contracts | 13,987 | | (13,164) | | | 823 | | | 13,378 | | | (12,823) | | | 555 | | | Total credit contracts | 10,227 | | (9,349) | | | 878 | | | 13,220 | | | (12,665) | | | 555 | | |
| Foreign exchange contracts: | Foreign exchange contracts: | | Foreign exchange contracts: | |
| OTC | OTC | 181,701 | | (170,672) | | | 11,029 | | | 201,349 | | | (189,655) | | | 11,694 | | | OTC | 159,235 | | (148,098) | | | 11,137 | | | 201,349 | | | (189,655) | | | 11,694 | | |
| OTC–cleared | OTC–cleared | 891 | | (841) | | | 50 | | | 834 | | | (819) | | | 15 | | | OTC–cleared | 640 | | (572) | | | 68 | | | 834 | | | (819) | | | 15 | | |
Exchange-traded(a) | Exchange-traded(a) | 18 | | (2) | | | 16 | | | 35 | | | (5) | | | 30 | | | Exchange-traded(a) | 10 | | (1) | | | 9 | | | 35 | | | (5) | | | 30 | | |
| Total foreign exchange contracts | Total foreign exchange contracts | 182,610 | | (171,515) | | | 11,095 | | | 202,218 | | | (190,479) | | | 11,739 | | | Total foreign exchange contracts | 159,885 | | (148,671) | | | 11,214 | | | 202,218 | | | (190,479) | | | 11,739 | | |
| Equity contracts: | Equity contracts: | | Equity contracts: | |
| OTC | OTC | 30,396 | | (23,963) | | | 6,433 | | | 34,030 | | | (27,374) | | | 6,656 | | | OTC | 27,692 | | (25,632) | | | 2,060 | | | 29,844 | | (e) | (27,374) | | | 2,470 | | |
Exchange-traded(a) | Exchange-traded(a) | 30,633 | | (29,862) | | | 771 | | | 28,294 | | | (26,751) | | | 1,543 | | | Exchange-traded(a) | 39,348 | | (38,298) | | | 1,050 | | | 28,294 | | | (26,751) | | | 1,543 | | |
| Total equity contracts | Total equity contracts | 61,029 | | (53,825) | | | 7,204 | | | 62,324 | | | (54,125) | | | 8,199 | | | Total equity contracts | 67,040 | | (63,930) | | | 3,110 | | | 58,138 | | | (54,125) | | | 4,013 | | |
| Commodity contracts: | Commodity contracts: | | Commodity contracts: | |
| OTC | OTC | 11,725 | | (6,789) | | | 4,936 | | | 10,924 | | | (7,901) | | | 3,023 | | | OTC | 21,467 | | (8,256) | | | 13,211 | | | 10,924 | | | (7,901) | | | 3,023 | | |
| OTC–cleared | OTC–cleared | 36 | | (36) | | | 0 | | | 20 | | | (20) | | | 0 | | | OTC–cleared | 72 | | (72) | | | — | | | 20 | | | (20) | | | — | | |
Exchange-traded(a) | Exchange-traded(a) | 8,378 | | (8,196) | | | 182 | | | 6,833 | | | (6,811) | | | 22 | | | Exchange-traded(a) | 11,482 | | (11,037) | | | 445 | | | 6,833 | | | (6,811) | | | 22 | | |
| Total commodity contracts | Total commodity contracts | 20,139 | | (15,021) | | | 5,118 | | | 17,777 | | | (14,732) | | | 3,045 | | | Total commodity contracts | 33,021 | | (19,365) | | | 13,656 | | | 17,777 | | | (14,732) | | | 3,045 | | |
| Derivative receivables with appropriate legal opinion | Derivative receivables with appropriate legal opinion | 583,913 | | (536,598) | | | 47,315 | | (d) | 681,647 | | | (627,924) | | | 53,723 | | (d) | Derivative receivables with appropriate legal opinion | 550,759 | | (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 obtained | Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 25,804 | | | 25,804 | | | 25,907 | | | 25,907 | | | Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 18,807 | | | 18,807 | | | 25,907 | | | 25,907 | | |
| Total derivative receivables recognized on the Consolidated balance sheets | Total derivative receivables recognized on the Consolidated balance sheets | $ | 609,717 | | | $ | 73,119 | | | $ | 707,554 | | | $ | 79,630 | | | 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) | | (13,958) | | | (14,806) | | | Collateral not nettable on the Consolidated balance sheets(b)(c) | | (11,001) | | | (14,806) | | |
| Net amounts | Net amounts | | $ | 59,161 | | | $ | 64,824 | | | Net amounts | | $ | 56,907 | | | $ | 60,638 | | |
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | | Gross derivative payables | | Amounts netted on the Consolidated balance sheets | Net derivative payables | (in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | | Gross derivative payables | | Amounts netted on the Consolidated balance sheets | Net
derivative payables |
| U.S. GAAP nettable derivative payables | U.S. GAAP nettable derivative payables | | U.S. GAAP nettable derivative payables | |
| Interest rate contracts: | Interest rate contracts: | | Interest rate contracts: | |
| OTC | OTC | $ | 257,384 | | $ | (249,248) | | | $ | 8,136 | | | $ | 331,854 | | | $ | (320,780) | | | $ | 11,074 | | | OTC | $ | 232,047 | | $ | (224,749) | | | $ | 7,298 | | | $ | 332,214 | | (e) | $ | (321,140) | | (e) | $ | 11,074 | | |
| OTC–cleared | OTC–cleared | 19,914 | | (18,884) | | | 1,030 | | | 19,710 | | | (19,494) | | | 216 | | | OTC–cleared | 18,841 | | (18,532) | | | 309 | | | 19,710 | | | (19,494) | | | 216 | | |
Exchange-traded(a) | Exchange-traded(a) | 322 | | (310) | | | 12 | | | 358 | | | (341) | | | 17 | | | Exchange-traded(a) | 184 | | (179) | | | 5 | | | 358 | | | (341) | | | 17 | | |
| Total interest rate contracts | Total interest rate contracts | 277,620 | | (268,442) | | | 9,178 | | | 351,922 | | | (340,615) | | | 11,307 | | | Total interest rate contracts | 251,072 | | (243,460) | | | 7,612 | | | 352,282 | | | (340,975) | | | 11,307 | | |
| Credit contracts: | Credit contracts: | | Credit contracts: | |
| OTC | OTC | 9,841 | | (8,412) | | | 1,429 | | | 10,671 | | | (9,141) | | | 1,530 | | | OTC | 8,775 | | (8,060) | | | 715 | | | 10,311 | | (e) | (8,781) | | (e) | 1,530 | | |
| OTC–cleared | OTC–cleared | 4,321 | | (4,292) | | | 29 | | | 4,075 | | | (4,056) | | | 19 | | | OTC–cleared | 2,433 | | (2,346) | | | 87 | | | 4,075 | | | (4,056) | | | 19 | | |
| Total credit contracts | Total credit contracts | 14,162 | | (12,704) | | | 1,458 | | | 14,746 | | | (13,197) | | | 1,549 | | | Total credit contracts | 11,208 | | (10,406) | | | 802 | | | 14,386 | | | (12,837) | | | 1,549 | | |
| Foreign exchange contracts: | Foreign exchange contracts: | | Foreign exchange contracts: | |
| OTC | OTC | 180,571 | | (167,627) | | | 12,944 | | | 210,803 | | | (193,672) | | | 17,131 | | | OTC | 157,829 | | (147,518) | | | 10,311 | | | 210,803 | | | (193,672) | | | 17,131 | | |
| OTC–cleared | OTC–cleared | 857 | | (841) | | | 16 | | | 836 | | | (819) | | | 17 | | | OTC–cleared | 579 | | (572) | | | 7 | | | 836 | | | (819) | | | 17 | | |
Exchange-traded(a) | Exchange-traded(a) | 13 | | 0 | | | 13 | | | 34 | | | (2) | | | 32 | | | Exchange-traded(a) | 12 | | — | | | 12 | | | 34 | | | (2) | | | 32 | | |
| Total foreign exchange contracts | Total foreign exchange contracts | 181,441 | | (168,468) | | | 12,973 | | | 211,673 | | | (194,493) | | | 17,180 | | | Total foreign exchange contracts | 158,420 | | (148,090) | | | 10,330 | | | 211,673 | | | (194,493) | | | 17,180 | | |
| Equity contracts: | Equity contracts: | | Equity contracts: | |
| OTC | OTC | 33,285 | | (27,282) | | | 6,003 | | | 35,330 | | | (28,763) | | | 6,567 | | | OTC | 34,759 | | (30,733) | | | 4,026 | | | 35,330 | | | (28,763) | | | 6,567 | | |
Exchange-traded(a) | Exchange-traded(a) | 37,132 | | (29,861) | | | 7,271 | | | 34,491 | | | (26,752) | | | 7,739 | | | Exchange-traded(a) | 43,462 | | (38,330) | | | 5,132 | | | 34,491 | | | (26,752) | | | 7,739 | | |
| Total equity contracts | Total equity contracts | 70,417 | | (57,143) | | | 13,274 | | | 69,821 | | | (55,515) | | | 14,306 | | | Total equity contracts | 78,221 | | (69,063) | | | 9,158 | | | 69,821 | | | (55,515) | | | 14,306 | | |
| Commodity contracts: | Commodity contracts: | | Commodity contracts: | |
| OTC | OTC | 10,338 | | (7,253) | | | 3,085 | | | 10,365 | | | (7,544) | | | 2,821 | | | OTC | 18,060 | | (11,770) | | | 6,290 | | | 10,365 | | | (7,544) | | | 2,821 | | |
| OTC–cleared | OTC–cleared | 53 | | (53) | | | 0 | | | 32 | | | (32) | | | 0 | | | OTC–cleared | 85 | | (85) | | | — | | | 32 | | | (32) | | | — | | |
Exchange-traded(a) | Exchange-traded(a) | 8,571 | | (8,194) | | | 377 | | | 7,391 | | | (6,868) | | | 523 | | | Exchange-traded(a) | 12,241 | | (11,107) | | | 1,134 | | | 7,391 | | | (6,868) | | | 523 | | |
| Total commodity contracts | Total commodity contracts | 18,962 | | (15,500) | | | 3,462 | | | 17,788 | | | (14,444) | | | 3,344 | | | Total commodity contracts | 30,386 | | (22,962) | | | 7,424 | | | 17,788 | | | (14,444) | | | 3,344 | | |
| Derivative payables with appropriate legal opinion | Derivative payables with appropriate legal opinion | 562,602 | | (522,257) | | | 40,345 | | (d) | 665,950 | | | (618,264) | | | 47,686 | | (d) | Derivative payables with appropriate legal opinion | 529,307 | | (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 obtained | Derivative payables where an appropriate legal opinion has not been either sought or obtained | 20,095 | | | 20,095 | | | 22,937 | | | 22,937 | | | Derivative payables where an appropriate legal opinion has not been either sought or obtained | 18,159 | | | 18,159 | | | 22,937 | | | 22,937 | | |
| Total derivative payables recognized on the Consolidated balance sheets | Total derivative payables recognized on the Consolidated balance sheets | $ | 582,697 | | | $ | 60,440 | | | $ | 688,887 | | | $ | 70,623 | | | 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) | | (9,193) | | | (11,964) | | | Collateral not nettable on the Consolidated balance sheets(b)(c) | | (7,091) | | | (11,964) | | |
| Net amounts | Net amounts | | $ | 51,247 | | | $ | 58,659 | | | Net amounts | | $ | 46,394 | | | $ | 58,659 | | |
(a)Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)Includes liquid securities 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 $74.6$68.8 billion and $88.0 billion at March 31,September 30, 2021, and December 31, 2020, respectively. Net derivatives payable included cash collateral netted of $60.2$61.2 billion and $78.4 billion at March 31,September 30, 2021, and December 31, 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.
Liquidity risk and credit-related contingent features
Refer to Note 5 of JPMorgan Chase’s 2020 Form 10-K for a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts.
The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at March 31,September 30, 2021, and December 31, 2020.
| | OTC and OTC-cleared derivative payables containing downgrade triggers | OTC and OTC-cleared derivative payables containing downgrade triggers | | OTC and OTC-cleared derivative payables containing downgrade triggers | |
| (in millions) | (in millions) | March 31, 2021 | | December 31, 2020 | | (in millions) | September 30, 2021 | | December 31, 2020 | |
| Aggregate fair value of net derivative payables | Aggregate fair value of net derivative payables | | $ | 21,562 | | | $ | 26,945 | | (a) | Aggregate fair value of net derivative payables | | $ | 19,541 | | | $ | 26,945 | | (a) |
| Collateral posted | Collateral posted | | 21,279 | | | 26,289 | | | Collateral posted | | 17,160 | | | 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 March 31,September 30, 2021, and December 31, 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 derivatives | Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | | | | | Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | | | | |
| | March 31, 2021 | | December 31, 2020 | | | September 30, 2021 | | December 31, 2020 | |
| (in millions) | (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | | (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | |
Amount of additional collateral to be posted upon downgrade(a) | Amount of additional collateral to be posted upon downgrade(a) | $ | 178 | | $ | 1,448 | | | $ | 119 | | $ | 1,243 | | | 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) | 127 | | 833 | | | 153 | | 1,682 | | (c) | 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 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 March 31,September 30, 2021 and December 31, 2020.
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 March 31,September 30, 2021 and 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 impact | | Gains/(losses) recorded in income | | Income statement impact of
excluded components(e) | | OCI impact |
Three months ended March 31, 2021
(in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes 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) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(f) |
| Contract type | Contract type | | Contract type | |
Interest rate(a)(b) | Interest rate(a)(b) | $ | (5,121) | | $ | 5,446 | | $ | 325 | | | $ | 0 | | $ | 436 | | | $ | 0 | | Interest rate(a)(b) | $ | (812) | | $ | 1,401 | | $ | 589 | | | $ | — | | $ | 592 | | | $ | — | |
Foreign exchange(c) | Foreign exchange(c) | (729) | | 747 | | 18 | | | (78) | | 18 | | | (37) | | Foreign exchange(c) | (363) | | 367 | | 4 | | | (71) | | 3 | | | 12 | |
Commodity(d) | Commodity(d) | (1,261) | | 1,288 | | 27 | | | 0 | | 12 | | | 0 | | Commodity(d) | (732) | | 754 | | 22 | | | — | | 14 | | | — | |
| Total | Total | $ | (7,111) | | $ | 7,481 | | $ | 370 | | | $ | (78) | | $ | 466 | | | $ | (37) | | Total | $ | (1,907) | | $ | 2,522 | | $ | 615 | | | $ | (71) | | $ | 609 | | | $ | 12 | |
| | | Gains/(losses) recorded in income | | Income statement impact of excluded components(e) | | OCI impact | | | Gains/(losses) recorded in income | | Income statement impact of excluded components(e) | | OCI impact | |
Three months ended March 31, 2020
(in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes 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) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(f) | |
| Contract type | Contract type | | | Contract type | | |
Interest rate(a)(b) | Interest rate(a)(b) | $ | 4,087 | | $ | (3,788) | | $ | 299 | | | $ | 0 | | $ | 214 | | | $ | 0 | | | Interest rate(a)(b) | $ | (464) | | $ | 743 | | $ | 279 | | | $ | — | | $ | 309 | | | $ | — | | |
Foreign exchange(c) | Foreign exchange(c) | 576 | | (488) | | 88 | | | (179) | | 88 | | | 115 | | | Foreign exchange(c) | 307 | | (280) | | 27 | | | (79) | | 27 | | | (91) | | |
Commodity(d) | Commodity(d) | 1,528 | | (1,482) | | 46 | | | 0 | | 49 | | | 0 | | | Commodity(d) | (569) | | 593 | | 24 | | | — | | 14 | | | — | | |
| Total | Total | $ | 6,191 | | $ | (5,758) | | $ | 433 | | | $ | (179) | | $ | 351 | | | $ | 115 | | | Total | $ | (726) | | $ | 1,056 | | $ | 330 | | | $ | (79) | | $ | 350 | | | $ | (91) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Gains/(losses) recorded in income | | Income statement impact of excluded components(e) | | OCI impact |
Nine months ended September 30, 2021
(in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(f) |
| Contract type | | | | | | | | |
Interest rate(a)(b) | $ | (3,749) | | $ | 5,217 | | $ | 1,468 | | | $ | — | | $ | 1,572 | | | $ | — | |
Foreign exchange(c) | (862) | | 893 | | 31 | | | (221) | | 30 | | | (56) | |
Commodity(d) | (5,119) | | 5,197 | | 78 | | | — | | 46 | | | — | |
| Total | $ | (9,730) | | $ | 11,307 | | $ | 1,577 | | | $ | (221) | | $ | 1,648 | | | $ | (56) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Gains/(losses) recorded in income | | Income statement impact of excluded components(e) | | OCI impact |
Nine months ended September 30, 2020
(in millions) | Derivatives | Hedged items | Income statement impact | | Amortization approach | Changes in fair value | | Derivatives - Gains/(losses) recorded in OCI(f) |
| Contract type | | | | | | | | |
Interest rate(a)(b) | $ | 4,087 | | $ | (3,333) | | $ | 754 | | | $ | — | | $ | 728 | | | $ | — | |
Foreign exchange(c) | 579 | | (430) | | 149 | | | (379) | | 149 | | | 45 | |
Commodity(d) | (771) | | 882 | | 111 | | | — | | 107 | | | — | |
| 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.
As of March 31,September 30, 2021 and December 31, 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: |
March 31, 2021
(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 |
| Assets | Assets | | Assets | |
| Investment securities - AFS | Investment securities - AFS | | $ | 87,720 | | (c) | $ | 502 | | $ | 633 | | $ | 1,135 | | Investment securities - AFS | | $ | 71,464 | | (c) | $ | 906 | | $ | 558 | | $ | 1,464 | |
| Liabilities | Liabilities | | Liabilities | |
| Long-term debt | Long-term debt | | $ | 176,622 | | | $ | (2,741) | | $ | 9,190 | | $ | 6,449 | | Long-term debt | | $ | 191,783 | | | $ | (1,121) | | $ | 9,042 | | $ | 7,921 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | | 747 | | | 0 | | (2) | | (2) | | Beneficial interests issued by consolidated VIEs | | 748 | | | — | | (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, 2020
(in millions) | December 31, 2020
(in millions) | | Active hedging relationships | Discontinued hedging relationships(d)(e) | Total | December 31, 2020
(in millions) | | Active hedging relationships | Discontinued hedging relationships(d)(e) | Total |
| Assets | Assets | | Assets | |
| Investment securities - AFS | Investment securities - AFS | | $ | 139,684 | | (c) | $ | 3,572 | | $ | 847 | | $ | 4,419 | | Investment securities - AFS | | $ | 139,684 | | (c) | $ | 3,572 | | $ | 847 | | $ | 4,419 | |
| Liabilities | Liabilities | | Liabilities | |
| Long-term debt | Long-term debt | | $ | 177,611 | | | $ | 3,194 | | $ | 11,473 | | $ | 14,667 | | Long-term debt | | $ | 177,611 | | | $ | 3,194 | | $ | 11,473 | | $ | 14,667 | |
| Beneficial interests issued by consolidated VIEs | Beneficial interests issued by consolidated VIEs | | 746 | | | 0 | | (3) | | (3) | | Beneficial interests issued by consolidated VIEs | | 746 | | | — | | (3) | | (3) | |
(a)Excludes physical commodities with a carrying value of $16.1$19.3 billion and $11.5 billion at March 31,September 30, 2021 and December 31, 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 March 31,September 30, 2021 and December 31, 2020, the carrying amount excluded for AFS securities is $15.5$12.6 billion and $14.5 billion, respectively, and for long-term debt is $6.4$11.8 billion and $6.6 billion, respectively.
(c)Carrying amount represents the amortized cost, net of allowance if applicable. Refer to Note 9 for 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.
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 March 31,September 30, 2021 and 2020, respectively. The Firm includes the 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) | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) |
Three months ended March 31, 2021
(in millions) | Amounts reclassified
from AOCI to income | | Amounts recorded
in OCI | Total change
in OCI for period | |
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 type | Contract type | | Contract type | |
Interest rate(a) | Interest rate(a) | $ | 237 | | | $ | (2,761) | | $ | (2,998) | | Interest rate(a) | $ | 272 | | | $ | (232) | | $ | (504) | |
Foreign exchange(b) | Foreign exchange(b) | 27 | | | 66 | | 39 | | Foreign exchange(b) | 54 | | | (35) | | (89) | |
| Total | Total | $ | 264 | | | $ | (2,695) | | $ | (2,959) | | Total | $ | 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 March 31, 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) | | 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 type | Contract type | | Contract type | |
Interest rate(a) | Interest rate(a) | $ | (9) | | | $ | 3,461 | | $ | 3,470 | | Interest rate(a) | $ | 214 | | | $ | 8 | | $ | (206) | |
Foreign exchange(b) | Foreign exchange(b) | 17 | | | (210) | | (227) | | Foreign exchange(b) | 13 | | | 126 | | 113 | |
| Total | Total | $ | 8 | | | $ | 3,251 | | $ | 3,243 | | Total | $ | 227 | | | $ | 134 | | $ | (93) | |
| | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) |
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 type | | Contract type | |
Interest rate(a) | | Interest rate(a) | $ | 771 | | | $ | (1,871) | | $ | (2,642) | |
Foreign exchange(b) | | Foreign exchange(b) | 159 | | | 27 | | (132) | |
| Total | | Total | $ | 930 | | | $ | (1,844) | | $ | (2,774) | |
| | | | 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 |
| Contract type | | Contract type | |
Interest rate(a) | | Interest rate(a) | $ | 332 | | | $ | 3,881 | | $ | 3,549 | |
Foreign exchange(b) | | Foreign exchange(b) | (4) | | | (94) | | (90) | |
| Total | | Total | $ | 328 | | | $ | 3,787 | | $ | 3,459 | |
(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 March 31,September 30, 2021 and 2020.
Over the next 12 months, the Firm expects that approximately $926$812 million (after-tax) of net gains recorded in AOCI at March 31,September 30, 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.
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 March 31,September 30, 2021 and 2020.
| | | Gains/(losses) recorded in income and other comprehensive income/(loss) | | Gains/(losses) recorded in income and other comprehensive income/(loss) |
| | 2021 | | 2020 | | 2021 | | 2020 |
Three months ended March 31,
(in millions) | Amounts recorded in income(a) | Amounts recorded in OCI | | Amounts recorded in income(a) | Amounts recorded in OCI | |
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 OCI |
| Foreign exchange derivatives | Foreign exchange derivatives | | $ | (28) | | | $ | 1,200 | | | $ | 10 | | | $ | 1,589 | | Foreign exchange derivatives | | $ | (73) | | | $ | 1,028 | | | $ | (37) | | | $ | (868) | |
| | | | Gains/(losses) recorded in income and other comprehensive income/(loss) |
| | | 2021 | | 2020 |
| | 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 OCI |
| Foreign exchange derivatives | | 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 of $8 million to other income related to the liquidation of certain legal entities and the amount was not material for the three months ended September 30, 2020. Refer to Note 19 for further information.
Gains and losses on derivatives used for specified risk management purposes
The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities.
| | | Derivatives gains/(losses)
recorded in income | | | Derivatives gains/(losses)
recorded in income | |
| | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, | |
| (in millions) | (in millions) | 2021 | 2020 | | (in millions) | 2021 | 2020 | | 2021 | 2020 | |
| Contract type | Contract type | | | Contract type | | |
Interest rate(a) | Interest rate(a) | $ | (142) | | $ | 1,292 | | | Interest rate(a) | $ | 320 | | $ | 597 | | | $ | 822 | | $ | 2,533 | | |
Credit(b) | Credit(b) | (40) | | 61 | | | Credit(b) | (14) | | (19) | | | (81) | | (58) | | |
Foreign exchange(c) | Foreign exchange(c) | 98 | | 106 | | | Foreign exchange(c) | 14 | | 18 | | | 82 | | 96 | | |
| Total | Total | $ | (84) | | $ | 1,459 | | | 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 5 for information on principal transactions revenue.
Credit derivatives
Refer to Note 5 of JPMorgan Chase’s 2020 Form 10-K for a more detailed discussion of credit derivatives. The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March 31,September 30, 2021 and December 31, 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 amount | | Maximum payout/Notional amount | |
| March 31, 2021 (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 derivatives | Credit derivatives | | Credit derivatives | |
| Credit default swaps | Credit default swaps | $ | (595,343) | | | $ | 609,926 | | | $ | 14,583 | | | $ | 2,562 | | Credit default swaps | $ | (577,311) | | | $ | 599,454 | | | $ | 22,143 | | | $ | 3,198 | | |
Other credit derivatives(a) | Other credit derivatives(a) | (45,961) | | | 68,528 | | | 22,567 | | | 12,478 | | Other credit derivatives(a) | (61,083) | | | 82,067 | | | 20,984 | | | 16,431 | | |
| Total credit derivatives | Total credit derivatives | (641,304) | | | 678,454 | | | 37,150 | | | 15,040 | | Total credit derivatives | (638,394) | | | 681,521 | | | 43,127 | | | 19,629 | | |
| Credit-related notes | Credit-related notes | 0 | | | 0 | | | 0 | | | 10,847 | | Credit-related notes | — | | | — | | | — | | | 12,745 | | |
| Total | Total | $ | (641,304) | | | $ | 678,454 | | | $ | 37,150 | | | $ | 25,887 | | Total | $ | (638,394) | | | $ | 681,521 | | | $ | 43,127 | | | $ | 32,374 | | |
| | | Maximum payout/Notional amount | | Maximum payout/Notional amount | |
| 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) | December 31, 2020 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | | Net protection (sold)/purchased(c) | | Other protection purchased(d) | |
| Credit derivatives | Credit derivatives | | Credit derivatives | |
| Credit default swaps | Credit default swaps | $ | (535,094) | | | $ | 554,565 | | | $ | 19,471 | | | $ | 4,001 | | Credit default swaps | $ | (533,900) | | (e) | $ | 552,021 | | (e) | $ | 18,121 | | | $ | 2,786 | | (e) |
Other credit derivatives(a) | Other credit derivatives(a) | (40,084) | | | 57,344 | | | 17,260 | |
| 9,415 | | Other credit derivatives(a) | (40,084) | | | 57,344 | | | 17,260 | |
| 10,630 | | (e) |
| Total credit derivatives | Total credit derivatives | (575,178) | | | 611,909 | | | 36,731 | | | 13,416 | | Total credit derivatives | (573,984) | | | 609,365 | | | 35,381 | | | 13,416 | | |
| Credit-related notes | Credit-related notes | 0 | | | 0 | | | 0 | | | 10,248 | | Credit-related notes | — | | | — | | | — | | | 10,248 | | |
| Total | Total | $ | (575,178) | | | $ | 611,909 | | | $ | 36,731 | | | $ | 23,664 | | 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 March 31,September 30, 2021, and December 31, 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 | | |
March 31, 2021
(in millions) | <1 year | | 1–5 years | | >5 years | | Total
notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | |
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 year | | 1–5 years | | >5 years | | Total
notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value |
| Risk rating of reference entity | Risk rating of reference entity | | Risk rating of reference entity | |
| Investment-grade | Investment-grade | $ | (93,329) | | | $ | (304,945) | | | $ | (80,813) | | | $ | (479,087) | | | $ | 5,746 | | | $ | (651) | | | $ | 5,095 | | Investment-grade | $ | (116,560) | | | $ | (291,195) | | | $ | (78,593) | | | $ | (486,348) | | | $ | 3,996 | | | $ | (597) | | | $ | 3,399 | |
| Noninvestment-grade | Noninvestment-grade | (35,229) | | | (100,052) | | | (26,936) | | | (162,217) | | | 3,851 | | | (2,418) | | | 1,433 | | Noninvestment-grade | (31,180) | | | (96,565) | | | (24,301) | | | (152,046) | | | 3,110 | | | (1,886) | | | 1,224 | |
| Total | Total | $ | (128,558) | | | $ | (404,997) | | | $ | (107,749) | | | $ | (641,304) | | | $ | 9,597 | | | $ | (3,069) | | | $ | 6,528 | | Total | $ | (147,740) | | | $ | (387,760) | | | $ | (102,894) | | | $ | (638,394) | | | $ | 7,106 | | | $ | (2,483) | | | $ | 4,623 | |
| December 31, 2020
(in millions) | December 31, 2020
(in millions) | <1 year | | 1–5 years | | >5 years | | Total
notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value | December 31, 2020
(in millions) | <1 year | | 1–5 years | | >5 years | | Total
notional amount | | Fair value of receivables(b) | | Fair value of payables(b) | | Net fair value |
| Risk rating of reference entity | Risk rating of reference entity | | Risk rating of reference entity | |
| Investment-grade | Investment-grade | $ | (93,905) | | | $ | (307,648) | | | $ | (35,326) | | | $ | (436,879) | | | $ | 5,521 | | | $ | (835) | | | $ | 4,686 | | Investment-grade | $ | (93,529) | | (c) | $ | (306,830) | | (c) | $ | (35,326) | | | $ | (435,685) | | | $ | 5,372 | | (c) | $ | (834) | | (c) | $ | 4,538 | |
| Noninvestment-grade | Noninvestment-grade | (31,809) | | | (97,337) | | | (9,153) | | | (138,299) | | | 3,953 | | | (2,542) | | | 1,411 | | Noninvestment-grade | (31,809) | | | (97,337) | | | (9,153) | | | (138,299) | | | 3,953 | | | (2,542) | | | 1,411 | |
| Total | Total | $ | (125,714) | | | $ | (404,985) | | | $ | (44,479) | | | $ | (575,178) | | | $ | 9,474 | | | $ | (3,377) | | | $ | 6,097 | | 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.
Note 5 – Noninterest revenue and noninterest expense
Noninterest revenue
Refer to Note 6 of JPMorgan Chase’s 2020 Form 10-K for a discussion of the components of and accounting policies for the Firm’s noninterest revenue.
Investment banking fees
The following table presents the components of investment banking fees.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Underwriting | Underwriting | | | Underwriting | |
| Equity | Equity | $ | 1,062 | | | $ | 327 | | | Equity | $ | 1,034 | | | $ | 736 | | | $ | 3,169 | | | $ | 2,037 | |
| Debt | Debt | 1,221 | | | 1,044 | | | Debt | 1,019 | | | 1,019 | | | 3,713 | | | 3,342 | |
| Total underwriting | Total underwriting | 2,283 | | | 1,371 | | | Total underwriting | 2,053 | | | 1,755 | | | 6,882 | | | 5,379 | |
| Advisory | Advisory | 687 | | | 495 | | | Advisory | 1,229 | | | 432 | | | 2,840 | | | 1,524 | |
| Total investment banking fees | Total investment banking fees | $ | 2,970 | | | $ | 1,866 | | | 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 fund deployment activities in Treasury and CIO. Refer to Note 6 for further information on interest income and interest expense.
Trading revenue is presented primarily by instrument type. The Firm’s client-driven market-making businesses generally utilize a variety of instrument types in connection with their market-making and related risk-management activities; accordingly, the trading revenue presented in the table below is not representative of the total revenue of any individual LOB.
| | | Three months ended March 31, | | | | Three months ended September 30, | | | Nine months ended September 30, | |
| (in millions) | (in millions) | 2021 | | 2020 | | | (in millions) | 2021 | | 2020 | | | 2021 | | 2020 | |
| Trading revenue by instrument type | Trading revenue by instrument type | | | Trading revenue by instrument type | | | |
Interest rate(a) | Interest rate(a) | $ | 923 | | | $ | 452 | |
| | Interest rate(a) | $ | 339 | | | $ | 287 | |
| | $ | 1,726 | | | $ | 2,258 | | |
Credit(b) | Credit(b) | 1,270 | | | (702) | | (c) | | Credit(b) | 496 | | | 950 | | (c) | | 2,525 | |
| 2,201 | | (c) |
| Foreign exchange | Foreign exchange | 998 | | | 1,467 | | | | Foreign exchange | 648 | | | 714 | | | | 2,287 | | | 3,606 | | |
| Equity | Equity | 2,657 | | | 1,348 | | | | Equity | 1,863 | | | 1,410 | | | | 6,449 | | | 4,816 | | |
| Commodity | Commodity | 549 | | | 437 | | | | Commodity | 315 | | | 747 | | | | 1,165 | | | 1,775 | | |
| Total trading revenue | Total trading revenue | 6,397 | | | 3,002 | | | | Total trading revenue | 3,661 | | | 4,108 | | | | 14,152 | | | 14,656 | | |
| Private equity gains/(losses) | Private equity gains/(losses) | 103 | | | (65) | | | | Private equity gains/(losses) | (115) | | | 34 | | | | (30) | | | 44 | | |
| Principal transactions | Principal transactions | $ | 6,500 | | | $ | 2,937 | | | | 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.
