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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
 
September 30, 2019
 
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 5.45% Non-Cumulative Preferred Stock, Series P
JPM PR A
The New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.125% Non-Cumulative Preferred Stock, Series Y
JPM PR F
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
Alerian MLP Index ETNs due May 24, 2024
AMJ
NYSE Arca, Inc.
Guarantee of Callable Step-Up Fixed Rate Notes due April 26, 2028 of JPMorgan Chase Financial Company LLC
JPM/28
The New York Stock Exchange
Guarantee of Cushing 30 MLP Index ETNs due June 15, 2037 of JPMorgan Chase Financial Company LLC
PPLN
NYSE Arca, Inc.
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
☒

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

 
Number of shares of common stock outstanding as of September 30, 2019: 3,136,484,924
 


FORM 10-Q
TABLE OF CONTENTS
Page
Item 1.
 
 
 
 
80
 
81
 
82
 
83
 
84
 
85
 
165
 
166
 
168
Item 2.
 
 
3
 
4
 
5
 
10
 
15
 
18
 
19
 
21
 
44
 
45
 
50
 
56
 
60
 
69
 
70
 
75
 
76
 
78
 
79
Item 3.
176
Item 4.
176
 
Item 1.
176
Item 1A.
176
Item 2.
176
Item 3.
177
Item 4.
177
Item 5.
177
Item 6.
177


2

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

 
 
 
 
 
 
Nine months ended Sept. 30,
3Q19

2Q19

1Q19

4Q18

3Q18

 
2019

2018

Selected income statement data
 
 
 
 
 
 
 
 
Total net revenue
$
29,341

$
28,832

$
29,123

$
26,109

$
27,260

 
$
87,296

$
82,920

Total noninterest expense
16,422

16,341

16,395

15,720

15,623

 
49,158

47,674

Pre-provision profit
12,919

12,491

12,728

10,389

11,637

 
38,138

35,246

Provision for credit losses
1,514

1,149

1,495

1,548

948

 
4,158

3,323

Income before income tax expense
11,405

11,342

11,233

8,841

10,689

 
33,980

31,923

Income tax expense
2,325

1,690

2,054

1,775

2,309

 
6,069

6,515

Net income
$
9,080

$
9,652

$
9,179

$
7,066

$
8,380

 
$
27,911

$
25,408

Earnings per share data
 
 
 
 
 
 
 
 
Net income:        Basic
$
2.69

$
2.83

$
2.65

$
1.99

$
2.35

 
$
8.17

$
7.04

        Diluted
2.68

2.82

2.65

1.98

2.34

 
8.15

7.00

Average shares: Basic
3,198.5

3,250.6

3,298.0

3,335.8

3,376.1

 
3,248.7

3,416.5

        Diluted
3,207.2

3,259.7

3,308.2

3,347.3

3,394.3

 
3,258.0

3,436.2

Market and per common share data
 
 
 
 
 
 
 
 
Market capitalization
369,133

357,479

328,387

319,780

375,239

 
369,133

375,239

Common shares at period-end
3,136.5

3,197.5

3,244.0

3,275.8

3,325.4

 
3,136.5

3,325.4

Book value per share
75.24

73.88

71.78

70.35

69.52

 
75.24

69.52

Tangible book value per share (“TBVPS”)(a)
60.48

59.52

57.62

56.33

55.68

 
60.48

55.68

Cash dividends declared per share
0.90

0.80

0.80

0.80

0.80

 
2.50

1.92

Selected ratios and metrics
 
 
 
 
 
 
 
 
Return on common equity (“ROE”)(b)
15
%
16
%
16
%
12
%
14
%
 
15
%
14
%
Return on tangible common equity (“ROTCE”)(a)(b)
18

20

19

14

17

 
19

18

Return on assets(b)
1.30

1.41

1.39

1.06

1.28

 
1.37

1.31

Overhead ratio
56

57

56

60

57

 
56

57

Loans-to-deposits ratio
62

63

64

67

65

 
62

65

Liquidity coverage ratio (“LCR”) (average)
115

113

111

113

115

 
115

115

Common equity Tier 1 (“CET1”) capital ratio(c)
12.3

12.2

12.1

12.0

12.0

 
12.3

12.0

Tier 1 capital ratio(c)
14.1

14.0

13.8

13.7

13.6

 
14.1

13.6

Total capital ratio(c)
15.9

15.8

15.7

15.5

15.4

 
15.9

15.4

Tier 1 leverage ratio(c)
7.9

8.0

8.1

8.1

8.2

 
7.9

8.2

Supplementary leverage ratio (“SLR”)
6.3

6.4

6.4

6.4

6.5

 
6.3

6.5

Selected balance sheet data (period-end)
 
 
 
 
 
 
 
 
Trading assets
$
495,875

$
523,373

$
533,402

$
413,714

$
419,827

 
$
495,875

$
419,827

Investment securities
394,251

307,264

267,365

261,828

231,398

 
394,251

231,398

Loans
945,218

956,889

956,245

984,554

954,318

 
945,218

954,318

Core loans
899,572

908,971

905,943

931,856

899,006

 
899,572

899,006

Average core loans
900,567

905,786

916,567

907,271

894,279

 
907,581

877,774

Total assets
2,764,661

2,727,379

2,737,188

2,622,532

2,615,183

 
2,764,661

2,615,183

Deposits
1,525,261

1,524,361

1,493,441

1,470,666

1,458,762

 
1,525,261

1,458,762

Long-term debt
296,472

288,869

290,893

282,031

270,124

 
296,472

270,124

Common stockholders’ equity
235,985

236,222

232,844

230,447

231,192

 
235,985

231,192

Total stockholders’ equity
264,348

263,215

259,837

256,515

258,956

 
264,348

258,956

Headcount
257,444

254,983

255,998

256,105

255,313

 
257,444

255,313

Credit quality metrics
 
 
 
 
 
 
 
 
Allowance for credit losses
$
14,400

$
14,295

$
14,591

$
14,500

$
14,225

 
$
14,400

$
14,225

Allowance for loan losses to total retained loans
1.42
%
1.39
%
1.43
%
1.39
%
1.39
%
 
1.42
%
1.39
%
Allowance for loan losses to retained loans excluding purchased credit-impaired loans(d)
1.32

1.28

1.28

1.23

1.23

 
1.32

1.23

Nonperforming assets
$
5,343

$
5,260

$
5,616

$
5,190

$
5,034

 
$
5,343

$
5,034

Net charge-offs
1,371

1,403

1,361

1,236

1,033

 
4,135

3,620

Net charge-off rate
0.58
%
0.60
%
0.58
%
0.52
%
0.43
%
 
0.59
%
0.52
%
(a)
TBVPS and ROTCE are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–20 for a further discussion of these measures.
(b)
Quarterly ratios are based upon annualized amounts.
(c)
The Basel III capital rules became fully phased-in effective January 1, 2019. During 2018, the required capital measures were subject to the transitional rules and as of December 31, 2018 and September 30, 2018, were the same on a fully phased-in and on a transitional basis. Refer to Key performance measures on page 59 and Capital Risk Management on pages 85-94 of JPMorgan Chase’s 2018 Form 10-K and pages 45–49 of this Form 10-Q for additional information on these measures.
(d)
Excludes the impact of residential real estate purchased credit-impaired (“PCI”) loans, a non-GAAP financial measure. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–20, and the Allowance for credit losses on pages 67–68 for a further discussion of these measures.

3

INTRODUCTION
The following is Management’s discussion and analysis of the financial condition and results of operations (“MD&A”) of JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”) for the third quarter of 2019.
This Quarterly Report on Form 10-Q for the third quarter of 2019 (“Form 10-Q”) should be read together with JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 2018 (“2018 Form 10-K”). Refer to the Glossary of terms and acronyms and line of business metrics on pages 168–175 for definitions of terms and acronyms used throughout this Form 10-Q.
This document contains statements that are forward-looking within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are based on the current beliefs and expectations of JPMorgan Chase’s management and are subject to significant risks and uncertainties. Refer to Forward-looking Statements on page 79 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 7–28 of the 2018 Form 10-K for a further 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.
JPMorgan Chase & Co. (NYSE: JPM), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the United States of America (“U.S.”), with operations worldwide; JPMorgan Chase had $2.8 trillion in assets and $264.3 billion in stockholders’ equity as of September 30, 2019. The Firm is a leader in investment banking, financial services for consumers and
 
small businesses, commercial banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers in the U.S. and many of the world’s most prominent corporate, institutional and government clients.
JPMorgan Chase’s principal bank subsidiary is JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”), a national banking association with U.S. branches in 32 states and Washington, D.C. as of September 30, 2019. JPMorgan Chase’s principal nonbank 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 in the United Kingdom (“U.K.”) is J.P. Morgan Securities plc, a subsidiary of JPMorgan Chase Bank, N.A.

For management reporting purposes, the Firm’s activities are organized into four major reportable business segments, as well as a Corporate segment. The Firm’s consumer business segment is Consumer & Community Banking (“CCB”). The Firm’s wholesale business segments are Corporate & Investment Bank (“CIB”), Commercial Banking (“CB”), and Asset & Wealth Management (“AWM”). Refer to Note 31 of JPMorgan Chase’s 2018 Form 10-K for a description of the Firm’s business segments and the products and services they provide to their respective
client bases.




4

EXECUTIVE OVERVIEW
This executive overview of the MD&A highlights selected information and does not contain all of the information that is important to readers of this Form 10-Q. For a complete description of the trends and uncertainties, as well as the risks and critical accounting estimates affecting the Firm and its various lines of business, this Form 10-Q and the 2018 Form 10-K should be read together and in their entirety.
Financial performance of JPMorgan Chase
 
 
 
 
 
 
 
 
(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,
2019

 
2018

 
Change

 
2019

 
2018

 
Change

Selected income statement data
 
 
 
 
 
 
 
 
 
 
 
Total net revenue
$
29,341

 
$
27,260

 
8
%
 
$
87,296

 
$
82,920

 
5
%
Total noninterest expense
16,422

 
15,623

 
5

 
49,158

 
47,674

 
3

Pre-provision profit
12,919

 
11,637

 
11

 
38,138

 
35,246

 
8

Provision for credit losses
1,514

 
948

 
60

 
4,158

 
3,323

 
25

Net income
9,080

 
8,380

 
8

 
27,911

 
25,408

 
10

Diluted earnings per share
$
2.68

 
$
2.34

 
15

 
$
8.15

 
$
7.00

 
16

Selected ratios and metrics
 
 
 
 
 
 
 
 
 
 
 
Return on common equity
15
%
 
14
%
 
 
 
15
%
 
14
%
 
 
Return on tangible common equity
18

 
17

 
 
 
19

 
18

 
 
Book value per share
$
75.24

 
$
69.52

 
8

 
$
75.24

 
$
69.52

 
8

Tangible book value per share
60.48

 
55.68

 
9

 
60.48

 
55.68

 
9

Capital ratios(a)
 
 
 
 
 
 
 
 
 
 
 
CET1
12.3
%
 
12.0
%
 
 
 
12.3
%
 
12.0
%
 
 
Tier 1 capital
14.1

 
13.6

 
 
 
14.1

 
13.6

 
 
Total capital
15.9

 
15.4

 
 
 
15.9

 
15.4

 
 
(a)
The Basel III capital rules became fully phased-in effective January 1, 2019. During 2018, the required capital measures were subject to the transitional rules and as of September 30, 2018, was the same on a fully phased-in and on a transitional basis. Refer to Key performance measures on page 59 and Capital Risk Management on pages 85-94 of JPMorgan Chase’s 2018 Form 10-K and pages 45–49 of this Form 10-Q for additional information on these measures.







5

Comparisons noted in the sections below are for the third quarter of 2019 versus the third quarter of 2018, unless otherwise specified.
Firmwide overview
JPMorgan Chase reported strong results in the third quarter of 2019, with net income of $9.1 billion, or $2.68 per share, on record net revenue of $29.3 billion. The Firm reported ROE of 15% and ROTCE of 18%.
•
The Firm had net income of $9.1 billion, up 8%.
•
Total net revenue increased 8%. Net interest income was $14.2 billion, up 2%, driven by continued balance sheet growth and mix, largely offset by the impact of rates. Noninterest revenue was $15.1 billion, up 13%, and included approximately $350 million of gains related to certain loan sales in Home Lending. Excluding these gains, the increase in noninterest revenue was largely driven by results in Fixed Income Markets in the CIB, as well as Home Lending and Auto in CCB.
•
Noninterest expense was $16.4 billion, up 5%, driven by higher volume- and revenue-related expenses and investments, including compensation and auto lease depreciation, partially offset by lower FDIC charges.
•
The provision for credit losses was $1.5 billion, up $566 million, largely as a result of net reductions in the allowance for credit losses and net recoveries in the prior year.
•
The total allowance for credit losses was $14.4 billion at September 30, 2019, and the Firm had a loan loss coverage ratio of 1.42%, compared with 1.39% in the prior year; excluding the PCI portfolio, the equivalent ratio was 1.32%, compared with 1.23% in the prior year. The Firm’s nonperforming assets totaled $5.3 billion at September 30, 2019, an increase from $5.0 billion in the prior year, reflecting increases in the wholesale portfolio related to select client downgrades, largely offset by improved credit performance in the consumer portfolio.
•
Firmwide average total loans were flat at $947 billion, or up 3% excluding the impact of certain loan sales in Home Lending.
 
Selected capital-related metrics
•
The Firm’s CET1 capital was $188 billion, and the Standardized and Advanced CET1 ratios were 12.3% and 13.1%, respectively.
•
The Firm’s supplementary leverage ratio (“SLR”) was 6.3% at September 30, 2019.
•
The Firm continued to grow tangible book value per share (“TBVPS”), ending the third quarter of 2019 at $60.48, up 9%.
ROTCE and TBVPS are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–20 for a further discussion of each of these measures.

6

Business segment highlights
Selected business metrics for each of the Firm’s four lines of business are presented below for the third quarter of 2019.
CCB
ROE 32%
 
•
Average loans down 4%; Home Lending loans down 12% impacted by loan sales; credit card loans up 8%
•
Client investment assets up 13%; average deposits up 3%
•
Credit card sales volume up 10% and merchant processing volume up 11%
CIB
ROE 13%
 
•
Maintained #1 ranking for Global Investment Banking fees with 9.3% wallet share YTD
•
Total Markets revenue of $5.1 billion, up 14%
CB
ROE 16%
 
•
Gross Investment Banking revenue of $700 million, up 20%
•
Average client deposits of $173 billion, up 3%
AWM
ROE 24%
 
•
Average loan balances up 7%
•
Assets under management (AUM) of $2.2 trillion, up 8%
Refer to the Business Segment Results on pages 21–43 for a detailed discussion of results by business segment.
 
Credit provided and capital raised
JPMorgan Chase continues to support consumers, businesses and communities around the globe. The Firm provided new and renewed credit and raised capital for wholesale and consumer clients during the first nine months of 2019, consisting of:
$1.7 trillion
 
Total credit provided and capital raised
 
 
 
$188
billion
 
Credit for consumers
 
 
 
$25
billion
 
Credit for U.S. small businesses
 
 
 
$630 billion
 
Credit for corporations
 
 
 
$785 billion
 
Capital raised for corporate clients and non-U.S. government entities
 
 
 
$53 billion
 
Credit and capital raised for nonprofit and U.S. government entities(a)
(a)
Includes states, municipalities, hospitals and universities.

7

2019 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 and are subject to significant risks and uncertainties. Refer to Forward-Looking Statements on page 79 of this Form 10-Q and Risk Factors on pages 7–28 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of certain of those risks and uncertainties and the other factors that could cause JPMorgan Chase’s actual results to differ materially because of those risks and uncertainties. There is no assurance that actual results in the full year of 2019 will be in line with the outlook set forth below, and the Firm does not undertake to update any forward-looking statements.
JPMorgan Chase’s current outlook for the remainder of 2019 should be viewed against the backdrop of the global and U.S. economies, 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 lines of business. The Firm expects that it 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.
Firmwide
•
Management expects full-year 2019 net interest income, on a managed basis, to be less than $57.5 billion, market dependent. This estimate is based on stable long-end rates and assumes no more federal funds rate cuts in 2019.
•
Management expects Firmwide adjusted expense for the full-year 2019 to be approximately $65.5 billion.
•
Management expects full-year 2019 net charge-offs to be approximately $5.5 billion.


8

Business Developments
Expected departure of the U.K. from the EU
The U.K.’s expected departure from the EU, which is commonly referred to as “Brexit,” is scheduled to occur not later than January 31, 2020.
The Firm continues to execute the relevant elements of its Firmwide Brexit Implementation program with the objective of delivering the Firm’s capabilities to its EU clients on “day one” of any departure by the U.K. from the EU, whether or not an agreement has been reached to allow an orderly withdrawal.
The principal operational risks associated with Brexit continue to be the potential for disruption caused by insufficient preparations by individual market participants or in the overall market ecosystem, and risks related to potential disruptions of connectivity among market participants. Although legislative and regulatory actions taken by the EU and the U.K. have mitigated some of the significant market-wide risks, there continues to be regulatory and legal uncertainty with respect to various matters including contract continuity and access by market participants to liquidity in certain products, such as products subject to potentially conflicting U.K. and EU regulatory requirements in relation to eligible trading venues, including certain cross-border derivative contracts and equities that are listed on both U.K. and EU exchanges.
As discussed in Business Developments on page 46 of the 2018 Form 10-K, the Firm is focused on the following key areas to ensure continuation of service to its EU clients: regulatory and legal entity readiness; client readiness; and business and operational readiness. Following are the significant updates from the matters discussed in the 2018 Form 10-K.
Regulatory and legal entity readiness
The Firm’s legal entities in Germany, Luxembourg and Ireland are now prepared and licensed to provide services to the Firm’s EU clients, including after any departure by the U.K. from the EU.
Client readiness
The agreements covering a significant proportion of the Firm’s EU client activity have been re-documented to other EU legal entities to help facilitate continuation of service. The Firm continues to actively engage with clients that have not completed re-documentation to ensure preparedness both in terms of documentation and any operational changes that may be required. The Firm may be negatively impacted by any operational disruption stemming from delays of or lapses in the readiness of other market participants or market infrastructures.
 
Business and operational readiness
The Firm relocated certain employees during the first quarter of 2019. During the second quarter of 2019, the Firm added specific employees to certain EU legal entities, where appropriate, to support the level of client activity that has been migrated. However, the Firm’s final staffing plan will depend upon the timing and terms of any withdrawal by the U.K. from the EU.
If Brexit is further delayed due to a transition deal or another mechanism, the Firm will continue to review the timing and extent of any further expansion of activities in its EU legal entities, as appropriate. The Firm continues to closely monitor legislative developments, and its implementation plan allows for flexibility given the continued uncertainties.
LIBOR transition
The Firm continues to develop and implement plans to appropriately mitigate the risks associated with the expected discontinuation of certain unsecured benchmark interest rates, including the London Interbank Offered Rate (“LIBOR”) and other Interbank Offered Rates (“IBORs”). In particular, the Firm:
•
has implemented or is in the process of implementing fallback language for LIBOR-linked syndicated loans, securitizations, floating rate notes and bi-lateral business loans based on the recommendations of the Alternative Reference Rates Committee, and has started to introduce the Secured Overnight Financing Rate as a replacement benchmark rate for certain of these products;
•
continues to monitor the transition relief being considered by the Financial Accounting Standards Board (“FASB”) and International Accounting Standards Board (“IASB”) concerning the accounting for contract modifications and hedge accounting; and
•
continues to engage with regulators and clients as the transition from IBORs progresses.
Refer to Business Developments on page 47 of the 2018 Form 10-K for a discussion of the Firm’s initiatives to address the expected discontinuation of LIBOR and other IBORs.

9

CONSOLIDATED RESULTS OF OPERATIONS
This section provides a comparative discussion of JPMorgan Chase’s Consolidated Results of Operations on a reported basis for the three and nine months ended September 30, 2019 and 2018, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment. Refer to pages 76–77 of this Form 10-Q and pages 141-143 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.
Revenue
 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
Change

 
2019

 
2018

 
Change

Investment banking fees
$
1,967

 
$
1,832

 
7
 %
 
$
5,658

 
$
5,736

 
(1
)%
Principal transactions
3,449

 
2,964

 
16

 
11,239

 
10,698

 
5

Lending- and deposit-related fees
1,626

 
1,542

 
5

 
4,643

 
4,514

 
3

Asset management, administration and commissions
4,351

 
4,310

 
1

 
12,818

 
12,923

 
(1
)
Investment securities gains/(losses)
78

 
(46
)
 
NM

 
135

 
(371
)
 
NM

Mortgage fees and related income
887

 
262

 
239

 
1,562

 
1,051

 
49

Card income
1,283

 
1,328

 
(3
)
 
3,923

 
3,623

 
8

Other income(a)
1,472

 
1,160

 
27

 
4,239

 
4,041

 
5

Noninterest revenue
15,113

 
13,352

 
13

 
44,217

 
42,215

 
5

Net interest income
14,228

 
13,908

 
2

 
43,079

 
40,705

 
6

Total net revenue
$
29,341

 
$
27,260

 
8
 %
 
$
87,296

 
$
82,920

 
5
 %
(a)
Included operating lease income of $1.4 billion and $1.2 billion for the three months ended September 30, 2019 and 2018, respectively and $4.0 billion and $3.3 billion for the nine months ended September 30, 2019 and 2018, respectively.
Quarterly results
Investment banking fees increased reflecting:
•
higher debt underwriting fees, on wallet share gains despite a decline in industry-wide fees, driven by participation in large acquisition financing deals and increased activity in investment-grade bonds
•
higher equity underwriting fees driven by wallet share gains primarily in the IPO and convertible markets,
partially offset by
•
lower advisory fees driven by a decline in industry-wide fees compared with a strong prior year.
Refer to CIB segment results on pages 28–33 and Note 5 for additional information.
Principal transactions revenue increased reflecting:
•
higher revenue in CIB, primarily driven by
–
strong performance across products in Fixed Income Markets, primarily in Rates, agency mortgage trading within Securitized Products, and Commodities, compared with the prior year, which was impacted by less favorable market conditions,
partially offset by
–
lower revenue in Equity Markets, primarily in derivatives, driven by lower client activity and less favorable market conditions, compared with a strong prior year, and
•
in Corporate, net gains on certain legacy private equity investments compared with net losses in the prior year.
Principal transactions revenue in CIB may have offsets across other revenue lines, including net interest income. The Firm assesses its Markets business performance on a total revenue basis.
 
Refer to CIB, AWM and Corporate segment results on pages 28–33, pages 38–41 and pages 42–43, and Note 5 for additional information.
Lending- and deposit-related fees increased primarily due to higher deposit-related fees in CCB, reflecting growth in customer accounts and transactions.
Refer to CCB segment results on pages 22–27, CIB on pages 28–33 and CB on pages 34–37, respectively, and Note 5 for additional information.
Asset management, administration and commissions revenue increased driven by higher asset management fees in CCB from growth in client investment assets.
Refer to CCB and AWM segment results on pages 22–27 and pages 38–41 , respectively, and Note 5 for additional information.
Investment securities gains/(losses) primarily reflect the impact of repositioning the investment securities portfolio. Refer to Corporate segment results on pages 42–43 and Note 9 for additional information.
Mortgage fees and related income increased driven by:
•
higher net mortgage production revenue reflecting approximately $350 million of gains on the sale of certain loans, as well as higher production volumes and margins
•
net mortgage servicing revenue, which remained relatively flat, reflecting lower operating revenue driven by the impact of reclassifying certain loans to held-for-sale and faster prepayment speeds on lower rates, offset by favorable MSR risk management results.

10

Refer to CCB segment results on pages 22–27, Note 5 and 14 for further information.
Card income decreased reflecting higher rewards costs and partner payments, predominantly offset by higher interchange income and merchant processing fees on higher volumes.
Refer to CCB segment results on pages 22–27 and Note 5 for further information.
Other income increased reflecting:
•
higher operating lease income from growth in auto operating lease volume in CCB
•
losses in the prior year on certain investments in CIB and Corporate,
partially offset by
•
lower other income in CIB associated with increased amortization on a higher level of alternative energy investments. The increased amortization was more than offset by the lower income tax expense from the associated tax credits.
Refer to Note 5 for further information.
Net interest income increased driven by continued balance sheet growth and changes in mix, largely offset by the net impact of rates. The Firm’s average interest-earning assets were $2.4 trillion, up $162 billion, and the net interest yield on these assets, on a fully taxable-equivalent (“FTE”) basis, was 2.41%, a decrease of 12 basis points. The net interest yield excluding CIB Markets was 3.23%, a decrease of 7 basis points. Net interest yield excluding CIB markets is a non-GAAP financial measure. Refer to the Consolidated average balance sheets, interest and rates schedule on pages 166–167 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–20 for a further discussion of Net interest yield excluding CIB markets.
Year-to-date results
Investment banking fees were relatively flat reflecting:
•
lower advisory and equity underwriting fees driven by a decline in industry-wide fees despite wallet share gains,
offset by
•
higher debt underwriting fees on wallet share gains despite a decline in industry-wide fees, driven by participation in large acquisition financing deals
Principal transactions revenue increased reflecting:
•
higher revenue in CIB, which included a gain on the IPO of Tradeweb. Excluding this gain, the increase in CIB’s revenue was driven by:
–
higher revenue in Fixed Income Markets, primarily in agency mortgage trading within Securitized Products, and Commodities, partially offset by Currencies & Emerging Markets
–
favorable changes in funding spreads on derivatives in Credit Adjustments & Other,
partially offset by
 
–
lower revenue in Equity Markets driven by lower client activity in derivatives
the net increase in CIB was partially offset by
•
lower revenue in AWM, related to hedges on certain investments, which was more than offset by higher valuation gains on the related investments reflected in other income,
•
Corporate was relatively flat, reflecting
–
losses on cash deployment transactions in Treasury and CIO, which were more than offset by the related net interest income earned on those transactions, and
–
lower net valuation losses on certain legacy private equity investments.
Principal transactions revenue in CIB may have offsets across other revenue lines, including net interest income. The Firm assesses its Markets business performance on a total revenue basis.
Lending- and deposit-related fees increased primarily due to higher deposit-related fees in CCB, reflecting growth in customer accounts and transactions.
Asset management, administration and commissions revenue was relatively flat reflecting:
•
lower asset management fees in AWM driven by a shift in the mix toward lower fee products,
largely offset by
•
higher asset management fees in CCB from growth in client investment assets.
Investment securities gains/(losses) primarily reflect the impact of repositioning the investment securities portfolio.
Mortgage fees and related income increased driven by:
•
higher net mortgage production revenue reflecting gains on sales of certain loans, as well as higher mortgage production margins and volumes,
partially offset by
•
lower net mortgage servicing revenue driven by
–
lower operating revenue reflecting faster prepayment speeds on lower rates and the impact of reclassifying certain loans to held-for-sale, as well as
–
lower MSR risk management results reflecting updates to model inputs.
Card income increased reflecting the absence of the prior-year adjustment of approximately $330 million to the credit card rewards liability.
Other income increased reflecting:
•
higher operating lease income from growth in auto operating lease volume in CCB, and
•
higher investment valuation gains in AWM, which were largely offset by the impact of the related hedges reflected in principal transactions revenue,
partially offset by

11

•
lower other income in CIB associated with increased amortization on a higher level of alternative energy investments. The increased amortization was more than offset by the lower income tax expense from the associated tax credits.
The prior year included:
•
$505 million of fair value gains related to the adoption of the recognition and measurement accounting guidance for certain equity investments previously held at cost in the first quarter of 2018, and
•
losses on certain investments in CIB and Corporate.
 
Net interest income increased driven by continued balance sheet growth and changes in mix. The Firm’s average interest-earning assets were $2.3 trillion, up $136 billion, and the net interest yield on these assets, on an FTE basis, was 2.49%, a decrease of 1 basis point. The net interest yield excluding CIB Markets was 3.34%, an increase of 13 basis points. Net interest yield excluding CIB markets is a non-GAAP financial measure.
Provision for credit losses
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)

2019

 
2018

 
Change

 
2019

 
2018

 
Change

Consumer, excluding credit card
$
(61
)
 
$
(242
)
 
75
%
 
$
(265
)
 
$
(152
)
 
(74
)%
Credit card
1,375

 
1,223

 
12

 
4,017

 
3,557

 
13

Total consumer
1,314

 
981

 
34

 
3,752

 
3,405

 
10

Wholesale
200

 
(33
)
 
NM

 
406

 
(82
)
 
NM

Total provision for credit losses
$
1,514

 
$
948

 
60
%
 
$
4,158

 
$
3,323

 
25
 %
Quarterly results
The provision for credit losses increased driven by consumer and wholesale.
The total consumer provision reflects:
•
an increase in credit card due to
–
higher net charge-offs on loan growth, in line with expectations, and
–
a $200 million addition to the allowance for loan losses reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio, compared to a $150 million addition in the prior year
•
an increase in consumer, excluding credit card in CCB due to
–
a $100 million reduction in the allowance for loan losses in the non credit-impaired residential real estate portfolio, compared to a $250 million reduction in the PCI residential real estate portfolio in the prior year, and
–
lower net recoveries in the residential real estate portfolio as the prior year benefited from a larger recovery on a loan sale
partially offset by
–
a $50 million reduction in the allowance for loan losses in the business banking portfolio.
The wholesale provision was largely driven by select Commercial & Industrial (“C&I”) client downgrades. The prior year was a net benefit which included net recoveries predominantly related to a loan sale in CIB.
Refer to CCB segment results on pages 22–27, CIB on pages 28–33, CB on pages 34–37, AWM on pages 38–41, the Allowance for Credit Losses on pages 67–68, and Note 12 for additional information on the credit portfolio and the allowance for credit losses.
 
Year-to-date results
The provision for credit losses increased driven by wholesale and consumer.
The wholesale provision was largely driven by select C&I client downgrades. The prior year was a net benefit primarily driven by loan sales and other activity related to a single name in the Oil & Gas portfolio, partially offset by other net portfolio activity.
The total consumer provision reflects:
•
an increase in credit card due to
–
a $400 million addition to the allowance for loan losses reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio and loan growth, compared to a $150 million addition in the prior year, and
–
higher net charge-offs on loan growth, in line with expectations
partially offset by
•
a decrease in consumer, excluding credit card in CCB due to
–
a $400 million reduction in the allowance for loan losses in the PCI residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, and a $100 million reduction in the allowance for loan losses in the non credit-impaired residential real estate portfolio, compared to a $250 million reduction in the PCI residential real estate portfolio in the prior year, and
–
a $50 million reduction in the allowance for loan losses in the business banking portfolio
largely offset by
–
lower net recoveries in the residential real estate portfolio as the prior year benefited from larger recoveries on loan sales.

12

Noninterest expense
 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)

2019

 
2018

 
Change

 
2019

 
2018

 
Change
Compensation expense
$
8,583

 
$
8,108

 
6
 %
 
$
26,067

 
$
25,308

 
3
 %
Noncompensation expense:
 
 
 
 
 
 
 
 
 
 
 
Occupancy
1,110

 
1,014

 
9

 
3,238

 
2,883

 
12

Technology, communications and equipment
2,494

 
2,219

 
12

 
7,236

 
6,441

 
12

Professional and outside services
2,056

 
2,086

 
(1
)
 
6,307

 
6,333

 
—

Marketing
945

 
798

 
18

 
2,686

 
2,396

 
12

Other expense(a)(b)
1,234

 
1,398

 
(12
)
 
3,624

 
4,313

 
(16
)
Total noncompensation expense
7,839

 
7,515

 
4

 
23,091

 
22,366

 
3

Total noninterest expense
$
16,422

 
$
15,623

 
5
 %
 
$
49,158

 
$
47,674

 
3
 %
(a)
Included Firmwide legal expense/(benefit) of $10 million and $20 million for the three months ended September 30, 2019 and 2018, respectively and $(2) million and $90 million for the nine months ended September 30, 2019 and 2018, respectively.
(b)
Included FDIC-related expense of $114 million and $349 million for the three months ended September 30, 2019 and 2018, respectively and $378 million and $1.1 billion for the nine months ended September 30, 2019 and 2018, respectively.
Quarterly results
Compensation expense increased driven by higher revenue-related expense in CIB and investments across the businesses, including front office hires, as well as technology staff.
Noncompensation expense increased as a result of:
•
higher investments across the businesses, including technology, real estate and marketing, and
•
higher volume-related expense, including depreciation from growth in auto operating lease assets in CCB, and brokerage expense in certain businesses in CIB,
partially offset by
•
lower FDIC charges as a result of the elimination of the surcharge at the end of the third quarter of 2018, and
•
lower other regulatory-related charges in CIB.

 
Year-to-date results
Compensation expense increased driven by investments across the businesses, including front office hires, as well as technology staff, partially offset by lower revenue-related expense in CIB.
Noncompensation expense increased as a result of:
•
higher investments across the businesses, including, technology, real estate and marketing
•
higher volume-related expense, including depreciation from growth in auto operating lease assets in CCB, and brokerage expense in certain businesses in CIB
•
contributions to the Firm’s Foundation, whereas all prior-year contributions were made in the fourth quarter, and
•
higher pension costs due to changes to actuarial assumptions and estimates,
partially offset by
•
lower FDIC charges as a result of the elimination of the surcharge at the end of the third quarter of 2018
•
lower other regulatory-related charges in CIB
•
lower legal expense, and
•
lower distribution fees in AWM.
The prior year included a loss of $174 million on the liquidation of a legal entity in Corporate recorded in other expense.
Refer to Note 19 for additional information on the liquidation of a legal entity.

13

Income tax expense
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)

2019

 
2018

 
Change

 
2019

 
2018

 
Change
Income before income tax expense
$
11,405

 
$
10,689

 
7
%
 
$
33,980

 
$
31,923

 
6
 %
Income tax expense
2,325

 
2,309

 
1

 
6,069

 
6,515

 
(7
)
Effective tax rate
20.4
%
 
21.6
%
 
 
 
17.9
%
 
20.4
%
 
 
Quarterly results
The effective tax rate decreased due to the recognition of tax benefits related to the resolution of certain tax audits and changes in the mix of income and expense subject to U.S. federal, and state and local taxes. In addition, the prior year included a $132 million net tax benefit resulting from changes in the estimates under the Tax Cuts and Jobs Act (“TCJA”) related to the remeasurement of certain deferred taxes and the deemed repatriation tax on non-U.S. earnings.

 
Year-to-date results
The effective tax rate decreased due to the recognition of $1.0 billion of tax benefits related to the resolution of certain tax audits and changes in the mix of income and expense subject to U.S. federal, and state and local taxes. The decrease was partially offset by lower tax benefits related to the vesting of employee stock-based awards. In addition, the prior year included a $305 million net tax benefit resulting from changes in the estimates under the TCJA related to the remeasurement of certain deferred taxes and the deemed repatriation tax on non-U.S. earnings. Refer to Note 1 for additional information on the 2019 tax benefits.



14

CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS
Consolidated balance sheets analysis
The following is a discussion of the significant changes between September 30, 2019, and December 31, 2018.
Selected Consolidated balance sheets data
(in millions)
September 30,
2019

 
December 31,
2018

Change

Assets
 
 
 
 
Cash and due from banks
$
21,215

 
$
22,324

(5
)%
Deposits with banks
235,382

 
256,469

(8
)
Federal funds sold and securities purchased under resale agreements
257,391

 
321,588

(20
)
Securities borrowed
138,336

 
111,995

24

Trading assets
495,875

 
413,714

20

Investment securities
394,251

 
261,828

51

Loans
945,218

 
984,554

(4
)
Allowance for loan losses
(13,235
)
 
(13,445
)
(2
)
Loans, net of allowance for loan losses
931,983

 
971,109

(4
)
Accrued interest and accounts receivable
88,988

 
73,200

22

Premises and equipment
25,117

 
14,934

68

Goodwill, MSRs and other intangible assets
53,078

 
54,349

(2
)
Other assets
123,045

 
121,022

2

Total assets
$
2,764,661

 
$
2,622,532

5
 %
Cash and due from banks and deposits with banks decreased primarily as a result of a shift in the deployment of cash in Treasury and CIO to investment securities. 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 largely as a result of a shift in the deployment of cash in Treasury and CIO. Refer to Liquidity Risk Management on pages 50–54 and Note 10 for additional information.
Securities borrowed increased in CIB driven by higher demand for securities related to client-driven market-making activities in Fixed Income Markets, and to cover customer short positions in prime brokerage. Refer to Liquidity Risk Management on pages 50–54 and Note 10 for additional information.
Trading assets increased due to:
•
growth in client-driven market-making activities in CIB, primarily debt instruments in Fixed Income Markets, and equity instruments in Equity Markets, including prime brokerage, and when compared with lower levels at year-end, and
•
in CCB, an increase in U.S. GSE MBS acquired as part of the proceeds of warehouse loan sales, and growth related to originations of mortgage warehouse loans, resulting from the favorable rate environment,
partially offset by
•
a reduction in short-term instruments associated with cash deployment activities in Treasury and CIO.
Refer to Notes 2 and 4 for additional information.
 
Investment securities increased primarily reflecting net purchases of U.S. Treasuries and U.S. GSE and government agency MBS in Treasury and CIO driven by interest rate risk management and broader balance sheet management. Refer to Corporate segment results on pages 42–43, Investment Portfolio Risk Management on page 69, and Notes 2 and 9 for additional information on Investment securities.
Loans decreased reflecting loan sales in Home Lending, and lower loans in CIB, primarily driven by a loan syndication and net pay downs, partially offset by increases in CB and AWM.
The allowance for loan losses decreased driven by:
•
a $550 million reduction in the CCB allowance for loan losses, which includes $400 million in the PCI residential real estate portfolio, reflecting continued improvement in home prices and delinquencies; $100 million in the non credit-impaired residential real estate portfolio; and $50 million in the business banking portfolio; as well as
•
a $132 million reduction for write-offs of PCI loans,
largely offset by
•
a $400 million addition to the allowance for loan losses in the credit card portfolio reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio and loan growth.
Refer to Credit and Investment Risk Management on pages 55–69, 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 reflecting higher client receivables related to client-driven activities in CIB.

15

Premises and equipment increased due to the adoption of the new lease accounting guidance effective January 1, 2019. Refer to Note 16 for additional information.
 
Goodwill, MSRs and other intangibles decreased reflecting lower MSRs as a result of faster prepayment speeds on lower rates, partially offset by an increase in goodwill associated with the acquisition of InstaMed. Refer to Note 14 for additional information.
Selected Consolidated balance sheets data (continued)
 
(in millions)
September 30,
2019

 
December 31,
2018

Change

Liabilities
 
 
 
 
Deposits
$
1,525,261

 
$
1,470,666

4
 %
Federal funds purchased and securities loaned or sold under repurchase agreements
247,766

 
182,320

36

Short-term borrowings
48,893

 
69,276

(29
)
Trading liabilities
138,343

 
144,773

(4
)
Accounts payable and other liabilities
225,063

 
196,710

14

Beneficial interests issued by consolidated variable interest entities (“VIEs”)
18,515

 
20,241

(9
)
Long-term debt
296,472

 
282,031

5

Total liabilities
2,500,313

 
2,366,017

6

Stockholders’ equity
264,348

 
256,515

3

Total liabilities and stockholders’ equity
$
2,764,661

 
$
2,622,532

5
 %
Deposits increased reflecting:
•
growth in operating deposits in CIB driven by client activity in Treasury Services and Securities Services, and an increase in net issuances of structured notes in Markets, and
•
in CCB, predominantly due to continued growth in new accounts, and in CB, growth from existing clients.
Refer to Liquidity Risk Management on pages 50–54 and Notes 2 and 15 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased driven by CIB and includes the Firm’s participation in the Federal Reserve’s open market operations, as well as higher secured financing of trading assets-debt instruments and client-driven activities. Refer to Liquidity Risk Management on pages 50–54 and Note 10 for additional information.
Short-term borrowings decreased reflecting lower commercial paper and short-term advances from Federal Home Loan Banks (“FHLB”) in Treasury and CIO, primarily driven by liquidity management. Refer to Liquidity Risk Management on pages 50–54 for additional information.
Trading liabilities decreased as a result of client-driven market-making activities in CIB, which resulted in lower levels of short positions primarily in equity instruments in Equity Markets. Refer to Notes 2 and 4 for additional information.
 
Accounts payable and other liabilities increased reflecting:
•
higher client payables related to client-driven activities in CIB, and
•
the impact of the adoption of the new lease accounting guidance effective January 1, 2019.
Refer to Note 16 for additional information on Leases.
Beneficial interests issued by consolidated VIEs decreased due to:
•
maturities of credit card securitizations,
predominantly offset by
•
higher levels of Firm-administered multi-seller conduit commercial paper issued to third parties.
Refer to Off-Balance Sheet Arrangements on page 18 and Notes 13 and 22 for further information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt increased as a result of client-driven net issuances of structured notes in CIB’s Markets business.
Refer to Liquidity Risk Management on pages 50–54 for additional information on the Firm’s long-term debt activities.
Refer to page 83 for information on changes in stockholders’ equity and Capital actions on pages 47–48.


16

Consolidated cash flows analysis
The following is a discussion of cash flow activities during the nine months ended September 30, 2019 and 2018.
(in millions)
 
Nine months ended September 30,
 
2019

 
2018

Net cash provided by/(used in)
 
 
 
 
Operating activities
 
$
(77,039
)
 
$
13,765

Investing activities
 
(38,181
)
 
(39,782
)
Financing activities
 
96,006

 
16,319

Effect of exchange rate changes on cash
 
(2,982
)
 
(2,509
)
Net decrease in cash and due from banks and deposits with banks
 
$
(22,196
)
 
$
(12,207
)
Operating activities
•
In 2019, cash used primarily resulted from higher trading assets, securities borrowed, other assets and accrued interest and accounts receivable, partially offset by higher accounts payable and other liabilities, trading liabilities, and net proceeds from loans originated for sale.
•
In 2018, cash provided primarily resulted from net income, higher accounts payable and other liabilities, and trading liabilities, partially offset by higher trading assets and securities borrowed.
 
Investing activities
•
In 2019, cash used primarily resulted from net purchases of investment securities and net loan originations, predominantly offset by lower securities purchased under resale agreements, and proceeds from the sale of loans held-for-investment.
•
In 2018, cash used resulted from higher net loan originations and an increase in securities purchased under resale agreements, partially offset by net proceeds from investment securities and sales of loans held-for- investment.
Financing activities
•
In 2019, cash provided resulted from higher deposits, and securities loaned or sold under repurchase agreements, partially offset by lower short-term and long-term borrowings.
•
In 2018, cash provided resulted from higher securities loaned or sold under repurchase agreements, deposits and short-term borrowings, partially offset by a decrease in long-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 15-16, Capital Risk Management on pages 45–49, and Liquidity Risk Management on pages 50–54 of this Form 10-Q, and pages 95–100 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.


17

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 off-balance sheet under accounting principles generally accepted in the U.S. (“U.S. GAAP”).
Special-purpose entities
The Firm has several types of off–balance sheet arrangements, including through nonconsolidated special-purpose entities (“SPEs”), which are a type of VIE, and through lending-related financial instruments (e.g., commitments and guarantees).
The Firm holds capital, as appropriate, against all SPE-related transactions and related exposures, such as derivative contracts and lending-related commitments and guarantees.
The Firm has no commitments to issue its own stock to support any SPE transaction, and its policies require that transactions with SPEs be conducted at arm’s length and reflect market pricing. Consistent with this policy, no JPMorgan Chase employee is permitted to invest in SPEs with which the Firm is involved where such investment would violate the Firm’s Code of Conduct.
The table below provides an index of where in this Form 10-Q a discussion of the Firm’s various off-balance sheet arrangements can be found. In addition, refer to Note 1 for 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
139-144
Off-balance sheet lending-related financial instruments, guarantees, and other commitments
Refer to Note 22
156-159



18

EXPLANATION AND RECONCILIATION OF THE FIRM’S USE OF NON-GAAP FINANCIAL MEASURES AND KEY PERFORMANCE MEASURES
The Firm prepares its Consolidated Financial Statements in accordance with U.S. GAAP and this presentation is referred to as “reported” basis; these financial statements appear on pages 80–84.
In addition to analyzing the Firm’s results on a reported basis, the Firm also reviews and uses certain non-GAAP financial measures at the Firmwide and segment level. These non-GAAP measures include:
•
Firmwide “managed” basis results, including the overhead ratio, which include certain reclassifications to present total net revenue from investments that receive tax credits and tax-exempt securities on a basis comparable to taxable investments and securities (“FTE” basis)
 
•
Net interest income and net yield excluding CIB’s Markets businesses
•
Certain credit metrics and ratios, which exclude PCI loans
•
Tangible common equity (“TCE”), ROTCE, and TBVPS.
In addition, core loans is a key performance measure utilized by the Firm and its investors and analysts in assessing actual growth in the loan portfolio.
Refer to Explanation and Reconciliation of the Firm’s Use Of Non-GAAP Financial Measures and Key Performance Measures on pages 57-59 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of management’s use of non-GAAP financial measures and key performance measures.
The following summary table provides a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.
 
Three months ended September 30,
 
2019
 
2018
(in millions, except ratios)
Reported
results
 
Fully taxable-equivalent adjustments(a)
 
Managed
basis
 
Reported
results
 
Fully taxable-equivalent adjustments(a)
 
Managed
basis
Other income
$
1,472

 
$
596

 
 
$
2,068

 
$
1,160

 
$
408

 
 
$
1,568

Total noninterest revenue
15,113

 
596

 
 
15,709

 
13,352

 
408

 
 
13,760

Net interest income
14,228

 
127

 
 
14,355

 
13,908

 
154

 
 
14,062

Total net revenue
29,341

 
723

 
 
30,064

 
27,260

 
562

 
 
27,822

Pre-provision profit
12,919

 
723

 
 
13,642

 
11,637

 
562

 
 
12,199

Income before income tax expense
11,405

 
723

 
 
12,128

 
10,689

 
562

 
 
11,251

Income tax expense
$
2,325

 
$
723

 
 
$
3,048

 
$
2,309

 
$
562

 
 
$
2,871

Overhead ratio
56
%
 
NM

 
 
55
%
 
57
%
 
NM

 
 
56
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30,
 
2019
 
2018
(in millions, except ratios)
Reported
results
 
Fully taxable-equivalent adjustments(a)
 
Managed
basis
 
Reported
results
 
Fully taxable-equivalent adjustments(a)
 
Managed
basis
Other income
$
4,239

 
$
1,777

 
 
$
6,016

 
$
4,041

 
$
1,337

 
 
$
5,378

Total noninterest revenue
44,217

 
1,777

 
 
45,994

 
42,215

 
1,337

 
 
43,552

Net interest income
43,079

 
408

 
 
43,487

 
40,705

 
473

 
 
41,178

Total net revenue
87,296

 
2,185

 
 
89,481

 
82,920

 
1,810

 
 
84,730

Pre-provision profit
38,138

 
2,185

 
 
40,323

 
35,246

 
1,810

 
 
37,056

Income before income tax expense
33,980

 
2,185

 
 
36,165

 
31,923

 
1,810

 
 
33,733

Income tax expense
$
6,069

 
$
2,185

 
 
$
8,254

 
$
6,515

 
$
1,810

 
 
$
8,325

Overhead ratio
56
%
 
NM

 
 
55
%
 
57
%
 
NM

 
 
56
%
(a)
Predominantly recognized in CIB, CB and Corporate.












19

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

(in millions, except rates)
Three months ended September 30,
 
Nine months ended September 30,
2019

2018

 
Change

 
2019
2018
 
Change
Net interest income – reported
$
14,228

$
13,908

 
2
 %
 
$
43,079

$
40,705

 
6
 %
Fully taxable-equivalent adjustments
127

154

 
(18
)
 
408

473

 
(14
)
Net interest income – managed basis(a)
$
14,355

$
14,062

 
2

 
$
43,487

$
41,178

 
6

Less: CIB Markets net interest income(b)
723

704

 
3

 
1,971

2,488

 
(21
)
Net interest income excluding CIB Markets(a)
$
13,632

$
13,358

 
2

 
$
41,516

$
38,690

 
7

 
 
 
 
 
 
 
 
 
 
Average interest-earning assets(c)
$
2,365,154

$
2,203,305

 
7

 
$
2,334,623

$
2,198,909

 
6

Less: Average CIB Markets interest-earning assets(b)(c)
690,593

596,784

 
16

 
671,236

589,185

 
14

Average interest-earning assets excluding CIB Markets
$
1,674,561

$
1,606,521

 
4
 %
 
$
1,663,387

$
1,609,724

 
3
 %
Net interest yield on average interest-earning assets – managed basis(c)
2.41
%
2.53
%
 
 
 
2.49
%
2.50
%
 
 
Net interest yield on average CIB Markets interest-earning assets(b)(c)
0.42

0.47

 
 
 
0.39

0.56

 
 
Net interest yield on average interest-earning assets excluding CIB Markets
3.23
%
3.30
%
 
 
 
3.34
%
3.21
%
 
 
(a)
Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.
(b)
Refer to page 32 for further information on CIB’s Markets businesses.
(c)
In the second quarter of 2019, the Firm reclassified balances related to certain instruments from interest-earning to noninterest-earning assets, as the associated returns are recorded in principal transactions revenue and not in net interest income. These changes were applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation.
The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
 
Period-end
 
Average
(in millions, except per share and ratio data)
Sep 30,
2019

Dec 31,
2018

 
Three months ended September 30,
Nine months ended September 30,
 
2019

2018

2019

2018

Common stockholders’ equity
$
235,985

$
230,447

 
$
235,613

$
230,439

$
232,917

$
228,995

Less: Goodwill
47,818

47,471

 
47,707

47,490

47,552

47,496

Less: Other intangible assets
841

748

 
842

795

776

820

Add: Certain Deferred tax liabilities(a)
2,371

2,280

 
2,344

2,233

2,311

2,221

Tangible common equity
$
189,697

$
184,508

 
$
189,408

$
184,387

$
186,900

$
182,900

 
 
 
 
 
 
 
 
Return on tangible common equity
NA

NA

 
18
%
17
%
19
%
18
%
Tangible book value per share
$
60.48

$
56.33

 
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.


20

BUSINESS SEGMENT RESULTS
The Firm is managed on a line of business basis. There are four major reportable business segments – Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment.
The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by 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 and Key Performance Measures on pages 19–20 for a definition of managed basis.
Description of business segment reporting methodology
Results of the business segments are intended to present each segment as if it were essentially a stand-alone business. The management reporting process that derives business segment results includes the allocation of certain
 
income and expense items. Refer to Line of business equity on page 47 for further information about line of business capital. The Firm periodically assesses the assumptions, methodologies and reporting classifications used for segment reporting, and further refinements may be implemented in future periods.
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. On at least an annual basis, the assumptions and methodologies used in capital allocation are assessed and as a result, the capital allocated to lines of business may change. Refer to Line of business equity on page 91 of JPMorgan Chase’s 2018 Form 10-K for additional information on business segment capital allocation.
Refer to Business Segment Results – Description of business segment reporting methodology on pages 60–61 of JPMorgan Chase’s 2018 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 September 30,
Consumer & Community Banking
 
Corporate & Investment Bank
 
Commercial Banking
(in millions, except ratios)
2019

2018

Change
 
2019

2018

Change
 
2019

2018

Change

Total net revenue
$
14,259

$
13,290

7
 
$
9,338

$
8,805

6
 
$
2,207

$
2,271

(3
)%
Total noninterest expense
7,290

6,982

4
 
5,348

5,175

3
 
881

853

3

Pre-provision profit/(loss)
6,969

6,308

10
 
3,990

3,630

10
 
1,326

1,418

(6
)
Provision for credit losses
1,311

980

34
 
92

(42
)
NM
 
67

(15
)
NM

Net income/(loss)
4,273

4,086

5
 
2,809

2,626

7
 
937

1,089

(14
)
Return on equity (“ROE”)
32
%
31
%
 
 
13
%
14
%
 
 
16
%
21
%
 
Three months ended September 30,
Asset & Wealth Management
 
Corporate
 
Total
(in millions, except ratios)
2019

2018

Change

 
2019

2018

Change
 
2019

2018

Change
Total net revenue
$
3,568

$
3,559

—

 
$
692

$
(103
)
NM
 
$
30,064

$
27,822

8
Total noninterest expense
2,622

2,585

1

 
281

28

NM
 
16,422

15,623

5
Pre-provision profit/(loss)
946

974

(3
)
 
411

(131
)
NM
 
13,642

12,199

12
Provision for credit losses
44

23

91

 
—

2

NM
 
1,514

948

60
Net income/(loss)
668

724

(8
)
 
393

(145
)
NM
 
9,080

8,380

8
ROE
24
%
31
%
 
 
NM

NM

 
 
15
%
14
%
 
Nine months ended September 30,
Consumer & Community Banking
 
Corporate & Investment Bank
 
Commercial Banking
(in millions, except ratios)
2019

2018

Change
 
2019

2018

Change

 
2019

2018

Change

Total net revenue
$
41,843

$
38,384

9
 
$
28,827

$
29,211

(1
)%
 
$
6,756

$
6,753

—

Total noninterest expense
21,663

20,770

4
 
16,288

16,237

—

 
2,618

2,541

3

Pre-provision profit/(loss)
20,180

17,614

15
 
12,539

12,974

(3
)
 
4,138

4,212

(2
)
Provision for credit losses
3,745

3,405

10
 
179

(142
)
NM

 
186

23

NM

Net income/(loss)
12,410

10,824

15
 
8,995

9,798

(8
)
 
2,986

3,201

(7
)
ROE
31
%
27
%
 
 
14
%
18
%
 
 
17
%
20
%
 
Nine months ended September 30,
Asset & Wealth Management
 
Corporate
 
Total
(in millions, except ratios)
2019

2018

Change

 
2019

2018

Change
 
2019

2018

Change

Total net revenue
$
10,616

$
10,637

—

 
$
1,439

$
(255
)
NM
 
$
89,481

$
84,730

6
%
Total noninterest expense
7,865

7,732

2

 
724

394

84
 
49,158

47,674

3

Pre-provision profit/(loss)
2,751

2,905

(5
)
 
715

(649
)
NM
 
40,323

37,056

9

Provision for credit losses
48

40

20

 
—

(3
)
NM
 
4,158

3,323

25

Net income/(loss)
2,048

2,249

(9
)
 
1,472

(664
)
NM
 
27,911

25,408

10

ROE
25
%
32
%
 
 
NM

NM

 
 
15
%
14
%
 
The following sections provide a comparative discussion of the Firm’s results by segment as of or for the three and nine months ended September 30, 2019 versus the corresponding periods in the prior year, unless otherwise specified.

21


CONSUMER & COMMUNITY BANKING
Refer to pages 62–65 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 173 for a discussion of the business profile of CCB.
Selected income statement data
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions, except ratios)
2019

 
2018

 
Change

 
2019

 
2018

 
Change

Revenue
 
 
 
 
 
 
 
 
 
 
 
Lending- and deposit-related fees
$
1,026

 
$
936

 
10
 %
 
$
2,827

 
$
2,668

 
6
 %
Asset management, administration and commissions
608

 
626

 
(3
)
 
1,890

 
1,792

 
5

Mortgage fees and related income
886

 
260

 
241

 
1,561

 
1,049

 
49

Card income
1,176

 
1,219

 
(4
)
 
3,601

 
3,299

 
9

All other income
1,399

 
1,135

 
23

 
3,989

 
3,255

 
23

Noninterest revenue
5,095

 
4,176

 
22

 
13,868

 
12,063

 
15

Net interest income
9,164

 
9,114

 
1

 
27,975

 
26,321

 
6

Total net revenue
14,259

 
13,290

 
7

 
41,843

 
38,384

 
9

 
 
 
 
 
 
 
 
 
 
 
 
Provision for credit losses
1,311

 
980

 
34

 
3,745

 
3,405

 
10

 
 
 
 
 
 
 
 
 
 
 
 
Noninterest expense
 
 
 
 
 
 
 
 
 
 
 
Compensation expense
2,683

 
2,635

 
2

 
8,063

 
7,916

 
2

Noncompensation expense(a)
4,607

 
4,347

 
6

 
13,600

 
12,854

 
6

Total noninterest expense
7,290

 
6,982

 
4

 
21,663

 
20,770

 
4

Income before income tax expense
5,658

 
5,328

 
6

 
16,435

 
14,209

 
16

Income tax expense
1,385

 
1,242

 
12

 
4,025

 
3,385

 
19

Net income
$
4,273

 
$
4,086

 
5

 
$
12,410

 
$
10,824

 
15

 
 
 
 
 
 
 
 
 
 
 
 
Revenue by line of business
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
$
6,688

 
$
6,385

 
5

 
$
20,053

 
$
18,238

 
10

Home Lending
1,465

 
1,306

 
12

 
3,929

 
4,162

 
(6
)
Card, Merchant Services & Auto
6,106

 
5,599

 
9

 
17,861

 
15,984

 
12

 
 
 
 
 
 
 
 
 
 
 
 
Mortgage fees and related income details:
 
 
 
 
 
 
 
 
 
 
 
Net production revenue
738

 
108

 
NM

 
1,291

 
296

 
336

Net mortgage servicing revenue(b)
148

 
152

 
(3
)
 
270

 
753

 
(64
)
Mortgage fees and related income
$
886

 
$
260

 
241
 %
 
$
1,561

 
$
1,049

 
49
 %
 
 
 
 
 
 
 
 
 
 
 
 
Financial ratios
 
 
 
 
 
 
 
 
 
 
 
Return on equity
32
%
 
31
%
 
 
 
31
%
 
27
%
 
 
Overhead ratio
51

 
53

 
 
 
52

 
54

 
 
Note: In the discussion and the tables which follow, CCB presents certain financial measures which exclude the impact of PCI loans; these are non-GAAP financial measures.
(a)
Included operating lease depreciation expense of $1.0 billion and $862 million for the three months ended September 30, 2019 and 2018, respectively, and $3.0 billion and $2.5 billion for nine months ended September 30, 2019 and 2018, respectively.
(b)
Included MSR risk management results of $53 million and $(88) million for the three months ended September 30, 2019 and 2018, respectively and $(200) million and $(94) million for nine months ended September 30, 2019 and 2018, respectively.

22


Quarterly results
Net income was $4.3 billion, an increase of 5%.
Net revenue was $14.3 billion, an increase of 7%. Net production revenue included approximately $350 million of gains on the sale of certain mortgage loans that were predominantly offset by a charge in net interest income for the unwind of the related internal funding from Treasury and Chief Investment Office (“CIO”) associated with these loans. The charge reflects the net present value of that funding and is recognized as interest income in Treasury and CIO. Refer to Corporate on pages 42–43 of this Form 10-Q and Funds Transfer Pricing (“FTP”) on page 60 of the Firm’s 2018 Form 10-K for further information.
Net interest income was $9.2 billion, up 1% and includes the charge from the loan sales mentioned above. Excluding this charge, net interest income increased, driven by:
•
higher loan balances and margin expansion in Card, as well as growth in deposit balances and higher deposit margins in CBB,
partially offset by
•
lower loan balances due to loan sales, as well as loan spread compression in Home Lending.
Noninterest revenue was $5.1 billion, up 22% and includes the gain from the loan sales mentioned above. Excluding this gain, noninterest revenue increased, driven by:
•
higher net mortgage production revenue reflecting higher production volumes and margins, and
•
higher auto lease volume
•
net mortgage servicing revenue, which remained relatively flat, reflecting lower operating revenue driven by the impact of reclassifying certain loans to held-for-sale and faster prepayment speeds on lower rates, offset by favorable MSR risk management results.
Refer to Note 14 for further information regarding changes in value of the MSR asset and related hedges, and mortgage fees and related income.
Noninterest expense was $7.3 billion, up 4%, predominantly driven by:
•
technology, marketing and other investments in the business, as well as higher auto lease depreciation,
partially offset by
•
expense efficiencies and lower FDIC charges.
 