Lending- and deposit-related fees
The following table presents the components of lending- and deposit-related fees.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Lending-related fees | Lending-related fees | $ | 358 | | | $ | 291 | | | Lending-related fees | $ | 374 | | | $ | 337 | | | $ | 1,102 | | | $ | 916 | |
| Deposit-related fees | Deposit-related fees | 1,329 | | | 1,415 | | | Deposit-related fees | 1,427 | | | 1,310 | | | 4,146 | | | 3,868 | |
| Total lending- and deposit-related fees | Total lending- and deposit-related fees | $ | 1,687 | | | $ | 1,706 | | | 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 March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Asset management fees | Asset management fees | | | Asset management fees | |
Investment management fees(a) | Investment management fees(a) | $ | 3,257 | | | $ | 2,785 | | | Investment management fees(a) | $ | 3,554 | | | $ | 2,937 | | | $ | 10,232 | | | $ | 8,439 | |
All other asset management fees(b) | All other asset management fees(b) | 94 | | | 93 | | | All other asset management fees(b) | 94 | | | 85 | | | 283 | | | 253 | |
| Total asset management fees | Total asset management fees | 3,351 | | | 2,878 | | | Total asset management fees | 3,648 | | | 3,022 | | | 10,515 | | | 8,692 | |
| Total administration fees(c) | Total administration fees(c) | 633 | | | 554 | | | Total administration fees(c) | 642 | | | 561 | | | 1,925 | | | 1,661 | |
| | Commissions and other fees | Commissions and other fees | | | Commissions and other fees | |
Brokerage commissions(d) | Brokerage commissions(d) | 800 | | | 864 | | | Brokerage commissions(d) | 719 | | | 645 | | | 2,280 | | | 2,224 | |
| All other commissions and fees | All other commissions and fees | 245 | | | 244 | | | All other commissions and fees | 248 | | | 242 | | | 760 | | | 699 | |
| Total commissions and fees | Total commissions and fees | 1,045 | | | 1,108 | | | Total commissions and fees | 967 | | | 887 | | | 3,040 | | | 2,923 | |
| Total asset management, administration and commissions | Total asset management, administration and commissions | $ | 5,029 | | | $ | 4,540 | | | 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.
Card income
The following table presents the components of card income:
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Interchange and merchant processing income | Interchange and merchant processing income | $ | 4,868 | | | $ | 4,782 | | | Interchange and merchant processing income | $ | 6,117 | | | $ | 4,757 | | | $ | 16,959 | | | $ | 13,479 | |
| Rewards costs and partner payments | Rewards costs and partner payments | (3,534) | | | (3,582) | | | Rewards costs and partner payments | (4,860) | | | (3,497) | | | (12,676) | | | (9,895) | |
Other card income(a) | Other card income(a) | 16 | | | (205) | | | Other card income(a) | (252) | | | (91) | | | (281) | | | (446) | |
| Total card income | Total card income | $ | 1,350 | | | $ | 995 | | | Total card income | $ | 1,005 | | | $ | 1,169 | | | $ | 4,002 | | | $ | 3,138 | |
(a)Predominantly represents the amortization of account origination costs and annual fees.
Refer to Note 14 for further information on mortgage servicing rights, including risk management activities.
Refer to Note 16 for information on operating lease income included within other income.
Noninterest expense
Other expense
Other expense on the Firm’s Consolidated statements of income included the following:
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Legal expense | Legal expense | $ | 28 | | | $ | 197 | | | Legal expense | $ | 76 | | | $ | 524 | | | $ | 289 | | | $ | 839 | |
| FDIC-related expense | FDIC-related expense | 201 | | | 99 | | | FDIC-related expense | 173 | | | 186 | | | 551 | | | 503 | |
Note 6 – Interest income and Interest expense
Refer to Note 7 of JPMorgan Chase’s 2020 Form 10-K for a description of JPMorgan Chase’s accounting policies regarding interest income and interest expense.
The following table presents the components of interest income and interest expense.
| | | Three months ended
March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Interest income | Interest income | | | Interest income | |
Loans(a) | Loans(a) | $ | 10,187 | | | $ | 12,305 | | | Loans(a) | $ | 10,445 | | | $ | 10,215 | | | $ | 30,777 | | | $ | 33,409 | |
| Taxable securities | Taxable securities | 1,605 | | | 2,233 | | | Taxable securities | 1,553 | | | 1,816 | | | 4,735 | | | 6,203 | |
Non-taxable securities(b) | Non-taxable securities(b) | 277 | | | 300 | | | Non-taxable securities(b) | 262 | | | 294 | | | 809 | | | 901 | |
Total investment securities(a) | Total investment securities(a) | 1,882 | | | 2,533 | | | Total investment securities(a) | 1,815 | | | 2,110 | | | 5,544 | | | 7,104 | |
| Trading assets - debt instruments | Trading assets - debt instruments | 1,782 | | | 2,064 | | | Trading assets - debt instruments | 1,682 | | | 1,850 | | | 5,175 | | | 5,980 | |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | 233 | | | 1,095 | | | Federal funds sold and securities purchased under resale agreements | 231 | | | 401 | | | 639 | | | 2,097 | |
Securities borrowed(c) | Securities borrowed(c) | (77) | |
| 152 | | | Securities borrowed(c) | (73) | |
| (128) | | | (240) | | | (151) | |
| Deposits with banks | Deposits with banks | 65 | | | 569 | | | Deposits with banks | 174 | | | 69 | | | 342 | | | 708 | |
All other interest-earning assets(d) | All other interest-earning assets(d) | 199 | | | 443 | | | All other interest-earning assets(d) | 206 | | | 183 | | | 608 | | | 826 | |
| Total interest income | Total interest income | $ | 14,271 | | | $ | 19,161 | | | Total interest income | $ | 14,480 | | | $ | 14,700 | | | $ | 42,845 | | | $ | 49,973 | |
| Interest expense | Interest expense | | | Interest expense | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 146 | | | $ | 1,575 | | | Interest-bearing deposits | $ | 126 | | | $ | 245 | | | $ | 404 | | | $ | 2,169 | |
| Federal funds purchased and securities loaned or sold under repurchase agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 15 | | | 787 | | | Federal funds purchased and securities loaned or sold under repurchase agreements | 119 | | | 105 | | | 194 | | | 1,023 | |
Short-term borrowings(e) | Short-term borrowings(e) | 33 | | | 151 | | | Short-term borrowings(e) | 31 | | | 60 | | | 97 | | | 335 | |
Trading liabilities – debt and all other interest-bearing liabilities(c)(f) | Trading liabilities – debt and all other interest-bearing liabilities(c)(f) | 27 | | | 372 | | | Trading liabilities – debt and all other interest-bearing liabilities(c)(f) | 52 | | | (51) | | | 130 | | | 278 | |
| Long-term debt | Long-term debt | 1,134 | | | 1,747 | | | Long-term debt | 1,054 | | | 1,293 | | | 3,244 | | | 4,679 | |
| Beneficial interest issued by consolidated VIEs | Beneficial interest issued by consolidated VIEs | 27 | | | 90 | | | Beneficial interest issued by consolidated VIEs | 18 | | | 35 | | | 66 | | | 184 | |
| Total interest expense | Total interest expense | $ | 1,382 | | | $ | 4,722 | | | Total interest expense | $ | 1,400 | | | $ | 1,687 | | | $ | 4,135 | | | $ | 8,668 | |
| Net interest income | Net interest income | $ | 12,889 | | | $ | 14,439 | | | Net interest income | $ | 13,080 | | | $ | 13,013 | | | $ | 38,710 | | | $ | 41,305 | |
| Provision for credit losses | Provision for credit losses | (4,156) | | | 8,285 | | | Provision for credit losses | (1,527) | | | 611 | | | (7,968) | | | 19,369 | |
| Net interest income after provision for credit losses | Net interest income after provision for credit losses | $ | 17,045 | | | $ | 6,154 | | | 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).
(b)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)Negative interest income is related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other interest-bearing liabilities.
(d)Includes interest earned on 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.
(e)Includes commercial paper.
(f)All other interest-bearing liabilities includes interest expense on brokerage-related customer payables.
Note 7 – Pension and other postretirement employee benefit plans
Refer to Note 8 of JPMorgan Chase’s 2020 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 defined benefit pension, defined contribution and OPEB plans.
| | (in millions) | (in millions) | Three months ended March 31, | | (in millions) | Three months ended September 30, | | | Nine months ended September 30, |
| 2021 | 2020 | | (in millions) | 2021 | 2020 | | | 2021 | 2020 | | |
| Pension and OPEB plans | | (in millions) | Pension and OPEB plans | | | Pension and OPEB plans | | |
| Components of net periodic benefit cost, U.S. defined benefit pension plans | Components of net periodic benefit cost, U.S. defined benefit pension plans | | | | | | |
| Benefits earned during the period | Benefits earned during the period | $ | 0 | | $ | 0 | | | Benefits earned during the period | $ | — | | $ | — | | | | $ | 1 | | $ | 1 | | | |
| Interest cost on benefit obligations | Interest cost on benefit obligations | 85 | | 105 | | | Interest cost on benefit obligations | 85 | | 105 | | | | 256 | | 316 | | | |
| Expected return on plan assets | Expected return on plan assets | (129) | | (158) | | | Expected return on plan assets | (129) | | (158) | | | | (387) | | (475) | | | |
| Amortization: | Amortization: | | | Amortization: | | | | |
| Net (gain)/loss | Net (gain)/loss | 3 | | 2 | | | Net (gain)/loss | 3 | | 2 | | | | 8 | | 5 | | | |
| Prior service (credit)/cost | 0 | | 0 | | | |
| | | Net periodic defined benefit plan cost/(credit), U.S. defined benefit pension plans | Net periodic defined benefit plan cost/(credit), U.S. defined benefit pension plans | (41) | | (51) | | | Net periodic defined benefit plan cost/(credit), U.S. defined benefit pension plans | (41) | | (51) | | | | (122) | | (153) | | | |
| Other defined benefit pension and OPEB plans | Other defined benefit pension and OPEB plans | (18) | | (21) | | | Other defined benefit pension and OPEB plans | (24) | | (23) | | | | (62) | | (65) | | | |
| Total net periodic defined benefit plan cost/(credit) | Total net periodic defined benefit plan cost/(credit) | (59) | | (72) | | | Total net periodic defined benefit plan cost/(credit) | (65) | | (74) | | | | (184) | | (218) | | | |
| Total defined contribution plans | Total defined contribution plans | 321 | | 299 | | | Total defined contribution plans | 327 | | 340 | | | | 998 | | 960 | | | |
| Total pension and OPEB cost included in noninterest expense | Total pension and OPEB cost included in noninterest expense | $ | 262 | | $ | 227 | | | 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 Firm's defined benefit pension and OPEB plans.
| | | | | | | | | | | |
| (in billions) | March 31,
2021 | | December 31, 2020 |
| Fair value of plan assets | | | |
| U.S. defined benefit pension plans | $ | 16.9 | | | $ | 17.6 | |
| Other defined benefit pension and OPEB plans | 7.6 | | | 7.8 | |
| | | | | | | | | | | |
| (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 plans | 7.9 | | | 7.8 | |
Note 8 – Employee share-based incentives
Refer to Note 9 of JPMorgan Chase’s 2020 Form 10-K for a discussion of the accounting policies and other information relating to employee share-based incentives.
The Firm recognized the following noncash compensation expense related to its various employee share-based incentive plans in its Consolidated statements of income.
| | | Three months ended
March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Cost of prior grants of RSUs, performance share units (“PSUs”) and stock options that are amortized over their applicable vesting periods | $ | 356 | | | $ | 334 | | | |
| Accrual of estimated costs of share-based awards to be granted in future periods predominantly those to full-career eligible employees | 548 | | | 310 | | | |
| Cost of prior grants of RSUs, performance share units (“PSUs”), stock appreciation rights ("SARs") and stock options that are amortized over their applicable vesting periods | | Cost 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 employees | | Accrual of estimated costs of share-based awards to be granted in future periods, predominantly those to full-career eligible employees | 335 | | | 272 | | | 1,346 | | | 1,108 | |
| Total noncash compensation expense related to employee share-based incentive plans | Total noncash compensation expense related to employee share-based incentive plans | $ | 904 | | | $ | 644 | | | Total noncash compensation expense related to employee share-based incentive plans | $ | 618 | | | $ | 521 | | | $ | 2,265 | | | $ | 1,967 | |
In the first quarter of 2021, in connection with its annual incentive grant for the 2020 performance year, the Firm granted 17 million RSUs and 678 thousand PSUs with weighted-average grant date fair values of $137.38 per RSU and $136.94 per PSU.
Note 9 – Investment securities
Investment securities consist of debt securities that are classified as AFS or HTM. Debt securities classified as trading assets are discussed in 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. At March 31,September 30, 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).
During 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 estimated fair values of the investment securities portfolio were as follows for the dates indicated.
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Amortized cost(e) | Gross unrealized gains | Gross unrealized losses | Fair value | | Amortized cost(e) | Gross unrealized gains | Gross unrealized losses | Fair value | (in millions) | Amortized cost(c)(d) | Gross unrealized gains | Gross unrealized losses | Fair value | | Amortized cost(c)(d) | Gross unrealized gains | Gross unrealized losses | Fair value |
| Available-for-sale securities | 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) | $ | 112,356 | | $ | 1,479 | | $ | 1,376 | | | $ | 112,459 | | | $ | 110,979 | | $ | 2,372 | | $ | 50 | | | $ | 113,301 | | U.S. GSEs and government agencies(a) | $ | 72,749 | | $ | 1,091 | | $ | 791 | | | $ | 73,049 | | | $ | 110,979 | | $ | 2,372 | | $ | 50 | | | $ | 113,301 | |
| Residential: | Residential: | | Residential: | |
| U.S. | U.S. | 5,788 | | 180 | | 5 | | | 5,963 | | | 6,246 | | 224 | | 3 | | | 6,467 | | U.S. | 2,265 | | 58 | | — | | | 2,323 | | | 6,246 | | 224 | | 3 | | | 6,467 | |
| Non-U.S. | Non-U.S. | 4,607 | | 31 | | 0 | | | 4,638 | | | 3,751 | | 20 | | 5 | | | 3,766 | | Non-U.S. | 4,014 | | 36 | | — | | | 4,050 | | | 3,751 | | 20 | | 5 | | | 3,766 | |
| Commercial | Commercial | 3,004 | | 52 | | 27 | | | 3,029 | | | 2,819 | | 71 | | 34 | | | 2,856 | | Commercial | 3,102 | | 41 | | 11 | | | 3,132 | | | 2,819 | | 71 | | 34 | | | 2,856 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 125,755 | | 1,742 | | 1,408 | | | 126,089 | | | 123,795 | | 2,687 | | 92 | | | 126,390 | | Total mortgage-backed securities | 82,130 | | 1,226 | | 802 | | | 82,554 | | | 123,795 | | 2,687 | | 92 | | | 126,390 | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | 195,423 | | 1,586 | | 2,225 | | | 194,784 | | | 199,910 | | 2,141 | | 100 | | | 201,951 | | U.S. Treasury and government agencies | 121,227 | | 730 | | 486 | | | 121,471 | | | 199,910 | | 2,141 | | 100 | | | 201,951 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 18,651 | | 1,276 | | 5 | | | 19,922 | | | 18,993 | | 1,404 | | 1 | | | 20,396 | | Obligations of U.S. states and municipalities | 16,471 | | 1,049 | | 5 | | | 17,515 | | | 18,993 | | 1,404 | | 1 | | | 20,396 | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | 20,745 | | 192 | | 64 | | | 20,873 | | | 22,587 | | 354 | | 13 | | | 22,928 | | Non-U.S. government debt securities | 15,738 | | 111 | | 24 | | | 15,825 | | | 22,587 | | 354 | | 13 | | | 22,928 | |
| Corporate debt securities | Corporate debt securities | 210 | | 4 | | 4 | | | 210 | | | 215 | | 4 | | 3 | | | 216 | | Corporate debt securities | 263 | | 6 | | 9 | | | 260 | | | 215 | | 4 | | 3 | | | 216 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 11,309 | | 25 | | 5 | | | 11,329 | | | 10,055 | | 24 | | 31 | | | 10,048 | | Collateralized loan obligations | 9,133 | | 8 | | 4 | | | 9,137 | | | 10,055 | | 24 | | 31 | | | 10,048 | |
| Other | Other | 6,663 | | 79 | | 7 | | | 6,735 | | | 6,174 | | 91 | | 16 | | | 6,249 | | Other | 4,771 | | 59 | | 2 | | | 4,828 | | | 6,174 | | 91 | | 16 | | | 6,249 | |
| Total available-for-sale securities(b) | Total available-for-sale securities(b) | 378,756 | | 4,904 | | 3,718 | | | 379,942 | | | 381,729 | | 6,705 | | 256 | | | 388,178 | | Total available-for-sale securities(b) | 249,733 | | 3,189 | | 1,332 | | | 251,590 | | | 381,729 | | 6,705 | | 256 | | | 388,178 | |
Held-to-maturity securities(c)(b) | Held-to-maturity securities(c)(b) | | Held-to-maturity securities(c)(b) | |
| Mortgage-backed securities: | Mortgage-backed securities: | | Mortgage-backed securities: | |
U.S. GSEs and government agencies(a) | U.S. GSEs and government agencies(a) | 97,626 | | 2,020 | | 630 | | | 99,016 | | | 107,889 | | 2,968 | | 29 | | | 110,828 | | U.S. GSEs and government agencies(a) | 101,086 | | 1,923 | | 412 | | | 102,597 | | | 107,889 | | 2,968 | | 29 | | | 110,828 | |
| U.S. Residential | U.S. Residential | 4,640 | | 3 | | 43 | | | 4,600 | | | 4,345 | | 8 | | 30 | | | 4,323 | | U.S. Residential | 7,021 | | 4 | | 43 | | | 6,982 | | | 4,345 | | 8 | | 30 | | | 4,323 | |
| Commercial | Commercial | 2,826 | | 19 | | 8 | | | 2,837 | | | 2,602 | | 77 | | 0 | | | 2,679 | | Commercial | 3,738 | | 20 | | 21 | | | 3,737 | | | 2,602 | | 77 | | — | | | 2,679 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 105,092 | | 2,042 | | 681 | | | 106,453 | | | 114,836 | | 3,053 | | 59 | | | 117,830 | | Total mortgage-backed securities | 111,845 | | 1,947 | | 476 | | | 113,316 | | | 114,836 | | 3,053 | | 59 | | | 117,830 | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | 76,107 | | 13 | | 1,575 | | | 74,545 | | | 53,184 | | 50 | | 0 | | | 53,234 | | U.S. Treasury and government agencies | 182,368 | | 133 | | 1,225 | | | 181,276 | | | 53,184 | | 50 | | — | | | 53,234 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 12,658 | | 389 | | 52 | | | 12,995 | | | 12,751 | | 519 | | 0 | | | 13,270 | | Obligations of U.S. states and municipalities | 13,465 | | 397 | | 9 | | | 13,853 | | | 12,751 | | 519 | | — | | | 13,270 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 23,595 | | 125 | | 3 | | | 23,717 | | | 21,050 | | 90 | | 2 | | | 21,138 | | Collateralized loan obligations | 33,664 | | 90 | | 9 | | | 33,745 | | | 21,050 | | 90 | | 2 | | | 21,138 | |
Total held-to-maturity securities, net of allowance for credit losses(d) | 217,452 | | 2,569 | | 2,311 | | | 217,710 | | | 201,821 | | 3,712 | | 61 | | | 205,472 | | |
Total investment securities, net of allowance for credit losses(d) | $ | 596,208 | | $ | 7,473 | | $ | 6,029 | | | $ | 597,652 | | | $ | 583,550 | | $ | 10,417 | | $ | 317 | | | $ | 593,650 | | |
| Other | | Other | 2,200 | | 4 | | 1 | | | 2,203 | | | — | | — | | — | | | — | |
| Total held-to-maturity securities | | Total held-to-maturity securities | 343,542 | | 2,571 | | 1,720 | | | 344,393 | | | 201,821 | | 3,712 | | 61 | | | 205,472 | |
| Total investment securities, net of allowance for credit losses | | 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 $61.0$44.1 billion and $65.8 billion, and HTM U.S. GSE obligations with amortized cost of $78.8$71.9 billion and $86.3 billion, at March 31,September 30, 2021 and December 31, 2020, respectively. As of March 31,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 $108.2$69.5 billion and $108.7$71.1 billion, and $31.9$46.3 billion and $32.3$46.3 billion, respectively.
(b)There was 0 allowance for credit losses on AFS securities at both March 31, 2021 and December 31, 2020.
(c)The Firm purchased $31.3$15.9 billion and $205 million$79.0 billion of HTM securities for the three and nine months ended March 31,September 30, 2021, respectively, and $514 million and $5.5 billion for the three and nine months ended September 30, 2020, respectively.
(d)(c)HTM securities measured atThe amortized cost areof investment securities is reported net of allowance for credit losses of $94$73 million and $78 million at March 31,September 30, 2021 and December 31, 2020, respectively.
(e)(d)Excludes $1.8 billion and $2.1 billion of accrued interest receivables at March 31,September 30, 2021 and December 31, 2020, respectively. The Firm did 0tnot reverse through interest income any accrued interest receivables for the three and nine months ended March 31,September 30, 2021 and 2020.
AFS securities impairment
The following tables present the fair value and gross unrealized losses by aging category for AFS securities at March 31,September 30, 2021 and December 31, 2020. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $3.6$1.3 billion and $150 million, at March 31,September 30, 2021 and December 31, 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 losses | | Available-for-sale securities with gross unrealized losses |
| | Less than 12 months | | 12 months or more | | | Less than 12 months | | 12 months or more | |
| March 31, 2021 (in millions) | Fair value | Gross
unrealized losses | | Fair value | Gross
unrealized losses | Total fair value | Total gross unrealized losses | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Fair value | Gross
unrealized losses | | Fair value | Gross
unrealized losses | Total fair value | Total gross unrealized losses |
| Available-for-sale securities | Available-for-sale securities | | Available-for-sale securities | |
| Mortgage-backed securities: | Mortgage-backed securities: | | Mortgage-backed securities: | |
| | Residential: | Residential: | | Residential: | |
U.S. | U.S. | $ | 801 | | $ | 5 | | | $ | 53 | | $ | 0 | | $ | 854 | | $ | 5 | | U.S. | $ | 72 | | $ | — | | | $ | 31 | | $ | — | | $ | 103 | | $ | — | |
| Non-U.S. | Non-U.S. | 769 | | 0 | | | 33 | | 0 | | 802 | | 0 | | Non-U.S. | 134 | | — | | | — | | — | | 134 | | — | |
| Commercial | Commercial | 501 | | 12 | | | 344 | | 15 | | 845 | | 27 | | Commercial | 250 | | 5 | | | 363 | | 6 | | 613 | | 11 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 2,071 | | 17 | | | 430 | | 15 | | 2,501 | | 32 | | Total mortgage-backed securities | 456 | | 5 | | | 394 | | 6 | | 850 | | 11 | |
| | Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 218 | | 5 | | | 0 | | 0 | | 218 | | 5 | | Obligations of U.S. states and municipalities | 271 | | 5 | | | — | | — | | 271 | | 5 | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | 6,620 | | 61 | | | 580 | | 3 | | 7,200 | | 64 | | Non-U.S. government debt securities | 5,031 | | 17 | | | 441 | | 7 | | 5,472 | | 24 | |
| Corporate debt securities | Corporate debt securities | 52 | | 3 | | | 42 | | 1 | | 94 | | 4 | | Corporate debt securities | 149 | | 9 | | | 40 | | — | | 189 | | 9 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 1,808 | | 4 | | | 2,254 | | 1 | | 4,062 | | 5 | | Collateralized loan obligations | 4,381 | | 4 | | | 270 | | — | | 4,651 | | 4 | |
| Other | Other | 325 | | 1 | | | 489 | | 6 | | 814 | | 7 | | Other | 1,500 | | — | | | 206 | | 2 | | 1,706 | | 2 | |
| Total available-for-sale securities with gross unrealized losses | Total available-for-sale securities with gross unrealized losses | $ | 11,094 | | $ | 91 | | | $ | 3,795 | | $ | 26 | | $ | 14,889 | | $ | 117 | | 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 losses | | Available-for-sale securities with gross unrealized losses |
| | Less than 12 months | | 12 months or more | | | Less than 12 months | | 12 months or more | |
| December 31, 2020 (in millions) | December 31, 2020 (in millions) | Fair value | Gross
unrealized losses | | Fair value | Gross
unrealized losses | Total fair value | Total gross unrealized losses | December 31, 2020 (in millions) | Fair value | Gross
unrealized losses | | Fair value | Gross
unrealized losses | Total fair value | Total gross unrealized losses |
| Available-for-sale securities | Available-for-sale securities | | Available-for-sale securities | |
| Mortgage-backed securities: | Mortgage-backed securities: | | Mortgage-backed securities: | |
| | Residential: | Residential: | | Residential: | |
| U.S. | U.S. | $ | 562 | | $ | 3 | | | $ | 32 | | $ | 0 | | $ | 594 | | $ | 3 | | U.S. | $ | 562 | | $ | 3 | | | $ | 32 | | $ | — | | $ | 594 | | $ | 3 | |
| Non-U.S. | Non-U.S. | 2,507 | | 4 | | | 235 | | 1 | | 2,742 | | 5 | | Non-U.S. | 2,507 | | 4 | | | 235 | | 1 | | 2,742 | | 5 | |
| Commercial | Commercial | 699 | | 18 | | | 124 | | 16 | | 823 | | 34 | | Commercial | 699 | | 18 | | | 124 | | 16 | | 823 | | 34 | |
| Total mortgage-backed securities | Total mortgage-backed securities | 3,768 | | 25 | | | 391 | | 17 | | 4,159 | | 42 | | Total mortgage-backed securities | 3,768 | | 25 | | | 391 | | 17 | | 4,159 | | 42 | |
| | Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 49 | | 1 | | | 0 | | 0 | | 49 | | 1 | | Obligations of U.S. states and municipalities | 49 | | 1 | | | — | | — | | 49 | | 1 | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | 2,709 | | 9 | | | 968 | | 4 | | 3,677 | | 13 | | Non-U.S. government debt securities | 2,709 | | 9 | | | 968 | | 4 | | 3,677 | | 13 | |
| Corporate debt securities | Corporate debt securities | 91 | | 3 | | | 5 | | 0 | | 96 | | 3 | | Corporate debt securities | 91 | | 3 | | | 5 | | — | | 96 | | 3 | |
| Asset-backed securities: | Asset-backed securities: | | Asset-backed securities: | |
| Collateralized loan obligations | Collateralized loan obligations | 5,248 | | 18 | | | 2,645 | | 13 | | 7,893 | | 31 | | Collateralized loan obligations | 5,248 | | 18 | | | 2,645 | | 13 | | 7,893 | | 31 | |
| Other | Other | 268 | | 1 | | | 685 | | 15 | | 953 | | 16 | | Other | 268 | | 1 | | | 685 | | 15 | | 953 | | 16 | |
| Total available-for-sale securities with gross unrealized losses | Total available-for-sale securities with gross unrealized losses | $ | 12,133 | | $ | 57 | | | $ | 4,694 | | $ | 49 | | $ | 16,827 | | $ | 106 | | Total available-for-sale securities with gross unrealized losses | $ | 12,133 | | $ | 57 | | | $ | 4,694 | | $ | 49 | | $ | 16,827 | | $ | 106 | |
Allowance for credit losses
Based on its assessment, the Firm did not recognize an allowance for credit losses on impaired AFS securities as of March 31, 2021 and 2020.
HTM securities – credit risk
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At March 31,both September 30, 2021 and December 31, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 97% and 98% rated at least AA+, respectively..
Allowance for credit losses
The allowance for credit losses on HTMinvestment securities was $94$73 million and $19$120 million as of March 31,September 30, 2021 and 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 March 31, | | | Three months ended September 30, | | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | 2020 | | (in millions) | 2021 | 2020 | | | 2021 | 2020 |
| Realized gains | Realized gains | $ | 237 | | $ | 1,095 | | | Realized gains | $ | 60 | | $ | 1,123 | | | | $ | 481 | | $ | 2,842 | |
| Realized losses | Realized losses | (223) | | (862) | | | Realized losses | (316) | | (650) | | | | (878) | | (2,110) | |
| | Net investment securities gains | $ | 14 | | $ | 233 | | | |
| Investment securities gains/(losses) | | Investment securities gains/(losses) | $ | (256) | | $ | 473 | | | | $ | (397) | | $ | 732 | |
| | Provision for credit losses | Provision for credit losses | $ | 16 | | $ | 9 | | | Provision for credit losses | $ | (14) | | $ | 97 | | | | $ | (5) | | $ | 110 | |
Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at March 31,September 30, 2021, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
| | By remaining maturity March 31, 2021 (in millions) | Due in one
year or less | Due after one year through five years | Due after five years through 10 years | Due after 10 years(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 years | Due after five years through 10 years | Due after 10 years(b) | | Total | |
| Available-for-sale securities | Available-for-sale securities | | | Available-for-sale securities | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| Amortized cost | Amortized cost | $ | 0 | | $ | 2,226 | | $ | 5,998 | | $ | 117,531 | | | $ | 125,755 | | | Amortized cost | $ | — | | $ | 2,882 | | $ | 5,326 | | $ | 73,925 | | | $ | 82,133 | | |
| Fair value | Fair value | 0 | | 2,251 | | 6,283 | | 117,555 | | | 126,089 | | | Fair value | — | | 2,916 | | 5,650 | | 73,988 | | | 82,554 | | |
Average yield(a) | Average yield(a) | 0 | % | 1.40 | % | 1.79 | % | 2.50 | % | | 2.44 | % | | Average yield(a) | — | % | 1.47 | % | 1.79 | % | 2.33 | % | | 2.26 | % | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | | | U.S. Treasury and government agencies | | |
| Amortized cost | Amortized cost | $ | 4,058 | | $ | 129,668 | | $ | 53,799 | | $ | 7,898 | | | $ | 195,423 | | | Amortized cost | $ | 5,111 | | $ | 88,001 | | $ | 19,610 | | $ | 8,505 | | | $ | 121,227 | | |
| Fair value | Fair value | 4,088 | | 129,830 | | 52,724 | | 8,142 | | | 194,784 | | | Fair value | 5,150 | | 88,082 | | 19,581 | | 8,658 | | | 121,471 | | |
Average yield(a) | Average yield(a) | 0.95 | % | 0.52 | % | 0.95 | % | 0.54 | % | | 0.65 | % | | Average yield(a) | 1.28 | % | 0.53 | % | 0.68 | % | 0.50 | % | | 0.58 | % | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | | | Obligations of U.S. states and municipalities | | |
| Amortized cost | Amortized cost | $ | 33 | | $ | 207 | | $ | 1,152 | | $ | 17,259 | | | $ | 18,651 | | | Amortized cost | $ | 15 | | $ | 167 | | $ | 1,216 | | $ | 15,073 | | | $ | 16,471 | | |
| Fair value | Fair value | 33 | | 214 | | 1,219 | | 18,456 | | | 19,922 | | | Fair value | 16 | | 172 | | 1,277 | | 16,050 | | | 17,515 | | |
Average yield(a) | Average yield(a) | 4.16 | % | 4.74 | % | 4.96 | % | 4.96 | % | | 4.96 | % | | Average yield(a) | 3.91 | % | 4.37 | % | 4.88 | % | 5.01 | % | | 4.99 | % | |
| | Non-U.S. government debt securities | Non-U.S. government debt securities | | | Non-U.S. government debt securities | | |
| Amortized cost | Amortized cost | $ | 7,029 | | $ | 5,581 | | $ | 4,511 | | $ | 3,624 | | | $ | 20,745 | | | Amortized cost | $ | 6,750 | | $ | 4,980 | | $ | 3,811 | | $ | 197 | | | $ | 15,738 | | |
| Fair value | Fair value | 7,038 | | 5,698 | | 4,530 | | 3,607 | | | 20,873 | | | Fair value | 6,762 | | 5,050 | | 3,816 | | 197 | | | 15,825 | | |
Average yield(a) | Average yield(a) | 1.19 | % | 2.05 | % | 0.78 | % | 0.52 | % | | 1.21 | % | | Average yield(a) | 2.02 | % | 2.54 | % | 0.84 | % | 0.38 | % | | 1.88 | % | |
| Corporate debt securities | Corporate debt securities | | | Corporate debt securities | | |
| Amortized cost | Amortized cost | $ | 0 | | $ | 139 | | $ | 71 | | $ | 0 | | | $ | 210 | | | Amortized cost | $ | — | | $ | 233 | | $ | 30 | | $ | — | | | $ | 263 | | |
| Fair value | Fair value | 0 | | 136 | | 74 | | 0 | | | 210 | | | Fair value | — | | 228 | | 32 | | — | | | 260 | | |
Average yield(a) | Average yield(a) | 0 | % | 1.18 | % | 1.89 | % | 0 | % | | 1.42 | % | | Average yield(a) | — | % | 7.74 | % | 1.63 | % | — | % | | 7.01 | % | |
| Asset-backed securities | Asset-backed securities | | | Asset-backed securities | | |
| Amortized cost | Amortized cost | $ | 1,544 | | $ | 1,995 | | $ | 6,812 | | $ | 7,621 | | | $ | 17,972 | | | Amortized cost | $ | 1,500 | | $ | 1,076 | | $ | 3,800 | | $ | 7,528 | | | $ | 13,904 | | |
| Fair value | Fair value | 1,545 | | 2,011 | | 6,831 | | 7,677 | | | 18,064 | | | Fair value | 1,500 | | 1,081 | | 3,807 | | 7,577 | | | 13,965 | | |
Average yield(a) | Average yield(a) | 1.28 | % | 1.94 | % | 1.30 | % | 1.42 | % | | 1.42 | % | | Average yield(a) | 1.19 | % | 1.93 | % | 1.27 | % | 1.26 | % | | 1.31 | % | |
| Total available-for-sale securities | Total available-for-sale securities | | | Total available-for-sale securities | | |
| Amortized cost | Amortized cost | $ | 12,664 | | $ | 139,816 | | $ | 72,343 | | $ | 153,933 | | | $ | 378,756 | | | Amortized cost | $ | 13,376 | | $ | 97,339 | | $ | 33,793 | | $ | 105,228 | | | $ | 249,736 | | |
| Fair value | Fair value | 12,704 | | 140,140 | | 71,661 | | 155,437 | | | 379,942 | | | Fair value | 13,428 | | 97,529 | | 34,163 | | 106,470 | | | 251,590 | | |
Average yield(a) | Average yield(a) | 1.13 | % | 0.62 | % | 1.11 | % | 2.57 | % | | 1.52 | % | | Average yield(a) | 1.65 | % | 0.70 | % | 1.09 | % | 2.48 | % | | 1.56 | % | |
| Held-to-maturity securities | Held-to-maturity securities | | | Held-to-maturity securities | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| Amortized cost | Amortized cost | $ | 0 | | $ | 423 | | $ | 11,858 | | $ | 92,851 | | | $ | 105,132 | | | Amortized cost | $ | — | | $ | 1,029 | | $ | 11,737 | | $ | 99,091 | | | $ | 111,857 | | |
| Fair value | Fair value | 0 | | 423 | | 12,214 | | 93,816 | | | 106,453 | | | Fair value | — | | 1,050 | | 12,197 | | 100,069 | | | 113,316 | | |
Average yield(a) | Average yield(a) | 0 | % | 1.12 | % | 2.36 | % | 2.93 | % | | 2.86 | % | | Average yield(a) | — | % | 1.68 | % | 2.42 | % | 2.90 | % | | 2.84 | % | |
| U.S. Treasury and government agencies | U.S. Treasury and government agencies | | | U.S. Treasury and government agencies | | |
| Amortized cost | Amortized cost | $ | 1,318 | | $ | 42,176 | | $ | 32,613 | | $ | 0 | | | $ | 76,107 | | | Amortized cost | $ | 14,376 | | $ | 97,814 | | $ | 70,178 | | $ | — | | | $ | 182,368 | | |
| Fair value | Fair value | 1,319 | | 42,161 | | 31,065 | | 0 | | | 74,545 | | | Fair value | 14,383 | | 97,545 | | 69,348 | | — | | | 181,276 | | |
Average yield(a) | Average yield(a) | 0.17 | % | 0.66 | % | 1.18 | % | 0 | % | | 0.88 | % | | Average yield(a) | 0.65 | % | 0.66 | % | 1.29 | % | — | % | | 0.90 | % | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | | | Obligations of U.S. states and municipalities | | |
| Amortized cost | Amortized cost | $ | 0 | | $ | 65 | | $ | 688 | | $ | 11,959 | | | $ | 12,712 | | | Amortized cost | $ | 35 | | $ | 66 | | $ | 1,059 | | $ | 12,363 | | | $ | 13,523 | | |
| Fair value | Fair value | 0 | | 66 | | 724 | | 12,205 | | | 12,995 | | | Fair value | 35 | | 66 | | 1,105 | | 12,647 | | | 13,853 | | |
Average yield(a) | Average yield(a) | 0 | % | 3.23 | % | 3.76 | % | 3.77 | % | | 3.77 | % | | Average yield(a) | 3.78 | % | 2.67 | % | 3.67 | % | 3.84 | % | | 3.82 | % | |
| Asset-backed securities | Asset-backed securities | | | Asset-backed securities | | |
| Amortized cost | Amortized cost | $ | 0 | | $ | 0 | | $ | 11,137 | | $ | 12,458 | | | $ | 23,595 | | | Amortized cost | $ | — | | $ | — | | $ | 13,535 | | $ | 22,329 | | | $ | 35,864 | | |
| Fair value | Fair value | 0 | | 0 | | 11,192 | | 12,525 | | | 23,717 | | | Fair value | — | | — | | 13,592 | | 22,356 | | | 35,948 | | |
Average yield(a) | Average yield(a) | 0 | % | 0 | % | 1.34 | % | 1.33 | % | | 1.33 | % | | Average yield(a) | — | % | — | % | 1.19 | % | 1.25 | % | | 1.23 | % | |
| Total held-to-maturity securities | Total held-to-maturity securities | | | Total held-to-maturity securities | | |
| Amortized cost | Amortized cost | $ | 1,318 | | $ | 42,664 | | $ | 56,296 | | $ | 117,268 | | | $ | 217,546 | | | Amortized cost | $ | 14,411 | | $ | 98,909 | | $ | 96,509 | | $ | 133,783 | | | $ | 343,612 | | |
| Fair value | Fair value | 1,319 | | 42,650 | | 55,195 | | 118,546 | | | 217,710 | | | Fair value | 14,418 | | 98,661 | | 96,242 | | 135,072 | | | 344,393 | | |
Average yield(a) | Average yield(a) | 0.17 | % | 0.67 | % | 1.49 | % | 2.84 | % | | 2.05 | % | | 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 6 years for agency residential MBS, 4 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.
Note 10 – Securities financing activities
Refer to Note 11 of JPMorgan Chase’s 2020 Form 10-K for a discussion of accounting policies relating to securities financing activities. Refer to Note 3 for further information regarding securities borrowed and securities lending agreements for which the fair value option has been elected. Refer to Note 23 for further information regarding assets pledged and collateral received in securities financing agreements.
The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of March 31,September 30, 2021 and December 31, 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.
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| March 31, 2021 |
| (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets | Amounts not nettable on the Consolidated balance sheets(b) | Net amounts(c) |
| Assets | | | | | | |
| Securities purchased under resale agreements | $ | 555,370 | | $ | (282,889) | | $ | 272,481 | | $ | (254,495) | | | $ | 17,986 | |
| Securities borrowed | 182,414 | | (2,898) | | 179,516 | | (130,939) | | | 48,577 | |
| Liabilities | | | | | | |
| Securities sold under repurchase agreements | $ | 575,969 | | $ | (282,889) | | $ | 293,080 | | $ | (263,698) | | | $ | 29,382 | |
Securities loaned and other(a) | 54,058 | | (2,898) | | 51,160 | | (49,574) | | | 1,586 | |
| | | | | | | | | | | | | | | | | | | | |
| December 31, 2020 |
| (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets | Amounts not nettable on the Consolidated balance sheets(b) | Net amounts(c) |
| Assets | | | | | | |
| Securities purchased under resale agreements | $ | 666,467 | | $ | (370,183) | | $ | 296,284 | | $ | (273,206) | | | $ | 23,078 | |
| Securities borrowed | 193,700 | | (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 $42.8 billion and $3.4 billion at March 31, 2021 and December 31, 2020, 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.
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| September 30, 2021 |
| (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets | Amounts not nettable on the Consolidated balance sheets(b) | Net amounts(c) |
| Assets | | | | | | |
| Securities purchased under resale agreements | $ | 569,373 | | $ | (287,212) | | $ | 282,161 | | $ | (269,113) | | | $ | 13,048 | |
| Securities borrowed | 243,904 | | (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 | |
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| December 31, 2020 |
| (in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets | Amounts not nettable on the Consolidated balance sheets(b) | Net amounts(c) |
| Assets | | | | | | |
| Securities purchased under resale agreements | $ | 666,467 | | $ | (370,183) | | $ | 296,284 | | $ | (273,206) | | | $ | 23,078 | |
| Securities borrowed | 193,700 | | (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 March 31,September 30, 2021 and December 31, 2020, included $12.8$10.6 billion and $17.0 billion, respectively, of securities purchased under resale agreements; $45.5$49.0 billion and $42.1 billion, respectively, of securities borrowed; $27.4$22.6 billion and $14.5 billion, respectively, of securities sold under repurchase agreements; and $136$203 million and $8 million, respectively, of securities loaned and other.
The tables below present as of March 31,September 30, 2021, and December 31, 2020 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements.
| | | Gross liability balance | | Gross liability balance |
| | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 31, 2020 |
| (in millions) | (in millions) | Securities sold under repurchase agreements | | Securities loaned and other | | Securities sold under repurchase agreements | | Securities loaned and other | (in millions) | Securities sold under repurchase agreements | | Securities loaned and other | | Securities sold under repurchase agreements | | Securities loaned and other |
| Mortgage-backed securities | Mortgage-backed securities | | Mortgage-backed securities | |
| U.S. GSEs and government agencies | U.S. GSEs and government agencies | $ | 76,335 | | | $ | 0 | | | $ | 56,744 | | | $ | 0 | | U.S. GSEs and government agencies | $ | 21,919 | | | $ | — | | | $ | 56,744 | | | $ | — | |
| Residential - nonagency | Residential - nonagency | 522 | | | 0 | | | 1,016 | | | 0 | | Residential - nonagency | 722 | | | — | | | 1,016 | | | — | |
| Commercial - nonagency | Commercial - nonagency | 775 | | | 0 | | | 855 | | | 0 | | Commercial - nonagency | 1,065 | | | — | | | 855 | | | — | |
| U.S. Treasury, GSEs and government agencies | U.S. Treasury, GSEs and government agencies | 274,254 | | | 184 | | | 315,834 | | | 143 | | U.S. Treasury, GSEs and government agencies | 280,004 | | | 230 | | | 315,834 | | | 143 | |
| Obligations of U.S. states and municipalities | Obligations of U.S. states and municipalities | 1,626 | | | 0 | | | 1,525 | | | 2 | | Obligations of U.S. states and municipalities | 1,726 | | | 8 | | | 1,525 | | | 2 | |
| Non-U.S. government debt | Non-U.S. government debt | 163,200 | | | 2,472 | | | 157,563 | | | 1,730 | | Non-U.S. government debt | 155,164 | | | 2,021 | | | 157,563 | | | 1,730 | |
| Corporate debt securities | Corporate debt securities | 28,522 | | | 2,563 | | | 22,849 | | | 1,864 | | Corporate debt securities | 35,682 | | | 1,325 | | | 22,849 | | | 1,864 | |
| Asset-backed securities | Asset-backed securities | 682 | | | 845 | | | 694 | | | 0 | | Asset-backed securities | 703 | | | — | | | 694 | | | — | |
| Equity securities | Equity securities | 30,053 | | | 47,994 | | | 20,980 | | | 37,627 | | Equity securities | 36,405 | | | 49,151 | | | 20,980 | | | 37,627 | |
| Total | Total | $ | 575,969 | | | $ | 54,058 | | | $ | 578,060 | | | $ | 41,366 | | Total | $ | 533,390 | | | $ | 52,735 | | | $ | 578,060 | | | $ | 41,366 | |
| | | Remaining contractual maturity of the agreements | | Remaining contractual maturity of the agreements |
| | Overnight and continuous | | Greater than
90 days | | | Overnight and continuous | | Greater than
90 days | |
| March 31, 2021 (in millions) | | Up to 30 days | | 30 – 90 days | | Total | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Overnight and continuous | | Up to 30 days | | 30 – 90 days | | Greater than
90 days | | Total |
| Total securities sold under repurchase agreements | Total securities sold under repurchase agreements | $ | 228,510 | | | $ | 252,875 | | | $ | 46,361 | | | $ | 48,223 | | | $ | 575,969 | | Total securities sold under repurchase agreements | | $ | 201,325 | | | $ | 40,302 | | | $ | 533,390 | |
| Total securities loaned and other | Total securities loaned and other | 52,440 | | | 395 | | | 799 | | | 424 | | | 54,058 | | Total securities loaned and other | 51,764 | | | 76 | | | — | | | 895 | | | 52,735 | |
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| Remaining contractual maturity of the agreements |
| Overnight and continuous | | | | | | Greater than
90 days | | |
| December 31, 2020 (in millions) | | Up to 30 days | | 30 – 90 days | | | Total |
| Total securities sold under repurchase agreements | $ | 238,667 | | | $ | 230,980 | | | $ | 70,777 | | | $ | 37,636 | | | $ | 578,060 | |
| Total securities loaned and other | 37,887 | | | 1,647 | | | 500 | | | 1,332 | | | 41,366 | |
Transfers not qualifying for sale accounting
At March 31,September 30, 2021, and December 31, 2020, the Firm held $603$484 million and $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.
Note 11 – 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
Refer to Note 12 of JPMorgan Chase's 2020 Form 10-K for a detailed discussion of loans, including accounting policies. Refer to Note 3 of this Form 10-Q for further information on the Firm's elections of fair value accounting under the fair value option. Refer to Note 2 of this Form 10-Q for information on loans carried at fair value and classified as trading assets.
Loan portfolio
The Firm’s loan portfolio is divided into 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.
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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 held in CCB 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.
| | March 31, 2021 | Consumer, excluding credit card | | Credit card | | Wholesale | | Total(a)(b) | | |
| September 30, 2021 | | September 30, 2021 | Consumer, excluding credit card | | Credit card | | Wholesale | | Total(a)(b) | |
| (in millions) | (in millions) | Consumer, excluding credit card | | Credit card | | Wholesale | | Total(a)(b) | | (in millions) | |
| Retained | Retained | | Retained | $ | 298,308 | | | $ | 143,166 | | | $ | 532,786 | | | $ | 974,260 | | |
| Held-for-sale | Held-for-sale | 1,232 | | | 721 | | | 9,945 | | | 11,898 | | | Held-for-sale | 1,407 | | | — | | | 8,320 | | | 9,727 | | |
| At fair value | At fair value | 21,284 | | | 0 | | | 29,483 | | | 50,767 | | | At fair value | 28,449 | | | — | | | 32,179 | | | 60,628 | | |
| Total | Total | $ | 324,908 | | | $ | 132,493 | | | $ | 553,906 | | | $ | 1,011,307 | | | Total | $ | 328,164 | | | $ | 143,166 | | | $ | 573,285 | | | $ | 1,044,615 | | |
| | December 31, 2020 | December 31, 2020 | Consumer, excluding credit card | | Credit card | | Wholesale | | Total(a)(b) | | December 31, 2020 | Consumer, excluding credit card | | Credit card | | Wholesale | | Total(a)(b) | |
| (in millions) | (in millions) | | (in millions) | |
| Retained | Retained | $ | 302,127 | | | $ | 143,432 | | | $ | 514,947 | | | $ | 960,506 | | | Retained | $ | 302,127 | | | $ | 143,432 | | | $ | 514,947 | | | $ | 960,506 | | |
| Held-for-sale | Held-for-sale | 1,305 | | | 784 | | | 5,784 | | | 7,873 | | | Held-for-sale | 1,305 | | | 784 | | | 5,784 | | | 7,873 | | |
| At fair value | At fair value | 15,147 | | | 0 | | | 29,327 | | | 44,474 | | | At fair value | 15,147 | | | — | | | 29,327 | | | 44,474 | | |
| Total | Total | $ | 318,579 | | | $ | 144,216 | | | $ | 550,058 | | | $ | 1,012,853 | | | Total | $ | 318,579 | | | $ | 144,216 | | | $ | 550,058 | | | $ | 1,012,853 | | |
(a)Excludes $2.7 billion and $2.9 billion of accrued interest receivables at both March 31,September 30, 2021, and December 31, 2020.2020, respectively. The Firm wrote off accrued interest receivables of $13$10 million and $14$34 million for the three months ended March 31,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 March 31,September 30, 2021, and December 31, 2020.
The following table providestables 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.
| | | 2021 | | 2020 | | 2021 | | 2020 |
Three months ended March 31,
(in millions) | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total | |
Three months ended September 30,
(in millions) | | Three months ended September 30,
(in millions) | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total |
| Purchases | Purchases | $ | 191 | | (b)(c) | $ | 0 | | $ | 226 | | $ | 417 | | | $ | 1,172 | | (b)(c) | $ | 0 | | $ | 386 | | $ | 1,558 | | Purchases | $ | 101 | | (b)(c) | $ | — | | $ | 245 | | $ | 346 | | | $ | 1,780 | | (b)(c) | $ | — | | $ | 309 | | $ | 2,089 | |
| Sales | Sales | 181 | | | 0 | | 5,730 | | 5,911 | | | 324 | | | 0 | | 5,452 | | 5,776 | | Sales | — | | | — | | 7,826 | | 7,826 | | | — | | | — | | 4,578 | | 4,578 | |
Retained loans reclassified to held-for-sale(a) | Retained loans reclassified to held-for-sale(a) | 162 | | | 0 | | 772 | | 934 | | | 148 | |
| 0 | | 469 | | 617 | | Retained loans reclassified to held-for-sale(a) | 522 | | | — | | 397 | | 919 | | | 995 | |
| 787 | | 403 | | 2,185 | |
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| 2021 | | 2020 |
Nine months ended September 30,
(in millions) | Consumer, excluding
credit card | Credit card | Wholesale | Total | | Consumer, excluding
credit card | Credit card | Wholesale | Total |
| Purchases | $ | 403 | | (b)(c) | $ | — | | $ | 772 | | $ | 1,175 | | | $ | 3,180 | | (b)(c) | $ | — | | $ | 937 | | $ | 4,117 | |
| Sales | 181 | | | — | | 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 | |
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(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 March 31,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 $7.0$7.3 billion and $3.6$3.1 billion for the three months ended March 31,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.
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 for the three and nine months ended March 31,September 30, 2021 was $132$31 million and $225 million, respectively, of which $135$30 million and $211 million, respectively, related to loans. Net lossesgains/(losses) on sales of loans and lending-related commitments for the three and nine months ended March 31,September 30, 2020 was $(913)$113 million and $(75) million, respectively, of which $(142)$24 million and $(76) million, respectively, related to loans. In addition, the sale of loans may also result in write downs, recoveries or changes in the allowance recognized in the provision for credit losses.
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 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 by 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.
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) | March 31,
2021 | December 31,
2020 | (in millions) | September 30,
2021 | December 31,
2020 |
| Residential real estate | Residential real estate | $ | 219,173 | | $ | 225,302 | | Residential real estate | $ | 221,671 | | $ | 225,302 | |
Auto and other(a) | Auto and other(a) | 83,219 | | 76,825 | | Auto and other(a) | 76,637 | | 76,825 | |
| Total retained loans | Total retained loans | $ | 302,392 | | $ | 302,127 | | Total retained loans | $ | 298,308 | | $ | 302,127 | |
(a)At March 31,September 30, 2021 and December 31, 2020, included $23.4$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. Refer to Note 12 of JPMorgan Chase's 2020 Form 10-K for further information on consumer credit quality indicators.
Residential real estate
The following tables 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) | March 31, 2021 | (in millions, except ratios) | September 30, 2021 |
Term loans by origination year(d) | | Revolving loans | | Total | Term loans by origination year(d) | | Revolving loans | | Total |
| 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | |
Loan delinquency(a)(b) | Loan delinquency(a)(b) | | Loan delinquency(a)(b) | |
| Current | Current | $ | 13,779 | $ | 57,109 | $ | 27,264 | $ | 11,868 | $ | 17,387 | $ | 68,061 | | $ | 6,165 | $ | 15,542 | | $ | 217,175 | Current | $ | 50,900 | $ | 51,577 | $ | 21,058 | $ | 8,958 | $ | 13,231 | $ | 54,691 | | $ | 6,707 | $ | 12,595 | | $ | 219,717 |
| 30–149 days past due | 30–149 days past due | 0 | 5 | 11 | 15 | 12 | 595 | | 17 | 193 | | 848 | 30–149 days past due | 11 | 13 | 17 | 10 | 479 | | 16 | 172 | | 735 |
| 150 or more days past due | 150 or more days past due | 0 | 2 | 4 | 8 | 20 | 838 | | 16 | 262 | | 1,150 | 150 or more days past due | — | 7 | 5 | 13 | 927 | | 5 | 262 | | 1,219 |
| Total retained loans | Total retained loans | $ | 13,779 | $ | 57,116 | $ | 27,279 | $ | 11,891 | $ | 17,419 | $ | 69,494 | | $ | 6,198 | $ | 15,997 | | $ | 219,173 | 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 | % | 0.01 | % | 0.05 | % | 0.19 | % | 0.18 | % | 2.01 | % | | 0.53 | % | 2.84 | % | | 0.90 | % | % 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) | (in millions, except ratios) | December 31, 2020 | (in millions, except ratios) | December 31, 2020 |
Term loans by origination year(d) | | Revolving loans | | Total | Term loans by origination year(d) | | Revolving loans | | | Total |
| 2020 | | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | 2020 | | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | | Converted to term loans | | |
Loan delinquency(a)(b) | Loan delinquency(a)(b) | | | | Loan delinquency(a)(b) | | | | | |
| Current | Current | $ | 56,576 | (e) | $ | 31,820 | $ | 13,900 | $ | 20,410 | $ | 27,978 | $ | 49,218 | (e) | | $ | 7,370 | $ | 15,792 | | $ | 223,064 | 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 due | 30–149 days past due | 9 | | 25 | 20 | 22 | 29 | 674 | | 21 | 245 | | 1,045 | 30–149 days past due | 9 | | 25 | 20 | 22 | 29 | 674 | | 21 | | 245 | | | 1,045 |
| 150 or more days past due | 150 or more days past due | 3 | | 14 | 10 | 18 | 844 | | 22 | 264 | | 1,193 | 150 or more days past due | 3 | | 14 | 10 | 18 | 844 | | 22 | | 264 | | | 1,193 |
| Total retained loans | Total retained loans | $ | 56,588 | | $ | 31,859 | $ | 13,930 | $ | 20,450 | $ | 28,025 | $ | 50,736 | | $ | 7,413 | $ | 16,301 | | $ | 225,302 | 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) | % of 30+ days past due to total retained loans(c) | 0.02 | % | | 0.12 | % | 0.22 | % | 0.20 | % | 0.17 | % | 2.91 | % | (e) | | 0.58 | % | 3.12 | % | | 0.98 | % | % 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 $40$41 million and $36 million; 30–149 days past due included $13$11 million and $16 million; and 150 or more days past due included $23$20 million and $24 million at March 31,September 30, 2021 and December 31, 2020, respectively.
(b)At March 31,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 March 31,September 30, 2021 and December 31, 2020, residential real estate loans excluded mortgage loans insured by U.S. government agencies of $36$31 million and $40 million, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(d)IncludesPurchased loans purchased based onare included in the year in which they were originated.
(e)Prior-period amounts have been revised to conform with the current presentation.
Approximately 35%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.
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) | March 31, 2021 | December 31, 2020 | | (in millions, except weighted-average data) | September 30, 2021 | December 31, 2020 | |
Nonaccrual loans(a)(b)(c)(d) | Nonaccrual loans(a)(b)(c)(d) | $ | 5,247 | | $ | 5,313 | | | Nonaccrual loans(a)(b)(c)(d) | $ | 4,794 | | $ | 5,313 | | |
90 or more days past due and government guaranteed(e) | 90 or more days past due and government guaranteed(e) | 30 | | 33 | | | 90 or more days past due and government guaranteed(e) | 25 | | 33 | | |
| Current estimated LTV ratios(g)(h) | Current estimated LTV ratios(g)(h) | | Current estimated LTV ratios(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 660 | Equal to or greater than 660 | $ | 19 | | $ | 10 | | | Equal to or greater than 660 | $ | 12 | | $ | 6 | | |
| Less than 660 | Less than 660 | 14 | | 18 | | | Less than 660 | 3 | | 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 660 | Equal to or greater than 660 | 105 | | 72 | | | Equal to or greater than 660 | 31 | | 38 | | |
| Less than 660 | Less than 660 | 46 | | 65 | | | Less than 660 | 20 | | 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 660 | Equal to or greater than 660 | 1,482 | | 2,365 | | | Equal to or greater than 660 | 2,146 | | 2,177 | | |
| Less than 660 | Less than 660 | 286 | | 435 | | | Less than 660 | 103 | | 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 660 | Equal to or greater than 660 | 204,165 | | 208,457 | | | Equal to or greater than 660 | 205,919 | | 208,238 | | |
| Less than 660 | Less than 660 | 11,267 | | 12,072 | | | Less than 660 | 10,054 | | 11,980 | | |
| No FICO/LTV available | No FICO/LTV available | 1,713 | | 1,732 | | | No FICO/LTV available | 3,311 | | 2,492 | | |
| U.S. government-guaranteed | U.S. government-guaranteed | 76 | | 76 | | | U.S. government-guaranteed | 72 | | 76 | | |
| Total retained loans | Total retained loans | $ | 219,173 | | $ | 225,302 | | | Total retained loans | $ | 221,671 | | $ | 225,302 | | |
| Weighted average LTV ratio(h)(i) | Weighted average LTV ratio(h)(i) | 53 | % | 54 | % | | Weighted average LTV ratio(h)(i) | 51 | % | 54 | % | |
Weighted average FICO(h)(i) | Weighted average FICO(h)(i) | 764 | | 763 | | | Weighted average FICO(h)(i) | 764 | | 763 | | |
| Geographic region(i)(j) | Geographic region(i)(j) | | Geographic region(i)(j) | | |
| California | California | $ | 70,787 | | $ | 73,444 | | | California | $ | 70,719 | | $ | 73,444 | | |
| New York | New York | 32,042 | | 32,287 | | | New York | 32,221 | | 32,287 | | |
| Florida | Florida | 14,086 | | 13,981 | | | Florida | 15,439 | | 13,981 | | |
| Texas | Texas | 13,320 | | 13,773 | | | Texas | 13,645 | | 13,773 | | |
| Illinois | Illinois | 12,350 | | 13,130 | | | Illinois | 11,860 | | 13,130 | | |
| Colorado | Colorado | 8,085 | | 8,235 | | | Colorado | 8,496 | | 8,235 | | |
| Washington | Washington | 7,687 | | 7,917 | | | Washington | 8,071 | | 7,917 | | |
| New Jersey | New Jersey | 6,934 | | 7,227 | | | New Jersey | 6,884 | | 7,227 | | |
| Massachusetts | Massachusetts | 5,715 | | 5,784 | | | Massachusetts | 6,009 | | 5,784 | | |
| Connecticut | Connecticut | 5,012 | | 5,024 | | | Connecticut | 5,188 | | 5,024 | | |
All other(j)(k) | All other(j)(k) | 43,155 | | 44,500 | | | All other(j)(k) | 43,139 | | 44,500 | | |
| Total retained loans | Total retained loans | $ | 219,173 | | $ | 225,302 | | | 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 March 31,September 30, 2021, approximately 7% of Chapter 7 residential real estate loans were 30 days or more past due.
(b)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral has subsequently improved, the related allowance may be negative.
(c)Interest income on nonaccrual loans recognized on a cash basis was $45$41 million and $43$39 million and $127 million and $119 million for the three and nine months ended March 31,September 30, 2021 and 2020, respectively.
(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 arewere 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.
(e)These balances are excluded from nonaccrual loans as the loans are guaranteed by U.S government agencies. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At March 31,September 30, 2021 and December 31, 2020, these balances were no longer accruing interest based on the agreed-upon servicing guidelines. 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 March 31,September 30, 2021 and December 31, 2020.
(f)Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.
(g)Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.
(h)Prior-period amounts have been revised to conform with the current presentation.
(i)Excludes loans with no FICO and/or LTV data available.
(i)(j)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at March 31,September 30, 2021.
(j)(k)At both March 31,September 30, 2021 and December 31, 2020, included mortgage loans insured by U.S. government agencies of $72 million and $76 million.million, respectively. These amounts have been excluded from the geographic regions presented based upon the government guarantee.
Loan modifications
Modifications of residential real estate loans where the Firm grants concessions to borrowers who are experiencing financial difficulty are generally accounted for and reported as TDRs. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs 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 $251$116 million and $142$199 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $674 million and $537 million for the nine months ended September 30, 2021 and 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, 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.
| | | Three months ended March 31, | | | Three months ended September 30, | Nine months ended September 30, |
| 2021 | 2020 | | | 2021 | 2020 | 2021 | 2020 |
| Number of loans approved for a trial modification | Number of loans approved for a trial modification | 1,401 | | 1,996 | | | 1,448 | | 1,623 | | 4,014 | | 4,468 | |
| Number of loans permanently modified | Number of loans permanently modified | 1,714 | | 1,481 | | | Number of loans permanently modified | 917 | | 1,615 | | 3,817 | | 5,200 | |
Concession granted:(a) | Concession granted:(a) | | | Concession granted:(a) | |
| Interest rate reduction | Interest rate reduction | 72 | % | 79 | % | | Interest rate reduction | 75 | % | 40 | % | 74 | % | 51 | % |
| Term or payment extension | Term or payment extension | 40 | | 81 | | | Term or payment extension | 64 | | 39 | | 49 | | 53 | |
| Principal and/or interest deferred | Principal and/or interest deferred | 31 | | 11 | | | Principal and/or interest deferred | 19 | | 21 | | 24 | | 12 | |
| Principal forgiveness | Principal forgiveness | 4 | | 4 | | | Principal forgiveness | 1 | | 1 | | 2 | | 2 | |
Other(b) | Other(b) | 51 | | 55 | | | 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.
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, 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 March 31, | | (in millions, except weighted-average data) | Three months ended September 30, | Nine months ended September 30, |
| 2021 | 2020 | | (in millions, except weighted-average data) | 2021 | 2020 | 2021 | 2020 |
| Weighted-average interest rate of loans with interest rate reductions – before TDR | Weighted-average interest rate of loans with interest rate reductions – before TDR | 4.57 | % | 5.20 | % | | 4.65 | % | 4.99 | % | 4.55 | % | 5.10 | % |
| Weighted-average interest rate of loans with interest rate reductions – after TDR | Weighted-average interest rate of loans with interest rate reductions – after TDR | 2.91 | | 3.48 | | | Weighted-average interest rate of loans with interest rate reductions – after TDR | 2.89 | | 3.34 | | 2.91 | | 3.40 | |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 24 | 22 | | Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 23 | 23 | 23 | 22 |
| Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 39 | 39 | | Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 37 | 39 | 37 | 39 |
| Charge-offs recognized upon permanent modification | Charge-offs recognized upon permanent modification | $ | 0 | | $ | 0 | | | Charge-offs recognized upon permanent modification | $ | — | | $ | 1 | | $ | — | | $ | 2 | |
| Principal deferred | Principal deferred | 12 | | 5 | | | Principal deferred | 5 | | 3 | | 23 | | 12 | |
| Principal forgiven | Principal forgiven | 1 | | 2 | | | 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) | $ | 24 | | $ | 70 | | | 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.
At March 31,September 30, 2021, the weighted-average estimated remaining lives of residential real estate loans permanently modified in TDRs were sixfour years. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).
Active and suspended foreclosure
At March 31,September 30, 2021 and December 31, 2020, the Firm had residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $802$693 million and $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.
Auto and other
The following tables provide information on delinquency, which is the primary credit quality indicator for retained auto and other consumer loans.
| | | March 31, 2021 | | September 30, 2021 |
(in millions, except ratios) |
(in millions, except ratios) | Term Loans by origination year | | Revolving loans | |
(in millions, except ratios) | Term Loans by origination year | | Revolving loans | |
| 2021 | | 2020 | | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | Total | 2021 | | 2020 | | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | Total |
Loan delinquency(a) | Loan delinquency(a) | | Loan delinquency(a) | |
| Current | Current | $ | 17,719 | | (b) | $ | 39,161 | | (b) | $ | 11,405 | $ | 6,349 | $ | 3,706 | $ | 2,045 | | $ | 2,369 | $ | 149 | $ | 82,903 | Current | $ | 35,379 | | (c) | $ | 21,917 | | (c) | $ | 8,641 | $ | 4,466 | $ | 2,343 | $ | 993 | | $ | 2,246 | $ | 129 | $ | 76,114 |
| 30–119 days past due | 30–119 days past due | 32 | | | 50 | | | 65 | 47 | 31 | 33 | | 21 | 12 | 291 | 30–119 days past due | 110 | | | 193 | | | 77 | 49 | 30 | 25 | | 12 | 8 | 504 |
| 120 or more days past due | 120 or more days past due | 0 | | | 0 | | | 0 | 1 | | 12 | 10 | 25 | 120 or more days past due | — | | | 4 | | | — | 1 | — | 1 | | 5 | 8 | 19 |
| Total retained loans | Total retained loans | $ | 17,751 | | | $ | 39,211 | | | $ | 11,470 | $ | 6,397 | $ | 3,738 | $ | 2,079 | | $ | 2,402 | $ | 171 | $ | 83,219 | 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 | % of 30+ days past due to total retained loans | 0.18% | | 0.13% | | 0.57 | % | 0.75 | % | 0.86 | % | 1.64 | % | | 1.37 | % | 12.87 | % | 0.38 | % | % of 30+ days past due to total retained loans | 0.31 | % | | 0.32 | % | | 0.88 | % | 1.11 | % | 1.26 | % | 2.55 | % | | 0.75 | % | 11.03 | % | 0.68 | % |
| | | December 31, 2020 | | December 31, 2020 |
(in millions, except ratios) |
(in millions, except ratios) | Term Loans by origination year | | Revolving loans | |
(in millions, except ratios) | Term Loans by origination year | | Revolving loans | |
| 2020 | | 2019 | | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | Total | 2020 | | 2019 | | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | Total |
Loan delinquency(a) | Loan delinquency(a) | | Loan delinquency(a) | |
| Current | Current | $ | 46,169 | (c) | $ | 12,829 | | $ | 7,367 | $ | 4,521 | $ | 2,058 | $ | 742 | | $ | 2,517 | $ | 158 | $ | 76,361 | Current | $ | 46,169 | (d) | $ | 12,829 | | $ | 7,367 | $ | 4,521 | $ | 2,058 | $ | 742 | | $ | 2,517 | $ | 158 | $ | 76,361 |
| 30–119 days past due | 30–119 days past due | 97 | | 107 | | 77 | 53 | 42 | 23 | | 30 | 17 | 446 | 30–119 days past due | 97 | | 107 | | 77 | 53 | 42 | 23 | | 30 | 17 | 446 |
| 120 or more days past due | 120 or more days past due | 0 | | 0 | | 0 | 1 | 0 | 1 | | 8 | 18 | 120 or more days past due | — | | — | | — | 1 | — | 1 | | 8 | 18 |
| Total retained loans | Total retained loans | $ | 46,266 | | $ | 12,936 | | $ | 7,444 | $ | 4,575 | $ | 2,100 | $ | 766 | | $ | 2,555 | $ | 183 | $ | 76,825 | 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 loans | % of 30+ days past due to total retained loans | 0.21% | | 0.83 | % | | 1.03 | % | 1.18 | % | 2.00 | % | 3.13 | % | | 1.49 | % | 13.66 | % | 0.60 | % | % of 30+ days past due to total retained loans | 0.21 | % | | 0.83 | % | | 1.03 | % | 1.18 | % | 2.00 | % | 3.13 | % | | 1.49 | % | 13.66 | % | 0.60 | % |
(a)At March 31,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 MarchSeptember 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 $8.7$9.1 billion of loans originated in 2021 and $14.7$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.