The provision for credit losses was $1.3 billion, an increase of 34%, reflecting:
•
an increase in credit card due to
–
higher net charge-offs on loan growth, in line with expectations, and
–
a $200 million addition to the allowance for loan losses reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio, compared to a $150 million addition in the prior year
•
an increase in consumer, excluding credit card due to
–
a $100 million reduction in the allowance for loan losses in the non credit-impaired residential real estate portfolio, compared to a $250 million reduction in the PCI residential real estate portfolio in the prior year, and
–
lower net recoveries in the residential real estate portfolio as the prior year benefited from a larger recovery on a loan sale
partially offset by
–
a $50 million reduction in the allowance for loan losses in the business banking portfolio.


23


Year-to-date results
Net income was $12.4 billion, an increase of 15%.
Net revenue was $41.8 billion, an increase of 9%. Net production revenue included gains on sales of certain mortgage loans that were predominantly offset by charges in net interest income for the unwind of the related internal funding from Treasury and CIO associated with these loans.
Net interest income was $28.0 billion, up 6%, and includes charges from the loan sales mentioned above. Excluding these charges, net interest income increased, driven by:
•
higher deposit margins and growth in deposit balances in CBB, as well as higher loan balances and margin expansion in Card,
partially offset by
•
lower loan balances due to loan sales, as well as loan spread compression in Home Lending.
Noninterest revenue was $13.9 billion, up 15%, and includes gains from the loan sales mentioned above. Excluding these gains, noninterest revenue increased, driven by:
•
higher auto lease volume,
•
higher net mortgage production revenue reflecting higher production margins and volumes, and
•
the impact of the prior-year adjustment of approximately $330 million to the credit card rewards liability,
partially offset by
•
lower net mortgage servicing revenue driven by
–
lower operating revenue reflecting faster prepayment speeds on lower rates and the impact of reclassifying certain loans to held-for-sale, as well as
–
lower MSR risk management results reflecting updates to model inputs.
Noninterest expense was $21.7 billion, up 4%, driven by:
•
technology, marketing and other investments in the business, as well as higher auto lease depreciation,
partially offset by
•
expense efficiencies and lower FDIC charges.
 
The provision for credit losses was $3.7 billion, an increase of 10%, reflecting:
•
an increase in credit card due to
–
a $400 million addition to the allowance for loan losses reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio and loan growth, compared to a $150 million addition in the prior year, and
–
higher net charge-offs on loan growth, in line with expectations
partially offset by
•
a decrease in consumer, excluding credit card due to
–
a $400 million reduction in the allowance for loan losses in the PCI residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, and a $100 million reduction in the allowance for loan losses in the non credit-impaired residential real estate portfolio, compared to a $250 million reduction in the PCI residential real estate portfolio in the prior year, and
–
a $50 million reduction in the allowance for loan losses in the business banking portfolio
largely offset by
–
lower net recoveries in the residential real estate portfolio as the prior year benefited from larger recoveries on loan sales.



24


Selected metrics
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except headcount)
2019

 
2018

 
Change

 
2019
 
2018
 
Change

Selected balance sheet data (period-end)
 
 
 
 
 
 
 
 
 
 
 
Total assets
$
532,487

 
$
560,432

 
(5
)%
 
$
532,487

 
$
560,432

 
(5
)%
Loans:
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
26,699

 
26,451

 
1

 
26,699

 
26,451

 
1

Home equity
31,552

 
37,461

 
(16
)
 
31,552

 
37,461

 
(16
)
Residential mortgage
171,787

 
205,389

 
(16
)
 
171,787

 
205,389

 
(16
)
Home Lending
203,339

 
242,850

 
(16
)
 
203,339

 
242,850

 
(16
)
Card
159,571

 
147,881

 
8

 
159,571

 
147,881

 
8

Auto
61,410

 
63,619

 
(3
)
 
61,410

 
63,619

 
(3
)
Total loans
451,019

 
480,801

 
(6
)
 
451,019

 
480,801

 
(6
)
Core loans
405,662

 
425,917

 
(5
)
 
405,662

 
425,917

 
(5
)
Deposits
701,170

 
677,260

 
4

 
701,170

 
677,260

 
4

Equity
52,000

 
51,000

 
2

 
52,000

 
51,000

 
2

Selected balance sheet data (average)
 
 
 
 
 
 
 
 
 
 
 
Total assets
$
538,500

 
$
551,080

 
(2
)
 
$
544,833

 
$
544,931

 
—

Loans:
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
26,550

 
26,351

 
1

 
26,537

 
26,104

 
2

Home equity
32,215

 
38,211

 
(16
)
 
33,694

 
39,951

 
(16
)
Residential mortgage
181,157

 
204,689

 
(11
)
 
191,881

 
201,665

 
(5
)
Home Lending
213,372

 
242,900

 
(12
)
 
225,575

 
241,616

 
(7
)
Card
158,168

 
146,272

 
8

 
154,375

 
143,986

 
7

Auto
61,371

 
64,060

 
(4
)
 
62,118

 
65,096

 
(5
)
Total loans
459,461

 
479,583

 
(4
)
 
468,605

 
476,802

 
(2
)
Core loans
413,036

 
422,582

 
(2
)
 
419,851

 
415,662

 
1

Deposits
693,980

 
674,211

 
3

 
688,676

 
669,244

 
3

Equity
52,000

 
51,000

 
2

 
52,000

 
51,000

 
2

 
 
 
 
 
 
 
 
 
 
 
 
Headcount
127,687

 
129,891

 
(2
)%
 
127,687

 
129,891

 
(2
)%


25


Selected metrics
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except ratio data)
2019


2018

 
Change

 
2019
 
2018
 
Change

Credit data and quality statistics
 
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans(a)(b)
$
3,099


$
3,520


(12
)%

$
3,099


$
3,520


(12
)%
 
 
 
 
 
 
 
 
 
 
 
 
Net charge-offs/(recoveries)(c)
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
79

 
68

 
16

 
204

 
171

 
19

Home equity
(25
)
 
(12
)
 
(108
)
 
(41
)
 
(3
)
 
NM

Residential mortgage
(17
)
 
(105
)
 
84

 
(34
)
 
(252
)
 
87

Home Lending
(42
)
 
(117
)
 
64

 
(75
)
 
(255
)
 
71

Card
1,175

 
1,073

 
10

 
3,617

 
3,407

 
6

Auto
49

 
56

 
(13
)
 
149

 
182

 
(18
)
Total net charge-offs/(recoveries)
$
1,261

 
$
1,080

 
17

 
$
3,895

 
$
3,505

 
11

 
 
 
 
 
 
 
 
 
 
 
 
Net charge-off/(recovery) rate(c)
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
1.18
 %
 
1.02
%
 
 
 
1.03
 %
 
0.88
%
 
 
Home equity(d)
(0.41
)
 
(0.17
)
 
 
 
(0.22
)
 
(0.01
)
 
 
Residential mortgage(d)
(0.04
)
 
(0.22
)
 
 
 
(0.03
)
 
(0.18
)
 
 
Home Lending(d)
(0.09
)
 
(0.21
)
 
 
 
(0.05
)
 
(0.16
)
 
 
Card
2.95

 
2.91

 
 
 
3.13

 
3.16

 
 
Auto
0.32

 
0.35

 
 
 
0.32

 
0.37

 
 
Total net charge-off/(recovery) rate(d)
1.16

 
0.95

 
 
 
1.17

 
1.05

 
 
 
 
 
 
 
 
 
 
 
 
 
 
30+ day delinquency rate
 
 
 
 
 
 
 
 
 
 
 
Home Lending(e)(f)
0.78
 %
 
0.81
%
 
 
 
0.78
 %
 
0.81
%
 
 
Card
1.84

 
1.75

 
 
 
1.84

 
1.75

 
 
Auto
0.88

 
0.82

 
 
 
0.88

 
0.82

 
 
 
 
 
 
 
 
 
 
 
 
 
 
90+ day delinquency rate — Card
0.90

 
0.85

 
 
 
0.90

 
0.85

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Allowance for loan losses
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
$
746

 
$
796

 
(6
)
 
$
746

 
$
796

 
(6
)
Home Lending, excluding PCI loans
903

 
1,003

 
(10
)
 
903

 
1,003

 
(10
)
Home Lending — PCI loans(c)
1,256

 
1,824

 
(31
)
 
1,256

 
1,824

 
(31
)
Card
5,583

 
5,034

 
11

 
5,583

 
5,034

 
11

Auto
465

 
464

 
—

 
465

 
464

 
—

Total allowance for loan losses(c)
$
8,953

 
$
9,121

 
(2
)%
 
$
8,953

 
$
9,121

 
(2
)%
(a)
Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as each of the pools is performing.
(b)
At September 30, 2019 and 2018, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.6 billion and $2.9 billion, respectively. These amounts have been excluded based upon the government guarantee.
(c)
Net charge-offs/(recoveries) and the net charge-off/(recovery) rates for the three months ended September 30, 2019 and 2018, excluded $43 million and $58 million, respectively, and for nine months ended September 30, 2019 and 2018, excluded $132 million and $151 million, respectively, of write-offs in the PCI portfolio. These write-offs decreased the allowance for loan losses for PCI loans. Refer to Summary of changes in the allowance for credit losses on page 68 for further information on PCI write-offs.
(d)
Excludes the impact of PCI loans. For the three months ended September 30, 2019 and 2018, the net charge-off/(recovery) rates including the impact of PCI loans were as follows: (1) home equity of (0.31)% and (0.12)%, respectively; (2) residential mortgage of (0.04)% and (0.20)%, respectively; (3) Home Lending of (0.08)% and (0.19)%, respectively; and (4) total CCB of 1.10% and 0.89%, respectively. For nine months ended September 30, 2019 and 2018, the net charge-off/(recovery) rates included impact of PCI loans were as follows: (1) home equity of (0.16)% and (0.01)%, respectively; (2) residential mortgage of (0.02)% and (0.17)%, respectively; (3) Home Lending of (0.04)% and (0.14)%, respectively; and (4) total CCB of 1.12% and 0.98%, respectively.
(e)
At September 30, 2019 and 2018, excluded mortgage loans insured by U.S. government agencies of $2.7 billion and $4.5 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(f)
Excludes PCI loans. The 30+ day delinquency rate for PCI loans was 8.56% and 9.39% at September 30, 2019 and 2018, respectively.

26


Selected metrics
 
 
 
 
 
 
 
 
 
 
 
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)
2019

 
2018

 
Change

 
2019

 
2018

 
Change

Business Metrics
 
 
 
 
 
 
 
 
 
 
 
Number of branches
4,949

 
5,066

 
(2
)%
 
4,949

 
5,066

 
(2
)%
Active digital customers
(in thousands)(a)
51,843

 
48,664

 
7

 
51,843

 
48,664

 
7

Active mobile customers
(in thousands)(b)
36,510

 
32,538

 
12

 
36,510

 
32,538

 
12

Debit and credit card sales volume
$
282.2


$
259.0


9

 
$
818.8


$
746.4

 
10

 
 
 
 
 
 
 
 
 
 
 
 
Consumer & Business Banking
 
 
 
 
 
 
 
 
 
 
 
Average deposits
$
678.3

 
$
659.5

 
3

 
$
674.5

 
$
655.3

 
3

Deposit margin
2.47
%
 
2.43
%
 
 
 
2.56
%
 
2.33
%
 
 
Business banking origination volume
$
1.6

 
$
1.6

 
(5
)
 
$
4.8

 
$
5.2

 
(8
)
Client investment assets
337.9

 
298.4

 
13

 
337.9

 
298.4

 
13

 
 
 
 
 
 
 
 
 
 
 
 
Home Lending
 
 
 
 
 
 
 
 
 
 
 
Mortgage origination volume by channel
 
 
 
 
 
 
 
 
 
 
 
Retail
$
14.2

 
$
10.6

 
34

 
$
34.6

 
$
29.3

 
18

Correspondent
18.2

 
11.9

 
53

 
37.3

 
32.9

 
13

Total mortgage origination volume(c)
$
32.4

 
$
22.5

 
44

 
$
71.9

 
$
62.2

 
16

 
 
 
 
 
 
 
 
 
 
 
 
Total loans serviced (period-end)
$
774.8

 
$
798.6

 
(3
)
 
$
774.8

 
$
798.6

 
(3
)
Third-party mortgage loans serviced (period-end)
535.8

 
526.5

 
2

 
535.8

 
526.5

 
2

MSR carrying value (period-end)
4.4

 
6.4

 
(31
)
 
4.4

 
6.4

 
(31
)
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)
0.82
%
 
1.22
%
 
 
 
0.82
%
 
1.22
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MSR revenue multiple(d)
2.41
x
 
3.49
x
 
 
 
2.34
x
 
3.49
x
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Card, excluding Commercial Card
 
 
 
 
 
 
 
 
 
 
 
Credit card sales volume
$
193.6

 
$
176.0

 
10

 
$
558.6

 
$
507.1

 
10

 
 
 
 
 
 
 
 
 
 
 
 
Card Services
 
 
 
 
 
 
 
 
 
 
 
Net revenue rate
11.40
%
 
11.50
%
 
 
 
11.50
%
 
11.17
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Merchant Services
 
 
 
 
 
 
 
 
 
 
 
Merchant processing volume
$
380.5

 
$
343.8

 
11

 
$
1,108.6

 
$
990.9

 
12

 
 
 
 
 
 
 
 
 
 
 
 
Auto
 
 
 
 
 
 
 
 
 
 
 
Loan and lease origination volume
$
9.1

 
$
8.1

 
12

 
$
25.5

 
$
24.8

 
3

Average auto operating lease assets
21.8

 
19.2

 
14
 %
 
21.3

 
18.4

 
16
 %
(a)
Users of all web and/or mobile platforms who have logged in within the past 90 days.
(b)
Users of all mobile platforms who have logged in within the past 90 days.
(c)
Firmwide mortgage origination volume was $35.8 billion and $24.5 billion for the three months ended September 30, 2019 and 2018, respectively, and $78.5 billion and $68.2 billion for nine months ended September 30, 2019 and 2018, respectively.
(d)
Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).


27

CORPORATE & INVESTMENT BANK
Refer to pages 66–70 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 173 for a discussion of the business profile of CIB.
Selected income statement data
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions, except ratios)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Revenue
 
 
 
 
 
 
 
 
 
 
 
Investment banking fees
$
1,981

 
$
1,823

 
9
 %
 
$
5,671

 
$
5,658

 
—

Principal transactions
3,418

 
3,091

 
11

 
11,466

 
10,786

 
6

Lending- and deposit-related fees
360

 
373

 
(3
)
 
1,095

 
1,136

 
(4
)
Asset management, administration and commissions
1,197

 
1,130

 
6

 
3,447

 
3,416

 
1

All other income
226

 
88

 
157

 
649

 
958

 
(32
)
Noninterest revenue
7,182

 
6,505

 
10

 
22,328

 
21,954

 
2

Net interest income
2,156

 
2,300

 
(6
)
 
6,499

 
7,257

 
(10
)
Total net revenue(a)
9,338

 
8,805

 
6

 
28,827

 
29,211

 
(1
)
 
 
 
 
 
 
 
 
 
 
 
 
Provision for credit losses
92

 
(42
)
 
NM

 
179

 
(142
)
 
NM

 
 
 
 
 
 
 
 
 
 
 
 
Noninterest expense
 
 
 
 
 
 
 
 
 
 
 
Compensation expense
2,734

 
2,402

 
14

 
8,381

 
8,158

 
3

Noncompensation expense
2,614

 
2,773

 
(6
)
 
7,907

 
8,079

 
(2
)
Total noninterest expense
5,348

 
5,175

 
3

 
16,288

 
16,237

 
—

Income before income tax expense
3,898

 
3,672

 
6

 
12,360

 
13,116

 
(6
)
Income tax expense
1,089

 
1,046

 
4

 
3,365

 
3,318

 
1

Net income
$
2,809

 
$
2,626

 
7
 %
 
$
8,995

 
$
9,798

 
(8
)%
Financial ratios
 
 
 
 
 
 
 
 
 
 
 
Return on equity
13
%
 
14
%
 
 
 
14
%
 
18
%
 
 
Overhead ratio
57

 
59

 
 
 
57

 
56

 
 
Compensation expense as percentage of total net revenue
29

 
27

 
 
 
29

 
28

 
 
(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 $527 million and $354 million for the three months ended September 30, 2019 and 2018, respectively, and $1.6 billion and $1.2 billion for the nine months ended September 30, 2019 and 2018, respectively.
Selected income statement data
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Revenue by business
 
 
 
 
 
 
 
 
 
 
 
Investment Banking
$
1,871

 
$
1,731

 
8
 %
 
$
5,392

 
$
5,267

 
2
 %
Treasury Services
1,101

 
1,183

 
(7
)
 
3,383

 
3,480

 
(3
)
Lending
329

 
331

 
(1
)
 
1,006

 
954

 
5

Total Banking
3,301

 
3,245

 
2

 
9,781

 
9,701

 
1

Fixed Income Markets
3,557

 
2,844

 
25

 
10,972

 
10,850

 
1

Equity Markets
1,517

 
1,595

 
(5
)
 
4,986

 
5,571

 
(11
)
Securities Services
1,034

 
1,057

 
(2
)
 
3,093

 
3,219

 
(4
)
Credit Adjustments & Other(a)
(71
)
 
64

 
NM

 
(5
)
 
(130
)
 
96

Total Markets & Securities Services
6,037

 
5,560

 
9

 
19,046

 
19,510

 
(2
)
Total net revenue
$
9,338

 
$
8,805

 
6
 %
 
$
28,827

 
$
29,211

 
(1
)%
(a)
Consists primarily of credit valuation adjustments (“CVA”) managed centrally within CIB and funding valuation adjustments (“FVA”) on derivatives. Results 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.


28

Quarterly results
Net income was $2.8 billion, up 7%.
Net revenue was $9.3 billion, up 6%.
Banking revenue was $3.3 billion, up 2%.
•
Investment Banking revenue was $1.9 billion, up 8%, driven by higher debt and equity underwriting fees, partially offset by lower advisory fees. The Firm maintained its #1 ranking for Global Investment Banking fees with overall share gains, according to Dealogic.
–
Debt underwriting fees were $961 million, up 17%, reflecting wallet share gains despite a decline in industry-wide fees, driven by participation in large acquisition financing deals and increased activity in investment-grade bonds.
–
Equity underwriting fees were $514 million, up 22%, driven by wallet share gains primarily in the IPO and convertible markets.
–
Advisory fees were $506 million, down 13%, driven by a decline in industry-wide fees compared to a strong prior year.
•
Treasury Services revenue was $1.1 billion, down 7%, driven by deposit margin compression partially offset by fee growth and higher balances.
•
Lending revenue was $329 million, down 1%.
Markets & Securities Services revenue was $6.0 billion, up 9%. Markets revenue was $5.1 billion, up 14%.
•
Fixed Income Markets revenue was $3.6 billion, up 25% compared to the prior year which reflected less favorable market conditions. The current quarter results were driven by strong client activity across products primarily in Rates, agency mortgage trading within Securitized Products and Commodities.
•
Equity Markets revenue was $1.5 billion, down 5% compared to a strong prior year. The current quarter results were driven by lower revenue in derivatives reflecting lower client activity and less favorable market conditions which were partially offset by higher revenue in Cash Equities.
•
Securities Services revenue was $1.0 billion, down 2%, with deposit margin compression largely offset by organic growth.
The provision for credit losses was $92 million, largely driven by a net addition to the allowance for credit losses related to select emerging market client downgrades. The prior year was a benefit of $42 million reflecting a net recovery related to a loan sale.
Noninterest expense was $5.3 billion, up 3%, driven by higher volume- and revenue-related expenses and investments, including compensation expense, largely offset
 
by lower legal expenses and FDIC charges.
Year-to-date results
Net income was $9.0 billion, down 8%.
Net revenue was $28.8 billion, down 1%.
Banking revenue was $9.8 billion, up 1% compared to the prior year.
•
Investment Banking revenue was $5.4 billion, up 2%, with higher debt underwriting, predominantly offset by lower advisory and equity underwriting fees. The Firm maintained its #1 ranking for Global Investment Banking fees with overall share gains, according to Dealogic.
–
Debt underwriting fees were $2.7 billion, up 7%, reflecting wallet share gains despite a decline in industry-wide fees, driven by participation in large acquisition financing deals.
–
Advisory fees were $1.7 billion, down 6%, and Equity underwriting fees were $1.3 billion, down 4%, driven by a decline in industry-wide fees despite wallet share gains.
•
Treasury Services revenue was $3.4 billion, down 3%, with deposit margin compression predominantly offset by fee growth and higher balances.
•
Lending revenue was $1.0 billion, up 5%, predominantly driven by higher net interest income reflecting growth in loan balances.
Markets & Securities Services revenue was $19.0 billion, down 2%. Markets revenue was $16.0 billion, down 3% which included a gain from the IPO of Tradeweb. In addition, prior year results included approximately $500 million of fair value gains related to the adoption of the recognition and measurement accounting guidance for certain equity investments previously held at cost.
•
Fixed Income Markets revenue was $11.0 billion, up 1% reflecting higher revenue in agency mortgage trading within Securitized Products and Commodities partially offset by lower revenue in Currencies & Emerging Markets.
•
Equity Markets revenue was $5.0 billion, down 11% compared to a strong prior year, predominantly driven by lower client activity in derivatives.
•
Securities Services revenue was $3.1 billion, down 4%, driven by deposit margin compression and the impact of a business exit partially offset by organic growth.
•
Credit Adjustments & Other was a loss of $5 million, compared with a loss of $130 million in the prior year.
The provision for credit losses was $179 million reflecting select C&I client downgrades including those in an emerging market. The prior year was a benefit of $142 million, primarily driven by loan sales and other activity related to a single name in the Oil & Gas portfolio, partially offset by other net portfolio activity.
Noninterest expense was $16.3 billion, flat compared to the prior year reflecting higher volume-related expenses and investments, including front office hires, as well as technology staff, predominantly offset by lower FDIC charges and revenue-related compensation expense.

29

Selected metrics
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except headcount)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Selected balance sheet data (period-end)
 
 
 
 
 
 
 
 
 
 
 
Assets
$
1,023,132

 
$
928,148

 
10
 %
 
$
1,023,132

 
$
928,148

 
10
 %
Loans:
 
 
 
 
 
 
 
 
 
 
 
Loans retained(a)
118,290

 
117,084

 
1

 
118,290

 
117,084

 
1

Loans held-for-sale and loans at fair value
8,324

 
6,133

 
36

 
8,324

 
6,133

 
36

Total loans
126,614

 
123,217

 
3

 
126,614

 
123,217

 
3

Core loans
126,445

 
122,953

 
3

 
126,445

 
122,953

 
3

Equity
80,000

 
70,000

 
14

 
80,000

 
70,000

 
14

Selected balance sheet data (average)
 
 
 
 
 
 
 
 
 
 
 
Assets
$
1,003,395

 
$
924,909

 
8

 
$
985,503

 
$
924,145

 
7

Trading assets-debt and equity instruments
415,450

 
349,390

 
19

 
406,304

 
354,270

 
15

Trading assets-derivative receivables
48,266

 
62,025

 
(22
)
 
49,221

 
60,943

 
(19
)
Loans:
 
 
 
 
 
 
 
 
 
 
 
Loans retained(a)
$
119,007

 
$
115,390

 
3

 
$
123,368

 
$
112,921

 
9

Loans held-for-sale and loans at fair value
8,344

 
7,328

 
14

 
8,239

 
6,263

 
32

Total loans
$
127,351

 
$
122,718

 
4

 
$
131,607

 
$
119,184

 
10

Core loans
127,187

 
122,442

 
4

 
131,436

 
118,877

 
11

Equity
80,000

 
70,000

 
14

 
80,000

 
70,000

 
14

Headcount
55,873

 
54,052

 
3
 %
 
55,873

 
54,052

 
3
 %
(a)
Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.

Selected metrics
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except ratios)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Credit data and quality statistics
 
 
 
 
 
 
 
 
 
 
 
Net charge-offs/(recoveries)
$
38

 
$
(40
)
 
NM

 
$
140

 
$
94

 
49
 %
Nonperforming assets:
 
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans:
 
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans retained(a)
$
712

 
$
318

 
124
 %
 
$
712

 
$
318

 
124

Nonaccrual loans held-for-sale and loans at fair value
262

 
9

 
NM

 
262

 
9

 
NM

Total nonaccrual loans
974

 
327

 
198

 
974

 
327

 
198

Derivative receivables
26

 
90

 
(71
)
 
26

 
90

 
(71
)
Assets acquired in loan satisfactions
75

 
61

 
23

 
75

 
61

 
23

Total nonperforming assets
$
1,075

 
$
478

 
125

 
$
1,075

 
$
478

 
125

Allowance for credit losses:
 
 
 
 
 
 
 
 
 
 
 
Allowance for loan losses
$
1,171

 
$
1,068

 
10

 
$
1,171

 
$
1,068

 
10

Allowance for lending-related commitments
824

 
802

 
3

 
824

 
802

 
3

Total allowance for credit losses
$
1,995

 
$
1,870

 
7
 %
 
$
1,995

 
$
1,870

 
7
 %
Net charge-off/(recovery) rate(b)
0.13
%
 
(0.14
)%
 
 
 
0.15
%
 
0.11
%
 
 
Allowance for loan losses to period-end loans retained
0.99

 
0.91

 
 
 
0.99

 
0.91

 
 
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(c)
1.33

 
1.27

 
 
 
1.33

 
1.27

 
 
Allowance for loan losses to nonaccrual loans retained(a)
164

 
336

 
 
 
164

 
336

 
 
Nonaccrual loans to total period-end loans
0.77
%
 
0.27
 %
 
 
 
0.77
%
 
0.27
%
 
 
(a)
Allowance for loan losses of $207 million and $145 million were held against these nonaccrual loans at September 30, 2019 and 2018, respectively.
(b)
Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.
(c)
Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.

30

Investment banking fees
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Advisory
$
506

 
$
581

 
(13
)%
 
$
1,675

 
$
1,782

 
(6
)%
Equity underwriting
514

 
420

 
22

 
1,284

 
1,336

 
(4
)
Debt underwriting(a)
961

 
822

 
17

 
2,712

 
2,540

 
7

Total investment banking fees
$
1,981

 
$
1,823

 
9
 %
 
$
5,671

 
$
5,658

 
—

(a)
Represents long-term debt and loan syndications.
League table results – wallet share
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
Full-year 2018
 
2019
 
2018
 
2019
 
2018
 
 
Rank
 
Share
 
Rank
 
Share
 
Rank
 
Share
 
Rank
 
Share
 
Rank
 
Share
Based on fees(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
M&A(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Global
#
2

 
8.6
 
#
2

 
8.4
 
#
2

 
9.3
 
#
2

 
8.8
 
#
2

 
8.7
%
U.S.
4

 
8.7
 
3

 
7.0
 
2

 
9.4
 
2

 
9.3
 
2

 
8.9

Equity and equity-related(c)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Global
1

 
11.9
 
1

 
9.7
 
1

 
10.3
 
3

 
9.1
 
1

 
9.0

U.S.
1

 
17.3
 
1

 
13.2
 
1

 
13.8
 
1

 
12.5
 
1

 
12.3

Long-term debt(d)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Global
1

 
8.8
 
1

 
7.8
 
1

 
8.0
 
1

 
7.4
 
1

 
7.2

U.S.
1

 
13.7
 
1

 
12.9
 
1

 
12.2
 
1

 
11.4
 
1

 
11.2

Loan syndications
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Global
1

 
10.1
 
1

 
10.8
 
1

 
10.6
 
1

 
9.9
 
1

 
9.7

U.S.
1

 
13.0
 
1

 
14.4
 
1

 
13.2
 
1

 
12.6
 
1

 
12.3

Global investment banking fees(e)
#
1

 
9.6
 
#
1

 
9.0
 
#
1

 
9.3
 
#
1

 
8.7
 
#
1

 
8.6
%
(a)
Source: Dealogic as of October 1, 2019. Reflects the ranking of revenue wallet and market share.
(b)
Global M&A excludes any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S.
(c)
Global equity and equity-related ranking includes rights offerings and Chinese A-Shares.
(d)
Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”); and exclude money market, short-term debt, and U.S. municipal securities.
(e)
Global investment banking fees exclude money market, short-term debt and shelf deals.

31

Markets revenue
The following table summarizes select income statement data for the Markets businesses. Markets includes both Fixed Income Markets and Equity Markets. Markets revenue comprises principal transactions, fees, commissions and other income, as well as net interest income. The Firm assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate net interest income may be risk-managed by derivatives that are
 
recorded in principal transactions revenue. Refer to Notes 5 and 6 for a description of the composition of these income statement line items. Refer to Markets revenue on page 69 of JPMorgan Chase’s 2018 Form 10-K for further information.
For the periods presented below, the predominant source of principal transactions revenue was the amount recognized
upon executing new transactions.
 
Three months ended September 30,
 
Three months ended September 30,
 
2019
 
2018

(in millions)
Fixed Income Markets
Equity Markets
Total Markets
 
Fixed Income Markets
Equity Markets
Total Markets
Principal transactions
$
2,292

$
1,263

$
3,555

 
$
1,849

$
1,252

$
3,101

Lending- and deposit-related fees
51

1

52

 
51

1

52

Asset management, administration and commissions
110

472

582

 
96

446

542

All other income
108

54

162

 
33

7

40

Noninterest revenue
2,561

1,790

4,351

 
2,029

1,706

3,735

Net interest income
996

(273
)
723

 
815

(111
)
704

Total net revenue
$
3,557

$
1,517

$
5,074

 
$
2,844

$
1,595

$
4,439

 
Nine months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018

(in millions)
Fixed Income Markets
Equity Markets
Total Markets
 
Fixed Income Markets
Equity Markets
Total Markets
Principal transactions
$
7,205

$
4,428

$
11,633

 
$
6,795

$
4,528

$
11,323

Lending- and deposit-related fees
149

5

154

 
147

4

151

Asset management, administration and commissions
310

1,359

1,669

 
313

1,364

1,677

All other income
500

31

531

 
764

18

782

Noninterest revenue
8,164

5,823

13,987

 
8,019

5,914

13,933

Net interest income(a)
2,808

(837
)
1,971

 
2,831

(343
)
2,488

Total net revenue
$
10,972

$
4,986

$
15,958

 
$
10,850

$
5,571

$
16,421

(a)
Declines in Markets net interest income were driven by higher funding costs.


32

Selected metrics
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except where otherwise noted)
2019
 
2018
 
Change
 
2019
 
2018
 
Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
 
 
 
 
 
 
 
 
 
 
 
Fixed Income
$
13,349

 
$
12,339

 
8
%
 
$
13,349

 
$
12,339

 
8
%
Equity
9,301

 
9,174

 
1

 
9,301

 
9,174

 
1

Other(a)
3,045

 
2,890

 
5

 
3,045

 
2,890

 
5

Total AUC
$
25,695


$
24,403

 
5

 
$
25,695

 
$
24,403

 
5

Client deposits and other third-party liabilities (average)(b)
$
471,291


$
434,847

 
8
%
 
$
457,961

 
$
430,640

 
6
%
(a)
Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.
(b)
Client deposits and other third-party liabilities pertain to the Treasury Services and Securities Services businesses.
International metrics
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except where
 otherwise noted)
2019
 
2018(c)
 
Change
 
2019
 
2018(c)
 
Change
Total net revenue(a)
 
 
 
 
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
2,892

 
$
2,773

 
4
 %
 
$
8,955

 
$
9,936

 
(10
)%
Asia/Pacific
1,428

 
1,234

 
16

 
4,143

 
3,997

 
4

Latin America/Caribbean
404

 
318

 
27

 
1,205

 
1,123

 
7

Total international net revenue
4,724

 
4,325

 
9

 
14,303

 
15,056

 
(5
)
North America
4,614

 
4,480

 
3

 
14,524

 
14,155

 
3

Total net revenue
$
9,338

 
$
8,805

 
6

 
$
28,827

 
$
29,211

 
(1
)
 
 
 
 
 
 
 
 
 
 
 
 
Loans retained (period-end)(a)
 
 
 
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
23,807

 
$
25,341

 
(6
)
 
$
23,807

 
$
25,341

 
(6
)
Asia/Pacific
14,402

 
16,907

 
(15
)
 
14,402

 
16,907

 
(15
)
Latin America/Caribbean
5,782

 
6,097

 
(5
)
 
5,782

 
6,097

 
(5
)
Total international loans
43,991

 
48,345

 
(9
)
 
43,991

 
48,345

 
(9
)
North America
74,299

 
68,739

 
8

 
74,299

 
68,739

 
8

Total loans retained
$
118,290

 
$
117,084

 
1

 
$
118,290

 
$
117,084

 
1

 
 
 
 
 
 
 
 
 
 
 
 
Client deposits and other third-party liabilities (average)(b)
 
 
 
 
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
175,354

 
$
162,060

 
8

 
$
171,601

 
$
162,102

 
6

Asia/Pacific
91,556

 
81,771

 
12

 
87,866

 
82,272

 
7

Latin America/Caribbean
30,165

 
26,196

 
15

 
28,849

 
26,477

 
9

Total international
$
297,075

 
$
270,027

 
10

 
$
288,316

 
$
270,851

 
6

North America
174,216

 
164,820

 
6

 
169,645

 
159,789

 
6

Total client deposits and other third-party liabilities
$
471,291

 
$
434,847

 
8

 
$
457,961

 
$
430,640

 
6

 
 
 
 
 
 
 
 
 
 
 
 
AUC (period-end)(b)
(in billions)
 
 
 
 
 
 
 
 
 
 
 
North America
$
16,146

 
$
15,148

 
7

 
$
16,146

 
$
15,148

 
7

All other regions
9,549

 
9,255

 
3

 
9,549

 
9,255

 
3

Total AUC
$
25,695

 
$
24,403

 
5
 %
 
$
25,695

 
$
24,403

 
5
 %
(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 Treasury Services and Securities Services businesses, and AUC, are based on the domicile of the client.
(c)
The prior period amounts have been revised to conform with the current period presentation.

33

COMMERCIAL BANKING
Refer to pages 71-73 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 174 for a discussion of the business profile of CB.
Selected income statement data
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
Change

 
2019

 
2018

 
Change
Revenue
 
 
 
 
 
 
 
 
 
 
 
Lending- and deposit-related fees
$
221

 
$
216

 
2
 %
 
$
664

 
$
666

 
—
 %
All other income(a)
378

 
360

 
5

 
1,142

 
1,092

 
5

Noninterest revenue
599

 
576

 
4

 
1,806

 
1,758

 
3

Net interest income
1,608

 
1,695

 
(5
)
 
4,950

 
4,995

 
(1
)
Total net revenue(b)
2,207

 
2,271

 
(3
)
 
6,756

 
6,753

 
—

 
 
 
 
 
 
 
 
 
 
 
 
Provision for credit losses
67

 
(15
)
 
NM

 
186

 
23

 
NM

 
 
 
 
 
 
 
 
 
 
 
 
Noninterest expense
 
 
 
 
 
 
 
 
 
 
 
Compensation expense
454

 
432

 
5

 
1,341

 
1,268

 
6

Noncompensation expense
427

 
421

 
1

 
1,277

 
1,273

 
—

Total noninterest expense
881

 
853

 
3

 
2,618

 
2,541

 
3

 
 
 
 
 
 
 
 
 
 
 
 
Income before income tax expense
1,259

 
1,433

 
(12
)
 
3,952

 
4,189

 
(6
)
Income tax expense
322

 
344

 
(6
)
 
966

 
988

 
(2
)
Net income
$
937

 
$
1,089

 
(14
)%
 
$
2,986

 
$
3,201

 
(7
)%
(a)
Effective in the first quarter of 2019, includes revenue from investment banking products, commercial card transactions and asset management fees. The prior period amounts have been revised to conform with the current period presentation.
(b)
Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community
development entities that provide loans to qualified businesses in low-income communities, as well as tax-exempt income related to municipal financing activities of $114 million and $107 million for the three months ended September 30, 2019 and 2018, respectively and $308 million and $316 million for the nine months ended September 30, 2019 and 2018, respectively.
Quarterly results
Net income was $937 million, a decrease of 14%.
Net revenue was $2.2 billion, down 3%. Net interest income was $1.6 billion, down 5%, driven by lower deposit margins, partially offset by higher deposit balances. Noninterest revenue was $599 million, an increase of 4%, predominantly driven by strong investment banking performance due to increased equity underwriting and M&A activity.
Noninterest expense was $881 million, up 3%, predominantly driven by investments in the business, largely offset by lower FDIC charges.
The provision for credit losses was $67 million, compared with a benefit of $15 million in the prior year.
 
Year-to-date results
Net income was $3.0 billion, a decrease of 7%.
Net revenue of $6.8 billion was flat. Net interest income was $5.0 billion, a decrease of 1%, driven by lower loan spreads and lower deposit balances, largely offset by higher deposit margins. Noninterest revenue was $1.8 billion, up 3% driven by higher investment banking revenue, predominantly due to increased equity underwriting and M&A activity.
Noninterest expense was $2.6 billion, an increase of 3%, predominantly driven by continued investments in the business, largely offset by lower FDIC charges.
The provision for credit losses was $186 million, largely driven by a net addition to the allowance for credit losses related to select C&I client downgrades.

34

Selected income statement data (continued)
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions, except ratios)
2019

 
2018

 
Change

 
2019

 
2018

 
Change
Revenue by product
 
 
 
 
 
 
 
 
 
 
 
Lending
$
1,006

 
$
1,027

 
(2
)%
 
$
3,030

 
$
3,052

 
(1
)%
Treasury services
950

 
1,021

 
(7
)
 
2,968

 
3,019

 
(2
)
Investment banking(a)
226

 
206

 
10

 
708

 
644

 
10

Other
25

 
17

 
47

 
50

 
38

 
32

Total Commercial Banking net revenue
$
2,207

 
$
2,271

 
(3
)
 
$
6,756

 
$
6,753

 
—

 
 
 
 
 
 
 
 
 
 
 
 
Investment banking revenue, gross(b)
$
700

 
$
581

 
20

 
$
2,110

 
$
1,889

 
12

 
 
 
 
 
 
 
 
 
 
 
 
Revenue by client segments
 
 
 
 
 
 
 
 
 
 
 
Middle Market Banking
$
903

 
$
935

 
(3
)
 
$
2,793

 
$
2,749

 
2

Corporate Client Banking
739

 
749

 
(1
)
 
2,264

 
2,243

 
1

Commercial Real Estate Banking(c)
547

 
562

 
(3
)
 
1,632

 
1,681

 
(3
)
Other(c)
18

 
25

 
(28
)
 
67

 
80

 
(16
)
Total Commercial Banking net revenue
$
2,207

 
$
2,271

 
(3
)%
 
$
6,756

 
$
6,753

 
—
 %
 
 
 
 
 
 
 
 
 
 
 
 
Financial ratios
 
 
 
 
 
 
 
 
 
 
 
Return on equity
16
%
 
21
%
 
 
 
17
%
 
20
%
 
 
Overhead ratio
40

 
38

 
 
 
39

 
38

 
 
(a)
Includes CB’s share of revenue from investment banking products sold to CB clients through the CIB.
(b)
Refer to page 60 of the 2018 Form 10-K for discussion of revenue sharing.
(c)
Effective in the first quarter of 2019, client segment data includes Commercial Real Estate Banking which comprises the former Commercial Term Lending and Real Estate Banking client segments, and Community Development Banking (previously part of Other). The prior period amounts have been revised to conform with the current period presentation.


35

Selected metrics
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except headcount)
2019

2018

Change

 
2019
2018
Change
Selected balance sheet data (period-end)
 
 
 
 
 
 
 
Total assets
$
222,483

$
217,194

2
 %
 
$
222,483

$
217,194

2
 %
Loans:
 
 
 
 
 
 
 
Loans retained
209,448

205,177

2

 
209,448

205,177

2

Loans held-for-sale and loans at fair value
3,187

405

NM

 
3,187

405

NM

Total loans
$
212,635

$
205,582

3

 
$
212,635

$
205,582

3

Core loans
212,514

205,418

3

 
212,514

205,418

3

Equity
22,000

20,000

10

 
22,000

20,000

10

 
 
 
 
 
 
 
 
Period-end loans by client segment
 
 
 
 
 
 
 
Middle Market Banking
$
54,298

$
57,324

(5
)
 
$
54,298

$
57,324

(5
)
Corporate Client Banking
55,976

46,890

19

 
55,976

46,890

19

Commercial Real Estate Banking(a)
101,326

100,072

1

 
101,326

100,072

1

Other(a)
1,035

1,296

(20
)
 
1,035

1,296

(20
)
Total Commercial Banking loans
$
212,635

$
205,582

3

 
$
212,635

$
205,582

3

 
 
 
 
 
 
 
 
Selected balance sheet data (average)
 
 
 
 
 
 
 
Total assets
$
218,620

$
219,232

—

 
$
218,560

$
218,270

—

Loans:
 
 
 
 
 
 
 
Loans retained
207,286

205,603

1

 
206,183

203,950

1

Loans held-for-sale and loans at fair value
963

1,617

(40
)
 
1,097

1,139

(4
)
Total loans
$
208,249

$
207,220

—

 
$
207,280

$
205,089

1

Core loans
208,125

207,052

1

 
207,145

204,902

1

 
 
 
 
 
 
 
 
Average loans by client segment
 
 
 
 
 
 
 
Middle Market Banking
$
54,806

$
57,258

(4
)
 
$
56,221

$
57,121

(2
)
Corporate Client Banking
51,389

49,004

5

 
49,407

47,650

4

Commercial Real Estate Banking(a)
101,044

99,627

1

 
100,663

98,880

2

Other(a)
1,010

1,331

(24
)
 
989

1,438

(31
)
Total Commercial Banking loans
$
208,249

$
207,220

—

 
$
207,280

$
205,089

1

 
 
 
 
 
 
 
 
Client deposits and other third-party liabilities
$
172,714

$
168,169

3

 
$
169,427

$
171,483

(1
)
Equity
22,000

20,000

10

 
22,000

20,000

10

 
 
 
 
 
 
 
 
Headcount
11,501

10,937

5
 %
 
11,501

10,937

5
 %
(a)
Effective in the first quarter of 2019, client segment data includes Commercial Real Estate Banking which comprises the former Commercial Term Lending and Real Estate Banking client segments, and Community Development Banking (previously part of Other). The prior period amounts have been revised to conform with the current period presentation.

36

Selected metrics (continued)
 
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except ratios)
2019

2018

Change

 
2019

 
2018

 
Change
Credit data and quality statistics
 
 
 
 
 
 
 
 
 
Net charge-offs/(recoveries)
$
45

$
(18
)
NM

 
$
71

 
$
16

 
344
%
Nonperforming assets
 
 
 
 
 
 
 
 
 
Nonaccrual loans:
 
 
 
 
 
 
 
 
 
Nonaccrual loans retained(a)
$
659

$
452

46
%
 
$
659

 
$
452

 
46
%
Nonaccrual loans held-for-sale and loans at fair value
—

5

NM

 
—

 
5

 
NM

Total nonaccrual loans
$
659

$
457

44

 
$
659

 
$
457

 
44

Assets acquired in loan satisfactions
19

2

NM

 
19

 
2

 
NM

Total nonperforming assets
$
678

$
459

48

 
$
678

 
$
459

 
48

Allowance for credit losses:
 
 
 
 
 
 
 
 
 
Allowance for loan losses
$
2,759

$
2,619

5

 
$
2,759

 
$
2,619

 
5

Allowance for lending-related commitments
293

249

18

 
293

 
249

 
18

Total allowance for credit losses
$
3,052

$
2,868

6
%
 
$
3,052

 
$
2,868

 
6
%
Net charge-off/(recovery) rate(b)
0.09
%
(0.03
)%
 
 
0.05
%
 
0.01
%
 
 
Allowance for loan losses to period-end loans retained
1.32

1.28

 
 
1.32

 
1.28

 
 
Allowance for loan losses to nonaccrual loans retained(a)
419

579

 
 
419

 
579

 
 
Nonaccrual loans to period-end total loans
0.31

0.22

 
 
0.31

 
0.22

 
 
(a)
Allowance for loan losses of $119 million and $105 million was held against nonaccrual loans retained at September 30, 2019 and 2018, respectively.
(b)
Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.


37

ASSET & WEALTH MANAGEMENT
Refer to pages 74–76 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on pages 174–175 for a discussion of the business profile of AWM.
Selected income statement data
 
 
 
 
(in millions, except ratios)
Three months ended September 30,
 
Nine months ended September 30,
2019

2018

Change

 
2019

2018

Change

Revenue
 
 
 
 
 
 
 
Asset management, administration and commissions
$
2,574

$
2,563

—
 %
 
$
7,558

$
7,623

(1
)%
All other income
139

117

19

 
431

374

15

Noninterest revenue
2,713

2,680

1

 
7,989

7,997

—

Net interest income
855

879

(3
)
 
2,627

2,640

—

Total net revenue
3,568

3,559

—

 
10,616

10,637

—

 
 
 
 
 
 
 
 
Provision for credit losses
44

23

91

 
48

40

20

 
 
 
 
 
 
 
 
Noninterest expense
 
 
 
 
 
 
 
Compensation expense
1,391

1,391

—

 
4,259

4,112

4

Noncompensation expense
1,231

1,194

3

 
3,606

3,620

—

Total noninterest expense
2,622

2,585

1

 
7,865

7,732

2

 
 
 
 
 
 
 
 
Income before income tax expense
902

951

(5
)
 
2,703

2,865

(6
)
Income tax expense
234

227

3

 
655

616

6

Net income
$
668

$
724

(8
)
 
$
2,048

$
2,249

(9
)
 
 
 
 
 
 
 
 
Revenue by line of business
 
 
 
 
 
 
 
Asset Management
$
1,816

$
1,827

(1
)
 
$
5,362

$
5,440

(1
)
Wealth Management
1,752

1,732

1

 
5,254

5,197

1

Total net revenue
$
3,568

$
3,559

—
 %
 
$
10,616

$
10,637

—
 %
 
 
 
 
 
 
 
 
Financial ratios
 
 
 
 
 
 
 
Return on equity
24
%
31
%
 
 
25
%
32
%
 
Overhead ratio
73

73

 
 
74

73

 
Pre-tax margin ratio:
 
 
 
 
 
 
 
Asset Management
25

27

 
 
25

27

 
Wealth Management
25

26

 
 
26

27

 
Asset & Wealth Management
25

27

 
 
25

27

 
Quarterly results
Net income was $668 million, a decrease of 8%.
Net revenue of $3.6 billion was flat. Net interest income was $855 million, down 3%, driven by deposit margin compression, largely offset by deposit and loan growth. Noninterest revenue was $2.7 billion, up 1%, driven by higher average market levels.
The provision for credit losses was $44 million, driven by net charge-offs, as well as net additions to the allowance for loan losses predominantly due to loan growth.
Noninterest expense was $2.6 billion, an increase of 1%, predominantly driven by continued investments in technology and advisors, partially offset by lower distribution and legal fees.
 
Year-to-date results
Net income was $2.0 billion, a decrease of 9%.
Net revenue of $10.6 billion was flat. Net interest income of $2.6 billion was flat, reflecting loan growth, offset by deposit margin compression. Noninterest revenue of $8.0 billion was flat, reflecting a shift in the mix toward lower fee products and lower brokerage activity, offset by higher net investment valuation gains.
The provision for credit losses was $48 million, driven by net charge-offs, as well as net additions to the allowance for loan losses predominantly due to loan growth.
Noninterest expense was $7.9 billion, an increase of 2%, predominantly driven by continued investments in technology and advisors, partially offset by lower distribution fees.


38

Selected metrics
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except ranking data, headcount and ratios)
2019

2018

Change

 
2019

2018

Change

% of JPM mutual fund assets rated as 4- or 5-star(a)
65
%
64
%
 
 
65
%
64
%
 
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
 
 
 
 
 
 
 
1 year
74

65

 
 
74

65

 
3 years
80

64

 
 
80

64

 
5 years
86

83

 
 
86

83

 
 
 
 
 
 
 
 
 
Selected balance sheet data (period-end)
 
 
 
 
 
 
 
Total assets
$
174,226

$
166,716

5
 %
 
$
174,226

$
166,716

5
 %
Loans
153,245

143,162

7

 
153,245

143,162

7

Core loans
153,245

143,162

7

 
153,245

143,162

7

Deposits
138,439

130,497

6

 
138,439

130,497

6

Equity
10,500

9,000

17

 
10,500

9,000

17

 
 
 
 
 
 
 
 
Selected balance sheet data (average)
 
 
 
 
 
 
 
Total assets
$
171,121

$
161,982

6

 
$
168,688

$
158,218

7

Loans
150,486

140,558

7

 
147,481

136,663

8

Core loans
150,486

140,558

7

 
147,481

136,663

8

Deposits
138,822

133,021

4

 
139,127

138,885

—

Equity
10,500

9,000

17

 
10,500

9,000

17

 
 
 
 
 
 
 
 
Headcount
24,228

23,747

2

 
24,228

23,747

2

 
 
 
 
 
 
 
 
Number of Wealth Management client advisors
2,872

2,808

2

 
2,872

2,808

2

 
 
 
 
 
 
 
 
Credit data and quality statistics
 
 
 
 
 
 
 
Net charge-offs
$
26

$
11

136

 
$
27

$
7

286

Nonaccrual loans
176

285

(38
)
 
176

285

(38
)
Allowance for credit losses:
 
 
 
 
 
 
 
Allowance for loan losses
$
350

$
317

10

 
$
350

$
317

10

Allowance for lending-related commitments
16

15

7

 
16

15

7

Total allowance for credit losses
$
366

$
332

10
 %
 
$
366

$
332

10
 %
Net charge-off rate
0.07
%
0.03
%
 
 
0.02
%
0.01
%
 
Allowance for loan losses to period-end loans
0.23

0.22

 
 
0.23

0.22

 
Allowance for loan losses to nonaccrual loans
199

111

 
 
199

111

 
Nonaccrual loans to period-end loans
0.11

0.20

 
 
0.11

0.20

 
(a)
Represents the “overall star rating” derived from Morningstar for the U.S., the U.K., Luxembourg, Hong Kong and Taiwan domiciled funds; and Nomura “star rating” for Japan domiciled funds. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil and India domiciled funds.
(b)
Quartile ranking sourced from: Lipper for the U.S. and Taiwan domiciled funds; Morningstar for the U.K., Luxembourg and Hong Kong domiciled funds; Nomura for Japan domiciled funds and Fund Doctor for South Korea domiciled funds. 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 and India domiciled funds.

39

Client assets
Client assets of $3.1 trillion and assets under management of $2.2 trillion were up 7% and 8% respectively, predominantly driven by net inflows into long-term and liquidity products as well as higher market levels globally.
Client assets
 
 
 
 
September 30,
(in billions)
2019

2018

Change

Assets by asset class
 
 
 
Liquidity
$
505

$
463

9
 %
Fixed income
590

457

29

Equity
437

452

(3
)
Multi-asset and alternatives
714

705

1

Total assets under management
2,246

2,077

8

Custody/brokerage/administration/deposits
815

790

3

Total client assets
$
3,061

$
2,867

7

 
 
 
 
Memo:
 
 
 
Alternatives client assets (a)
$
183

$
172

6

 
 
 
 
Assets by client segment
 
 
 
Private Banking
$
636

$
576

10

Institutional
1,029

945

9

Retail
581

556

4

Total assets under management
$
2,246

$
2,077

8

 
 
 
 
Private Banking
$
1,424

$
1,339

6

Institutional
1,051

967

9

Retail
586

561

4

Total client assets
$
3,061

$
2,867

7
 %
(a)
Represents assets under management, as well as client balances in brokerage accounts
Client assets (continued)
 
 
 
 
 


Three months ended
September 30,
Nine months ended
September 30,
(in billions)
2019

2018

 
2019

2018

Assets under management rollforward
 
 
 
 
 
Beginning balance
$
2,178

$
2,028

 
$
1,987

$
2,034

Net asset flows:
 
 
 
 
 
Liquidity
24

14

 
23

10

Fixed income
41

3

 
97

(9
)
Equity
(2
)
1

 
(9
)
8

Multi-asset and alternatives
1

4

 
(2
)
29

Market/performance/other impacts
4

27

 
150

5

Ending balance, September 30
$
2,246

$
2,077

 
$
2,246

$
2,077

 
 
 
 
 
 
Client assets rollforward
 
 
 
 
 
Beginning balance
$
2,998

$
2,799

 
$
2,733

$
2,789

Net asset flows
59

33

 
120

58

Market/performance/other impacts
4

35

 
208

20

Ending balance, September 30
$
3,061

$
2,867

 
$
3,061

$
2,867







40

International metrics
 
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions)
2019

2018

Change

 
2019

2018

Change

Total net revenue (a)
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
672

$
677

(1
)%
 
$
2,014

$
2,095

(4
)%
Asia/Pacific
376

377

—

 
1,104

1,161

(5
)
Latin America/Caribbean
218

228

(4
)
 
658

689

(4
)
Total international net revenue
1,266

1,282

(1
)
 
3,776

3,945

(4
)
North America
2,302

2,277

1

 
6,840

6,692

2

Total net revenue(a)
$
3,568

$
3,559

—

 
$
10,616

$
10,637

—
 %
(a)
Regional revenue is based on the domicile of the client.
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in billions)
2019

2018

Change

 
2019

2018

Change

Assets under management
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
387

$
375

3
%
 
$
387

$
375

3
%
Asia/Pacific
183

164

12

 
183

164

12

Latin America/Caribbean
70

65

8

 
70

65

8

Total international assets under management
640

604

6

 
640

604

6

North America
1,606

1,473

9

 
1,606

1,473

9

Total assets under management
$
2,246

$
2,077

8

 
$
2,246

$
2,077

8

 
 
 
 
 
 
 
 
Client assets
 
 
 
 
 
 
 
Europe/Middle East/Africa
$
455

$
435

5

 
$
455

$
435

5

Asia/Pacific
253

228

11

 
253

228

11

Latin America/Caribbean
172

162

6

 
172

162

6

Total international client assets
880

825

7

 
880

825

7

North America
2,181

2,042

7

 
2,181

2,042

7

Total client assets
$
3,061

$
2,867

7
%
 
$
3,061

$
2,867

7
%

41

CORPORATE
Refer to pages 77–78 of JPMorgan Chase’s 2018 Form 10-K for a discussion of Corporate.
Selected income statement and balance sheet data
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions, except headcount)
2019

2018

 
Change

 
2019

 
2018

 
Change

Revenue
 
 
 
 
 
 
 
 
 
 
Principal transactions
$
10

$
(161
)
 
NM

 
$
(227
)
 
$
(222
)
 
(2
)%
Investment securities gains/(losses)
78

(46
)
 
NM

 
135

 
(371
)
 
NM
All other income
32

30

 
7
%
 
95

 
373

 
(75)
Noninterest revenue
120

(177
)
 
NM

 
3

 
(220
)
 
NM
Net interest income
572

74

 
NM

 
1,436

 
(35
)
 
NM
Total net revenue(a)
692

(103
)
 
NM

 
1,439

 
(255
)
 
NM
 
 
 
 
 
 
 
 
 
 
 
Provision for credit losses
—

2

 
NM

 
—

 
(3
)
 
NM
 
 
 
 
 
 
 
 
 
 
 
Noninterest expense(b)
281

28

 
NM

 
724

 
394

 
84
Income/(loss) before income tax expense/(benefit)
411

(133
)
 
NM

 
715

 
(646
)
 
NM
Income tax expense/(benefit)
18

12

 
50

 
(757
)
 
18

 
NM
Net income/(loss)
$
393

$
(145
)
 
NM

 
$
1,472

 
$
(664
)
 
NM
Total net revenue
 
 
 
 
 
 
 
 
 
 
Treasury and CIO
$
801

$
186

 
331

 
$
1,930

 
$
235

 
NM
Other Corporate
(109
)
(289
)
 
62

 
(491
)
 
(490
)
 
—
Total net revenue
$
692

$
(103
)
 
NM

 
$
1,439

 
$
(255
)
 
NM
Net income/(loss)
 
 
 
 
 
 
 
 
 
 
Treasury and CIO
$
576

$
96

 
500

 
$
1,372

 
$
(244
)
 
NM
Other Corporate
(183
)
(241
)
 
24

 
100

 
(420
)
 
NM
Total net income/(loss)
$
393

$
(145
)
 
NM

 
$
1,472

 
$
(664
)
 
NM
Total assets (period-end)
$
812,333

$
742,693

 
9

 
$
812,333

 
$
742,693

 
9
Loans (period-end)
1,705

1,556

 
10

 
1,705

 
1,556

 
10
Core loans(c)
1,706

1,556

 
10

 
1,706

 
1,556

 
10
Headcount
38,155

36,686

 
4
%
 
38,155

 
36,686

 
4
 %
(a)
Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $74 million and $94 million for the three months ended September 30, 2019 and 2018, respectively, and $241 million and $287 million for the nine months ended September 30, 2019 and 2018, respectively.
(b)
Included a net legal benefit of $(32) million and $(175) million for the three months ended September 30, 2019 and 2018, respectively, and $(189) million and $(225) million for the nine months ended September 30, 2019 and 2018, respectively.
(c)
Average core loans were $1.7 billion and $1.6 billion for the three months ended September 30, 2019 and 2018, respectively, and $1.7 billion for both the nine months ended September 30, 2019 and 2018.
Quarterly results
Net income was $393 million, compared with a net loss of $145 million in the prior year.
Net revenue was $692 million, compared with a net loss of $103 million in the prior year, driven by higher net interest income and noninterest revenue. Net interest income was driven by balance sheet growth and changes in mix, partially offset by lower rates. Net interest income also includes income related to the unwind of the internal funding provided to CCB upon the sale of certain mortgage loans. The income reflects the net present value of that funding and is recognized as a charge to net interest income in CCB. Refer to CCB on pages 23–24 of this Form 10-Q and Funds Transfer Pricing (“FTP”) on page 60 of the Firm’s 2018 Form 10-K for further information.
Noninterest revenue increased reflecting small net gains on certain legacy private equity investments compared to net losses in the prior year.
 
Noninterest expense of $281 million was up $253 million due to higher investments in technology and a lower net legal benefit compared with the prior year.
The current period included tax benefits related to the resolution of certain tax audits as well as other tax adjustments, which were partially offset by changes to certain tax reserves. The prior year reflected a net benefit of $132 million resulting from changes in estimates under the TCJA related to the remeasurement of certain deferred taxes and the deemed repatriation tax on non-U.S. earnings, which was more than offset by changes to certain tax reserves and other tax adjustments.
Year-to-date results
Net income was $1.5 billion, compared with a net loss of $664 million in the prior year.
Net revenue was $1.4 billion, compared with a net loss of $255 million in the prior year driven by higher net interest income and noninterest revenue. Net interest income was

42

driven by balance sheet growth and changes in mix and includes the income related to the unwind of the internal funding, as mentioned above.
Noninterest revenue increased reflecting:
•
investment securities gains compared with losses in the prior year due to the repositioning of the investment securities portfolio
•
lower net valuation losses on certain legacy private equity investments,
partially offset by
•
losses on cash deployment transactions which were more than offset by the related net interest income earned on those transactions.
 