(c)(d)At December 31, 2020, included $19.2 billion of loans in Business Banking under the PPP.
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 |
| March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 |
Nonaccrual loans(a)(b)(c) | Nonaccrual loans(a)(b)(c) | 135 | | 151 | | Nonaccrual loans(a)(b)(c) | 117 | | 151 | |
| Geographic region(d) | Geographic region(d) | | Geographic region(d) | |
| California | California | $ | 13,514 | | $ | 12,302 | | California | $ | 12,137 | | $ | 12,302 | |
| Texas | | Texas | 8,333 | | 8,235 | |
| New York | New York | 10,551 | | 8,824 | | New York | 7,511 | | 8,824 | |
| Texas | 8,746 | | 8,235 | | |
| Florida | Florida | 5,117 | | 4,668 | | Florida | 5,125 | | 4,668 | |
| Illinois | Illinois | 4,003 | | 3,768 | | Illinois | 3,333 | | 3,768 | |
| New Jersey | New Jersey | 2,895 | | 2,646 | | New Jersey | 2,580 | | 2,646 | |
| Arizona | Arizona | 2,619 | | 2,465 | | Arizona | 2,103 | | 2,465 | |
| Pennsylvania | | Pennsylvania | 2,076 | | 1,924 | |
| Ohio | Ohio | 2,293 | | 2,163 | | Ohio | 2,029 | | 2,163 | |
| Colorado | 2,021 | | 1,910 | | |
| Pennsylvania | 2,004 | | 1,924 | | |
| Louisiana | | Louisiana | 1,870 | | 1,808 | |
| All other | All other | 29,456 | | 27,920 | | All other | 29,540 | | 28,022 | |
| Total retained loans | Total retained loans | $ | 83,219 | | $ | 76,825 | | 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 March 31,September 30, 2021 and December 31, 2020.
(b)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral 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 March 31,months ended September 30, 2021 and 2020.
(d)The geographic regions presented in this table are ordered based on the magnitude of the corresponding loan balances at March 31,September 30, 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 March 31,September 30, 2021 and 2020. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of March 31,September 30, 2021 and December 31, 2020 were not material.
Credit card loan portfolio
The credit card portfolio segment includes credit card loans originated and purchased by the Firm. Delinquency rates are the primary credit quality indicator for credit card loans.
Refer to Note 12 of JPMorgan Chase's 2020 Form 10-K for further information on the credit card loan portfolio, including credit quality indicators.
The following tables provide information on delinquency, which is the primary credit quality indicator for retained credit card loans.
|
(in millions, except ratios) |
(in millions, except ratios) | March 31, 2021 |
(in millions, except ratios) | September 30, 2021 |
| Within the revolving period | Converted to term loans(b) | Total | Within 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 | $ | 128,749 | | $ | 1,178 | | $ | 129,927 | | Current and less than 30 days past due
and still accruing | $ | 140,730 | | $ | 1,001 | | $ | 141,731 | |
| 30–89 days past due and still accruing | 30–89 days past due and still accruing | 714 | | 73 | | 787 | | 30–89 days past due and still accruing | 679 | | 57 | | 736 | |
| 90 or more days past due and still accruing | 90 or more days past due and still accruing | 1,018 | | 40 | | 1,058 | | 90 or more days past due and still accruing | 674 | | 25 | | 699 | |
| Total retained loans | Total retained loans | $ | 130,481 | | $ | 1,291 | | $ | 131,772 | | Total retained loans | $ | 142,083 | | $ | 1,083 | | $ | 143,166 | |
| Loan delinquency ratios | Loan delinquency ratios | | Loan delinquency ratios | |
| % of 30+ days past due to total retained loans | % of 30+ days past due to total retained loans | 1.33 | % | 8.75 | % | 1.40 | % | % of 30+ days past due to total retained loans | 0.95 | % | 7.57 | % | 1.00 | % |
| % of 90+ days past due to total retained loans | % of 90+ days past due to total retained loans | 0.78 | | 3.10 | | 0.80 | | % of 90+ days past due to total retained loans | 0.47 | | 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 accruing | 997 | | 94 | | 1,091 | |
| 90 or more days past due and still accruing | 1,277 | | 42 | | 1,319 | |
| Total retained loans | $ | 142,057 | | $ | 1,375 | | $ | 143,432 | |
| Loan delinquency ratios | | | |
| % of 30+ days past due to total retained loans | 1.60 | % | 9.89 | % | 1.68 | % |
| % of 90+ days past due to total retained loans | 0.90 | | 3.05 | | 0.92 | |
(a)At March 31,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) | March 31, 2021 | December 31, 2020 | (in millions, except ratios) | September 30, 2021 | December 31, 2020 |
Geographic region(a) | Geographic region(a) | | Geographic region(a) | |
| California | California | $ | 19,266 | | $ | 20,921 | | California | $ | 21,211 | | $ | 20,921 | |
| Texas | Texas | 13,628 | | 14,544 | | Texas | 14,752 | | 14,544 | |
| New York | New York | 10,935 | | 11,919 | | New York | 11,924 | | 11,919 | |
| Florida | Florida | 8,889 | | 9,562 | | Florida | 9,514 | | 9,562 | |
| Illinois | Illinois | 7,329 | | 8,006 | | Illinois | 8,004 | | 8,006 | |
| New Jersey | New Jersey | 5,420 | | 5,927 | | New Jersey | 5,967 | | 5,927 | |
| Ohio | Ohio | 4,254 | | 4,673 | | Ohio | 4,566 | | 4,673 | |
| Pennsylvania | Pennsylvania | 4,036 | | 4,476 | | Pennsylvania | 4,332 | | 4,476 | |
| Colorado | Colorado | 3,798 | | 4,092 | | Colorado | 4,322 | | 4,092 | |
| Michigan | Michigan | 3,245 | | 3,553 | | Michigan | 3,513 | | 3,553 | |
| All other | All other | 50,972 | | 55,759 | | All other | 55,061 | | 55,759 | |
| Total retained loans | Total retained loans | $ | 131,772 | | $ | 143,432 | | Total retained loans | $ | 143,166 | | $ | 143,432 | |
| Percentage of portfolio based on carrying value with estimated refreshed FICO scores | Percentage of portfolio based on carrying value with estimated refreshed FICO scores | | Percentage of portfolio based on carrying value with estimated refreshed FICO scores | |
| Equal to or greater than 660 | Equal to or greater than 660 | 86.3 | % | 85.9 | % | Equal to or greater than 660 | 88.2 | % | 85.9 | % |
| Less than 660 | Less than 660 | 13.5 | | 13.9 | | Less than 660 | 11.6 | | 13.9 | |
| No FICO available | No FICO available | 0.2 | | 0.2 | | No FICO available | 0.2 | | 0.2 | |
(a)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at March 31,September 30, 2021.
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 March 31, | | (in millions, except
weighted-average data) | Three months ended September 30, | Nine months ended September 30, |
| 2021 | 2020 | | (in millions, except
weighted-average data) | 2021 | 2020 | 2021 | 2020 |
Balance of new TDRs(a) | Balance of new TDRs(a) | $ | 143 | $ | 277 | | $ | 82 | $ | 220 | $ | 315 | $ | 648 |
| Weighted-average interest rate of loans – before TDR | Weighted-average interest rate of loans – before TDR | 17.74 | % | 18.82 | % | | Weighted-average interest rate of loans – before TDR | 17.75 | % | 17.65 | % | 17.79 | % | 18.21 | % |
| Weighted-average interest rate of loans – after TDR | Weighted-average interest rate of loans – after TDR | 5.23 | | 4.02 | | | Weighted-average interest rate of loans – after TDR | 5.15 | | 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) | $ | 19 | $ | 36 | | 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.
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. Refer to Note 12 of JPMorgan Chase’s 2020 Form 10-K for further information on these risk ratings.
The following tables provide information on internal risk rating, which is the primary credit quality indicator for retained wholesale loans.
| | | Secured by real estate | | Commercial and industrial | | Other(c) | | Total retained loans | | | Secured by real estate | | Commercial and industrial | | Other(a) | | Total retained loans |
| (in millions, except ratios) | (in millions, except ratios) | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | | Dec 31,
2020 | | (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 ratings | Loans by risk ratings | | Loans by risk ratings | |
| Investment-grade | Investment-grade | $ | 88,351 | | $ | 90,147 | | | $ | 72,453 | | (a) | $ | 71,917 | | (b) | $ | 219,023 | | $ | 217,209 | | | $ | 379,827 | | (a) | $ | 379,273 | | (b) | Investment-grade | $ | 90,209 | | $ | 90,147 | | | $ | 68,112 | | | $ | 71,917 | | | $ | 230,185 | | $ | 217,209 | | | $ | 388,506 | | | $ | 379,273 | |
| Noninvestment-grade: | Noninvestment-grade: | | Noninvestment-grade: | |
| Noncriticized | Noncriticized | 25,929 | | 26,129 | | | 54,410 | | | 57,870 | | | 35,404 | | 33,053 | | | 115,743 | | | 117,052 | | | Noncriticized | 23,661 | | 26,129 | | | 56,658 | | | 57,870 | | | 49,097 | | 33,053 | | | 129,416 | | | 117,052 | |
| Criticized performing | Criticized performing | 3,756 | | 3,234 | | | 11,005 | | | 10,991 | | | 1,132 | | 1,079 | | | 15,893 | | | 15,304 | | | Criticized performing | 3,922 | | 3,234 | | | 7,712 | | | 10,991 | | | 1,146 | | 1,079 | | | 12,780 | | | 15,304 | |
| Criticized nonaccrual | Criticized nonaccrual | 502 | | 483 | | | 1,752 | | | 1,931 | | | 761 | | 904 | | | 3,015 | | | 3,318 | | | Criticized nonaccrual | 375 | | 483 | | | 994 | | | 1,931 | | | 715 | | 904 | | | 2,084 | | | 3,318 | |
| Total noninvestment- grade | Total noninvestment- grade | 30,187 | | 29,846 | | | 67,167 | | | 70,792 | | | 37,297 | | 35,036 | | | 134,651 | | | 135,674 | | | Total noninvestment- grade | 27,958 | | 29,846 | | | 65,364 | | | 70,792 | | | 50,958 | | 35,036 | | | 144,280 | | | 135,674 | |
| Total retained loans | Total retained loans | $ | 118,538 | | $ | 119,993 | | | $ | 139,620 | | | $ | 142,709 | | | $ | 256,320 | | $ | 252,245 | | | $ | 514,478 | | | $ | 514,947 | | | 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 loans | 74.53 | % | 75.13 | % | | 51.89 | % | | 50.39 | % | | 85.45 | % | 86.11 | % | | 73.83 | % | | 73.65 | % | | % of investment-grade to total retained loans | 76.34 | % | 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 loans | 3.59 | | 3.10 | | | 9.14 | | | 9.05 | | | 0.74 | | 0.79 | | | 3.68 | | | 3.62 | | | % of total criticized to total retained loans | 3.64 | | 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 loans | 0.42 | | 0.40 | | | 1.25 | | | 1.35 | | | 0.30 | | 0.36 | | | 0.59 | | | 0.64 | | | % of criticized nonaccrual to total retained loans | 0.32 | | 0.40 | | | 0.74 | | | 1.35 | | | 0.25 | | 0.36 | | | 0.39 | | | 0.64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Secured by real estate |
(in millions) | March 31, 2021 |
| Term loans by origination year | | Revolving loans | | |
| 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | | | | | | | | | | | |
| Investment-grade | $ | 2,966 | | $ | 16,303 | | $ | 19,118 | | $ | 11,307 | | $ | 10,192 | | $ | 27,314 | | | $ | 1,151 | | $ | 0 | | | $ | 88,351 | |
| Noninvestment-grade | 623 | | 3,403 | | 4,436 | | 4,093 | | 2,810 | | 14,391 | | | 430 | | 1 | | | 30,187 | |
| Total retained loans | $ | 3,589 | | $ | 19,706 | | $ | 23,554 | | $ | 15,400 | | $ | 13,002 | | $ | 41,705 | | | $ | 1,581 | | $ | 1 | | | $ | 118,538 | |
| | | Secured by real estate | | Secured by real estate |
(in millions) |
(in millions) | December 31, 2020 |
(in millions) | September 30, 2021 |
| Term loans by origination year | | Revolving loans | | Term loans by origination year | | Revolving loans | |
| 2020 | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total | 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | Loans by risk ratings | | Loans by risk ratings | |
| Investment-grade | Investment-grade | $ | 16,560 | | $ | 19,575 | | $ | 12,192 | | $ | 11,017 | | $ | 13,439 | | $ | 16,266 | | | $ | 1,098 | | $ | 0 | | | $ | 90,147 | | Investment-grade | $ | 15,893 | | $ | 16,153 | | $ | 18,216 | | $ | 9,486 | | $ | 8,240 | | $ | 21,072 | | | $ | 1,141 | | $ | 8 | | | $ | 90,209 | |
| Noninvestment-grade | Noninvestment-grade | 3,327 | | 4,339 | | 4,205 | | 2,916 | | 2,575 | | 11,994 | | | 489 | | 1 | | | 29,846 | | Noninvestment-grade | 3,661 | | 4,460 | | 5,052 | | 4,344 | | 3,311 | | 6,606 | | | 522 | | 2 | | | 27,958 | |
| Total retained loans | Total retained loans | $ | 19,887 | | $ | 23,914 | | $ | 16,397 | | $ | 13,933 | | $ | 16,014 | | $ | 28,260 | | | $ | 1,587 | | $ | 1 | | | $ | 119,993 | | Total retained loans | $ | 19,554 | | $ | 20,613 | | $ | 23,268 | | $ | 13,830 | | $ | 11,551 | | $ | 27,678 | | | $ | 1,663 | | $ | 10 | | | $ | 118,167 | |
| | | Commercial and industrial | | Secured by real estate |
(in millions) |
(in millions) | March 31, 2021 |
(in millions) | December 31, 2020 |
Term loans by origination year | | Revolving loans | | Term loans by origination year | | Revolving loans | |
| 2021 | | 2020 | | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total | 2020 | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | Loans by risk ratings | | Loans by risk ratings | |
| Investment-grade | Investment-grade | $ | 8,403 | | (a) | $ | 14,857 | | (a) | $ | 6,587 | | $ | 2,474 | | $ | 1,664 | | $ | 1,861 | | | $ | 36,537 | | $ | 70 | | | $ | 72,453 | | Investment-grade | $ | 17,004 | | $ | 19,870 | | $ | 12,448 | | $ | 11,218 | | $ | 13,611 | | $ | 14,898 | | | $ | 1,098 | | $ | — | | | $ | 90,147 | |
| Noninvestment-grade | Noninvestment-grade | 3,976 | | | 11,857 | | | 7,082 | | 4,641 | | 1,698 | | 2,745 | | | 35,095 | | 73 | | | 67,167 | | Noninvestment-grade | 4,998 | | 6,027 | | 5,886 | | 4,184 | | 3,738 | | 4,523 | | | 489 | | 1 | | | 29,846 | |
| Total retained loans | Total retained loans | $ | 12,379 | | | $ | 26,714 | | | $ | 13,669 | | $ | 7,115 | | $ | 3,362 | | $ | 4,606 | | | $ | 71,632 | | $ | 143 | | | $ | 139,620 | | 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.
| | | Commercial and industrial | | Commercial and industrial | |
(in millions) |
(in millions) | December 31, 2020 |
(in millions) | September 30, 2021 | |
| Term loans by origination year | | Revolving loans | | Term loans by origination year | | Revolving loans | |
| 2020 | | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total | 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total | |
| Loans by risk ratings | Loans by risk ratings | | Loans by risk ratings | |
| Investment-grade | Investment-grade | $ | 21,211 | | (b) | $ | 7,304 | | $ | 2,934 | | $ | 1,748 | | $ | 1,032 | | $ | 1,263 | | | $ | 36,424 | | $ | 1 | | | $ | 71,917 | | Investment-grade | $ | 16,741 | | $ | 7,060 | | $ | 4,243 | | $ | 1,496 | | $ | 1,288 | | $ | 1,104 | | | $ | 36,179 | | $ | 1 | | | $ | 68,112 | | (a) |
| Noninvestment-grade | Noninvestment-grade | 15,060 | | | 8,636 | | 5,131 | | 2,104 | | 497 | | 2,439 | | | 36,852 | | 73 | | | 70,792 | | Noninvestment-grade | 13,286 | | 8,498 | | 5,493 | | 2,733 | | 1,141 | | 784 | | | 33,353 | | 76 | | | 65,364 | | |
| Total retained loans | Total retained loans | $ | 36,271 | | | $ | 15,940 | | $ | 8,065 | | $ | 3,852 | | $ | 1,529 | | $ | 3,702 | | | $ | 73,276 | | $ | 74 | | | $ | 142,709 | | Total retained loans | $ | 30,027 | | $ | 15,558 | | $ | 9,736 | | $ | 4,229 | | $ | 2,429 | | $ | 1,888 | | | $ | 69,532 | | $ | 77 | | | $ | 133,476 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Other(c) |
(in millions) | March 31, 2021 |
| Term loans by origination year | | Revolving loans | | |
| 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | | | | | | | | | | | |
| Investment-grade | $ | 8,483 | | $ | 25,689 | | $ | 8,177 | | $ | 5,052 | | $ | 5,874 | | $ | 16,897 | | | $ | 148,248 | | $ | 603 | | | $ | 219,023 | |
| Noninvestment-grade | 3,500 | | 4,179 | | 2,191 | | 1,621 | | 485 | | 1,065 | | | 24,132 | | 124 | | | 37,297 | |
| Total retained loans | $ | 11,983 | | $ | 29,868 | | $ | 10,368 | | $ | 6,673 | | $ | 6,359 | | $ | 17,962 | | | $ | 172,380 | | $ | 727 | | | $ | 256,320 | |
| | | Other(c) | | Commercial and industrial | |
(in millions) |
(in millions) | December 31, 2020 |
(in millions) | December 31, 2020 | |
Term loans by origination year | | Revolving loans | | Term loans by origination year | | Revolving loans | |
| 2020 | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total | 2020 | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total | |
| Loans by risk ratings | Loans by risk ratings | | Loans by risk ratings | |
| Investment-grade | Investment-grade | $ | 31,389 | | $ | 10,169 | | $ | 6,994 | | $ | 6,206 | | $ | 3,553 | | $ | 12,595 | | | $ | 145,524 | | $ | 779 | | | $ | 217,209 | | Investment-grade | $ | 21,233 | | $ | 7,341 | | $ | 2,950 | | $ | 1,756 | | $ | 1,034 | | $ | 1,178 | | | $ | 36,424 | | $ | 1 | | | $ | 71,917 | | (c) |
| Noninvestment-grade | Noninvestment-grade | 5,009 | | 2,220 | | 1,641 | | 550 | | 146 | | 636 | | | 24,710 | | 124 | | | 35,036 | | Noninvestment-grade | 15,488 | | 9,189 | | 5,470 | | 2,323 | | 611 | | 786 | | | 36,852 | | 73 | | | 70,792 | | |
| Total retained loans | Total retained loans | $ | 36,398 | | $ | 12,389 | | $ | 8,635 | | $ | 6,756 | | $ | 3,699 | | $ | 13,231 | | | $ | 170,234 | | $ | 903 | | | $ | 252,245 | | Total retained loans | $ | 36,721 | | $ | 16,530 | | $ | 8,420 | | $ | 4,079 | | $ | 1,645 | | $ | 1,964 | | | $ | 73,276 | | $ | 74 | | | $ | 142,709 | | |
(a)At March 31,September 30, 2021, included $1.2$2.0 billion of the $2.2 billion total PPP loans in the wholesale portfolio were commercial and industrial. Of the $2.0 billion, $1.3 billion were originated in 2021 and $7.7 billion of loans$639 million were originated in 2020 under the PPP, of which $1.2 billion and $7.1 billion are included in commercial and industrial, respectively.2020. PPP loans are guaranteed by the 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, included$7.4 billion of the $8.0 billion oftotal PPP loans underin the PPP, of which $7.4 billion is included inwholesale portfolio were commercial and industrial.
(c)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Other(a) |
(in millions) | September 30, 2021 |
| Term loans by origination year | | Revolving loans | | |
| 2021 | 2020 | 2019 | 2018 | 2017 | Prior to 2017 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | | | | | | | | | | | |
| Investment-grade | $ | 22,301 | | $ | 20,154 | | $ | 7,079 | | $ | 3,229 | | $ | 4,185 | | $ | 8,930 | | | $ | 163,875 | | $ | 432 | | | $ | 230,185 | |
| Noninvestment-grade | 12,011 | | 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 | | |
| 2020 | 2019 | 2018 | 2017 | 2016 | Prior to 2016 | | Within the revolving period | Converted to term loans | | Total |
| Loans by risk ratings | | | | | | | | | | | |
| Investment-grade | $ | 33,190 | | $ | 11,116 | | $ | 7,455 | | $ | 6,804 | | $ | 4,089 | | $ | 8,252 | | | $ | 145,524 | | $ | 779 | | | $ | 217,209 | |
| Noninvestment-grade | 5,048 | | 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 Global Private Bank clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2020 Form 10-K for more information on SPEs.
(b)Prior-period amounts have been revised to conform with the current presentation.
The following table presents additional information on retained loans secured by real estate, which consists of loans secured wholly or substantially by a lien or liens on real property at origination.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions, except ratios) | Multifamily | | Other commercial | | Total retained loans secured by real estate |
Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 |
| Retained loans secured by real estate | $ | 72,194 | | $ | 73,078 | | | $ | 46,344 | | $ | 46,915 | | | $ | 118,538 | | $ | 119,993 | |
| Criticized | 1,560 | | 1,144 | | | 2,698 | | 2,573 | | | 4,258 | | 3,717 | |
| % of total criticized to total retained loans secured by real estate | 2.16 | % | 1.57 | % | | 5.82 | % | 5.48 | % | | 3.59 | % | 3.10 | % |
| Criticized nonaccrual | $ | 70 | | $ | 56 | | | $ | 432 | | $ | 427 | | | $ | 502 | | $ | 483 | |
| % of criticized nonaccrual loans to total retained loans secured by real estate | 0.10 | % | 0.08 | % | | 0.93 | % | 0.91 | % | | 0.42 | % | 0.40 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions, except ratios) | Multifamily | | Other commercial | | Total retained loans secured by real estate |
Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 |
| Retained loans secured by real estate | $ | 72,903 | | $ | 73,078 | | | $ | 45,264 | | $ | 46,915 | | | $ | 118,167 | | $ | 119,993 | |
| Criticized | 1,710 | | 1,144 | | | 2,587 | | 2,573 | | | 4,297 | | 3,717 | |
| % of total criticized to total retained loans secured by real estate | 2.35 | % | 1.57 | % | | 5.72 | % | 5.48 | % | | 3.64 | % | 3.10 | % |
| Criticized nonaccrual | $ | 84 | | $ | 56 | | | $ | 291 | | $ | 427 | | | $ | 375 | | $ | 483 | |
| % of criticized nonaccrual loans to total retained loans secured by real estate | 0.12 | % | 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 estate | | Commercial
and industrial | | Other | | Total
retained loans | | Secured by real estate | | Commercial
and industrial | | Other | | Total
retained loans |
(in millions,
except ratios) | (in millions,
except ratios) | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | (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. | $ | 115,451 | | $ | 116,990 | | | $ | 106,309 | | $ | 109,273 | | | $ | 181,272 | | $ | 180,583 | | | $ | 403,032 | | $ | 406,846 | | 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. | 3,087 | | 3,003 | | | 33,311 | | 33,436 | | | 75,048 | | 71,662 | | | 111,446 | | 108,101 | | Total non-U.S. | 3,012 | | 3,003 | | | 37,819 | | 33,436 | | | 77,512 | | 71,662 | | | 118,343 | | 108,101 | |
| Total retained loans | Total retained loans | $ | 118,538 | | $ | 119,993 | | | $ | 139,620 | | $ | 142,709 | | | $ | 256,320 | | $ | 252,245 | |
| $ | 514,478 | | $ | 514,947 | | 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 accruing | Current and less than 30 days past due and still accruing | $ | 117,559 | | $ | 118,894 | | | $ | 136,980 | | $ | 140,100 | | | $ | 253,632 | | $ | 249,713 | |
| $ | 508,171 | | $ | 508,707 | | 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 accruing | 30–89 days past due and still accruing | 462 | | 601 | | | 830 | | 658 | | | 1,769 | | 1,606 | | | 3,061 | | 2,865 | | 30–89 days past due and still accruing | 150 | | 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) | 15 | | 15 | | | 58 | | 20 | | | 158 | | 22 | | | 231 | | 57 | | 90 or more days past due and still accruing(c) | 79 | | 15 | | | 73 | | 20 | | | 32 | | 22 | | | 184 | | 57 | |
| Criticized nonaccrual | Criticized nonaccrual | 502 | | 483 | | | 1,752 | | 1,931 | | | 761 | | 904 | | | 3,015 | | 3,318 | | Criticized nonaccrual | 375 | | 483 | | | 994 | | 1,931 | | | 715 | | 904 | | | 2,084 | | 3,318 | |
| Total retained loans | Total retained loans | $ | 118,538 | | $ | 119,993 | | | $ | 139,620 | | $ | 142,709 | | | $ | 256,320 | | $ | 252,245 | |
| $ | 514,478 | | $ | 514,947 | | 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 table providestables provide information about net charge-offs on retained wholesale loans.
| | Wholesale net charge-offs/(recoveries) | Wholesale net charge-offs/(recoveries) | Secured by real estate | | Commercial
and industrial | | Other | | Total
retained loans | Wholesale net charge-offs/(recoveries) | Secured by real estate | | Commercial
and industrial | | Other | | Total
retained loans |
Three months ended March 31,
(in millions) | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
Three months ended September 30,
(in millions) | | Three months ended September 30,
(in millions) | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | $ | 0 | | $ | 0 | | | $ | 50 | | $ | 168 | | | $ | 3 | | $ | (6) | | | $ | 53 | | $ | 162 | | Net charge-offs/(recoveries) | $ | 9 | | $ | (3) | | | $ | 23 | | $ | 95 | | | $ | 5 | | $ | — | | | $ | 37 | | $ | 92 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Secured by real estate | | Commercial
and industrial | | Other | | Total
retained loans |
Nine months ended September 30,
(in millions) | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| 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 estate | | Commercial
and industrial | | Other | | Total
retained loans |
(in millions) | Secured by real estate | | Commercial
and industrial | | Other | | Total
retained loans |
Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | 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 allowance | With an allowance | $ | 398 | | $ | 351 | | | $ | 1,329 | | $ | 1,667 | | | $ | 544 | | $ | 800 | | | $ | 2,271 | | $ | 2,818 | | With an allowance | $ | 309 | | $ | 351 | | | $ | 722 | | $ | 1,667 | | | $ | 520 | | $ | 800 | | | $ | 1,551 | | $ | 2,818 | |
Without an allowance(b) | Without an allowance(b) | 104 | | 132 | | | 423 | | 264 | | | 217 | | 104 | | | 744 | | 500 | | Without an allowance(b) | 66 | | 132 | | | 272 | | 264 | | | 195 | | 104 | | | 533 | | 500 | |
Total nonaccrual loans(c) | Total nonaccrual loans(c) | $ | 502 | | $ | 483 | | | $ | 1,752 | | $ | 1,931 | | | $ | 761 | | $ | 904 | | | $ | 3,015 | | $ | 3,318 | | 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 March 31,September 30, 2021, predominantlysubstantially all of these loans were considered performing.
(b)When the discounted cash flows or collateral value equals or exceeds the amortized cost of the loan, the loan does not require an allowance. This typically occurs when the loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.
(c)Interest income on nonaccrual loans recognized on a cash basis was not material for the three and nine months ended March 31,September 30, 2021 and 2020.
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 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 $1.2 billion$928 million and $954 million as of March 31,September 30, 2021, and December 31, 2020, respectively. The carrying value of new TDRs was $428$180 million and $76$188 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $832 million and $352 million for the nine months ended September 30, 2021 and 2020, respectively. The newNew TDRs for the three and nine months ended March 31,September 30, 2021 were primarily from Commercialreflected deferral of principal and Industrial loan modifications that includedinterest payments, extending maturity dates and the receipt of assets
in partial satisfaction of the loan.loan predominantly in Other and Commercial and Industrial loan classes. The impact of these modifications resulting in new TDRs was not material to the Firm for the three and nine months ended March 31,September 30, 2021 and 2020.
Note 12 – 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.
Refer to Note 13 of JPMorgan Chase's 2020 Form 10-K for a detailed discussion of the allowance for credit losses and the related accounting policies.
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.
| | | 2021(d) | | 2020(d) | | 2021 | | 2020 |
Three months ended March 31,
(in millions) | Consumer, excluding
credit card | Credit card | Wholesale | | Total | | Consumer, excluding credit card | Credit card | Wholesale | | Total | |
Nine months ended September 30,
(in millions) | | Nine months ended September 30,
(in millions) | Consumer, excluding
credit card | Credit card | Wholesale | | Total | | Consumer, excluding credit card | Credit card | Wholesale | | Total |
| Allowance for loan losses | Allowance for loan losses | | | | | | Allowance for loan losses | | | |
| Beginning balance at January 1, | Beginning balance at January 1, | $ | 3,636 | | $ | 17,800 | | $ | 6,892 | | | $ | 28,328 | | | $ | 2,538 | | $ | 5,683 | | $ | 4,902 | | | $ | 13,123 | | 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 principle | Cumulative effect of a change in accounting principle | NA | | NA | | 297 | | 5,517 | | (1,642) | | | 4,172 | | Cumulative effect of a change in accounting principle | NA | | NA | | 297 | | 5,517 | | (1,642) | | | 4,172 | |
| Gross charge-offs | Gross charge-offs | 166 | | 1,214 | | 88 | | | 1,468 | | | 233 | | 1,488 | | 181 | | | 1,902 | | Gross charge-offs | 452 | | 2,957 | | 187 | | | 3,596 | | | 620 | | 4,104 | | 641 | | | 5,365 | |
| Gross recoveries collected | Gross recoveries collected | (145) | | (231) | | (35) | | | (411) | | | (239) | | (175) | | (19) | | | (433) | | Gross recoveries collected | (470) | | (724) | | (87) | | | (1,281) | | | (483) | | (585) | | (88) | | | (1,156) | |
| Net charge-offs/(recoveries) | Net charge-offs/(recoveries) | 21 | | 983 | | 53 | | | 1,057 | | | (6) | | 1,313 | | 162 | | | 1,469 | | Net charge-offs/(recoveries) | (18) | | 2,233 | | 100 | | | 2,315 | | | 137 | | 3,519 | | 553 | | | 4,209 | |
| Provision for loan losses | Provision for loan losses | (932) | | (2,517) | | (830) | | | (4,279) | | | 613 | | 5,063 | | 1,742 | | | 7,418 | | Provision for loan losses | (1,778) | | (3,917) | | (2,162) | | | (7,857) | | | 1,803 | | 10,119 | | 5,802 | | | 17,724 | |
| Other | Other | (1) | | 0 | | 10 | | | 9 | | | 0 | | 0 | | 0 | | | 0 | | Other | (2) | | — | | (4) | | | (6) | | | 1 | | — | | 3 | | | 4 | |
| Ending balance at March 31, | $ | 2,682 | | $ | 14,300 | | $ | 6,019 | | | $ | 23,001 | | | $ | 3,454 | | $ | 14,950 | | $ | 4,840 | | | $ | 23,244 | | |
| Ending balance at September 30, | | 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 | Allowance for lending-related commitments | | | | | | Allowance for lending-related commitments | | | |
| Beginning balance at January 1, | Beginning balance at January 1, | $ | 187 | | $ | 0 | | $ | 2,222 | | | $ | 2,409 | | | $ | 12 | | $ | 0 | | $ | 1,179 | | | $ | 1,191 | | Beginning balance at January 1, | $ | 187 | | $ | — | | $ | 2,222 | | | $ | 2,409 | | | $ | 12 | | $ | — | | $ | 1,179 | | | $ | 1,191 | |
| Cumulative effect of a change in accounting principle | Cumulative effect of a change in accounting principle | NA | | NA | | 133 | | 0 | | (35) | | | 98 | | Cumulative effect of a change in accounting principle | NA | | NA | | 133 | | — | | (35) | | | 98 | |
| Provision for lending-related commitments | Provision for lending-related commitments | (52) | | 0 | | 159 | | | 107 | | | 6 | | 0 | | 852 | | | 858 | | Provision for lending-related commitments | (45) | | — | | (61) | | | (106) | | | 71 | | — | | 1,464 | | | 1,535 | |
| Other | Other | 0 | | 0 | | 0 | | | 0 | | | 0 | | 0 | | 0 | | | 0 | | Other | — | | — | | 2 | | | 2 | | | — | | — | | (1) | | | (1) | |
| Ending balance at March 31, | $ | 135 | | $ | 0 | | $ | 2,381 | | | $ | 2,516 | | | $ | 151 | | $ | 0 | | $ | 1,996 | | | $ | 2,147 | | |
| Ending balance at September 30, | | Ending balance at September 30, | $ | 142 | | $ | — | | $ | 2,163 | | | $ | 2,305 | | | $ | 216 | | $ | — | | $ | 2,607 | | | $ | 2,823 | |
| Total allowance for credit losses | Total allowance for credit losses | $ | 2,817 | | $ | 14,300 | | $ | 8,400 | | | $ | 25,517 | | | $ | 3,605 | | $ | 14,950 | | $ | 6,836 | | | $ | 25,391 | | Total allowance for credit losses | $ | 2,016 | | $ | 11,650 | | $ | 6,789 | | | $ | 20,455 | | | $ | 4,718 | | $ | 17,800 | | $ | 11,119 | | | $ | 33,637 | |
| | Allowance for loan losses by impairment methodology | Allowance for loan losses by impairment methodology | | | | | | Allowance for loan losses by impairment methodology | | | |
Asset-specific(a) | $ | (348) | | $ | 522 | | $ | 529 | | | $ | 703 | | | $ | 223 | | $ | 530 | | $ | 556 | | | $ | 1,309 | | |
Asset-specific(b) | | Asset-specific(b) | $ | (571) | | $ | 383 | | $ | 357 | | | $ | 169 | | | $ | 228 | | $ | 652 | | $ | 792 | | | $ | 1,672 | |
| Portfolio-based | Portfolio-based | 3,030 | | 13,778 | | 5,490 | | | 22,298 | | | 3,231 | | 14,420 | | 4,284 | | | 21,935 | | Portfolio-based | 2,445 | | 11,267 | | 4,269 | | | 17,981 | | | 4,274 | | 17,148 | | 7,720 | | | 29,142 | |
| | Total allowance for loan losses | Total allowance for loan losses | $ | 2,682 | | $ | 14,300 | | $ | 6,019 | | | $ | 23,001 | | | $ | 3,454 | | $ | 14,950 | | $ | 4,840 | | | $ | 23,244 | | 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 | Loans by impairment methodology | | | | | | Loans by impairment methodology | | | |
Asset-specific(a) | $ | 16,008 | | $ | 1,291 | | $ | 3,394 | | | $ | 20,693 | | | $ | 17,036 | | $ | 1,505 | | $ | 2,021 | | | $ | 20,562 | | |
Asset-specific(b) | | Asset-specific(b) | $ | 14,464 | | $ | 1,083 | | $ | 2,330 | | | $ | 17,877 | | | $ | 16,888 | | $ | 1,432 | | $ | 3,856 | | | $ | 22,176 | |
| Portfolio-based | Portfolio-based | 286,384 | | 130,481 | | 511,084 | | | 927,949 | | | 276,743 | | 152,516 | | 553,268 | | | 982,527 | | Portfolio-based | 283,844 | | 142,083 | | 530,456 | | | 956,383 | | | 288,218 | | 138,158 | | 496,985 | | | 923,361 | |
| | Total retained loans | Total retained loans | $ | 302,392 | | $ | 131,772 | | $ | 514,478 | | | $ | 948,642 | | | $ | 293,779 | | $ | 154,021 | | $ | 555,289 | | | $ | 1,003,089 | | Total retained loans | $ | 298,308 | | $ | 143,166 | | $ | 532,786 | | | $ | 974,260 | | | $ | 305,106 | | $ | 139,590 | | $ | 500,841 | | | $ | 945,537 | |
| | Collateral-dependent loans | Collateral-dependent loans | | | | | | Collateral-dependent loans | | | |
| Net charge-offs | Net charge-offs | $ | 20 | | $ | 0 | | $ | 2 | | | $ | 22 | | | $ | 29 | | $ | 0 | | $ | 17 | | | $ | 46 | | Net charge-offs | $ | 26 | | $ | — | | $ | 9 | | | $ | 35 | | | $ | 109 | | $ | — | | $ | 22 | | | $ | 131 | |
| Loans measured at fair value of collateral less cost to sell | Loans measured at fair value of collateral less cost to sell | 4,790 | | 0 | | 354 | | | 5,144 | | | 2,941 | | 0 | | 94 | | | 3,035 | | Loans measured at fair value of collateral less cost to sell | 4,460 | | — | | 364 | | | 4,824 | | | 4,517 | | — | | 130 | | | 4,647 | |
| | | Allowance for lending-related commitments by impairment methodology | Allowance for lending-related commitments by impairment methodology | | | | | | Allowance for lending-related commitments by impairment methodology | | | |
| Asset-specific | Asset-specific | $ | 0 | | $ | 0 | | $ | 144 | | | $ | 144 | | | $ | 0 | | $ | 0 | | $ | 187 | | | $ | 187 | | Asset-specific | $ | — | | $ | — | | $ | 129 | | | $ | 129 | | | $ | — | | $ | — | | $ | 109 | | | $ | 109 | |
| Portfolio-based | Portfolio-based | 135 | | 0 | | 2,237 | | | 2,372 | | | 151 | | 0 | | 1,809 | | | 1,960 | | Portfolio-based | 142 | | — | | 2,034 | | | 2,176 | | | 216 | | — | | 2,498 | | | 2,714 | |
Total allowance for lending-related commitments(b) | $ | 135 | | $ | 0 | | $ | 2,381 | | | $ | 2,516 | | | $ | 151 | | $ | 0 | | $ | 1,996 | | | $ | 2,147 | | |
Total allowance for lending-related commitments(c) | | Total allowance for lending-related commitments(c) | $ | 142 | | $ | — | | $ | 2,163 | | | $ | 2,305 | | | $ | 216 | | $ | — | | $ | 2,607 | | | $ | 2,823 | |
| | Lending-related commitments by impairment methodology | Lending-related commitments by impairment methodology | | | | | | Lending-related commitments by impairment methodology | | | |
| Asset-specific | Asset-specific | $ | 0 | | $ | 0 | | $ | 800 | | | $ | 800 | | | $ | 0 | | $ | 0 | | $ | 619 | | | $ | 619 | | Asset-specific | $ | — | | $ | — | | $ | 641 | | | $ | 641 | | | $ | — | | $ | — | | $ | 607 | | | $ | 607 | |
Portfolio-based(c) | 34,468 | | 0 | | 440,830 | | | 475,298 | | | 33,498 | | 0 | | 338,580 | | | 372,078 | | |
Portfolio-based(d) | | Portfolio-based(d) | 36,819 | | — | | 457,548 | | | 494,367 | | | 35,587 | | — | | 416,267 | | (d) | 451,854 | |
| Total lending-related commitments | Total lending-related commitments | $ | 34,468 | | $ | 0 | | $ | 441,630 | | | $ | 476,098 | | | $ | 33,498 | | $ | 0 | | $ | 339,199 | | | $ | 372,697 | | Total lending-related commitments | $ | 36,819 | | $ | — | | $ | 458,189 | | | $ | 495,008 | | | $ | 35,587 | | $ | — | | $ | 416,874 | | | $ | 452,461 | |
(a)Excludes the allowance for credit losses on investment securities of $73 million and $120 million as of 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.
(b)(c)The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.
(c)(d)At March 31,September 30, 2021 and 2020, lending-related commitments excluded $21.8$19.9 billion and $8.0$10.8 billion, respectively, for the consumer, excluding credit card portfolio segment; $674.4$710.6 billion and $681.4$662.9 billion, respectively, for the credit card portfolio segment; and $39.6$41.0 billion and $24.0$24.4 billion, respectively, for the wholesale portfolio segment, which were not subject to the allowance for lending-related commitments.
(d)Excludes Prior-period amount for wholesale lending-related commitments, including the amount not subject to allowance, for credit losses on HTM securities. The allowance for credit losses on HTM securities was $94 million and $19 million as of March 31, 2021 and 2020, respectively.
Discussion of changes in the allowance
The allowance for credit losses as of March 31,September 30, 2021 decreased when compared towas $20.5 billion, a decrease from $30.8 billion at December 31, 2020, consisting of:2020. The decrease in the allowance for credit losses reflected:
•a $4.5an $8.0 billion reduction in consumer, predominantly in the credit card portfolio, reflecting improvements in the Firm's macroeconomic scenarios,outlook; and in the residential real estate portfolio primarily due to the continued improvement in the HPI expectations and to a lesser extent portfolio run-off, and
•a $716 million$2.3 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic scenariosoutlook.
While the economy is showing signs of improvement, theThe COVID-19 pandemic has stressed many MEVs used in the Firm's allowance estimate at a speed and to degrees not experienced in recent history, which has created additional challenges in the use of modeled credit loss estimates, and increased the reliance on management judgment.judgment, and resulted in adjustments to appropriately address the economic circumstances. These challenges inadjustments continued through the usethird quarter of modeled credit loss estimates remain, albeit2021, although to a lesser extent than experienced during 2020. In periods where certain MEVs are outside the range of historical experience on which the Firm’s models have been trained, the Firm makes adjustments
The U.S. economy has continued to appropriately address these economic circumstances.
Further,improve despite the improvementongoing impact of the COVID-19 pandemic, with the benefits of vaccination resulting in improvements in the economy,Firm's macroeconomic outlook, particularly in the adverse scenarios. However, uncertainties remain, including the healthimpact that additional waves and variants of COVID-19 may have on the pace of economic growth, the strength of underlying labor markets vaccine efficacy against new virus strains,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 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 below, resulting in a weighted average U.S. unemployment rates rising above eight percent in 2021 and remaining at approximately six percentrate near 7% into the secondfirst quarter of 2022 withand falling below 6% in the third quarter of 2022, and a weighted average cumulative change in U.S. GDP returning to pre-pandemic levelsof 3.8% in 1Q22.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 March 31, 2021 | | Assumptions at September 30, 2021 |
| | 2Q21 | 4Q21 | 2Q22 | | 4Q21 | 2Q22 | 4Q22 |
U.S. unemployment rate(a) | U.S. unemployment rate(a) | 5.7 | % | 4.8 | % | 4.3 | % | U.S. unemployment rate(a) | 5.1 | % | 4.4 | % | 4.1 | % |
| Cumulative change in U.S. real GDP from 12/31/2019 | Cumulative change in U.S. real GDP from 12/31/2019 | 0.2 | % | 2.7 | % | 4.3 | % | Cumulative change in U.S. real GDP from 12/31/2019 | 3.3 | % | 5.0 | % | 6.2 | % |
| | | Assumptions at December 31, 2020 | | Assumptions at December 31, 2020 |
| | 2Q21 | 4Q21 | 2Q22 | | 2Q21 | 4Q21 | 2Q22 |
U.S. unemployment rate(a) | U.S. unemployment rate(a) | 6.8 | % | 5.7 | % | 5.1 | % | U.S. unemployment rate(a) | 6.8 | % | 5.7 | % | 5.1 | % |
| Cumulative change in U.S. real GDP from 12/31/2019 | Cumulative change in U.S. real GDP from 12/31/2019 | (1.9) | % | 0.6 | % | 2.0 | % | 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.
Note 13 – Variable interest entities
Refer to Note 1 of JPMorgan Chase’s 2020 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 Business | Transaction Type | Activity | Form 10-Q page references |
| CCB | Credit card securitization trusts | Securitization of originated credit card receivables | 137155 |
| Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 137-139155-157 |
| CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans | 137-139155-157 |
| Multi-seller conduits | Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs | 139157 |
| Municipal bond vehicles | Financing of municipal bond investments | 139157 |
The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 140-141158–159 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
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 140 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 2020 Form 10-K for a detailed discussion of JPMorgan Chase's involvement with credit card securitizations and Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts.
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 141 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 141-142 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
| | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) |
| March 31, 2021 (in millions) | Total assets held by securitization VIEs | Assets
held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | | Trading assets | Investment securities | Other financial assets | Total interests held by JPMorgan
Chase | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Total assets held by securitization VIEs | Assets
held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | | Trading assets | Investment securities | Other financial assets | Total interests held by JPMorgan
Chase |
Securitization-related(a) | Securitization-related(a) | | Securitization-related(a) | |
| Residential mortgage: | Residential mortgage: | | Residential mortgage: | |
| Prime/Alt-A and option ARMs | Prime/Alt-A and option ARMs | $ | 49,200 | | $ | 1,502 | | $ | 39,678 | | | $ | 484 | | $ | 581 | | $ | 0 | | $ | 1,065 | | Prime/Alt-A and option ARMs | $ | 52,280 | | $ | 1,057 | | $ | 43,700 | | | $ | 561 | | $ | 572 | | $ | 100 | | $ | 1,233 | |
| Subprime | Subprime | 12,427 | | 146 | | 11,602 | | | 6 | | 0 | | 0 | | 6 | | Subprime | 11,430 | | 29 | | 10,537 | | | 3 | | — | | — | | 3 | |
Commercial and other(b) | Commercial and other(b) | 121,213 | | 0 | | 86,649 | | | 741 | | 1,780 | | 278 | | 2,799 | | Commercial and other(b) | 135,904 | | — | | 110,012 | | | 861 | | 2,443 | | 324 | | 3,628 | |
| Total | Total | $ | 182,840 | | $ | 1,648 | | $ | 137,929 | | | $ | 1,231 | | $ | 2,361 | | $ | 278 | | $ | 3,870 | | 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, 2020 (in millions) | December 31, 2020 (in millions) | Total assets held by securitization VIEs | Assets
held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | | Trading assets | Investment securities | Other financial assets | Total interests held by
JPMorgan
Chase | December 31, 2020 (in millions) | Total assets held by securitization VIEs | Assets
held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | | Trading assets | Investment securities | Other financial assets | Total interests held by
JPMorgan
Chase |
Securitization-related(a) | Securitization-related(a) | | Securitization-related(a) | |
| Residential mortgage: | Residential mortgage: | | Residential mortgage: | |
| Prime/Alt-A and option ARMs | Prime/Alt-A and option ARMs | $ | 49,644 | | $ | 1,693 | | $ | 41,265 | | | $ | 574 | | $ | 724 | | $ | 0 | | $ | 1,298 | | Prime/Alt-A and option ARMs | $ | 49,644 | | $ | 1,693 | | $ | 41,265 | | | $ | 574 | | $ | 724 | | $ | — | | $ | 1,298 | |
| Subprime | Subprime | 12,896 | | 46 | | 12,154 | | | 9 | | 0 | | 0 | | 9 | | Subprime | 12,896 | | 46 | | 12,154 | | | 9 | | — | | — | | 9 | |
Commercial and other(b) | Commercial and other(b) | 119,732 | | 0 | | 92,351 | | | 955 | | 1,549 | | 262 | | 2,766 | | Commercial and other(b) | 119,732 | | — | | 92,351 | | | 955 | | 1,549 | | 262 | | 2,766 | |
| Total | Total | $ | 182,272 | | $ | 1,739 | | $ | 145,770 | | | $ | 1,538 | | $ | 2,273 | | $ | 262 | | $ | 4,073 | | 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 141-142 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; securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities; senior and subordinated securities of $74$167 million and $39$72 million, respectively, at March 31,September 30, 2021, and $105 million and $40 million, respectively, at December 31, 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 March 31,both September 30, 2021 and December 31, 2020, 74% and 73%, respectively, of the Firm’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $1.0$1.1 billion and $1.3 billion of investment-grade retained interests, and $33$131 million and $41 million of noninvestment-grade retained interests at March 31,September 30, 2021, and December 31, 2020, respectively. The retained interests in commercial and other securitization trusts consisted of $2.8 billion and $2.0 billion of investment-grade retained interests, and $854 million and $753 million of noninvestment-grade retained interests at both March 31,September 30, 2021 and December 31, 2020.2020, respectively.
Residential mortgage
The Firm securitizes residential mortgage loans originated by CCB, as well as residential mortgage loans purchased from third parties by either CCB or CIB. Refer to the table on page 140 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 the table on page 140 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
The following table presents the principal amount of securities transferred to re-securitization VIEs.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | (in millions) | 2021 | | 2020 | | 2021 | | 2020 |
| Transfers of securities to VIEs | Transfers of securities to VIEs | | | Transfers of securities to VIEs | |
| | U.S. GSEs and government agencies | U.S. GSEs and government agencies | $ | 13,105 | | | $ | 2,717 | | | 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 March 31,September 30, 2021 and 2020, respectively, and retained interests in any such Firm-sponsored VIEs as of March 31,September 30, 2021 and December 31, 2020 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) | March 31, 2021 | | December 31, 2020 | (in millions) | September 30, 2021 | | December 31, 2020 |
| U.S. GSEs and government agencies | U.S. GSEs and government agencies | | U.S. GSEs and government agencies | |
| Interest in VIEs | Interest in VIEs | $ | 2,530 | | | $ | 2,631 | | Interest in VIEs | $ | 2,074 | | | $ | 2,631 | |
As of March 31,September 30, 2021, and December 31, 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
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 $10.9$12.5 billion and $13.5 billion of the commercial paper issued by the Firm-administered multi-seller conduits at March 31,September 30, 2021, and December 31, 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 $14.2$12.5 billion and $12.2 billion at March 31,September 30, 2021, and December 31, 2020, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 22 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 page 141 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 2020 Form 10-K for a more detailed description of JPMorgan Chase’s participation in certain re-securitization transactions, principal involvement with Firm-administered multi-seller conduits, and Municipal bond vehicles.
Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of March 31,September 30, 2021, and December 31, 2020.
| | | Assets | | Liabilities | | Assets | | Liabilities |
| March 31, 2021 (in millions) | Trading assets | Loans | | Other(c) | Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) | Total
liabilities | |
| September 30, 2021 (in millions) | | September 30, 2021 (in millions) | Trading assets | Loans | | Other(c) | Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) | Total
liabilities |
| VIE program type | VIE program type | | VIE program type | |
| Firm-sponsored credit card trusts | Firm-sponsored credit card trusts | $ | 0 | $ | 10,716 | | $ | 133 | $ | 10,849 | | $ | 4,319 | $ | 2 | $ | 4,321 | Firm-sponsored credit card trusts | $ | — | $ | 10,606 | | $ | 97 | $ | 10,703 | | $ | 2,396 | $ | 1 | $ | 2,397 |
| Firm-administered multi-seller conduits | Firm-administered multi-seller conduits | 3 | 19,642 | | 187 | 19,832 | | 9,030 | 34 | 9,064 | Firm-administered multi-seller conduits | 2 | 21,077 | | 76 | 21,155 | | 8,612 | 37 | 8,649 |
| Municipal bond vehicles | Municipal bond vehicles | 1,989 | 0 | | 4 | 1,993 | | 1,958 | 0 | 1,958 | Municipal bond vehicles | 2,009 | — | | 4 | 2,013 | | 1,976 | — | 1,976 |
Mortgage securitization entities(a) | Mortgage securitization entities(a) | 0 | 1,520 | | 102 | 1,622 | | 305 | 102 | 407 | Mortgage securitization entities(a) | — | 1,091 | | 47 | 1,138 | | 216 | 90 | 306 |
| | Other | Other | 2 | 1,631 | (b) | 275 | 1,908 | | 59 | 101 | 160 | Other | — | 2,578 | (b) | 292 | 2,870 | | 57 | 106 | 163 |
| Total | Total | $ | 1,994 | $ | 33,509 | | $ | 701 | $ | 36,204 | | $ | 15,671 | $ | 239 | $ | 15,910 | Total | $ | 2,011 | $ | 35,352 | | $ | 516 | $ | 37,879 | | $ | 13,257 | $ | 234 | $ | 13,491 |
| | | Assets | | Liabilities | | Assets | | Liabilities |
| December 31, 2020 (in millions) | December 31, 2020 (in millions) | Trading assets | Loans | | Other(c) | Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) | Total
liabilities | December 31, 2020 (in millions) | Trading assets | Loans | | Other(c) | Total assets(d) | | Beneficial interests in VIE assets(e) | Other(f) | Total
liabilities |
| VIE program type | VIE program type | | VIE program type | |
| Firm-sponsored credit card trusts | Firm-sponsored credit card trusts | $ | 0 | $ | 11,962 | | $ | 148 | $ | 12,110 | | $ | 4,943 | $ | 3 | $ | 4,946 | Firm-sponsored credit card trusts | $ | — | $ | 11,962 | | $ | 148 | $ | 12,110 | | $ | 4,943 | $ | 3 | $ | 4,946 |
| Firm-administered multi-seller conduits | Firm-administered multi-seller conduits | 2 | 23,787 | | 188 | 23,977 | | 10,523 | 33 | 10,556 | Firm-administered multi-seller conduits | 2 | 23,787 | | 188 | 23,977 | | 10,523 | 33 | 10,556 |
| Municipal bond vehicles | Municipal bond vehicles | 1,930 | 0 | | 2 | 1,932 | | 1,902 | 0 | 1,902 | Municipal bond vehicles | 1,930 | — | | 2 | 1,932 | | 1,902 | — | 1,902 |
Mortgage securitization entities(a) | Mortgage securitization entities(a) | 0 | 1,694 | | 94 | 1,788 | | 210 | 108 | 318 | Mortgage securitization entities(a) | — | 1,694 | | 94 | 1,788 | | 210 | 108 | 318 |
| | Other | Other | 2 | 176 | | 249 | 427 | | 0 | 89 | Other | 2 | 176 | | 249 | 427 | | — | 89 |
| Total | Total | $ | 1,934 | $ | 37,619 | | $ | 681 | $ | 40,234 | | $ | 17,578 | $ | 233 | $ | 17,811 | Total | $ | 1,934 | $ | 37,619 | | $ | 681 | $ | 40,234 | | $ | 17,578 | $ | 233 | $ | 17,811 |
(a)Includes residential and commercial mortgage securitizations.
(b)Includes $1.2 billion ofPredominantly 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.
(d)The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.
(e)The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.”VIEs”. The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $4.7$2.7 billion and $5.2 billion at March 31,September 30, 2021, and December 31, 2020, respectively.
(f)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
VIEs sponsored by third parties
The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that 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 $23.1$24.7 billion and $23.6 billion, of which $8.5$8.6 billion and $8.7 billion was unfunded at March 31,September 30, 2021 and December 31, 2020, respectively. The 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, may withhold varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 25 of JPMorgan Chase’s 2020 Form 10-K for further information on affordable housing tax credits and Note 22 of this Form 10-Q for more information on off-balance sheet lending-related commitments.
Customer municipal bond vehicles (TOB trusts)
The Firm may provide various services to customer TOB trusts, including remarketing agent, liquidity or tender option provider. In certain customer TOB transactions, the Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder.
In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate customer TOB trusts, since the Firm does not have the power to make decisions that significantly impact the economic performance of the municipal bond vehicle.
The Firm’s maximum exposure as a liquidity provider to customer TOB trusts at March 31,September 30, 2021 and December 31, 2020 was $6.5$6.9 billion and $6.7 billion, respectively. The fair value of assets held by such VIEs at March 31,September 30, 2021 and December 31, 2020 was $10.2$10.6 billion and $10.5 billion, respectively.
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 2020 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 March 31,September 30, 2021 and 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 March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| | 2021 | | 2020 | | | 2021 | | 2020 | | 2021 | | 2020 |
| (in millions) | (in millions) | 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 securitized | Principal securitized | $ | 4,077 | | $ | 1,912 | | | $ | 3,064 | | $ | 3,188 | | | 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) | $ | 4,234 | | $ | 1,970 | | | $ | 3,136 | | $ | 3,273 | | | 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 collected | Servicing fees collected | 41 | | 0 | | | 62 | | 0 | | | Servicing fees collected | 39 | | — | | | 54 | | 1 | | | 121 | | — | | | 165 | | 1 | |
| Cash flows received on interests | Cash flows received on interests | 183 | | 52 | | | 117 | | 29 | | | Cash flows received on interests | 121 | | 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)Represents prime 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 22 of this Form 10-Q for additional information about the Firm’s loan sales- and securitization-related indemnifications and Note 14 for additional information about the impact of the Firm’s sale of certain excess MSRs.
The following table summarizes the activities related to loans sold to the U.S. GSEs, and loans in securitization transactions pursuant to Ginnie Mae guidelines.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | 2020 | | (in millions) | 2021 | 2020 | | 2021 | 2020 |
| Carrying value of loans sold | Carrying value of loans sold | $ | 23,147 | | $ | 24,935 | | | Carrying value of loans sold | $ | 29,033 | | $ | 18,065 | | | $ | 76,639 | | $ | 60,447 | |
| Proceeds received from loan sales as cash | Proceeds received from loan sales as cash | 16 | | 9 | | | Proceeds received from loan sales as cash | 70 | | 5 | | | 110 | | 27 | |
Proceeds from loan sales as securities(a)(b) | Proceeds from loan sales as securities(a)(b) | 22,749 | | 24,663 | | | 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) | $ | 22,765 | | $ | 24,672 | | | 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) | $ | 4 | | $ | 4 | | | 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 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 11 for additional information.
The following table presents loans the Firm repurchased or had an option to repurchase, real estate owned, and foreclosed government-guaranteed residential mortgage loans recognized on the Firm’s Consolidated balance sheets as of March 31,September 30, 2021 and December 31, 2020. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
| | (in millions) | (in millions) | Mar 31,
2021 | Dec 31,
2020 | (in millions) | Sep 30,
2021 | Dec 31,
2020 |
Loans repurchased or option to repurchase(a) | Loans repurchased or option to repurchase(a) | $ | 1,332 | | $ | 1,413 | | Loans repurchased or option to repurchase(a) | $ | 1,103 | | $ | 1,413 | |
| Real estate owned | Real estate owned | 8 | | 9 | | Real estate owned | 5 | | 9 | |
Foreclosed government-guaranteed residential mortgage loans(b) | Foreclosed government-guaranteed residential mortgage loans(b) | 55 | | 64 | | 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 March 31,September 30, 2021, and December 31, 2020.
| | | | | | | Net liquidation losses | | | | | | Net liquidation losses |
| | Securitized assets | | 90 days past due | | Three months ended March 31, | | | Securitized assets | | 90 days past due | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | Mar 31,
2021 | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | 2021 | 2020 | | (in millions) | Sep 30,
2021 | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 | | 2021 | 2020 | | 2021 | 2020 |
| Securitized loans | Securitized loans | | | Securitized loans | |
| Residential mortgage: | Residential mortgage: | | | Residential mortgage: | |
| Prime / Alt-A & option ARMs | Prime / Alt-A & option ARMs | $ | 39,678 | | $ | 41,265 | | | $ | 4,414 | | $ | 4,988 | | | $ | 12 | | $ | 99 | | | Prime / Alt-A & option ARMs | $ | 43,700 | | $ | 41,265 | | | $ | 3,160 | | $ | 4,988 | | | $ | — | | $ | 9 | | | $ | 14 | | $ | 184 | |
| Subprime | Subprime | 11,602 | | 12,154 | | | 2,231 | | 2,406 | | | 18 | | 86 | | | Subprime | 10,537 | | 12,154 | | | 1,808 | | 2,406 | | | — | | 24 | | | 18 | | 159 | |
| Commercial and other | Commercial and other | 86,649 | | 92,351 | | | 4,753 | | 5,958 | | | 21 | | 10 | | | Commercial and other | 110,012 | | 92,351 | | | 3,254 | | 5,958 | | | 244 | | — | | | 265 | | 11 | |
| Total loans securitized | Total loans securitized | $ | 137,929 | | $ | 145,770 | | | $ | 11,398 | | $ | 13,352 | | | $ | 51 | | $ | 195 | | | Total loans securitized | $ | 164,249 | | $ | 145,770 | | | $ | 8,222 | | $ | 13,352 | | | $ | 244 | | $ | 33 | | | $ | 297 | | $ | 354 | |
Note 14 – Goodwill and Mortgage servicing rights
Refer to Note 15 of JPMorgan Chase’s 2020 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) | (in millions) | March 31,
2021 | December 31,
2020 | (in millions) | September 30,
2021 | December 31,
2020 |
| Consumer & Community Banking | Consumer & Community Banking | $ | 31,326 | | $ | 31,311 | | Consumer & Community Banking | $ | 31,472 | | $ | 31,311 | |
| Corporate & Investment Bank | Corporate & Investment Bank | 7,912 | | 7,913 | | Corporate & Investment Bank | 7,906 | | 7,913 | |
| Commercial Banking | Commercial Banking | 2,985 | | 2,985 | | Commercial Banking | 2,986 | | 2,985 | |
| Asset & Wealth Management | Asset & Wealth Management | 7,020 | | 7,039 | | Asset & Wealth Management | 7,222 | | 7,039 | |
| Corporate | | Corporate | 727 | | — | |
| Total goodwill | Total goodwill | $ | 49,243 | | $ | 49,248 | | Total goodwill | $ | 50,313 | | $ | 49,248 | |
The following table presents changes in the carrying amount of goodwill.
| | | Three months ended March 31, | | | Three months ended September 30, | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | | 2020 | | | (in millions) | 2021 | | 2020 | 2021 | | 2020 |
Balance at beginning of period | Balance at beginning of period | $ | 49,248 | | | $ | 47,823 | | | | 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) | 1,065 | | | — | | 1,065 | | | — | |
| Other | Other | (5) | | (a) | (23) | | (b) | | Other | (8) | | | 8 | | — | | | (4) | |
| Balance at March 31, | $ | 49,243 | | | $ | 47,800 | | | | |
| Balance at September 30, | | Balance at September 30, | $ | 50,313 | | | $ | 47,819 | | $ | 50,313 | | | $ | 47,819 | |
(a)Includes adjustments toFor the three and nine months ended September 30, 2021, represents estimated goodwill related toassociated with the prior period acquisitions of cxLoyaltyNutmeg in CCBCorporate, OpenInvest and 55ipCampbell Global in AWM during the fourth quarter of 2020. Refer to Note 15 of JPMorgan Chase’s 2020 Form 10-K for additional information on these acquisitions.and Frank in CCB.
(b)Primarily foreign currency adjustments.adjustments and adjustments to goodwill related to prior period acquisitions.
Goodwill impairment testing
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, including the primary method used to estimate the fair value of the reporting units and the assumptions used in the goodwill impairment test. 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 March 31,September 30, 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 actual 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 March 31,September 30, 2021, or December 31, 2020, nor was goodwill written off due to impairment during the threenine months ended March 31,September 30, 2021 or 2020.