Noninterest expense of $724 million, was up $330 million reflecting:
•
higher investments in technology and real estate,
•
contributions to the Firm’s Foundation, whereas all prior-year contributions were made in the fourth quarter, and
•
higher pension costs due to changes to actuarial assumptions and estimates.
The prior year included a $174 million loss on the liquidation of a legal entity.
The current period included tax benefits of $957 million related to the resolution of certain tax audits, as well as other tax adjustments partially offset by changes in certain tax reserves. The prior year expense reflected changes to certain tax reserves, largely offset by a net benefit of $305 million resulting from changes in estimates under the TCJA related to the remeasurement of certain deferred taxes and the deemed repatriation tax on non-U.S. earnings as well as other tax adjustments.
Treasury and CIO overview
At September 30, 2019, 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 ratings that correspond to ratings as defined by S&P and Moody’s). Refer to Note 9 for further information on the Firm’s investment securities portfolio.
Refer to Liquidity Risk Management on pages 50–54 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 70–74 for information on interest rate, foreign exchange and other risks.
Selected income statement and balance sheet data
 
 
 
 
 
 
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
(in millions)
2019

 
2018

 
Change
 
2019

 
2018

 
Change
Investment securities gains/(losses)
$
78

 
$
(46
)
 
NM
 
$
135

 
$
(371
)
 
NM
Available-for-sale (“AFS”) investment securities (average)
$
305,894

 
$
197,230

 
55
 
$
260,661

 
$
200,569

 
30
Held-to-maturity (“HTM”) investment securities (average)
35,494

 
31,232

 
14
 
32,518

 
31,842

 
2
Investment securities portfolio (average)
$
341,388

 
$
228,462

 
49
 
$
293,179

 
$
232,411

 
26
AFS investment securities (period-end)
$
351,599

 
$
198,523

 
77
 
$
351,599

 
$
198,523

 
77
HTM investment securities (period-end)
40,830

 
31,368

 
30
 
40,830

 
31,368

 
30
Investment securities portfolio (period-end)
$
392,429

 
$
229,891

 
71
 
$
392,429

 
$
229,891

 
71


43

ENTERPRISE-WIDE RISK MANAGEMENT
Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers 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:
•
Acceptance of responsibility, including identification and escalation of risk issues, by all individuals within the Firm;
•
Ownership of risk identification, assessment, data and management within each of the lines of business and Corporate; and
•
Firmwide structures for risk governance.
The Firm strives for continual improvement through efforts to enhance controls, ongoing employee training and development, talent retention, and other measures. The Firm follows a disciplined and balanced compensation framework with strong internal governance and independent Board oversight. The impact of risk and control issues are carefully considered in the Firm’s performance evaluation and incentive compensation processes.
Firmwide Risk Management is overseen and managed on an enterprise-wide basis. The Firm’s risk management governance and oversight framework involves understanding drivers of risks, types of risks, and impacts of risks.
https://cdn.kscope.io/926ed75256a741181f6487c4daf8c23f-jpmcgovernancea03.jpg
Refer to pages 79-83 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of Enterprise-wide risk management governance and oversight.
 
Effective July 2019, the Board of Directors’ Risk Policy Committee (“DRPC”) was renamed the Risk Committee. The committee’s responsibilities were not changed. Refer to page 81 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of the committee.

Governance and Oversight Functions
The following sections of this Form 10-Q and the 2018 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
Form 10-Q page reference
Form 10-K page reference
Strategic risk
 
84
Capital risk
45–49
85–94
Liquidity risk
50–54
95–100
Reputation risk
 
101
Consumer credit risk
56–59
106-111
Wholesale credit risk
60–66
112-119
Investment portfolio risk
69
123
Market risk
70–74
124-131
Country risk
75
132–133
Operational risk
 
134-136
Compliance risk
 
137
Conduct risk
 
138
Legal risk
 
139
Estimations and Model risk
 
140

44

CAPITAL RISK MANAGEMENT
Capital risk is the risk the Firm has an insufficient level and composition of capital to support the Firm’s business activities and associated risks during normal economic environments and under stressed conditions.
Refer to pages 85-94 of JPMorgan Chase’s 2018 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.
The capital rules under Basel III establish minimum capital ratios and overall capital adequacy standards for large and internationally active U.S. bank holding companies (“BHC”) and banks, including the Firm and its insured depository institution (“IDI”) subsidiaries, including JPMorgan Chase Bank, N.A. Two comprehensive approaches are prescribed for calculating RWA: a standardized approach (“Basel III
 
Standardized”), and an advanced approach (“Basel III Advanced”). Effective January 1, 2019, the capital adequacy of the Firm is evaluated against the fully phased-in measures under Basel III and represents the lower of the Standardized or Advanced approaches. During 2018, the required capital measures were subject to the transitional rules and as of December 31, 2018 the calculations were the same on a fully phased-in and on a transitional basis. The Firm’s Basel III Standardized risk-based ratios are currently more binding than the Basel III Advanced risk-based ratios, and the Firm expects that this will remain the case for the foreseeable future.
Basel III also includes a requirement for Advanced Approach banking organizations, including the Firm, to calculate the SLR. Refer to page 91 of JPMorgan Chase’s 2018 Form 10-K for additional information on SLR.

The following tables present the Firm’s risk-based and leverage-based capital measures under both the Basel III Standardized and Advanced Approaches. The Firm’s Basel III ratios exceeded regulatory minimums as of September 30, 2019 and December 31, 2018. Refer to Capital Risk Management on pages 85-94 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of these capital metrics.
 
September 30, 2019
 
December 31, 2018
(in millions)
Standardized
 
Advanced
 
Minimum capital ratios
 
Standardized(b)
 
Advanced(b)
 
Minimum capital ratios
Risk-based capital metrics:
 
 
 
 
 
 
 
 
 
 
 
CET1 capital
$
188,151

 
$
188,151

 
 
 
$
183,474

 
$
183,474

 
 
Tier 1 capital
214,831

 
214,831

 
 
 
209,093

 
209,093

 
 
Total capital
243,500

 
233,203

 
 
 
237,511

 
227,435

 
 
Risk-weighted assets
1,527,762

 
1,435,693

 
 
 
1,528,916

 
1,421,205

 
 
CET1 capital ratio
12.3
%
 
13.1
%
 
10.5
%
 
12.0
%
 
12.9
%
 
9.0
%
Tier 1 capital ratio
14.1

 
15.0

 
12.0

 
13.7

 
14.7

 
10.5

Total capital ratio
15.9

 
16.2

 
14.0

 
15.5

 
16.0

 
12.5

Leverage-based capital metrics:
 
 
 
 
 
 
 
 
 
 
 
Adjusted average assets(a)
$
2,717,852

 
$
2,717,852

 
 
 
$
2,589,887

 
$
2,589,887

 
 
Tier 1 leverage ratio
7.9
%
 
7.9
%
 
4.0
%
 
8.1
%
 
8.1
%
 
4.0
%
Total leverage exposure
NA

 
$
3,404,535

 
 
 
NA

 
$
3,269,988

 
 
SLR
NA

 
6.3
%
 
5.0
%
 
NA

 
6.4
%
 
5.0
%
(a)
Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.
(b)
The Firm’s capital ratios as of December 31, 2018 were equivalent whether calculated on a transitional or fully phased-in basis.

45

Capital components
The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of September 30, 2019 and December 31, 2018.
(in millions)
September 30, 2019

December 31, 2018

Total stockholders’ equity
$
264,348

$
256,515

Less: Preferred stock(a)
28,363

26,068

Common stockholders’ equity
235,985

230,447

Less:
 
 
Goodwill
47,818

47,471

Other intangible assets
841

748

Other CET1 capital adjustments
1,546

1,034

Add:
 
 
Deferred tax liabilities(b)
2,371

2,280

Standardized/Advanced CET1 capital
188,151

183,474

Preferred stock(a)
28,363

26,068

Less: Other Tier 1 adjustments(a)
1,683

449

Standardized/Advanced Tier 1 capital
$
214,831

$
209,093

Long-term debt and other instruments qualifying as Tier 2 capital
$
14,145

$
13,772

Qualifying allowance for credit losses
14,400

14,500

Other
124

146

Standardized Tier 2 capital
$
28,669

$
28,418

Standardized Total capital
$
243,500

$
237,511

Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital
(10,297
)
(10,076
)
Advanced Tier 2 capital
$
18,372

$
18,342

Advanced Total capital
$
233,203

$
227,435

(a)
As of September 30, 2019, preferred stock reflects the issuance of $2.25 billion of Series FF preferred stock and redemption of $880 million of Series W preferred stock. Other Tier 1 adjustments includes $1.37 billion of Series I preferred stock called for partial redemption on September 26, 2019 and subsequently redeemed on October 30, 2019. Tier 1 capital as of September 30, 2019 reflects the issuance and redemptions.
(b)
Represents certain deferred tax liabilities related to tax-deductible goodwill and identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating CET1 capital.
 
Capital rollforward
The following table presents the changes in Basel III CET1 capital, Tier 1 capital and Tier 2 capital for the nine months ended September 30, 2019.
Nine months ended September 30,
(in millions)
2019

Standardized/Advanced CET1 capital at December 31, 2018
$
183,474

Net income applicable to common equity
26,710

Dividends declared on common stock
(8,086
)
Net purchase of treasury stock
(15,805
)
Changes in additional paid-in capital
(650
)
Changes related to AOCI
2,877

Adjustment related to DVA(a)
287

Changes related to other CET1 capital adjustments
(656
)
Change in Standardized/Advanced CET1 capital
4,677

Standardized/Advanced CET1 capital at September 30, 2019
$
188,151

 
 
Standardized/Advanced Tier 1 capital at December 31, 2018
$
209,093

Change in CET1 capital
4,677

Net issuance of noncumulative perpetual preferred stock(b)
925

Other
136

Change in Standardized/Advanced Tier 1 capital
5,738

Standardized/Advanced Tier 1 capital at September 30, 2019
$
214,831

 
 
Standardized Tier 2 capital at December 31, 2018
$
28,418

Change in long-term debt and other instruments qualifying as Tier 2
373

Change in qualifying allowance for credit losses
(101
)
Other
(21
)
Change in Standardized Tier 2 capital
251

Standardized Tier 2 capital at September 30, 2019
$
28,669

Standardized Total capital at September 30, 2019
$
243,500

 
 
Advanced Tier 2 capital at December 31, 2018
$
18,342

Change in long-term debt and other instruments qualifying as Tier 2
373

Change in qualifying allowance for credit losses
(322
)
Other
(21
)
Change in Advanced Tier 2 capital
30

Advanced Tier 2 capital at September 30, 2019
$
18,372

Advanced Total capital at September 30, 2019
$
233,203

(a)
Includes DVA related to structured notes recorded in AOCI.
(b)
Includes the net effect of $2.25 billion and $1.85 billion of non-cumulative preferred stock issued on July 31, 2019 and January 24, 2019, respectively, and redemptions of non-cumulative preferred stock of $925 million and $880 million on March 1, 2019 and September 1, 2019, respectively, as well as $1.37 billion of non-cumulative preferred stock that was called for partial redemption on September 26, 2019 and subsequently redeemed on October 30, 2019.


46

RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced for the nine months ended September 30, 2019. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.
 
Standardized
 
Advanced
 
Nine months ended September 30, 2019
(in millions)
Credit risk RWA
Market risk RWA
Total RWA
 
Credit risk RWA
Market risk RWA
Operational risk
RWA
Total RWA
December 31, 2018
$
1,423,053

$
105,863

$
1,528,916

 
$
926,647

$
105,976

$
388,582

$
1,421,205

Model & data changes(a)
(3,406
)
(17,076
)
(20,482
)
 
(4,542
)
(17,076
)
—

(21,618
)
Portfolio runoff(b)
(4,400
)
—

(4,400
)
 
(4,300
)
—

—

(4,300
)
Movement in portfolio levels(c)
24,711

(983
)
23,728

 
44,408

(1,136
)
(2,866
)
40,406

Changes in RWA
16,905

(18,059
)
(1,154
)
 
35,566

(18,212
)
(2,866
)
14,488

September 30, 2019
$
1,439,958

$
87,804

$
1,527,762

 
$
962,213

$
87,764

$
385,716

$
1,435,693

(a)
Model & data changes refer to 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; and updates to cumulative losses for operational risk RWA.

Supplementary leverage ratio
Refer to Capital Risk Management on page 88 of JPMorgan Chase’s 2018 Form 10-K for additional information.
The following table presents the components of the Firm’s SLR as of September 30, 2019 and December 31, 2018.
(in millions, except ratio)
September 30,
2019

December 31,
2018

Tier 1 capital
$
214,831

$
209,093

Total average assets
2,765,052

2,636,505

Less: Adjustments for deductions from Tier 1 capital
47,200

46,618

Total adjusted average assets(a)
2,717,852

2,589,887

Off-balance sheet exposures(b)
686,683

680,101

Total leverage exposure
$
3,404,535

$
3,269,988

SLR
6.3
%
6.4
%
(a)
Adjusted average assets, for purposes of calculating the SLR, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.
(b)
Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the quarter.
Refer to Note 21 for JPMorgan Chase Bank, N.A.’s SLR ratios.
Line of business equity
Each business segment is allocated capital by taking into consideration a variety of factors including capital levels of similarly rated peers and applicable regulatory capital requirements. Effective January 1, 2019, line of business capital allocations have increased due to a combination of changes in the relative weights, with greater emphasis on Standardized RWA and stress, a higher capitalization rate, updated stress simulations, and general business growth. Refer to page 91 of JPMorgan Chase’s 2018 Form 10-K for additional information.
 

The following table represents the capital allocated to each business segment:

(in billions)
September 30,
2019

 
December 31,
2018

Consumer & Community Banking
$
52.0

 
$
51.0

Corporate & Investment Bank
80.0

 
70.0

Commercial Banking
22.0

 
20.0

Asset & Wealth Management
10.5

 
9.0

Corporate
71.5

 
80.4

Total common stockholders’ equity
$
236.0

 
$
230.4

Planning and stress testing
Comprehensive Capital Analysis and Review (“CCAR”)
On June 27, 2019, the Federal Reserve informed the Firm that it did not object to the Firm’s 2019 capital plan.
Capital actions
Preferred stock
Preferred stock dividends declared were $423 million and $1.2 billion for the three and nine months ended September 30, 2019.
On October 31, 2019, the Firm announced and priced an offering of depositary shares representing $900 million of 4.75% non-cumulative preferred stock, Series GG. This issuance is expected to close on November 7, 2019. On November 1, 2019, the Firm announced that it will redeem all $900 million of its 5.45% non-cumulative preferred stock, Series P on December 1, 2019.
On October 30, 2019, the Firm redeemed $1.37 billion of its Series I fixed-to-floating rate non-cumulative perpetual preferred stock.
On September 1, 2019, the Firm redeemed all $880 million of its 6.30% non-cumulative preferred stock, Series W.
On July 31, 2019, the Firm issued $2.25 billion of fixed-to-floating rate non-cumulative preferred stock, Series FF.

47

Refer to Note 17 of this Form 10-Q and Note 20 of JPMorgan Chase’s 2018 Form 10-K for additional information on the Firm’s preferred stock.
Common stock dividends
On September 17, 2019, the Firm announced that its Board of Directors had declared a quarterly common stock dividend, which increased to $0.90 per share, from $0.80 per share effective with the dividend paid on October 31, 2019. The Firm’s dividends are subject to the Board of Directors’ approval on a quarterly basis.
Common equity
The Firm’s Board of Directors has authorized the repurchase of up to $29.4 billion of gross common equity between July 1, 2019 and June 30, 2020 as part of the Firm’s annual capital plan.
The following table sets forth the Firm’s repurchases of common equity, on a settlement-date basis, for the three and nine months ended September 30, 2019 and 2018.

Three months ended
September 30,

Nine months ended
September 30,
(in millions)
2019

2018


2019

2018

Total shares of common stock repurchased
62.0

39.3


159.0

126.0

Aggregate common stock repurchases
$
6,949

$
4,416


$
17,250

$
14,055

Refer to Part II, Item 2: Unregistered Sales of Equity Securities and Use of Proceeds and Part II, Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities on pages 176-177 of this Form 10-Q and page 30 of JPMorgan Chase’s 2018 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.

 
Other capital requirements
TLAC
The Federal Reserve’s TLAC rule requires the top-tier U.S. GSIB holding companies, including the Firm, to maintain minimum levels of external TLAC and eligible LTD effective January 1, 2019.
Refer to page 93 of JPMorgan Chase’s 2018 Form 10-K for additional information.
The following table presents the eligible external TLAC and LTD amounts, as well as a representation of the amounts as a percentage of the Firm’s total RWA and total leverage exposure.
September 30, 2019
 
(in billions, except ratio)
Eligible external TLAC(a)
Eligible LTD
Total eligible TLAC & LTD
$
387.8

$
159.9

% of RWA
25.4
%
10.5
%
Minimum requirement
23.0

9.5

Surplus/(shortfall)
$
36.4

$
14.8

 
 
 
% of total leverage exposure
11.4
%
4.7
%
Minimum requirement
9.5

4.5

Surplus/(shortfall)
$
64.3

$
6.7

(a)
As of September 30, 2019, total eligible external TLAC reflects the issuance of $2.25 billion of Series FF non-cumulative preferred stock, redemption of $880 million of Series W non-cumulative preferred stock, and redemption of $1.37 billion of Series I non-cumulative preferred stock called for partial redemption on September 26, 2019 and subsequently redeemed on October 30, 2019. 
Refer to Part I, Item 1A: Risk Factors on pages 7-28 of JPMorgan Chase’s 2018 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.

48

Broker-dealer regulatory capital
J.P. Morgan Securities
JPMorgan Chase’s principal U.S. broker-dealer subsidiary is J.P. Morgan Securities. J.P. Morgan Securities is subject to Rule 15c3-1 under the Securities Exchange Act of 1934 (the “Net Capital Rule”). J.P. Morgan Securities is also registered as a futures commission merchant and subject to Rule 1.17 of the Commodity Futures Trading Commission (“CFTC”).
Refer to Capital risk management on pages 85-94 of JPMorgan Chase’s 2018 Form 10-K for a discussion on J.P. Morgan Securities’ capital requirements.
The following table presents J.P. Morgan Securities’ net capital:
September 30, 2019
 
(in millions)
Actual

Minimum

Net Capital
$
22,068

$
3,746


 

J.P. Morgan Securities plc
J.P. Morgan Securities plc is a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. and has authority to engage in banking, investment banking and broker-dealer activities. J.P. Morgan Securities plc is jointly regulated by the U.K. Prudential Regulation Authority (“PRA”) and the Financial Conduct Authority (“FCA”).
Refer to Capital risk management on pages 85-94 of JPMorgan Chase’s 2018 Form 10-K for a further discussion on J.P. Morgan Securities plc.
Effective January 1, 2019, the Bank of England requires, on a transitional basis, that U.K. banks, including U.K. regulated subsidiaries of overseas groups, maintain a minimum requirement for own funds and eligible liabilities (“MREL”). As of September 30, 2019, J.P. Morgan Securities plc was compliant with the requirements of the MREL rule. Refer to Supervision and Regulation on pages 1-6 of JPMorgan Chase’s 2018 Form 10-K for additional information on MREL.
The following table presents J.P. Morgan Securities plc’s capital metrics:
September 30, 2019
 
 
(in millions, except ratios)
Estimated

Minimum ratios

Total capital
$
55,614

 
CET1 ratio
16.9
%
4.5
%
Total capital ratio
21.5
%
8.0
%




49

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 95–100 of JPMorgan Chase’s 2018 Form 10-K and the Firm’s US 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 the Firm to maintain an amount of unencumbered HQLA that is sufficient to meet its estimated total net cash outflows over a prospective 30 calendar-day period of significant stress. HQLA is the amount of liquid assets that qualify for inclusion in the LCR. HQLA primarily consist of unencumbered cash and certain high-quality liquid securities as defined in the LCR rule. The LCR is required to be a minimum of 100%.
Under the LCR rule, the amount of HQLA held by JPMorgan Chase Bank N.A. that is in excess of its standalone 100% minimum LCR requirement, and that is not transferable to non-bank affiliates, must be excluded from the Firm’s reported HQLA.
The following table summarizes the Firm’s average LCR for the three months ended September 30, 2019, June 30, 2019 and September 30, 2018 based on the Firm’s interpretation of the finalized LCR framework.
 
Three months ended
Average amount
(in millions)
September 30,
2019
June 30, 2019
September 30,
2018
HQLA
 
 
 
Eligible cash(a)
$
199,757

$
219,838

$
344,660

Eligible securities(b)(c)
337,704

317,439

190,349

Total HQLA(d)
$
537,461

$
537,277

$
535,009

Net cash outflows
$
468,452

$
477,442

$
466,803

LCR
115
%
113
%
115
%
Net excess HQLA(d)
$
69,009

$
59,835

$
68,206

(a)
Represents cash on deposit at central banks, primarily the Federal Reserve Banks.
(b)
Predominantly U.S. Treasuries, U.S. GSE and U.S. government agency MBS, and sovereign bonds net of applicable haircuts under the LCR rules.
(c)
HQLA eligible securities may be reported in securities borrowed or purchased under resale agreements, trading assets, or investment securities on the Firm’s Consolidated balance sheets.
(d)
Excludes average excess HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
 
The Firm’s average LCR increased during the three months ended September 30, 2019, compared with the three-month period ended June 30, 2019, primarily due to a decline in the net cash outflows from CIB activities.
The Firm’s average LCR fluctuates from period to period, due to changes in its HQLA and estimated net cash outflows as a result of ongoing business activity.
Other liquidity sources
As of September 30, 2019, in addition to assets reported in the Firm’s HQLA, the Firm had approximately $312 billion of unencumbered marketable securities, such as equity securities and fixed income debt securities, available to raise liquidity. This includes HQLA-eligible securities included as part of the excess liquidity at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
As of September 30, 2019, the Firm also had approximately $313 billion of available borrowing capacity at FHLBs, the discount window at the Federal Reserve Bank, and other central banks as a result of collateral pledged by the Firm to such banks. This borrowing capacity excludes the benefit of securities reported in the Firm’s HQLA or other unencumbered securities that are currently pledged at the Federal Reserve Bank discount window. 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.

50

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 as well as secured and unsecured funding in the capital markets. The Firm’s loan portfolio is funded with a portion of the Firm’s deposits, through securitizations and, with respect to a portion of the Firm’s real estate-related loans, with secured borrowings from the FHLBs. Deposits in excess of the amount utilized to fund loans are primarily 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. Securities borrowed or purchased under resale agreements and trading assets-debt and equity instruments are primarily funded by the Firm’s securities loaned or sold under agreements to repurchase, trading liabilities-debt and equity instruments, and a portion of the Firm’s long-term debt and stockholders’ equity. In addition to funding securities borrowed or purchased under resale agreements and trading assets-debt and equity instruments, proceeds from the Firm’s debt and equity issuances are used to fund certain loans and other financial and non-financial assets, or may be invested in the Firm’s investment securities portfolio. Refer to the discussion below for additional information relating to Deposits, Short-term funding, and Long-term funding and issuance.
Deposits
The table below summarizes, by line of business, the deposit balances as of September 30, 2019, and December 31, 2018, and the average deposit balances for the three and nine months ended September 30, 2019 and 2018, respectively.
 
September 30, 2019

December 31, 2018

 
Three months ended September 30,
 
Nine months ended September 30,
Deposits
 
Average
 
Average
(in millions)
 
2019

2018

 
2019

2018

Consumer & Community Banking
$
701,170

$
678,854

 
$
693,980

$
674,211

 
$
688,676

$
669,244

Corporate & Investment Bank
510,403

482,084

 
524,521

476,995

 
509,775

472,879

Commercial Banking
174,903

170,859

 
172,653

168,102

 
169,361

171,403

Asset & Wealth Management
138,439

138,546

 
138,822

133,021

 
139,127

138,885

Corporate
346

323

 
904

533

 
887

736

Total Firm
$
1,525,261

$
1,470,666

 
$
1,530,880

$
1,452,862

 
$
1,507,826

$
1,453,147

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 and wholesale operating deposits, which are both considered to be stable sources of liquidity. Wholesale operating deposits are considered to be stable sources of liquidity because they are generated from customers that maintain operating service relationships with the Firm.
The table below shows the loan and deposit balances, the loans-to-deposits ratios, and deposits as a percentage of total liabilities, as of September 30, 2019 and December 31, 2018.
(in billions except ratios)
September 30, 2019

 
December 31, 2018

Deposits
$
1,525.3

 
$
1,470.7

Deposits as a % of total liabilities
61
%
 
62
%
Loans
$
945.2

 
$
984.6

Loans-to-deposits ratio
62
%
 
67
%
The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances.
Average deposits increased for the three months ended September 30, 2019.
•
The increase in CIB reflects an increase in operating deposits predominantly in Treasury Services driven by
 
growth in client activity, and an increase in the net issuances of structured notes in Markets. The increase in CCB was driven by growth in new accounts. The increase in AWM was driven by growth in interest-bearing deposits on new client activity. The increase in CB was primarily driven by growth from existing clients.
Average deposits increased for the nine months ended September 30, 2019 in CIB and CCB, partially offset by a decline in CB. Balances in AWM were relatively flat.
•
The increase in CIB reflects an increase in operating deposits predominantly in Treasury Services driven by growth in client activity, and an increase in the net issuances of structured notes in Markets. The increase in CCB was driven by growth in new accounts.
•
The decrease in CB was primarily driven by lower non operating deposits.
•
AWM balances were relatively flat with growth in interest-bearing deposits offset by migration predominantly into the Firm’s investment-related products.
Refer to the discussion of the Firm’s Business Segment Results and the Consolidated Balance Sheets Analysis on pages 21–43 and pages 15-16, respectively, for further information on deposit and liability balance trends.

51

The following table summarizes short-term and long-term funding, excluding deposits, as of September 30, 2019, and December 31, 2018, and average balances for the three and nine months ended September 30, 2019 and 2018, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 15–17 and Note 10 for additional information.
 
September 30, 2019
December 31, 2018
 
Three months ended September 30,
 
Nine months ended September 30,
Sources of funds (excluding deposits)
Average
 
Average
(in millions)
2019

2018

 
2019

2018

Commercial paper
$
19,620

$
30,059

 
$
19,607

$
28,702

 
$
24,756

$
27,289

Other borrowed funds
8,826

8,789

 
10,537

11,172

 
10,869

11,716

Total short-term unsecured funding
$
28,446

$
38,848

 
$
30,144

$
39,874

 
$
35,625

$
39,005

Securities sold under agreements to repurchase(a)
$
235,968

$
171,975

 
$
229,581

$
174,436

 
$
215,148

$
178,929

Securities loaned(a)
9,739

9,481

 
8,505

9,131

 
9,117

10,900

Other borrowed funds(b)
20,447

30,428

 
21,758

21,169

 
28,343

21,336

Obligations of Firm-administered multi-seller conduits(c)
$
10,514

$
4,843

 
$
12,167

$
3,102

 
$
10,987

$
3,070

Total short-term secured funding
$
276,668

$
216,727

 
$
272,011

$
207,838

 
$
263,595

$
214,235

 
 
 
 
 
 
 
 
 
Senior notes
$
173,550

$
162,733

 
$
172,059

$
154,820

 
$
167,495

$
152,046

Trust preferred securities
—

—

 
—

517

 
—

629

Subordinated debt
18,043

16,743

 
17,797

16,079

 
17,196

16,106

Structured notes(d)
70,687

53,090

 
69,144

50,905

 
62,984

48,874

Total long-term unsecured funding
$
262,280

$
232,566

 
$
259,000

$
222,321

 
$
247,675

$
217,655

 
 
 
 
 
 
 
 
 
Credit card securitization(c)
$
6,457

$
13,404

 
$
7,394

$
15,052

 
$
10,802

$
16,620

FHLB advances
29,642

44,455

 
29,646

48,645

 
35,998

54,378

Other long-term secured funding(e)
4,550

5,010

 
4,558

5,013

 
4,708

4,832

Total long-term secured funding
$
40,649

$
62,869

 
$
41,598

$
68,710

 
$
51,508

$
75,830

 
 
 
 
 
 
 
 
 
Preferred stock(f)
$
28,363

$
26,068

 
$
28,241

$
26,252

 
$
27,457

$
26,130

Common stockholders’ equity(f)
$
235,985

$
230,447

 
$
235,613

$
230,439

 
$
232,917

$
228,995

(a)
Primarily consists of short-term securities loaned or sold under agreements to repurchase.
(b)
Includes FHLB advances with original maturities of less than one year of $2.6 billion and $11.4 billion as of September 30, 2019 and December 31, 2018, respectively.
(c)
Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.
(d)
Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
(e)
Includes long-term structured notes which are secured.
(f)
Refer to Capital Risk Management on pages 45–49, Consolidated statements of changes in stockholders’ equity on page 83 of this Form 10-Q and Note 20 and Note 21 of JPMorgan Chase’s 2018 Form 10-K for additional information on preferred stock and common stockholders’ equity.
Short-term funding
The Firm’s sources of short-term secured funding primarily consist of securities loaned or sold under agreements to repurchase. These instruments are secured predominantly by high-quality securities collateral, including government-issued debt, U.S. GSE and government agency MBS, and constitute a significant portion of the federal funds purchased and securities loaned or sold under repurchase agreements on the Consolidated balance sheets. The increase at September 30, 2019, from December 31, 2018, was driven by CIB and includes the Firm’s participation in the Federal Reserve’s open market operations, as well as higher secured financing of trading assets-debt instruments
 
and client-driven activities.
The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to customers’ investment and financing activities, the Firm’s demand for financing, the ongoing management of the mix of the Firm’s liabilities, including its secured and unsecured financing (for both the investment securities and market-making portfolios), and other market and portfolio factors.
The Firm’s sources of short-term unsecured funding primarily consist of issuance of wholesale commercial paper. The decrease in commercial paper at September 30, 2019, from December 31, 2018, was due to lower net issuance primarily for short-term liquidity management.

52

Long-term funding and issuance
Long-term funding provides additional sources of stable funding and liquidity for the Firm. The Firm’s long-term funding plan is driven primarily by expected client activity, liquidity considerations, and regulatory requirements, including TLAC. Long-term funding objectives include maintaining diversification, maximizing market access and optimizing funding costs. The Firm evaluates various funding markets, tenors and currencies in creating its optimal long-term funding plan.
The significant majority of the Firm’s long-term unsecured funding is issued by the Parent Company to provide maximum flexibility in support of both bank and nonbank subsidiary funding needs. The Parent Company advances substantially all net funding proceeds to its subsidiary, the Intermediate Holding Company (“IHC”). The IHC does not issue debt to external counterparties. The following table summarizes long-term unsecured issuance and maturities or redemptions for the three and nine months ended September 30, 2019 and 2018. Refer to Liquidity Risk Management on pages 95-100 and Note 19 of JPMorgan Chase’s 2018 Form 10-K for additional information on the IHC and long-term debt.
Long-term unsecured funding
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019

2018

 
2019

2018

 
2019

2018

 
2019

2018

(Notional in millions)
Parent Company
 
Subsidiaries
Issuance
 
 
 
 
 
 
 
 
 
 
 
Senior notes issued in the U.S. market
$
5,000

$
6,000

 
$
13,250

$
17,000

 
$
—

$
1,250

 
$
1,750

$
8,761

Senior notes issued in non-U.S. markets
1,672

—

 
3,920

1,175

 
—

—

 
—

—

Total senior notes
6,672

6,000

 
17,170

18,175

 
—

1,250

 
1,750

8,761

Structured notes(a)
780

387

 
2,596

2,047

 
8,511

5,934

 
23,643

20,159

Total long-term unsecured funding – issuance
$
7,452

$
6,387

 
$
19,766

$
20,222

 
$
8,511

$
7,184

 
$
25,393

$
28,920

 
 
 
 
 
 
 
 
 
 
 
 
Maturities/redemptions
 
 
 
 
 
 
 
 
 
 
 
Senior notes
$
2,700

$
646

 
$
10,607

$
18,633

 
$
2,751

$
1,503

 
$
4,567

$
4,466

Subordinated debt
37

15

 
183

15

 
—

—

 
—

—

Structured notes
477

582

 
1,436

2,465

 
4,540

3,474

 
12,700

12,104

Total long-term unsecured funding – maturities/redemptions
$
3,214

$
1,243

 
$
12,226

$
21,113

 
$
7,291

$
4,977

 
$
17,267

$
16,570

(a)
Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.

The Firm raises secured long-term funding through securitization of consumer credit card loans and advances from the FHLBs. The following table summarizes the securitization issuance and FHLB advances and their respective maturities or redemptions for the three and nine months ended September 30, 2019 and 2018, respectively.
Long-term secured funding
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
Issuance
 
Maturities/Redemptions
 
Issuance
 
Maturities/Redemptions
(in millions)
2019
2018
 
2019
2018
 
2019

2018

 
2019

2018

Credit card securitization
$
—

$
—

 
$
2,850

$
2,375

 
$
—

$
1,396

 
$
6,975

$
8,500

FHLB advances
—

—

 
5

10,704

 
—

4,000

 
14,810

23,157

Other long-term secured funding(a)
62

117

 
180

139

 
115

312

 
633

161

Total long-term secured funding
$
62

$
117

 
$
3,035

$
13,218

 
$
115

$
5,708

 
$
22,418

$
31,818

(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 2018 Form 10-K for further description of the client-driven loan securitizations.

53

Credit ratings
The cost and availability of financing are influenced by credit ratings. Reductions in these ratings could have an adverse effect on the Firm’s access to liquidity sources, increase the cost of funds, trigger additional collateral or funding requirements and decrease the number of investors and counterparties willing to lend to the Firm. The nature and magnitude of the impact of ratings downgrades depends on numerous contractual and behavioral factors, which the Firm believes are incorporated in its liquidity risk and stress testing metrics. The Firm believes that it maintains sufficient liquidity to withstand a potential decrease in funding capacity due to ratings downgrades.
 
Additionally, the Firm’s funding requirements for VIEs and other third-party commitments may be adversely affected by a decline in credit ratings. Refer to SPEs on page 18, 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 September 30, 2019, were as follows.
 
JPMorgan Chase & Co.
 
JPMorgan Chase Bank, N.A.(a)
 
J.P. Morgan Securities LLC
J.P. Morgan Securities plc
September 30, 2019
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
A2
P-1
Stable
 
Aa2
P-1
Stable
 
Aa3
P-1
Stable
Standard & Poor’s
A-
A-2
Stable
 
A+
A-1
Stable
 
A+
A-1
Stable
Fitch Ratings
AA-
F1+
Stable
 
AA
F1+
Stable
 
AA
F1+
Stable
(a)
On May 18, 2019, the Firm merged Chase Bank USA, N.A. with and into JPMorgan Chase Bank, N.A., with JPMorgan Chase Bank, N.A. as the surviving bank. The credit rating for JPMorgan Chase Bank, N.A. reflects the credit rating of the merged entity.
Refer to page 100 of JPMorgan Chase’s 2018 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.


54

CREDIT AND INVESTMENT RISK MANAGEMENT
Credit and investment risk is the risk associated with the default or change in credit profile of a client, counterparty or customer; or loss of principal or a reduction in expected returns on investments, including consumer credit risk,
wholesale credit risk, and investment portfolio risk. Refer to pages 55-68 for a further discussion of Credit Risk.
Refer to page 69 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 102-123 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of the Firm’s Credit and Investment Risk Management framework and organization, and the identification, monitoring and management.

CREDIT PORTFOLIO
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.
Refer to Wholesale credit exposure – industry exposures on pages 62–64 for further information regarding the credit risk inherent in the Firm’s cash placed with banks; refer to Note 9 of this Form 10-Q and Note 10 of JPMorgan Chase’s 2018 Form 10-K for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 10 of this Form 10-Q and Note 11 of JPMorgan Chase’s 2018 Form 10-K for information regarding the credit risk inherent in the securities financing portfolio.
Refer to Consumer Credit Portfolio on pages 106–111 of JPMorgan Chase’s 2018 Form 10-K and Note 11 of this Form 10-Q for a further discussion of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 112–119 of JPMorgan Chase’s 2018 Form 10-K and Note 11 of this Form 10-Q for a further discussion of the wholesale credit environment and wholesale loans.
Total credit portfolio
 
 
 
 
 
Credit exposure
 
Nonperforming(d)(e)
(in millions)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

Loans retained
$
928,887

$
969,415

 
$
4,687

$
4,611

Loans held-for-sale
10,571

11,988

 
88

—

Loans at fair value
5,760

3,151

 
176

220

Total loans–reported
945,218

984,554

 
4,951

4,831

Derivative receivables
55,577

54,213

 
26

60

Receivables from customers and other(a)
32,236

30,217

 
—

—

Total credit-related assets
1,033,031

1,068,984

 
4,977

4,891

Assets acquired in loan satisfactions
 
 
 
 
 
Real estate owned
NA

NA

 
340

269

Other
NA

NA

 
26

30

Total assets acquired in loan satisfactions
NA

NA

 
366

299

Lending-related commitments
1,095,090

1,039,258

 
446

469

Total credit portfolio
$
2,128,121

$
2,108,242

 
$
5,789

$
5,659

Credit derivatives used
in credit portfolio management activities(b)
$
(15,031
)
$
(12,682
)
 
$
—

$
—

Liquid securities and other cash collateral held against derivatives(c)
(15,482
)
(15,322
)
 
NA

NA

 
(in millions,
except ratios)
Three months ended
September 30,
 
Nine months ended
September 30,
2019

2018

 
2019

2018

Net charge-offs
$
1,371

$
1,033

 
$
4,135

$
3,620

Average retained loans
 
 
 
 
 
Loans
932,493

942,583

 
944,666

931,766

Loans – reported, excluding
residential real estate PCI loans
910,753

916,205

 
921,978

903,377

Net charge-off rates
 
 
 
 
 
Loans
0.58
%
0.43
%
 
0.59
%
0.52
%
Loans – excluding PCI
0.60

0.45

 
0.60

0.54

(a)
Receivables from customers and other primarily represents prime brokerage-related held-for-investment customer receivables.
(b)
Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 66 and Note 4 for additional information.
(c)
Includes collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained.
(d)
Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as each of the pools is performing.
(e)
At September 30, 2019, and December 31, 2018, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.6 billion and $2.6 billion, respectively, and real estate owned (“REO”) insured by U.S. government agencies of $50 million and $75 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance issued by the Federal Financial Institutions Examination Council (“FFIEC”).

55

CONSUMER CREDIT PORTFOLIO
The Firm’s retained consumer portfolio consists primarily of residential real estate loans, credit card loans, auto loans, and business banking loans, as well as associated lending-related commitments. The Firm’s focus is on serving primarily the prime segment of the consumer credit market. Refer to Note 11 of this Form 10-Q and Consumer Credit Portfolio on pages 106–111 and Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information on consumer loans. Refer to Note 22 of this Form 10-Q and Note 27 of JPMorgan Chase’s 2018 Form 10-K for further information on lending-related commitments.
The following table presents consumer credit-related information with respect to the credit portfolio held by CCB, scored prime mortgage and scored home equity loans held by AWM, and prime mortgage loans held by Corporate. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information about the Firm’s nonaccrual and charge-off accounting policies.
Consumer credit portfolio
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,

(in millions, except ratios)
Credit exposure
 
Nonaccrual loans(f)(g)
 
Net charge-offs/(recoveries)(h)
 
Net charge-off/(recovery) rate(h)(i)
 
Net charge-offs/(recoveries)(h)
 
Net charge-off/(recovery) rate(h)(i)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
2019

2018

 
2019

2018

 
2019

2018

 
2019

2018

Consumer, excluding credit card
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans, excluding PCI loans and loans held-for-sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage
$
197,456

$
231,078

 
$
1,629

$
1,765

 
$
(15
)
$
(105
)
 
(0.03
)%
(0.18
)%
 
$
(31
)
$
(256
)
 
(0.02
)%
(0.15
)%
Home equity
24,954

28,340

 
1,208

1,323

 
(25
)
(12
)
 
(0.39
)
(0.16
)
 
(40
)
(2
)
 
(0.20
)
(0.01
)
Auto(a)(b)
61,410

63,573

 
112

128

 
49

56

 
0.32

0.35

 
149

182

 
0.32

0.37

Consumer & Business Banking(b)(c)
26,699

26,612

 
268

245

 
79

68

 
1.18

1.02

 
204

171

 
1.03

0.88

Total loans, excluding PCI loans and loans held-for-sale
310,519

349,603

 
3,217

3,461

 
88

7

 
0.11

0.01

 
282

95

 
0.11

0.04

Loans – PCI
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Home equity
7,753

8,963

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Prime mortgage
4,164

4,690

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Subprime mortgage
1,797

1,945

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Option ARMs
7,576

8,436

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Total loans – PCI
21,290

24,034

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Total loans – retained
331,809

373,637

 
3,217

3,461

 
88

7

 
0.10

0.01

 
282

95

 
0.11

0.03

Loans held-for-sale
4,821

95

 
2

—

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Total consumer, excluding credit card loans
336,630

373,732

 
3,219

3,461

 
88

7

 
0.10

0.01

 
282

95

 
0.11

0.03

Lending-related commitments(d)
53,591

46,066

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Receivables from customers
18

154

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total consumer exposure, excluding credit card
390,239

419,952

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit card
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans retained(e)
159,571

156,616

 
—

—

 
1,175

1,073

 
2.95

2.91

 
3,617

3,407

 
3.13

3.16

Loans held-for-sale
—

16

 
—

—

 
NA

NA

 
NA

NA

 
NA

NA

 
NA

NA

Total credit card loans
159,571

156,632

 
—

—

 
1,175

1,073

 
2.95

2.91

 
3,617

3,407

 
3.13

3.16

Lending-related commitments(d)
645,880

605,379

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total credit card exposure
805,451

762,011

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total consumer credit portfolio
$
1,195,690

$
1,181,963

 
$
3,219

$
3,461

 
$
1,263

$
1,080

 
1.00
 %
0.82
 %
 
$
3,899

$
3,502

 
1.02
 %
0.90
 %
Memo: Total consumer credit portfolio, excluding PCI
$
1,174,400

$
1,157,929

 
$
3,219

$
3,461

 
$
1,263

$
1,080

 
1.05
 %
0.86
 %
 
$
3,899

$
3,502

 
1.07
 %
0.96
 %
(a)
At September 30, 2019, and December 31, 2018, excluded operating lease assets of $22.1 billion and $20.5 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.
(b)
Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included within the consumer portfolio.
(c)
Predominantly includes Business Banking loans.
(d)
Credit card and home equity 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, 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.
(e)
Includes billed interest and fees net of an allowance for uncollectible interest and fees.
(f)
At September 30, 2019 and December 31, 2018, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.6 billion and $2.6 billion, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status, as permitted by regulatory guidance issued by the FFIEC.
(g)
Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as each of the pools is performing.
(h)
Net charge-offs/(recoveries) and the net charge-off/(recovery) rates excluded write-offs in the PCI portfolio of $43 million and $58 million for the three months ended September 30, 2019 and 2018, respectively, and $132 million and $151 million for the nine months ended September 30, 2019 and 2018, respectively. These write-offs decreased the allowance for loan losses for PCI loans. Refer to Allowance for Credit Losses on pages 67–68 for further information.
(i)
Average consumer loans held-for-sale were $5.5 billion and $196 million for the three months ended September 30, 2019 and 2018, respectively, and $2.6 billion and $240 million for the nine months ended September 30, 2019 and 2018, respectively. These amounts were excluded when calculating net charge-off/(recovery) rates.

56

Consumer, excluding credit card
Portfolio analysis
Loan balances decreased from December 31, 2018 due to lower residential real estate loans, predominantly driven by loan sales. The credit performance of the portfolio continues to benefit from a strong labor market and improvement in home prices.
The following discussions provide information concerning individual loan products, excluding PCI loans which are addressed separately. Refer to Note 11 of this Form 10-Q for further information about this portfolio, including information about delinquencies, loan modifications and other credit quality indicators.
Residential mortgage: The residential mortgage portfolio, including loans held-for-sale, predominantly consists of prime mortgage loans. The portfolio decreased from December 31, 2018 driven by loan sales in Home Lending as well as paydowns, largely offset by originations of prime mortgage loans that have been retained on the balance sheet. Net recoveries for the three and nine months ended September 30, 2019 were lower when compared with the same periods in the prior year as the prior year benefited from larger recoveries on loan sales.
At September 30, 2019, and December 31, 2018, the Firm’s residential mortgage portfolio included $21.8 billion and $21.6 billion, respectively, of interest-only loans. These loans have an interest-only payment period generally followed by an adjustable-rate or fixed-rate fully amortizing payment period to maturity and are typically originated as higher-balance loans to higher-income borrowers, predominantly in AWM. Performance of this portfolio for the three and nine months ended September 30, 2019 was in line with the performance of the broader residential mortgage portfolio for the same period.
The following table provides a summary of the Firm’s residential mortgage portfolio insured and/or guaranteed by U.S. government agencies, including loans held-for-sale. The Firm monitors its exposure to certain potential unrecoverable claim payments related to government-insured loans and considers this exposure in estimating the allowance for loan losses.
(in millions)
September 30,
2019

December 31,
2018

Current
$
2,100

$
2,884

30-89 days past due
1,054

1,528

90 or more days past due
1,602

2,600

Total government guaranteed loans
$
4,756

$
7,012

 
Home equity: The home equity portfolio declined from December 31, 2018 primarily reflecting loan paydowns.
At September 30, 2019, approximately 90% of the Firm’s home equity portfolio consisted of home equity lines of credit (“HELOCs”) and the remainder consisted of home equity loans (“HELOANs”). The carrying value of HELOCs outstanding was $23 billion at September 30, 2019. This amount included $10 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $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.
Refer to Note 11 of this Form 10-Q and Consumer Credit Portfolio on pages 106–111 of JPMorgan Chase’s 2018 Form 10-K for further information on the Firm’s home equity portfolio.
Auto: The auto loan portfolio predominantly consists of prime-quality loans. The portfolio declined when compared with December 31, 2018, as paydowns and charge-offs or liquidation of delinquent loans were predominantly offset by new originations.
Consumer & Business Banking: Consumer & Business Banking loans were flat when compared with December 31, 2018 as loan originations were offset by paydowns and charge-offs of delinquent loans. Net charge-offs for the three and nine months ended September 30, 2019 increased when compared with the same period in the prior year due primarily to higher deposit overdraft losses.
Purchased credit-impaired loans: PCI loans represent certain loans that were acquired and deemed to be credit-impaired on the acquisition date. PCI loans decreased from December 31, 2018 due to portfolio run off. As of September 30, 2019, approximately 9% of the option ARM PCI loans were delinquent and approximately 71% of the portfolio had been modified into fixed-rate, fully amortizing loans. The borrowers for substantially all of the remaining option ARM loans are making amortizing payments, although such payments are not necessarily fully amortizing. This latter group of loans is subject to the risk of payment shock due to future payment recast. Default rates generally increase on option ARM loans when payment recast results in a payment increase. The expected increase in default rates is considered in the Firm’s quarterly impairment assessment.

57

The following table provides a summary of lifetime principal loss estimates included in either the nonaccretable difference or the allowance for loan losses.
Summary of PCI loans lifetime principal loss estimates
 
Lifetime loss
 estimates(a)
 
Life-to-date
liquidation losses(b)
(in billions)
Sep 30,
2019

 
Dec 31,
2018

 
Sep 30,
2019

 
Dec 31,
2018

Home equity
$
13.9

 
$
14.1

 
$
13.0

 
$
13.0

Prime mortgage
4.1

 
4.1

 
3.9

 
3.9

Subprime mortgage
3.3

 
3.3

 
3.2

 
3.2

Option ARMs
10.3

 
10.3

 
10.0

 
9.9

Total
$
31.6

 
$
31.8

 
$
30.1

 
$
30.0

(a)
Includes the original nonaccretable difference established in purchase accounting of $30.5 billion for principal losses plus additional principal losses recognized subsequent to acquisition through the provision and allowance for loan losses. The remaining nonaccretable difference for principal losses was $476 million and $512 million at September 30, 2019, and December 31, 2018, respectively.
(b)
Represents both realization of loss upon loan resolution and any principal forgiven upon modification.
Geographic composition of residential real estate loans
Refer to Note 11 for information on the geographic composition of the Firm’s residential real estate loans.
Current estimated loan-to-value ratio of residential real estate loans
Average current estimated loan-to-value (“LTV”) ratios have declined consistent with recent improvements in home prices, customer paydowns, and charge-offs or liquidations of higher LTV loans. Refer to Note 11 for information on current estimated LTVs of the Firm’s residential real estate loans.
Loan modification activities for residential real estate loans
The performance of modified loans generally differs by product type due to differences in both the credit quality and the types of modifications provided. Performance metrics for modifications to the residential real estate portfolios as measured through redefault rates, were not materially different from December 31, 2018. Refer to Consumer Credit Portfolio on pages 106–111 of JPMorgan Chase’s 2018 Form 10-K for further information on the Firm’s redefault rates.
Certain modified loans have interest rate reset provisions (“step-rate modifications”) where the interest rates on these loans generally began to increase commencing in 2014 by 1% per year, and will continue to do so, until the rate reaches a specified cap. The cap on these loans is typically at a prevailing market interest rate for a fixed-rate mortgage loan as of the modification date. At September 30, 2019, the carrying value of non-PCI loans and the unpaid principal balance of PCI loans modified in step-rate modifications, which have not yet met their specified caps, were $1.3 billion and $2.4 billion, respectively. The Firm continues to monitor this risk exposure and the impact of these potential interest rate increases is considered in the Firm’s allowance for loan losses.
 
The following table presents information as of September 30, 2019, and December 31, 2018, relating to modified retained residential real estate loans for which concessions have been granted to borrowers experiencing financial difficulty. Refer to Note 11 for further information on modifications for the three and nine months ended September 30, 2019 and 2018.
Modified residential real estate loans
 
September 30, 2019
 
December 31, 2018
(in millions)
Retained loans
Non-accrual
retained loans(d)
 
Retained loans
Non-accrual
retained loans(d)
Modified residential real estate loans, excluding
PCI loans(a)(b)
 
 
 
 
 
Residential mortgage
$
4,118

$
1,376

 
$
4,565

$
1,459

Home equity
1,961

981

 
2,012

955

Total modified residential real estate loans, excluding PCI loans
$
6,079

$
2,357

 
$
6,577

$
2,414

Modified PCI loans(c)
 
 
 
 
 
Home equity
$
2,003

NA

 
$
2,086

NA

Prime mortgage
2,929

NA

 
3,179

NA

Subprime mortgage
1,919

NA

 
2,041

NA

Option ARMs
5,879

NA

 
6,410

NA

Total modified PCI loans
$
12,730

NA

 
$
13,716

NA

(a)
Amounts represent the carrying value of modified residential real estate loans.
(b)
At September 30, 2019, and December 31, 2018, $16 million and $4.1 billion, 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.
(c)
Amounts represent the unpaid principal balance of modified PCI loans.
(d)
At September 30, 2019, and December 31, 2018, nonaccrual loans included $1.9 billion and $2.0 billion, respectively, of troubled debt restructurings (“TDRs”) for which the borrowers were less than 90 days past due. Refer to Note 11 for additional information about loans modified in a TDR that are on nonaccrual status.

58

Nonperforming assets
The following table presents information as of September 30, 2019, and December 31, 2018, about consumer, excluding credit card, nonperforming assets.
Nonperforming assets(a)
 
 
 
(in millions)
September 30,
2019

 
December 31,
2018

Nonaccrual loans(b)
 
 
 
Residential real estate
$
2,839

 
$
3,088

Other consumer
380

 
373

Total nonaccrual loans
3,219

 
3,461

Assets acquired in loan satisfactions
 
 
 
Real estate owned(c)
209

 
196

Other
26

 
30

Total assets acquired in loan satisfactions
235

 
226

Total nonperforming assets
$
3,454

 
$
3,687

(a)
At September 30, 2019, and December 31, 2018, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.6 billion and $2.6 billion, respectively, and REO insured by U.S. government agencies of $50 million and $75 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)
Excludes PCI loans, which are accounted for on a pool basis. Since each pool is accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows, the past-due status of the pools, or that of individual loans within the pools, is not meaningful. The Firm is recognizing interest income on each pool of loans as each of the pools is performing.
(c)
The prior period amount has been revised to conform with the current period presentation.
Nonaccrual loans in the residential real estate portfolio at September 30, 2019 decreased to $2.8 billion from $3.1 billion at December 31, 2018, of which 20% and 24% were greater than 150 days past due, respectively. In the aggregate, the unpaid principal balance of residential real estate loans greater than 150 days past due was charged down by approximately 31% and 32% to the estimated net realizable value of the collateral at September 30, 2019, and December 31, 2018, respectively.
Nonaccrual loans: The following table presents changes in consumer, excluding credit card, nonaccrual loans for the nine months ended September 30, 2019 and 2018.
Nonaccrual loan activity
 
 
Nine months ended September 30,
(in millions)
 
2019

2018

Beginning balance
 
$
3,461

$
4,209

Additions
 
1,674

2,174

Reductions:
 
 
 
Principal payments and other(a)
 
766

1,119

Charge-offs
 
301

354

Returned to performing status
 
657

1,057

Foreclosures and other liquidations
 
192

217

Total reductions
 
1,916

2,747

Net changes
 
(242
)
(573
)
Ending balance
 
$
3,219

$
3,636

(a)
Other reductions includes loan sales.
 
Active and suspended foreclosure: Refer to Note 11 for information on loans that were in the process of active or suspended foreclosure.
Credit card
Total credit card loans increased from December 31, 2018 reflecting increased sales volumes from existing customers and new account growth, partially offset by the impact of seasonality. The September 30, 2019 30+ and 90+ day delinquency rates of 1.84% and 0.90%, respectively, were relatively flat compared to the December 31, 2018 30+ and 90+ day delinquency rates of 1.83% and 0.92%, respectively. Net charge-offs increased for the three and nine months ended September 30, 2019 when compared with the same period in the prior year due to loan growth, in line with expectations.
Consistent with the Firm’s policy, all credit card loans typically remain on accrual status until charged off. However, the Firm establishes an allowance, which is offset against loans and reduces interest income, for the estimated uncollectible portion of accrued and billed interest and fee income.
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 September 30, 2019 and December 31, 2018, the Firm had $1.4 billion and $1.3 billion, respectively, of credit card loans outstanding that have been modified in TDRs. Refer to Note 11 for additional information about loan modification programs to borrowers.

59

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 credit performance of the wholesale portfolio remained favorable for the nine months ended September 30, 2019, characterized by continued low levels of criticized exposure, nonaccrual loans and charge-offs. Refer to the industry discussion on pages 62–64 for further information. Loans held-for-sale decreased, driven by a loan syndication in CIB. 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.
 
In the following tables, the Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate. It excludes all exposure managed by CCB, scored prime mortgage and scored home equity loans held in AWM and prime mortgage loans held in Corporate.
Wholesale credit portfolio
 
Credit exposure
 
Nonperforming(c)
(in millions)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

Loans retained
$
437,507

$
439,162

 
$
1,470

$
1,150

Loans held-for-sale
5,750

11,877

 
86

—

Loans at fair value
5,760

3,151

 
176

220

Loans – reported
449,017

454,190

 
1,732

1,370

Derivative receivables
55,577

54,213

 
26

60

Receivables from customers and other(a)
32,218

30,063

 
—

—

Total wholesale credit-related assets
536,812

538,466

 
1,758

1,430

Lending-related commitments
395,619

387,813

 
446

469

Total wholesale credit exposure
$
932,431

$
926,279

 
$
2,204

$
1,899

Credit derivatives used in credit portfolio management activities(b)
$
(15,031
)
$
(12,682
)
 
$
—

$
—

Liquid securities and other cash collateral held against derivatives
(15,482
)
(15,322
)
 
NA

NA

(a)
Receivables from customers and other include $32.2 billion and $30.1 billion of prime brokerage-related held-for-investment customer receivables at September 30, 2019, and December 31, 2018, respectively, to customers in CIB and AWM; these are classified in accrued interest and accounts receivable on the Consolidated balance sheets.
(b)
Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 66 and Note 4 for additional information.
(c)
Excludes assets acquired in loan satisfactions.

60

The following tables present the maturity and ratings profiles of the wholesale credit portfolio as of September 30, 2019, and December 31, 2018. The ratings scale is based on the Firm’s internal risk ratings, which generally correspond to the ratings assigned by S&P and Moody’s. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for additional information on wholesale loan portfolio risk ratings.
Wholesale credit exposure – maturity and ratings profile
 
 
 
 
 
 
 
Maturity profile(d)
 
Ratings profile
 
Due in 1 year or less
Due after 1 year through 5 years
Due after 5 years
Total
 
Investment-grade
 
Noninvestment-grade
Total
Total % of IG
September 30, 2019
(in millions, except ratios)
 
AAA/Aaa to BBB-/Baa3
 
BB+/Ba1 & below
Loans retained
$
132,888

$
199,877

$
104,742

$
437,507

 
$
337,298

 
$
100,209

$
437,507

77
%
Derivative receivables
 
 
 
55,577

 
 
 
 
55,577

 
Less: Liquid securities and other cash collateral held against derivatives
 
 
 
(15,482
)
 
 
 
 
(15,482
)
 
Total derivative receivables, net of all collateral
8,332

8,263

23,500

40,095

 
32,535

 
7,560

40,095

81

Lending-related commitments
75,484

307,093

13,042

395,619

 
291,144

 
104,475

395,619

74

Subtotal
216,704

515,233

141,284

873,221

 
660,977

 
212,244

873,221

76

Loans held-for-sale and loans at fair value(a)
 
 
 
11,510

 
 
 
 
11,510

 
Receivables from customers and other
 
 
 
32,218

 
 
 
 
32,218

 
Total exposure – net of liquid securities and other cash collateral held against derivatives
 
 
 
$
916,949

 
 
 
 
$
916,949

 
Credit derivatives used in credit portfolio management activities(b)(c)
$
(864
)
$
(8,013
)
$
(6,154
)
$
(15,031
)
 
$
(13,606
)
 
$
(1,425
)
$
(15,031
)
91
%
 
Maturity profile(d)
 
Ratings profile
 
Due in 1 year or less
Due after 1 year through 5 years
Due after 5 years
Total
 
Investment-grade
 
Noninvestment-grade
Total
Total % of IG
December 31, 2018
(in millions, except ratios)
 
AAA/Aaa to BBB-/Baa3
 
BB+/Ba1 & below
Loans retained
$
138,458

$
196,974

$
103,730

$
439,162

 
$
339,729

 
$
99,433

$
439,162

77
%
Derivative receivables
 
 
 
54,213

 
 
 
 
54,213

 
Less: Liquid securities and other cash collateral held against derivatives
 
 
 
(15,322
)
 
 
 
 
(15,322
)
 
Total derivative receivables, net of all collateral
11,038

9,169

18,684

38,891

 
31,794

 
7,097

38,891

82

Lending-related commitments
79,400

294,855

13,558

387,813

 
288,724

 
99,089

387,813

74

Subtotal
228,896

500,998

135,972

865,866

 
660,247

 
205,619

865,866

76

Loans held-for-sale and loans at fair value(a)
 
 
 
15,028

 
 
 
 
15,028

 
Receivables from customers and other
 
 
 
30,063

 
 
 
 
30,063

 
Total exposure – net of liquid securities and other cash collateral held against derivatives
 
 
 
$
910,957

 
 
 
 
$
910,957

 
Credit derivatives used in credit portfolio management activities(b)(c)
$
(447
)
$
(9,318
)
$
(2,917
)
$
(12,682
)
 
$
(11,213
)
 
$
(1,469
)
$
(12,682
)
88
%
(a)
Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(b)
These derivatives do not qualify for hedge accounting under U.S. GAAP.
(c)
The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties.
(d)
The maturity profile of retained loans, lending-related commitments and derivative receivables is based on the remaining contractual maturity. Derivative contracts that are in a receivable position at September 30, 2019, may become payable prior to maturity based on their cash flow profile or changes in market conditions.

61

Wholesale credit exposure – industry exposures
The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns. Exposures deemed criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful
 
categories. The total criticized component of the portfolio, excluding loans held-for-sale and loans at fair value, was $12.8 billion at September 30, 2019, compared with $12.1 billion at December 31, 2018. The increase was driven by select client downgrades across a number of sectors.
Below are summaries of the Firm’s exposures as of September 30, 2019, and December 31, 2018. 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 2018 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
Net
charge-offs/
(recoveries)
Credit derivative hedges(g)
Liquid securities
and other cash collateral held against derivative
receivables
 
 
 
 
Noninvestment-grade
As of or for the nine months ended
Credit exposure(f)
Investment- grade
 
Noncriticized
 
Criticized performing
Criticized nonperforming
September 30, 2019
(in millions)
Real Estate
$
147,455

$
121,699

 
$
24,479

 
$
1,210

$
67

$
28

$
12

$
(79
)
$
(2
)
Individuals and Individual Entities(b)
99,653

88,477

 
10,815

 
269

92

548

27

—

(817
)
Consumer & Retail
98,445

56,815

 
39,387

 
2,086

157

45

48

(227
)
(5
)
Technology, Media &
Telecommunications
57,127

33,754

 
20,723

 
2,509

141

9

23

(612
)
(17
)
Industrials
57,085

38,511

 
17,203

 
1,222

149

158

30

(551
)
(17
)
Banks & Finance Cos
53,185

36,764

 
15,979

 
378

64

27

—

(832
)
(2,683
)
Asset Managers
50,119

44,006

 
6,096

 
4

13

26

—

—

(5,201
)
Healthcare
48,041

36,641

 
10,422

 
891

87

40

6

(230
)
(177
)
Oil & Gas
44,007

23,882

 
18,615

 
635

875

9

43

(445
)
(12
)
Utilities
29,709

23,543

 
5,806

 
184

176

10

37

(387
)
(75
)
State & Municipal Govt(c)
26,806

26,287

 
519

 
—

—

13

—

—

(51
)
Chemicals & Plastics
16,870

11,311

 
5,490

 
69

—

1

—

(10
)
—

Central Govt
16,685

16,264

 
421

 
—

—

1

—

(8,527
)
(2,836
)
Automotive
16,430

10,053

 
5,978

 
399

—

6

—

(172
)
—

Metals & Mining
15,049

8,396

 
6,280

 
359

14

—

(1
)
(204
)
(8
)
Transportation
14,969

9,196

 
5,356

 
317

100

37

4

(36
)
(38
)
Insurance
13,365

10,517

 
2,824

 
19

5

—

—

(36
)
(2,062
)
Financial Markets Infrastructure
5,775

5,640

 
135

 
—

—

—

—

—

(7
)
Securities Firms
4,418

2,789

 
1,605

 
24

—

—

—

(49
)
(387
)
All other(d)
73,510

70,286

 
2,892

 
330

2

20

7

(2,634
)
(1,087
)
Subtotal
$
888,703

$
674,831

 
$
201,025

 
$
10,905

$
1,942

$
978

$
236

$
(15,031
)
$
(15,482
)
Loans held-for-sale and loans at fair value
11,510

 
 
 
 
 
 
 
 
 
 
Receivables from customers and other
32,218

 
 
 
 
 
 
 
 
 
 
Total(e)
$
932,431

 
 
 
 
 
 
 
 
 
 

62












(continued from previous page)
 
 
 
 
 
 
 
 
 
 








Selected metrics








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




Noninvestment-grade
As of or for the year ended
Credit exposure(f)
Investment- grade

Noncriticized

Criticized performing
Criticized nonperforming
December 31, 2018
(in millions)
Real Estate
$
143,316

$
117,988


$
24,174


$
1,019

$
135

$
70

$
(20
)
$
(2
)
$
(1
)
Individuals and Individual Entities(b)
97,077

86,581

 
10,164

 
174

158

703

12

—

(915
)
Consumer & Retail
94,815

60,678


31,901


2,033

203

43

55

(248
)
(14
)
Technology, Media & Telecommunications
72,646

46,334

 
24,081

 
2,170

61

8

12

(1,011
)
(12
)
Industrials
58,528

38,487


18,594


1,311

136

171

20

(207
)
(29
)
Banks & Finance Cos
49,920

34,120

 
15,496

 
299

5

11

—

(575
)
(2,290
)
Asset Managers
42,807

36,722


6,067


4

14

10

—

—

(5,829
)
Healthcare
48,142

36,687


10,625


761

69

23

(5
)
(150
)
(133
)
Oil & Gas
42,600

23,356


17,451


1,158

635

6

36

(248
)
—

Utilities
28,172

23,558


4,326


138

150

—

38

(142
)
(60
)
State & Municipal Govt(c)
27,351

26,746


603


2

—

18

(1
)
—

(42
)
Chemicals & Plastics
16,035

11,490


4,427


118

—

4

—

—

—

Central Govt
18,456

18,251

 
124

 
81

—

4

—

(7,994
)
(2,130
)
Automotive
17,339

9,637


7,310


392

—

1

—

(125
)
—

Metals & Mining
15,359

8,188


6,767


385

19

1

—

(174
)
(22
)
Transportation
15,660

10,508


4,699


393

60

21

6

(31
)
(112
)
Insurance
12,639

9,777


2,830


—

32

—

—

(36
)
(2,080
)
Financial Markets Infrastructure
7,484

6,746


738


—

—

—

—

—

(26
)
Securities Firms
4,558

3,099


1,459


—

—

—

—

(158
)
(823
)
All other(d)
68,284

64,664


3,606


12

2

2

2

(1,581
)
(804
)
Subtotal
$
881,188

$
673,617


$
195,442


$
10,450

$
1,679

$
1,096

$
155

$
(12,682
)
$
(15,322
)
Loans held-for-sale and loans at fair value
15,028


















Receivables from customers and other
30,063



















Total(e)
$
926,279

 
 
 
 
 
 
 
 
 
 
(a)
The industry rankings presented in the table as of December 31, 2018, are based on the industry rankings of the corresponding exposures at September 30, 2019, not actual rankings of such exposures at December 31, 2018.
(b)
Individuals and Individual Entities predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts.
(c)
In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at September 30, 2019, and December 31, 2018, noted above, the Firm held: $6.9 billion and $7.8 billion, respectively, of trading securities; $31.1 billion and $37.7 billion, respectively, of AFS securities; and $4.8 billion at both periods of held-to-maturity (“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 91% and 9%, respectively, at September 30, 2019, and 92% and 8%, respectively, at December 31, 2018.
(e)
Excludes cash placed with banks of $248.8 billion and $268.1 billion, at September 30, 2019, and December 31, 2018, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(f)
Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.
(g)
Represents the net notional amounts of protection purchased and sold through credit derivatives used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The All other category includes purchased credit protection on certain credit indices.

63

Real Estate
Presented below is additional information on the Real Estate industry, to which the Firm has significant exposure.
Real Estate exposure increased $4.1 billion to $147.5 billion for the nine months ended September 30, 2019, and the investment grade percentage of the portfolio remained relatively flat at 83%. Refer to Note 11 for further information on Real Estate loans.
 
September 30, 2019
 
(in millions, except ratios)
Loans and Lending-related Commitments
 
Derivative Receivables
 
Credit exposure
 
% Investment-grade
% Drawn(c)
Multifamily(a)
$
85,666

 
$
86

 
$
85,752

 
91
%
 
92
%
 
Other
60,968

 
735

 
61,703

 
71

 
59

 
Total Real Estate Exposure(b)
146,634

 
821

 
147,455

 
83

 
79

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
(in millions, except ratios)
Loans and Lending-related Commitments
 
Derivative
Receivables
 
Credit exposure
 
% Investment-
grade
% Drawn(c)
Multifamily(a)
$
85,683

 
$
33

 
$
85,716

 
89
%
 
92
%
 
Other
57,469

 
131

 
57,600

 
72

 
63

 
Total Real Estate Exposure(b)
143,152

 
164

 
143,316

 
82

 
81

 
(a)
Multifamily exposure is largely in California.
(b)
Real Estate exposure is predominantly secured; unsecured exposure is predominantly investment-grade.
(c)
Represents drawn exposure as a percentage of credit exposure.
Loans
In the normal course of its wholesale business, 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 on credit quality indicators and sales of loans.
The following table presents the change in the nonaccrual loan portfolio for the nine months ended September 30, 2019 and 2018.
Wholesale nonaccrual loan activity
Nine months ended September 30,
(in millions)
 
2019

2018

Beginning balance
 
$
1,370

$
1,734

Additions
 
1,907

570

Reductions:
 
 
 
Paydowns and other
 
1,097

541

Gross charge-offs
 
235

251

Returned to performing status
 
25

217

Sales
 
188

287

Total reductions
 
1,545

1,296

Net changes
 
362

(726
)
Ending balance
 
$
1,732

$
1,008

 
The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the three and nine months ended September 30, 2019 and 2018. The amounts in the table below do not include gains or losses from sales of nonaccrual loans.
Wholesale net charge-offs/(recoveries)
 
 
 
(in millions, except ratios)
Three months ended
September 30,
 
Nine months ended
September 30,
2019

2018

 
2019

2018

Loans – reported
 
 
 
 
 
Average loans retained
$
433,744

$
420,597

 
$
434,434

$
413,537

Gross charge-offs
120

23

 
270

264

Gross recoveries
(12
)
(70
)
 
(34
)
(146
)
Net charge-offs/(recoveries)
108

(47
)
 
236

118

Net charge-off/(recovery) rate
0.10
%
(0.04
)%
 
0.07
%
0.04
%

64

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 the Firm fulfill 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 are refinanced, extended, cancelled, or expire without being drawn upon or a default occurring. In the Firm’s view, the total contractual amount of these wholesale lending-related commitments is not representative of the Firm’s expected future credit exposure or funding requirements. Refer to Note 22 for further information on wholesale lending-related commitments.
Derivative contracts
Derivatives enable clients and counterparties to manage risks including credit risk and risks arising from fluctuations in interest rates, foreign exchange, equities, and commodities. The Firm makes markets in derivatives in order to meet these needs and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. The Firm also uses derivative instruments to manage its own credit and other market risk exposure. Refer to Note 4 for a further discussion of derivative contracts.
The following table summarizes the net derivative receivables for the periods presented.
Derivative receivables
 
 
(in millions)
September 30,
2019

December 31,
2018

Total, net of cash collateral
55,577

54,213

Liquid securities and other cash collateral held against derivative receivables(a)
(15,482
)
(15,322
)
Total, net of collateral
$
40,095

$
38,891

(a)
Includes collateral related to derivative instruments where appropriate legal opinions have not been either sought or obtained with respect to master netting agreements.
 
The fair value of derivative receivables reported on the Consolidated balance sheets were $55.6 billion and $54.2 billion at September 30, 2019, and December 31, 2018, respectively. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. However, in management’s view, the appropriate measure of current credit risk should also take into consideration additional liquid securities (primarily U.S. government and agency securities and other group of seven nations (“G7”) government securities) and other cash collateral held by the Firm aggregating $15.5 billion and $15.3 billion at September 30, 2019, and December 31, 2018, respectively, that may be used as security when the fair value of the client’s exposure is in the Firm’s favor.
In addition to the collateral described in the preceding paragraph, the Firm also holds additional collateral (primarily cash, G7 government securities, other liquid government agency and guaranteed securities, and corporate debt and equity securities) delivered by clients at the initiation of transactions, as well as collateral related to contracts that have a non-daily call frequency and collateral that the Firm has agreed to return but has not yet settled as of the reporting date. Although this collateral does not reduce the balances and is not included in the table above, it is available as security against potential exposure that could arise should the fair value of the client’s derivative contracts move in the Firm’s favor. The derivative receivables fair value, net of all collateral, also does not include other credit enhancements, such as letters of credit. Refer to Note 4 for additional information on the Firm’s use of collateral agreements.


















65

The following table summarizes the ratings profile of the Firm’s derivative receivables, including credit derivatives, net of all collateral, at the dates indicated. The ratings scale is based on the Firm’s internal ratings, which generally correspond to the ratings as assigned by S&P and Moody’s.
Ratings profile of derivative receivables
 
 
 
 
 
Rating equivalent
September 30, 2019
 
December 31, 2018

(in millions, except ratios)
Exposure net of all collateral
% of exposure net of all collateral
 
Exposure net of all collateral
% of exposure net of all collateral
AAA/Aaa to AA-/Aa3
$
10,663

27
%
 
$
11,831

31
%
A+/A1 to A-/A3
6,106

15

 
7,428

19

BBB+/Baa1 to BBB-/Baa3
15,766

39

 
12,536

32

BB+/Ba1 to B-/B3
7,116

18

 
6,373

16

CCC+/Caa1 and below
444

1

 
723

2

Total
$
40,095

100
%
 
$
38,891

100
%

As previously noted, the Firm uses collateral agreements to mitigate counterparty credit risk. The percentage of the Firm’s over-the-counter derivative contracts subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity and centrally cleared trades that are settled daily — was approximately 90% at both September 30, 2019, and December 31, 2018.
Credit derivatives
The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker, and second, as an end-user, to manage the Firm’s own credit risk associated with various exposures.
 
Credit portfolio management activities
Included in the Firm’s end-user activities are credit derivatives used to mitigate the credit risk associated with traditional lending activities (loans and unfunded commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “credit portfolio management” activities). Information on credit portfolio management activities is provided in the table below.
Credit derivatives used in credit portfolio management activities
 
Notional amount of protection
purchased and sold(a)
(in millions)
September 30,
2019

 
December 31,
2018

Credit derivatives used to manage:
 
 
 
Loans and lending-related commitments
$
1,726

 
$
1,272

Derivative receivables
13,305

 
11,410

Credit derivatives used in credit portfolio management activities
$
15,031

 
$
12,682

(a)
Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index.
Refer to Credit derivatives in Note 4 of this Form 10-Q and Note 5 of JPMorgan Chase’s 2018 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.

66

ALLOWANCE FOR CREDIT LOSSES
The Firm’s allowance for credit losses covers the retained consumer and wholesale loan portfolios, as well as the Firm’s wholesale and certain consumer lending-related commitments.
Refer to Critical Accounting Estimates Used by the Firm on pages 76–77 and Note 12 of this Form 10-Q, and Critical Accounting Estimates Used by the Firm on pages 141-143 and Note 13 of JPMorgan Chase’s 2018 Form 10-K for further information on the components of the allowance for credit losses and related management judgments.
At least quarterly, the allowance for credit losses is reviewed by the CRO, the CFO and the Controller of the Firm. As of September 30, 2019, JPMorgan Chase deemed the allowance for credit losses to be appropriate and sufficient to absorb probable credit losses inherent in the portfolio.





 
The allowance for credit losses decreased compared with December 31, 2018, driven by:
•
a $550 million reduction in the CCB allowance for loan losses, which includes $400 million in the PCI residential real estate portfolio, reflecting continued improvement in home prices and delinquencies; $100 million in the non credit-impaired residential real estate portfolio; and $50 million in the business banking portfolio; as well as
•
a $132 million reduction for write-offs of PCI loans,
predominantly offset by
•
a $400 million addition to the allowance for loan losses in the credit card portfolio reflecting higher loss rates, as newer vintages season and become a larger part of the portfolio and loan growth; as well as
•
a $170 million addition in the wholesale allowance for credit losses largely driven by select C&I client downgrades.
Refer to Consumer Credit Portfolio on pages 56–59, Wholesale Credit Portfolio on pages 60–66 and Note 11 for additional information on the consumer and wholesale credit portfolios.


67

Summary of changes in the allowance for credit losses
 
 
 
 
 
 
2019
 
2018
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)
 
Allowance for loan losses
 
 
 
 
 
 
 
 
 
Beginning balance at January 1,
$
4,146

$
5,184

$
4,115

$
13,445

 
$
4,579

$
4,884

$
4,141

$
13,604

Gross charge-offs
702

4,050

270

5,022

 
776

3,777

264

4,817

Gross recoveries
(420
)
(433
)
(34
)
(887
)
 
(681
)
(370
)
(146
)
(1,197
)
Net charge-offs
282

3,617

236

4,135

 
95

3,407

118

3,620

Write-offs of PCI loans(a)
132

—

—

132

 
151

—

—

151

Provision for loan losses
(265
)
4,017

296

4,048

 
(152
)
3,557

(111
)
3,294

Other
—

(1
)
10

9

 
1

—

—

1

Ending balance at September 30,
$
3,467

$
5,583

$
4,185

$
13,235

 
$
4,182

$
5,034

$
3,912

$
13,128

Impairment methodology
 
 
 
 
 
 
 
 
 
Asset-specific(b)
$
145

$
488

$
342

$
975

 
$
204

$
421

$
280

$
905

Formula-based
2,066

5,095

3,843

11,004

 
2,154

4,613

3,632

10,399

PCI
1,256

—

—

1,256

 
1,824

—

—

1,824

Total allowance for loan losses
$
3,467

$
5,583

$
4,185

$
13,235

 
$
4,182

$
5,034

$
3,912

$
13,128

Allowance for lending-related commitments
 
 
 
 
 
 
 
 
 
Beginning balance at January 1,
$
33

$
—

$
1,022

$
1,055

 
$
33

$
—

$
1,035

$
1,068

Provision for lending-related commitments
—

—

110

110

 
—

—

29

29

Other
—

—

—

—

 
—

—

—

—

Ending balance at September 30,
$
33

$
—

$
1,132

$
1,165

 
$
33

$
—

$
1,064

$
1,097

Impairment methodology
 
 
 
 
 
 
 
 
 
Asset-specific
$
—

$
—

$
135

$
135

 
$
—

$
—

$
71

$
71

Formula-based
33

—

997

1,030

 
33

—

993

1,026

Total allowance for lending-related commitments(c)
$
33

$
—

$
1,132

$
1,165

 
$
33

$
—

$
1,064

$
1,097

Total allowance for credit losses
$
3,500

$
5,583

$
5,317

$
14,400

 
$
4,215

$
5,034

$
4,976

$
14,225

Memo:
 
 
 
 
 
 
 
 
 
Retained loans, end of period
$
331,809

$
159,571

$
437,507

$
928,887

 
$
375,958

$
147,856

$
423,837

$
947,651

Retained loans, average
355,865

154,367

434,434

944,666

 
374,298

143,931

413,537

931,766

PCI loans, end of period
21,290

—

—

21,290

 
25,209

—

3

25,212

Credit ratios
 
 
 
 
 
 
 
 
 
Allowance for loan losses to retained loans
1.04
%
3.50
%
0.96
%
1.42
%
 
1.11
%
3.40
%
0.92
%
1.39
%
Allowance for loan losses to retained nonaccrual loans(d)
108

NM

285

282

 
115

NM

394

284

Allowance for loan losses to retained nonaccrual loans excluding credit card
108

NM

285

163

 
115

NM

394

175

Net charge-off rates
0.11

3.13

0.07

0.59

 
0.03

3.16

0.04

0.52

Credit ratios, excluding residential real estate PCI loans
 
 
 
 
 
 
 
 
 
Allowance for loan losses to retained loans
0.71

3.50

0.96

1.32

 
0.67

3.40

0.92

1.23

Allowance for loan losses to retained nonaccrual loans(d)
69

NM

285

256

 
65

NM

394

244

Allowance for loan losses to retained nonaccrual loans excluding credit card
69

NM

285

136

 
65

NM

394

135

Net charge-off rates
0.11
%
3.13
%
0.07
%
0.60
%
 
0.04
%
3.16
%
0.04
%
0.54
%
Note: In the table above, the financial measures which exclude the impact of PCI loans are non-GAAP financial measures.
(a)
Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool.
(b)
Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. The asset-specific credit card allowance for loan losses modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.
(c)
The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.
(d)
(d)
The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.





68

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 held predominantly by Treasury and CIO in connection with the Firm’s balance sheet or asset-liability management objectives or from principal investments managed in the LOBs and Corporate in predominantly privately-held financial instruments. 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 Treasury and CIO substantially invest in high-quality securities. At September 30, 2019, the Treasury and CIO investment securities portfolio was $392.4 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 ratings that correspond to ratings as defined by S&P and Moody’s). Refer to Corporate segment results on pages 42–43 and Note 9 for further information on the investment securities portfolio. Refer to Market Risk Management on pages 70–74 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk on pages 50–54 for further information on related liquidity risk.

 
Principal investment risk
Principal investments are typically private non-traded financial instruments representing ownership or other forms of junior capital. Principal investments span multiple asset classes and are made either in stand-alone investing businesses or as part of a broader business platform. In general, new principal investments include tax-oriented investments, as well as investments made to enhance or accelerate LOB and Corporate strategic business initiatives. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results.
As of September 30, 2019 and December 31, 2018, the aggregate carrying values of the principal investment portfolios were $23.3 billion and $22.2 billion, respectively, which included tax-oriented investments (e.g., affordable housing and alternative energy investments) of $16.7 billion and $16.6 billion, respectively, and private equity, various debt and equity instruments, and real assets of $6.6 billion and $5.6 billion, respectively.
Refer to page 123 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the Firm’s Investment Portfolio Risk Management governance and oversight.


69

MARKET RISK MANAGEMENT
Market risk is the risk associated with the effect of changes in market factors such as interest and foreign exchange rates, equity and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long term. Refer to Market Risk Management on pages 124–131 of JPMorgan Chase’s 2018 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.
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 lines of business 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 140 of JPMorgan Chase’s 2018 Form 10-K for information regarding model reviews and approvals.
Refer to page 126 of JPMorgan Chase’s 2018 Form 10-K for further information regarding VaR, including the inherent limitations, and the key differences between Risk Management VaR and Regulatory VaR. Refer to JPMorgan Chase’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website at:
(http://investor.shareholder.com/jpmorganchase/basel.cfm) for additional information on Regulatory VaR and the other components of market risk regulatory capital for the Firm (e.g., VaR-based measure, stressed VaR-based measure and the respective backtesting). Refer to Other risk measures on pages 129-131 of JPMorgan Chase’s 2018 Form 10-K for further information regarding nonstatistical market risk measures used by the Firm.


70

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





















Three months ended


September 30, 2019

June 30, 2019

September 30, 2018

(in millions)
 Avg.
Min
Max

 Avg.
Min
Max

 Avg.
Min
Max


CIB trading VaR by risk type




















Fixed income
$
37


$
31


$
46



$
39


$
33


$
45



$
30


$
25


$
37


Foreign exchange
6


4


8



7


5


12



5


3


11


Equities
22


19


27



25


14


31



16


13


19


Commodities and other
8


7


9



9


7


10



9


7


11


Diversification benefit to CIB trading VaR
(34
)
(a) 
 NM

(b) 
 NM

(b) 

(36
)
(a) 
 NM

(b) 
 NM

(b) 

(27
)
(a) 
NM

(b) 
NM

(b) 
CIB trading VaR
39


33

(b) 
47

(b) 

44


34

(b) 
55

(b) 

33


27

(b) 
41

(b) 
Credit portfolio VaR
5


4


7



5


4


7



3


3


4


Diversification benefit to CIB VaR
(6
)
(a) 
 NM

(b) 
 NM

(b) 

(5
)
(a) 
NM

(b) 
NM

(b) 

(3
)
(a) 
NM

(b) 
NM

(b) 
CIB VaR
38


33

(b) 
46

(b) 

44


35

(b) 
55

(b) 

33


28

(b) 
42

(b) 






























CCB VaR
6


2


11



4


2


7



1


1


2


Corporate VaR
10


9


11



10


9


10



13


12


14


Diversification benefit to other VaR
(5
)
(a) 
 NM

(b) 
 NM

(b) 

(5
)
(a) 
NM

(b) 
NM

(b) 

(1
)
(a) 
NM

(b) 
NM

(b) 
Other VaR
11


9

(b) 
15

(b) 

9


8

(b) 
11

(b) 

13


12

(b) 
14

(b) 
Diversification benefit to CIB and other VaR
(10
)
(a) 
 NM

(b) 
 NM

(b) 

(7
)
(a) 
NM

(b) 
NM

(b) 

(11
)
(a) 
NM

(b) 
NM

(b) 
Total VaR
$
39


$
35

(b) 
$
46

(b) 

$
46


$
36

(b) 
$
57

(b) 

$
35


$
30

(b) 
$
43

(b) 
(a)
Average portfolio VaR is less than the sum of the VaR of the components described above, which is due to portfolio diversification. The diversification effect reflects that the risks are not perfectly correlated.
(b)
Diversification benefit represents the difference between the total VaR and each reported level and the sum of its individual components. Diversification benefit reflects the non-additive nature of VaR due to imperfect correlation across lines of business, Corporate, and risk types. The maximum and minimum VaR for each portfolio may have occurred on different trading days than the components and consequently diversification benefit is not meaningful.
Quarter over quarter results
Average total VaR decreased by $7 million for the three months ended September 30, 2019 as compared with the prior quarter. This reflects a reduction in risk across the Fixed Income and Foreign Exchange risk types, as well as a decrease in the Equities risk type driven by certain CIB investments, including Tradeweb.


 
Year over year results
Average total VaR increased by $4 million for the three months ended September 30, 2019, compared with the same period in the prior year. The increase in average total VaR is primarily due to increased exposure in the Fixed Income risk type, as well as an increase in the Equities risk type in CIB driven by the inclusion of Tradeweb following the IPO in the second quarter of 2019.
In addition, average CCB VaR has increased by $5 million, driven by mortgage servicing rights risk management activities.


71

VaR back-testing
The Firm performs daily VaR model back-testing, which compares the daily Risk Management VaR results with the daily gains and losses actually recognized on market-risk related revenue.
The Firm’s definition of market risk-related gains and losses is consistent with the definition used by the banking regulators under Basel III. Under this definition market risk-related gains and losses are defined as: gains and losses on the positions included in the Firm’s Risk Management VaR excluding fees, commissions, certain valuation adjustments, net interest income, and gains and losses arising from intraday trading.
The following chart compares actual daily market risk-related gains and losses with the Firm’s Risk Management VaR for the nine months ended September 30, 2019. As the chart presents market risk-related gains and losses related to those positions included in the Firm’s Risk Management VaR, the results in the table below differ from the results of back-testing 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 CIB’s covered positions. For the nine months ended September 30, 2019, the Firm observed five VaR back-testing exceptions and posted market risk-related gains on 116 of the 194 days. For the three months ended September 30, 2019, the Firm observed three VaR back-testing exceptions and posted market risk-related gains on 35 of the 66 days.
Daily Market Risk-Related Gains and Losses
vs. Risk Management VaR (1-day, 95% Confidence level)
Nine months ended September 30, 2019
 
Market Risk-Related Gains and Losses
 
Risk Management VaR
https://cdn.kscope.io/926ed75256a741181f6487c4daf8c23f-chart-62dd8fa2647b59ecb55.jpg
First Quarter 2019
Second Quarter 2019
Third Quarter 2019


72

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 125 of JPMorgan Chase’s 2018 Form 10-K for a summary by line of business and Corporate, identifying positions included in earnings-at-risk.
One way the Firm evaluates its structural interest rate risk is through earnings-at-risk. Earnings-at-risk estimates the Firm’s interest rate exposure for a given interest rate scenario. It is presented as a sensitivity to a baseline, which includes net interest income and certain interest rate sensitive fees. The baseline uses market interest rates and in the case of deposits, pricing assumptions. The Firm conducts simulations of changes to this baseline for interest rate-sensitive assets and liabilities denominated in U.S. dollars and other currencies (“non-U.S. dollar” currencies). These simulations primarily include retained loans, deposits, deposits with banks, investment securities, long term debt and any related interest rate hedges, and exclude other positions in risk management VaR and other sensitivity-based measures as described on page 125 of JPMorgan Chase’s 2018 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 or decreasing short-term rates and holding long-term rates constant; and a flatter yield curve involving increasing short-term rates and holding long-term rates constant or holding short-term rates constant and decreasing long-term rates. These scenarios consider many different factors, including:
•
The impact on exposures as a result of instantaneous changes in interest rates from baseline rates.
•
Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but do not include assumptions about actions that could be taken by the Firm in response to any such instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience.
•
The pricing sensitivity of deposits, using normalized deposit betas over the cycle. These normalized deposit betas represent the amount by which deposit rates paid could change upon a given change in market interest
 
rates. The deposit rates paid in these scenarios differ from actual deposit rates paid, particularly for retail deposits, due to repricing lags and other factors.
The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings at risk analysis does not represent a forecast of the Firm’s net interest income (Refer to 2019 Outlook on page 8 for additional information).
The Firm’s U.S. dollar sensitivities are presented in the table below.
(in billions)
September 30, 2019

 
December 31, 2018

Parallel shift:
 
 
 
+100 bps shift in rates
$
0.7

 
$
0.9

-100 bps shift in rates
(2.6
)
 
(2.1
)
Steeper yield curve:
 
 
 
+100 bps shift in long-term rates
0.9

 
0.5

-100 bps shift in short-term rates
(0.9
)
 
(1.2
)
Flatter yield curve:
 
 
 
+100 bps shift in short-term rates
(0.2
)
 
0.4

-100 bps shift in long-term rates
(1.6
)
 
(0.9
)
The change in the Firm’s U.S. dollar sensitivities as of September 30, 2019 compared to December 31, 2018 reflected updating the Firm’s baseline for lower short-term and long-term rates as well as the impact of changes in the Firm’s balance sheet. The Firm’s sensitivity to short-term rates decreased as a result of changes in the Firm’s balance sheet primarily offset by updating the Firm’s baseline to reflect lower rates. The Firm’s sensitivity to long-term rates increased primarily as a result of updating the Firm’s baseline to reflect lower rates and is more impactful to the downward scenario due to the Firm’s sensitivity to mortgage prepayments.
The Firm’s non-U.S. dollar sensitivities are presented in the table below.
(in billions)
September 30, 2019

 
December 31, 2018

Parallel shift:
 
 
 
+100 bps shift in rates
$
0.5

 
$
0.5

Flatter yield curve:
 
 
 
+100 bps shift in short-term rates
0.5

 
0.5

The results of the non-U.S. dollar interest rate scenario involving a steeper yield curve with long-term rates rising by 100 basis points and short-term rates staying at current levels were not material to the Firm’s earnings-at-risk at September 30, 2019 and December 31, 2018.



73

Other sensitivity-based measures
The Firm quantifies the market risk of certain investment and funding activities by assessing the potential impact on net revenue and OCI due to changes in relevant market variables. Refer to the table Predominant business activities
 
that give rise to market risk on page 125 of JPMorgan Chase’s 2018 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 or OCI for market risk-sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported along with the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at September 30, 2019 and December 31, 2018, as the movement in market parameters across maturities may vary and are not intended to imply management’s expectation of future deterioration in these sensitivities.
Gain/(loss) (in millions)
 
 
 
 
 
September 30, 2019

 
December 31, 2018

Activity
 
Description
 
Sensitivity measure
 
 
 
 
 
 
 
 
 
 
 
Investment activities(a)
 
 
 
 
 
 
 
 
Investment management activities
 
Consists of seed capital and related hedges; and fund co-investments
 
10% decline in market value
 
$
(79
)
 
$
(102
)
Other investments
 
Consists of privately held equity and other investments held at fair value
 
10% decline in market value
 
(202
)
 
(218
)
 
 
 
 
 
 
 
 
 
Funding activities
 
 
 
 
 
 
 
 
Non-USD LTD cross-currency basis
 
Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(b)
 
1 basis point parallel tightening of cross currency basis
 
(15
)
 
(13
)
Non-USD LTD hedges foreign currency (“FX”) exposure
 
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(b)
 
10% depreciation of currency
 
7

 
17

Derivatives – funding spread risk
 
Impact of changes in the spread related to derivatives FVA
 
1 basis point parallel increase in spread
 
(5
)
 
(4
)
Fair value option elected liabilities – funding spread risk
 
Impact of changes in the spread related to fair value option elected liabilities DVA(b)
 
1 basis point parallel increase in spread
 
28

 
30

Fair value option elected liabilities – interest rate sensitivity
 
Interest rate sensitivity on fair value option liabilities resulting from a change in the Firm’s own credit spread(b)
 
1 basis point parallel increase in spread
 
1

 
1

(a)
Excludes equity securities without readily determinable fair values that are measured under the measurement alternative. Refer to Note 2 for additional information.
(b)
Impact recognized through OCI.


74

COUNTRY RISK MANAGEMENT
The Firm, through its lines of business and Corporate, may be exposed to country risk resulting from financial, economic, political or other significant developments which adversely affect the value of the Firm’s exposures related to a particular country or set of countries. The Country Risk Management group actively monitors the various portfolios which may be impacted by these developments and measures the extent to which the Firm’s exposures are diversified given the Firm’s strategy and risk tolerance relative to a country.
Refer to pages 132–133 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of the Firm’s country risk management.
The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of September 30, 2019 and their comparative exposures as of December 31, 2018. The selection of countries represents the Firm’s largest total exposures by country, based on the Firm’s internal country risk management approach, and does not represent the Firm’s view of any actual or potentially adverse credit conditions. Country exposures may fluctuate from period to period due to client activity and market flows.
 
Top 20 country exposures (excluding the U.S.)(a)

(in billions)
September 30, 2019
 
December 31, 2018(e)
 
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposure
 
Total exposure
Germany
$
58.1

$
6.2

$
0.4

$
64.7

 
$
62.1

United Kingdom
28.8

10.0

3.7

42.5

 
40.7

Japan
23.3

4.2

0.3

27.8

 
29.1

Switzerland
10.7

1.0

7.6

19.3

 
12.8

France
11.3

4.8

1.5

17.6

 
17.9

China
9.3

6.7

1.4

17.4

 
19.3

Canada
12.0

1.5

—

13.5

 
14.3

India
5.0

4.8

2.8

12.6

 
11.8

Luxembourg
11.6

0.7

—

12.3

 
11.0

Australia
7.1

5.0

—

12.1

 
13.0

Netherlands
6.0

1.2

3.0

10.2

 
5.8

Brazil
4.0

4.9

—

8.9

 
7.3

Singapore
4.3

1.6

2.6

8.5

 
6.8

Saudi Arabia
7.2

0.9

—

8.1

 
5.3

South Korea
4.0

3.6

0.1

7.7

 
7.6

Italy
2.2

4.7

0.1

7.0

 
6.4

Hong Kong
3.4

1.5

1.7

6.6

 
5.4

Spain
3.3

3.3

—

6.6

 
5.1

Mexico
4.2

0.9

—

5.1

 
5.5

Belgium
3.6

0.5

—

4.1

 
2.3

(a)
Top 20 country exposures reflect approximately 87% and 86% of total firmwide non-U.S. exposure, where exposure is attributed to a specific country, at September 30, 2019, and December 31, 2018 respectively.
(b)
Lending and deposits includes loans and accrued interest receivable (net of eligible collateral and the allowance for loan losses), deposits with banks (including central banks), acceptances, other monetary assets, issued letters of credit net of participations, and unused commitments to extend credit. Excludes intra-day and operating exposures, such as those from settlement and clearing activities.
(c)
Includes market-making inventory, AFS securities, and counterparty exposure on derivative and securities financings net of eligible collateral and hedging. Includes exposure from single reference entity (“single-name”), index and other multiple reference entity transactions for which one or more of the underlying reference entities is in a country listed in the above table.
(d)
Predominantly includes physical commodity inventory.
(e)
The country rankings presented in the table as of December 31, 2018, are based on the country rankings of the corresponding exposures at September 30, 2019, not actual rankings of such exposures at December 31, 2018.

75

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 covers the retained consumer and wholesale loan portfolios, as well as the Firm’s wholesale and certain consumer lending-related commitments. The allowance for loan losses is intended to adjust the carrying value of the Firm’s loan assets to reflect probable credit losses inherent in the loan portfolio as of the balance sheet date. Similarly, the allowance for lending-related commitments is established to cover probable credit losses inherent in the lending-related commitments portfolio as of the balance sheet date.
The allowance for credit losses includes a formula-based component, an asset-specific component, and a component related to PCI loans. The determination of each of these components involves significant judgment on a number of matters. Refer to pages 120–122, page 141 and Note 13 of JPMorgan Chase’s 2018 Form 10-K for further information on these components, areas of judgment and methodologies used in establishing the Firm’s allowance for credit losses; and refer to Allowance for credit losses on pages 67–68 and Note 12 of this Form 10-Q.
As noted in the discussion on page 141 of JPMorgan Chase’s 2018 Form 10-K, the Firm’s allowance for credit losses is sensitive to numerous factors, which may differ depending on the portfolio. Changes in economic conditions or in the Firm’s assumptions and estimates could affect its estimate of probable credit losses inherent in the portfolio at the balance sheet date. The Firm uses its best judgment to assess these economic conditions and loss data in estimating the allowance for credit losses and these estimates are subject to periodic refinement based on changes to underlying external or Firm-specific historical data. Refer to Note 12 for further information.
To illustrate the potential magnitude of certain alternate judgments, the Firm estimates that changes in the following inputs would have the following effects on the Firm’s modeled credit loss estimates as of September 30, 2019,
 
without consideration of any offsetting or correlated effects of other inputs in the Firm’s allowance for loan losses:
•
A combined 5% decline in housing prices and a 100 basis point increase in unemployment rates from expectations could imply:
◦
an increase to modeled credit loss estimates of approximately $250 million for PCI loans.
◦
an increase to modeled annual credit loss estimates of approximately $50 million for residential real estate loans, excluding PCI loans.
•
For credit card loans, a 100 basis point increase in unemployment rates from expectations could imply an increase to modeled annual credit loss estimates of approximately $800 million.
•
An increase in probability of default (“PD”) factors consistent with a one-notch downgrade in the Firm’s internal risk ratings for its entire wholesale loan portfolio could imply an increase in the Firm’s modeled credit loss estimates of approximately $1.7 billion.
•
A 100 basis point increase in estimated loss given default (“LGD”) for the Firm’s entire wholesale loan portfolio could imply an increase in the Firm’s modeled credit loss estimates of approximately $175 million.
The purpose of these sensitivity analyses is to provide an indication of the isolated impacts of hypothetical alternative assumptions on modeled loss estimates. The changes in the inputs presented above are not intended to imply management’s expectation of future deterioration of those risk factors. In addition, these analyses are not intended to estimate changes in the overall allowance for loan losses, which would also be influenced by the judgment management applies to the modeled loss estimates to reflect the uncertainty and imprecision of these modeled loss estimates based on then-current circumstances and conditions.
It is difficult to estimate how potential changes in specific factors might affect the overall allowance for credit losses because management considers a variety of factors and inputs in estimating the allowance for credit losses. Changes in these factors and inputs may not occur at the same rate and may not be consistent across all geographies or product types, and changes in factors may be directionally inconsistent, such that improvement in one factor may offset deterioration in other factors. In addition, it is difficult to predict how changes in specific economic conditions or assumptions could affect borrower behavior or other factors considered by management in estimating the allowance for credit losses. Given the process the Firm follows and the judgments made in evaluating the risk factors related to its loss estimates, management believes that its current estimate of the allowance for credit losses is appropriate.

76

Fair value
Assets measured at fair value
The following table includes the Firm’s assets measured at fair value and the portion of such assets that are classified within level 3 of the valuation hierarchy. Refer to Note 2 for further information.
September 30, 2019
(in billions, except ratios)
Total assets at fair value
 
Total level 3 assets
Trading–debt and equity instruments
$
440.2

 
 
$
4.4

Derivative receivables(a)
55.6

 
 
5.6

Trading assets
495.8

 
 
10.0

AFS securities
353.4

 
 
—

Loans
5.8

 
 
—

MSRs
4.4

 
 
4.4

Other
27.8

 
 
0.7

Total assets measured at fair value on a recurring basis
$
887.2

 
 
$
15.1

Total assets measured at fair value on a nonrecurring basis
6.4

 
 
1.0

Total assets measured at fair value
$
893.6

 
 
$
16.1

Total Firm assets
$
2,764.7

 
 
 
Level 3 assets as a percentage of total Firm assets(a)
 
 
 
0.6
%
Level 3 assets as a percentage of total Firm assets at fair value(a)
 
 
 
1.8
%
(a)
For purposes of the table above, the derivative receivables total reflects the impact of netting adjustments; however, the $5.6 billion of derivative receivables classified as level 3 does not reflect the netting adjustment as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
Valuation
Estimating fair value requires the application of judgment. The type and level of judgment required is largely dependent on the amount of observable market information available to the Firm. For instruments valued using internally developed valuation models and other valuation techniques that use significant unobservable inputs and are therefore classified within level 3 of the valuation hierarchy, judgments used to estimate fair value are more significant than those required when estimating the fair value of instruments classified within levels 1 and 2.
In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation technique to use. Second, the lack of observability of certain significant inputs requires management to assess all relevant empirical data in deriving valuation inputs including, for example, transaction details, yield curves, interest rates, prepayment rates, default rates, volatilities, correlations, equity or debt prices, valuations of comparable instruments, foreign exchange rates and credit curves. Refer to Note 2 for a further discussion of the valuation of level 3 instruments, including unobservable inputs used.
 
For instruments classified in levels 2 and 3, management judgment must be applied to assess the appropriate level of valuation adjustments to reflect counterparty credit quality, the Firm’s creditworthiness, market funding rates, liquidity considerations, unobservable parameters, and for portfolios that meet specified criteria, the size of the net open risk position. The judgments made are typically affected by the type of product and its specific contractual terms, and the level of liquidity for the product or within the market as a whole. 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 142 of JPMorgan Chase’s 2018 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 September 30, 2019.
Credit card rewards liability
The credit card rewards liability was $6.3 billion and $5.8 billion at September 30, 2019 and December 31, 2018, respectively, and is recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to page 143 of JPMorgan Chase’s 2018 Form 10-K for a description of the significant assumptions and judgments associated with the Firm’s credit card rewards liability.
Income taxes
Refer to Income taxes on page 143 of JPMorgan Chase’s 2018 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 29 of JPMorgan Chase’s 2018 Form 10-K for a description of the significant estimates and judgments associated with establishing litigation reserves.

77

ACCOUNTING AND REPORTING DEVELOPMENTS
Financial Accounting Standards Board (“FASB”) Standards Adopted January 1, 2019
 
 
 
 
 
Standard
 
Summary of guidance
 
Effects on financial statements
 
 
 
 
 
Leases
Issued February 2016
 
 • Requires lessees to recognize all leases longer than twelve months on the Consolidated balance sheets as a lease liability with a corresponding right-of-use asset.
 • Requires lessees and lessors to classify most leases using principles similar to existing lease accounting, but eliminates the “bright line” classification tests.
 • Expands qualitative and quantitative leasing disclosures.

 
• Adopted January 1, 2019.
•
The Firm elected the available practical expedient to not reassess whether existing contracts contain a lease or whether classification or unamortized initial lease costs would be different under the new lease guidance. The Firm elected the modified retrospective transition method, through a cumulative-effect adjustment to retained earnings without revising prior periods.
 • Refer to Note 16 for further information.
 




FASB Standards Issued but not yet Adopted
 
 
 
 
 
Standard
 
Summary of guidance
 
Effects on financial statements
 
 
 
 
 
Financial instruments – credit losses

Issued June 2016
 
 • Replaces existing incurred loss impairment guidance and establishes a single allowance framework for financial assets carried at amortized cost, which will reflect management’s estimate of credit losses over the full remaining expected life of the financial assets and will consider expected future changes in macroeconomic conditions.
 • Eliminates existing guidance for PCI loans, and requires recognition of the nonaccretable difference as an increase to the allowance for expected credit losses on financial assets purchased with more than insignificant credit deterioration since origination, with a corresponding increase in the recorded investment of the related loans.
 • Requires inclusion of expected recoveries, limited to the cumulative amount of prior write-offs, when estimating the allowance for credit losses for in scope financial assets (including collateral dependent assets).
 • Amends existing impairment guidance for AFS securities to incorporate an allowance, which will allow for reversals of credit impairments in the event that the credit of an issuer improves.
 • Requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption.

 
 • Required effective date: January 1, 2020.(a)
 • The Firm has established a Firmwide, cross-discipline governance structure, which provides implementation oversight. The Firm continues to test and refine its current expected credit loss models that satisfy the requirements of the new standard. Oversight and testing, as well as efforts to meet expanded disclosure requirements, will extend through the remainder of 2019.  
•
The Firm expects that the allowance related to the Firm’s loans and commitments will increase as it will cover credit losses over the full remaining expected life of the portfolios. The Firm currently intends to estimate losses over a two-year forecast period using the weighted-average of a range of macroeconomic scenarios (established on a Firmwide basis), and then revert to longer term historical loss experience to estimate losses over more extended periods.
•
The Firm currently expects the increase in the allowance to be in the range of $4-6 billion, primarily driven by Card. This estimate is subject to further refinement based on continuing reviews and approvals of models, methodologies and judgments. The ultimate impact will depend upon the nature and characteristics of the Firm’s portfolio at the adoption date, the macroeconomic conditions and forecasts at that date, and other management judgments.
•
The Firm plans to adopt the new guidance on January 1, 2020.
Goodwill
Issued January 2017
 
 • Requires an impairment loss to be recognized when the estimated fair value of a reporting unit falls below its carrying value.
 • Eliminates the second condition in the current guidance that requires an impairment loss to be recognized only if the estimated implied fair value of the goodwill is below its carrying value.
 
 • Required effective date: January 1, 2020.(a)
 • Based on current impairment test results, the Firm does not expect a material effect on the Consolidated Financial Statements. However, the impact of the new accounting guidance will depend on the performance of the reporting units and the market conditions at the time of adoption.
 • After adoption, the guidance may result in more frequent goodwill impairment losses due to the removal of the second condition.
 • The Firm plans to adopt the new guidance on January 1, 2020.
(a)
Early adoption is permitted.

78

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:
•
Local, regional and global business, economic and political conditions and geopolitical events;
•
Changes in laws and regulatory requirements, including capital and liquidity requirements affecting the Firm’s businesses, and the ability of the Firm to address those requirements;
•
Heightened regulatory and governmental oversight and scrutiny of JPMorgan Chase’s business practices, including dealings with retail customers;
•
Changes in trade, monetary and fiscal policies and laws;
•
Changes in income tax laws and regulations;
•
Securities and capital markets behavior, including changes in market liquidity and volatility;
•
Changes in investor sentiment or consumer spending or savings behavior;
•
Ability of the Firm to manage effectively its capital and liquidity, including approval of its capital plans by banking regulators;
•
Changes in credit ratings assigned to the Firm or its subsidiaries;
•
Damage to the Firm’s reputation;
•
Ability of the Firm to appropriately address social and environmental concerns that may arise from its business activities;
•
Ability of the Firm to deal effectively with an economic slowdown or other economic or market disruption, including, but not limited to, in the interest rate environment;
 
•
Technology changes instituted by the Firm, its counterparties or competitors;
•
The effectiveness of the Firm’s control agenda;
•
Ability of the Firm to develop or discontinue products and services, and the extent to which products or services previously sold by the Firm (including but not limited to mortgages and asset-backed securities) require the Firm to incur liabilities or absorb losses not contemplated at their initiation or origination;
•
Acceptance of the Firm’s new and existing products and services by the marketplace and the ability of the Firm to innovate and to increase market share;
•
Ability of the Firm to attract and retain qualified employees;
•
Ability of the Firm to control expenses;
•
Competitive pressures;
•
Changes in the credit quality of the Firm’s 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 or conflicts and the Firm’s ability to deal effectively with disruptions caused by the foregoing;
•
Ability of the Firm to maintain the security of its financial, accounting, technology, data processing and other operational systems and facilities;
•
Ability of the Firm to withstand disruptions that may be caused by any failure of its operational systems or those of third parties;
•
Ability of the Firm to effectively defend itself against cyberattacks and other attempts by unauthorized parties to access information of the Firm or its customers or to disrupt the Firm’s systems; and
•
The other risks and uncertainties detailed in Part I,
Item 1A: Risk Factors in JPMorgan Chase’s 2018 Form 10-K.
Any forward-looking statements made by or on behalf of the Firm speak only as of the date they are made, and JPMorgan Chase does not undertake to update any forward-looking statements. The reader should, however, consult any further disclosures of a forward-looking nature the Firm may make in any subsequent Form 10-Ks, Form 10-Qs, or Current Reports on Form 8-K.

79


JPMorgan Chase & Co.
Consolidated statements of income (unaudited)
 
 
Three months ended
September 30,
 
Nine months ended
September 30,
(in millions, except per share data)
 
2019

 
2018

 
2019

 
2018

Revenue
 
 
 
 
 
 
 
 
Investment banking fees
 
$
1,967

 
$
1,832

 
$
5,658

 
$
5,736

Principal transactions
 
3,449

 
2,964

 
11,239

 
10,698

Lending- and deposit-related fees
 
1,626

 
1,542

 
4,643

 
4,514

Asset management, administration and commissions
 
4,351

 
4,310

 
12,818

 
12,923

Investment securities gains/(losses)
 
78

 
(46
)
 
135

 
(371
)
Mortgage fees and related income
 
887

 
262

 
1,562

 
1,051

Card income
 
1,283

 
1,328

 
3,923

 
3,623

Other income
 
1,472

 
1,160

 
4,239

 
4,041

Noninterest revenue
 
15,113

 
13,352

 
44,217

 
42,215

Interest income (a)
 
21,121

 
19,439

 
64,113

 
55,499

Interest expense (a)
 
6,893

 
5,531

 
21,034

 
14,794

Net interest income
 
14,228

 
13,908

 
43,079

 
40,705

Total net revenue
 
29,341

 
27,260

 
87,296

 
82,920

 
 
 
 
 
 
 
 
 
Provision for credit losses
 
1,514

 
948

 
4,158

 
3,323

 
 
 
 
 
 
 
 
 
Noninterest expense
 
 
 
 
 
 
 
 
Compensation expense
 
8,583

 
8,108

 
26,067

 
25,308

Occupancy expense
 
1,110

 
1,014

 
3,238

 
2,883

Technology, communications and equipment expense
 
2,494

 
2,219

 
7,236

 
6,441

Professional and outside services
 
2,056

 
2,086

 
6,307

 
6,333

Marketing
 
945

 
798

 
2,686

 
2,396

Other expense
 
1,234

 
1,398

 
3,624

 
4,313

Total noninterest expense
 
16,422

 
15,623

 
49,158

 
47,674

Income before income tax expense
 
11,405

 
10,689

 
33,980

 
31,923

Income tax expense
 
2,325

 
2,309

 
6,069

 
6,515

Net income
 
$
9,080

 
$
8,380

 
$
27,911

 
$
25,408

Net income applicable to common stockholders
 
$
8,606

 
$
7,948

 
$
26,551

 
$
24,067

Net income per common share data
 
 
 
 
 
 
 
 
Basic earnings per share
 
$
2.69

 
$
2.35

 
$
8.17

 
$
7.04

Diluted earnings per share
 
2.68

 
2.34

 
8.15

 
7.00

 
 
 
 
 
 
 
 
 
Weighted-average basic shares
 
3,198.5

 
3,376.1

 
3,248.7

 
3,416.5

Weighted-average diluted shares
 
3,207.2

 
3,394.3

 
3,258.0

 
3,436.2



(a)
In the second quarter of 2019, the Firm implemented certain presentation changes that impacted interest income and interest expense, but had no effect on net interest income. These changes were applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation. Refer to Note 6 for additional information.

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




80

JPMorgan Chase & Co.
Consolidated statements of comprehensive income (unaudited)
 
 
Three months ended
September 30,
 
Nine months ended
September 30,
(in millions)
 
2019

 
2018

 
2019

 
2018

Net income
 
$
9,080

 
$
8,380

 
$
27,911

 
$
25,408

Other comprehensive income/(loss), after–tax
 
 
 
 
 
 
 
 
Unrealized gains/(losses) on investment securities
 
479

 
(819
)
 
2,986

 
(2,280
)
Translation adjustments, net of hedges
 
(165
)
 
(31
)
 
(90
)
 
84

Fair value hedges
 
(1
)
 
34

 
87

 
(74
)
Cash flow hedges
 
195

 
(88
)
 
430

 
(327
)
Defined benefit pension and OPEB plans
 
46

 
19

 
123

 
78

DVA on fair value option elected liabilities
 
132

 
(402
)
 
(229
)
 
125

Total other comprehensive income/(loss), after–tax
 
686

 
(1,287
)
 
3,307

 
(2,394
)
Comprehensive income
 
$
9,766

 
$
7,093

 
$
31,218

 
$
23,014


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


81

JPMorgan Chase & Co.
Consolidated balance sheets (unaudited)
(in millions, except share data)
September 30, 2019
 
December 31, 2018
Assets
 
 
 
Cash and due from banks
$
21,215

 
$
22,324

Deposits with banks
235,382

 
256,469

Federal funds sold and securities purchased under resale agreements (included $13,705 and $13,235 at fair value)
257,391

 
321,588

Securities borrowed (included $5,784 and $5,105 at fair value)
138,336

 
111,995

Trading assets (included assets pledged of $138,827 and $89,073)
495,875

 
413,714

Investment securities (included $353,421 and $230,394 at fair value and assets pledged of $12,518 and $11,432)
394,251

 
261,828

Loans (included $5,760 and $3,151 at fair value)
945,218

 
984,554

Allowance for loan losses
(13,235
)
 
(13,445
)
Loans, net of allowance for loan losses
931,983

 
971,109

Accrued interest and accounts receivable
88,988

 
73,200

Premises and equipment
25,117

 
14,934

Goodwill, MSRs and other intangible assets
53,078

 
54,349

Other assets (included $8,916 and $9,630 at fair value and assets pledged of $2,834 and $3,457)
123,045

 
121,022

Total assets(a)
$
2,764,661

 
$
2,622,532

Liabilities
 
 
 
Deposits (included $29,355 and $23,217 at fair value)
$
1,525,261

 
$
1,470,666

Federal funds purchased and securities loaned or sold under repurchase agreements (included $933 and $935 at fair value)
247,766

 
182,320

Short-term borrowings (included $6,497 and $7,130 at fair value)
48,893

 
69,276

Trading liabilities
138,343

 
144,773

Accounts payable and other liabilities (included $2,411 and $3,269 at fair value)
225,063

 
196,710

Beneficial interests issued by consolidated VIEs (included $39 and $28 at fair value)
18,515

 
20,241

Long-term debt (included $71,957 and $54,886 at fair value)
296,472

 
282,031

Total liabilities(a)
2,500,313

 
2,366,017

Commitments and contingencies (refer to Notes 22, 23 and 24)


 


Stockholders’ equity
 
 
 
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 2,836,250 and 2,606,750 shares)
28,363

 
26,068

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
88,512

 
89,162

Retained earnings
217,888

 
199,202

Accumulated other comprehensive income/(loss)
1,800

 
(1,507
)
Shares held in restricted stock units (“RSU”) Trust, at cost (472,953 shares)
(21
)
 
(21
)
Treasury stock, at cost (968,448,971 and 829,167,674 shares)
(76,299
)
 
(60,494
)
Total stockholders’ equity
264,348

 
256,515

Total liabilities and stockholders’ equity
$
2,764,661

 
$
2,622,532


(a)
The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at September 30, 2019, and December 31, 2018. 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 discussion.
(in millions)
September 30, 2019
 
December 31, 2018
Assets
 
 
 
Trading assets
$
1,461

 
$
1,966

Loans
53,022

 
59,456

All other assets
974

 
1,013

Total assets
$
55,457

 
$
62,435

Liabilities
 
 
 
Beneficial interests issued by consolidated VIEs
$
18,515

 
$
20,241

All other liabilities
301

 
312

Total liabilities
$
18,816

 
$
20,553
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.