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 2020 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 March 31,September 30, 2021 and 2020.
| | | As of or for the three months
ended March 31, | | | 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) | 2021 | 2020 | | (in millions, except where otherwise noted) | 2021 | 2020 | | 2021 | 2020 | | |
| Fair value at beginning of period | Fair value at beginning of period | $ | 3,276 | | $ | 4,699 | | | Fair value at beginning of period | $ | 4,549 | | $ | 3,080 | | | $ | 3,276 | | $ | 4,699 | | | |
| MSR activity: | MSR activity: | | | MSR activity: | | |
| Originations of MSRs | Originations of MSRs | 404 | | 271 | | | Originations of MSRs | 429 | | 204 | | | 1,252 | | 639 | | | |
| Purchase of MSRs | Purchase of MSRs | 179 | | 2 | | | Purchase of MSRs | 584 | | 17 | | | 1,158 | | 24 | | | |
Disposition of MSRs(a) | Disposition of MSRs(a) | 1 | | (75) | | | Disposition of MSRs(a) | 1 | | (104) | | | (23) | | (177) | | | |
| Net additions/(dispositions) | Net additions/(dispositions) | 584 | | 198 | | | Net additions/(dispositions) | 1,014 | | 117 | | | 2,387 | | 486 | | | |
| | Changes due to collection/realization of expected cash flows | Changes due to collection/realization of expected cash flows | (187) | | (248) | | | 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) | 836 | | (1,370) | | | 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) | (24) | | (1) | | | Projected cash flows (e.g., cost to service) | 119 | | (82) | | | 96 | | (80) | | | |
| Discount rates | Discount rates | 0 | | 0 | | | Discount rates | — | | 199 | | | — | | 199 | | | |
Prepayment model changes and other(c) | Prepayment model changes and other(c) | (15) | | (11) | | | Prepayment model changes and other(c) | (263) | | (24) | | | (307) | | (5) | | | |
| Total changes in valuation due to other inputs and assumptions | Total changes in valuation due to other inputs and assumptions | (39) | | (12) | | | Total changes in valuation due to other inputs and assumptions | (144) | | 93 | | | (211) | | 114 | | | |
| Total changes in valuation due to inputs and assumptions | Total changes in valuation due to inputs and assumptions | 797 | | (1,382) | | | Total changes in valuation due to inputs and assumptions | (11) | | 34 | | | 258 | | (1,459) | | | |
| Fair value at March 31, | $ | 4,470 | | $ | 3,267 | | | |
| 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 March 31, | $ | 797 | | $ | (1,382) | | | |
| 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, | $ | (11) | | $ | 34 | | | $ | 258 | | $ | (1,459) | | | |
| Contractual service fees, late fees and other ancillary fees included in income | Contractual service fees, late fees and other ancillary fees included in income | 291 | | 364 | | | Contractual service fees, late fees and other ancillary fees included in income | 334 | | 333 | | | 932 | | 1,026 | | | |
| Third-party mortgage loans serviced at March 31, (in billions) | 444 | | 506 | | | |
Servicer advances, net of an allowance for uncollectible amounts, at March 31, (in billions)(d) | 1.8 | | 1.7 | | | |
| Third-party mortgage loans serviced at September 30, (in billions) | | 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 | | 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.
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 March 31,September 30, 2021 and 2020.
| | | Three months ended March 31, | | | Three months ended September 30, | | Nine months ended September 30, |
| (in millions) | (in millions) | 2021 | 2020 | | (in millions) | 2021 | 2020 | | 2021 | 2020 |
| | CCB mortgage fees and related income | CCB mortgage fees and related income | | | CCB mortgage fees and related income | |
| Production revenue | Production revenue | $ | 757 | | $ | 319 | | | Production 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 revenue | Loan servicing revenue | 248 | | 339 | | | Loan servicing revenue | 328 | | 381 | | | 892 | | 1,063 | |
| Changes in MSR asset fair value due to collection/realization of expected cash flows | Changes in MSR asset fair value due to collection/realization of expected cash flows | (187) | | (248) | | | Changes in MSR asset fair value due to collection/realization of expected cash flows | (201) | | (215) | | | (570) | | (710) | |
| Total operating revenue | Total operating revenue | 61 | | 91 | | | Total operating revenue | 127 | | 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) | 836 | | (1,370) | | | 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) | (39) | | (12) | | | 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 other | Changes in derivative fair value and other | (912) | | 1,292 | | | Changes in derivative fair value and other | (134) | | 111 | | | (621) | | 1,593 | |
| Total risk management | Total risk management | (115) | | (90) | | | Total risk management | (145) | | 145 | | | (363) | | 134 | |
| Total net mortgage servicing revenue | Total net mortgage servicing revenue | (54) | | 1 | | | Total net mortgage servicing revenue | (18) | | 311 | | | (41) | | 487 | |
| | Total CCB mortgage fees and related income | Total CCB mortgage fees and related income | 703 | | 320 | | | Total CCB mortgage fees and related income | 596 | | 1,076 | | | 1,847 | | 2,313 | |
| | All other | All other | 1 | | 0 | | | All other | 4 | | 11 | | | 8 | | 11 | |
| Mortgage fees and related income | Mortgage fees and related income | $ | 704 | | $ | 320 | | | 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 March 31,September 30, 2021, and December 31, 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) | Mar 31,
2021 | | Dec 31,
2020 | (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) | 10.28 | % | | 14.90 | % | Weighted-average prepayment speed assumption (constant prepayment rate) | 10.12 | % | | 14.90 | % |
| Impact on fair value of 10% adverse change | Impact on fair value of 10% adverse change | $ | (195) | | | $ | (206) | | Impact on fair value of 10% adverse change | $ | (220) | | | $ | (206) | |
| Impact on fair value of 20% adverse change | Impact on fair value of 20% adverse change | (375) | | | (392) | | Impact on fair value of 20% adverse change | (423) | | | (392) | |
Weighted-average option adjusted spread(a) | Weighted-average option adjusted spread(a) | 6.65 | % | | 7.19 | % | Weighted-average option adjusted spread(a) | 6.56 | % | | 7.19 | % |
| Impact on fair value of a 100 basis point adverse change | Impact on fair value of a 100 basis point adverse change | $ | (197) | | | $ | (134) | | Impact on fair value of a 100 basis point adverse change | $ | (226) | | | $ | (134) | |
| Impact on fair value of a 200 basis point adverse change | Impact on fair value of a 200 basis point adverse change | (379) | | | (258) | | 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.
Note 15 – Deposits
Refer to Note 17 of JPMorgan Chase’s 2020 Form 10-K for further information on deposits.
At March 31,September 30, 2021 and December 31, 2020, noninterest-bearing and interest-bearing deposits were as follows.
| | (in millions) | (in millions) | March 31,
2021 | | December 31, 2020 | (in millions) | September 30,
2021 | | December 31, 2020 |
| U.S. offices | U.S. offices | | U.S. offices | |
Noninterest-bearing (included $9,436 and $9,873 at fair value)(a) | $ | 629,139 | | | $ | 572,711 | | |
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 $2,579 and $2,567 at fair value)(a) | 1,266,856 | | | 1,197,032 | | |
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. offices | Total deposits in U.S. offices | 1,895,995 | | | 1,769,743 | | Total deposits in U.S. offices | 2,000,530 | | | 1,769,743 | |
| Non-U.S. offices | Non-U.S. offices | | Non-U.S. offices | |
Noninterest-bearing (included $1,761 and $1,486 at fair value)(a) | 22,661 | | | 23,435 | | |
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 $331 and $558 at fair value)(a) | 359,456 | | | 351,079 | | |
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. offices | Total deposits in non-U.S. offices | 382,117 | | | 374,514 | | Total deposits in non-U.S. offices | 401,823 | | | 374,514 | |
| Total deposits | Total deposits | $ | 2,278,112 | | | $ | 2,144,257 | | 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 16 – Leases
Refer to Note 18 of JPMorgan Chase’s 2020 Form 10-K for a further discussion on leases.
Firm as lessee
At March 31,September 30, 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 right-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) | March 31, 2021 | December 31, 2020 | | (in millions) | September 30, 2021 | December 31, 2020 | |
| Right-of-use assets | Right-of-use assets | $ | 7,938 | | $ | 8,006 | | | Right-of-use assets | $ | 7,837 | | $ | 8,006 | | |
| Lease liabilities | Lease liabilities | 8,421 | | 8,508 | | | Lease liabilities | 8,262 | | 8,508 | | |
The Firm’s net rental expense was $490 million and $475$474 million for the three months ended March 31,September 30, 2021 and 2020, respectively, and $1.5 billion and $1.4 billion for the nine months ended September 30, 2021 and 2020, 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 March 31, | | | Three months ended September 30, | Nine months ended September 30, |
(in millions) |
(in millions) | | 2021 | 2020 | |
(in millions) | | 2021 | 2020 | 2021 | 2020 |
| Operating lease income | Operating lease income | | $ | 1,325 | | $ | 1,413 | | | Operating lease income | | $ | 1,190 | | $ | 1,425 | | $ | 3,792 | | $ | 4,236 | |
| Depreciation expense | Depreciation expense | | 934 | | 1,140 | | | Depreciation expense | | 785 | | 1,035 | | 2,595 | | 3,261 | |
Note 17 - Preferred stock
Refer to Note 21 of JPMorgan Chase’s 2020 Form 10-K for a further discussion on preferred stock.
The following is a summary of JPMorgan Chase’s non-cumulative preferred stock outstanding as of March 31,September 30, 2021 and December 31, 2020, and the quarterly dividend declarations for the three and nine months ended March 31,September 30, 2021 and 2020.
| | | Shares | Carrying value (in millions) | | Contractual rate in effect at March 31, 2021 | Earliest redemption date | Floating 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, 2021 | Earliest redemption date | Floating annualized rate(a) | Dividend declared
per share | |
| | March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020 | Issue date | Three months ended
March 31, | | | | September 30, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | Floating annualized rate(a) | Three months ended September 30, | Nine months ended September 30, | |
| | | | Contractual rate in effect at March 31, 2021 | Earliest redemption date | Floating annualized rate of three-month LIBOR/ Term SOFR plus: | 2021 | 2020 | | Contractual rate in effect at September 30, 2021 | Earliest redemption date | Floating annualized rate(a) |
| Fixed-rate: | Fixed-rate: | | Fixed-rate: | |
| | | Series Y | Series Y | 0 | | 0 | | $ | 0 | | $ | 0 | | 2/12/2015 | 0 | % | 3/1/2020 | NA | $0 | $153.13 | | | Series Y | — | | — | | $ | — | | $ | — | | 2/12/2015 | — | % | 3/1/2020 | NA | $— | $— | $— | $153.13 | |
| Series AA | Series AA | 142,500 | | 142,500 | | 1,425 | | 1,425 | | 6/4/2015 | 6.100 | | 9/1/2020 | NA | 152.50 | 152.50 | | | Series AA | — | | 142,500 | | — | | 1,425 | | 6/4/2015 | — | | 9/1/2020 | NA | — | 152.50 | 305.00 | 457.50 | |
| Series BB | Series BB | 115,000 | | 115,000 | | 1,150 | | 1,150 | | 7/29/2015 | 6.150 | | 9/1/2020 | NA | 153.75 | 153.75 | | | Series BB | — | | 115,000 | | — | | 1,150 | | 7/29/2015 | — | | 9/1/2020 | NA | — | 153.75 | 307.50 | 461.25 | |
| Series DD | Series DD | 169,625 | | 169,625 | | 1,696 | | 1,696 | | 9/21/2018 | 5.750 | | 12/1/2023 | NA | 143.75 | 143.75 | | | Series DD | 169,625 | | 169,625 | | 1,696 | | 1,696 | | 9/21/2018 | 5.750 | | 12/1/2023 | NA | 143.75 | 143.75 | 431.25 | 431.25 | |
| Series EE | Series EE | 185,000 | | 185,000 | | 1,850 | | 1,850 | | 1/24/2019 | 6.000 | | 3/1/2024 | NA | 150.00 | 150.00 | | | Series EE | 185,000 | | 185,000 | | 1,850 | | 1,850 | | 1/24/2019 | 6.000 | | 3/1/2024 | NA | 150.00 | 150.00 | 450.00 | 450.00 | |
| Series GG | Series GG | 90,000 | | 90,000 | | 900 | | 900 | | 11/7/2019 | 4.750 | | 12/1/2024 | NA | 118.75 | 150.42 | | (a) | Series GG | 90,000 | | 90,000 | | 900 | | 900 | | 11/7/2019 | 4.750 | | 12/1/2024 | NA | 118.75 | 118.75 | 356.25 | 387.92 | (b) |
| Series JJ | Series JJ | 150,000 | | 0 | | 1,500 | | 0 | | 3/17/2021 | 4.550 | | 6/1/2026 | NA | NA | NA | | (b) | Series JJ | 150,000 | | — | | 1,500 | | — | | 3/17/2021 | 4.550 | | 6/1/2026 | NA | 113.75 | NA | 207.28 | NA | (c) |
| Series LL | | Series LL | 185,000 | | — | | 1,850 | | — | | 5/20/2021 | 4.625 | | 6/1/2026 | NA | 129.76 | NA | 129.76 | NA | (d) |
| Series MM | | Series MM | 200,000 | | — | | 2,000 | | — | | 7/29/2021 | 4.200 | | 9/1/2026 | NA | — | NA | — | NA | (e) |
| Fixed-to-floating-rate: | Fixed-to-floating-rate: | | | | Fixed-to-floating-rate: | |
| Series I | Series I | 293,375 | | 293,375 | | $ | 2,934 | | $ | 2,934 | | 4/23/2008 | LIBOR + 3.47% | 4/30/2018 | LIBOR + 3.47% | $93.06 | $132.44 | | | Series I | 293,375 | | 293,375 | | $ | 2,934 | | $ | 2,934 | | 4/23/2008 | LIBOR + 3.47% | 4/30/2018 | LIBOR + 3.47% | $90.96 | $95.53 | $276.42 | $334.90 | |
| Series Q | Series Q | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 4/23/2013 | 5.150 | | 5/1/2023 | LIBOR + 3.25 | 128.75 | 128.75 | | | Series Q | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 4/23/2013 | 5.150 | | 5/1/2023 | LIBOR + 3.25 | 128.75 | 128.75 | 386.25 | 386.25 | |
| Series R | Series R | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 7/29/2013 | 6.000 | | 8/1/2023 | LIBOR + 3.30 | 150.00 | 150.00 | | | Series R | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 7/29/2013 | 6.000 | | 8/1/2023 | LIBOR + 3.30 | 150.00 | 150.00 | 450.00 | 450.00 | |
| Series S | Series S | 200,000 | | 200,000 | | 2,000 | | 2,000 | | 1/22/2014 | 6.750 | | 2/1/2024 | LIBOR + 3.78 | 168.75 | 168.75 | | | Series S | 200,000 | | 200,000 | | 2,000 | | 2,000 | | 1/22/2014 | 6.750 | | 2/1/2024 | LIBOR + 3.78 | 168.75 | 168.75 | 506.25 | 506.25 | |
| Series U | Series U | 100,000 | | 100,000 | | 1,000 | | 1,000 | | 3/10/2014 | 6.125 | | 4/30/2024 | LIBOR + 3.33 | 153.13 | 153.13 | | | Series U | 100,000 | | 100,000 | | 1,000 | | 1,000 | | 3/10/2014 | 6.125 | | 4/30/2024 | LIBOR + 3.33 | 153.13 | 153.13 | 459.38 | 459.38 | |
| Series V | Series V | 250,000 | | 250,000 | | 2,500 | | 2,500 | | 6/9/2014 | LIBOR + 3.32% | 7/1/2019 | LIBOR + 3.32 | 85.97 | 130.73 | | | Series V | 250,000 | | 250,000 | | 2,500 | | 2,500 | | 6/9/2014 | LIBOR + 3.32% | 7/1/2019 | LIBOR + 3.32 | 88.55 | 92.41 | 263.54 | 343.30 | |
| Series X | Series X | 160,000 | | 160,000 | | 1,600 | | 1,600 | | 9/23/2014 | 6.100 | | 10/1/2024 | LIBOR + 3.33 | 152.50 | 152.50 | | | Series X | 160,000 | | 160,000 | | 1,600 | | 1,600 | | 9/23/2014 | 6.100 | | 10/1/2024 | LIBOR + 3.33 | 152.50 | 152.50 | 457.50 | 457.50 | |
| Series Z | Series Z | 200,000 | | 200,000 | | 2,000 | | 2,000 | | 4/21/2015 | LIBOR + 3.80% | 5/1/2020 | LIBOR + 3.80 | 101.24 | 132.50 | | (c) | Series Z | 200,000 | | 200,000 | | 2,000 | | 2,000 | | 4/21/2015 | LIBOR + 3.80% | 5/1/2020 | LIBOR + 3.80 | 99.23 | 102.40 | 300.97 | 352.05 | (f) |
| Series CC | Series CC | 125,750 | | 125,750 | | 1,258 | | 1,258 | | 10/20/2017 | 4.625 | | 11/1/2022 | LIBOR + 2.58 | 115.63 | 115.63 | | | Series CC | 125,750 | | 125,750 | | 1,258 | | 1,258 | | 10/20/2017 | 4.625 | | 11/1/2022 | LIBOR + 2.58 | 115.63 | 115.63 | 346.88 | 346.88 | |
| Series FF | Series FF | 225,000 | | 225,000 | | 2,250 | | 2,250 | | 7/31/2019 | 5.000 | | 8/1/2024 | SOFR + 3.38 | 125.00 | 125.00 | | | Series FF | 225,000 | | 225,000 | | 2,250 | | 2,250 | | 7/31/2019 | 5.000 | | 8/1/2024 | SOFR + 3.38 | 125.00 | 125.00 | 375.00 | 375.00 | |
| Series HH | Series HH | 300,000 | | 300,000 | | 3,000 | | 3,000 | | 1/23/2020 | 4.600 | | 2/1/2025 | SOFR + 3.125 | 115.00 | 125.22 | | (d) | Series HH | 300,000 | | 300,000 | | 3,000 | | 3,000 | | 1/23/2020 | 4.600 | | 2/1/2025 | SOFR + 3.125 | 115.00 | 115.00 | 345.00 | 355.22 | (g) |
| Series II | Series II | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 2/24/2020 | 4.000 | | 4/1/2025 | SOFR + 2.745 | 100.00 | NA | | (e) | Series II | 150,000 | | 150,000 | | 1,500 | | 1,500 | | 2/24/2020 | 4.000 | | 4/1/2025 | SOFR + 2.745 | 100.00 | 100.00 | 300.00 | 241.11 | (h) |
| Series KK | | Series KK | 200,000 | | — | | 2,000 | | — | | 5/12/2021 | 3.650 | | 6/1/2026 | CMT + 2.85 | 110.51 | NA | 110.51 | NA | (i) |
| Total preferred stock | Total preferred stock | 3,156,250 | | 3,006,250 | | $ | 31,563 | | $ | 30,063 | | | | | Total preferred stock | 3,483,750 | | 3,006,250 | | $ | 34,838 | | $ | 30,063 | | |
(a)Floating 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.
(b)(c)NaN dividendsDividends in the amount of $93.53 per share were declared for Series JJon April 9, 2021 and include dividends from the original issue date of March 17, 2021 through Marchthough 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.
(c)(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 which the dividend rate was fixed at 5.3% or $265.00 per share payable semi annually.
(d)(g)Dividends 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.
(e)(h)NaN dividendsDividends in the amount of $141.11 per share were declared for Series IIon May 15, 2020 and include dividends from the original issue date of February 24, 2020 through MarchJune 30, 2020. Dividends were declared quarterly thereafter at 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, 2020.2021.
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 $31.9$35.2 billion at March 31,September 30, 2021.
Redemptions
On April 30,June 1, 2021, the Firm announced that it will redeem on June 1, 2021redeemed all $1.4$1.43 billion of its outstanding 6.10% non-cumulative preferred stock, Series AA and all $1.2$1.15 billion of its outstanding 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.
Note 18 – Earnings per share
Refer to Note 23 of JPMorgan Chase’s 2020 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 March 31,September 30, 2021 and 2020.
| | (in millions, except per share amounts) | (in millions, except per share amounts) | Three months ended
March 31, | | (in millions, except per share amounts) | Three months ended September 30, | | Nine months ended September 30, |
| 2021 | 2020 | | (in millions, except per share amounts) | 2021 | 2020 | | 2021 | 2020 |
| Basic earnings per share | Basic earnings per share | | | |
| Net income | Net income | $ | 14,300 | | $ | 2,865 | | | Net income | $ | 11,687 | | $ | 9,443 | | | $ | 37,935 | | $ | 16,995 | |
| Less: Preferred stock dividends | Less: Preferred stock dividends | 379 | | 421 | | | Less: Preferred stock dividends | 402 | | 381 | | | 1,174 | | 1,203 | |
| Net income applicable to common equity | Net income applicable to common equity | 13,921 | | 2,444 | | | Net income applicable to common equity | 11,285 | | 9,062 | | | 36,761 | | 15,792 | |
| Less: Dividends and undistributed earnings allocated to participating securities | Less: Dividends and undistributed earnings allocated to participating securities | 70 | | 13 | | | Less: Dividends and undistributed earnings allocated to participating securities | 56 | | 47 | | | 185 | | 80 | |
| Net income applicable to common stockholders | Net income applicable to common stockholders | $ | 13,851 | | $ | 2,431 | | | 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 | 3,073.5 | | 3,095.8 | | | Total weighted-average basic shares outstanding | 2,999.9 | | 3,077.8 | | | 3,036.4 | | 3,083.3 | |
| Net income per share | Net income per share | $ | 4.51 | | $ | 0.79 | | | Net income per share | $ | 3.74 | | $ | 2.93 | | | $ | 12.05 | | $ | 5.10 | |
| | Diluted earnings per share | Diluted earnings per share | | | Diluted earnings per share | |
| Net income applicable to common stockholders | Net income applicable to common stockholders | $ | 13,851 | | $ | 2,431 | | | 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 | 3,073.5 | | 3,095.8 | | | 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 RSUs | Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs | 5.4 | | 4.9 | | | Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs | 5.2 | | 5.0 | | | 5.3 | | 4.8 | |
| Total weighted-average diluted shares outstanding | Total weighted-average diluted shares outstanding | 3,078.9 | | 3,100.7 | | | Total weighted-average diluted shares outstanding | 3,005.1 | | 3,082.8 | | | 3,041.7 | | 3,088.1 | |
| Net income per share | Net income per share | $ | 4.50 | | $ | 0.78 | | | Net income per share | $ | 3.74 | | $ | 2.92 | | | $ | 12.02 | | $ | 5.09 | |
Note 19 – Accumulated other comprehensive income/(loss)
AOCI includes the after-tax change in unrealized gains and losses on investment securities, foreign currency translation adjustments (including the impact of related derivatives), fair value changes of excluded components on fair value hedges, cash flow hedging activities, net loss and prior service costs/(credit) related to the Firm’s defined benefit pension and OPEB plans, and fair value option-elected liabilities arising from changes in the Firm’s own credit risk (DVA).
| As of or for the three months ended
March 31, 2021
(in millions) | | Unrealized
gains/(losses)
on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit
pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | |
| 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 hedges | | Fair value hedges | Cash flow hedges | | Defined benefit
pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) |
| | Balance at July 1, 2021 | | Balance at July 1, 2021 | | $ | 4,515 | | | $ | (659) | | | $ | (163) | | | $ | 725 | | | $ | (1,055) | | | $ | (793) | | | $ | 2,570 | | |
| Net change | | Net change | | (434) | | | (187) | | | 9 | | | (450) | | | 6 | | | (551) | | | (1,607) | | |
| Balance at September 30, 2021 | | Balance 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 hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) |
| | Balance at July 1, 2020 | | Balance at July 1, 2020 | | $ | 7,920 | | | $ | (895) | | | $ | (27) | | | $ | 2,762 | | | $ | (1,318) | | | $ | 347 | | | $ | 8,789 | | |
| Net change | | Net change | | 514 | | | 127 | | | (69) | | | (70) | | | (12) | | | (339) | | | 151 | | |
| Balance at September 30, 2020 | | 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, 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 hedges | | Fair value hedges | Cash flow hedges | | Defined benefit
pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) |
| | Balance at January 1, 2021 | Balance at January 1, 2021 | | $ | 8,180 | | | $ | (473) | | | $ | (112) | | | $ | 2,383 | | | $ | (1,132) | | | $ | (860) | | | $ | 7,986 | | | Balance at January 1, 2021 | | $ | 8,180 | | | $ | (473) | | | $ | (112) | | | $ | 2,383 | | | $ | (1,132) | | | $ | (860) | | | $ | 7,986 | | |
| Net change | | (4,339) | | | (250) | | | (28) | | | (2,249) | | | 68 | | | (147) | | | (6,945) | | | |
| Balance at March 31, 2021 | | $ | 3,841 | | (a) | | $ | (723) | | | $ | (140) | | | $ | 134 | | | $ | (1,064) | | | $ | (1,007) | | | $ | 1,041 | | | |
| As of or for the three months ended
March 31, 2020
(in millions) | | Unrealized
gains/(losses)
on investment securities | | Translation adjustments, net of hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | |
| | Balance at January 1, 2020 | | $ | 4,057 | | | $ | (707) | | | $ | (131) | | | $ | 63 | | | $ | (1,344) | | | $ | (369) | | | $ | 1,569 | | | |
| Net change | | 1,119 | | | (330) | | | 88 | | | 2,465 | | | 33 | | | 2,474 | | | 5,849 | | | |
| Balance at March 31, 2020 | | $ | 5,176 | | (a) | | $ | (1,037) | | | $ | (43) | | | $ | 2,528 | | | $ | (1,311) | | | $ | 2,105 | | | $ | 7,418 | | | |
| | | | Net change | | Net change | | (4,099) | | | (373) | | | (42) | | | (2,108) | | | 83 | | | (484) | | | (7,023) | | |
| Balance at September 30, 2021 | | Balance 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 hedges | | Fair value hedges | Cash flow hedges | | Defined benefit pension and
OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) |
| | Balance at January 1, 2020 | | Balance at January 1, 2020 | | $ | 4,057 | | | $ | (707) | | | $ | (131) | | | $ | 63 | | | $ | (1,344) | | | $ | (369) | | | $ | 1,569 | | |
| | | | | Net change | | Net change | | 4,377 | | | (61) | | | 35 | | | 2,629 | | | 14 | | | 377 | | | 7,371 | | |
| Balance at September 30, 2020 | | Balance at September 30, 2020 | | $ | 8,434 | | (a) | | $ | (768) | | | $ | (96) | | | $ | 2,692 | | | $ | (1,330) | | | $ | 8 | | | $ | 8,940 | | |
(a)As of March 31, 2021 and 2020, includesIncludes after-tax net unamortized unrealized gains of $2.9$2.7 billion and $737 million related to AFS securities that have been transferred to HTM respectively.at both September 30, 2021 and 2020. Refer to Note 10 of JPMorgan Chase's 2020 Form 10-K for further information.
The following table presents the pre-tax and after-tax changes in the components of OCI.
| | | 2021 | | 2020 | | 2021 | | 2020 |
Three months ended March 31,
(in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax | |
Three months ended September 30,
(in millions) | | Three months ended September 30,
(in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax |
| Unrealized gains/(losses) on investment securities: | Unrealized gains/(losses) on investment securities: | | Unrealized gains/(losses) on investment securities: | |
| Net unrealized gains/(losses) arising during the period | Net unrealized gains/(losses) arising during the period | $ | (5,693) | | | $ | 1,365 | | | $ | (4,328) | | | $ | 1,709 | | | $ | (413) | | | $ | 1,296 | | 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) | (14) | | | 3 | | | (11) | | | (233) | | | 56 | | | (177) | | Reclassification adjustment for realized (gains)/losses included in net income(a) | 256 | | | (61) | | | 195 | | | (473) | | | 114 | | | (359) | |
| Net change | Net change | (5,707) | | | 1,368 | | | (4,339) | | | 1,476 | | | (357) | | | 1,119 | | Net change | (570) | | | 136 | | | (434) | | | 670 | | | (156) | | | 514 | |
| Translation adjustments: | | |
Translation adjustments(b): | | Translation adjustments(b): | |
| Translation | Translation | (1,200) | | | 39 | | | (1,161) | | | (1,592) | | | 55 | | | (1,537) | | Translation | (1,030) | | | 63 | | | (967) | | | 871 | | | (86) | | | 785 | |
| Hedges | Hedges | 1,200 | | | (289) | | | 911 | | | 1,589 | | | (382) | | | 1,207 | | Hedges | 1,028 | | | (248) | | | 780 | | | (868) | | | 210 | | | (658) | |
| Net change | Net change | 0 | | | (250) | | | (250) | | | (3) | | | (327) | | | (330) | | Net change | (2) | | | (185) | | | (187) | | | 3 | | | 124 | | | 127 | |
Fair value hedges, net change(b): | (37) | | | 9 | | | (28) | | | 115 | | | (27) | | | 88 | | |
Fair value hedges, net change(c): | | 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 period | Net unrealized gains/(losses) arising during the period | (2,695) | | | 647 | | | (2,048) | | | 3,251 | | | (780) | | | 2,471 | | Net unrealized gains/(losses) arising during the period | (267) | | | 65 | | | (202) | | | 134 | | | (32) | | | 102 | |
Reclassification adjustment for realized (gains)/losses included in net income(c) | (264) | | | 63 | | | (201) | | | (8) | | | 2 | | | (6) | | |
Reclassification adjustment for realized (gains)/losses included in net income(d) | | Reclassification adjustment for realized (gains)/losses included in net income(d) | (326) | | | 78 | | | (248) | | | (227) | | | 55 | | | (172) | |
| Net change | Net change | (2,959) | | | 710 | | | (2,249) | | | 3,243 | | | (778) | | | 2,465 | | Net change | (593) | | | 143 | | | (450) | | | (93) | | | 23 | | | (70) | |
| Defined benefit pension and OPEB plans, net change: | Defined benefit pension and OPEB plans, net change: | 91 | | | (23) | | | 68 | | | 45 | | | (12) | | | 33 | | 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: | (189) | | | 42 | | | (147) | | | 3,255 | | | (781) | | | 2,474 | | 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) | $ | (8,801) | | | $ | 1,856 | | | $ | (6,945) | | | $ | 8,131 | | | $ | (2,282) | | | $ | 5,849 | | Total other comprehensive income/(loss) | $ | (1,874) | | | $ | 267 | | | $ | (1,607) | | | $ | 26 | | | $ | 125 | | | $ | 151 | |
| | | | 2021 | | 2020 |
| Nine months ended September 30,
(in millions) | | Nine months ended September 30,
(in millions) | Pre-tax | | Tax effect | | After-tax | | Pre-tax | | Tax effect | | After-tax |
| Unrealized gains/(losses) on investment securities: | | Unrealized gains/(losses) on investment securities: | |
| Net unrealized gains/(losses) arising during the period | | 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) | 397 | | | (95) | | | 302 | | | (732) | | | 176 | | | (556) | |
| Net change | | Net change | (5,395) | | | 1,296 | | | (4,099) | | | 5,762 | | | (1,385) | | | 4,377 | |
Translation adjustments(b): | | Translation adjustments(b): | |
| Translation | | Translation | (1,950) | | | 92 | | | (1,858) | | | (316) | | | 15 | | | (301) | |
| Hedges | | Hedges | 1,958 | | | (473) | | | 1,485 | | | 316 | | | (76) | | | 240 | |
| Net change | | Net change | 8 | | | (381) | | | (373) | | | — | | | (61) | | | (61) | |
Fair value hedges, net change(c): | | Fair value hedges, net change(c): | (56) | | | 14 | | | (42) | | | 45 | | | (10) | | | 35 | |
| Cash flow hedges: | | Cash flow hedges: | |
| Net unrealized gains/(losses) arising during the period | | 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) | (930) | | | 223 | | | (707) | | | (328) | | | 79 | | | (249) | |
| Net change | | Net change | (2,774) | | | 666 | | | (2,108) | | | 3,459 | | | (830) | | | 2,629 | |
| 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: | (642) | | | 158 | | | (484) | | | 496 | | | (119) | | | 377 | |
| Total other comprehensive income/(loss) | | 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 gains/(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 not material for the three and nine months ended September 30, 2021 and 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 swaps.
(c)(d)The pre-tax amounts are primarily recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income.
Note 20 – Restricted cash and other restricted
assets
Refer to Note 26 of JPMorgan Chase’s 2020 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) | March 31,
2021 | December 31, 2020 | (in billions) | September 30,
2021 | December 31, 2020 |
| Segregated for the benefit of securities and cleared derivative customers | Segregated for the benefit of securities and cleared derivative customers | 15.7 | | 19.3 | | Segregated for the benefit of securities and cleared derivative customers | 16.2 | | 19.3 | |
| Cash reserves at non-U.S. central banks and held for other general purposes | Cash reserves at non-U.S. central banks and held for other general purposes | 5.4 | | 5.1 | | Cash reserves at non-U.S. central banks and held for other general purposes | 5.1 | | 5.1 | |
Total restricted cash(a) | Total restricted cash(a) | $ | 21.1 | | $ | 24.4 | | Total restricted cash(a) | $ | 21.3 | | $ | 24.4 | |
(a)Comprises $19.6$20.0 billion and $22.7 billion in deposits with banks, and $1.5$1.3 billion and $1.7 billion in cash and due from banks on the Consolidated balance sheet as of March 31,September 30, 2021 and December 31, 2020, respectively.
Also, as of March 31,September 30, 2021 and December 31, 2020, the Firm had the following other restricted assets:
•Cash and securities pledged with clearing organizations for the benefit of customers of $39.2$45.7 billion and $37.2 billion, respectively.
•Securities with a fair value of $8.6$24.2 billion and $1.3 billion, respectively, were also restricted in relation to customer activity.
Note 21 – Regulatory capital
Refer to Note 27 of JPMorgan Chase’s 2020 Form 10-K for a detailed discussion on regulatory capital.