82

JPMorgan Chase & Co.
Consolidated statements of changes in stockholders’ equity (unaudited)
 
 
Three months ended September 30,
 
 
Nine months ended September 30,
 
(in millions, except per share data)
 
2019

 
2018

 
2019

 
2018

Preferred stock
 
 
 
 
 
 
 
 
Balance at the beginning of the period
 
$
26,993

 
$
26,068

 
$
26,068

 
$
26,068

Issuance
 
2,250

 
1,696

 
4,100

 
1,696

Redemption
 
(880
)
 
—

 
(1,805
)
 
—

Balance at September 30
 
28,363

 
27,764

 
28,363

 
27,764

 
 
 
 
 
 
 
 
 
Common stock
 
 
 
 
 
 
 
 
Balance at the beginning and end of the period
 
4,105

 
4,105

 
4,105

 
4,105

 
 
 
 
 
 
 
 
 
Additional paid-in capital
 
 
 
 
 
 
 
 
Balance at the beginning of the period
 
88,359

 
89,392

 
89,162

 
90,579

Shares issued and commitments to issue common stock for employee shared-based compensation awards, and related tax effects
 
156

 
179

 
(604
)
 
(897
)
Other
 
(3
)
 
(238
)
 
(46
)
 
(349
)
Balance at September 30
 
88,512

 
89,333

 
88,512

 
89,333

 
 
 
 
 
 
 
 
 
Retained earnings
 
 
 
 
 
 
 
 
Balance at the beginning of the period
 
212,093

 
189,881

 
199,202

 
177,676

Cumulative effect of changes in accounting principles
 
—

 
—

 
62

 
(183
)
Net income
 
9,080

 
8,380

 
27,911

 
25,408

Dividends declared:
 
 
 
 
 
 
 
 
Preferred stock
 
(423
)
 
(379
)
 
(1,201
)
 
(1,167
)
Common stock ($0.90 and $0.80 per share and $2.50 and $1.92 per share, respectively)
 
(2,862
)
 
(2,702
)
 
(8,086
)
 
(6,554
)
Balance at September 30
 
217,888

 
195,180

 
217,888

 
195,180

 
 
 
 
 
 
 
 
 
Accumulated other comprehensive income/(loss)
 
 
 
 
 
 
 
 
Balance at the beginning of the period
 
1,114

 
(1,138
)
 
(1,507
)
 
(119
)
Cumulative effect of changes in accounting principles
 
—

 
—

 
—

 
88

Other comprehensive income/(loss), after-tax
 
686

 
(1,287
)
 
3,307

 
(2,394
)
Balance at September 30
 
1,800

 
(2,425
)
 
1,800

 
(2,425
)
 
 
 
 
 
 
 
 
 
Shares held in RSU Trust, at cost
 
 
 
 
 
 
 
 
Balance at the beginning and end of the period
 
(21
)
 
(21
)
 
(21
)
 
(21
)
 
 
 
 
 
 
 
 
 
Treasury stock, at cost
 
 
 
 
 
 
 
 
Balance at the beginning of the period
 
(69,428
)
 
(50,829
)
 
(60,494
)
 
(42,595
)
Repurchase
 
(6,949
)
 
(4,416
)
 
(17,250
)
 
(14,055
)
Reissuance
 
78

 
265

 
1,445

 
1,670

Balance at September 30
 
(76,299
)
 
(54,980
)
 
(76,299
)
 
(54,980
)
 
 
 
 
 
 
 
 
 
Total stockholders’ equity
 
$
264,348

 
$
258,956

 
$
264,348

 
$
258,956



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


83

JPMorgan Chase & Co.
Consolidated statements of cash flows (unaudited)
 
Nine months ended September 30,
(in millions)
2019

 
2018

Operating activities
 
 
 
Net income
$
27,911

 
$
25,408

Adjustments to reconcile net income to net cash used in operating activities:
 
 
 
Provision for credit losses
4,158

 
3,323

Depreciation and amortization
6,229

 
5,716

Deferred tax (benefit)/expense
(440
)
 
(323
)
Other
1,645

 
2,179

Originations and purchases of loans held-for-sale
(53,934
)
 
(68,235
)
Proceeds from sales, securitizations and paydowns of loans held-for-sale
60,510

 
68,214

Net change in:
 
 
 
Trading assets
(96,125
)
 
(44,427
)
Securities borrowed
(26,162
)
 
(17,344
)
Accrued interest and accounts receivable
(16,089
)
 
(11,335
)
Other assets
(21,181
)
 
2,909

Trading liabilities
12,774

 
21,580

Accounts payable and other liabilities
19,661

 
26,677

Other operating adjustments
4,004

 
(577
)
Net cash provided by/(used in) operating activities
(77,039
)
 
13,765

Investing activities
 
 
 
Net change in:
 
 
 
Federal funds sold and securities purchased under resale agreements
64,207

 
(19,259
)
Held-to-maturity securities:
 
 
 
Proceeds from paydowns and maturities
2,239

 
2,268

Purchases
(11,682
)
 
(8,613
)
Available-for-sale securities:
 
 
 
Proceeds from paydowns and maturities
41,378

 
29,618

Proceeds from sales
43,460

 
34,322

Purchases
(200,262
)
 
(46,530
)
Proceeds from sales and securitizations of loans held-for-investment
52,739

 
20,154

Other changes in loans, net
(25,977
)
 
(49,755
)
All other investing activities, net
(4,283
)
 
(1,987
)
Net cash (used in) investing activities
(38,181
)
 
(39,782
)
Financing activities
 
 
 
Net change in:
 
 
 
Deposits
77,147

 
15,274

Federal funds purchased and securities loaned or sold under repurchase agreements
65,428

 
22,719

Short-term borrowings
(20,577
)
 
12,974

Beneficial interests issued by consolidated VIEs
5,017

 
975

Proceeds from long-term borrowings
45,155

 
54,842

Payments of long-term borrowings
(51,936
)
 
(69,636
)
Proceeds from issuance of preferred stock
4,100

 
1,655

Redemption of preferred stock
(1,805
)
 
—

Treasury stock repurchased
(17,250
)
 
(14,055
)
Dividends paid
(9,056
)
 
(6,989
)
All other financing activities, net
(217
)
 
(1,440
)
Net cash provided by financing activities
96,006

 
16,319

Effect of exchange rate changes on cash and due from banks and deposits with banks
(2,982
)
 
(2,509
)
Net decrease in cash and due from banks and deposits with banks
(22,196
)
 
(12,207
)
Cash and due from banks and deposits with banks at the beginning of the period
278,793

 
431,304

Cash and due from banks and deposits with banks at the end of the period
$
256,597

 
$
419,097

Cash interest paid
$
20,790

 
$
15,144

Cash income taxes paid, net
3,478

 
2,197



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

84

Refer to the Glossary of Terms and Acronyms on pages 168–172 for definitions of terms and acronyms used throughout the Notes to Consolidated Financial Statements.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited)
Note 1 – Basis of presentation
JPMorgan Chase & Co. (“JPMorgan Chase” or “the Firm”), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the U.S., with operations worldwide. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. Refer to Note 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 presented.
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 2018 Form 10-K.
Certain amounts reported in prior periods have been reclassified to conform with the current presentation.
Consolidation
The Consolidated Financial Statements include the accounts of JPMorgan Chase and other entities in which the Firm has a controlling financial interest. All material intercompany balances and transactions have been eliminated.
Assets held for clients in an agency or fiduciary capacity by the Firm are not assets of JPMorgan Chase and are not included on the Consolidated balance sheets.
The Firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity.
Refer to Notes 1 and 14 of JPMorgan Chase’s 2018 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 2018 Form 10-K for further information on offsetting assets and liabilities.
Income tax expense
The Firm’s effective tax rate was 20.4% and 17.9% in the three and nine months ended September 30, 2019, respectively, and 21.6% and 20.4% in the respective 2018 periods. For the nine months ended September 30, 2019, the effective tax rate reflected the recognition of $1.0 billion in tax benefits related to the resolution of certain tax audits, which reduced the Firm’s effective tax rate by 3.0%. Refer to Note 24 of JPMorgan Chase’s 2018 Form 10-K for further information.
Note 2 – Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 2018 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.


85

The following table presents the assets and liabilities reported at fair value as of September 30, 2019, and December 31, 2018, by major product category and fair value hierarchy.
Assets and liabilities measured at fair value on a recurring basis







Fair value hierarchy

Derivative
netting
adjustments(f)

 
 
 
 
 
 
 
September 30, 2019 (in millions)
Level 1
Level 2

Level 3

Total fair value

Federal funds sold and securities purchased under resale agreements
$
—

$
13,705


$
—


$
—

$
13,705

Securities borrowed
—

5,784


—


—

5,784

Trading assets:












Debt instruments:












Mortgage-backed securities:












U.S. GSEs and government agencies(a)
—

70,617


811


—

71,428

Residential – nonagency
—

2,253


24


—

2,277

Commercial – nonagency
—

1,613


5


—

1,618

Total mortgage-backed securities
—

74,483


840


—

75,323

U.S. Treasury, GSEs and government agencies(a)
76,953

9,446


—


—

86,399

Obligations of U.S. states and municipalities
—

6,229


627


—

6,856

Certificates of deposit, bankers’ acceptances and commercial paper
—

2,180

 
—

 
—

2,180

Non-U.S. government debt securities
38,162

36,634

 
146

 
—

74,942

Corporate debt securities
—

20,461

 
484

 
—

20,945

Loans(b)
—

43,308

 
1,746

 
—

45,054

Asset-backed securities
—

2,996

 
38

 
—

3,034

Total debt instruments
115,115

195,737

 
3,881

 
—

314,733

Equity securities
100,829

249

 
170

 
—

101,248

Physical commodities(c)
7,690

3,075

 
—

 
—

10,765

Other
—

13,172

 
332

 
—

13,504

Total debt and equity instruments(d)
223,634

212,233

 
4,383

 
—

440,250

Derivative receivables:
 
 
 
 
 
 
 
Interest rate
1,312

372,834

 
1,787

 
(347,426
)
28,507

Credit
—

15,072

 
645

 
(14,879
)
838

Foreign exchange
3,681

158,893

 
558

 
(150,451
)
12,681

Equity
—

44,064

 
2,314

 
(38,969
)
7,409

Commodity
—

20,969

 
269

 
(15,096
)
6,142

Total derivative receivables
4,993

611,832

 
5,573

 
(566,821
)
55,577

Total trading assets(e)
228,627

824,065

 
9,956

 
(566,821
)
495,827

Available-for-sale securities:
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. GSEs and government agencies(a)
—

105,581

 
—

 
—

105,581

Residential – nonagency
—

12,901

 
1

 
—

12,902

Commercial – nonagency
—

5,324

 
—

 
—

5,324

Total mortgage-backed securities
—

123,806

 
1

 
—

123,807

U.S. Treasury and government agencies
141,529

—

 
—

 
—

141,529

Obligations of U.S. states and municipalities
—

31,064

 
—

 
—

31,064

Certificates of deposit
—

74

 
—

 
—

74

Non-U.S. government debt securities
13,604

8,554

 
—

 
—

22,158

Corporate debt securities
—

1,634

 
—

 
—

1,634

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
—

27,908

 
—

 
—

27,908

Other
—

5,247

 
—

 
—

5,247

Total available-for-sale securities
155,133

198,287

 
1

 
—

353,421

Loans
—

5,759

 
1

 
—

5,760

Mortgage servicing rights
—

—

 
4,419

 
—

4,419

Other assets(e)
7,467

37

 
746

 
—

8,250

Total assets measured at fair value on a recurring basis
$
391,227

$
1,047,637

 
$
15,123

 
$
(566,821
)
$
887,166

Deposits
$
—

$
25,719

 
$
3,636

 
$
—

$
29,355

Federal funds purchased and securities loaned or sold under repurchase agreements
—

933

 
—

 
—

933

Short-term borrowings
—

4,496

 
2,001

 
—

6,497

Trading liabilities:
 
 
 
 
 
 


Debt and equity instruments(d)
66,515

23,970

 
68

 
—

90,553

Derivative payables:
 
 
 
 
 
 


Interest rate
1,206

335,401

 
2,106

 
(328,490
)
10,223

Credit
—

16,100

 
962

 
(14,903
)
2,159

Foreign exchange
3,583

160,760

 
1,399

 
(150,726
)
15,016

Equity
—

45,109

 
5,782

 
(40,288
)
10,603

Commodity
—

25,495

 
316

 
(16,022
)
9,789

Total derivative payables
4,789

582,865

 
10,565

 
(550,429
)
47,790

Total trading liabilities
71,304

606,835

 
10,633

 
(550,429
)
138,343

Accounts payable and other liabilities
2,355

37

 
19

 
—

2,411

Beneficial interests issued by consolidated VIEs
—

39

 
—

 
—

39

Long-term debt
—

49,608

 
22,349

 
—

71,957

Total liabilities measured at fair value on a recurring basis
$
73,659

$
687,667

 
$
38,638

 
$
(550,429
)
$
249,535



86


Fair value hierarchy

Derivative
netting
adjustments(f)
 

 
 
 
 
 
 
 
 
December 31, 2018 (in millions)
Level 1
Level 2

Level 3

 
Total fair value

Federal funds sold and securities purchased under resale agreements
$
—

$
13,235


$
—


$
—

 
$
13,235

Securities borrowed
—

5,105


—


—

 
5,105

Trading assets:
 
 

 

 
 
 
Debt instruments:
 
 

 

 
 
 
Mortgage-backed securities:
 
 

 

 
 
 
U.S. GSEs and government agencies(a)
—

76,249


549


—

 
76,798

Residential – nonagency
—

1,798


64


—

 
1,862

Commercial – nonagency
—

1,501


11


—

 
1,512

Total mortgage-backed securities
—

79,548


624


—

 
80,172

U.S. Treasury, GSEs and government agencies(a)
51,477

7,702


—


—

 
59,179

Obligations of U.S. states and municipalities
—

7,121


689


—

 
7,810

Certificates of deposit, bankers’ acceptances and commercial paper
—

1,214


—


—

 
1,214

Non-U.S. government debt securities
27,878

27,056


155


—

 
55,089

Corporate debt securities
—

18,655


334


—

 
18,989

Loans(b)
—

40,047


1,706


—

 
41,753

Asset-backed securities
—

2,756


127


—

 
2,883

Total debt instruments
79,355

184,099


3,635


—

 
267,089

Equity securities
71,119

482


232


—

 
71,833

Physical commodities(c)
5,182

1,855


—


—

 
7,037

Other
—

13,192


301


—

 
13,493

Total debt and equity instruments(d)
155,656

199,628


4,168


—

 
359,452

Derivative receivables:
 








 


Interest rate
682

266,380


1,642


(245,490
)
 
23,214

Credit
—

19,235


860


(19,483
)
 
612

Foreign exchange
771

166,238


676


(154,235
)
 
13,450

Equity
—

46,777


2,508


(39,339
)
 
9,946

Commodity
—

20,339


131


(13,479
)
 
6,991

Total derivative receivables
1,453

518,969


5,817


(472,026
)
 
54,213

Total trading assets(e)
157,109

718,597


9,985


(472,026
)
 
413,665

Available-for-sale securities:
 








 


Mortgage-backed securities:
 








 


U.S. GSEs and government agencies(a)
—

68,646


—


—

 
68,646

Residential – nonagency
—

8,519


1


—

 
8,520

Commercial – nonagency
—

6,654


—


—

 
6,654

Total mortgage-backed securities
—

83,819


1


—

 
83,820

U.S. Treasury and government agencies
56,059

—


—


—

 
56,059

Obligations of U.S. states and municipalities
—

37,723


—


—

 
37,723

Certificates of deposit
—

75


—


—

 
75

Non-U.S. government debt securities
15,313

8,789


—


—

 
24,102

Corporate debt securities
—

1,918


—


—

 
1,918

Asset-backed securities:
 








 


Collateralized loan obligations
—

19,437


—


—

 
19,437

Other
—

7,260


—


—

 
7,260

Total available-for-sale securities
71,372

159,021


1


—

 
230,394

Loans
—

3,029


122


—

 
3,151

Mortgage servicing rights
—

—


6,130


—

 
6,130

Other assets(e)
7,810

195


927


—

 
8,932

Total assets measured at fair value on a recurring basis
$
236,291

$
899,182


$
17,165


$
(472,026
)
 
$
680,612

Deposits
$
—

$
19,048


$
4,169


$
—

 
$
23,217

Federal funds purchased and securities loaned or sold under repurchase agreements
—

935


—


—

 
935

Short-term borrowings
—

5,607


1,523


—

 
7,130

Trading liabilities:
 
 

 



 


Debt and equity instruments(d)
80,199

22,755


50


—

 
103,004

Derivative payables:
 
 




 
 
 
Interest rate
1,526

239,576


1,680


(234,998
)
 
7,784

Credit
—

19,309


967


(18,609
)
 
1,667

Foreign exchange
695

163,549


973


(152,432
)
 
12,785

Equity
—

46,462


4,733


(41,034
)
 
10,161

Commodity
—

21,158


1,260


(13,046
)
 
9,372

Total derivative payables
2,221

490,054


9,613


(460,119
)
 
41,769

Total trading liabilities
82,420

512,809


9,663


(460,119
)
 
144,773

Accounts payable and other liabilities
3,063

196


10


—

 
3,269

Beneficial interests issued by consolidated VIEs
—

27


1


—

 
28

Long-term debt
—

35,468


19,418


—

 
54,886

Total liabilities measured at fair value on a recurring basis
$
85,483

$
574,090


$
34,784


$
(460,119
)
 
$
234,238

(a)
At September 30, 2019, and December 31, 2018, included total U.S. GSE obligations of $133.6 billion and $92.3 billion, respectively, which were mortgage-related.
(b)
At September 30, 2019, and December 31, 2018, included within trading loans were $16.1 billion and $13.2 billion, respectively, of residential first-lien mortgages, and $4.2 billion and $2.3 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 $10.3 billion and $7.6 billion, respectively.
(c)
Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities

87

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.
(d)
Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).
(e)
Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At September 30, 2019, and December 31, 2018, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $714 million and $747 million, respectively. Included in these balances at September 30, 2019, and December 31, 2018, were trading assets of $48 million and $49 million, respectively, and other assets of $666 million and $698 million, respectively.
(f)
As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
Level 3 valuations
Refer to Note 2 of JPMorgan Chase’s 2018 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, for certain instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.
The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.
In the Firm’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have
 
similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.
For the Firm’s derivatives and structured notes positions classified within level 3 at September 30, 2019, interest rate correlation inputs used in estimating fair value were concentrated towards the upper end of the range; equity correlation, equity-FX, and equity-IR correlation inputs were concentrated in the middle of the range; commodity correlation inputs were concentrated in the middle of the range; credit correlation inputs were concentrated towards the lower end of the range; and the interest rate-foreign exchange (“IR-FX”) correlation inputs were distributed across the range. In addition, the interest rate spread volatility inputs used in estimating fair value were distributed across the range; equity volatilities and commodity volatilities were concentrated towards the lower end of the range; and forward commodity prices used in estimating the fair value of commodity derivatives were concentrated towards the upper end of the range. Prepayment speed inputs used in estimating the fair value of interest rate derivatives were concentrated towards the lower end of the range. Recovery rate inputs used in estimating the fair value of credit derivatives were distributed across the range; credit spreads and conditional default rates were concentrated towards the lower end of the range; loss severity inputs were concentrated towards the upper end of the range and price inputs were concentrated towards the lower end of the range.


88

Level 3 inputs(a)
 
 
 
 
 
 
September 30, 2019
 
 
 
 
 
 
Product/Instrument
Fair value
(in millions)
 
Principal valuation technique
Unobservable inputs(g)
Range of input values
Weighted average
 
Residential mortgage-backed securities and loans(b)
$
1,132

 
Discounted cash flows
Yield
0
 %
–
19
%
 
5
%
 
 
 
Prepayment speed
0
 %
–
22
%
 
14
%
 
 
 
 
Conditional default rate
0
 %
–
4
%
 
1
%
 
 
 
 
Loss severity
0
 %
–
100
%
 
2
%
Commercial mortgage-backed securities and loans(c)
147

 
Market comparables
Price
$
0

–
$
102

 
$
80

Obligations of U.S. states and municipalities
627

 
Market comparables
Price
$
68

–
$
100

 
$
97

Corporate debt securities
484

 
Market comparables
Price
$
4

–
$
116

 
$
79

Loans(d)
194

 
Discounted cash flows
Yield
5
 %
–
22
%
 
7
%
 
1,115

 
Market comparables
Price
$
12

–
$
101

 
$
78

Asset-backed securities
38

 
Market comparables
Price
$
1

–
$
100

 
$
53

Net interest rate derivatives
(388
)
 
Option pricing
Interest rate spread volatility
20
 bps
–
30
 bps
 
 
 
 
 
Interest rate correlation
(28
)%
–
96
%
 
 
 
 
 
 
IR-FX correlation
53
 %
–
60
%
 
 
 
69

 
Discounted cash flows
Prepayment speed
4
 %
–
30
%
 
 
Net credit derivatives
(353
)
 
Discounted cash flows
Credit correlation
30
 %
–
60
%
 
 
 
 
 
 
Credit spread
4
 bps
–
1,315
 bps
 
 
 
 
 
 
Recovery rate
15
 %
–
70
%
 
 
 
 
 
 
Conditional default rate
2
 %
–
93
%
 
 
 
 
 
 
Loss severity
100%
 
 
 
36

 
Market comparables
Price
$
1

–
$
115

 
 
Net foreign exchange derivatives
(679
)
 
Option pricing
IR-FX correlation
(58
)%
–
60
%
 
 
 
(162
)
 
Discounted cash flows
Prepayment speed
9%
 
 
Net equity derivatives
(3,468
)
 
Option pricing
Equity volatility
11
 %
–
82
%
 
 
 
 
 
 
Equity correlation
10
 %
–
98
%
 
 
 
 
 
 
Equity-FX correlation
(81
)%
–
59
%
 
 
 
 
 
 
Equity-IR correlation
25
 %
–
60
%
 
 
Net commodity derivatives
(47
)
 
Option pricing
Forward commodity price
$
30

–
$ 61 per barrel
 
 
 
 
Commodity volatility
5
 %
–
111
%
 
 
 
 
 
 
Commodity correlation
(48
)%
–
95
%
 
 
MSRs
4,419

 
Discounted cash flows
Refer to Note 14
 
 
Other assets
303

 
Discounted cash flows
Credit spread
45
 bps
 
45
 bps
 
 
 
 
Yield
12%
 
12
%
 
775

 
Market comparables
Price
$
18

–
$
115

 
$
36

Long-term debt, short-term borrowings, and deposits(e)
27,986

 
Option pricing
Interest rate spread volatility
20
 bps
–
30
 bps
 
 
 
 
Interest rate correlation
(28
)%
–
96
%
 
 
 
 
 
IR-FX correlation
(58
)%
–
60
%
 
 
 
 
 
Equity correlation
10
 %
–
98
%
 
 
 
 
 
Equity-FX correlation
(81
)%
–
59
%
 
 
 
 
 
Equity-IR correlation
25
 %
–
60
%
 
 
Other level 3 assets and liabilities, net(f)
229

 
 
 
 
 
 
 
 
(a)
The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ.
(b)
Comprises U.S. GSEs and government agency securities of $811 million, nonagency securities of $24 million and trading loans of $297 million.
(c)
Comprises nonagency securities of $5 million, trading loans of $141 million and non-trading loans of $1 million.
(d)
Comprises trading loans.
(e)
Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.
(f)
Includes level 3 assets and liabilities that are insignificant both individually and in aggregate.
(g)
Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.

89

Changes in and ranges of unobservable inputs
Refer to Note 2 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the Firm’s positions.
Changes in level 3 recurring fair value measurements
The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three and nine months ended September 30, 2019 and 2018. 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.



90

 
Fair value measurements using significant unobservable inputs
 
 
Three months ended
September 30, 2019
(in millions)
Fair value at
July 1,
2019
Total realized/unrealized gains/(losses)
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2019
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(f)
Sales
 
Settlements(g)
Assets:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
617

 
$
(71
)
 
$
424

$
(104
)
 
$
(45
)
$
—

$
(10
)
 
$
811

 
$
(70
)
 
Residential – nonagency
42

 
—

 
2

(3
)
 
—

—

(17
)
 
24

 
(1
)
 
Commercial – nonagency
9

 
—

 
3

(5
)
 
—

—

(2
)
 
5

 
—

 
Total mortgage-backed securities
668

 
(71
)
 
429

(112
)
 
(45
)
—

(29
)
 
840

 
(71
)
 
U.S. Treasury, GSEs and government agencies
—

 
—

 
—

—

 
—

—

—

 
—

 
—

 
Obligations of U.S. states and municipalities
680

 
(2
)
 
27

(77
)
 
(1
)
—

—

 
627

 
(2
)
 
Non-U.S. government debt securities
190

 
(1
)
 
40

(74
)
 
—

3

(12
)
 
146

 
(1
)
 
Corporate debt securities
562

 
45

 
56

(167
)
 
—

17

(29
)
 
484

 
3

 
Loans
1,778

 
(44
)
 
152

(82
)
 
(132
)
211

(137
)
 
1,746

 
(46
)
 
Asset-backed securities
33

 
—

 
11

(2
)
 
(2
)
3

(5
)
 
38

 
(2
)
 
Total debt instruments
3,911

 
(73
)
 
715

(514
)
 
(180
)
234

(212
)
 
3,881

 
(119
)
 
Equity securities
147

 
(14
)
 
10

(10
)
 
—

46

(9
)
 
170

 
(16
)
 
Other
311

 
18

 
35

(15
)
 
(15
)
—

(2
)
 
332

 
23

 
Total trading assets – debt and equity instruments
4,369

 
(69
)
(c) 
760

(539
)
 
(195
)
280

(223
)
 
4,383

 
(112
)
(c) 
Net derivative receivables:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
(544
)
 
88

 
39

(15
)
 
53

10

50

 
(319
)
 
(15
)
 
Credit
(232
)
 
(65
)
 
3

(3
)
 
(23
)
3

—

 
(317
)
 
(68
)
 
Foreign exchange
(193
)
 
(653
)
 
2

(1
)
 
(1
)
6

(1
)
 
(841
)
 
(657
)
 
Equity
(2,560
)
 
(382
)
 
174

(118
)
 
(377
)
(203
)
(2
)
 
(3,468
)
 
(362
)
 
Commodity
(908
)
 
8

 
22

(69
)
 
6

18

876

 
(47
)
 
40

 
Total net derivative receivables
(4,437
)
 
(1,004
)
(c) 
240

(206
)
 
(342
)
(166
)
923

 
(4,992
)
 
(1,062
)
(c) 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
—

 
—

 
1

—

 
—

—

—

 
1

 
—

 
Asset-backed securities
—

 
—

 
—

—

 
—

—

—

 
—

 
—

 
Total available-for-sale securities
—

 
—


1

—

 
—

—

—

 
1

 
—


Loans
5

 
—


—

—

 
(4
)
—

—

 
1

 
—


Mortgage servicing rights
5,093

 
(447
)
(d) 
388

(359
)
 
(256
)
—

—

 
4,419

 
(447
)
(d) 
Other assets
861

 
(56
)
(c) 
19

(72
)
 
(6
)
—

—

 
746

 
(56
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Three months ended
September 30, 2019
(in millions)
Fair value at
July 1, 2019
Total realized/unrealized (gains)/losses
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2019
Change in unrealized (gains)/
losses related
to financial instruments held at September 30, 2019
Purchases
Sales
Issuances
Settlements(g)
Liabilities:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
4,066

 
$
—


$
—

$
—

$
153

$
(188
)
$
12

$
(407
)
 
$
3,636

 
$
16

(c)(e) 
Short-term borrowings
2,052

 
24

(c)(e) 
—

—

949

(1,040
)
17

(1
)
 
2,001

 
28

(c)(e) 
Trading liabilities – debt and equity instruments
45

 
—


(5
)
25

—

1

2

—

 
68

 
—


Accounts payable and other liabilities
92

 
(6
)
(c) 
(71
)
4

—

—

—

—

 
19

 
(2
)
(c) 
Beneficial interests issued by consolidated VIEs
—

 
—


—

—

—

—

—

—

 
—

 
—


Long-term debt
21,863

 
187

(c)(e) 
—

—

2,230

(1,758
)
49

(222
)
 
22,349

 
89

(c)(e) 

91


Fair value measurements using significant unobservable inputs

 
Three months ended
September 30, 2018
(in millions)
Fair value at
July 1,
2018
 
Total realized/unrealized gains/(losses)



 


Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2018
Purchases(f)
Sales

 
Settlements(g)
 
Assets:(a)

 





 



 









Trading assets:

 





 



 









Debt instruments:

 





 



 









Mortgage-backed securities:

 





 



 









U.S. GSEs and government agencies
$
478

 
$
2


$
14

$
(28
)

 
$
(17
)

$
83

$
(3
)

$
529


$
—


Residential – nonagency
87

 
1


—

(6
)

 
(3
)

18

(20
)

77


1


Commercial – nonagency
18

 
(1
)

—

—


 



9

(13
)

13


(1
)

Total mortgage-backed securities
583

 
2


14

(34
)

 
(20
)

110

(36
)

619


—


U.S. Treasury, GSEs and government agencies
—

 
—

 
—

—

 
 
—

 
—

—

 
—

 
—

 
Obligations of U.S. states and municipalities
736

 
8


26

(70
)

 
(1
)

—

—


699


7


Non-U.S. government debt securities
183

 
(9
)

44

(29
)

 
(2
)

1

(24
)

164


(9
)

Corporate debt securities
274

 
(2
)

156

(87
)

 
(4
)

82

(24
)

395


(3
)

Loans
1,986

 
17


188

(146
)

 
(199
)

48

(361
)

1,533


3


Asset-backed securities
87

 
6


5

(7
)

 
(13
)

5

(7
)

76


3


Total debt instruments
3,849

 
22


433

(373
)

 
(239
)

246

(452
)

3,486


1


Equity securities
288

 
20


6

(48
)

 



82

(19
)

329


(18
)

Other
406

 
30


13

—


 
(37
)

2

(1
)

413


10


Total trading assets – debt and equity instruments
4,543

 
72

(c) 
452

(421
)

 
(276
)

330

(472
)

4,228


(7
)
(c) 
Net derivative receivables:(b)


 








 



 









Interest rate
489

 
236


28

(22
)

 
(101
)

68

(7
)

691


216


Credit
(24
)
 
(19
)

1

—


 
47


6

16


27


(15
)

Foreign exchange
(245
)
 
(56
)

29

(7
)

 
(49
)

(2
)
28


(302
)

(54
)

Equity
(2,578
)
 
(94
)

643

(635
)

 
622


(251
)
16


(2,277
)

(121
)

Commodity
(752
)
 
318


—

—


 
(113
)

15

7


(525
)

138


Total net derivative receivables
(3,110
)
 
385

(c) 
701

(664
)

 
406


(164
)
60


(2,386
)

164

(c) 
Available-for-sale securities:
 
 
 

 
 

 
 

 
 

 

 

Mortgage-backed securities
1

 
—


—

—


 
—


—

—


1


—


Asset-backed securities
147

 
—


—

—


 
(86
)

—

—


61


—


Total available-for-sale securities
148

 
—


—

—


 
(86
)

—

—


62


—


Loans
159

 
(1
)
(c) 
1

—


 
(19
)

—

—


140


(1
)
(c) 
Mortgage servicing rights
6,241

 
98

(d) 
291

(2
)

 
(195
)

—

—


6,433


98

(d) 
Other assets
1,225

 
(160
)
(c) 
2

—

 
 
(7
)
 
3

—

 
1,063

 
(160
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Fair value measurements using significant unobservable inputs


Three months ended
September 30, 2018
(in millions)
Fair value at
July 1,
2018
 
Total realized/unrealized (gains)/losses



 

 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2018
Purchases
Sales
Issuances
Settlements(g)

Liabilities:(a)

 





 


 
 








Deposits
$
4,305

 
$
(84
)
(c)(e) 
$
—

$
—

$
517

 
$
(170
)

$
1

$
(129
)

$
4,440


$
(82
)
(c)(e) 
Short-term borrowings
2,209

 
(47
)
(c)(e) 
—

—

713

 
(885
)

6

(25
)

1,971


(31
)
(c)(e) 
Trading liabilities – debt and equity instruments
43

 
36

(c) 
(6
)
19

—

 
(2
)

7

(1
)

96


36

(c) 
Accounts payable and other liabilities
8

 
1

(c) 
—

—

—

 
—


3

—


12


1

(c) 
Beneficial interests issued by consolidated VIEs
1

 
—


—

—

—

 
—


—

—


1


—


Long-term debt
17,632

(i) 
194

(c)(e) 
—

—

3,551

 
(1,809
)

59

(219
)

19,408

(i) 
192

(c)(e) 


92

 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2019
(in millions)
Fair value at
January 1,
2019
Total realized/unrealized gains/(losses)
 
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2019
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(f)
Sales
 
 
Settlements(g)
 
Assets:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
549

 
$
(111
)
 
$
747

$
(272
)
 
 
$
(83
)
 
$
1

$
(20
)
 
$
811

 
$
(116
)
 
Residential – nonagency
64

 
25

 
83

(86
)
 
 
(20
)
 
15

(57
)
 
24

 
(1
)
 
Commercial – nonagency
11

 
2

 
19

(24
)
 
 
(14
)
 
15

(4
)
 
5

 
1

 
Total mortgage-backed securities
624

 
(84
)
 
849

(382
)
 
 
(117
)
 
31

(81
)
 
840

 
(116
)
 
U.S. Treasury, GSEs and government agencies
—

 
—

 
—

—

 
 
—

 
—

—

 
—

 
—

 
Obligations of U.S. states and municipalities
689

 
12

 
85

(152
)
 
 
(7
)
 
—

—

 
627

 
13

 
Non-U.S. government debt securities
155

 
(2
)
 
228

(231
)
 
 
—

 
14

(18
)
 
146

 
3

 
Corporate debt securities
334

 
74

 
340

(236
)
 
 
(53
)
 
96

(71
)
 
484

 
15

 
Loans
1,706

 
95

 
609

(416
)
 
 
(408
)
 
509

(349
)
 
1,746

 
44

 
Asset-backed securities
127

 
—

 
30

(81
)
 
 
(39
)
 
23

(22
)
 
38

 
(3
)
 
Total debt instruments
3,635

 
95

 
2,141

(1,498
)
 
 
(624
)
 
673

(541
)
 
3,881

 
(44
)
 
Equity securities
232

 
(28
)
 
33

(92
)
 
 
(22
)
 
142

(95
)
 
170

 
(21
)
 
Other
301

 
42

 
50

(16
)
 
 
(41
)
 
1

(5
)
 
332

 
55

 
Total trading assets – debt and equity instruments
4,168

 
109

(c) 
2,224

(1,606
)
 
 
(687
)
 
816

(641
)
 
4,383

 
(10
)
(c) 
Net derivative receivables:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
(38
)
 
(575
)
 
86

(102
)
(i) 
 
174

(i) 
22

114

 
(319
)
 
(694
)
 
Credit
(107
)
 
(209
)
 
16

(5
)
 
 
(13
)
 
7

(6
)
 
(317
)
 
(169
)
 
Foreign exchange
(297
)
 
(840
)
 
13

(18
)
 
 
294

 
(19
)
26

 
(841
)
 
(815
)
 
Equity
(2,225
)
 
328

 
335

(573
)
 
 
(1,062
)
 
(418
)
147

 
(3,468
)
 
(1,193
)
 
Commodity
(1,129
)
 
370

 
32

(240
)
 
 
51

 
2

867

 
(47
)
 
634

 
Total net derivative receivables
(3,796
)
 
(926
)
(c) 
482

(938
)
 
 
(556
)
 
(406
)
1,148

 
(4,992
)
 
(2,237
)
(c) 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
1

 
—

 
1

—

 
 
(1
)
 
—

—

 
1

 
—

 
Asset-backed securities
—

 
—

 
—

—

 
 
—

 
—

—

 
—

 
—

 
Total available-for-sale securities
1

 
—

 
1

—

 
 
(1
)
 
—

—

 
1

 
—

 
Loans
122

 
4

(c) 
—

—

 
 
(125
)
 
—

—

 
1

 
—

 
Mortgage servicing rights
6,130

 
(1,572
)
(d) 
1,250

(687
)
 
 
(702
)
 
—

—

 
4,419

 
(1,572
)
(d) 
Other assets
927

 
(152
)
(c) 
170

(160
)
 
 
(33
)
 
1

(7
)
 
746

 
(145
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2019
(in millions)
Fair value at
January 1, 2019
Total realized/unrealized (gains)/losses
 
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2019
Change in unrealized (gains)/
losses related
to financial instruments held at September 30, 2019
Purchases
Sales
 
Issuances
Settlements(g)
 
Liabilities:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
4,169

 
$
241

(c)(e) 
$
—

$
—

 
$
580

$
(504
)
 
$
12

$
(862
)
 
$
3,636

 
$
250

(c)(e) 
Short-term borrowings
1,523

 
142

(c)(e) 
—

—

 
2,637

(2,265
)
 
85

(121
)
 
2,001

 
74

(c)(e) 
Trading liabilities – debt and equity instruments
50

 
—

 
(12
)
41

 
—

1

 
9

(21
)
 
68

 
(1
)
(c) 
Accounts payable and other liabilities
10

 
(7
)
(c) 
(79
)
94

 
—

—

 
1

—

 
19

 
4

(c) 
Beneficial interests issued by consolidated VIEs
1

 
(1
)
(c) 
—

—

 
—

—

 
—

—

 
—

 
—

 
Long-term debt
19,418

 
1,915

(c)(e) 
—

—

 
6,929

(5,675
)
 
522

(760
)
 
22,349

 
2,010

(c)(e) 


93

 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2018
(in millions)
Fair value at
January 1,
2018
Total realized/unrealized gains/(losses)
 
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2018
Purchases(f)
Sales
 
 
Settlements(g)
 
Assets:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
307

$
5

 
$
348

$
(126
)
 
 
$
(56
)
 
$
92

$
(41
)
 
$
529

 
$
3

 
Residential – nonagency
60

1

 
45

(19
)
 
 
(6
)
 
58

(62
)
 
77

 
4

 
Commercial – nonagency
11

2

 
7

(8
)
 
 
(13
)
 
30

(16
)
 
13

 
(1
)
 
Total mortgage-backed securities
378

8

 
400

(153
)
 
 
(75
)
 
180

(119
)
 
619

 
6

 
U.S. Treasury, GSEs and government agencies
1

—

 
—

—

 
 
—

 
—

(1
)
 
—

 
—

 
Obligations of U.S. states and municipalities
744

(3
)
 
107

(70
)
 
 
(79
)
 
—

—

 
699

 
(3
)
 
Non-U.S. government debt securities
78

(19
)
 
395

(213
)
 
 
(2
)
 
18

(93
)
 
164

 
(18
)
 
Corporate debt securities
312

(6
)
 
297

(227
)
 
 
(15
)
 
249

(215
)
 
395

 
(1
)
 
Loans
2,719

58

 
1,223

(1,680
)
 
 
(528
)
 
422

(681
)
 
1,533

 
(22
)
 
Asset-backed securities
153

15

 
64

(29
)
 
 
(53
)
 
18

(92
)
 
76

 
8

 
Total debt instruments
4,385

53

 
2,486

(2,372
)
 
 
(752
)
 
887

(1,201
)
 
3,486

 
(30
)
 
Equity securities
295

(1
)
 
99

(108
)
 
 
(1
)
 
86

(41
)
 
329

 
11

 
Other
690

(209
)
 
47

(40
)
 
 
(75
)
 
3

(3
)
 
413

 
(250
)
 
Total trading assets – debt and equity instruments
5,370

(157
)
(c) 
2,632

(2,520
)
 
 
(828
)
 
976

(1,245
)
 
4,228

 
(269
)
(c) 
Net derivative receivables:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
264

576

 
83

(77
)
 
 
(234
)
 
40

39

 
691

 
498

 
Credit
(35
)
19

 
3

(7
)
 
 
22

 
5

20

 
27

 
7

 
Foreign exchange
(396
)
184

 
42

(15
)
 
 
(46
)
 
(114
)
43

 
(302
)
 
42

 
Equity
(3,409
)
688

 
1,467

(1,919
)
 
 
1,043

 
(324
)
177

 
(2,277
)
 
31

 
Commodity
(674
)
468

 
—

—

 
 
(287
)
 
7

(39
)
 
(525
)
 
158

 
Total net derivative receivables
(4,250
)
1,935

(c) 
1,595

(2,018
)
 
 
498

 
(386
)
240

 
(2,386
)
 
736

(c) 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
1

—

 
—

—

 
 
—

 
—

—

 
1

 
—

 
Asset-backed securities
276

1

 
—

—

 
 
(216
)
 
—

—

 
61

 
1

 
Total available-for-sale securities
277

1

(j) 
—

—

 
 
(216
)
 
—

—

 
62

 
1

(j) 
Loans
276

(5
)
(c) 
123

—

 
 
(180
)
 
—

(74
)
 
140

 
(5
)
(c) 
Mortgage servicing rights
6,030

576

(d) 
770

(401
)
 
 
(542
)
 
—

—

 
6,433

 
576

(d) 
Other assets
1,265

(210
)
(c) 
49

(16
)
 
 
(28
)
 
4

(1
)
 
1,063

 
(217
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2018
(in millions)
Fair value at
January 1,
2018
Total realized/unrealized (gains)/losses
 
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2018
Purchases
Sales
Issuances
Settlements(g)
 
Liabilities:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
4,142

$
(125
)
(c)(e) 
$
—

$
—

$
1,272

 
$
(425
)
 
$
2

$
(426
)
 
$
4,440

 
$
(115
)
(c)(e) 
Short-term borrowings
1,665

(229
)
(c)(e) 
—

—

2,783

 
(2,245
)
 
61

(64
)
 
1,971

 
26

(c)(e) 
Trading liabilities – debt and equity instruments
39

28

(c) 
(68
)
95

—

 
(1
)
 
9

(6
)
 
96

 
11

(c) 
Accounts payable and other liabilities
13

—

 
(6
)
1

—

 
—

 
4

—

 
12

 
—

 
Beneficial interests issued by consolidated VIEs
39

—

 
—

—

—

 
(38
)
 
—

—

 
1

 
—

 
Long-term debt
16,125

(396
)
(c)(e) 
—

—

9,792

(i) 
(6,195
)
(i) 
653

(571
)
 
19,408

(i) 
(576
)
(c)(e) 

94

(a)
Level 3 assets as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 2% and 3% at September 30, 2019 and December 31, 2018, respectively. Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 15% at both September 30, 2019 and December 31, 2018, 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 they were not material for the three and nine months ended September 30, 2019 and 2018, respectively. Unrealized (gains)/losses are reported in OCI, and they were $(62) million and $123 million for the three months ended September 30, 2019 and 2018, respectively and $108 million for the nine months ended September 30, 2019 and were not material for the nine months ended September 30, 2018.
(f)
Loan originations are included in purchases.
(g)
Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations associated with beneficial interests in VIEs and other items.
(h)
All transfers into and/or out of level 3 are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
(i)
The prior period amounts have been revised to conform with the current period presentation.
(j)
Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities gains/(losses). Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) recorded in income on AFS securities for the three and nine months ended September 30, 2019 and 2018, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero for both the three months ended September 30, 2019 and 2018, respectively and zero and $1 million for the nine months ended September 30, 2019 and 2018, respectively.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets, including assets measured at fair value on a nonrecurring basis, were 0.6% of total Firm assets at September 30, 2019. The following describes significant changes to level 3 assets since December 31, 2018, 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 97 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and nine months ended September 30, 2019
Level 3 assets were $15.1 billion at September 30, 2019, reflecting a decrease of $1.4 billion and $2.0 billion from June 30, 2019 and December 31, 2018, respectively.
The decrease for the three months ended September 30, 2019 was predominantly driven by a reduction of $674 million in MSRs and a reduction of $619 million in gross equity derivative receivables due to settlements.
The decrease for the nine months ended September 30, 2019 was predominantly driven by a reduction of approximately $1.7 billion in MSRs. Refer to the Gains and losses section below for additional information.
Transfers between levels for instruments carried at fair value on a recurring basis
For both the three and nine months ended September 30, 2019, there were no individually significant transfers from level 2 to level 3.
For the three and nine months ended September 30, 2019, individually significant transfers from level 3 to level 2 included $906 million and $927 million, respectively of gross commodities derivative payables as a result of an increase in observability.
For the three months ended September 30, 2018, there were no individually significant transfers from level 2 to level 3.
 
For the nine months ended September 30, 2018, significant transfers from level 2 to level 3 included the following:
•
$1.0 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
For the three months ended September 30, 2018, there were no individually significant transfers from level 3 to level 2.
For the nine months ended September 30, 2018, significant transfers from level 3 to level 2 included the following:
•
$1.2 billion of total debt and equity instruments, the majority of which were trading loans, driven by an increase in observability.
•
$1.0 billion of gross equity derivative receivables and $1.2 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
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 90–95 for further information on these instruments.

95

Three months ended September 30, 2019
•
$1.6 billion of net losses on assets, predominantly driven by net derivative receivables due to market movements and MSRs largely reflecting faster prepayment speeds on lower rates. Refer to Note 14 for information on MSRs.
•
$205 million of net losses on liabilities, none of which were individually significant.
Three months ended September 30, 2018
•
$394 million of net gains on assets and $100 million of net gains on liabilities, none of which were individually significant.
Nine months ended September 30, 2019
•
$2.5 billion of net losses on assets, driven by net derivative receivables due to market movements and MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 14 for information on MSRs.
•
$2.3 billion of net losses on liabilities, predominantly driven by market movements in long-term debt.
Nine months ended September 30, 2018
•
$2.1 billion of net gains on assets predominantly driven by market movements in derivative receivables.
•
$722 million of net gains on liabilities, none of which were individually significant.
Credit and funding adjustments — derivatives
The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Credit and funding adjustments:
 
 
 
 
 
 
 
Derivatives CVA
$
55

 
$
66

 
$
71

 
$
223

Derivatives FVA
(83
)
 
88

 
(20
)
 
102


Refer to Note 2 of JPMorgan Chase’s 2018 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.

96

Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets held as of September 30, 2019 and 2018, respectively, for which a nonrecurring fair value adjustment was recorded during the nine months ended September 30, 2019 and 2018, respectively, by major product category and fair value hierarchy.
 
Fair value hierarchy
 
Total fair value
September 30, 2019 (in millions)
Level 1

Level 2

 
Level 3

 
Loans
$
—

$
5,338

(b) 
$
246

(c) 
$
5,584

Other assets(a)
—

18

 
775

 
793

Total assets measured at fair value on a nonrecurring basis
$
—

$
5,356

 
$
1,021

 
$
6,377

 
Fair value hierarchy
 
Total fair value
September 30, 2018 (in millions)
Level 1

Level 2

 
Level 3

 
Loans
$
—

$
492

 
$
243

 
$
735

Other assets
—

216

 
826

 
1,042

Total assets measured at fair value on a nonrecurring basis
$
—

$
708

 
$
1,069

 
$
1,777

(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 $775 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2019, $638 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.
(b)
Primarily includes certain mortgage loans that were reclassified to held-for-sale.
(c)
Of the $246 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2019, $200 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 14% to 49% with a weighted average of 29%.
There were no material liabilities measured at fair value on a nonrecurring basis at September 30, 2019 and 2018.
Nonrecurring fair value changes
The following table presents the total change in value of assets for which a fair value adjustment has been recognized for the three and nine months ended September 30, 2019 and 2018, related to assets held at those dates.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Loans
$
(142
)
(b) 
$
(22
)
 
$
(232
)
(b) 
$
(36
)
Other assets(a)
23

  
(117
)
 
123

 
383

Total nonrecurring fair value gains/(losses)
$
(119
)
 
$
(139
)
 
$
(109
)
 
$
347

(a)
Included $34 million and $(113) million for the three months ended September 30, 2019 and 2018, respectively and $132 million and $384 million for the nine months ended September 30, 2019 and 2018, respectively, of net gains as a result of the measurement alternative.
(b)
Primarily includes the impact of certain mortgage loans that were reclassified to held-for-sale.
 
Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information about the measurement of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance).


97

Equity securities without readily determinable fair values
The Firm measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in earnings.
In its determination of the new carrying values upon observable price changes, the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with the Firm’s valuation techniques for private equity direct investments.
The following table presents the carrying value of equity securities without readily determinable fair values still held as of September 30, 2019 and 2018, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.
 
Three months ended
 
Nine months ended
 
September 30,
 
September 30,
As of or for the period ended,
 
 
 
 
 
 
 
(in millions)
2019
 
2018
 
2019
 
2018
Other assets
 
 
 
 
 
 
 
Carrying value(a)
$
2,771

 
$
1,801

 
$
2,771

 
$
1,801

Upward carrying value changes(b)
34

 
14

 
169

 
540

Downward carrying value changes/impairment(c)
—

 
(127
)
 
(37
)
 
(156
)
(a)
The carrying value as of December 31, 2018 was $1.5 billion.
(b)
The cumulative upward carrying value changes between January 1, 2018 and September 30, 2019 were $479 million.
(c)
The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 2019 were $(197) million.
Included in other assets above is the Firm’s interest in approximately 40 million Visa Class B shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be convertible into Visa Class A shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B shares into Visa Class A shares is 1.6228 at September 30, 2019, and may be adjusted by Visa depending on developments related to the litigation matters.

98

Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value
The following table presents by fair value hierarchy classification the carrying values and estimated fair values at September 30, 2019, and December 31, 2018, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.
 
September 30, 2019
 
December 31, 2018
 
 
Estimated fair value hierarchy
 
 
 
Estimated fair value hierarchy
 
(in billions)
Carrying
value
Level 1
Level 2
Level 3
Total estimated
fair value
 
Carrying
value
Level 1
Level 2
Level 3
Total estimated
fair value
Financial assets
 
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
21.2

$
21.2

$
—

$
—

$
21.2

 
$
22.3

$
22.3

$
—

$
—

$
22.3

Deposits with banks
235.4

235.4

—

—

235.4

 
256.5

256.5

—

—

256.5

Accrued interest and accounts receivable
87.9

—

87.9

—

87.9

 
72.0

—

71.9

0.1

72.0

Federal funds sold and securities purchased under resale agreements
243.7

—

243.7

—

243.7

 
308.4

—

308.4

—

308.4

Securities borrowed
132.6

—

132.6

—

132.6

 
106.9

—

106.9

—

106.9

Investment securities, held-to-maturity
40.8

—

42.4

—

42.4

 
31.4

—

31.5

—

31.5

Loans, net of allowance for loan losses(a)
926.2

—

218.9

720.7

939.6

 
968.0

—

241.5

728.5

970.0

Other
60.6

—

59.8

0.9

60.7

 
60.5

—

59.6

1.0

60.6

Financial liabilities
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
1,495.9

$
—

$
1,496.3

$
—

$
1,496.3

 
$
1,447.4

$
—

$
1,447.5

$
—

$
1,447.5

Federal funds purchased and securities loaned or sold under repurchase agreements
246.8

—

246.8

—

246.8

 
181.4

—

181.4

—

181.4

Short-term borrowings
42.4

—

42.4

—

42.4

 
62.1

—

62.1

—

62.1

Accounts payable and other liabilities
181.5

0.7

177.0

3.4

181.1

 
160.6

0.2

157.0

3.0

160.2

Beneficial interests issued by consolidated VIEs
18.5

—

18.5

—

18.5

 
20.2

—

20.2

—

20.2

Long-term debt and junior subordinated deferrable interest debentures
224.3

—

223.5

3.4

226.9

 
227.1

—

224.6

3.3

227.9

(a)
Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses.
The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.
 
September 30, 2019
 
December 31, 2018
 
 
Estimated fair value hierarchy
 
 
 
Estimated fair value hierarchy
 
(in billions)
Carrying value(a)
Level 1
Level 2
Level 3
Total estimated fair value
 
Carrying value(a)
Level 1
Level 2
Level 3
Total estimated fair value(b)
Wholesale lending-related commitments
$
1.1

$
—

$
—

$
1.9

$
1.9

 
$
1.0

$
—

$
—

$
1.9

$
1.9

(a)
Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.
(b)
The prior period amounts have been revised to conform with the current period presentation.
The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to page 161 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of the valuation of lending-related commitments.

99

Note 3 – Fair value option
Refer to Note 3 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the primary financial instruments for which the fair value option was elected, including the basis for those elections and the determination of instrument-specific credit risk, where relevant.
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 months ended September 30, 2019 and 2018, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.
 
Three months ended September 30,
 
2019
 
2018
(in millions)
Principal transactions
 
All other income
Total changes in fair
value recorded (e)
 
Principal transactions
 
All other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreements
$
(23
)
 
$
—

 
$
(23
)
 
 
$
(23
)
 
$
—

 
$
(23
)
Securities borrowed
99

 
—

 
99

 
 
(24
)
 
—

 
(24
)
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
546

 
—

 
546

 
 
(45
)
 
5

(c) 
(40
)
Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
111

 
(4
)
(c) 
107

 
 
122

 
1

(c) 
123

Other changes in fair value
74

 
320

(c) 
394

 
 
(6
)
 
49

(c) 
43

Loans:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(4
)
 
—

 
(4
)
 
 
(1
)
 
—

 
(1
)
Other changes in fair value
—

 
—

 
—

 
 
1

 
—

 
1

Other assets
(6
)
 
—

 
(6
)
 
 
2

 
16

(d) 
18

Deposits(a)
(397
)
 
—

 
(397
)
 
 
32

 
—

 
32

Federal funds purchased and securities loaned or sold under repurchase agreements
2

 
—

 
2

 
 
8

 
—

 
8

Short-term borrowings(a)
173

 
—

 
173

 
 
(25
)
 
—

 
(25
)
Trading liabilities
—

 
—

 
—

 
 
2

 
—

 
2

Other liabilities
1

 
—

 
1

 
 
—

 
—

 
—

Long-term debt(a)(b)
(614
)
 
—

 
(614
)
 
 
259

 
—

 
259



























100

 
Nine months ended September 30,
 
2019
 
2018
(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
$
10

 
$
—

 
$
10

 
 
$
(49
)
 
$
—

 
$
(49
)
Securities borrowed
179

 
—

 
179

 
 
(22
)
 
—

 
(22
)
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
2,104

 
—

 
2,104

 
 
(490
)
 
6

(c) 
(484
)
Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
558

 
1

(c) 
559

 
 
458

 
5

(c) 
463

Other changes in fair value
274

 
885

(c) 
1,159

 
 
64

 
24

(c) 
88

Loans:
 
 
 
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(12
)
 
—

 
(12
)
 
 
(2
)
 
—

 
(2
)
Other changes in fair value
1

 
—

 
1

 
 
(1
)
 
—

 
(1
)
Other assets
(3
)
 
3

(d) 
—

 
 
4

 
6

(d) 
10

Deposits(a)
(1,589
)
 
—

 
(1,589
)
 
 
371

 
—

 
371

Federal funds purchased and securities loaned or sold under repurchase agreements
(18
)
 
—

 
(18
)
 
 
27

 
—

 
27

Short-term borrowings(a)
(601
)
 
—

 
(601
)
 
 
86

 
—

 
86

Trading liabilities
5

 
—

 
5

 
 
1

 
—

 
1

Other liabilities
(7
)
 
—

 
(7
)
 
 
—

 
—

 
—

Long-term debt(a)(b)
(5,220
)
 
—

 
(5,220
)
 
 
1,486

 
—

 
1,486

(a)
Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were not material for the three and nine months ended September 30, 2019 and 2018, respectively.
(b)
Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.
(c)
Reported in mortgage fees and related income.
(d)
Reported in other income.
(e)
Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. Refer to Note 6 for further information regarding interest income and interest expense.



101

Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of September 30, 2019, and December 31, 2018, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
 
September 30, 2019
 
December 31, 2018
(in millions)
Contractual principal outstanding

Fair value
Fair value over/(under) contractual principal outstanding
 
Contractual principal outstanding
 
Fair value
Fair value over/(under) contractual principal outstanding
Loans(a)







 
 
 
 
 
Nonaccrual loans







 
 
 
 
 
Loans reported as trading assets
$
3,884


$
1,151

$
(2,733
)
 
$
4,240

 
$
1,350

$
(2,890
)
Loans
181


151

(30
)
 
39

 
—

(39
)
Subtotal
4,065


1,302

(2,763
)
 
4,279

 
1,350

(2,929
)
All other performing loans







 
 
 
 
 
Loans reported as trading assets
45,315


43,903

(1,412
)
 
42,215

 
40,403

(1,812
)
Loans
5,686


5,609

(77
)
 
3,186

 
3,151

(35
)
Total loans
$
55,066


$
50,814

$
(4,252
)
 
$
49,680

 
$
44,904

$
(4,776
)
Long-term debt







 
 
 
 
 
Principal-protected debt
$
40,750

(c) 
$
37,635

$
(3,115
)
 
$
32,674

(c) 
$
28,718

$
(3,956
)
Nonprincipal-protected debt(b)
NA


34,322

NA

 
NA

 
26,168

NA

Total long-term debt
NA


$
71,957

NA

 
NA

 
$
54,886

NA

Long-term beneficial interests
 
 
 
 
 
 
 
 
 
Nonprincipal-protected debt(b)
NA


$
39

NA

 
NA

 
$
28

NA

Total long-term beneficial interests
NA


$
39

NA

 
NA

 
$
28

NA

(a)
There were no performing loans that were ninety days or more past due as of September 30, 2019, and December 31, 2018, respectively.
(b)
Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes.
(c)
Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.
At September 30, 2019, and December 31, 2018, the contractual amount of lending-related commitments for which the fair value option was elected was $6.5 billion and $6.9 billion, respectively, with a corresponding fair value of $(91) million and $(82) million, respectively. Refer to Note 27 of JPMorgan Chase’s 2018 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.
 
September 30, 2019
 
December 31, 2018
(in millions)
Long-term debt
Short-term borrowings
Deposits
Total
 
Long-term debt
Short-term borrowings
Deposits
Total
Risk exposure
 
 
 
 
 
 
 
 
 
Interest rate
$
33,402

$
54

$
17,547

$
51,003

 
$
24,137

$
62

$
12,372

$
36,571

Credit
5,207

817

—

6,024

 
4,009

995

—

5,004

Foreign exchange
3,570

45

8

3,623

 
3,169

157

38

3,364

Equity
27,644

5,565

8,190

41,399

 
21,382

5,422

7,368

34,172

Commodity
504

7

1,352

1,863

 
372

34

1,207

1,613

Total structured notes
$
70,327

$
6,488

$
27,097

$
103,912

 
$
53,069

$
6,670

$
20,985

$
80,724





102

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 2018 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 certain risks associated with specified assets or liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes.

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
109-110
•
Interest rate
Hedge floating-rate assets and liabilities
Cash flow hedge
Corporate
111
•
Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
109-110
•
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expense
Cash flow hedge
Corporate
111
•
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
112
•
Commodity
Hedge commodity inventory
Fair value hedge
CIB
109-110
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
 
 
 
•
Interest rate
Manage the risk of the mortgage pipeline, warehouse loans and MSRs
Specified risk management
CCB
112
•
Credit
Manage the credit risk of wholesale lending exposures
Specified risk management
CIB
112
•
Interest rate and foreign exchange
Manage the risk of certain other specified assets and liabilities
Specified risk management
Corporate
112
Market-making derivatives and other activities:
 
 
 
•
Various
Market-making and related risk management
Market-making and other
CIB
112
•
Various
Other derivatives
Market-making and other
CIB, AWM, Corporate
112


103

Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of September 30, 2019, and December 31, 2018.
 
Notional amounts(b)
(in billions)
September 30, 2019

December 31, 2018

Interest rate contracts
 
 
Swaps
$
25,099

$
21,763

Futures and forwards
4,887

3,562

Written options
4,290

3,997

Purchased options
4,697

4,322

Total interest rate contracts
38,973

33,644

Credit derivatives(a)
1,365

1,501

Foreign exchange contracts
 
 
Cross-currency swaps
3,886

3,548

Spot, futures and forwards
7,111

5,871

Written options
832

835

Purchased options
852

830

Total foreign exchange contracts
12,681

11,084

Equity contracts
 
 
Swaps
389

346

Futures and forwards
131

101

Written options
692

528

Purchased options
632

490

Total equity contracts
1,844

1,465

Commodity contracts
 
 
Swaps
148

134

Spot, futures and forwards
218

156

Written options
166

135

Purchased options
153

120

Total commodity contracts
685

545

Total derivative notional amounts
$
55,548

$
48,239

(a)
Refer to the Credit derivatives discussion on page 113 for more information on volumes and types of credit derivative contracts.
(b)
Represents the sum of gross long and gross short third-party notional derivative contracts.
While the notional amounts disclosed above give an indication of the volume of the Firm’s derivatives activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative contracts, the notional amount is not exchanged; it is used simply as a reference to calculate payments.

104

Impact of derivatives on the Consolidated balance sheets
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of September 30, 2019, and December 31, 2018, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.
Free-standing derivative receivables and payables(a)
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
September 30, 2019
(in millions)
Not designated as hedges
 
Designated as hedges
 
Total derivative receivables
 
Net derivative receivables(b)
 
Not designated as hedges
 
Designated
as hedges
 
Total derivative payables
 
Net derivative payables(b)
Trading assets and liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
$
375,082

 
$
851

 
$
375,933

 
$
28,507

 
$
338,711

 
$
2

 
$
338,713

 
$
10,223

Credit
15,717

 
—

 
15,717

 
838

 
17,062

 
—

 
17,062

 
2,159

Foreign exchange
162,364

 
768

 
163,132

 
12,681

 
164,583

 
1,159

 
165,742

 
15,016

Equity
46,378

 
—

 
46,378

 
7,409

 
50,891

 
—

 
50,891

 
10,603

Commodity
20,985

 
253

 
21,238

 
6,142

 
25,470

 
341

 
25,811

 
9,789

Total fair value of trading assets and liabilities
$
620,526

 
$
1,872

 
$
622,398

 
$
55,577

 
$
596,717

 
$
1,502

 
$
598,219

 
$
47,790

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
December 31, 2018
(in millions)
Not designated as hedges
 
Designated as hedges
 
Total derivative receivables
 
Net derivative receivables(b)
 
Not designated as hedges
 
Designated
as hedges
 
Total derivative payables
 
Net derivative payables(b)
Trading assets and liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
$
267,871

 
$
833

 
$
268,704

 
$
23,214

 
$
242,782

 
$
—

 
$
242,782

 
$
7,784

Credit
20,095

 
—

 
20,095

 
612

 
20,276

 
—

 
20,276

 
1,667

Foreign exchange
167,057

 
628

 
167,685

 
13,450

 
164,392

 
825

 
165,217

 
12,785

Equity
49,285

 
—

 
49,285

 
9,946

 
51,195

 
—

 
51,195

 
10,161

Commodity
20,223

 
247

 
20,470

 
6,991

 
22,297

 
121

 
22,418

 
9,372

Total fair value of trading assets and liabilities
$
524,531

 
$
1,708

 
$
526,239

 
$
54,213

 
$
500,942

 
$
946

 
$
501,888

 
$
41,769


(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.


105

Derivatives netting
The following tables present, as of September 30, 2019, and December 31, 2018, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty have been netted on the Consolidated balance sheets where the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below.
In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with the Firm’s derivative instruments, but are not eligible for net presentation:
•
collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government securities) and cash collateral held at third-party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount.
•
the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and
•
collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.
 
September 30, 2019
 
December 31, 2018
(in millions)
Gross derivative receivables
Amounts netted on the Consolidated balance sheets
Net derivative receivables
 
Gross derivative receivables
 
Amounts netted on the Consolidated balance sheets
Net derivative receivables
U.S. GAAP nettable derivative receivables
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
Over-the-counter (“OTC”)
$
356,075

$
(332,566
)
 
$
23,509

 
$
258,227

 
$
(239,498
)
 
$
18,729

 
OTC–cleared
14,438

(14,343
)
 
95

 
6,404

 
(5,856
)
 
548

 
Exchange-traded(a)
577

(517
)
 
60

 
322

 
(136
)
 
186

 
Total interest rate contracts
371,090

(347,426
)
 
23,664

 
264,953

 
(245,490
)
 
19,463

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
11,168

(10,682
)
 
486

 
12,648

 
(12,261
)
 
387

 
OTC–cleared
4,321

(4,197
)
 
124

 
7,267

 
(7,222
)
 
45

 
Total credit contracts
15,489

(14,879
)
 
610

 
19,915

 
(19,483
)
 
432

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
160,181

(150,271
)
 
9,910

 
163,862

 
(153,988
)
 
9,874

 
OTC–cleared
176

(174
)
 
2

 
235

 
(226
)
 
9

 
Exchange-traded(a)
20

(6
)
 
14

 
32

 
(21
)
 
11

 
Total foreign exchange contracts
160,377

(150,451
)
 
9,926

 
164,129

 
(154,235
)
 
9,894

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
22,195

(20,281
)
 
1,914

 
26,178

 
(23,879
)
 
2,299

 
Exchange-traded(a)
21,678

(18,688
)
 
2,990

 
18,876

 
(15,460
)
 
3,416

 
Total equity contracts
43,873

(38,969
)
 
4,904

 
45,054

 
(39,339
)
 
5,715

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
7,714

(5,954
)
 
1,760

 
7,448

 
(5,261
)
 
2,187

 
OTC–cleared
26

(25
)
 
1

 
—

 
—

 
—

 
Exchange-traded(a)
9,151

(9,117
)
 
34

 
8,815

 
(8,218
)
 
597

 
Total commodity contracts
16,891

(15,096
)
 
1,795

 
16,263

 
(13,479
)
 
2,784

 
Derivative receivables with appropriate legal opinion
607,720

(566,821
)
 
40,899

(d) 
510,314

 
(472,026
)
 
38,288

(d) 
Derivative receivables where an appropriate legal opinion has not been either sought or obtained
14,678

 
 
14,678

 
15,925

 
 
 
15,925

 
Total derivative receivables recognized on the Consolidated balance sheets
$
622,398

 
 
$
55,577

 
$
526,239

 
 
 
$
54,213

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(13,224
)
 
 
 
 
 
(13,046
)
 
Net amounts
 
 
 
$
42,353

 
 
 
 
 
$
41,167

 


106

 
September 30, 2019
 
December 31, 2018
(in millions)
Gross derivative payables
Amounts netted on the Consolidated balance sheets
Net derivative payables
 
Gross derivative payables
 
Amounts netted on the Consolidated balance sheets
Net derivative payables
U.S. GAAP nettable derivative payables
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
$
321,553

$
(313,017
)
 
$
8,536

 
$
233,404

 
$
(228,369
)
 
$
5,035

 
OTC–cleared
15,176

(14,960
)
 
216

 
7,163

 
(6,494
)
 
669

 
Exchange-traded(a)
585

(513
)
 
72

 
210

 
(135
)
 
75

 
Total interest rate contracts
337,314

(328,490
)
 
8,824

 
240,777

 
(234,998
)
 
5,779

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
13,130

(11,254
)
 
1,876

 
13,412

 
(11,895
)
 
1,517

 
OTC–cleared
3,797

(3,649
)
 
148

 
6,716

 
(6,714
)
 
2

 
Total credit contracts
16,927

(14,903
)
 
2,024

 
20,128

 
(18,609
)
 
1,519

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
162,336

(150,537
)
 
11,799

 
160,930

 
(152,161
)
 
8,769

 
OTC–cleared
190

(185
)
 
5

 
274

 
(268
)
 
6

 
Exchange-traded(a)
14

(4
)
 
10

 
16

 
(3
)
 
13

 
Total foreign exchange contracts
162,540

(150,726
)
 
11,814

 
161,220

 
(152,432
)
 
8,788

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
27,010

(21,600
)
 
5,410

 
29,437

 
(25,544
)
 
3,893

 
Exchange-traded(a)
20,365

(18,688
)
 
1,677

 
16,285

 
(15,490
)
 
795

 
Total equity contracts
47,375

(40,288
)
 
7,087

 
45,722

 
(41,034
)
 
4,688

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
10,450

(6,874
)
 
3,576

 
8,930

 
(4,838
)
 
4,092

 
OTC–cleared
25

(25
)
 
—

 
—

 
—

 
—

 
Exchange-traded(a)
10,004

(9,123
)
 
881

 
8,259

 
(8,208
)
 
51

 
Total commodity contracts
20,479

(16,022
)
 
4,457

 
17,189

 
(13,046
)
 
4,143

 
Derivative payables with appropriate legal opinion
584,635

(550,429
)
 
34,206

(d) 
485,036

 
(460,119
)
 
24,917

(d) 
Derivative payables where an appropriate legal opinion has not been either sought or obtained
13,584

 
 
13,584

 
16,852

 
 
 
16,852

 
Total derivative payables recognized on the Consolidated balance sheets
$
598,219

 
 
$
47,790

 
$
501,888

 
 
 
$
41,769

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(9,236
)
 
 
 
 
 
(4,449
)
 
Net amounts
 
 
 
$
38,554

 
 
 
 
 
$
37,320

 
(a)
Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)
Represents liquid security collateral as well as cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty.
(c)
Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d)
Net derivatives receivable included cash collateral netted of $78.8 billion and $55.2 billion at September 30, 2019, and December 31, 2018, respectively. Net derivatives payable included cash collateral netted of $62.4 billion and $43.3 billion at September 30, 2019, and December 31, 2018, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.


107

Liquidity risk and credit-related contingent features
Refer to Note 5 of JPMorgan Chase’s 2018 Form 10-K for a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts.
The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at September 30, 2019, and December 31, 2018.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)
September 30, 2019
 
 
December 31, 2018
 
Aggregate fair value of net derivative payables
 
$
15,466

 
 
$
9,396

Collateral posted
 
14,388

 
 
8,907


The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries, predominantly JPMorgan Chase Bank, N.A., at September 30, 2019, and December 31, 2018, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral, (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract.
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
 
 
 
 
 
September 30, 2019
 
December 31, 2018
(in millions)
Single-notch downgrade
Two-notch downgrade
 
Single-notch downgrade
Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$
223

$
1,420

 
$
76

$
947

Amount required to settle contracts with termination triggers upon downgrade(b)
184

1,475

 
172

764

(a)
Includes the additional collateral to be posted for initial margin.
(b)
Amounts represent fair values of derivative payables, and do not reflect collateral posted.
Derivatives executed in contemplation of a sale of the underlying financial asset
In certain instances the Firm enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. The Firm generally accounts for such transfers as collateralized financing transactions as described in Note 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 both September 30, 2019 and December 31, 2018.

108

Impact of derivatives on the Consolidated statements of income
The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose.
Fair value hedge gains and losses
The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the three and nine months ended September 30, 2019 and 2018, 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
Three months ended September 30, 2019
(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)
$
1,770

$
(1,550
)
$
220

 
$
—

$
228

 
$
—

Foreign exchange(c)
(167
)
293

126

 
(224
)
126

 
(1
)
Commodity(d)
278

(232
)
46

 
—

49

 
—

Total
$
1,881

$
(1,489
)
$
392

 
$
(224
)
$
403

 
$
(1
)
 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)

 
OCI impact
Three months ended September 30, 2018
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(870
)
$
1,032

$
162

 
$
—

$
160

 
$
—

Foreign exchange(c)
277

(165
)
112

 
(137
)
112

 
45

Commodity(d)
454

(461
)
(7
)
 
—

(5
)
 
—

Total
$
(139
)
$
406

$
267

 
$
(137
)
$
267

 
$
45

 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)
 
OCI impact
Nine months ended September 30, 2019
(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)
$
4,996

$
(4,399
)
$
597

 
$
—

$
596

 
$
—

Foreign exchange(c)
(31
)
401

370

 
(675
)
370

 
114

Commodity(d)
(164
)
237

73

 
—

67

 
—

Total
$
4,801

$
(3,761
)
$
1,040

 
$
(675
)
$
1,033

 
$
114

 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)
 
OCI impact
Nine months ended September 30, 2018
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(2,747
)
$
3,214

$
467

 
$
—

$
459

 
$
—

Foreign exchange(c)
797

(452
)
345

 
(404
)
345

 
(96
)
Commodity(d)
649

(626
)
23

 
—

29

 
—

Total
$
(1,301
)
$
2,136

$
835

 
$
(404
)
$
833

 
$
(96
)
(a)
Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income.
(b)
Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. Also excludes the accrual of interest on interest rate swaps and the related hedged items.
(c)
Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items due to changes in foreign currency rates and the income statement impact of excluded components were recorded primarily in principal transactions revenue and net interest income.
(d)
Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue.
(e)
The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. The initial amount of the excluded components may be amortized into income over the life of the derivative, or changes in fair value may be recognized in current period earnings.
(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.

109

As of September 30, 2019 and December 31, 2018, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future periods as an adjustment to yield.
 
 
Carrying amount of the hedged items(a)(b)
 
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:

September 30, 2019
(in millions)
 
 
Active hedging relationships
Discontinued hedging relationships(d)
Total
Assets
 
 
 
 
 
 
Investment securities - AFS

 
$
123,914

(c) 
$
3,664

$
261

$
3,925

Liabilities
 
 
 
 
 
 
Long-term debt
 
$
163,494

 
$
9,957

$
125

$
10,082

Beneficial interests issued by consolidated VIEs
 
2,362

 
—

(11
)
(11
)
 
 
 
 
 
 
 
 
 
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, 2018
(in millions)
 
 
Active hedging relationships
Discontinued hedging relationships(d)
Total
Assets
 
 
 
 
 
 
Investment securities - AFS
 
$
55,313

(c) 
$
(1,105
)
$
381

$
(724
)
Liabilities
 
 
 
 
 
 
Long-term debt
 
$
139,915

 
$
141

$
8

$
149

Beneficial interests issued by consolidated VIEs
 
6,987

 
—

(33
)
(33
)
(a)
Excludes physical commodities with a carrying value of $10.3 billion and $6.8 billion at September 30, 2019 and December 31, 2018, 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. Given the Firm exits these positions at fair value, there is no incremental impact to net income in future periods.
(b)
Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges will not reverse through the income statement in future periods. At September 30, 2019 and December 31, 2018, the carrying amount excluded for available-for-sale securities is $15.3 billion and $14.6 billion, respectively, and for long-term debt is $4.1 billion and $7.3 billion, respectively.
(c)
Carrying amount represents the amortized cost.
(d)
Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.

110

Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the three and nine months ended September 30, 2019 and 2018, respectively. The Firm includes the gain/(loss) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2019
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(16
)
$
290

$
306

Foreign exchange(b)
(21
)
(68
)
(47
)
Total
$
(37
)
$
222

$
259

 
 
 
 
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2018
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
10

$
(30
)
$
(40
)
Foreign exchange(b)
(19
)
(92
)
(73
)
Total
$
(9
)
$
(122
)
$
(113
)
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2019
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(12
)
$
501

$
513

Foreign exchange(b)
(90
)
(37
)
53

Total
$
(102
)
$
464

$
566

 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2018
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
36

$
(141
)
$
(177
)
Foreign exchange(b)
26

(224
)
(250
)
Total
$
62

$
(365
)
$
(427
)
(a)
Primarily consists of hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.
(b)
Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense.
The Firm did not experience any forecasted transactions that failed to occur for the three and nine months ended September 30, 2019 and 2018.
Over the next 12 months, the Firm expects that approximately $(130) million (after-tax) of net losses recorded in AOCI at September 30, 2019, 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 five 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.

111

Net investment hedge gains and losses
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three and nine months ended September 30, 2019 and 2018.
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
 
2019
 
2018
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
 
$
17

 
$
866

 
 
$
2

 
$
311

 
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
 
2019
 
2018
Nine months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
 
Amounts recorded in
income(a)(b)(c)
Amounts recorded in OCI
Foreign exchange derivatives
 
$
65

 
$
705

 
 
$
(8
)
 
$
1,126

(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. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $5 million to other income related to the liquidation of certain legal entities. During the nine months ended September 30, 2018, the Firm reclassified net pre-tax losses of $23 million to other expense related to the liquidation of a legal entity.
(c)
The prior period amount has been revised to conform with the current period presentation.

Gains and losses on derivatives used for specified risk management purposes
The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from the mortgage pipeline, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities.
 
Derivatives gains/(losses)
recorded in income
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
(in millions)
2019
2018
 
2019
2018
 
Contract type
 
 
 
 
 
 
Interest rate(a)
$
769

$
(42
)
 
$
1,718

$
(277
)
 
Credit(b)
(21
)
(7
)
 
(33
)
(17
)
 
Foreign exchange(c)
40

52

 
15

167

(d) 
Total
$
788

$
3

 
$
1,700

$
(127
)
(d) 

(a)
Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income.
(b)
Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue.
(c)
Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.
(d)
The prior period amounts have been revised to conform with the current period presentation.
 
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.

112

Credit derivatives
Refer to Note 5 of JPMorgan Chase’s 2018 Form 10-K for a more detailed discussion of credit derivatives. The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives.
Total credit derivatives and credit-related notes
 
Maximum payout/Notional amount
September 30, 2019 (in millions)
Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
 
Credit default swaps
$
(610,946
)
 
$
623,709

$
12,763

 
$
3,630

Other credit derivatives(a)
(55,919
)
 
61,847

5,928

 
8,503

Total credit derivatives
(666,865
)
 
685,556

18,691

 
12,133

Credit-related notes
—

 
—

—

 
9,297

Total
$
(666,865
)
 
$
685,556

$
18,691

 
$
21,430

 
 
 
 
 
 
 
 
Maximum payout/Notional amount
December 31, 2018 (in millions)
Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
 
Credit default swaps
$
(697,220
)
 
$
707,282

$
10,062

 
$
4,053

Other credit derivatives(a)
(41,244
)
 
42,484

1,240

 
8,488

Total credit derivatives
(738,464
)
 
749,766

11,302

 
12,541

Credit-related notes
—

 
—

—

 
8,425

Total
$
(738,464
)
 
$
749,766

$
11,302

 
$
20,966

(a)
Other credit derivatives predominantly consist of credit swap options and total return swaps.
(b)
Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.
(c)
Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.
(d)
Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument.
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of September 30, 2019, and December 31, 2018, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
 
 
 
September 30, 2019
(in millions)
<1 year
 
1–5 years
 
>5 years
 
Total
notional amount
 
Fair value of receivables(b)
 
Fair value of payables(b)
 
Net fair value
Risk rating of reference entity
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment-grade
$
(106,698
)
 
$
(316,946
)
 
$
(75,615
)
 
$
(499,259
)
 
$
5,621

 
$
(1,260
)
 
$
4,361

Noninvestment-grade
(39,180
)
 
(103,249
)
 
(25,177
)
 
(167,606
)
 
4,699

 
(3,415
)
 
1,284

Total
$
(145,878
)
 
$
(420,195
)
 
$
(100,792
)
 
$
(666,865
)
 
$
10,320

 
$
(4,675
)
 
$
5,645

December 31, 2018
(in millions)
<1 year
 
1–5 years
 
>5 years
 
Total
notional amount
 
Fair value of receivables(b)
 
Fair value of payables(b)
 
Net fair value
Risk rating of reference entity
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment-grade
$
(115,443
)
 
$
(402,325
)
 
$
(43,611
)
 
$
(561,379
)
 
$
5,720

 
$
(2,791
)
 
$
2,929

Noninvestment-grade
(45,897
)
 
(119,348
)
 
(11,840
)
 
(177,085
)
 
4,719

 
(5,660
)
 
(941
)
Total
$
(161,340
)
 
$
(521,673
)
 
$
(55,451
)
 
$
(738,464
)
 
$
10,439

 
$
(8,451
)
 
$
1,988


(a)
The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s.
(b)
Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm.

113

Note 5 – Noninterest revenue and noninterest expense
Noninterest revenue
Refer to Note 6 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the components of and accounting policies for the Firm’s noninterest revenue.
Investment banking fees
The following table presents the components of investment banking fees.

Three months ended September 30,

Nine months ended September 30,
(in millions)
2019

 
2018


2019

2018
Underwriting







Equity
$
517


$
417


$
1,293


$
1,342

Debt
955


836


2,720


2,596

Total underwriting
1,472


1,253


4,013


3,938

Advisory
495


579


1,645


1,798

Total investment banking fees
$
1,967


$
1,832


$
5,658


$
5,736


Principal transactions
The following table presents all realized and unrealized gains and losses recorded in principal transactions revenue. This table excludes interest income and interest expense on trading assets and liabilities, which are an integral part of the overall performance of the Firm’s client-driven market-making activities in CIB and cash deployment activities in Treasury and CIO. Refer to Note 6 for further information on interest income and interest expense.
Trading revenue is presented primarily by instrument type. The Firm’s client-driven market-making businesses generally utilize a variety of instrument types in connection with their market-making and related risk-management activities; accordingly, the trading revenue presented in the table below is not representative of the total revenue of any individual line of business.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019
 
2018
Trading revenue by instrument type
 
 
 
 
 
 
 
Interest rate
$
835

 
$
338

 
$
1,901

 
$
1,784

Credit
328

 
202

 
1,375

 
1,230

Foreign exchange
892

 
937

 
2,509

 
2,706

Equity
1,003

 
1,363

 
4,530

 
4,376

Commodity
372

 
277

 
982

 
800

Total trading revenue
3,430

 
3,117

 
11,297

 
10,896

Private equity gains/(losses)(a)
19

 
(153
)
 
(58
)
 
(198
)
Principal transactions
$
3,449

 
$
2,964

 
$
11,239

 
$
10,698


(a)
The third quarter of 2018 included markdowns of approximately $220 million on certain private equity investments in Corporate, with $170 million recorded within principal transactions revenue and $50 million in other income.

 
Lending- and deposit-related fees
The following table presents the components of lending- and deposit-related fees.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018
Lending-related fees
$
286

 
$
284

 
$
861

 
$
838

Deposit-related fees
1,340

 
1,258

 
3,782

 
3,676

Total lending- and deposit-related fees
$
1,626

 
$
1,542

 
$
4,643

 
$
4,514


Asset management, administration and commissions
The following table presents the components of Firmwide asset management, administration and commissions.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019
 
2018
Asset management fees
 
 
 
 
 
 
 
Investment management fees(a)
$
2,738

 
$
2,716

 
$
8,013

 
$
8,081

All other asset management fees(b)
82

 
79

 
229

 
211

Total asset management fees
2,820

 
2,795

 
8,242

 
8,292

 
 
 
 
 
 
 
 
Total administration fees(c)
567

 
533

 
1,646

 
1,651

 
 
 
 
 
 
 
 
Commissions and other fees
 
 
 
 
 
 
 
Brokerage commissions
634

 
604

 
1,861

 
1,887

All other commissions and fees
330

 
378

 
1,069

 
1,093

Total commissions and fees
964

 
982

 
2,930

 
2,980

Total asset management, administration and commissions
$
4,351

 
$
4,310

 
$
12,818

 
$
12,923

(a)
Represents fees earned from managing assets on behalf of the Firm’s clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts.
(b)
Represents fees for services that are ancillary to investment management services, such as commissions earned on the sales or distribution of mutual funds to clients.
(c)
Predominantly includes fees for custody, securities lending, funds services and securities clearance.
Card income
The following table presents the components of card income:
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Interchange and merchant processing income
$
5,127

 
$
4,781

 
$
15,032

 
$
13,863

Rewards costs and partner payments(a)
(3,669
)
 
(3,276
)
 
(10,515
)
 
(9,687
)
Other card income(b)
(175
)
 
(177
)
 
(594
)
 
(553
)
Total card income
$
1,283

 
$
1,328

 
$
3,923

 
$
3,623

(a)
The three and nine months ended September 30, 2018, included an adjustment to the credit card rewards liability of approximately $330 million.
(b)
Predominantly represents annual fees and new account origination costs, which are deferred and recognized on a straight-line basis over a 12-month period.

114

Refer to Note 14 Goodwill and MSRs for information on mortgage fees and related income.
Refer to Note 16 Leases for information on operating lease income included within other income.
Noninterest expense
Other expense
Other expense on the Firm’s Consolidated statements of income included the following:
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Legal expense/(benefit)
$
10

 
$
20

 
$
(2
)
 
$
90

FDIC-related expense
114

 
349

 
378

 
1,100



 
Note 6 – Interest income and Interest expense
Refer to Note 7 of JPMorgan Chase’s 2018 Form 10-K for a description of JPMorgan Chase’s accounting policies regarding interest income and interest expense.
The following table presents the components of interest income and interest expense.

Three months ended
September 30,
 
Nine months ended
September 30,
(in millions)
2019


2018

 
2019

 
2018

Interest income
 
 
 
 
 
 
 
Loans(a)
$
12,586


$
12,207

 
$
38,192

 
$
34,915

Taxable securities
2,132


1,402

 
5,712

 
4,098

Non-taxable securities(b)
318


394

 
1,021

 
1,199

Total investment securities(a)
2,450


1,796

 
6,733

 
5,297

Trading assets - debt instruments
2,659


2,155

 
8,343

 
6,369

Federal funds sold and securities purchased under resale agreements
1,542


952

 
4,865

 
2,490

Securities borrowed(c)
434


248

 
1,298

 
549

Deposits with banks
898


1,585

 
3,200

 
4,449

All other interest-earning assets(c)(d)
552


496

 
1,482

 
1,430

Total interest income(c)
21,121


19,439

 
64,113

 
55,499

Interest expense
 
 
 
 
 
 
 
Interest-bearing deposits
2,409

 
1,621

 
7,010

 
4,021

Federal funds purchased and securities loaned or sold under repurchase agreements
1,241

 
827

 
3,577

 
2,164

Short-term borrowings(e)
261

 
288

 
1,051

 
757

Trading liabilities – debt and all other interest-bearing liabilities(c)(f)
660

 
617

 
2,141

 
1,674

Long-term debt
2,188

 
2,056

 
6,796

 
5,812

Beneficial interest issued by consolidated VIEs
134

 
122

 
459

 
366

Total interest expense(c)
6,893

 
5,531

 
21,034

 
14,794

Net interest income
14,228

 
13,908

 
43,079

 
40,705

Provision for credit losses
1,514

 
948

 
4,158

 
3,323

Net interest income after provision for credit losses
$
12,714

 
$
12,960

 
$
38,921

 
$
37,382

(a)
Includes the amortization/accretion of unearned income (e.g., purchase premiums/discounts, net deferred fees/costs, etc.).
(b)
Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)
In the second quarter of 2019, the Firm implemented certain presentation changes that impacted interest income and interest expense, but had no effect on net interest income. These changes were made to align the accounting treatment between the balance sheet and the related interest income or expense, primarily by offsetting interest income and expense for certain prime brokerage-related held-for-investment customer receivables and payables that are currently presented as a single margin account on the balance sheet. These changes were applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation.
(d)
Includes prime brokerage-related held-for-investment customer receivables, which are classified in accrued interest and accounts receivable, and all other interest-earning assets which are classified in other assets on the Consolidated balance sheets.
(e)
Includes commercial paper.
(f)
Other interest-bearing liabilities include prime brokerage-related customer payables.

115

Note 7 – Pension and other postretirement employee benefit plans
Refer to Note 8 of JPMorgan Chase’s 2018 Form 10-K for a discussion of JPMorgan Chase’s pension and OPEB plans.
The following table presents the components of net periodic benefit costs reported in the Consolidated statements of income for the Firm’s U.S. and non-U.S. defined benefit pension, defined contribution and OPEB plans.
(in millions)
Three months ended September 30,
 
Nine months ended September 30,
2019
2018
 
2019
2018
 
2019
2018
 
2019
2018
Pension plans
 
OPEB plans
 
Pension plans
 
OPEB plans
Components of net periodic benefit cost
 
 
 
 
 
 
 
 
 
 
 
Benefits earned during the period
$
88

$
88

 
$
—

$
—

 
$
266

$
267

 
$
—

$
—

Interest cost on benefit obligations
148

139

 
6

6

 
447

417

 
18

18

Expected return on plan assets
(227
)
(246
)
 
(28
)
(25
)
 
(686
)
(741
)
 
(84
)
(77
)
Amortization:
 
 
 
 
 
 
 
 
 
 
 

Net (gain)/loss
42

26

 
—

—

 
125

78

 
—

—

Prior service (credit)/cost
—

(7
)
 
—

—

 
2

(19
)
 
—

—

Net periodic defined benefit cost
51

—

 
(22
)
(19
)
 
154

2

 
(66
)
(59
)
Other defined benefit pension plans(a)
7

6

 
NA

NA

 
20

21

 
NA

NA

Total defined benefit plans
58

6

 
(22
)
(19
)
 
174

23

 
(66
)
(59
)
Total defined contribution plans
255

229

 
NA

NA

 
718

661

 
NA

NA

Total pension and OPEB cost included in noninterest expense
$
313

$
235

 
$
(22
)
$
(19
)
 
$
892

$
684

 
$
(66
)
$
(59
)
(a)
Includes various defined benefit pension plans which are individually immaterial.
The following table presents the fair values of plan assets for the U.S. defined benefit pension and OPEB plans and for the material non-U.S. defined benefit pension plans.
(in billions)
September 30,
2019

 
December 31, 2018

Fair value of plan assets
 
 
 
Defined benefit pension plans
$
20.1

 
$
18.1

OPEB plans
2.9

 
2.6


There are no expected contributions to the U.S. defined benefit pension plan for 2019.

116

Note 8 – Employee share-based incentives
Refer to Note 9 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the accounting policies and other information relating to employee share-based incentives.
The Firm recognized the following noncash compensation expense related to its various employee share-based incentive plans in its Consolidated statements of income.
 
Three months ended
September 30,
 
Nine months ended
September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Cost of prior grants of RSUs, performance share units (“PSUs”) and stock appreciation rights (“SARs”) that are amortized over their applicable vesting periods
$
265

 
$
282

 
$
882

 
$
956

Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees
294

 
240

 
900

 
852

Total noncash compensation expense related to employee share-based incentive plans
$
559

 
$
522

 
$
1,782

 
$
1,808


In the first quarter of 2019, in connection with its annual incentive grant for the 2018 performance year, the Firm granted 21 million RSUs and 630 thousand PSUs with weighted-average grant date fair values of $98.98 per RSU and $98.96 per PSU.

117

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 September 30, 2019, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available,
 
and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). Refer to Note 10 of JPMorgan Chase’s 2018 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.
 
September 30, 2019
 
December 31, 2018
(in millions)
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
 
Amortized cost
Gross unrealized gains
Gross unrealized losses
Fair value
Available-for-sale securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies(a)
$
103,086

$
2,556

$
61

 
$
105,581

 
$
69,026

$
594

$
974

 
$
68,646

Residential:
 
 
 
 
 
 
 
 
 
 
 
U.S.
10,083

273

6

 
10,350

 
5,877

79

31

 
5,925

Non-U.S.
2,490

64

2

 
2,552

 
2,529

72

6

 
2,595

Commercial
5,228

100

4

 
5,324

 
6,758

43

147

 
6,654

Total mortgage-backed securities
120,887

2,993

73

 
123,807

 
84,190

788

1,158

 
83,820

U.S. Treasury and government agencies
141,646

376

493

 
141,529

 
55,771

366

78

 
56,059

Obligations of U.S. states and municipalities
28,871

2,193

—

 
31,064

 
36,221

1,582

80

 
37,723

Certificates of deposit
74

—

—

 
74

 
75

—

—

 
75

Non-U.S. government debt securities
21,644

524

10

 
22,158

 
23,771

351

20

 
24,102

Corporate debt securities
1,596

39

1

 
1,634

 
1,904

23

9

 
1,918

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Collateralized loan obligations
27,942

18

52

 
27,908

 
19,612

1

176

 
19,437

Other
5,199

57

9

 
5,247

 
7,225

57

22

 
7,260

Total available-for-sale securities
347,859

6,200

638

 
353,421

 
228,769

3,168

1,543

 
230,394

Held-to-maturity securities
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. GSEs and government agencies(a)
35,976

1,250

20

 
37,206

 
26,610

134

200

 
26,544

Total mortgage-backed securities
35,976

1,250

20

 
37,206

 
26,610

134

200

 
26,544

U.S. Treasury and government agencies

51

—

—

 
51

 
—

—

—

 
—

Obligations of U.S. states and municipalities
4,803

317

—

 
5,120

 
4,824

105

15

 
4,914

Total held-to-maturity securities
40,830

1,567

20

 
42,377

 
31,434

239

215

 
31,458

Total investment securities
$
388,689

$
7,767

$
658

 
$
395,798

 
$
260,203

$
3,407

$
1,758

 
$
261,852


(a)
Includes AFS U.S. GSE obligations with fair values of $78.8 billion and $50.7 billion, and HTM U.S. GSE obligations with amortized cost of $30.8 billion and $20.9 billion, at September 30, 2019, and December 31, 2018, respectively. As of September 30, 2019, 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 was $69.8 billion and $72.0 billion, and $37.8 billion and $38.8 billion, respectively.


118

Investment securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category at September 30, 2019, and December 31, 2018.
 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
September 30, 2019 (in millions)
Fair value
Gross
unrealized losses
 
Fair value
Gross
unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
8,505

$
37

 
$
2,952

$
24

$
11,457

$
61

Residential:
 
 
 
 
 
 
 
U.S. 
—

—

 
558

6

558

6

Non-U.S.
47

—

 
472

2

519

2

Commercial
752

4

 
165

—

917

4

Total mortgage-backed securities
9,304

41

 
4,147

32

13,451

73

U.S. Treasury and government agencies
84,152

489

 
540

4

84,692

493

Obligations of U.S. states and municipalities
41

—

 
23

—

64

—

Certificates of deposit
74

—

 
—

—

74

—

Non-U.S. government debt securities
3,189

6

 
1,357

4

4,546

10

Corporate debt securities
83

—

 
36

1

119

1

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
7,086

8

 
6,684

44

13,770

52

Other
506

3

 
1,598

6

2,104

9

Total available-for-sale securities
104,435

547

 
14,385

91

118,820

638

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. GSEs and government agencies
2,240

20

 
86

—

2,326

20

Total mortgage-backed securities
2,240

20

 
86

—

2,326

20

U.S. Treasury and government agencies

51

—

 
—

—

51

—

Obligations of U.S. states and municipalities
—

—

 
—

—

—

—

Total held-to-maturity securities
2,291

20

 
86

—

2,377

20

Total investment securities
 with gross unrealized losses
$
106,726

$
567

 
$
14,471

$
91

$
121,197

$
658



119

 
Investment securities with gross unrealized losses
 
Less than 12 months
 
12 months or more
 
 
December 31, 2018 (in millions)
Fair value
Gross
unrealized losses
 
Fair value
Gross
unrealized losses
Total fair value
Total gross unrealized losses
Available-for-sale securities
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
17,656

$
318

 
$
22,728

$
656

$
40,384

$
974

Residential:
 
 
 
 
 
 
 
U.S.
623

4

 
1,445

27

2,068

31

Non-U.S.
907

5

 
165

1

1,072

6

Commercial
974

6

 
3,172

141

4,146

147

Total mortgage-backed securities
20,160

333

 
27,510

825

47,670

1,158

U.S. Treasury and government agencies
4,792

7

 
2,391

71

7,183

78

Obligations of U.S. states and municipalities
1,808

15

 
2,477

65

4,285

80

Certificates of deposit
75

—

 
—

—

75

—

Non-U.S. government debt securities
3,123

5

 
1,937

15

5,060

20

Corporate debt securities
478

8

 
37

1

515

9

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
18,681

176

 
—

—

18,681

176

Other
1,208

6

 
2,354

16

3,562

22

Total available-for-sale securities
50,325

550

 
36,706

993

87,031

1,543

Held-to-maturity securities
 
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. GSEs and government agencies
4,385

23

 
7,082

177

11,467

200

Total mortgage-backed securities
4,385

23

 
7,082

177

11,467

200

U.S. Treasury and government agencies

—

—

 
—

—

—

—

Obligations of U.S. states and municipalities
12

—

 
1,114

15

1,126

15

Total held-to-maturity securities
4,397

23

 
8,196

192

12,593

215

Total investment securities with gross unrealized losses
$
54,722

$
573

 
$
44,902

$
1,185

$
99,624

$
1,758


Other-than-temporary impairment
The Firm recognizes unrealized losses on investment securities that it intends to sell as OTTI. The Firm does not intend to sell any of the remaining investment securities with an unrealized loss in AOCI as of September 30, 2019, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Further, the Firm did not recognize any credit-related OTTI losses during the nine months ended September 30, 2019 and 2018. Accordingly, the Firm believes that the investment securities with an unrealized loss in AOCI as of September 30, 2019, are not other-than-temporarily impaired. Refer to Note 10 of JPMorgan Chase’s 2018 Form 10-K for additional information on other-than-temporary impairment.
 
Investment securities gains and losses
The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income.
 
Three months ended September 30,
 
 
Nine months ended September 30,
(in millions)
2019

2018

 
 
2019

2018

Realized gains
$
78

$
58

 
 
$
454

$
137

Realized losses
—

(103
)
 
 
(319
)
(507
)
OTTI losses(a)
—

(1
)
 
 
—

(1
)
Net investment securities gains/(losses)
$
78

$
(46
)
 
 
$
135

$
(371
)

(a) Represents OTTI losses recognized in income on investment securities the Firm intends to sell. Excludes realized losses on securities sold of $21 million for the nine months ended September 30, 2018 that had been previously reported as an OTTI loss due to the intention to sell the securities.

Changes in the credit loss component of credit-impaired debt securities
The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS securities was not material as of and during the nine month periods ended September 30, 2019 and 2018.

120

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2019, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 30, 2019 (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
 
 
 
 
 
 
Mortgage-backed securities
 
 
 
 
 
 
Amortized cost
$
14

$
59

$
10,230

$
110,584

 
$
120,887

Fair value
14

60

10,476

113,257

 
123,807

Average yield(a)
3.59
%
2.73
%
2.92
%
3.45
%
 
3.40
%
U.S. Treasury and government agencies








 
 
Amortized cost
$
10,904

$
95,139

$
25,557

$
10,046

 
$
141,646

Fair value
10,901

95,231

25,659

9,738

 
141,529

Average yield(a)
1.99
%
1.96
%
2.02
%
2.04
%
 
1.98
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
170

$
228

$
1,089

$
27,384

 
$
28,871

Fair value
172

236

1,135

29,521

 
31,064

Average yield(a)
3.32
%
4.00
%
5.60
%
4.94
%
 
4.95
%
Certificates of deposit








 
 
Amortized cost
$
74

$
—

$
—

$
—

 
$
74

Fair value
74

—

—

—

 
74

Average yield(a)
0.49
%
—
%
—
%
—
%
 
0.49
%
Non-U.S. government debt securities








 
 
Amortized cost
$
6,342

$
11,580

$
3,416

$
306

 
$
21,644

Fair value
6,350

11,870

3,633

305

 
22,158

Average yield(a)
2.23
%
1.99
%
1.34
%
1.67
%
 
1.95
%
Corporate debt securities








 
 
Amortized cost
$
216

$
718

$
662

$
—

 
$
1,596

Fair value
218

737

679

—

 
1,634

Average yield(a)
4.83
%
3.91
%
3.78
%
—
%
 
3.98
%
Asset-backed securities








 
 
Amortized cost
$
—

$
1,873

$
9,411

$
21,857

 
$
33,141

Fair value
—

1,876

9,412

21,867

 
33,155

Average yield(a)
—
%
2.94
%
3.17
%
3.03
%
 
3.06
%
Total available-for-sale securities








 
 
Amortized cost
$
17,720

$
109,597

$
50,365

$
170,177

 
$
347,859

Fair value
17,729

110,010

50,994

174,688

 
353,421

Average yield(a)
2.12
%
2.00
%
2.47
%
3.55
%
 
2.83
%
Held-to-maturity securities








 
 
Mortgage-backed securities








 
 
Amortized cost
$
—

$
—

$
4,655

$
31,321

 
$
35,976

Fair value
—

—

5,049

32,157

 
37,206

Average yield(a)
—
%
—
%
3.29
%
3.12
%
 
3.14
%
U.S. Treasury and government agencies

 
 
 
 
 
 
Amortized cost

$
—

$
51

$
—

$
—

 
$
51

Fair value

—

51

—

—

 
51

Average yield(a)

—
%
1.47
%
—
%
—
%
 
1.47
%
Obligations of U.S. states and municipalities








 
 
Amortized cost
$
—

$
—

$
55

$
4,748

 
$
4,803

Fair value
—

—

58

5,062

 
5,120

Average yield(a)
—
%
—
%
3.89
%
4.02
%
 
4.02
%
Total held-to-maturity securities








 
 
Amortized cost
$
—

$
51

$
4,710

$
36,069

 
$
40,830

Fair value
—

51

5,107

37,219

 
42,377

Average yield(a)
—
%
1.47
%
3.30
%
3.24
%
 
3.24
%
(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.
(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 5 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.

121

Note 10 – Securities financing activities
Refer to Note 11 of JPMorgan Chase’s 2018 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 September 30, 2019 and December 31, 2018. When the Firm has obtained an appropriate legal opinion with respect to a master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the
 
balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparty to reduce the economic exposure with the counterparty, but such collateral is not eligible for net Consolidated balance sheet presentation. Where the Firm has obtained an appropriate legal opinion with respect to the counterparty master netting agreement, such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented in the table below as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below.
 
September 30, 2019
(in millions)
Gross amounts
Amounts netted on the Consolidated balance sheets
Amounts presented on the Consolidated balance sheets(b)
Amounts not nettable on the Consolidated balance sheets(c)
Net
amounts(d)
Assets
 
 
 
 
 
 
Securities purchased under resale agreements
$
630,033

$
(372,650
)
$
257,383

$
(244,241
)
 
$
13,142

Securities borrowed
160,304

(21,968
)
138,336

(104,517
)
 
33,819

Liabilities
 
 
 
 
 
 
Securities sold under repurchase agreements
$
608,618

$
(372,650
)
$
235,968

$
(213,150
)
 
$
22,818

Securities loaned and other(a)
34,104

(21,968
)
12,136

(11,878
)
 
258

 
December 31, 2018
(in millions)
Gross amounts
Amounts netted on the Consolidated balance sheets
Amounts presented on the Consolidated balance sheets(b)
Amounts not nettable on the Consolidated balance sheets(c)
Net
amounts(d)
Assets
 
 
 
 
 
 
Securities purchased under resale agreements
$
691,116

$
(369,612
)
$
321,504

$
(308,854
)

$
12,650

Securities borrowed
132,955

(20,960
)
111,995

(79,747
)
 
32,248

Liabilities
 
 
 
 
 
 
Securities sold under repurchase agreements
$
541,587

$
(369,612
)
$
171,975

$
(149,125
)

$
22,850

Securities loaned and other(a)
33,700

(20,960
)
12,740

(12,358
)
 
382

(a)
Includes securities-for-securities lending agreements of $2.4 billion and $3.3 billion at September 30, 2019 and December 31, 2018, respectively, accounted for at fair value, where the Firm is acting as lender. In the Consolidated balance sheets, the Firm recognizes the securities received at fair value within other assets and the obligation to return those securities within accounts payable and other liabilities.
(b)
Includes securities financing agreements accounted for at fair value. At September 30, 2019 and December 31, 2018, included securities purchased under resale agreements of $13.7 billion and $13.2 billion, respectively; securities sold under repurchase agreements of $933 million and $935 million, respectively; and securities borrowed of $5.8 billion and $5.1 billion, respectively. There were no securities loaned accounted for at fair value in either period.
(c)
In some cases, collateral exchanged with a counterparty exceeds the 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.
(d)
Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At September 30, 2019 and December 31, 2018, included $9.1 billion and $7.9 billion, respectively, of securities purchased under resale agreements; $30.6 billion and $30.3 billion, respectively, of securities borrowed; $21.9 billion and $21.5 billion, respectively, of securities sold under repurchase agreements; and $96 million and $25 million, respectively, of securities loaned and other.

122

The tables below present as of September 30, 2019, and December 31, 2018 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements.
 
Gross liability balance
 
September 30, 2019
 
December 31, 2018
 (in millions)
Securities sold under repurchase agreements
 
Securities loaned and other
 
Securities sold under repurchase agreements
 
Securities loaned and other
Mortgage-backed securities
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
33,399

 
$
—

 
$
34,311

(a) 
$
—

Residential - nonagency
1,804

 
—

 
2,165

 
—

Commercial - nonagency
1,778

 
—

 
1,390

 
—

U.S. Treasury, GSEs and government agencies
366,820

 
8

 
317,578

(a) 
69

Obligations of U.S. states and municipalities
1,400

 
—

 
1,150

 
—

Non-U.S. government debt
165,568

 
1,769

 
154,900

 
4,313

Corporate debt securities
13,067

 
1,361

 
13,898

 
428

Asset-backed securities
1,746

 
—

 
3,867

 
—

Equity securities
23,036

 
30,966

 
12,328

 
28,890

Total
$
608,618

 
$
34,104

 
$
541,587

 
$
33,700

(a)
The prior period amounts have been revised to conform with the current period presentation.
 
Remaining contractual maturity of the agreements
 
Overnight and continuous
 
 
 
 
Greater than
90 days
 
September 30, 2019 (in millions)
 
Up to 30 days
 
30 – 90 days
Total
Total securities sold under repurchase agreements
$
336,082

 
$
132,662

 
$
53,504

$
86,370

$
608,618

Total securities loaned and other
30,172

 
231

 
748

2,953

34,104

 
Remaining contractual maturity of the agreements
 
Overnight and continuous
 
 
 
 
Greater than
90 days
 
December 31, 2018 (in millions)
 
Up to 30 days
 
30 – 90 days
Total
Total securities sold under repurchase agreements
$
247,579

 
$
174,971

 
$
71,637

$
47,400

$
541,587

Total securities loaned and other
28,402

 
997

 
2,132

2,169

33,700

Transfers not qualifying for sale accounting
At September 30, 2019, and December 31, 2018, the Firm held $654 million and $2.1 billion, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets. The prior period amount has been revised to conform with the current period presentation.

123

Note 11 – Loans
Loan accounting framework
The accounting for a loan depends on management’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. The Firm accounts for loans based on the following categories:
•
Originated or purchased loans held-for-investment (i.e., “retained”), other than PCI loans
•
Loans held-for-sale
•
Loans at fair value
•
PCI loans held-for-investment
 
Refer to Note 12 of JPMorgan Chase’s 2018 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 three portfolio segments, which are the same segments used by the Firm to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment the Firm monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class.
Consumer, excluding
credit card(a)
 
Credit card
 
Wholesale(f)
Residential real estate – excluding PCI
• Residential mortgage(b)
• Home equity(c)
Other consumer loans(d)
• Auto
• Consumer & Business Banking(e)
Residential real estate – PCI
• Home equity
• Prime mortgage
• Subprime mortgage
• Option ARMs
 
• Credit card loans
 
• Commercial and industrial
• Real estate
• Financial institutions
• Governments & Agencies
• Other(g)
(a)
Includes loans held in CCB, scored prime mortgage and scored home equity loans held in AWM and prime mortgage loans held in Corporate.
(b)
Predominantly includes prime loans (including option ARMs).
(c)
Includes senior and junior lien home equity loans.
(d)
Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included with the other consumer loan classes.
(e)
Predominantly includes Business Banking loans.
(f)
Includes loans held in CIB, CB, AWM and Corporate. Excludes scored prime mortgage and scored home equity loans held in AWM and prime mortgage loans held in Corporate. Classes are internally defined and may not align with regulatory definitions.
(g)
Includes loans to: individuals and individual entities (predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts), SPEs and Private education and civic organizations. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for more information on SPEs.
The following tables summarize the Firm’s loan balances by portfolio segment.
September 30, 2019
Consumer, excluding credit card
 
Credit card(a)
 
Wholesale
 
Total
 
(in millions)
 
Retained
$
331,809

 
$
159,571

 
$
437,507

 
$
928,887

(b) 
Held-for-sale
4,821

 
—

 
5,750

 
10,571

 
At fair value
—

 
—

 
5,760

 
5,760

 
Total
$
336,630

 
$
159,571

 
$
449,017

 
$
945,218

 
 
 
 
 
 
 
 
 
 
December 31, 2018
Consumer, excluding credit card
 
Credit card(a)
 
Wholesale
 
Total
 
(in millions)
 
Retained
$
373,637

 
$
156,616

 
$
439,162

 
$
969,415

(b) 
Held-for-sale
95

 
16

 
11,877

 
11,988

 
At fair value
—

 
—

 
3,151

 
3,151

 
Total
$
373,732

 
$
156,632

 
$
454,190

 
$
984,554

 
(a)
Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income.
(b)
Loans (other than PCI loans and loans for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of September 30, 2019, and December 31, 2018.


124

The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to held-for-sale during the periods indicated. Reclassifications of loans to held-for sale are non-cash transactions. The Firm manages its exposure to credit risk on an ongoing basis. Selling loans is one way that the Firm reduces its credit exposures. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table.

 

2019
 
2018
Three months ended September 30,
(in millions)
 

Consumer, excluding
credit card
Credit card
Wholesale
Total
 
Consumer, excluding
credit card
Credit card
Wholesale
Total
Purchases
 

$
259

(a)(b) 
$
—

$
453

$
712

 
$
561

(a)(b) 
$
—

$
285

$
846

Sales
 

14,970


—

5,559

20,529

 
1,789

 
—

4,197

5,986

Retained loans reclassified to held-for-sale
 

3,889

 
—

359

4,248

 
—


—

666

666

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2019
 
2018
Nine months ended September 30,
(in millions)
 
 
Consumer, excluding
credit card
Credit card
Wholesale
Total
 
Consumer, excluding
credit card
Credit card
Wholesale
Total
Purchases
 
 
$
1,044

(a)(b) 
$
—

$
1,041

$
2,085

 
$
2,164

(a)(b) 
$
—

$
1,915

$
4,079

Sales
 
 
30,484

 
—

16,404

46,888

 
4,661

 
—

12,829

17,490

Retained loans reclassified to held-for-sale
 
 
8,950

 
—

1,784

10,734

 
36

 
—

1,926

1,962


(a)
Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA.
(b)
Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $4.7 billion and $5.6 billion for the three months ended September 30, 2019 and 2018, respectively, and $12.2 billion and $14.5 billion for the nine months ended September 30, 2019 and 2018, respectively.

Gains and losses on sales of loans
Net gains on sales of loans (including adjustments to record loans held-for-sale at the lower of cost or fair value) recognized in noninterest revenue were $254 million and $433 million, for the three and nine months ended September 30, 2019, respectively. Gains and losses on sales of loans were not material for the three and nine months ended September 30, 2018. In addition, the sale of loans may also result in write downs, recoveries or changes in the allowance recognized in the provision for credit losses.
Consumer, excluding credit card loan portfolio
Consumer loans, excluding credit card loans, consist primarily of residential mortgages, home equity loans and lines of credit, auto loans and consumer and business banking loans, with a focus on serving the prime consumer credit market. The portfolio also includes home equity loans secured by junior liens, prime mortgage loans with an interest-only payment period and certain payment-option loans that may result in negative amortization.
 
The following table provides information about retained consumer loans, excluding credit card, by class.
(in millions)
September 30,
2019

December 31,
2018

Residential real estate – excluding PCI
 
 
Residential mortgage
$
197,456

$
231,078

Home equity
24,954

28,340

Other consumer loans
 
 
Auto
61,410

63,573

Consumer & Business Banking
26,699

26,612

Residential real estate – PCI
 
 
Home equity
7,753

8,963

Prime mortgage
4,164

4,690

Subprime mortgage
1,797

1,945

Option ARMs
7,576

8,436

Total retained loans
$
331,809

$
373,637

Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information on consumer credit quality indicators.

125

Residential real estate – excluding PCI loans
The following table provides information by class for retained residential real estate – excluding PCI loans.
Residential real estate – excluding PCI loans
 
 
 
 
 
 
(in millions, except ratios)
Residential mortgage
 
 
Home equity
 
 
Total residential real estate – excluding PCI
Sep 30,
2019

Dec 31,
2018

 
 
Sep 30,
2019

Dec 31,
2018

 
 
Sep 30,
2019

Dec 31,
2018

Loan delinquency(a)
 
 
 
 
 
 
 
 
 
 
Current
$
196,354

$
225,899

 
 
$
24,398

$
27,611

 
 
$
220,752

$
253,510

30–149 days past due
691

2,763

 
 
355

453

 
 
1,046

3,216

150 or more days past due
411

2,416

 
 
201

276

 
 
612

2,692

Total retained loans
$
197,456

$
231,078

 
 
$
24,954

$
28,340

 
 
$
222,410

$
259,418

% of 30+ days past due to total retained loans(b)
0.53
%
0.48
%
 
 
2.23
%
2.57
%
 
 
0.72
%
0.71
%
90 or more days past due and government guaranteed(c)
$
40

$
2,541

 
 
$
—

$
—

 
 
$
40

$
2,541

Nonaccrual loans
1,629

1,765

 
 
1,208

1,323

 
 
2,837

3,088

Current estimated LTV ratios(d)(e)
 
 
 
 
 
 
 
 
 


Greater than 125% and refreshed FICO scores:
 
 
 
 
 
 
 
 
 


Equal to or greater than 660
$
25

$
25

 
 
$
4

$
6

 
 
$
29

$
31

Less than 660
20

13

 
 
2

1

 
 
22

14

101% to 125% and refreshed FICO scores:
 
 
 
 
 
 
 
 
 


Equal to or greater than 660
22

37

 
 
68

111

 
 
90

148

Less than 660
35

53

 
 
23

38

 
 
58

91

80% to 100% and refreshed FICO scores:
 
 
 
 
 
 
 
 
 
 
Equal to or greater than 660
4,650

3,977

 
 
697

986

 
 
5,347

4,963

Less than 660
212

281

 
 
214

326

 
 
426

607

Less than 80% and refreshed FICO scores:
 
 
 
 
 
 
 
 
 


Equal to or greater than 660
185,438

212,505

 
 
20,394

22,632

 
 
205,832

235,137

Less than 660
6,035

6,457

 
 
2,842

3,355

 
 
8,877

9,812

No FICO/LTV available
952

813

 
 
710

885

 
 
1,662

1,698

U.S. government-guaranteed
67

6,917

 
 
—

—

 
 
67

6,917

Total retained loans
$
197,456

$
231,078

 
 
$
24,954

$
28,340

 
 
$
222,410

$
259,418

Geographic region(f)
 
 
 
 
 
 
 
 
 
 
California
$
66,166

$
74,759

 
 
$
5,074

$
5,695

 
 
$
71,240

$
80,454

New York
25,442

28,847

 
 
5,074

5,769

 
 
30,516

34,616

Illinois
13,304

15,249

 
 
1,868

2,131

 
 
15,172

17,380

Texas
12,345

13,769

 
 
1,640

1,819

 
 
13,985

15,588

Florida
10,195

10,704

 
 
1,366

1,575

 
 
11,561

12,279

Washington
7,638

8,304

 
 
762

869

 
 
8,400

9,173

Colorado
7,577

8,140

 
 
458

521

 
 
8,035

8,661

New Jersey
5,749

7,302

 
 
1,447

1,642

 
 
7,196

8,944

Massachusetts
5,610

6,574

 
 
208

236

 
 
5,818

6,810

Arizona
3,862

4,434

 
 
986

1,158

 
 
4,848

5,592

All other(g)
39,568

52,996

 
 
6,071

6,925

 
 
45,639

59,921

Total retained loans
$
197,456

$
231,078

 
 
$
24,954

$
28,340

 
 
$
222,410

$
259,418

(a)
Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $20 million and $2.8 billion; 30–149 days past due included $16 million and $2.1 billion; and 150 or more days past due included $31 million and $2.0 billion at September 30, 2019, and December 31, 2018, respectively.
(b)
At September 30, 2019, and December 31, 2018, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $47 million and $4.1 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(c)
These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the loans are guaranteed by U.S government agencies. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At September 30, 2019, and December 31, 2018, these balances included $38 million and $999 million, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at September 30, 2019, and December 31, 2018.
(d)
Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.
(e)
Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.
(f)
The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2019.
(g)
At September 30, 2019, and December 31, 2018, included mortgage loans insured by U.S. government agencies of $67 million and $6.9 billion, respectively. These amounts have been excluded from the geographic regions presented based upon the government guarantee.

126

Approximately 37% of the home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table provides the Firm’s delinquency statistics for junior lien home equity loans and lines of credit as of September 30, 2019, and December 31, 2018.
 
Total loans
 
Total 30+ day delinquency rate
(in millions, except ratios)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
HELOCs:(a)
 
 
 
 
 
Within the revolving period(b)
$
5,625

$
5,608

 
0.37
%
0.25
%
Beyond the revolving period
9,283

11,286

 
2.47

2.80

HELOANs
827

1,030

 
2.42

2.82

Total
$
15,735

$
17,924

 
1.72
%
2.00
%
(a)
These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period.
(b)
The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are experiencing financial difficulty.
 
HELOCs beyond the revolving period and HELOANs have higher delinquency rates than HELOCs within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for HELOCs within the revolving period. The higher delinquency rates associated with amortizing HELOCs and HELOANs are factored into the Firm’s allowance for loan losses.






Impaired loans
The table below sets forth information about the Firm’s residential real estate impaired loans, excluding PCI loans. These loans are considered to be impaired as they have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 13 of JPMorgan Chase’s 2018 Form 10-K.

(in millions)
Residential mortgage
 
Home equity
 
Total residential real estate – excluding PCI
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

Impaired loans
 
 
 
 
 
 
 
 
With an allowance
$
2,958

$
3,381

 
$
1,062

$
1,142

 
$
4,020

$
4,523

Without an allowance(a)
1,160

1,184

 
899

870

 
2,059

2,054

Total impaired loans(b)(c)
$
4,118

$
4,565

 
$
1,961

$
2,012

 
$
6,079

$
6,577

Allowance for loan losses related to impaired loans
$
63

$
88

 
$
14

$
45

 
$
77

$
133

Unpaid principal balance of impaired loans(d)
5,578

6,207

 
3,355

3,466

 
8,933

9,673

Impaired loans on nonaccrual status(e)
1,376

1,459

 
981

955

 
2,357

2,414

(a)
Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less cost to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At September 30, 2019, Chapter 7 residential real estate loans included approximately 12% of residential mortgages and 7% of home equity that were 30 days or more past due.
(b)
At September 30, 2019, and December 31, 2018, $16 million and $4.1 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure.
(c)
Predominantly all impaired loans in the table above are in the U.S.
(d)
Represents the contractual amount of principal owed at September 30, 2019, and December 31, 2018. The unpaid principal balance differs from the impaired loan balances due to various factors including charge-offs, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans.
(e)
At September 30, 2019 and December 31, 2018, nonaccrual loans included $1.9 billion and $2.0 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. Refer to the Loan accounting framework in Note 12 of JPMorgan Chase’s 2018 Form 10-K for additional information about loans modified in a TDR that are on nonaccrual status.

127

The following tables present average impaired loans and the related interest income reported by the Firm.
Three months ended September 30,
(in millions)
Average impaired loans
 
Interest income on
impaired loans(a)
 
Interest income on impaired
loans on a cash basis(a)
2019

2018

 
2019

2018

 
2019

2018

Residential mortgage
$
4,200

$
4,872

 
$
55

$
61

 
$
17

$
19

Home equity
1,938

2,065

 
33

33

 
21

21

Total residential real estate – excluding PCI
$
6,138

$
6,937

 
$
88

$
94

 
$
38

$
40

 
 
 
 
 
 
 
 
 
Nine months ended September 30,
(in millions)
Average impaired loans
 
Interest income on
impaired loans(a)
 
Interest income on impaired
loans on a cash basis(a)
2019

2018

 
2019

2018

 
2019

2018

Residential mortgage
$
4,390

$
5,242

 
$
171

$
197

 
$
52

$
58

Home equity
1,973

2,092

 
99

98

 
62

63

Total residential real estate – excluding PCI
$
6,363

$
7,334

 
$
270

$
295

 
$
114

$
121

(a)
Generally, interest income on loans modified in TDRs is recognized on a cash basis until the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent.

Loan modifications
Modifications of residential real estate loans, excluding PCI loans, are generally accounted for and reported as TDRs. There were no additional commitments to lend to borrowers whose residential real estate loans, excluding PCI loans, have been modified in TDRs.
 
The following table presents new TDRs reported by the Firm.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

2018

 
2019

2018

Residential mortgage
$
50

$
67

 
$
181

$
314

Home equity
100

55

 
214

241

Total residential real estate – excluding PCI
$
150

$
122

 
$
395

$
555




128

Nature and extent of modifications
The U.S. Treasury’s Making Home Affordable programs, as well as the Firm’s proprietary modification programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement.
The following tables provide information about how residential real estate loans, excluding PCI loans, were modified under the Firm’s loss mitigation programs described above during the periods presented. These tables exclude Chapter 7 loans where the sole concession granted is the discharge of debt.
Three months ended September 30,
 
 
Total residential
real estate –
excluding PCI
Residential mortgage
 
Home equity
 
2019

2018

 
2019

2018

 
2019

2018

Number of loans approved for a trial modification
365

513

 
854

586

 
1,219

1,099

Number of loans permanently modified
307

719

 
855

939

 
1,162

1,658

Concession granted:(a)
 
 
 
 
 
 
 
 
Interest rate reduction
78
%
58
%
 
93
%
77
%
 
89
%
69
%
Term or payment extension
94

83

 
59

88

 
68

86

Principal and/or interest deferred
21

30

 
6

11

 
10

19

Principal forgiveness
7

9

 
4

7

 
5

8

Other(b)
53

36

 
85

58

 
76

49

 
 
 
 
 
 
 
 
 
Nine months ended September 30,
 
 
Total residential
real estate –
excluding PCI
Residential mortgage
 
Home equity
 
2019

2018

 
2019

2018

 
2019

2018

Number of loans approved for a trial modification
1,603

1,789

 
1,786

1,895

 
3,389

3,684

Number of loans permanently modified
1,178

2,374

 
2,778

4,005

 
3,956

6,379

Concession granted:(a)
 
 
 
 
 
 
 
 
Interest rate reduction
65
%
36
%
 
83
%
57
%
 
78
%
49
%
Term or payment extension
91

49

 
64

62

 
72

57

Principal and/or interest deferred
26

47

 
7

22

 
13

31

Principal forgiveness
6

7

 
5

7

 
5

7

Other(b)
44

40

 
71

58

 
63

52

(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 forbearances that meet the definition of a TDR for the three and nine months ended September 30, 2019 and 2018. Forbearances suspend or reduce monthly payments for a specific period of time to address a temporary hardship.