The Federal Reserve establishes capital requirements, including well-capitalized requirements, for the consolidated financial holding company. The 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 March 31,September 30, 2021 and December 31, 2020.
| | | Standardized Minimum capital ratios | | Advanced Minimum capital ratios | | Well-capitalized ratios | | Standardized Minimum capital ratios | | Advanced Minimum capital ratios | | Well-capitalized ratios |
| | BHC(a) | IDI(c) | | BHC(a)(b) | IDI(b)(c) | | BHC(d) | IDI(e) | | BHC(a) | IDI(b) | | BHC(a) | IDI(b) | | BHC(c) | IDI(d) |
| Capital ratios | | |
| Risk-based capital ratios | | Risk-based capital ratios | |
| CET1 capital | CET1 capital | 11.3 | % | 7.0 | % | | 10.5 | % | 7.0 | % | | NA | 6.5 | % | CET1 capital | 11.3 | % | 7.0 | % | | 10.5 | % | 7.0 | % | | NA | 6.5 | % |
| Tier 1 capital | Tier 1 capital | 12.8 | | 8.5 | | | 12.0 | | 8.5 | | | 6.0 | % | 8.0 | | Tier 1 capital | 12.8 | | 8.5 | | | 12.0 | | 8.5 | | | 6.0 | % | 8.0 | |
| Total capital | Total capital | 14.8 | | 10.5 | | | 14.0 | | 10.5 | | | 10.0 | | 10.0 | | Total capital | 14.8 | | 10.5 | | | 14.0 | | 10.5 | | | 10.0 | | 10.0 | |
| Tier 1 leverage | 4.0 | | 4.0 | | | 4.0 | | 4.0 | | | NA | 5.0 | | |
| SLR | NA | | 5.0 | | 6.0 | | | NA | 6.0 | | |
|
Note: The table above is as defined by the regulations issued by the Federal Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are subject.
(a)Represents the minimum capital ratios applicable to the Firm. The CET1, Tier 1 and Total capital minimum capital ratios each include a respective minimum requirement plus a GSIB surcharge of 3.5% as calculated under Method 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 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.
(c)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.
(d)(c)Represents requirements for bank holding companies pursuant to regulations issued by the Federal Reserve.
(e)(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 |
| | BHC | IDI | | BHC(b) | IDI |
| Leverage-based capital ratios | | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| Tier 1 leverage | | 4.0 | % | 4.0 | % | | NA | 5.0 | % |
| SLR | | 5.0 | | 6.0 | | | NA | 6.0 | |
Note: The table above is as defined by the regulations issued by the Federal Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are subject.
(b)The Federal Reserve's regulations do not establish well-capitalized thresholds for these measures for BHCs.
CECL regulatory capital transition delay
As part of their response to the impact of the COVID-19 pandemic, the federal banking agencies issued a final rule 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.
The Firm has elected to apply the CECL capital transition provisions, and accordingly, for the period ended March 31,September 30, 2021, the capital metrics of the Firm exclude $4.5$3.3 billion,
which is the $2.7 billion day 1 impact to retained earnings and 25% of the $7.0$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 have also been incorporated into Tier 2 capital, adjusted average assets, and total leverage exposure. Refer to Note 27 of JPMorgan Chase’s 2020 Form 10-K for further information on CECL capital transition provisions.
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 March 31,September 30, 2021 and December 31, 2020, JPMorgan Chase and JPMorgan Chase Bank, N.A. were well-capitalized and met all capital requirements to which each was subject.
| March 31, 2021
(in millions, except ratios) | Basel III Standardized | | | Basel III Advanced | | |
JPMorgan Chase & Co.(c)(a) | JPMorgan Chase Bank, N.A.(c) | | | JPMorgan
Chase & Co.(c) | JPMorgan
Chase Bank, N.A.(c) | | |
September 30, 2021
(in millions, except ratios) | | September 30, 2021
(in millions, except ratios) | Basel III Standardized | | | Basel III Advanced | |
| JPMorgan Chase & Co.(c)(a) | JPMorgan Chase Bank, N.A.(a) | | | JPMorgan
Chase & Co.(a) | JPMorgan
Chase Bank, N.A.(a) | |
| Risk-based capital metrics: | Risk-based capital metrics: | | | | | Risk-based capital metrics: | | | | |
| CET1 capital | CET1 capital | $ | 206,078 | | $ | 242,464 | | | | $ | 206,078 | | $ | 242,464 | | | CET1 capital | $ | 209,917 | | $ | 259,990 | | | | $ | 209,917 | | $ | 259,990 | | |
| Tier 1 capital | Tier 1 capital | 237,333 | | 242,466 | | | | 237,333 | | 242,466 | | | Tier 1 capital | 244,207 | | 259,994 | | | | 244,207 | | 259,994 | | |
| Total capital | Total capital | 271,407 | | 260,288 | | | | 258,635 | | 247,867 | | | Total capital | 274,994 | | 276,303 | | | | 264,469 | | 265,403 | | |
| | Risk-weighted assets | Risk-weighted assets | 1,577,007 | | 1,503,158 | | | | 1,503,828 | | 1,361,577 | | | Risk-weighted assets | 1,628,406 | | 1,562,370 | | | | 1,544,512 | | 1,396,725 | | |
| | CET1 capital ratio | CET1 capital ratio | 13.1 | % | 16.1 | % | | | 13.7 | % | 17.8 | % | | CET1 capital ratio | 12.9 | % | 16.6 | % | | | 13.6 | % | 18.6 | % | |
| Tier 1 capital ratio | Tier 1 capital ratio | 15.0 | | 16.1 | | | | 15.8 | | 17.8 | | | Tier 1 capital ratio | 15.0 | | 16.6 | | | | 15.8 | | 18.6 | | |
| Total capital ratio | Total capital ratio | 17.2 | | 17.3 | | | | 17.2 | | 18.2 | | | Total capital ratio | 16.9 | | 17.7 | | | | 17.1 | | 19.0 | | |
| Leverage-based capital metrics: | | | | | |
Adjusted average assets(a) | $ | 3,565,545 | | $ | 3,120,770 | | | | $ | 3,565,545 | | $ | 3,120,770 | | | |
| Tier 1 leverage ratio | 6.7 | % | 7.8 | % | | | 6.7 | % | 7.8 | % | | |
Total leverage exposure(b) | NA | | | $ | 3,522,629 | | $ | 3,867,720 | | | |
SLR(b) | NA | | | 6.7 | % | 6.3 | % | | |
|
| December 31, 2020
(in millions, except ratios) | December 31, 2020
(in millions, except ratios) | Basel III Standardized | | | Basel III Advanced | | December 31, 2020
(in millions, except ratios) | Basel III Standardized | | | Basel III Advanced | |
JPMorgan Chase & Co.(c)(a) | JPMorgan Chase Bank, N.A.(c) | | | JPMorgan Chase & Co.(c) | JPMorgan Chase Bank, N.A.(c) | | JPMorgan Chase & Co.(c)(a) | JPMorgan Chase Bank, N.A.(a) | | | JPMorgan Chase & Co.(a) | JPMorgan Chase Bank, N.A.(a) | |
| Risk-based capital metrics: | Risk-based capital metrics: | | | | | Risk-based capital metrics: | | | | |
| CET1 capital | CET1 capital | $ | 205,078 | | $ | 234,235 | | | | $ | 205,078 | | $ | 234,235 | | | CET1 capital | $ | 205,078 | | $ | 234,235 | | | | $ | 205,078 | | $ | 234,235 | | |
| Tier 1 capital | Tier 1 capital | 234,844 | | 234,237 | | | | 234,844 | | 234,237 | | | Tier 1 capital | 234,844 | | 234,237 | | | | 234,844 | | 234,237 | | |
| Total capital | Total capital | 269,923 | | 252,045 | | | | 257,228 | | 239,673 | | | Total capital | 269,923 | | 252,045 | | | | 257,228 | | 239,673 | | |
| | Risk-weighted assets | Risk-weighted assets | 1,560,609 | | 1,492,138 | | | | 1,484,431 | | 1,343,185 | | | Risk-weighted assets | 1,560,609 | | 1,492,138 | | | | 1,484,431 | | 1,343,185 | | |
| | CET1 capital ratio | CET1 capital ratio | 13.1 | % | 15.7 | % | | | 13.8 | % | 17.4 | % | | CET1 capital ratio | 13.1 | % | 15.7 | % | | | 13.8 | % | 17.4 | % | |
| Tier 1 capital ratio | Tier 1 capital ratio | 15.0 | | 15.7 | | | | 15.8 | | 17.4 | | | Tier 1 capital ratio | 15.0 | | 15.7 | | | | 15.8 | | 17.4 | | |
| Total capital ratio | Total capital ratio | 17.3 | | 16.9 | | | | 17.3 | | 17.8 | | | Total capital ratio | 17.3 | | 16.9 | | | | 17.3 | | 17.8 | | |
| Leverage-based capital metrics: | | | | | |
Adjusted average assets(a) | $ | 3,353,319 | | $ | 2,970,285 | | | | $ | 3,353,319 | | $ | 2,970,285 | | | |
| Tier 1 leverage ratio | 7.0 | % | 7.9 | % | | | 7.0 | % | 7.9 | % | | |
Total leverage exposure(b) | NA | | | $ | 3,401,542 | | $ | 3,688,797 | | | |
SLR(b) | NA | | | 6.9 | % | 6.3 | % | | |
|
(a)The capital metrics reflect the CECL capital transition provisions. Additionally, loans originated under the PPP receive a zero percent risk weight.
| | | | | | | | | | | | | | | | | | | |
(in millions, except ratios) | September 30, 2021 | | | December 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 ratio | 6.6 | % | 8.1 | % | | | 7.0 | % | 7.9 | % | |
| Total leverage exposure | $ | 4,463,904 | | $ | 4,003,800 | | | | $ | 3,401,542 | | $ | 3,688,797 | | |
| SLR | 5.5 | % | 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)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 which became effective April 1, 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 March 31, 2021 and December 31, 2020, JPMorgan Chase Bank, N.A. did not elect to apply this exclusion.
(c)The capital metrics reflect the CECL capital transition provisions. Additionally, loans originated under the PPP receive a zero percent risk weight.
Note 22 – 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 2020 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 12 for further information regarding the allowance for credit losses on lending-related commitments.
The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at March 31,September 30, 2021, and December 31, 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.
| | Off–balance sheet lending-related financial instruments, guarantees and other commitments | Off–balance sheet lending-related financial instruments, guarantees and other commitments | | Off–balance sheet lending-related financial instruments, guarantees and other commitments | |
| | Contractual amount | | Carrying value(i) | | Contractual amount | | Carrying value(i) |
| | March 31, 2021 | | Dec 31,
2020 | | Mar 31,
2021 | Dec 31,
2020 | | September 30, 2021 | | Dec 31,
2020 | | Sep 30,
2021 | Dec 31,
2020 |
By remaining maturity
(in millions) | By remaining maturity
(in millions) | Expires in 1 year or less | Expires after
1 year through
3 years | Expires after
3 years through
5 years | Expires after 5 years | Total | | Total | | | By remaining maturity
(in millions) | Expires in 1 year or less | Expires after
1 year through
3 years | Expires after
3 years through
5 years | Expires after 5 years | Total | | Total | | |
| Lending-related | Lending-related | | | | Lending-related | | | |
| Consumer, excluding credit card: | Consumer, excluding credit card: | | | | Consumer, excluding credit card: | | | |
Residential real estate(a) | Residential real estate(a) | $ | 25,751 | | $ | 1,741 | | $ | 4,347 | | $ | 12,813 | | $ | 44,652 | | | $ | 46,047 | | | $ | 203 | | $ | 148 | | Residential real estate(a) | $ | 26,748 | | $ | 2,030 | | $ | 5,313 | | $ | 10,451 | | $ | 44,542 | | | $ | 46,047 | | | $ | 130 | | $ | 148 | |
| Auto and other | Auto and other | 10,779 | | 0 | | 2 | | 812 | | 11,593 | | | 11,272 | | | 0 | | 0 | | Auto and other | 11,255 | | — | | — | | 887 | | 12,142 | | | 11,272 | | | — | | — | |
| Total consumer, excluding credit card | Total consumer, excluding credit card | 36,530 | | 1,741 | | 4,349 | | 13,625 | | 56,245 | | | 57,319 | | | 203 | | 148 | | Total consumer, excluding credit card | 38,003 | | 2,030 | | 5,313 | | 11,338 | | 56,684 | | | 57,319 | | | 130 | | 148 | |
Credit card(b) | Credit card(b) | 674,367 | | 0 | | 0 | | 0 | | 674,367 | | | 658,506 | | | 0 | | 0 | | Credit card(b) | 710,610 | | — | | — | | — | | 710,610 | | | 658,506 | | | — | | — | |
Total consumer(b)(c) | Total consumer(b)(c) | 710,897 | | 1,741 | | 4,349 | | 13,625 | | 730,612 | | | 715,825 | | | 203 | | 148 | | 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(d) | Other unfunded commitments to extend credit(d) | 111,754 | | 179,670 | | 130,536 | | 20,902 | | 442,862 | | | 415,828 | | | 2,290 | | 2,148 | | Other unfunded commitments to extend credit(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) | 17,294 | | 7,658 | | 8,497 | | 1,324 | | 34,773 | | | 30,982 | | | 692 | | 443 | | 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) | 3,225 | | 156 | | 227 | | 1 | | 3,609 | | | 3,053 | | | 29 | | 14 | | Other letters of credit(d) | 3,936 | | 372 | | 93 | | — | | 4,401 | | | 3,053 | | | 10 | | 14 | |
Total wholesale(c) | Total wholesale(c) | 132,273 | | 187,484 | | 139,260 | | 22,227 | | 481,244 | | | 449,863 | | | 3,011 | | 2,605 | | Total wholesale(c) | 131,685 | | 193,127 | | 147,542 | | 26,882 | | 499,236 | | | 449,863 | | | 2,711 | | 2,605 | |
| Total lending-related | Total lending-related | $ | 843,170 | | $ | 189,225 | | $ | 143,609 | | $ | 35,852 | | $ | 1,211,856 | | | $ | 1,165,688 | | | $ | 3,214 | | $ | 2,753 | | Total lending-related | $ | 880,298 | | $ | 195,157 | | $ | 152,855 | | $ | 38,220 | | $ | 1,266,530 | | | $ | 1,165,688 | | | $ | 2,841 | | $ | 2,753 | |
| Other guarantees and commitments | Other guarantees and commitments | | | | Other guarantees and commitments | | | |
Securities lending indemnification agreements and guarantees(e) | Securities lending indemnification agreements and guarantees(e) | $ | 297,754 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 297,754 | | | $ | 250,418 | | | $ | 0 | | $ | 0 | | Securities lending indemnification agreements and guarantees(e) | $ | 306,562 | | $ | — | | $ | — | | $ | — | | $ | 306,562 | | | $ | 250,418 | | | $ | — | | $ | — | |
| Derivatives qualifying as guarantees | Derivatives qualifying as guarantees | 2,142 | | 195 | | 12,043 | | 39,200 | | 53,580 | | | 54,415 | | | 318 | | 322 | | Derivatives qualifying as guarantees | 2,828 | | 420 | | 11,693 | | 39,870 | | 54,811 | | | 54,415 | | | 390 | | 322 | |
| Unsettled resale and securities borrowed agreements | Unsettled resale and securities borrowed agreements | 151,549 | | 2,618 | | 0 | | 0 | | 154,167 | | | 96,848 | | | 3 | | 2 | | Unsettled resale and securities borrowed agreements | 150,495 | | 6,839 | | — | | — | | 157,334 | | | 102,355 | | (h) | 1 | | 2 | |
| Unsettled repurchase and securities loaned agreements | Unsettled repurchase and securities loaned agreements | 107,597 | | 836 | | 0 | | 0 | | 108,433 | | | 104,901 | | | (1) | | (1) | | Unsettled repurchase and securities loaned agreements | 136,019 | | 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 liability | Mortgage repurchase liability | NA | — | | NA | | NA | | 72 | | 84 | | Mortgage repurchase liability | NA | | NA | | 61 | | 84 | |
| Loans sold with recourse | Loans sold with recourse | NA | — | | NA | 823 | | | 889 | | | 23 | | 23 | | Loans sold with recourse | NA | 807 | | | 889 | | | 20 | | 23 | |
Exchange & clearing house guarantees and commitments(f) | Exchange & clearing house guarantees and commitments(f) | 84,852 | | 0 | | 0 | | 0 | | 84,852 | | | 142,003 | | | 0 | | 0 | | Exchange & clearing house guarantees and commitments(f) | 119,331 | | — | | — | | — | | 119,331 | | | 142,003 | | | — | | — | |
Other guarantees and commitments(g) | Other guarantees and commitments(g) | 8,545 | | 627 | | 363 | | 2,417 | | 11,952 | | | 9,639 | | (h) | 59 | | 52 | | Other guarantees and commitments(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 March 31,September 30, 2021, and December 31, 2020, reflected the contractual amount net of risk participations totaling $61$48 million and $72 million, respectively, for other unfunded commitments to extend credit; $8.1$7.9 billion and $8.5 billion, respectively, for standby letters of credit and other financial guarantees; and $597$609 million and $357 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(e)At March 31,September 30, 2021, and December 31, 2020, collateral held by the Firm in support of securities lending indemnification agreements was $314.3$324.0 billion and $264.3 billion, respectively. Securities lending collateral primarily consists of cash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(f)At March 31,September 30, 2021, and December 31, 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.
(g)At March 31,September 30, 2021, and December 31, 2020, primarily includes unfunded commitments to purchase secondary market loans, unfunded commitments related to certain tax-oriented equity investments, and letters of credit hedged by derivative transactions and managed on a market risk basis.other equity investment commitments,
(h)Prior-period amount hasamounts have been revised to conform with the current presentation.
(i)For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, and lending-related commitments for which the fair value option was elected, the carrying value represents the fair value.
Other unfunded commitments to extend credit
Other unfunded commitments to extend credit generally consist of commitments for working capital and general corporate purposes, extensions of credit to support commercial paper facilities and bond financings in the event that those obligations cannot be remarketed to new investors, as well as committed liquidity facilities to clearing organizations. The Firm also issues commitments under
multipurpose facilities which could be drawn upon in several forms, including the issuance of a standby letter of credit.
Standby letters of credit and other financial guarantees
Standby letters of credit and other financial guarantees are conditional lending commitments issued by the Firm to guarantee the performance of a client or customer to a
third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade 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 March 31,September 30, 2021, and December 31, 2020.
Standby letters of credit, other financial guarantees and other letters of credit
| | | March 31, 2021 | | December 31, 2020 | | September 30, 2021 | | December 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) | $ | 26,608 | | | $ | 2,747 | | | $ | 22,850 | | | $ | 2,263 | | Investment-grade(a) | $ | 19,823 | | | $ | 3,502 | | | $ | 22,850 | | | $ | 2,263 | |
Noninvestment-grade(a) | Noninvestment-grade(a) | 8,165 | | | 862 | | | 8,132 | | | 790 | | Noninvestment-grade(a) | 8,120 | | | 899 | | | 8,132 | | | 790 | |
| Total contractual amount | Total contractual amount | $ | 34,773 | | | $ | 3,609 | | | $ | 30,982 | | | $ | 3,053 | | Total contractual amount | $ | 27,943 | | | $ | 4,401 | | | $ | 30,982 | | | $ | 3,053 | |
| | Allowance for lending-related commitments | Allowance for lending-related commitments | $ | 82 | | | $ | 29 | | | $ | 80 | | | $ | 14 | | Allowance for lending-related commitments | $ | 78 | | | $ | 10 | | | $ | 80 | | | $ | 14 | |
| Guarantee liability | Guarantee liability | 610 | | | 0 | | | 363 | | | 0 | | Guarantee liability | 536 | | | — | | | 363 | | | — | |
| Total carrying value | Total carrying value | $ | 692 | | | $ | 29 | | | $ | 443 | | | $ | 14 | | Total carrying value | $ | 614 | | | $ | 10 | | | $ | 443 | | | $ | 14 | |
| | Commitments with collateral | Commitments with collateral | $ | 21,434 | | | $ | 879 | | | $ | 17,238 | | | $ | 498 | | 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 11 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 2020 Form 10-K for further information on these derivatives.
The following table summarizes the derivatives qualifying as guarantees as of March 31,September 30, 2021, and December 31, 2020.
| | (in millions) | (in millions) | March 31, 2021 | | December 31, 2020 | (in millions) | September 30, 2021 | | December 31, 2020 |
| | Notional amounts | Notional amounts | | Notional amounts | |
| Derivative guarantees | Derivative guarantees | $ | 53,580 | | | $ | 54,415 | | Derivative guarantees | $ | 54,811 | | | $ | 54,415 | |
| Stable value contracts with contractually limited exposure | Stable value contracts with contractually limited exposure | 27,782 | | | 27,752 | | Stable value contracts with contractually limited exposure | 29,741 | | | 27,752 | |
| Maximum exposure of stable value contracts with contractually limited exposure | Maximum exposure of stable value contracts with contractually limited exposure | 2,805 | | | 2,803 | | Maximum exposure of stable value contracts with contractually limited exposure | 2,878 | | | 2,803 | |
| | Fair value | Fair value | | Fair value | |
| Derivative payables | Derivative payables | 318 | | | 322 | | Derivative payables | 390 | | | 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 4 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.
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.
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 24 of this Form 10-Q and Note 30 of JPMorgan Chase’s 2020 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 153.173. Refer to Note 11 of JPMorgan Chase’s 2020 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 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 153173 of this Note. Refer to Note 20 of JPMorgan Chase’s 2020 Form 10-K for additional information.
Note 23 – Pledged assets and collateral
Refer to Note 29 of JPMorgan Chase’s 2020 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) | March 31, 2021 | | December 31, 2020 | (in billions) | September 30, 2021 | | December 31, 2020 |
| Assets that may be sold or repledged or otherwise used by secured parties | Assets that may be sold or repledged or otherwise used by secured parties | $ | 219.1 | | | $ | 166.6 | | 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 parties | Assets that may not be sold or repledged or otherwise used by secured parties | 137.9 | | | 113.9 | | Assets that may not be sold or repledged or otherwise used by secured parties | 115.3 | | | 113.9 | |
| Assets pledged at Federal Reserve banks and FHLBs | Assets pledged at Federal Reserve banks and FHLBs | 446.8 | | | 455.3 | | Assets pledged at Federal Reserve banks and FHLBs | 462.9 | | | 455.3 | |
| Total pledged assets | Total pledged assets | $ | 803.8 | | | $ | 735.8 | | 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 13 for additional information on assets and liabilities of consolidated VIEs. Refer to Note 10 for additional information on the Firm’s securities financing activities. Refer to Note 20 of JPMorgan Chase’s 2020 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) | (in billions) | March 31, 2021 | | December 31, 2020 | | (in billions) | September 30, 2021 | | December 31, 2020 | |
| Collateral permitted to be sold or repledged, delivered, or otherwise used | Collateral permitted to be sold or repledged, delivered, or otherwise used | $ | 1,340.6 | | | $ | 1,451.7 | | | Collateral permitted to be sold or repledged, delivered, or otherwise used | $ | 1,417.7 | | | $ | 1,451.7 | | |
| Collateral sold, repledged, delivered or otherwise used | Collateral sold, repledged, delivered or otherwise used | 1,004.0 | | | 1,038.9 | | | Collateral sold, repledged, delivered or otherwise used | 1,085.7 | | | 1,038.9 | | |
Note 24 – Litigation
Contingencies
As of March 31,September 30, 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 $1.5 billion at March 31,September 30, 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.
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 Chase Bank, N.A. applied for summary judgment and was unsuccessful. The claim is ongoing and a trial has been 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
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 other foreign exchange dealers in November 2018. A number of these actions remain pending. Further, a putative class action has been filed against the Firm and other foreign exchange dealers on behalf of certain consumers who purchased foreign currencies at allegedly inflated rates. Another putative class action was brought against the Firm and other foreign exchange dealers on behalf of purported indirect purchasers of FX instruments. In 2020, the Court approved a settlement by the Firm and 11 other defendants of that class action for a total of $10 million. 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. Groups of merchants and retail associations filed a series of class action complaints alleging that Visa and Mastercard, as well as certain banks, conspired to set the price of credit and debit card interchange fees and enacted related rules in violation of antitrust laws. In 2012, the parties initially settled the cases for a cash payment, a temporary reduction of credit card interchange, and modifications to certain credit card network rules. In 2017, after the approval of that settlement was reversed on appeal, the case was remanded
to the United States District Court for the Eastern District of New York for further proceedings consistent with the appellate decision.
The original class action was divided into 2 separate actions, one seeking primarily monetary relief and the other seeking primarily injunctive relief. In September 2018, the parties to the class action seeking monetary relief finalized
an agreement which amends and supersedes the prior settlement agreement. Pursuant to this settlement, the defendants collectively contributed an additional $900 million to the approximately $5.3 billion previously held in escrow from the original settlement. In December 2019, the amended agreement was approved by the District Court. Certain merchants 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 settlement escrow 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. 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 various individual and putative class actions related to benchmark rates, including U.S. dollar 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 other actions, and others are in various stages of litigation. The United States District Court for the Southern District of New York has granted class certification of antitrust claims related to bonds and interest rate swaps sold directly by the defendants, including the Firm. In a consolidated putative class action related to the period that U.S. dollar LIBOR was administered by ICE Benchmark Administration, the District Court granted the motion by defendants, including the Firm, to dismiss plaintiffs’ complaint, and the plaintiffs have
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 a motionmotions 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. Defendants opposed that motion, which remains pending.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, and the Australian Bank Bill Swap Reference Rate remain subject to court approval.
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. The 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.
NaNIn October 2020, 2 putative class action complaints have also beenwere 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 investigations. The Court consolidated these putative class actions in January 2021, and plaintiffs2021. Plaintiffs filed their consolidatedsecond amended complaint in March 2021.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 Bank, 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
2020 ordered the annulment of the ordonnance de renvoi referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel. The Court of Appeal found in January 2021 that it had no power to take further action against JPMorgan Chase Bank, N.A. following the Court of Cassation’s ruling. At the opening of a trial of the managers of Wendel in 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’sChase 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 September 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 was $28$76 million and $197$524 million for the three months ended March 31,September 30, 2021 and 2020, respectively.respectively, and $289 million and $839 million for the nine months ended September 30, 2021 and 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.
Note 25 – 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 2020 Form 10-K for a further discussion of JPMorgan Chase’s business segments.
Segment results
The following table provides a summary of the Firm’s segment results as of or for the three and nine months ended March 31,September 30, 2021 and 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 2020 Form 10-K for additional information on the Firm’s managed basis.
Capital allocation
The amount of capital assigned to each segment 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 98 of JPMorgan Chase’s 2020 Form 10-K for additional information on capital allocation.