129

Financial effects of modifications and redefaults
The following tables provide information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI loans, under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented. The following tables present only the financial effects of permanent modifications and do not include temporary concessions offered through trial modifications. These tables also exclude Chapter 7 loans where the sole concession granted is the discharge of debt.
Three months ended September 30,
(in millions, except weighted-average data)
Residential mortgage
 
Home equity
 
Total residential real estate – excluding PCI
2019

2018

 
2019

2018

 
2019

2018

Weighted-average interest rate of loans with interest rate reductions – before TDR
5.68
%
6.13
%
 
5.50
%
5.69
%
 
5.57
%
5.89
%
Weighted-average interest rate of loans with interest rate reductions – after TDR
3.99

4.23

 
3.30

3.83

 
3.58

4.01

Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR
21

22

 
19

18

 
20

21

Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR
39

39

 
39

39

 
39

39

Charge-offs recognized upon permanent modification
$
—

$
—

 
$
—

$
—

 
$
—

$
—

Principal deferred
5

7

 
1

2

 
6

9

Principal forgiven
1

3

 
1

1

 
2

4

Balance of loans that redefaulted within one year of permanent modification(a)
$
36

$
27

 
$
17

$
19

 
$
53

$
46

 
 
 
 
 
 
 
 
 
Nine months ended September 30,
(in millions, except weighted-average data)
Residential mortgage
 
Home equity
 
Total residential real estate – excluding PCI
2019

2018

 
2019

2018

 
2019

2018

Weighted-average interest rate of loans with interest rate reductions – before TDR
6.08
%
5.45
%
 
5.56
%
5.34
%
 
5.77
%
5.39
%
Weighted-average interest rate of loans with interest rate reductions – after TDR
4.36

3.64

 
3.60

3.39

 
3.90

3.49

Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR
21

24

 
20

18

 
20

22

Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR
39

38

 
40

39

 
39

38

Charge-offs recognized upon permanent modification
$
1

$
—

 
$
—

$
1

 
$
1

$
1

Principal deferred
13

17

 
4

7

 
17

24

Principal forgiven
3

9

 
3

5

 
6

14

Balance of loans that redefaulted within one year of permanent modification(a)
$
87

$
69

 
$
45

$
49

 
$
132

$
118

(a)
Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels.

At September 30, 2019, the weighted-average estimated remaining lives of residential real estate loans, excluding PCI loans, permanently modified in TDRs were 10 years for residential mortgage and 9 years for home equity. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).
 

Active and suspended foreclosure
At September 30, 2019, and December 31, 2018, the Firm had non-PCI residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $546 million and $653 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

130

Other consumer loans
The table below provides information for other consumer retained loan classes, including auto and business banking loans.
(in millions, except ratios)
Auto
 
Consumer &
Business Banking
 
Total other consumer
Sep 30, 2019

Dec 31, 2018

 
Sep 30, 2019

Dec 31, 2018

 
Sep 30, 2019

Dec 31, 2018

Loan delinquency
 
 
 
 
 
 
 
 
Current
$
60,872

$
62,984

 
$
26,346

$
26,249

 
$
87,218

$
89,233

30–119 days past due
534

589

 
231

252

 
765

841

120 or more days past due
4

—

 
122

111

 
126

111

Total retained loans
$
61,410

$
63,573

 
$
26,699

$
26,612

 
$
88,109

$
90,185

% of 30+ days past due to total retained loans
0.88
%
0.93
%
 
1.32
%
1.36
%
 
1.01
%
1.06
%
Nonaccrual loans(a)
112

128

 
268

245

 
380

373

Geographic region(b)
 
 
 
 
 
 
 
 
California
$
8,016

$
8,330

 
$
5,744

$
5,520

 
$
13,760

$
13,850

Texas
6,644

6,531

 
3,042

2,993

 
9,686

9,524

New York
3,627

3,863

 
4,339

4,381

 
7,966

8,244

Illinois
3,438

3,716

 
1,737

2,046

 
5,175

5,762

Florida
3,280

3,256

 
1,565

1,502

 
4,845

4,758

Arizona
1,990

2,084

 
1,268

1,491

 
3,258

3,575

Ohio
1,900

1,973

 
1,189

1,305

 
3,089

3,278

New Jersey
1,920

1,981

 
805

723

 
2,725

2,704

Michigan
1,279

1,357

 
1,264

1,329

 
2,543

2,686

Louisiana
1,598

1,587

 
768

860

 
2,366

2,447

All other
27,718

28,895

 
4,978

4,462

 
32,696

33,357

Total retained loans
$
61,410

$
63,573

 
$
26,699

$
26,612

 
$
88,109

$
90,185

Loans by risk ratings(c)
 
 
 
 
 
 
 
 
Noncriticized
$
13,823

$
15,749

 
$
18,738

$
18,743

 
$
32,561

$
34,492

Criticized performing
394

273

 
747

751

 
1,141

1,024

Criticized nonaccrual
—

—

 
218

191

 
218

191

(a)
There were no loans that were 90 or more days past due and still accruing interest at September 30, 2019, and December 31, 2018.
(b)
The geographic regions presented in this table are ordered based on the magnitude of the corresponding loan balances at September 30, 2019.
(c)
For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual.


131

Other consumer impaired loans and loan
modifications
The table below sets forth information about the Firm’s other consumer impaired loans, including risk-rated business banking and auto loans that have been placed on nonaccrual status, and loans that have been modified in TDRs.
(in millions)
September 30,
2019

 
December 31,
2018

Impaired loans
 
 
 
With an allowance
$
242

 
$
222

Without an allowance(a)
20

 
29

Total impaired loans(b)(c)
$
262

 
$
251

Allowance for loan losses related to impaired loans
$
68

 
$
63

Unpaid principal balance of impaired loans(d)
357

 
355

Impaired loans on nonaccrual status
240

 
229

(a)
When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.
(b)
Predominantly all other consumer impaired loans are in the U.S.
(c)
Other consumer average impaired loans were $254 million and $271 million for the three months ended September 30, 2019 and 2018, respectively, and $248 million and $281 million for the nine months ended September 30, 2019 and 2018, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the three and nine months ended September 30, 2019 and 2018.
(d)
Represents the contractual amount of principal owed at September 30, 2019, and December 31, 2018. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, interest payments received and applied to the principal balance, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans.
 
Loan modifications
Certain other consumer loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All of these TDRs are reported as impaired loans. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information on other consumer loans modified in TDRs.
At September 30, 2019 and December 31, 2018, other consumer loans modified in TDRs were $77 million and $79 million, respectively. The impact of these modifications, as well as new TDRs, were not material to the Firm for the three and nine months ended September 30, 2019 and 2018. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of September 30, 2019 and December 31, 2018 were not material. TDRs on nonaccrual status were $55 million and $57 million at September 30, 2019 and December 31, 2018, respectively.

132

Purchased credit-impaired loans
Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for a detailed discussion of PCI loans, including the related accounting policies.
Residential real estate – PCI loans
The table below sets forth information about the Firm’s consumer, excluding credit card, PCI loans.

(in millions, except ratios)
Home equity

Prime mortgage

Subprime mortgage

Option ARMs

Total PCI
Sep 30,
2019

Dec 31,
2018


Sep 30,
2019

Dec 31,
2018


Sep 30,
2019

Dec 31,
2018


Sep 30,
2019

Dec 31,
2018


Sep 30,
2019

Dec 31,
2018

Carrying value(a)
$
7,753

$
8,963


$
4,164

$
4,690


$
1,797

$
1,945


$
7,576

$
8,436


$
21,290

$
24,034

Loan delinquency (based on unpaid principal balance)




















Current
$
7,543

$
8,624


$
3,759

$
4,226


$
1,915

$
2,033


$
6,876

$
7,592


$
20,093

$
22,475

30–149 days past due
234

278


241

259


247

286


362

398


1,084

1,221

150 or more days past due
165

242


183

223


99

123


350

457


797

1,045

Total loans
$
7,942

$
9,144


$
4,183

$
4,708


$
2,261

$
2,442


$
7,588

$
8,447


$
21,974

$
24,741

% of 30+ days past due to total loans
5.02
%
5.69
%

10.14
%
10.24
%

15.30
%
16.75
%

9.38
%
10.12
%

8.56
%
9.16
%
Current estimated LTV ratios (based on unpaid principal balance)(b)(c)

















Greater than 125% and refreshed FICO scores:
























Equal to or greater than 660
$
13

$
17


$
2

$
1


$
—

$
—


$
3

$
3


$
18

$
21

Less than 660
10

13


6

7


7

9


5

7


28

36

101% to 125% and refreshed FICO scores:
























Equal to or greater than 660
96

135


6

6


7

4


18

17


127

162

Less than 660
46

65


19

22


24

35


18

33


107

155

80% to 100% and refreshed FICO scores:
























Equal to or greater than 660
643

805


58

75


52

54


102

119


855

1,053

Less than 660
271

388


71

112


109

161


128

190


579

851

Lower than 80% and refreshed FICO scores:
























Equal to or greater than 660
5,031

5,548


2,559

2,689


809

739


4,932

5,111


13,331

14,087

Less than 660
1,613

1,908


1,283

1,568


1,155

1,327


2,093

2,622


6,144

7,425

No FICO/LTV available
219

265


179

228


98

113


289

345


785

951

Total unpaid principal balance
$
7,942

$
9,144


$
4,183

$
4,708


$
2,261

$
2,442


$
7,588

$
8,447


$
21,974

$
24,741

Geographic region (based on unpaid principal balance)(d)




















California
$
4,704

$
5,420


$
2,280

$
2,578


$
549

$
593


$
4,355

$
4,798


$
11,888

$
13,389

Florida
865

976


295

332


218

234


630

713


2,008

2,255

New York
469

525


338

365


249

268


452

502


1,508

1,660

Illinois
207

233

 
139

154

 
115

123

 
181

199

 
642

709

Washington
348

419


85

98


38

44


155

177


626

738

New Jersey
184

210


117

134


81

88


222

258


604

690

Massachusetts
56

65


103

113


69

73


216

240


444

491

Maryland
43

48


89

95


90

96


160

178


382

417

Virginia
47

54


82

91


35

37


190

211


354

393

Arizona
138

165


60

69


39

43


99

112


336

389

All other
881

1,029


595

679


778

843


928

1,059


3,182

3,610

Total unpaid principal balance
$
7,942

$
9,144


$
4,183

$
4,708


$
2,261

$
2,442


$
7,588

$
8,447


$
21,974

$
24,741

(a)
Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition.
(b)
Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.
(c)
Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.
(d)
The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2019.

133

Approximately 26% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table represents the Firm’s delinquency statistics for PCI junior lien home equity loans and lines of credit based on the unpaid principal balance as of September 30, 2019, and December 31, 2018.
 
Total loans
 
Total 30+ day delinquency rate
(in millions, except ratios)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
HELOCs(a)(b)
5,623

6,531

 
3.66
%
4.00
%
HELOANs
234

280

 
2.99

3.57

Total
$
5,857

$
6,811

 
3.64
%
3.98
%
(a)
In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term. Substantially all HELOCs are beyond the revolving period.
(b)
Includes loans modified into fixed rate amortizing loans.
The table below presents the accretable yield activity for the Firm’s PCI consumer loans for the three and nine months ended September 30, 2019 and 2018, and represents the Firm’s estimate of gross interest income expected to be earned over the remaining life of the PCI loan portfolios. The table excludes the cost to fund the PCI portfolios, and therefore the accretable yield does not represent net interest income expected to be earned on these portfolios.
 
Total PCI
(in millions, except ratios)
Three months ended September 30,
 
Nine months ended September 30,
2019
2018
 
2019
2018
Beginning balance
$
7,699

$
8,722

 
$
8,422

$
11,159

Accretion into interest income
(272
)
(303
)
 
(841
)
(958
)
Changes in interest rates on variable-rate loans
(308
)
37

 
(402
)
(231
)
Other changes in expected cash flows(a)
255

46

 
195

(1,468
)
Balance at September 30
$
7,374

$
8,502

 
$
7,374

$
8,502

Accretable yield percentage
5.27
%
4.95
%
 
5.32
%
4.88
%
(a)
Other changes in expected cash flows may vary from period to period as the Firm continues to refine its cash flow model, for example cash flows expected to be collected due to the impact of modifications and changes in prepayment assumptions.
Active and suspended foreclosure
At September 30, 2019, and December 31, 2018, the Firm had PCI residential real estate loans with an unpaid principal balance of $776 million and $964 million, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

 
Credit card loan portfolio
Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information on the credit card loan portfolio, including credit quality indicators.
The table below sets forth information about the Firm’s credit card loans.
(in millions, except ratios)
September 30,
2019

December 31,
2018

Loan delinquency
 
 
Current and less than 30 days
past due and still accruing
$
156,629

$
153,746

30–89 days past due and still accruing
1,500

1,426

90 or more days past due and still accruing
1,442

1,444

Total retained loans
$
159,571

$
156,616

Loan delinquency ratios
 
 
% of 30+ days past due
 to total retained loans
1.84
%
1.83
%
% of 90+ days past due
 to total retained loans
0.90

0.92

Geographic region(a)
 
 
California
$
24,313

$
23,757

Texas
15,790

15,085

New York
13,940

13,601

Florida
10,101

9,770

Illinois
9,125

8,938

New Jersey
6,821

6,739

Ohio
5,093

5,094

Pennsylvania
4,918

4,996

Colorado
4,543

4,309

Michigan
3,942

3,912

All other
60,985

60,415

Total retained loans
$
159,571

$
156,616

Percentage of portfolio based on carrying value with estimated refreshed FICO scores
 
 
Equal to or greater than 660
83.6
%
84.2
%
Less than 660
15.6

15.0

No FICO available
0.8

0.8


(a)
The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2019.

134

Credit card impaired loans and loan modifications
Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for a detailed discussion of impaired credit card loans, including credit card loan modifications.
The table below sets forth information about the Firm’s impaired credit card loans. All of these loans are considered to be impaired as they have been modified in TDRs.
(in millions)
September 30,
2019

December 31,
2018

Impaired credit card loans with an allowance(a)(b)(c)
$
1,423

$
1,319

Allowance for loan losses related to impaired credit card loans
488

440

(a)
The carrying value and the unpaid principal balance are the same for credit card impaired loans.
(b)
There were no impaired loans without an allowance.
(c)
Predominantly all impaired credit card loans are in the U.S.
The following table presents average balances of impaired credit card loans and interest income recognized on those loans.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

2018

 
2019

2018

Average impaired credit card loans
$
1,406

$
1,267

 
$
1,371

$
1,245

Interest income on impaired credit card loans
18

17

 
53

48


Loan modifications
The Firm may offer one of a number of loan modification programs to credit card borrowers who are experiencing financial difficulty. Most of the credit card loans have been modified under long-term programs for borrowers who are experiencing financial difficulties. 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 are considered to be TDRs. New enrollments in these loan modification programs were $242 million and $215 million for the three months ended September 30, 2019 and 2018, respectively, and $717 million and $640 million for the nine months ended September 30, 2019 and 2018, respectively. For all periods disclosed, new enrollments were less than 1% of total retained credit card loans.
Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for additional information about credit card loan modifications.
 
Financial effects of modifications and redefaults
The following table provides information about the financial effects of the concessions granted on credit card loans modified in TDRs and redefaults for the periods presented.
(in millions, except
weighted-average data)
Three months ended September 30,
 
Nine months ended September 30,
2019

2018

 
2019

2018

Weighted-average interest rate of loans –
before TDR
19.18
%
18.25
%
 
19.23
%
17.82
%
Weighted-average interest rate of loans –
after TDR
4.65

5.10

 
4.80

5.12

Loans that redefaulted within one year of modification(a)
$
42

$
31

 
$
108

$
82

(a)
Represents loans modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted.
For credit card loans modified in TDRs, payment default is deemed to have occurred when the borrower misses two consecutive contractual payments. A substantial portion of these loans are expected to be charged-off in accordance with the Firm’s standard charge-off policy. Based on historical experience, the estimated weighted-average default rate for modified credit card loans was expected to be 34.30% and 33.38% as of September 30, 2019, and December 31, 2018, respectively.

135

Wholesale loan portfolio
Wholesale loans include loans made to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals. The primary credit quality indicator for wholesale loans is the risk rating assigned to
 
each loan. Refer to Note 12 and Note 13 of JPMorgan Chase’s 2018 Form 10-K for further information on these risk ratings.

The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment.
 
Commercial
 and industrial
 
Real estate
 
Financial
institutions
Governments & Agencies
 
Other(d)
Total
retained loans
(in millions,
 except ratios)
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
Sep 30,
2019
Dec 31,
2018
Loans by risk ratings
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment-grade
$
61,709

$
73,497

 
$
101,379

$
100,107

 
$
39,492

$
32,178

$
12,905

$
13,984

 
$
121,813

$
119,963

$
337,298

$
339,729

Noninvestment-grade:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Noncriticized
52,484

51,720

 
13,574

14,876

 
16,123

15,316

206

201

 
11,059

11,478

93,446

93,591

Criticized performing
3,743

3,738

 
808

620

 
202

150

—

2

 
540

182

5,293

4,692

Criticized nonaccrual
1,291

851

 
65

134

 
22

4

—

—

 
92

161

1,470

1,150

Total noninvestment-
grade
57,518

56,309

 
14,447

15,630

 
16,347

15,470

206

203

 
11,691

11,821

100,209

99,433

Total retained loans
$
119,227

$
129,806

 
$
115,826

$
115,737

 
$
55,839

$
47,648

$
13,111

$
14,187

 
$
133,504

$
131,784

$
437,507

$
439,162

% of total criticized exposure to
total retained loans
4.22
%
3.54
%
 
0.75
%
0.65
%
 
0.40
%
0.32
%
—
%
0.01
%
 
0.47
%
0.26
%
1.55
%
1.33
%
% of criticized nonaccrual
to total retained loans
1.08

0.66

 
0.06

0.12

 
0.04

0.01

—

—

 
0.07

0.12

0.34

0.26

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans by geographic
distribution(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total non-U.S.
$
28,850

$
29,572

 
$
3,202

$
2,967

 
$
17,112

$
18,524

$
2,699

$
3,150

 
$
48,394

$
48,433

$
100,257

$
102,646

Total U.S.
90,377

100,234

 
112,624

112,770

 
38,727

29,124

10,412

11,037

 
85,110

83,351

337,250

336,516

Total retained loans
$
119,227

$
129,806

 
$
115,826

$
115,737

 
$
55,839

$
47,648

$
13,111

$
14,187

 
$
133,504

$
131,784

$
437,507

$
439,162

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loan
 delinquency(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Current and less than 30 days past due and still accruing
$
117,621

$
128,678

 
$
115,733

$
115,533

 
$
55,764

$
47,622

$
13,097

$
14,165

 
$
132,844

$
130,918

$
435,059

$
436,916

30–89 days past due
and still accruing
279

109

 
22

67

 
51

12

13

18

 
568

702

933

908

90 or more days
past due and
still accruing(c)
36

168

 
6

3

 
2

10

1

4

 
—

3

45

188

Criticized nonaccrual
1,291

851

 
65

134

 
22

4

—

—

 
92

161

1,470

1,150

Total
 retained loans
$
119,227

$
129,806

 
$
115,826

$
115,737

 
$
55,839

$
47,648

$
13,111

$
14,187

 
$
133,504

$
131,784

$
437,507

$
439,162

(a)
The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.
(b)
The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for a further discussion.
(c)
Represents loans that are considered well-collateralized and therefore still accruing interest.
(d)
Other includes individuals and individual entities (predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts), SPEs and Private education and civic organizations. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for more information on SPEs.

136

The following table presents additional information on the real estate class of loans within the Wholesale portfolio for the periods indicated. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further information on real estate loans.

(in millions, except ratios)
Multifamily
 
Other commercial
 
Total real estate loans
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

Real estate retained loans
$
79,169

$
79,184

 
$
36,657

$
36,553

 
$
115,826

$
115,737

Criticized exposure
533

388

 
340

366

 
873

754

% of total criticized exposure to total real estate retained loans
0.67
%
0.49
%
 
0.93
%
1.00
%
 
0.75
%
0.65
%
Criticized nonaccrual
$
34

$
57

 
$
31

$
77

 
$
65

$
134

% of criticized nonaccrual loans to total real estate retained loans
0.04
%
0.07
%
 
0.08
%
0.21
%
 
0.06
%
0.12
%

Wholesale impaired retained loans and loan modifications
Wholesale impaired retained loans consist of loans that have been placed on nonaccrual status and/or that have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 13 of JPMorgan Chase’s 2018 Form 10-K.
The table below sets forth information about the Firm’s wholesale impaired retained loans.

(in millions)
Commercial
and industrial
 
Real estate
 
Financial
institutions
 
Governments &
 Agencies
 
Other
 
Total
retained loans
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
Dec 31,
2018
 
Sep 30,
2019
 
Dec 31,
2018
 
Impaired loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
With an allowance
$
1,068

$
807

 
$
46

$
107

 
$
22

$
4

 
$
—

$
—

 
$
96

$
152

 
$
1,232

 
$
1,070

 
Without an allowance(a)
279

140

 
21

27

 
—

—

 
—

—

 
4

13

 
304

 
180

 
Total impaired loans
$
1,347

$
947

 
$
67

$
134

 
$
22

$
4

 
$
—

$
—

 
$
100

$
165

 
$
1,536

(c) 
$
1,250

(c) 
Allowance for loan losses related to impaired loans
$
320

$
252

 
$
13

$
25

 
$
7

$
1

 
$
—

$
—

 
$
2

$
19

 
$
342

 
$
297

 
Unpaid principal balance of impaired loans(b)
1,532

1,043

 
104

203

 
23

4

 
—

—

 
336

473

 
1,995

 
1,723

 
(a)
When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance.
(b)
Represents the contractual amount of principal owed at September 30, 2019, and December 31, 2018. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans.
(c)
Based upon the domicile of the borrower, largely consists of loans in the U.S.
The following table presents the Firm’s average impaired retained loans for the periods indicated.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

2018

 
2019

2018

Commercial and industrial
$
1,073

$
838

 
$
1,082

$
1,095

Real estate
80

134

 
105

138

Financial institutions
9

45

 
11

76

Governments & Agencies
—

—

 
—

—

Other
123

202

 
207

214

Total(a)
$
1,285

$
1,219

 
$
1,405

$
1,523

(a)
The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the three and nine months ended September 30, 2019 and 2018.
 
Certain loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All TDRs are reported as impaired loans in the tables above. TDRs were $498 million and $576 million as of September 30, 2019, and December 31, 2018, respectively. The impact of these modifications, as well as new TDRs, were not material to the Firm for the three and nine months ended September 30, 2019 and 2018.


137

Note 12 – Allowance for credit losses
Refer to Note 13 of JPMorgan Chase’s 2018 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.
 
2019
 
2018
 
Nine months ended September 30,
(in millions)
Consumer, excluding
credit card
Credit card
 
Wholesale
Total
 
Consumer, excluding credit card
 
Credit card
 
Wholesale
Total
 
Allowance for loan losses
 
 
 
 
 
 
 
 
 
 
 
 
 
Beginning balance at January 1,
$
4,146

$
5,184

 
$
4,115

$
13,445

 
$
4,579

 
$
4,884

 
$
4,141

$
13,604

 
Gross charge-offs
702

4,050

 
270

5,022

 
776

 
3,777

 
264

4,817

 
Gross recoveries
(420
)
(433
)
 
(34
)
(887
)
 
(681
)
 
(370
)
 
(146
)
(1,197
)
 
Net charge-offs
282

3,617

 
236

4,135

 
95

 
3,407

 
118

3,620

 
Write-offs of PCI loans(a)
132

—

 
—

132

 
151

 
—

 
—

151

 
Provision for loan losses
(265
)
4,017

 
296

4,048

 
(152
)
 
3,557

 
(111
)
3,294

 
Other
—

(1
)
 
10

9

 
1

 
—

 
—

1

 
Ending balance at September 30,
$
3,467

$
5,583

 
$
4,185

$
13,235

 
$
4,182

 
$
5,034

 
$
3,912

$
13,128

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Allowance for loan losses by impairment methodology
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-specific(b)
$
145

$
488

(c) 
$
342

$
975

 
$
204

 
$
421

(c) 
$
280

$
905

 
Formula-based
2,066

5,095

 
3,843

11,004

 
2,154

 
4,613

 
3,632

10,399

 
PCI
1,256

—

 
—

1,256

 
1,824

 
—

 
—

1,824

 
Total allowance for loan losses
$
3,467

$
5,583

 
$
4,185

$
13,235

 
$
4,182

 
$
5,034

 
$
3,912

$
13,128

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans by impairment methodology
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-specific
$
6,341

$
1,423

 
$
1,536

$
9,300

 
$
7,046

 
$
1,284

 
$
1,051

$
9,381

 
Formula-based
304,178

158,148

 
435,971

898,297

 
343,703

 
146,572

 
422,783

913,058

 
PCI
21,290

—

 
—

21,290

 
25,209

 
—

 
3

25,212

 
Total retained loans
$
331,809

$
159,571

 
$
437,507

$
928,887

 
$
375,958

 
$
147,856

 
$
423,837

$
947,651

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Impaired collateral-dependent loans
 
 
 
 
 
 
 
 
 
 
 
 
 
Net charge-offs
$
28

$
—

 
$
23

$
51

 
$
15

 
$
—

 
$
—

$
15

 
Loans measured at fair value of collateral less cost to sell
2,083

—

 
113

2,196

 
2,077

 
—

 
258

2,335

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Allowance for lending-related commitments
 
 
 
 
 
 
 
 
 
 
 
 
 
Beginning balance at January 1,
$
33

$
—

 
$
1,022

$
1,055

 
$
33

 
$
—

 
$
1,035

$
1,068

 
Provision for lending-related commitments
—

—

 
110

110

 
—

 
—

 
29

29

 
Other
—

—

 
—

—

 
—

 
—

 
—

—

 
Ending balance at September 30,
$
33

$
—

 
$
1,132

$
1,165

 
$
33

 
$
—

 
$
1,064

$
1,097

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Allowance for lending-related commitments by impairment methodology
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-specific
$
—

$
—

 
$
135

$
135

 
$
—

 
$
—

 
$
71

$
71

 
Formula-based
33

—

 
997

1,030

 
33

 
—

 
993

1,026

 
Total allowance for lending-related commitments
$
33

$
—

 
$
1,132

$
1,165

 
$
33

 
$
—

 
$
1,064

$
1,097

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Lending-related commitments by impairment methodology
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-specific
$
—

$
—

 
$
446

$
446

 
$
—

 
$
—

 
$
252

$
252

 
Formula-based
53,591

645,880

 
395,173

1,094,644

 
50,630

 
600,728

 
397,064

1,048,422

 
Total lending-related commitments
$
53,591

$
645,880

 
$
395,619

$
1,095,090

 
$
50,630

 
$
600,728

 
$
397,316

$
1,048,674

 

(a)
Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool.
(b)
Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR.
(c)
The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.


138

Note 13 – Variable interest entities
Refer to Note 1 of JPMorgan Chase’s 2018 Form 10-K for a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs.
The following table summarizes the most significant types of Firm-sponsored VIEs by business segment.
Line of Business
Transaction Type
Activity
Form 10-Q page reference
CCB
Credit card securitization trusts
Securitization of originated credit card receivables
139
 
Mortgage securitization trusts
Servicing and securitization of both originated and purchased residential mortgages
139-141
CIB
Mortgage and other securitization trusts
Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans
139-141
 
Multi-seller conduits
Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs
141
 
Municipal bond vehicles
Financing of municipal bond investments
141

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 142–143 of this Note for more information on the VIEs sponsored by third parties.
Significant Firm-sponsored VIEs
Credit card securitizations
Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations.
As a result of the Firm’s continuing involvement, the Firm is considered to be the primary beneficiary of its Firm-sponsored credit card securitization trusts, including its primary vehicle, the Chase Issuance Trust. Refer to the table on page 142 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 2018 Form 10-K for a detailed discussion of the Firm’s involvement with Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts.

139

The following table presents the total unpaid principal amount of assets held in Firm-sponsored private-label securitization entities, including those in which the Firm has continuing involvement, and those that are consolidated by the Firm. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. Refer to Securitization activity on page 143 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 143–144 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)
September 30, 2019 (in millions)
Total assets held by securitization VIEs
Assets
held in consolidated securitization VIEs
Assets held in nonconsolidated securitization VIEs with continuing involvement
 
Trading assets
 Investment securities
Other financial assets
Total interests held by JPMorgan
Chase
Securitization-related(a)
 
 
 
 
 
 
 
 
Residential mortgage:
 
 
 
 
 
 
 
 
Prime/Alt-A and option ARMs
$
61,480

$
2,966

$
49,826

 
$
522

$
728

$
—

$
1,250

Subprime
15,156

—

14,085

 
16

—

—

16

Commercial and other(b)
101,624

—

86,302

 
919

708

234

1,861

Total
$
178,260

$
2,966

$
150,213

 
$
1,457

$
1,436

$
234

$
3,127

 
Principal amount outstanding
 
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2018 (in millions)
Total assets held by securitization VIEs
Assets
held in consolidated securitization VIEs
Assets held in nonconsolidated securitization VIEs with continuing involvement
 
Trading assets
 Investment securities
Other financial assets
Total interests held by
JPMorgan
Chase
Securitization-related(a)
 
 
 
 
 
 
 
 
Residential mortgage:
 
 
 
 
 
 
 
 
Prime/Alt-A and option ARMs
$
63,350

$
3,237

$
50,679

 
$
623

$
647

$
—

$
1,270

Subprime
16,729

32

15,434

 
53

—

—

53

Commercial and other(b)
102,961

—

79,387

 
783

801

210

1,794

Total
$
183,040

$
3,269

$
145,500

 
$
1,459

$
1,448

$
210

$
3,117

(a)
Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 143–144 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
(b)
Consists of securities backed by commercial real estate loans and non-mortgage-related consumer receivables purchased from third parties.
(c)
Excludes the following: retained servicing (refer to Note 14 for a discussion of MSRs); securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (Refer to Note 4 for further information on derivatives); senior and subordinated securities of $168 million and $69 million, respectively, at September 30, 2019, and $87 million and $28 million, respectively, at December 31, 2018, which the Firm purchased in connection with CIB’s secondary market-making activities.
(d)
Includes interests held in re-securitization transactions.
(e)
As of September 30, 2019, and December 31, 2018, 67% and 60%, 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 $1.2 billion and $1.3 billion of investment-grade, and $55 million and $16 million of noninvestment-grade at September 30, 2019, and December 31, 2018, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.3 billion and $1.2 billion of investment-grade retained interests at September 30, 2019 and December 31, 2018, and $567 million and $623 million of noninvestment-grade retained interests at September 30, 2019, and December 31, 2018, respectively.

140

Residential mortgage
The Firm securitizes residential mortgage loans originated by CCB, as well as residential mortgage loans purchased from third parties by either CCB or CIB. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed description of the Firm’s involvement with residential mortgage securitizations. Refer to the table on page 142 of this Note for more information on the consolidated residential mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated residential mortgage securitizations.
Commercial mortgages and other consumer securitizations
CIB originates and securitizes commercial mortgage loans, and engages in underwriting and trading activities involving the securities issued by securitization trusts. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations. Refer to the table on page 142 of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated securitizations.
Re-securitizations
Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed description of JPMorgan Chase’s participation in certain re-securitization transactions.
The following table presents the principal amount of securities transferred to re-securitization VIEs.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Transfers of securities to VIEs
 
 
 
 
 
 
 
U.S. GSEs and government agencies
$
5,377

 
$
2,540

 
$
12,444

 
$
11,321

The following table presents information on nonconsolidated re-securitization VIEs.
 
Nonconsolidated
re-securitization VIEs
(in millions)
September 30, 2019

 
December 31, 2018

Firm-sponsored private-label
 
 
 
Assets held in VIEs with continuing involvement(a)
$
21

 
$
118

Interest in VIEs
—

 
10

U.S. GSEs and government agencies
 
 
 
Interest in VIEs
2,097

 
3,058

(a)
Represents the principal amount and includes the notional amount of interest-only securities.
As of September 30, 2019, and December 31, 2018, the Firm did not consolidate any U.S. GSE and government agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs.
 
Multi-seller conduits
Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits.
In the normal course of business, JPMorgan Chase makes markets in and invests in commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $12.6 billion and $20.1 billion of the commercial paper issued by the Firm-administered multi-seller conduits at September 30, 2019, and December 31, 2018, 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 $8.5 billion and $8.0 billion at September 30, 2019, and December 31, 2018, 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 pages 142–143 of this Note for further information.
The Firm serves as sponsor for all non-customer TOB transactions. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a more detailed description of JPMorgan Chase’s Municipal bond vehicles.



141

Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of September 30, 2019, and December 31, 2018.
 
Assets
 
Liabilities
September 30, 2019 (in millions)
Trading assets
Loans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
 
 
 
 
 
 
 
 
Firm-sponsored credit card trusts
$
—

$
27,377

$
370

$
27,747

 
$
6,457

$
6

$
6,463

Firm-administered multi-seller conduits
3

22,708

334

23,045

 
10,514

35

10,549

Municipal bond vehicles
1,280

—

3

1,283

 
1,249

2

1,251

Mortgage securitization entities(a)
70

2,937

58

3,065

 
295

137

432

Other
108

—

209

317

 
—

121

121

Total
$
1,461

$
53,022

$
974

$
55,457

 
$
18,515

$
301

$
18,816

 
 
 
 
 
 
 
 
 
 
Assets
 
Liabilities
December 31, 2018 (in millions)
Trading assets
Loans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
 
 
 
 
 
 
 
 
Firm-sponsored credit card trusts
$
—

$
31,760

$
491

$
32,251

 
$
13,404

$
12

$
13,416

Firm-administered multi-seller conduits
—

24,411

300

24,711

 
4,842

33

4,875

Municipal bond vehicles
1,779

—

4

1,783

 
1,685

3

1,688

Mortgage securitization entities(a)
53

3,285

40

3,378

 
308

161

469

Other
134

—

178

312

 
2

103

105

Total
$
1,966

$
59,456

$
1,013

$
62,435

 
$
20,241

$
312

$
20,553

(a)
Includes residential and commercial mortgage securitizations.
(b)
Includes assets classified as cash and other assets on the Consolidated balance sheets.
(c)
The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.
(d)
The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. Refer to note 14 of JPMorgan Chase’s 2018 Form 10-K for conduits program-wide credit enhancements. Included in beneficial interests in VIE assets are long-term beneficial interests of $6.8 billion and $13.7 billion at September 30, 2019, and December 31, 2018.
(e)
Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
VIEs sponsored by third parties
The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that construct, own and operate affordable housing, wind, solar and other alternative energy projects. These entities are primarily considered VIEs. A third party is typically the
 
general partner or managing member and has control over the significant activities of the tax credit vehicles, and accordingly the Firm does not consolidate tax credit vehicles. The Firm generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits allocated to the projects. The maximum loss exposure, represented by equity investments and funding commitments, was $17.0 billion and $16.5 billion, of which $4.8 billion and $4.0 billion was unfunded at September 30, 2019 and December 31, 2018, respectively. In order to reduce the risk of loss, the Firm assesses each project and withholds varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 24 of JPMorgan Chase’s 2018 Form 10-K for further information on affordable housing tax credits. Refer to 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

142

Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder.
In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate Customer TOB trusts, since the Firm does not have the power to make decisions that significantly impact the economic performance of the municipal bond vehicle.
The Firm’s maximum exposure as a liquidity provider to Customer TOB trusts at September 30, 2019 and
 
December 31, 2018 was $5.3 billion and $4.8 billion, respectively. The fair value of assets held by such VIEs at September 30, 2019 and December 31, 2018, was $8.6 billion and $7.7 billion, respectively. Refer to Note 22 for more information on off-balance sheet lending-related commitments.
Loan securitizations
The Firm has securitized and sold a variety of loans, including residential mortgage, credit card, and commercial mortgage. Refer to Note 14 of JPMorgan Chase’s 2018 Form 10-K for a further description of the Firm’s accounting policies regarding securitizations.
Securitization activity
The following table provides information related to the Firm’s securitization activities for the three and nine months ended September 30, 2019 and 2018, related to assets held in Firm-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved at the time of the securitization.
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
(in millions)
Residential mortgage(e)
Commercial and other(f)
 
Residential mortgage(e)
Commercial and other(f)
 
Residential mortgage(e)
Commercial and other(f)
 
Residential mortgage(e)
Commercial and other(f)
Principal securitized
$
3,225

$
1,477

 
$
1,513

$
3,533

 
$
7,132

$
4,215

 
$
5,972

$
8,705

All cash flows during the period(a):
 
 
 
 
 
 
 
 
 
 
 
Proceeds received from loan sales as financial instruments(b)(c)
$
3,327

$
1,506

 
$
1,524

$
3,558

 
$
7,337

$
4,329

 
$
5,984

$
8,745

Servicing fees collected(d)
70

—

 
80

1

 
220

1

 
240

1

Cash flows received on interests
115

34

 
99

99

 
314

183

 
328

230

(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)
The prior period amounts have been revised to conform with the current period presentation.
(e)
Includes prime mortgages only. Excludes loan securitization activity related to U.S. GSEs and government agencies.
(f)
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, and Note 27 of JPMorgan Chase’s 2018 Form 10-K for additional information about the Firm’s loan sales- and securitization-related indemnifications. Refer to Note 14 for additional information about the impact of the Firm’s sale of certain excess MSRs.

143

The following table summarizes the activities related to loans sold to the U.S. GSEs, and loans in securitization transactions pursuant to Ginnie Mae guidelines.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

2018

 
2019
2018
Carrying value of loans sold
$
35,556

$
11,968

 
$
73,873

$
28,804

Proceeds received from loan sales as cash
3

1

 
73

1

Proceeds from loan sales as securities(a)(b)
35,512

11,713

 
73,172

28,291

Total proceeds received from loan sales(c)
$
35,515

$
11,714

 
$
73,245

$
28,292

Gains on loan sales(d)(e)
$
342

$
9

 
$
495

$
32

(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 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 September 30, 2019 and December 31, 2018. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)
Sep 30,
2019

Dec 31,
2018

Loans repurchased or option to repurchase(a)
$
4,761

$
7,021

Real estate owned
50

75

Foreclosed government-guaranteed residential mortgage loans(b)
241

361

(a)
Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools.
(b)
Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable.

Loan delinquencies and liquidation losses
The table below includes information about components of nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement, and delinquencies as of September 30, 2019, and December 31, 2018.
 
 
 
 
 
Net liquidation losses(a)
 
Securitized assets
 
90 days past due
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
Sep 30,
2019

Dec 31,
2018

 
Sep 30,
2019

Dec 31,
2018

 
2019

2018

 
2019

2018

Securitized loans
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage:
 
 
 
 
 
 
 
 
 
 
 
Prime / Alt-A & option ARMs
$
49,826

$
50,679

 
$
2,679

$
3,354

 
$
146

$
182

 
$
474

$
453

Subprime
14,085

15,434

 
1,962

2,478

 
145

155

 
456

(307
)
Commercial and other
86,302

79,387

 
153

225

 
118

71

 
283

119

Total loans securitized
$
150,213

$
145,500

 
$
4,794

$
6,057

 
$
409

$
408

 
$
1,213

$
265


(a)
Includes liquidation gains as a result of private label mortgage settlement payments during the first quarter of 2018, which were reflected as asset recoveries by trustees.



144

Note 14 – Goodwill and Mortgage servicing rights
Refer to Note 15 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the accounting policies related to goodwill and mortgage servicing rights.
Goodwill
The following table presents goodwill attributed to the business segments.
(in millions)
September 30,
2019

December 31,
2018

Consumer & Community Banking
$
31,038

$
30,984

Corporate & Investment Bank
6,941

6,770

Commercial Banking
2,982

2,860

Asset & Wealth Management
6,857

6,857

Total goodwill
$
47,818

$
47,471


The following table presents changes in the carrying amount of goodwill.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2019

 
2018

 
2019

 
2018

Balance at beginning
of period
$
47,477

 
$
47,488

 
$
47,471

 
$
47,507

Changes during the period from:
 
 
 
 
 
 
 
Business combinations(a)
348

 
—

 
348

 
—

Other(b)
(7
)
 
(5
)
 
(1
)
 
(24
)
Balance at September 30,
$
47,818

 
$
47,483

 
$
47,818

 
$
47,483

(a)
For the three and nine months periods ended September 30, 2019, represents goodwill associated with the July 24, 2019 acquisition of InstaMed. This goodwill was allocated to CIB, CB and CCB.
(b)
Primarily relates to foreign currency adjustments.
 
Goodwill impairment testing
Refer to Impairment testing on pages 252–253 of JPMorgan Chase’s 2018 Form 10-K for a further description of the Firm’s goodwill impairment testing, including the primary method used to estimate the fair value of the reporting units, and the assumptions used in the goodwill impairment test.
The Firm reviewed current economic conditions, estimated market cost of equity, as well as actual and projections of business performance for all its businesses. Based upon such reviews, the Firm concluded that the goodwill allocated to its reporting units was not impaired as of September 30, 2019 or December 31, 2018, nor was goodwill written off due to impairment during the nine months ended September 30, 2019 or 2018.
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 or their associated goodwill to decline in the future, which could result in a material impairment charge to earnings in a future period related to some portion of the associated goodwill.

145

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 2018 Form 10-K for a further description of the MSR asset, interest rate risk management, and the valuation of MSRs.
The following table summarizes MSR activity for the three and nine months ended September 30, 2019 and 2018.
 
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)
2019

2018

2019

 
2018

Fair value at beginning of period
$
5,093

$
6,241

$
6,130

 
$
6,030

MSR activity:
 
 
 
 
 
Originations of MSRs
390

278

1,146

 
611

Purchase of MSRs
(2
)
13

104

 
159

Disposition of MSRs(a)
(359
)
(2
)
(687
)
 
(401
)
Net additions/(dispositions)
29

289

563

 
369

 
 
 
 
 
 
Changes due to collection/realization of expected cash flows
(256
)
(195
)
(702
)
 
(542
)
 
 
 
 
 
 
Changes in valuation due to inputs and assumptions:
 
 
 
 
 
Changes due to market interest rates and other(b)
(433
)
150

(1,274
)
 
635

Changes in valuation due to other inputs and assumptions:
 
 
 
 
 
Projected cash flows (e.g., cost to service)
17

14

(333
)
(e) 
14

Discount rates
—

—

153

 
24

Prepayment model changes and other(c)
(31
)
(66
)
(118
)
 
(97
)
Total changes in valuation due to other inputs and assumptions
(14
)
(52
)
(298
)
 
(59
)
Total changes in valuation due to inputs and assumptions
(447
)
98

(1,572
)
 
576

Fair value at September 30,
$
4,419

$
6,433

$
4,419

 
$
6,433

 
 
 
 
 
 
Change in unrealized gains/(losses) included in income related to MSRs held at September 30,
$
(447
)
$
98

$
(1,572
)
 
$
576

Contractual service fees, late fees and other ancillary fees included in income
397

428

1,254

 
1,339

Third-party mortgage loans serviced at September 30, (in billions)
537

528

537

 
528

Servicer advances, net of an allowance for uncollectible amounts, at September 30, (in billions)(d)
2.0

3.1

2.0

 
3.1

(a)
Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired the remaining balance of those SMBS as trading securities.
(b)
Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(c)
Represents changes in prepayments other than those attributable to changes in market interest rates.
(d)
Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.
(e)
The decrease in projected cash flows was largely related to default servicing assumption updates.

146

The following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the three and nine months ended September 30, 2019 and 2018.
 
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
 
2019

 
2018

 
2019

 
2018

CCB mortgage fees and related income
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net production revenue
 
$
738

 
$
108

 
$
1,291

 
$
296

 
 
 
 
 
 
 
 
 
Net mortgage servicing revenue:
 
 
 
 
 
 
 
 
Operating revenue:
 
 
 
 
 
 
 
 
Loan servicing revenue
 
351

 
435

 
1,172

 
1,389

Changes in MSR asset fair value due to collection/realization of expected cash flows
 
(256
)
 
(195
)
 
(702
)
 
(542
)
Total operating revenue
 
95

 
240

 
470

 
847

Risk management:
 
 
 
 
 
 
 
 
Changes in MSR asset fair value due to market interest rates and other(a)
 
(433
)
 
150

 
(1,274
)
 
636

Other changes in MSR asset fair value due to other inputs and assumptions
in model(b)
 
(14
)
 
(52
)
 
(298
)
 
(59
)
Change in derivative fair value and other
 
500

 
(186
)
 
1,372

 
(671
)
Total risk management
 
53

 
(88
)
 
(200
)
 
(94
)
Total net mortgage servicing revenue
 
148

 
152

 
270

 
753

 
 
 
 
 
 
 
 
 
Total CCB mortgage fees and related income
 
886

 
260

 
1,561

 
1,049

 
 
 
 
 
 
 
 
 
All other
 
1

 
2

 
1

 
2

Mortgage fees and related income
 
$
887

 
$
262

 
$
1,562

 
$
1,051

(a)
Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(b)
Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2019, and December 31, 2018, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
(in millions, except rates)
Sep 30,
2019

 
Dec 31,
2018

Weighted-average prepayment speed assumption (constant prepayment rate)
13.81
%
 
8.78
%
Impact on fair value of 10% adverse change
$
(206
)
 
$
(205
)
Impact on fair value of 20% adverse change
(393
)
 
(397
)
Weighted-average option adjusted spread(a)(b)
8.26
%
 
7.87
%
Impact on fair value of a 100 basis point adverse change
$
(150
)
 
$
(235
)
Impact on fair value of a 200 basis point adverse change
(289
)
 
(452
)

(a)
Includes the impact of operational risk and regulatory capital.
(b)
The prior period amount has been revised to conform with the current period presentation.
 
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.


147

Note 15 – Deposits
Refer to Note 17 of JPMorgan Chase’s 2018 Form 10-K for further information on deposits.
At September 30, 2019, and December 31, 2018, noninterest-bearing and interest-bearing deposits were as follows.
(in millions)
September 30,
2019

 
December 31, 2018

U.S. offices
 
 
 
Noninterest-bearing (included $23,225 and $17,204 at fair value)(a)(b)
$
393,522

 
$
386,709

Interest-bearing (included $2,523 and $2,487 at fair value)(a)(b)
844,137

 
813,881

Total deposits in U.S. offices
1,237,659

 
1,200,590

Non-U.S. offices
 
 
 
Noninterest-bearing (included $2,289 and $2,367 at fair value)(a)(b)
21,455

 
21,459

Interest-bearing (included $1,318 and $1,159 at fair value)(a)(b)
266,147

 
248,617

Total deposits in non-U.S. offices
287,602

 
270,076

Total deposits
$
1,525,261

 
$
1,470,666

(a)
Includes structured notes classified as deposits for which the fair value option has been elected. Refer to Note 3 of JPMorgan Chase’s 2018 Form 10-K for a further discussion.
(b)
In the second quarter of 2019, the Firm reclassified balances related to certain structured notes from interest-bearing to noninterest-bearing deposits as the associated returns are recorded in principal transactions revenue and not in net interest income. This change was applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation.

 
Note 16 – Leases
Lease commitments
Effective January 1, 2019, the Firm adopted new guidance that requires lessees to recognize on the Consolidated balance sheets all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (“ROU”) asset. Accordingly, the Firm recognized operating lease liabilities and ROU assets of $8.2 billion and $8.1 billion, respectively. The adoption of the new lease guidance did not have a material impact on the Firm’s Consolidated statements of income. The change in accounting due to the adoption of the new lease guidance did not result in a material change to the future net minimum rental payments/receivables or to the net rental expense when compared to December 31, 2018.
Firm as lessee
At September 30, 2019, JPMorgan Chase and its subsidiaries were obligated under a number of noncancelable leases, predominantly operating leases for premises and equipment used primarily for business purposes. These leases generally have terms of 20 years or less, determined based on the contractual maturity of the lease, and include periods covered by options to extend or terminate the lease when the Firm is reasonably certain that it will exercise those options. None of these lease agreements impose restrictions on the Firm’s ability to pay dividends, engage in debt or equity financing transactions or enter into further lease agreements. Certain of these leases contain escalation clauses that will increase rental payments based on maintenance, utility and tax increases, which are non-lease components. The Firm elected not to separate lease and non-lease components of a contract for its real estate leases. As such, real estate lease payments represent payments on both lease and non-lease components.
Operating lease liabilities and ROU assets are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the Firm’s collateralized borrowing rate for financing instruments of a similar term and are included in accounts payable and other liabilities. The operating lease ROU asset, included in premises and equipment, also includes any lease prepayments made, plus initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term, and generally included in occupancy expense in the Consolidated statements of income.

148

The following tables provide information related to the Firm’s operating leases:
As of September 30,
(in millions, except where otherwise noted)
 
2019
Right-of-use assets
$
8,160

Lease liabilities
8,425

 
 
Weighted average remaining lease term (in years)
8.7

Weighted average discount rate
3.73
%
 
 
Supplemental cash flow information
 
Cash paid for amounts included in the measurement of lease liabilities - operating cash flows
$
1,177

Supplemental non-cash information
 
Right-of-use assets obtained in exchange for operating lease obligations
$
990

 
 


(in millions)
Three months ended September 30, 2019
Nine months ended September 30, 2019
Rental expense
 
 
Gross rental expense
$
517

$
1,537

Sublease rental income
(49
)
(137
)
Net rental expense
$
468

$
1,400


The following table presents future payments under operating leases as of September 30, 2019:
Year ended December 31, (in millions)
 
2019 (excluding nine months ended September 30, 2019)
$
394

2020
1,569

2021
1,394

2022
1,198

2023
1,027

After 2023
4,442

Total future minimum lease payments
10,024

Less: Imputed interest
(1,599
)
Total
$
8,425


In addition to the table above, as of September 30, 2019, the Firm had additional future operating lease commitments of $1.3 billion that were signed but had not yet commenced. These operating leases will commence between 2019 and 2022 with lease terms up to 25 years.
Firm as lessor
The Firm provides auto and equipment lease financing to its customers through lease arrangements with lease terms that may contain renewal, termination and/or purchase options. Generally, the Firm’s lease financings are operating leases. These assets are recognized in other assets on the Firm’s Consolidated balance sheets and are depreciated on a straight-line basis over the lease term to reduce the asset to its estimated residual value. Depreciation expense is included in technology, communications and equipment
 
expense in the Consolidated statements of income. The Firm’s lease income is generally recognized on a straight-line basis over the lease term and is included in other income in the Consolidated statements of income.
On a periodic basis, the Firm assesses leased assets for impairment, and if the carrying amount of the leased asset exceeds the undiscounted cash flows from the lease payments and the estimated residual value upon disposition of the leased asset, an impairment loss is recognized.
The risk of loss on auto and equipment leased assets relating to the residual value of the leased assets is monitored through projections of the asset residual values at lease origination and periodic review of residual values, and is mitigated through arrangements with certain manufacturers or lessees. 
The following table presents the carrying value of assets subject to leases reported on the Consolidated balance sheets:
(in millions)
 
September 30, 2019
December 31, 2018
Carrying value of assets subject to operating leases, net of accumulated depreciation
 
$
22,953

$
21,428

Accumulated depreciation
 
5,848

5,303


The following table presents the Firm’s operating lease income and the related depreciation expense on the Consolidated statements of income:
 
 
Three months ended September 30,
Nine months ended September 30,

(in millions)
 
2019

2018

2019

2018

Operating lease income
 
$
1,384

$
1,157

$
4,027

$
3,316

Depreciation expense
 
1,053

901

3,038

2,564


The following table presents future receipts under operating leases as of September 30, 2019:
Year ended December 31, (in millions)
 
2019 (excluding nine months ended September 30, 2019)
$
1,121

2020
3,785

2021
2,303

2022
660

2023
74

After 2023
137

Total future minimum lease payments
$
8,080




149

Note 17 - Preferred stock
Refer to Note 20 of JPMorgan Chase’s 2018 Form 10-K for a further discussion on preferred stock.
The following is a summary of JPMorgan Chase’s non-cumulative preferred stock outstanding as of September 30, 2019 and December 31, 2018, and the quarterly dividend declarations for the three and nine months ended September 30, 2019 and 2018.
 
Shares
Carrying value
 (in millions)
 
Contractual rate in effect at September 30, 2019
Earliest redemption date(b)
Floating annualized rate of three-month LIBOR/Term SOFR plus:
Dividend declared per share(c)
 
 
September 30, 2019(a)
December 31, 2018(a)
September 30, 2019
December 31, 2018
Issue date
Three months ended September 30,
Nine months ended September 30,
 
 
2019
2018
2019
2018
 
Fixed-rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
Series P
90,000

90,000

$
900

$
900

2/5/2013
5.450
%
3/1/2018
NA
$
136.25

$136.25
$
408.75

$408.75
 
Series T
—

92,500

—

925

1/30/2014
—

3/1/2019
NA
NA
167.50
167.50
502.50
 
Series W
—

88,000

—

880

6/23/2014
—

9/1/2019
NA
NA
157.50
472.50
472.50
 
Series Y
143,000

143,000

1,430

1,430

2/12/2015
6.125

3/1/2020
NA
153.13

153.13
459.39
459.39
 
Series AA
142,500

142,500

1,425

1,425

6/4/2015
6.100

9/1/2020
NA
152.50

152.50
457.50
457.50
 
Series BB
115,000

115,000

1,150

1,150

7/29/2015
6.150

9/1/2020
NA
153.75

153.75
461.25
461.25
 
Series DD
169,625

169,625

1,696

1,696

9/21/2018
5.750

12/1/2023
NA
143.75

NA
431.25
NA
 
Series EE
185,000

—

1,850

—

1/24/2019
6.000

3/1/2024
NA
150.00

NA
361.67
NA
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed-to-floating-rate:
 
 
 
 
 
 
 
 
 
 
 
 
 
Series I
430,375

430,375

$
4,304

$
4,304

4/23/2008
LIBOR + 3.47%

4/30/2018
LIBOR + 3.47%
$
146.58

$148.45
$
455.09

$493.29
(d) 
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
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
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
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
250,000

250,000

2,500

2,500

6/9/2014
LIBOR + 3.32%

7/1/2019
LIBOR + 3.32
144.11

125.00
394.11
375.00
(e) 
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
200,000

200,000

2,000

2,000

4/21/2015
5.300

5/1/2020
LIBOR + 3.80
132.50

132.50
397.50
397.50
 
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
225,000

—

2,250

—

7/31/2019
5.000

8/1/2024
SOFR + 3.38
126.39

NA
126.39
NA
(f) 
Total preferred stock
2,836,250

2,606,750

$
28,363

$
26,068

 
 
 
 
 
 
 
 
 
(a)
Represented by depositary shares.
(b)
Fixed-to-floating rate notes convert to a floating rate at the earliest redemption date.
(c)
Dividends are declared quarterly. Dividends are payable quarterly on fixed-rate preferred stock. Dividends are payable semiannually on fixed-to-floating-rate preferred stock while at a fixed rate, and payable quarterly after converting to a floating rate.
(d)
Prior to April 30, 2018, the dividend rate was fixed at 7.90%.
(e)
Prior to July 1, 2019, the dividend rate was fixed at 5%.
(f)
Dividends in the amount of $126.39 per share were declared on September 9, 2019 and include dividends from the original issue date of July 31, 2019 through October 31, 2019.

On October 31, 2019, the Firm announced and priced an offering of depositary shares representing $900 million of 4.75% non-cumulative preferred stock, Series GG. This issuance is expected to close on November 7, 2019. On November 1, 2019, the Firm announced that it will redeem all $900 million of its 5.45% non-cumulative preferred stock, Series P on December 1, 2019.
On October 30, 2019, the Firm redeemed $1.37 billion of its Series I fixed-to-floating rate non-cumulative perpetual preferred stock.
On September 1, 2019, the Firm redeemed all $880 million of its 6.3% non-cumulative preferred stock, series W.
On July 31, 2019, the Firm issued $2.25 billion of fixed-to-floating rate non-cumulative preferred stock, Series FF.
On January 24, 2019, the Firm issued $1.85 billion of 6.00% non-cumulative preferred stock, Series EE, and on March 1, 2019, the Firm redeemed all $925 million of its 6.70% non-cumulative preferred stock, Series T.



150

Note 18 – Earnings per share
Refer to Note 22 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the computation of basic and diluted earnings per share (“EPS”). The following table presents the calculation of basic and diluted EPS for the three and nine months ended September 30, 2019 and 2018.
(in millions, except per share amounts)
Three months ended
September 30,
 
Nine months ended
September 30,
2019

2018

 
2019

2018

Basic earnings per share
 
 
 
 
 
Net income
$
9,080

$
8,380

 
$
27,911

$
25,408

Less: Preferred stock dividends
423

379

 
1,201

1,167

Net income applicable to common equity
8,657

8,001

 
26,710

24,241

Less: Dividends and undistributed earnings allocated to participating securities
51

53

 
159

174

Net income applicable to common stockholders
$
8,606

$
7,948

 
$
26,551

$
24,067

 
 
 
 
 
 
Total weighted-average basic shares
  outstanding
3,198.5

3,376.1

 
3,248.7

3,416.5

Net income per share
$
2.69

$
2.35

 
$
8.17

$
7.04

 
 
 
 
 
 
Diluted earnings per share
 
 
 
 
 
Net income applicable to common stockholders
$
8,606

$
7,948

 
$
26,551

$
24,067

Total weighted-average basic shares
  outstanding
3,198.5

3,376.1

 
3,248.7

3,416.5

Add: Employee stock options, SARs, warrants and unvested PSUs
8.7

18.2

 
9.3

19.7

Total weighted-average diluted shares outstanding
3,207.2

3,394.3

 
3,258.0

3,436.2

Net income per share
$
2.68

$
2.34

 
$
8.15

$
7.00




151

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 on fair value option-elected liabilities arising from changes in the Firm’s own credit risk (DVA).
 