| Segment results and reconciliation(a) | Segment results and reconciliation(a) | Segment results and reconciliation(a) |
As of or for the three months
ended March 31,
(in millions, except ratios) | Consumer &
Community Banking | | Corporate &
Investment Bank | | Commercial Banking | | Asset & Wealth Management | |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
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 | | Corporate &
Investment Bank | | Commercial Banking | | Asset & Wealth Management |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| Noninterest revenue | Noninterest revenue | $ | 4,588 | $ | 4,097 | | $ | 11,088 | $ | 6,896 | | $ | 917 | $ | 608 | | $ | 3,146 | $ | 2,529 | Noninterest revenue | $ | 4,138 | $ | 4,863 | | $ | 9,061 | $ | 8,118 | | $ | 988 | $ | 761 | | $ | 3,312 | $ | 2,739 |
| Net interest income | Net interest income | 7,929 | 9,190 | | 3,517 | 3,107 | | 1,476 | 1,557 | | 931 | 860 | Net interest income | 8,383 | 8,032 | | 3,335 | 3,428 | | 1,532 | 1,524 | | 988 | 815 |
| Total net revenue | Total net revenue | 12,517 | 13,287 | | 14,605 | 10,003 | | 2,393 | 2,165 | | 4,077 | 3,389 | Total net revenue | 12,521 | 12,895 | | 12,396 | 11,546 | | 2,520 | 2,285 | | 4,300 | 3,554 |
| Provision for credit losses | Provision for credit losses | (3,602) | 5,772 | | (331) | 1,401 | | (118) | 1,010 | | (121) | 94 | Provision for credit losses | (459) | 795 | | (638) | (81) | | (363) | (147) | | (60) | (52) |
| Noninterest expense | Noninterest expense | 7,202 | 7,269 | | 7,104 | 5,955 | | 969 | 986 | | 2,574 | 2,435 | Noninterest expense | 7,238 | 6,912 | | 5,871 | 5,832 | | 1,032 | 969 | | 2,762 | 2,443 |
| Income/(loss) before income tax expense/(benefit) | Income/(loss) before income tax expense/(benefit) | 8,917 | 246 | | 7,832 | 2,647 | | 1,542 | 169 | | 1,624 | 860 | Income/(loss) before income tax expense/(benefit) | 5,742 | 5,188 | | 7,163 | 5,795 | | 1,851 | 1,463 | | 1,598 | 1,163 |
| Income tax expense/(benefit) | Income tax expense/(benefit) | 2,189 | 49 | | 2,092 | 662 | | 374 | 30 | | 380 | 191 | Income tax expense/(benefit) | 1,401 | 1,317 | | 1,601 | 1,486 | | 444 | 377 | | 404 | 287 |
| Net income/(loss) | Net income/(loss) | $ | 6,728 | $ | 197 | | $ | 5,740 | $ | 1,985 | | $ | 1,168 | $ | 139 | | $ | 1,244 | $ | 669 | Net income/(loss) | $ | 4,341 | $ | 3,871 | | $ | 5,562 | $ | 4,309 | | $ | 1,407 | $ | 1,086 | | $ | 1,194 | $ | 876 |
| Average equity | Average equity | $ | 50,000 | $ | 52,000 | | $ | 83,000 | $ | 80,000 | | $ | 24,000 | $ | 22,000 | | $ | 14,000 | $ | 10,500 | Average equity | $ | 50,000 | $ | 52,000 | | $ | 83,000 | $ | 80,000 | | $ | 24,000 | $ | 22,000 | | $ | 14,000 | $ | 10,500 |
| Total assets | Total assets | 487,978 | 513,352 | | 1,355,123 | 1,216,558 | (b) | 223,583 | 247,786 | | 213,088 | 178,897 | Total assets | 493,169 | 487,063 | | 1,355,752 | 1,088,282 | (b) | 227,670 | 228,583 | | 221,702 | 187,858 |
| ROE | ROE | 54 | % | 1 | % | | 27 | % | 9 | % | | 19 | % | 2 | % | | 35 | % | 25 | % | ROE | 34 | % | 29 | % | | 26 | % | 21 | % | | 22 | % | 19 | % | | 33 | % | 32 | % |
| Overhead ratio | Overhead ratio | 58 | | 55 | | | 49 | | 60 | | | 40 | | 46 | | | 63 | | 72 | | Overhead ratio | 58 | 54 | | | 47 | | 51 | | | 41 | | 42 | | | 64 | | 69 | |
| As of or for the three months ended March 31,
(in millions, except ratios) | Corporate | | Reconciling Items(a) | | Total | | |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | |
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 | |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| Noninterest revenue | Noninterest revenue | $ | 382 | $ | 331 | | $ | (744) | $ | (614) | (b) | $ | 19,377 | $ | 13,847 | (b) | Noninterest revenue | $ | (242) | $ | 343 | | $ | (690) | $ | (582) | (b) | $ | 16,567 | $ | 16,242 | (b) |
| Net interest income | Net interest income | (855) | (165) | | (109) | (110) | | 12,889 | 14,439 | | Net interest income | (1,054) | (682) | | (104) | (104) | | 13,080 | 13,013 | |
| Total net revenue | Total net revenue | (473) | 166 | | (853) | (724) | | 32,266 | 28,286 | | Total net revenue | (1,296) | (339) | | (794) | (686) | | 29,647 | 29,255 | |
| Provision for credit losses | Provision for credit losses | 16 | 8 | | 0 | 0 | | (4,156) | 8,285 | | Provision for credit losses | (7) | 96 | | — | — | | (1,527) | 611 | |
| Noninterest expense | Noninterest expense | 876 | 146 | | 0 | 0 | | 18,725 | 16,791 | | Noninterest expense | 160 | 719 | | — | — | | 17,063 | 16,875 | |
| Income/(loss) before income tax expense/(benefit) | Income/(loss) before income tax expense/(benefit) | (1,365) | 12 | | (853) | (724) | | 17,697 | 3,210 | | Income/(loss) before income tax expense/(benefit) | (1,449) | (1,154) | | (794) | (686) | | 14,111 | 11,769 | |
| Income tax expense/(benefit) | Income tax expense/(benefit) | (785) | 137 | | (853) | (724) | (b) | 3,397 | 345 | (b) | Income tax expense/(benefit) | (632) | (455) | | (794) | (686) | (b) | 2,424 | 2,326 | (b) |
| Net income/(loss) | Net income/(loss) | $ | (580) | $ | (125) | | $ | 0 | $ | 0 | | $ | 14,300 | $ | 2,865 | | Net income/(loss) | $ | (817) | $ | (699) | | $ | — | $ | — | | $ | 11,687 | $ | 9,443 | |
| Average equity | Average equity | $ | 74,542 | $ | 70,030 | | $ | 0 | $ | 0 | | $ | 245,542 | $ | 234,530 | | Average equity | $ | 82,556 | $ | 72,297 | | $ | — | $ | — | | $ | 253,556 | $ | 236,797 | |
| Total assets | Total assets | 1,409,564 | 981,937 | | NA | NA | | 3,689,336 | 3,138,530 | (b) | Total assets | 1,459,283 | 1,253,275 | | NA | NA | | 3,757,576 | 3,245,061 | (b) |
| ROE | ROE | NM | NM | | NM | NM | | 23 | % | 4 | % | | ROE | NM | NM | | NM | NM | | 18 | % | 15 | % | |
| Overhead ratio | Overhead ratio | NM | NM | | NM | NM | | 58 | | 59 | | (b) | Overhead ratio | NM | NM | | NM | NM | | 58 | | 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) Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Segment results and reconciliation(a) |
As of or for the nine months ended September 30,
(in millions, except ratios) | Consumer &
Community Banking | | Corporate &
Investment Bank | | Commercial Banking | | Asset & Wealth Management |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| Noninterest revenue | $ | 13,452 | $ | 13,182 | | $ | 30,061 | $ | 27,318 | | $ | 2,855 | $ | 2,192 | | $ | 9,623 | $ | 7,843 |
| Net interest income | 24,346 | 25,358 | | 10,154 | 10,614 | | 4,541 | 4,658 | | 2,861 | 2,530 |
| Total net revenue | 37,798 | 38,540 | | 40,215 | 37,932 | | 7,396 | 6,850 | | 12,484 | 10,373 |
| Provision for credit losses | (5,929) | 12,395 | | (1,048) | 3,307 | | (858) | 3,294 | | (191) | 265 |
| Noninterest expense | 21,502 | 20,948 | | 19,498 | 18,599 | | 2,982 | 2,848 | | 7,922 | 7,201 |
| Income/(loss) before income tax expense/(benefit) | 22,225 | 5,197 | | 21,765 | 16,026 | | 5,272 | 708 | | 4,753 | 2,907 |
| Income tax expense/(benefit) | 5,522 | 1,305 | | 5,478 | 4,281 | | 1,277 | 164 | | 1,162 | 701 |
| Net income/(loss) | $ | 16,703 | $ | 3,892 | | $ | 16,287 | $ | 11,745 | | $ | 3,995 | $ | 544 | | $ | 3,591 | $ | 2,206 |
| Average equity | $ | 50,000 | $ | 52,000 | | $ | 83,000 | $ | 80,000 | | $ | 24,000 | $ | 22,000 | | $ | 14,000 | $ | 10,500 |
| Total assets | 493,169 | 487,063 | | 1,355,752 | 1,088,282 | (b) | 227,670 | 228,583 | | 221,702 | 187,858 |
| ROE | 44 | % | 9 | % | | 25 | % | 19 | % | | 21 | % | 2 | % | | 33 | % | 27 | % |
| Overhead ratio | 57 | | 54 | | | 48 | | 49 | | | 40 | | 42 | | | 63 | | 69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
As of or for the nine months ended September 30,
(in millions, except ratios) | Corporate | | Reconciling Items(a) | | Total | |
| 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| Noninterest revenue | $ | (68) | $ | 607 | | $ | (2,241) | $ | (1,831) | (b) | $ | 53,682 | $ | 49,311 | (b) |
| Net interest income | (2,870) | (1,534) | | (322) | (321) | | 38,710 | 41,305 | |
| Total net revenue | (2,938) | (927) | | (2,563) | (2,152) | | 92,392 | 90,616 | |
| Provision for credit losses | 58 | 108 | | — | — | | (7,968) | 19,369 | |
| Noninterest expense | 1,551 | 1,012 | | — | — | | 53,455 | 50,608 | |
| Income/(loss) before income tax expense/(benefit) | (4,547) | (2,047) | | (2,563) | (2,152) | | 46,905 | 20,639 | |
| Income tax expense/(benefit) | (1,906) | (655) | | (2,563) | (2,152) | (b) | 8,970 | 3,644 | (b) |
| Net income/(loss) | $ | (2,641) | $ | (1,392) | | $ | — | $ | — | | $ | 37,935 | $ | 16,995 | |
| Average equity | $ | 79,011 | $ | 70,751 | | $ | — | $ | — | | $ | 250,011 | $ | 235,251 | |
| Total assets | 1,459,283 | 1,253,275 | | NA | NA | | 3,757,576 | 3,245,061 | (b) |
| ROE | NM | NM | | NM | NM | | 20 | % | 9 | % | |
| Overhead ratio | NM | NM | | NM | NM | | 58 | | 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) Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Report of Independent Registered Public Accounting Firm
To the Board of Directors and Shareholders of JPMorgan Chase & Co.:
Results of Review of Interim Financial Statements
We have reviewed the accompanying consolidated balance sheet of JPMorgan Chase & Co. and its subsidiaries (the “Firm”) as of March 31,September 30, 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, 2021 and 2020 and the consolidated statements of cash flows for the three-monthnine-month periods ended March 31,September 30, 2021 and 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, 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 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, 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) and are required to be independent with respect to the Firm in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
May 4, 2021
PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
| 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 March 31, 2021 | | Three months ended March 31, 2020 | | Three months ended September 30, 2021 | | Three 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) |
| Assets | Assets | | Assets | |
| Deposits with banks | Deposits with banks | $ | 631,606 | | $ | 65 | | | 0.04 | % | | $ | 279,748 | | $ | 569 | | | 0.82 | % | | Deposits with banks | $ | 756,653 | | $ | 174 | | | 0.09 | % | | $ | 509,979 | | $ | 69 | | | 0.05 | % | |
| Federal funds sold and securities purchased under resale agreements | Federal funds sold and securities purchased under resale agreements | 289,763 | | 233 | | | 0.33 | | | 253,403 | | 1,095 | | | 1.74 | | | Federal funds sold and securities purchased under resale agreements | 262,679 | | 231 | | | 0.35 | | | 277,899 | | 401 | | | 0.57 | | |
| Securities borrowed | Securities borrowed | 175,019 | | (77) | | | (0.18) | | (h) | | 136,127 | | 152 | |
| 0.45 | | | Securities borrowed | 189,418 | | (73) | | | (0.15) | | (h) | | 147,184 | | (128) | |
| (0.35) | | (h) |
| Trading assets – debt instruments | Trading assets – debt instruments | 322,648 | | 1,790 | | | 2.25 | | | 304,808 | | 2,075 | | | 2.74 | | | Trading assets – debt instruments | 275,860 | | 1,689 | | | 2.43 | | | 322,321 | | 1,859 | | | 2.29 | | |
| Taxable securities | Taxable securities | 550,579 | | 1,605 | | | 1.18 | | | 388,223 | | 2,233 | | | 2.31 | | | Taxable securities | 534,771 | | 1,553 | | | 1.15 | | | 515,007 | | 1,816 | | | 1.40 | | |
Nontaxable securities(a) | Nontaxable securities(a) | 31,881 | | 348 | | | 4.43 | | | 33,306 | | 365 | | | 4.41 | | | Nontaxable securities(a) | 30,573 | | 331 | | | 4.30 | | | 33,537 | | 358 | | | 4.25 | | |
| Total investment securities | Total investment securities | 582,460 | | 1,953 | | | 1.36 | | (i) | | 421,529 | | 2,598 | | | 2.48 | | (i) | Total investment securities | 565,344 | | 1,884 | | | 1.32 | | (i) | | 548,544 | | 2,174 | | | 1.58 | | (i) |
| Loans | Loans | 1,013,524 | | 10,217 | | | 4.09 | | | 1,001,504 | | 12,339 | | | 4.96 | | | Loans | 1,042,591 | | 10,473 | | | 3.99 | | | 991,241 | | 10,246 | | | 4.11 | | |
All other interest-earning assets(b) | All other interest-earning assets(b) | 111,549 | | 199 | | | 0.72 | | | 68,430 | | 443 | | | 2.60 | | | All other interest-earning assets(b) | 127,241 | | 206 | | | 0.64 | | | 77,806 | | 183 | | | 0.94 | | |
| Total interest-earning assets | Total interest-earning assets | 3,126,569 | | 14,380 | | | 1.87 | | | 2,465,549 | | 19,271 | | | 3.14 | | | Total interest-earning assets | 3,219,786 | | 14,584 | | | 1.80 | | | 2,874,974 | | 14,804 | | | 2.05 | | |
| Allowance for loan losses | Allowance for loan losses | (28,268) | | | (17,357) | | | Allowance for loan losses | (19,500) | | | (31,574) | | |
| Cash and due from banks | Cash and due from banks | 25,168 | | | 21,668 | | | Cash and due from banks | 27,065 | | | 21,404 | | |
| Trading assets – equity and other instruments | Trading assets – equity and other instruments | 159,727 | | | 114,479 | | | Trading assets – equity and other instruments | 177,315 | | | 124,266 | | (j) | |
| Trading assets – derivative receivables | Trading assets – derivative receivables | 79,013 | | | 66,309 | | | Trading assets – derivative receivables | 65,574 | | | 76,939 | | (j) | |
| Goodwill, MSRs and other intangible Assets | Goodwill, MSRs and other intangible Assets | 53,932 | | | 52,690 | | | Goodwill, MSRs and other intangible Assets | 54,947 | | | 51,547 | | |
All other noninterest-earning assets(c) | All other noninterest-earning assets(c) | 196,700 | | | 185,986 | | | All other noninterest-earning assets(c) | 200,032 | | | 171,562 | | |
| Total assets | Total assets | $ | 3,612,841 | | | $ | 2,889,324 | | | Total assets | $ | 3,725,219 | | | $ | 3,289,118 | | |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 1,610,467 | | $ | 146 | | | 0.04 | % | | $ | 1,216,555 | | $ | 1,575 | | | 0.52 | % | | 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 agreements | Federal funds purchased and securities loaned or sold under repurchase agreements | 301,386 | | 15 | | | 0.02 | | | 243,922 | | 787 | | | 1.30 | | | Federal funds purchased and securities loaned or sold under repurchase agreements | 240,912 | | 119 | | | 0.20 | | | 253,779 | | 105 | | | 0.17 | | |
Short-term borrowings(d) | Short-term borrowings(d) | 42,031 | | 33 | | | 0.31 | | | 37,288 | | 151 | | | 1.63 | | | 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) | 230,922 | | 27 | | | 0.05 | | (h) | | 192,950 | | 372 | | | 0.77 | | | 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 VIEs | Beneficial interests issued by consolidated VIEs | 17,185 | | 27 | | | 0.64 | | | 18,048 | | 90 | | | 2.02 | | | Beneficial interests issued by consolidated VIEs | 14,232 | | 18 | | | 0.50 | | | 19,838 | | 35 | | | 0.71 | | |
| Long-term debt | Long-term debt | 239,398 | | 1,134 | | | 1.92 | | | 243,996 | | 1,747 | | | 2.88 | | | Long-term debt | 257,593 | | 1,054 | | | 1.62 | | | 267,175 | | 1,293 | | | 1.93 | | |
| Total interest-bearing liabilities | Total interest-bearing liabilities | 2,441,389 | | 1,382 | | | 0.23 | | | 1,952,759 | | 4,722 | | | 0.97 | | | Total interest-bearing liabilities | 2,494,643 | | 1,400 | | | 0.22 | | | 2,218,166 | | 1,687 | | | 0.30 | | |
| Noninterest-bearing deposits | Noninterest-bearing deposits | 614,165 | | | 419,631 | | | Noninterest-bearing deposits | 672,609 | | | 551,565 | | |
Trading liabilities – equity and other instruments(f) | Trading liabilities – equity and other instruments(f) | 35,029 | | | 30,721 | | | Trading liabilities – equity and other instruments(f) | 35,505 | | | 32,256 | | |
| Trading liabilities – derivative payables | Trading liabilities – derivative payables | 67,960 | | | 54,990 | | | Trading liabilities – derivative payables | 55,907 | | | 64,599 | | |
All other liabilities, including the allowance for lending-related commitments(c) | All other liabilities, including the allowance for lending-related commitments(c) | 178,444 | | | 167,287 | | | All other liabilities, including the allowance for lending-related commitments(c) | 178,770 | | | 155,672 | | |
| Total liabilities | Total liabilities | 3,336,987 | | | 2,625,388 | | | Total liabilities | 3,437,434 | | | 3,022,258 | | |
| Stockholders’ equity | Stockholders’ equity | | Stockholders’ equity | |
| Preferred stock | Preferred stock | 30,312 | | | 29,406 | | | Preferred stock | 34,229 | | | 30,063 | | |
| Common stockholders’ equity | Common stockholders’ equity | 245,542 | | | 234,530 | | | Common stockholders’ equity | 253,556 | | | 236,797 | | |
| Total stockholders’ equity | Total stockholders’ equity | 275,854 | | | 263,936 | | | Total stockholders’ equity | 287,785 | | | 266,860 | | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 3,612,841 | | | $ | 2,889,324 | | | Total liabilities and stockholders’ equity | $ | 3,725,219 | | | $ | 3,289,118 | | |
| Interest rate spread | Interest rate spread | | 1.64 | % | | 2.17 | % | | Interest rate spread | | 1.58 | % | | 1.75 | % | |
| Net interest income and net yield on interest-earning assets | Net interest income and net yield on interest-earning assets | | $ | 12,998 | | | 1.69 | | | $ | 14,549 | | | 2.37 | | | Net interest income and net yield on interest-earning assets | | $ | 13,184 | | | 1.62 | | | $ | 13,117 | | | 1.82 | | |
(a)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(b)Includes 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 brokerage-related customer payables.
(f)The combined balance of trading liabilities – debt and equity instruments was $126.3$122.5 billion and $101.1$105.0 billion for the three months ended March 31,September 30, 2021 and 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 1.38%1.34% and 2.52%1.61% for the three months ended March 31,September 30, 2021 and 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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, 2021 | | Nine 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 agreements | 269,324 | | 639 | | | 0.32 | | | | 258,607 | | 2,097 | | | 1.08 | | |
| Securities borrowed | 185,127 | | (240) | | | (0.17) | | (h) | | 141,567 | | (151) | | | (0.14) | | (h) |
| Trading assets – debt instruments | 291,673 | | 5,198 | | | 2.38 | | | | 324,061 | | 6,008 | | | 2.48 | | |
| Taxable securities | 546,258 | | 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 securities | 577,566 | | 5,753 | | | 1.33 | | (i) | | 490,322 | | 7,299 | | | 1.99 | | (i) |
| Loans | 1,027,023 | | 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 assets | 3,174,858 | | 43,167 | | | 1.82 | | | | 2,720,636 | | 50,294 | | | 2.47 | | |
| Allowance for loan losses | (23,546) | | | | | | | (24,100) | | | | | |
| Cash and due from banks | 26,338 | | | | | | | 21,745 | | | | | |
| Trading assets – equity and other instruments | 180,253 | | | | | | | 113,431 | | (j) | | | |
| Trading assets – derivative receivables | 70,139 | | | | | | | 73,423 | | (j) | | | |
| Goodwill, MSRs and other intangible Assets | 54,467 | | | | | | | 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 agreements | 267,659 | | 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 VIEs | 15,501 | | 66 | | | 0.57 | | | | 19,407 | | 184 | | | 1.27 | | |
| Long-term debt | 248,581 | | 3,244 | | | 1.74 | | | | 260,194 | | 4,679 | | | 2.40 | | |
| Total interest-bearing liabilities | 2,474,619 | | 4,135 | | | 0.22 | | | | 2,122,098 | | 8,668 | | | 0.55 | | |
| Noninterest-bearing deposits | 647,278 | | | | | | | 495,704 | | | | | |
Trading liabilities – equity and other instruments(f) | 35,312 | | | | | | | 32,258 | | | | | |
| Trading liabilities – derivative payables | 62,089 | | | | | | | 60,936 | | | | | |
All other liabilities, including the allowance for lending-related commitments(c) | 187,601 | | | | | | | 160,059 | | | | | |
| Total liabilities | 3,406,899 | | | | | | | 2,871,055 | | | | | |
| Stockholders’ equity | | | | | | | | | | | |
| Preferred stock | 32,417 | | | | | | | 29,844 | | | | | |
| Common stockholders’ equity | 250,011 | | | | | | | 235,251 | | | | | |
| Total stockholders’ equity | 282,428 | | | | | | | 265,095 | | | | | |
| Total liabilities and stockholders’ equity | $ | 3,689,327 | | | | | | | $ | 3,136,150 | | | | | |
| Interest rate spread | | | | 1.60 | % | | | | | | 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.
(b)Includes 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 brokerage-related customer payables.
(f)The combined balance of trading liabilities – debt and equity instruments was $128.1 billion and $105.0 billion for the nine months ended September 30, 2021 and 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 1.35% and 2.03% for the nine months ended September 30, 2021 and 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.
| | | | | | | | | | | | | | |
| GLOSSARY OF TERMS AND ACRONYMS |
2020 Form 10-K: Annual report on Form 10-K for year ended December 31, 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
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 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- and/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
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
LTV: “Loan-to-value ratio”: For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Origination date LTV ratio
The LTV ratio at the origination date of the loan. Origination date LTV ratios are calculated based on the actual appraised values of collateral (i.e., loan-level data) at the origination date.
Current estimated LTV ratio
An estimate of the LTV as of a certain date. The current estimated LTV ratios are calculated using estimated collateral values derived from a nationally recognized home price index measured at the metropolitan statistical area (“MSA”) level. These MSA-level home price indices consist of actual data to the extent available and forecasted data where actual data is not available. As a result, the estimated collateral values used to calculate these ratios do not represent actual appraised loan-level collateral values; as such, the resulting LTV ratios are necessarily imprecise and should therefore be viewed as estimates.
Combined LTV ratio
The LTV ratio considering all available lien positions, as well as unused lines, related to the property. Combined LTV ratios are used for junior lien home equity products.
Managed basis: A non-GAAP presentation of Firmwide financial results that includes reclassifications to present revenue on a fully taxable-equivalent basis. Management also uses this financial measure at the segment level, because it believes this provides information to enable investors to understand the underlying operational performance and trends of the particular business segment and facilitates a comparison of the business segment with the performance of competitors.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Merchant Services: offers merchants payment processing capabilities, fraud and risk management, data and analytics, and other payments services. Through Merchant Services, merchants of all sizes can accept payments via credit and debit cards and payments in multiple currencies.
MEV: Macroeconomic variable
MBS: Mortgage-backed securities
MD&A: Management’s discussion and analysis
MMLF: Money Market Mutual Fund Liquidity Facility
MMMF: Money market mutual funds
Moody’s: Moody’s Investor Services
Mortgage product types:
Alt-A
Alt-A loans are generally higher in credit quality than subprime loans but have characteristics that would disqualify the borrower from a traditional prime loan. Alt-A lending characteristics may include one or more of the following: (i) limited documentation; (ii) a high CLTV ratio; (iii) loans secured by non-owner occupied properties; or (iv) a debt-to-income ratio above normal limits. A substantial proportion of the Firm’s Alt-A loans are those where a borrower does not provide complete documentation of his or her assets or the amount or source of his or her income.
Option ARMs
The option ARM real estate loan product is an adjustable-rate mortgage loan that provides the borrower with the option each month to make a fully amortizing, interest-only or minimum payment. The minimum payment on an option ARM loan is based on the interest rate charged during the introductory period. This introductory rate is usually significantly below the fully indexed rate. The fully indexed rate is calculated using an index rate plus a margin. Once the introductory period ends, the contractual interest rate charged on the loan increases to the fully indexed rate and adjusts monthly to reflect movements in the index. The minimum payment is typically insufficient to cover interest accrued in the prior month, and any unpaid interest is deferred and added to the principal balance of the loan. Option ARM loans are subject to payment recast, which converts the loan to a variable-rate fully amortizing loan upon meeting specified loan balance and anniversary date triggers.
Prime
Prime mortgage loans are made to borrowers with good credit records who meet specific underwriting requirements, including prescriptive requirements related to income and overall debt levels. New prime mortgage borrowers provide full documentation and generally have reliable payment histories.
Subprime
Subprime loans are loans that, prior to mid-2008, were offered to certain customers with one or more high risk characteristics, including but not limited to: (i) unreliable or poor payment histories; (ii) a high LTV ratio of greater than 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the loan is other than the borrower’s primary residence; or (v) a history of delinquencies or late payments on the loan.
MSA: Metropolitan statistical areas
MSR: Mortgage servicing rights
NA: Data is not applicable or available for the period presented.
NAV: Net Asset Value
Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net charge-off/(recovery) rate: represents net charge-offs/(recoveries) (annualized) divided by average retained loans for the reporting period.
Net interchange income includes the following components:
•Interchange income: Fees earned by credit and debit card issuers on sales transactions.
•Rewards costs: The cost to the Firm for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
•Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
Net yield on interest-earning assets: The average rate for interest-earning assets less the average rate paid for all sources of funds.
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.
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.
PD: Probability of default
Phishing: a type of social engineering cyberattack received through email or online messages.
PPP: Paycheck Protection Program under the Small Business Association ("SBA")
PPPL Facility: Paycheck Protection Program Lending Facility
PRA: Prudential Regulation Authority
Pre-provision profit/(loss): represents total net revenue less noninterest expense. The Firm believes that this financial measure is useful in assessing the ability of a lending institution to generate income in excess of its provision for credit losses.
Principal transactions revenue: Principal transactions revenue is driven by many factors, including the bid-offer spread, which is the difference between the price at which the Firm is willing to buy a financial or other instrument and the price at which the Firm is willing to sell that instrument. It also consists of realized (as a result of closing out or termination of transactions, or interim cash payments) and unrealized (as a result of changes in valuation) gains and losses on financial and other instruments (including those accounted for under the fair value option) primarily used in client-driven market-making activities and on private equity investments. In connection with its client-driven market-making activities, the Firm transacts in debt and equity instruments, derivatives and commodities (including physical commodities inventories and financial instruments that reference commodities). Principal transactions revenue also includes certain realized and unrealized gains and losses related to hedge accounting and specified risk-management activities, including: (a) certain derivatives designated in qualifying hedge accounting relationships (primarily fair value hedges of commodity and foreign exchange risk), (b) certain derivatives used for specific risk management purposes, primarily to mitigate credit risk and foreign exchange risk, and (c) other derivatives.
PSU(s): Performance share units
Regulatory VaR: Daily aggregated VaR calculated in accordance with regulatory rules.
REO: Real estate owned
Reported basis: Financial statements prepared under U.S. GAAP, which excludes the impact of taxable-equivalent adjustments.
Retained loans: Loans that are held-for-investment (i.e. excludes loans held-for-sale and loans at fair value).
Revenue wallet: Total fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications. Source: Dealogic, a third-party provider of investment banking competitive analysis and volume based league tables for the above noted industry products.
RHS: Rural Housing Service of the U.S. Department of Agriculture
ROE: Return on equity
ROTCE: Return on tangible common equity
ROU assets: Right-of-use assets
RSU(s): Restricted stock units
RWA: “Risk-weighted assets”: Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach) which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive
approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced.
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 securities: Securities registered with the SEC under a
shelf registration statement that have not been issued,
offered or sold. These securities are not included in league
tables until 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
credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities; the corresponding income tax impact related to tax-exempt items is recorded within income tax expense.
TBVPS: Tangible book value per share
TCE: Tangible common equity
TDR: “Troubled debt restructuring” is deemed to occur when the Firm modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total Loss Absorbing Capacity
U.K.: United Kingdom
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
U.S.: United States of America
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac which are U.S. government-sponsored enterprises (“U.S. GSEs”). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. GAAP: Accounting principles generally accepted in the United States of America.
U.S. GSE(s): “U.S. government-sponsored enterprises” are quasi-governmental, privately-held entities established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress to improve the flow of credit to specific sectors of the economy and provide certain essential services to the public. U.S. GSEs include Fannie Mae and Freddie Mac, but do not include Ginnie Mae or FHA. U.S. GSE obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government.
U.S. Treasury: U.S. Department of the Treasury
VA: U.S. Department of Veterans Affairs
VaR: “Value-at-risk” is a measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Warehouse loans: consist of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as loans.
CONSUMER & COMMUNITY BANKING (“CCB”)
Debit and credit card sales volume: Dollar amount of card 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.
Production revenue: Includes fees and income recognized as earned on mortgage loans originated with the intent to sell, and the impact of risk management activities associated with the mortgage pipeline and warehouse loans. Production revenue also includes gains and losses on sales and lower of cost or fair value adjustments on mortgage loans held-for-sale (excluding certain repurchased loans insured by U.S. government agencies), and changes in the fair value of financial instruments measured under the fair value option.
Mortgage origination channels comprise the following:
Retail: Borrowers who buy or refinance a home through direct contact with a mortgage banker employed by the Firm using a branch office, the Internet or by phone. Borrowers are frequently referred to a mortgage banker by a banker in a Chase branch, real estate brokers, home builders or other third parties.
Correspondent: Banks, thrifts, other mortgage banks and other financial institutions that sell closed loans to the Firm.
Credit Card: is a business that primarily issues credit cards to consumers and small businesses.
Net revenue rate: represents Credit Card net revenue (annualized) expressed as a percentage of average loans for the period.
Auto loan and lease origination volume: Dollar amount of auto loans and leases originated.
CORPORATE & INVESTMENT BANK (“CIB”)
Definition of selected CIB revenue:
Investment Banking: incorporates all revenue associated with investment banking activities, and is reported net of investment banking revenue shared with other LOBs.
Wholesale Payments includes the following:
•Treasury Services: offers a broad range of products and services that enable clients to manage payments and receipts, as well as invest and manage funds. Products include U.S. dollar and multi-currency clearing, automated clearing house, lockbox, disbursement and reconciliation services, check deposits, and currency-related services;
•Merchant Services: primarily processes transactions for merchants; and
•Trade Finance: which includes loans tied directly to goods crossing borders, export/import loans, commercial letters of credit, standby letters of credit, and supply chain finance.
Lending: includes net interest income, fees, gains or losses on loan sale activity, gains or losses on securities received as part of a loan restructuring, and the risk management results related to the credit portfolio.
Fixed Income Markets: primarily includes revenue related to market-making across global fixed income markets, including foreign exchange, interest rate, credit and commodities markets.
Equity Markets: primarily includes revenue related to market-making across global equity products, including cash instruments, derivatives, convertibles and prime brokerage.
Securities Services: primarily includes custody, fund accounting and administration, and securities lending products sold principally to asset managers, insurance companies and public and private investment funds. Also includes collateral management and depositary receipts businesses which provide collateral management products, and depositary bank services for American and global depositary receipt programs.
Description of certain business metrics:
Assets under custody (“AUC”): represents activities associated with the safekeeping and servicing of assets on which Securities Services earns fees.
Investment banking fees: represents advisory, equity underwriting, bond underwriting and loan syndication fees.
COMMERCIAL BANKING (“CB”)
Commercial Banking provides comprehensive financial solutions, including lending, wholesale payments, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.
Middle Market Banking: covers small 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 Global 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: offers multi-asset investment management solutions across equities, fixed income, alternatives and money market funds to institutional and retail investors providing for a broad range of clients’ investment needs.
Global Private Bank: provides retirement products and services, brokerage, custody, trusts and estates, loans, mortgages, deposits and investment management 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.
Global Institutional: clients include both corporate and public institutions, endowments, foundations, nonprofit organizations and governments worldwide.
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 these rankings. All ratings, the assigned peer
hence excluded from this analysis. All ratings, the assigned peer categories and the asset values used to derive this 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.
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Refer to the Market Risk Management section of Management’s discussion and analysis and pages 135–142 of JPMorgan Chase’s 2020 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. Deficiencies or lapses 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 158 of JPMorgan Chase’s 2020 Form 10-K for further information. There was no change in the Firm’s internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) that occurred during the three months ended March 31,September 30, 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 24 of this Form 10-Q for information that updates the disclosures set forth under Part I, Item 3: Legal Proceedings, in JPMorgan Chase’s 2020 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 8-32 of JPMorgan Chase’s 2020 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 could further negatively affect certain of 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, led towhich included the institution of social distancing and shelter-in-place requirements in certain areas of the U.S. and other countries, resultinghave resulted in ongoing severeadverse 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.
A prolongation or worsening of the pandemic, or the emergence of other diseases that give rise to similar effects, could deepen the adverse impact on the global economy.
The adverse economic conditions caused by the pandemic have had a negative impact on certain of JPMorgan Chase’s businesses and results of operations, including:
•reduction in demand for certain products and services from JPMorgan Chase’s clients and customers, resulting in lower revenue, and
•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
A prolongation or worseningvariants of the COVID-19 pandemic anddisease or the negative economic impactsemergence of the pandemicother diseases that have similar outcomes, could have other significant adverse effects on JPMorgan Chase’s businesses, results of operations and financial condition, including:
•recognition of credit lossescharge-offs and further increases in the allowance for credit losses, especiallyincluding any delayed recognition of charge-offs due to the extent that businesses remain closed, unemployment continues at elevated levels,impact of government stimulus actions or payment assistance provided to clients and customers draw on their lines of credit or significant numbers of people relocate from metropolitan areas
•material impacts on the value of securities, derivatives and other financial instruments which JPMorgan Chase owns or in which it makes markets
•downgrades in JPMorgan Chase’s credit ratings
•constraints on liquidity or capital due to elevated levels of deposits, increases in risk-weighted assets (“RWA”) related to supporting client activities, downgrades 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, shelter-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 vaccination programs and vaccines
•actions taken by governmental authorities and other third parties in response to the pandemic. Those negative effects, including pandemic, and
•the possible recognitioneffect that the pandemic or any prolongation or worsening of charge-offs,the pandemic may be delayedhave on the pace of
becauseeconomic growth, the strength of labor markets, particularly in light of the impactexpiration of priorgovernment 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:
•increased governmental and regulatory scrutiny
•negative publicity, and
•increased exposure to litigation,
any or all of which could increase JPMorgan 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 2020 Form 10-K.
Supervision and regulation
Refer to the Supervision and regulation section on pages 3–7 of JPMorgan Chase’s 2020 Form 10-K for information on Supervision and Regulation.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
The Firm did not have any unregistered sale of equity securities during the three months ended March 31,September 30, 2021.
Repurchases under the common share repurchase program
Refer to Capital Risk Management on pages 36-4148-53 of this Form 10-Q and pages 91-101 of JPMorgan Chase’s 2020 Form 10-K for information regarding repurchases under the Firm’s common share repurchase program.
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 common stock dividends in the first quarterand 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 March 25,June 24, 2021, the Federal Reserve extended theseannounced that the temporary restrictions through at leaston capital distributions would expire on June 30, 2021 as a result of the second quarterFirm remaining above its minimum risk-based capital requirements under the 2021 CCAR stress test. Effective July 1, 2021, the Firm became subject to the normal capital distribution restrictions provided under the regulatory capital framework. The Firm continues to be authorized to repurchase common shares under its existing common share repurchase program previously approved by the Board of 2021.Directors.
Shares repurchased pursuant to the common share repurchase program during the threenine months ended March 31,September 30, 2021, were as follows.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three months ended March 31, 2021 | Total 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) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| January | 9,341,648 | | | $ | 133.18 | | | | | | | $ | 1,244 | | | $ | 28,756 | | |
| February | 10,992,332 | | | 142.06 | | | | | | | 1,562 | | | 27,194 | | |
| March | 14,318,614 | | | 153.15 | | | | | | | 2,193 | | | 25,001 | | |
| First quarter | 34,652,594 | | | $ | 144.25 | | | | | | | $ | 4,999 | | | $ | 25,001 | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Nine months ended September 30, 2021 | Total 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 quarter | 34,652,594 | | | $ | 144.25 | | | | | | | $ | 4,999 | | | $ | 25,001 | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Second quarter | 39,544,940 | | | 156.83 | | | | | | | 6,201 | | | 18,800 | | |
| July | 11,553,877 | | | 153.44 | | | | | | | 1,773 | | | 17,027 | | |
| August | 11,306,308 | | | 157.60 | | | | | | | 1,782 | | | 15,245 | | |
| September | 10,540,632 | | | 159.85 | | | | | | | 1,685 | | | 13,560 | | |
| Third quarter | 33,400,817 | | | 156.87 | | | | | | | 5,240 | | | 13,560 | | |
| Year-to-date | 107,598,351 | | | $ | 152.79 | | | | | | | $ | 16,440 | | | $ | 13,560 | | |
(a)Excludes commissions cost.
(b)Represents the amount remaining under the $30 billion repurchase program.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Item 5. Other Information.
Item 6. Exhibits.
| | | | | | | | |
| Exhibit No. | | Description of Exhibit |
| | |
| 15 | | |
| | |
| 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) |
| 104 | | Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101). |
(a)Filed herewith.
(b)Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
(c)Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended March 31,September 30, 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 March 31,September 30, 2021 and 2020, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and nine months ended March 31,September 30, 2021 and 2020, (iii) the Consolidated balance sheets (unaudited) as of March 31,September 30, 2021, and December 31, 2020, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended March 31,September 30, 2021 and 2020, (v) the Consolidated statements of cash flows (unaudited) for the three and nine months ended March 31,September 30, 2021 and 2020, and (vi) the Notes to Consolidated Financial Statements (unaudited).
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| | |
| JPMorgan Chase & Co. |
| (Registrant) |
| | | | | |
| By: | /s/ Elena Korablina |
| Elena Korablina |
| Managing Director and Firmwide Controller |
| (Principal Accounting Officer) |
| | | | | |
| Date: | May 4,November 2, 2021 |