As of or for the three months ended
September 30, 2019
(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, 2019
 
$
3,709

 
 
 
$
(652
)
 
 
$
(73
)
 
$
126

 
 
 
$
(2,231
)
 
 
$
235

 
 
$
1,114

 
 
Net change
 
479

 
 
 
(165
)
 
 
(1
)
 
195

 
 
 
46

 
 
132

 
 
686

 
 
Balance at September 30, 2019
 
$
4,188

 
 
 
$
(817
)
 
 
$
(74
)
 
$
321

 
 
 
$
(2,185
)
 
 
$
367

 
 
$
1,800

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the three months ended
September 30, 2018
(in millions)
Unrealized
gains/(losses)
on investment securities
 
Translation adjustments, net of hedges
 
Fair value hedges
Cash flow hedges
 
Defined benefit pension and
OPEB plans
DVA on fair value option elected liabilities
Accumulated other comprehensive income/(loss)
 
 
Balance at July 1, 2018
 
$
1,599

 
 
 
$
(632
)
 
 
(162
)
 
$
(147
)
 
 
 
$
(1,876
)
 
 
$
80

 
 
$
(1,138
)
 
 
Net change
 
(819
)
 
 
 
(31
)
 
 
34

 
(88
)
 
 
 
19

 
 
(402
)
 
 
(1,287
)
 
 
Balance at September 30, 2018
 
$
780

 
 
 
$
(663
)
 
 
$
(128
)
 
$
(235
)
 
 
 
$
(1,857
)
 
 
$
(322
)
 
 
$
(2,425
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the nine months ended
September 30, 2019
(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, 2019
 
$
1,202

 
 
 
$
(727
)
 
 
$
(161
)
 
$
(109
)
 
 
 
$
(2,308
)
 
 
$
596

 
 
$
(1,507
)
 
 
Net change
 
2,986

 
 
 
(90
)
 
 
87

 
430

 
 
 
123

 
 
(229
)
 
 
3,307

 
 
Balance at September 30, 2019
 
$
4,188

 
 
 
$
(817
)
 
 
$
(74
)
 
$
321

 
 
 
$
(2,185
)
 
 
$
367

 
 
$
1,800

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As of or for the nine months ended
September 30, 2018
(in millions)
Unrealized
gains/(losses)
on investment securities
 
Translation adjustments, net of hedges
 
Fair value hedges
Cash flow hedges
 
Defined benefit pension and
OPEB plans
DVA on fair value option elected liabilities
Accumulated other comprehensive income/(loss)
 
 
Balance at January 1, 2018
 
$
2,164

 
 
 
$
(470
)
 
 
$
—

 
$
76

 
 
 
$
(1,521
)
 
 
$
(368
)
 
 
$
(119
)
 
 
Cumulative effect of changes in accounting principles(a)
 
896

 
 
 
(277
)
 
 
$
(54
)
 
16

 
 
 
(414
)
 
 
(79
)
 
 
88

 
 
Net change
 
(2,280
)
 
 
 
84

 
 
(74
)
 
(327
)
 
 
 
78

 
 
125

 
 
(2,394
)
 
 
Balance at September 30, 2018
 
$
780

 
 
 
$
(663
)
 
 
$
(128
)
 
$
(235
)
 
 
 
$
(1,857
)
 
 
$
(322
)
 
 
$
(2,425
)
 

(a)
Represents the adjustment to AOCI as a result of the accounting standards adopted in the first quarter of 2018, refer to Note 1 of JPMorgan Chase’s 2018 Form 10-K.



152

The following table presents the pre-tax and after-tax changes in the components of OCI.
 
2019
 
2018
Three months ended September 30,
(in millions)
Pre-tax
 
Tax effect
 
After-tax
 
Pre-tax
 
Tax effect
 
After-tax
Unrealized gains/(losses) on investment securities:
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses) arising during the period
$
708

 
$
(169
)
 
$
539

 
$
(1,117
)
 
$
262

 
$
(855
)
Reclassification adjustment for realized (gains)/losses included in net income(a)
(78
)
 
18

 
(60
)
 
46

 
(10
)
 
36

Net change
630

 
(151
)
 
479

 
(1,071
)
 
252

 
(819
)
Translation adjustments:
 
 
 
 
 
 
 
 
 
 
 
Translation
(861
)
 
40

 
(821
)
 
(314
)
 
45

 
(269
)
Hedges
866

 
(210
)
 
656

 
311

 
(73
)
 
238

Net change
5

 
(170
)
 
(165
)
 
(3
)
 
(28
)
 
(31
)
Fair value hedges, net change(b):
(1
)
 
—

 
(1
)
 
45

 
(11
)
 
34

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses) arising during the period
222

 
(55
)
 
167

 
(122
)
 
27

 
(95
)
Reclassification adjustment for realized (gains)/losses included in net income(c)
37

 
(9
)
 
28

 
9

 
(2
)
 
7

Net change
259

 
(64
)
 
195

 
(113
)
 
25

 
(88
)
Defined benefit pension and OPEB plans:
 
 
 
 
 
 
 
 
 
 
 
Net gain/(loss) arising during the period
—

 
—

 
—

 
—

 
—

 
—

Reclassification adjustments included in net income(d):
 
 
 
 
 
 
 
 
 
 
 
Amortization of net loss
42

 
(10
)
 
32

 
26

 
(6
)
 
20

Amortization of prior service cost/(credit)
—

 
—

 
—

 
(7
)
 
2

 
(5
)
Foreign exchange and other
18

 
(4
)
 
14

 
7

 
(3
)
 
4

Net change
60

 
(14
)
 
46

 
26

 
(7
)
 
19

DVA on fair value option elected liabilities, net change:
173

 
(41
)
 
132

 
(527
)
 
125

 
(402
)
Total other comprehensive income/(loss)
$
1,126

 
$
(440
)
 
$
686

 
$
(1,643
)
 
$
356

 
$
(1,287
)
 
 
 
 
 
 
 
 
 
 
 
 
 
2019
 
2018
Nine months ended September 30,
(in millions)
Pre-tax
 
Tax effect
 
After-tax
 
Pre-tax
 
Tax effect
 
After-tax
Unrealized gains/(losses) on investment securities:
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses) arising during the period
$
4,074

 
$
(985
)
 
$
3,089

 
$
(3,351
)
 
$
787

 
$
(2,564
)
Reclassification adjustment for realized (gains)/losses included in net income(a)
(135
)
 
32

 
(103
)
 
371

 
(87
)
 
284

Net change
3,939

 
(953
)
 
2,986

 
(2,980
)
 
700

 
(2,280
)
Translation adjustments(e):
 
 
 
 
 
 
 
 
 
 
 
Translation
(697
)
 
76

 
(621
)
 
(981
)
 
188

 
(793
)
Hedges
700

 
(169
)
 
531

 
1,149

 
(272
)
 
877

Net change
3

 
(93
)
 
(90
)
 
168

 
(84
)
 
84

Fair value hedges, net change(b):
114

 
(27
)
 
87

 
(96
)
 
22

 
(74
)
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses) arising during the period
464

 
(112
)
 
352

 
(365
)
 
85

 
(280
)
Reclassification adjustment for realized (gains)/losses included in net income(c)
102

 
(24
)
 
78

 
(62
)
 
15

 
(47
)
Net change
566

 
(136
)
 
430

 
(427
)
 
100

 
(327
)
Defined benefit pension and OPEB plans:
 
 
 
 
 
 
 
 
 
 
 
Net gain/(loss) arising during the period
2

 
(2
)
 
—

 
25

 
(6
)
 
19

Reclassification adjustments included in net income(d):
 
 
 
 
 
 
 
 
 
 
 
Amortization of net loss
125

 
(26
)
 
99

 
78

 
(18
)
 
60

Amortization of prior service cost/(credit)
2

 
(1
)
 
1

 
(19
)
 
5

 
(14
)
Settlement (gain)/loss

—

 
—

 
—

 
—

 
—

 
—

Foreign exchange and other
19

 
4

 
23

 
19

 
(6
)
 
13

Net change
148

 
(25
)
 
123

 
103

 
(25
)
 
78

DVA on fair value option elected liabilities, net change:
$
(296
)
 
$
67

 
$
(229
)
 
$
163

 
$
(38
)
 
$
125

Total other comprehensive income/(loss)
$
4,474

 
$
(1,167
)
 
$
3,307

 
$
(3,069
)
 
$
675

 
$
(2,394
)
(a)
The pre-tax amount is reported in Investment securities gains/(losses) in the Consolidated statements of income.
(b)
Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap.
(c)
The pre-tax amounts are predominantly recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income.
(d)
The pre-tax amount is reported in other expense in the Consolidated statements of income.
(e)
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. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $6 million to other income and $1 million to other expense, respectively. These amounts, which related to the liquidation of certain legal entities, are comprised of $5 million related to net investment hedge gains and $2 million related to cumulative translation adjustments. During the nine months ended September 30, 2018, the Firm reclassified a net pre-tax loss of $174 million to other expense related to the liquidation of a legal entity, $23 million related to net investment hedge losses and $151 million related to cumulative translation adjustments.

153

Note 20 – Restricted cash and other restricted
assets
Refer to Note 25 of JPMorgan Chase’s 2018 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)
September 30,
2019

December 31, 2018

Cash reserves – Federal Reserve Banks
$
26.7

$
22.1

Segregated for the benefit of securities and futures brokerage customers
16.8

14.6

Cash reserves at non-U.S. central banks and held for other general purposes
3.6

4.1

Total restricted cash(a)
$
47.1

$
40.8

(a)
Comprises $45.9 billion and $39.6 billion in deposits with banks as of September 30, 2019 and December 31, 2018, respectively, and $1.2 billion in cash and due from banks as of September 30, 2019 and December 31, 2018, on the Consolidated balance sheets.
Also, as of September 30, 2019 and December 31, 2018, the Firm had the following other restricted assets:
•
Cash and securities pledged with clearing organizations for the benefit of customers of $23.6 billion and $20.6 billion, respectively.
•
Securities with a fair value of $13.1 billion and $9.7 billion, respectively, were also restricted in relation to customer activity.


 
Note 21 – Regulatory capital
Refer to Note 26 of JPMorgan Chase’s 2018 Form 10-K for a detailed discussion on regulatory capital.
The Federal Reserve establishes capital requirements, including well-capitalized standards, for the consolidated financial holding company. The Office of the Comptroller of the Currency (“OCC”) establishes similar minimum capital requirements and standards for the Firm’s insured depository institutions (“IDI”), including JPMorgan Chase Bank, N.A.
Effective January 1, 2019, the capital adequacy of the Firm and JPMorgan Chase Bank, N.A. is evaluated against the fully phased-in measures under Basel III and represents the lower of the Standardized or Advanced approaches. During 2018, the required capital measures were subject to the transitional rules and as of December 31, 2018 were the same on a fully phased-in and on a transitional basis.
Under the risk-based capital and leverage-based guidelines of the Federal Reserve, JPMorgan Chase is required to maintain minimum ratios for CET1, Tier 1, Total, Tier 1 leverage and the SLR. Failure to meet these minimum requirements could cause the Federal Reserve to take action. IDI subsidiaries are also subject to these capital requirements by their respective primary regulators.
The following table represents the minimum and well-capitalized ratios to which the Firm and its IDI subsidiaries were subject as of September 30, 2019.
 
Minimum capital ratios
 
Well-capitalized ratios
 
BHC(a)(e)(f)

IDI(b)(e)(f)

 
BHC(c) 
IDI(d)

Capital ratios
 
 
 
 
 
CET1
10.5
%
7.0
%
 
N/A
6.5
%
Tier 1
12.0

8.5

 
6.0
8.0

Total
14.0

10.5

 
10.0
10.0

Tier 1 leverage
4.0

4.0

 
N/A
5.0

SLR
5.0

6.0

 
N/A
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 under Basel III. The CET1 minimum capital ratio includes a capital conservation buffer of 2.5% and GSIB surcharge of 3.5% as calculated under Method 2.
(b)
Represents requirements for JPMorgan Chase’s IDI subsidiaries. The CET1 minimum capital ratio includes a capital conservation buffer of 2.5% that is applicable to the IDI subsidiaries. The IDI subsidiaries are not subject to the GSIB surcharge.
(c)
Represents requirements for bank holding companies pursuant to regulations issued by the Federal Reserve.
(d)
Represents requirements for IDI subsidiaries pursuant to regulations issued under the FDIC Improvement Act.
(e)
For the period ended December 31, 2018, the CET1, Tier 1, Total and Tier 1 leverage minimum capital ratios applicable to the Firm were 9.0%, 10.5%, 12.5%, and 4.0% and the CET1, Tier 1, Total and Tier 1 leverage minimum capital ratios applicable to the Firm’s IDI subsidiaries were 6.375%, 7.875%, 9.875%, and 4.0%, respectively.
(f)
Represents minimum SLR requirement of 3.0%, as well as, supplementary leverage buffers of 2.0% and 3.0% for BHC and IDI, respectively.

154

The following tables present the risk-based and leverage-based capital metrics for JPMorgan Chase and JPMorgan Chase Bank, N.A. under both the Basel III Standardized and Basel III Advanced Approaches. As of September 30, 2019 and December 31, 2018, JPMorgan Chase and JPMorgan Chase Bank, N.A. were well-capitalized and met all capital requirements to which each was subject.

September 30, 2019
(in millions, except ratios)
Basel III Standardized Fully Phased-In
 
Basel III Advanced Fully Phased-In
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.
 
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.
Regulatory capital
 
 
 
 
 
CET1 capital
$
188,151

$
205,347

 
$
188,151

$
205,347

Tier 1 capital
214,831

205,347

 
214,831

205,347

Total capital
243,500

223,038

 
233,203

212,919

 
 
 
 
 
 
Assets
 
 
 
 
 
Risk-weighted
1,527,762

1,445,648

 
1,435,693

1,302,749

Adjusted average(a)
2,717,852

2,339,858

 
2,717,852

2,339,858

 
 
 
 
 
 
Capital ratios(b)
 
 
 
 
 
CET1
12.3
%
14.2
%
 
13.1
%
15.8
%
Tier 1
14.1

14.2

 
15.0

15.8

Total
15.9

15.4

 
16.2

16.3

Tier 1 leverage(c)
7.9

8.8

 
7.9

8.8

December 31, 2018
(in millions, except ratios)
Basel III Standardized Transitional
 
Basel III Advanced Transitional
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.(d)
 
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.(d)
Regulatory capital
 
 
 
 
 
CET1 capital
$
183,474

$
211,671

 
$
183,474

$
211,671

Tier 1 capital
209,093

211,671

 
209,093

211,671

Total capital
237,511

229,952

 
227,435

220,025

 
 
 
 
 
 
Assets
 
 
 
 
 
Risk-weighted
1,528,916

1,446,529

 
1,421,205

1,283,146

Adjusted average(a)
2,589,887

2,250,480

 
2,589,887

2,250,480

 
 
 
 
 
 
Capital ratios(b)
 
 
 
 
 
CET1
12.0
%
14.6
%
 
12.9
%
16.5
%
Tier 1
13.7

14.6

 
14.7

16.5

Total
15.5

15.9

 
16.0

17.1

Tier 1 leverage(c)
8.1

9.4

 
8.1

9.4

(a)
Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.
(b)
For each of the risk-based capital ratios, the capital adequacy of the Firm and JPMorgan Chase Bank, N.A. is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced).
(c)
The Tier 1 leverage ratio is not a risk-based measure of capital.
(d)
On May 18, 2019, Chase Bank USA, N.A. merged with and into JPMorgan Chase Bank, N.A., with JPMorgan Chase Bank, N.A as the surviving entity. The December 31, 2018 amounts reported for JPMorgan Chase Bank, N.A. retrospectively reflect the impact of the merger.

 
September 30, 2019
 
December 31, 2018
 
Basel III Advanced Fully Phased-In
 
Basel III Advanced Fully Phased-In
(in millions, except ratios)
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.
 
JPMorgan
Chase & Co.
JPMorgan
Chase Bank, N.A.(a)
Total leverage exposure
$
3,404,535

$
3,007,280

 
$
3,269,988

$
2,915,541

SLR
6.3
%
6.8
%
 
6.4
%
7.3
%

(a)
On May 18, 2019, Chase Bank USA, N.A. merged with and into JPMorgan Chase Bank, N.A., with JPMorgan Chase Bank, N.A as the surviving entity. The December 31, 2018 amounts reported for JPMorgan Chase Bank, N.A. retrospectively reflect the impact of the merger.

155

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 are refinanced, extended, cancelled, or expire without being drawn or a default occurring. As a result, the total contractual amount of these instruments is not, in the Firm’s view, representative of its expected future credit exposure or funding requirements. Refer to Note 27 of JPMorgan Chase’s 2018 Form 10-K for a further discussion of lending-related commitments and guarantees, and the Firm’s related accounting policies.
 
To provide for probable credit losses inherent in wholesale and certain consumer lending-related commitments, an allowance for credit losses on lending-related commitments is maintained. Refer to 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 September 30, 2019, and December 31, 2018. The amounts in the table below for credit card and home equity lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel credit card lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. In addition, the Firm typically closes credit card lines when the borrower is 60 days or more past due. The Firm may reduce or close HELOCs when there are significant decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.

156

Off–balance sheet lending-related financial instruments, guarantees and other commitments


Contractual amount

Carrying value(g)

September 30, 2019

Dec 31,
2018


Sep 30,
2019

Dec 31,
2018

By remaining maturity
(in millions)
Expires in 1 year or less
Expires after
1 year through
3 years
Expires after
3 years through
5 years
Expires after 5 years
Total

Total



Lending-related
 
 
 
 
 
 
 
 
 
 
Consumer, excluding credit card:
 
 
 
 
 
 
 
 
 
 
Home equity
$
597

$
1,156

$
2,353

$
17,077

$
21,183

 
$
20,901

 
$
12

$
12

Residential mortgage(a)
10,904

—

—

12

10,916

 
5,481

 
—

—

Auto
8,062

1,238

118

49

9,467

 
8,011

 
2

2

Consumer & Business Banking
10,324

643

106

952

12,025

 
11,673

 
19

19

Total consumer, excluding credit card
29,887

3,037

2,577

18,090

53,591

 
46,066

 
33

33

Credit card
645,880

—

—

—

645,880

 
605,379

 
—

—

Total consumer(b)
675,767

3,037

2,577

18,090

699,471

 
651,445

 
33

33

Wholesale:
 
 
 
 
 
 
 
 
 
 
Other unfunded commitments to extend credit(c)
55,258

128,911

161,963

11,200

357,332

 
351,490

 
912

852

Standby letters of credit and other financial guarantees(c)
16,373

10,525

5,349

1,842

34,089

 
33,498

 
605

521

Other letters of credit(c)
3,853

305

40

—

4,198

 
2,825

 
5

3

Total wholesale(b)
75,484

139,741

167,352

13,042

395,619

 
387,813

 
1,522

1,376

Total lending-related
$
751,251

$
142,778

$
169,929

$
31,132

$
1,095,090

 
$
1,039,258

 
$
1,555

$
1,409

Other guarantees and commitments
 
 
 
 
 
 
 
 
 
 
Securities lending indemnification agreements and guarantees(d)
$
214,338

$
—

$
—

$
—

$
214,338

 
$
186,077

 
$
—

$
—

Derivatives qualifying as guarantees
1,772

196

12,081

40,369

54,418

 
55,271

 
231

367

Unsettled resale and securities borrowed agreements
122,946

1,125

66

—

124,137

 
102,008

 
—

—

Unsettled repurchase and securities loaned agreements
120,679

670

—

—

121,349

 
57,732

 
—

—

Loan sale and securitization-related indemnifications:
 
 
 
 
 
 
 
 
 
 
Mortgage repurchase liability
NA

NA

NA

NA

NA

 
NA

 
61

89

Loans sold with recourse
NA

NA

NA

NA

1,001

 
1,019

 
27

30

Exchange & clearing house guarantees and commitments(e)
161,580

—

—

—

161,580

 
58,960

 
—

—

Other guarantees and commitments(f)
4,098

590

260

2,832

7,780

 
8,183

 
(89
)
(73
)
(a)
Includes certain commitments to purchase loans from correspondents.
(b)
Predominantly all consumer and wholesale lending-related commitments are in the U.S.
(c)
At September 30, 2019, and December 31, 2018, reflected the contractual amount net of risk participations totaling $198 million and $282 million respectively, for other unfunded commitments to extend credit; $9.7 billion and $10.4 billion, respectively, for standby letters of credit and other financial guarantees; and $705 million and $385 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(d)
At September 30, 2019, and December 31, 2018, collateral held by the Firm in support of securities lending indemnification agreements was $226.5 billion and $195.6 billion, respectively. Securities lending collateral primarily consists of cash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(e)
At September 30, 2019, and December 31, 2018, 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.
(f)
At September 30, 2019, and December 31, 2018, primarily includes letters of credit hedged by derivative transactions and managed on a market risk basis, and unfunded commitments related to institutional lending. Additionally, includes unfunded commitments predominantly related to certain tax-oriented equity investments.
(g)
For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, the carrying value represents the fair value.


157

Other unfunded commitments to extend credit
Other unfunded commitments to extend credit generally consist of commitments for working capital and general corporate purposes, extensions of credit to support commercial paper facilities and bond financings in the event that those obligations cannot be remarketed to new investors, as well as committed liquidity facilities to clearing organizations. The Firm also issues commitments under multipurpose facilities which could be drawn upon in several forms, including the issuance of a standby letter of credit.
 
Standby letters of credit and other financial guarantees
Standby letters of credit and other financial guarantees are conditional lending commitments issued by the Firm to guarantee the performance of a client or customer to a third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade and similar transactions.
The following table summarizes the contractual amount and carrying value of standby letters of credit and other financial guarantees and other letters of credit arrangements as of September 30, 2019, and December 31, 2018.
Standby letters of credit, other financial guarantees and other letters of credit
 
September 30, 2019
 
December 31, 2018
(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)
$
27,131

 
$
3,249

 
$
26,420

 
$
2,079

Noninvestment-grade(a)
6,958

 
949

 
7,078

 
746

Total contractual amount
$
34,089

 
$
4,198

 
$
33,498

 
$
2,825

 
 
 
 
 
 
 
 
Allowance for lending-related commitments
$
215

 
$
5

 
$
167

 
$
3

Guarantee liability
390

 
—

 
354

 
—

Total carrying value
$
605

 
$
5

 
$
521

 
$
3

 
 
 
 
 
 
 
 
Commitments with collateral
$
17,690

 
$
877

 
$
17,400

 
$
583

(a)
The ratings scale is based on the Firm’s internal ratings which generally correspond to ratings as defined by S&P and Moody’s.
Derivatives qualifying as guarantees
The Firm transacts in certain derivative contracts that have the characteristics of a guarantee under U.S. GAAP. Refer to Note 27 of JPMorgan Chase’s 2018 Form 10-K for further information on these derivatives.
The following table summarizes the derivatives qualifying as guarantees as of September 30, 2019, and December 31, 2018.
(in millions)
September 30, 2019

 
December 31, 2018

Notional amounts
 
 
 
Derivative guarantees
$
54,418

 
$
55,271

Stable value contracts with contractually limited exposure
28,886

 
28,637

Maximum exposure of stable value contracts with contractually limited exposure
2,960

 
2,963

 
 
 
 
Fair value
 
 
 
Derivative payables
231

 
367

Derivative receivables
—

 
—



 
In addition to derivative contracts that meet the characteristics of a guarantee, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. Refer to Note 4 for a further discussion of credit derivatives.
Loan sales- and securitization-related indemnifications
In connection with the Firm’s mortgage loan sale and securitization activities with GSEs the Firm has made representations and warranties that the loans sold meet certain requirements, and that may require the Firm to repurchase mortgage loans and/or indemnify the loan purchaser if such representations and warranties are breached by the Firm. Further, although the Firm’s securitizations are predominantly nonrecourse, the Firm does provide recourse servicing in certain limited cases where it agrees to share credit risk with the owner of the mortgage loans. Refer to Note 27 of JPMorgan Chase’s 2018 Form 10-K for additional information.
The liability related to repurchase demands associated with private label securitizations is separately evaluated by the Firm in establishing its litigation reserves. Refer to Note 24 of this Form 10-Q and Note 29 of JPMorgan Chase’s 2018 Form 10-K for additional information regarding litigation.

158

Sponsored member repo program
In 2018 the Firm commenced the sponsored member repo program, wherein 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 157. Refer to Note 11 of JPMorgan Chase’s 2018 Form 10-K for additional information on credit risk mitigation practices on resale agreements and the types of collateral pledged under repurchase agreements.
Guarantees of subsidiaries
The Parent Company has guaranteed certain long-term debt and structured notes of its subsidiaries, including JPMorgan Chase Financial Company LLC (“JPMFC”), a 100%-owned finance subsidiary. All securities issued by JPMFC are fully and unconditionally guaranteed by the Parent Company. These guarantees, which rank on a parity with the Firm’s unsecured and unsubordinated indebtedness, are not included in the table on page 157 of this Note. Refer to Note 19 of JPMorgan Chase’s 2018 Form 10-K for additional information.


 
Note 23 – Pledged assets and collateral
Refer to Note 28 of JPMorgan Chase’s 2018 Form 10-K for a discussion of the Firm’s pledged assets and collateral.
Pledged assets
The Firm may pledge financial assets that it owns to maintain potential borrowing capacity at discount windows with Federal Reserve banks, various other central banks and FHLBs. Additionally, pledged assets are used 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)
September 30, 2019

 
December 31, 2018

Assets that may be sold or repledged or otherwise used by secured parties
$
154.2

 
$
104.0

Assets that may not be sold or repledged or otherwise used by secured parties
94.5

 
83.7

Assets pledged at Federal Reserve banks and FHLBs
487.1

 
475.3

Total assets pledged
$
735.8

 
$
663.0


Total assets pledged 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 19 of JPMorgan Chase’s 2018 Form 10-K for additional information on the Firm’s long-term debt.
Collateral
The Firm accepts financial assets as collateral that it is permitted to sell or repledge, deliver or otherwise use. This collateral is generally obtained under resale and other securities financing agreements, prime brokerage-related held-for-investment customer receivables and derivative contracts. Collateral is generally used under repurchase and other securities financing agreements, to cover short sales and to collateralize derivative contracts and deposits.
The following table presents the fair value of collateral accepted.
(in billions)
September 30, 2019

 
December 31, 2018

Collateral permitted to be sold or repledged, delivered, or otherwise used
$
1,264.1

 
$
1,245.3

Collateral sold, repledged, delivered or otherwise used
1,017.3

 
998.3






159

Note 24 – Litigation
Contingencies
As of September 30, 2019, the Firm and its subsidiaries and affiliates are defendants, putative defendants or respondents in numerous legal proceedings, including private, civil litigations and regulatory/government investigations. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations involve both formal and informal proceedings, by both governmental agencies and self-regulatory organizations. These legal proceedings are at varying stages of adjudication, arbitration or investigation, and involve each of the Firm’s lines of business and several geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel legal theories.
The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $1.3 billion at September 30, 2019. 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.
Federal Republic of Nigeria Litigation. JPMorgan Chase Bank, N.A. operated an escrow and depository account for the Federal Government of Nigeria (“FGN”) and two major international oil companies. The account held approximately $1.1 billion in connection with a dispute among the clients over rights to an oil field. Following the settlement of the dispute, JPMorgan Chase Bank, N.A. paid out the monies in the account in 2011 and 2013 in accordance with directions received from its clients. In November 2017, the Federal Republic of Nigeria (“FRN”) commenced a claim in the English High Court for approximately $875 million in payments made out of the accounts. The FRN, claiming to be the same entity as the FGN, alleges that the payments were instructed as part of a complex fraud not involving JPMorgan Chase Bank, N.A., but that JPMorgan Chase Bank, N.A. was or should have been on notice that the payments may be fraudulent. JPMorgan Chase Bank, N.A. applied for summary judgment and was unsuccessful. The claim is ongoing and no trial date has been set.
Foreign Exchange Investigations and Litigation. The Firm previously reported settlements with certain government authorities relating to its foreign exchange (“FX”) sales and trading activities and controls related to those activities. FX-related investigations and inquiries by government authorities, including competition authorities, are ongoing, and the Firm is cooperating with and working to resolve those matters. In May 2015, the Firm pleaded guilty to a single violation of federal antitrust law. In January 2017, the Firm was sentenced, with judgment entered thereafter and a term of probation ending in January 2020. The Department of Labor has granted the Firm a five-year exemption of disqualification that allows the Firm and its affiliates to continue to rely on the Qualified Professional Asset Manager exemption under the Employee Retirement Income Security Act (“ERISA”) until January 2023. The Firm will need to reapply in due course for a further exemption to cover the remainder of the ten-year disqualification period. In addition, the Firm has paid fines totaling approximately $265 million in connection with the settlement of FX-related investigations conducted by the European Commission and the Swiss Competition Commission which were announced in May 2019 and June 2019, respectively. Separately, in February 2017 the South Africa Competition Commission referred its FX investigation of the Firm and other banks to the South Africa Competition Tribunal, which is conducting civil proceedings concerning that matter.
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

160

federal antitrust laws based on an alleged conspiracy to manipulate foreign exchange rates and also sought damages on behalf of persons who transacted in FX futures and options on futures. Certain members of the settlement class filed requests to the Court to be excluded from the class, and certain of them filed a complaint against the Firm and a number of other foreign exchange dealers in November 2018 (the “opt-out action”). The two FX-related actions brought by participants or beneficiaries of qualified ERISA plans have been dismissed. Putative class actions on behalf of consumers who purchased foreign currencies at allegedly inflated rates (the “consumer action”) and purported indirect purchasers of FX instruments (the “indirect purchaser action”) remain pending in the District Court. In addition, some FX related individual and putative class actions have been filed outside the U.S., including in the U.K., Israel and Australia, which are based on similar alleged underlying conduct.
Interchange Litigation. A group of merchants and retail associations filed a series of class action complaints alleging that Visa and Mastercard, as well as certain banks, conspired to set the price of credit and debit card interchange fees and enacted respective rules in violation of antitrust laws. The parties settled the cases for a cash payment, a temporary reduction of credit card interchange, and modifications to certain credit card network rules. In December 2013, the District Court granted final approval of the settlement.
A number of merchants appealed the settlement to the United States Court of Appeals for the Second Circuit, which, in June 2016, vacated the District Court’s certification of the class action and reversed the approval of the class settlement. In March 2017, the U.S. Supreme Court declined petitions seeking review of the decision of the Court of Appeals. The case was remanded to the District Court for further proceedings consistent with the appellate decision. The original class action was divided into two separate actions, one seeking primarily monetary relief and the other seeking primarily injunctive relief. In September 2018, the parties to the class action seeking monetary relief finalized an agreement which amends and supersedes the prior settlement agreement, and the plaintiffs filed a motion seeking preliminary approval of the modified settlement. Pursuant to this settlement, the defendants have collectively contributed an additional $900 million to the approximately $5.3 billion previously held in escrow from the original settlement. In January 2019, the amended agreement was preliminarily approved by the District Court, and formal notice of the class settlement has been completed in accordance with the District Court’s order. A fairness hearing is scheduled before the District Court in November 2019. The class action seeking primarily injunctive relief continues separately.
In addition, certain merchants have filed individual actions raising similar allegations against Visa and Mastercard, as well as against the Firm and other banks, and those actions are proceeding.
 
LIBOR and Other Benchmark Rate Investigations and Litigation. JPMorgan Chase has received subpoenas and requests for documents and, in some cases, interviews, from federal and state agencies and entities, including the U.S. Commodity Futures Trading Commission and various state attorneys general, as well as the European Commission (“EC”), the Swiss Competition Commission (“ComCo”) and other regulatory authorities and banking associations around the world relating primarily to the process by which interest rates were submitted to the British Bankers Association (“BBA”) in connection with the setting of the BBA’s London Interbank Offered Rate (“LIBOR”) for various currencies, principally in 2007 and 2008. Some of the inquiries also relate to similar processes by which information on rates was submitted to the European Banking Federation (“EBF”) in connection with the setting of the EBF’s Euro Interbank Offered Rate (“EURIBOR”). The Firm continues to cooperate with these investigations to the extent that they are ongoing. ComCo’s investigation relating to EURIBOR, to which the Firm and other banks are subject, continues. In December 2016, the EC issued a decision against the Firm and other banks finding an infringement of European antitrust rules relating to EURIBOR. The Firm has filed an appeal of that decision with the European General Court, and that appeal is pending.
In addition, the Firm has been named as a defendant along with other banks in a series of individual and putative class actions related to benchmarks, including U.S. dollar LIBOR during the period that it was administered by the BBA and, in a separate consolidated putative class action, during the period that it was administered by ICE Benchmark Administration. These actions have been filed, or consolidated for pre-trial purposes, in the United States District Court for the Southern District of New York. In these actions, plaintiffs make varying allegations that in various periods, starting in 2000 or later, defendants either individually or collectively manipulated various benchmark rates by submitting rates that were artificially low or high. Plaintiffs allege that they transacted in loans, derivatives or other financial instruments whose values are affected by changes in these rates and assert a variety of claims including antitrust claims seeking treble damages. These actions are in various stages of litigation.
In actions related to U.S. dollar LIBOR during the period that it was administered by the BBA, the District Court dismissed certain claims, including antitrust claims brought by some plaintiffs whom the District Court found did not have standing to assert such claims, and permitted certain claims to proceed, including antitrust, Commodity Exchange Act, Section 10(b) of the Securities Exchange Act and common law claims. The plaintiffs whose antitrust claims were dismissed for lack of standing have filed an appeal. The District Court granted class certification of antitrust claims related to bonds and interest rate swaps sold directly by the defendants and denied class certification motions filed by other plaintiffs. The Firm has agreed to settle putative class

161

actions related to Swiss franc LIBOR, the Singapore Interbank Offered Rate, the Singapore Swap Offer Rate and the Australian Bank Bill Swap Reference Rate, as well as certain of the putative class actions related to U.S. dollar LIBOR. The District Court declined to grant preliminary approval to the settlement involving the Singapore Interbank Offered Rate and the Singapore Swap Offer Rate and instead dismissed the litigation after concluding that the plaintiff lacked standing. Plaintiff’s appeal of the District Court’s decision is pending. The remaining settlements are all subject to further documentation and court approval.
Metals Investigations and Litigation. Various authorities, including the Department of Justice’s Criminal Division, are conducting investigations relating to trading practices in the metals markets and related conduct. The Firm is responding to and cooperating with these investigations. 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. The Firm is also a defendant in a consolidated action filed in the United States District Court for the Southern District of New York alleging monopolization of silver futures in violation of the Sherman Act.
Wendel. Since 2012, the French criminal authorities have been investigating a series of transactions entered into by senior managers of Wendel Investissement (“Wendel”) during the period from 2004 through 2007 to restructure their shareholdings in Wendel. JPMorgan Chase Bank, N.A., Paris branch provided financing for the transactions to a number of managers of Wendel in 2007. JPMorgan Chase has cooperated with the investigation. The investigating judges issued an ordonnance de renvoi in November 2016, referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel for alleged complicity in tax fraud. No date for trial has been set by the court. In January 2018, the Paris Court of Appeal issued a decision cancelling the mise en examen of JPMorgan Chase Bank, N.A. In September 2018, the Court of Cassation, France’s highest court, ruled that a mise en examen is a prerequisite for an ordonnance de renvoi and remanded the case to the Court of Appeal. In June 2019, the Court of Appeal declined to annul the ordonnance de renvoi referring JPMorgan Chase Bank, N.A. to the French tribunal correctionnel, and the Firm has reapplied to the Court of Cassation for a determination as to whether the Court of Appeal’s decision is consistent with the Court of Cassation’s September 2018 ruling. Any further actions in the criminal proceedings are stayed pending the outcome of that application. In addition, a number of the managers have commenced civil proceedings against JPMorgan Chase Bank, N.A. The claims are separate, involve
 
different allegations and are at various stages of proceedings.
* * *
In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or are otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously. Additional legal proceedings may be initiated from time to time in the future.
The Firm has established reserves for several hundred of its currently outstanding legal proceedings. In accordance with the provisions of U.S. GAAP for contingencies, the Firm accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense/(benefit) was $10 million and $20 million for the three months ended September 30, 2019 and 2018, respectively, and $(2) million and $90 million for the nine months ended September 30, 2019 and 2018, respectively. There is no assurance that the Firm’s litigation reserves will not need to be adjusted in the future.
In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, the Firm cannot state with confidence what will be the eventual outcomes of the currently pending matters, the timing of their ultimate resolution or the eventual losses, fines, penalties or consequences related to those matters. JPMorgan Chase believes, based upon its current knowledge 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.


162

Note 25 – Business segments
The Firm is managed on a line of business basis. There are four major reportable business segments - Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment. The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Segment results below, and Note 31 of JPMorgan Chase’s 2018 Form 10-K for a further discussion concerning JPMorgan Chase’s business segments.
Segment results
The following tables provide a summary of the Firm’s segment results as of or for the three and nine months ended September 30, 2019 and 2018, on a managed basis. The Firm’s definition of managed basis starts with the
 
reported U.S. GAAP results and includes certain reclassifications to present total net revenue for the Firm (and each of the reportable business segments) on an FTE basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities. Refer to Note 31 of JPMorgan Chase’s 2018 Form 10-K for additional information on the Firm’s managed basis.
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. On at least an annual basis, the assumptions and methodologies used in capital allocation are assessed and as a result, the capital allocated to lines of business may change. Refer to Line of business equity on page 91 of JPMorgan Chase’s 2018 Form 10-K for additional information on business segment capital allocation.
Segment results and reconciliation(a)
As of or for the three months ended September 30,
(in millions, except ratios)
Consumer &
Community Banking
 
Corporate &
Investment Bank
 
Commercial Banking
 
Asset & Wealth Management
2019

2018

 
2019

2018

 
2019

2018

 
2019

2018

Noninterest revenue
$
5,095

$
4,176

 
$
7,182

$
6,505

 
$
599

$
576

 
$
2,713

$
2,680

Net interest income
9,164

9,114

 
2,156

2,300

 
1,608

1,695

 
855

879

Total net revenue
14,259

13,290

 
9,338

8,805

 
2,207

2,271

 
3,568

3,559

Provision for credit losses
1,311

980

 
92

(42
)
 
67

(15
)
 
44

23

Noninterest expense
7,290

6,982

 
5,348

5,175

 
881

853

 
2,622

2,585

Income before income tax expense
5,658

5,328

 
3,898

3,672

 
1,259

1,433

 
902

951

Income tax expense
1,385

1,242

 
1,089

1,046

 
322

344

 
234

227

Net income
$
4,273

$
4,086

 
$
2,809

$
2,626

 
$
937

$
1,089

 
$
668

$
724

Average equity
$
52,000

$
51,000

 
$
80,000

$
70,000

 
$
22,000

$
20,000

 
$
10,500

$
9,000

Total assets
532,487

560,432

 
1,023,132

928,148

 
222,483

217,194

 
174,226

166,716

ROE
32
%
31
%
 
13
%
14
%
 
16
%
21
%
 
24
%
31
%
Overhead ratio
51

53

 
57

59

 
40

38

 
73

73

As of or for the three months ended September 30,
(in millions, except ratios)
Corporate
 
Reconciling Items(a)
 
Total
2019

2018

 
2019

2018

 
2019

2018

Noninterest revenue
$
120

$
(177
)
 
$
(596
)
$
(408
)
 
$
15,113

$
13,352

Net interest income
572

74

 
(127
)
(154
)
 
14,228

13,908

Total net revenue
692

(103
)
 
(723
)
(562
)
 
29,341

27,260

Provision for credit losses
—

2

 
—

—

 
1,514

948

Noninterest expense
281

28

 
—

—

 
16,422

15,623

Income/(loss) before income tax expense/(benefit)
411

(133
)
 
(723
)
(562
)
 
11,405

10,689

Income tax expense/(benefit)
18

12

 
(723
)
(562
)
 
2,325

2,309

Net income/(loss)
$
393

$
(145
)
 
$
—

$
—

 
$
9,080

$
8,380

Average equity
$
71,113

$
80,439

 
$
—

$
—

 
$
235,613

$
230,439

Total assets
812,333

742,693

 
NA

NA

 
2,764,661

2,615,183

ROE
NM

NM

 
NM

NM

 
15
%
14
%
Overhead ratio
NM

NM

 
NM

NM

 
56

57


(a)
Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results.








163

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
2019

2018

 
2019

2018

 
2019

2018

 
2019

2018

Noninterest revenue
$
13,868

$
12,063

 
$
22,328

$
21,954

 
$
1,806

$
1,758

 
$
7,989

$
7,997

Net interest income
27,975

26,321

 
6,499

7,257

 
4,950

4,995

 
2,627

2,640

Total net revenue
41,843

38,384

 
28,827

29,211

 
6,756

6,753

 
10,616

10,637

Provision for credit losses
3,745

3,405

 
179

(142
)
 
186

23

 
48

40

Noninterest expense
21,663

20,770

 
16,288

16,237

 
2,618

2,541

 
7,865

7,732

Income before income tax expense
16,435

14,209

 
12,360

13,116

 
3,952

4,189

 
2,703

2,865

Income tax expense
4,025

3,385

 
3,365

3,318

 
966

988

 
655

616

Net income
$
12,410

$
10,824

 
$
8,995

$
9,798

 
$
2,986

$
3,201

 
$
2,048

$
2,249

Average equity
$
52,000

$
51,000

 
$
80,000

$
70,000

 
$
22,000

$
20,000

 
$
10,500

$
9,000

Total assets
532,487

560,432

 
1,023,132

928,148

 
222,483

217,194

 
174,226

166,716

Return on equity
31
%
27
%
 
14
%
18
%
 
17
%
20
%
 
25
%
32
%
Overhead ratio
52

54

 
57

56

 
39

38

 
74

73

As of or for the nine months ended September 30,
(in millions, except ratios)
Corporate
 
Reconciling Items(a)
 
Total
2019

2018

 
2019

2018

 
2019

2018

Noninterest revenue
$
3

$
(220
)
 
$
(1,777
)
$
(1,337
)
 
$
44,217

$
42,215

Net interest income
1,436

(35
)
 
(408
)
(473
)
 
43,079

40,705

Total net revenue
1,439

(255
)
 
(2,185
)
(1,810
)
 
87,296

82,920

Provision for credit losses
—

(3
)
 
—

—

 
4,158

3,323

Noninterest expense
724

394

 
—

—

 
49,158

47,674

Income/(loss) before income tax expense/(benefit)
715

(646
)
 
(2,185
)
(1,810
)
 
33,980

31,923

Income tax expense/(benefit)
(757
)
18

 
(2,185
)
(1,810
)
 
6,069

6,515

Net income/(loss)
$
1,472

$
(664
)
 
$
—

$
—

 
$
27,911

$
25,408

Average equity
$
68,417

$
78,995

 
$
—

$
—

 
$
232,917

$
228,995

Total assets
812,333

742,693

 
NA

NA

 
2,764,661

2,615,183

Return on equity
NM

NM

 
NM

NM

 
15
%
14
%
Overhead ratio
NM

NM

 
NM

NM

 
56

57

(a)
Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results.


164

https://cdn.kscope.io/926ed75256a741181f6487c4daf8c23f-pwclogobwaa06.jpg
Report of Independent Registered Public Accounting Firm


To the Board of Directors and Shareholders of JPMorgan Chase & Co.:
Results of Review of Interim Financial Statements
We have reviewed the accompanying consolidated balance sheet of JPMorgan Chase & Co. and its subsidiaries (the “Firm”) as of September 30, 2019, 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, 2019 and 2018 and the consolidated statements of cash flows for the nine-month periods ended September 30, 2019 and 2018, 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, 2018, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and of cash flows for the year then ended (not presented herein), and in our report dated February 26, 2019, 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, 2018, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived.

 
Basis for Review Results
These interim financial statements are the responsibility of the Firm’s management. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Firm in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
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November 4, 2019
























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

165

JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)
 
 
 
 
 
Three months ended September 30, 2019
 
Three months ended September 30, 2018
 
Average
balance
Interest(g)
 
Rate
(annualized)
 
Average
balance
Interest(g)
 
Rate
(annualized)
Assets
 
 
 
 
 
 
 
 
 
 
 
Deposits with banks
$
267,578

$
898

 
1.33
%
 
 
$
408,595

$
1,585

 
1.54
 
Federal funds sold and securities purchased under resale agreements
276,721

1,542

 
2.21

 
 
208,439

952

 
1.81
 
Securities borrowed(a)
139,939

434

 
1.23

 
 
117,057

248


0.84
 
Trading assets – debt instruments(a)
339,198

2,671

 
3.12

 
 
241,074

2,170

 
3.57
 
Taxable securities
308,619

2,132

 
2.74

 
 
187,942

1,402

 
2.96
 
Nontaxable securities(b)
34,515

396

 
4.55

 
 
42,045

490

 
4.62
 
Total investment securities
343,134

2,528

 
2.92

(h) 
 
229,987

1,892

 
3.26
(h) 
Loans
947,280

12,623

 
5.29

 
 
951,724

12,250

 
5.11
 
All other interest-earning assets(a)(c)
51,304

552

 
4.27

 
 
46,429

496

 
4.23
 
Total interest-earning assets(a)
2,365,154

21,248

 
3.56

 
 
2,203,305

19,593

 
3.53
 
Allowance for loan losses
(13,142
)
 
 
 
 
 
(13,207
)
 
 
 
 
Cash and due from banks
20,375

 
 
 
 
 
21,101

 
 
 
 
Trading assets – equity and other instruments(a)
113,980

 
 
 
 
 
119,915

 
 
 
 
Trading assets – derivative receivables
57,062

 
 
 
 
 
62,075

 
 
 
 
Goodwill, MSRs and other intangible assets
53,125

 
 
 
 
 
54,652

 
 
 
 
All other noninterest-earning assets
168,498

 
 
 
 
 
151,780

 
 
 
 
Total assets
$
2,765,052

 
 
 
 
 
$
2,599,621

 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits(a)
$
1,123,452

$
2,409

 
0.85
%
 
 
$
1,041,896

$
1,621

 
0.62
 
Federal funds purchased and securities loaned or sold under repurchase agreements
239,698

1,241

 
2.05

 
 
184,377

827

 
1.78
 
Short-term borrowings(a)(d)
44,814

261

 
2.31

 
 
52,779

288

 
2.17
 
Trading liabilities – debt and all other interest-bearing
liabilities(a)(e)(f)
183,369

660

 
1.43

 
 
176,795

617

 
1.39
 
Beneficial interests issued by consolidated VIEs
21,123

134

 
2.53

 
 
19,921

122

 
2.41
 
Long-term debt(a)
248,985

2,188

 
3.49

 
 
241,878

2,056

 
3.37
 
Total interest-bearing liabilities(a)
1,861,441

6,893

 
1.47

 
 
1,717,646

5,531

 
1.28
 
Noninterest-bearing deposits(a)
407,428

 
 
 
 
 
410,966

 
 
 
 
Trading liabilities – equity and other instruments(a)(f)
31,310

 
 
 
 
 
36,605

 
 
 
 
Trading liabilities – derivative payables
45,987

 
 
 
 
 
44,810

 
 
 
 
All other liabilities, including the allowance for lending-related commitments(a)
155,032

 
 
 
 
 
132,903

 
 
 
 
Total liabilities
2,501,198

 
 
 
 
 
2,342,930

 
 
 
 
Stockholders’ equity
 
 
 
 
 
 
 
 
 
 
 
Preferred stock
28,241

 
 
 
 
 
26,252

 
 
 
 
Common stockholders’ equity
235,613

 
 
 
 
 
230,439

 
 
 
 
Total stockholders’ equity
263,854

 
 
 
 
 
256,691

 
 
 
 
Total liabilities and stockholders’ equity
$
2,765,052

 
 
 
 
 
$
2,599,621

 
 
 
 
Interest rate spread(a)
 
 
 
2.09
%
 
 
 
 
 
2.25
 
Net interest income and net yield on interest-earning assets(a)
 
$
14,355

 
2.41

 
 
 
$
14,062

 
2.53
 
(a)
In the second quarter of 2019, the Firm implemented certain presentation changes that impacted interest income and interest expense, but had no effect on net interest income. These changes were made to align the accounting treatment between the balance sheet and the related interest income or expense, primarily by offsetting interest income and expense for certain prime brokerage-related held-for-investment customer receivables and payables that are currently presented as a single margin account on the balance sheet. In addition, the Firm reclassified balances related to certain instruments and structured notes from interest-earning/bearing to noninterest-earning/bearing assets and liabilities as the associated returns are recorded in principal transactions revenue and not in net interest income. These changes were applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation.
(b)
Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)
Includes prime brokerage-related held-for-investment customer receivables, which are classified in accrued interest and accounts receivable, and all other interest-earning assets, which are classified in other assets on the Consolidated Balance Sheets.
(d)
Includes commercial paper.
(e)
Other interest-bearing liabilities include prime brokerage-related customer payables.
(f)
The combined balance of trading liabilities – debt and equity instruments were $102.3 billion and $106.4 billion for the three months ended September 30, 2019 and 2018, respectively.
(g)
Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)
The annualized rate for securities based on amortized cost was 2.97% and 3.29% for the three months ended September 30, 2019 and 2018, respectively, and does not give effect to changes in fair value that are reflected in AOCI.

166

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, 2019
 
Nine months ended September 30, 2018
 
Average
balance
Interest(g)
 
Rate
(annualized)
 
Average
balance
Interest(g)
 
Rate
(annualized)
Assets
 
 
 
 
 
 
 
 
 
 
 
Deposits with banks
$
282,483

$
3,200

 
1.51
%
 
 
$
419,392

$
4,449

 
1.42
 
Federal funds sold and securities purchased under resale agreements
284,616

4,865

 
2.29

 
 
203,969

2,490

 
1.63
 
Securities borrowed(a)
129,915

1,298

 
1.34

 
 
113,112

549

 
0.65
 
Trading assets – debt instruments(a)
337,879

8,380

 
3.32

 
 
240,404

6,415

 
3.57
 
Taxable securities
258,406

5,712

 
2.96

 
 
190,970

4,098

 
2.87
 
Nontaxable securities(b)
36,490

1,271

 
4.66

 
 
42,911

1,494

 
4.65
 
Total investment securities
294,896

6,983

 
3.17

(h) 
 
233,881

5,592

 
3.20
(h) 
Loans
956,641

38,313

 
5.35

 
 
939,408

35,047

 
4.99
 
All other interest-earning assets(a)(c)
48,193

1,482

 
4.11

 
 
48,743

1,430

 
3.92
 
Total interest-earning assets(a)
2,334,623

64,521

 
3.69

 
 
2,198,909

55,972

 
3.40
 
Allowance for loan losses
(13,366
)
 
 
 
 
 
(13,303
)
 
 
 
 
Cash and due from banks
20,824

 
 
 
 
 
21,771

 
 
 
 
Trading assets – equity and other instruments(a)
114,394

 
 
 
 
 
124,048

 
 
 
 
Trading assets – derivative receivables
54,098

 
 
 
 
 
61,188

 
 
 
 
Goodwill, MSRs and other intangible assets
53,853

 
 
 
 
 
54,656

 
 
 
 
All other noninterest-earning assets
165,475

 
 
 
 
 
152,325

 
 
 
 
Total assets
$
2,729,901

 
 
 
 
 
$
2,599,594

 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest-bearing deposits(a)
$
1,102,751

$
7,010

 
0.85
%
 
 
$
1,039,646

$
4,021

 
0.52
 
Federal funds purchased and securities loaned or sold under repurchase agreements
225,471

3,577

 
2.12

 
 
190,832

2,164

 
1.52
 
Short-term borrowings(a)(d)
56,635

1,051

 
2.48

 
 
51,349

757

 
1.97
 
Trading liabilities – debt and all other interest-bearing liabilities(a)(e)(f)
186,167

2,141

 
1.54

 
 
176,104

1,674

 
1.27
 
Beneficial interests issued by consolidated VIEs
23,549

459

 
2.61

 
 
21,449

366

 
2.28
 
Long-term debt(a)
247,782

6,796

 
3.67

 
 
244,307

5,812

 
3.18
 
Total interest-bearing liabilities(a)
1,842,355

21,034

 
1.53

 
 
1,723,687

14,794

 
1.15
 
Noninterest-bearing deposits(a)
405,075

 
 
 
 
 
413,501

 
 
 
 
Trading liabilities – equity and other instruments(a)(f)
32,059

 
 
 
 
 
33,607

 
 
 
 
Trading liabilities – derivative payables
41,952

 
 
 
 
 
42,919

 
 
 
 
All other liabilities, including the allowance for lending-related commitments(a)
148,086

 
 
 
 
 
130,755

 
 
 
 
Total liabilities
2,469,527

 
 
 
 
 
2,344,469

 
 
 
 
Stockholders’ equity
 
 
 
 
 
 
 
 
 
 
 
Preferred stock
27,457

 
 
 
 
 
26,130

 
 
 
 
Common stockholders’ equity
232,917

 
 
 
 
 
228,995

 
 
 
 
Total stockholders’ equity
260,374

 
 
 
 
 
255,125

 
 
 
 
Total liabilities and stockholders’ equity
$
2,729,901

 
 
 
 
 
$
2,599,594

 
 
 
 
Interest rate spread(a)
 
 
 
2.16
%
 
 
 
 
 
2.25
 
Net interest income and net yield on interest-earning assets(a)
 
$
43,487

 
2.49

 
 
 
$
41,178

 
2.50
 
(a)
In the second quarter of 2019, the Firm implemented certain presentation changes that impacted interest income and interest expense, but had no effect on net interest income. These changes were made to align the accounting treatment between the balance sheet and the related interest income or expense, primarily by offsetting interest income and expense for certain prime brokerage-related held-for-investment customer receivables and payables that are currently presented as a single margin account on the balance sheet. In addition, the Firm reclassified balances related to certain instruments and structured notes from interest-earning/bearing to noninterest-earning/bearing assets and liabilities as the associated returns are recorded in principal transactions revenue and not in net interest income. These changes were applied retrospectively and, accordingly, prior period amounts were revised to conform with the current presentation.
(b)
Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)
Includes prime brokerage-related held-for-investment customer receivables, which are classified in accrued interest and accounts receivable, and all other interest-earning assets, which are classified in other assets on the Consolidated Balance Sheets.
(d)
Includes commercial paper.
(e)
Other interest-bearing liabilities include prime brokerage-related customer payables.
(f)
The combined balance of trading liabilities – debt and equity instruments were $106.8 billion and $105.1 billion for the nine months ended September 30, 2019 and 2018, respectively.
(g)
Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)
The annualized rate for securities based on amortized cost was 3.20% and 3.23% for the nine months ended September 30, 2019 and 2018, respectively, and does not give effect to changes in fair value that are reflected in AOCI.

167

GLOSSARY OF TERMS AND ACRONYMS
2018 Form 10-K: Annual report on Form 10-K for year ended December 31, 2018, 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.
AOCI: Accumulated other comprehensive income/(loss)
ARM(s): Adjustable rate mortgage(s)
AWM: Asset & Wealth Management
Beneficial interests issued by consolidated VIEs: represents the interest of third-party holders of debt, equity securities, or other obligations, issued by VIEs that JPMorgan Chase consolidates.
Benefit obligation: refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
CB: Commercial Banking
CBB: Consumer & Business Banking
CCAR: Comprehensive Capital Analysis and Review
CCB: Consumer & Community Banking
CDS: Credit default swaps
CEO: Chief Executive Officer
CET1 Capital: Common equity Tier 1 Capital
CFTC: Commodity Futures Trading Commission
CFO: Chief Financial Officer
Chase Bank USA, N.A.: Chase Bank USA, National Association
CIB: Corporate & Investment Bank
CIO: Chief Investment Office
Client deposits and other third-party liabilities: Deposits, as well as deposits that are swept to on-balance sheet liabilities (e.g., commercial paper, federal funds purchased and securities loaned or sold under repurchase agreements) as part of client cash management programs.
CLTV: Combined loan-to-value
Collateral-dependent: A loan is considered to be collateral-dependent when repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower’s operations, income or other resources.
Commercial Card: provides a wide range of payment services to corporate and public sector clients worldwide through the commercial card products. Services include procurement, corporate travel and entertainment, expense
 
management services, and business-to-business payment solutions.
Core loans: represents loans central to the Firm’s ongoing businesses; core loans excludes loans classified as trading assets, runoff portfolios, discontinued portfolios and portfolios the Firm has an intent to exit.
Credit derivatives: Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity) which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Upon the occurrence of a credit event by the reference entity, which may include, among other events, the bankruptcy or failure to pay its obligations, or certain restructurings of the debt of the reference entity, neither party has recourse to the reference entity. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value at the time of settling the credit derivative contract. The determination as to whether a credit event has occurred is generally made by the relevant International Swaps and Derivatives Association (“ISDA”) Determinations Committee.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes and are generally consistent with a rating of CCC+/Caa1 and below, as defined by S&P and Moody’s.
CRO: Chief Risk Officer
CVA: Credit valuation adjustment
DVA: Debit valuation adjustment
EC: European Commission
Eligible LTD: Long-term debt satisfying certain eligibility criteria
Embedded derivatives: are implicit or explicit terms or features of a financial instrument that affect some or all of the cash flows or the value of the instrument in a manner similar to a derivative. An instrument containing such terms or features is referred to as a “hybrid.” The component of the hybrid that is the non-derivative instrument is referred to as the “host.” For example, callable debt is a hybrid instrument that contains a plain vanilla debt instrument (i.e., the host) and an embedded option that allows the issuer to redeem the debt issue at a specified date for a specified amount (i.e., the embedded derivative). However, a floating rate instrument is not a hybrid composed of a fixed-rate instrument and an interest rate swap.
ERISA: Employee Retirement Income Security Act of 1974
EPS: Earnings per share
Exchange-traded derivatives: Derivative contracts that are executed on an exchange and settled via a central clearing house.
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board

168

FCA: Financial Conduct Authority
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO score: A measure of consumer credit risk based on information in consumer credit reports produced by Fair Isaac Corporation. Because certain aged data is excluded from credit reports based on rules in the Fair Credit Reporting Act, FICO scores may not reflect all historical information about a consumer.
Firm: JPMorgan Chase & Co.
Forward points: represents the interest rate differential between two currencies, which is either added to or subtracted from the current exchange rate (i.e., “spot rate”) to determine the forward exchange rate.
Freddie Mac: Federal Home Loan Mortgage Corporation
Free-standing derivatives: is a derivative contract entered into either separate and apart from any of the Firm’s other financial instruments or equity transactions. Or, in conjunction with some other transaction and is legally detachable and separately exercisable.
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
HELOAN: Home equity loan
HELOC: Home equity line of credit
Home equity – senior lien: represents loans and commitments where JPMorgan Chase holds the first security interest on the property.
Home equity – junior lien: represents loans and commitments where JPMorgan Chase holds a security interest that is subordinate in rank to other liens.
HQLA: High-quality liquid assets
HTM: Held-to-maturity
IDI: Insured depository institutions
IHC: JPMorgan Chase Holdings LLC, an intermediate holding company
Impaired loan: Impaired loans are loans measured at amortized cost, for which it is probable that the Firm will be unable to collect all amounts due, including principal and interest, according to the contractual terms of the agreement. Impaired loans include the following:
•
All wholesale nonaccrual loans
 
•
All TDRs (both wholesale and consumer), including ones that have returned to accrual status
IPO: Initial public offering
Investment-grade: An indication of credit quality based on JPMorgan Chase’s internal risk assessment system. “Investment grade” generally represents a risk profile similar to a rating of a “BBB-”/“Baa3” or better, as defined by independent rating agencies.
IR: Interest rate
ISDA: International Swaps and Derivatives Association
JPMorgan Chase: JPMorgan Chase & Co.
JPMorgan Chase Bank, N.A.: JPMorgan Chase Bank, National Association
J.P. Morgan Securities: J.P. Morgan Securities LLC
LCR: Liquidity coverage ratio
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LOB: Line of business
Loss emergence period: represents the time period between the date at which the loss is estimated to have been incurred and the ultimate realization of that loss.
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

169

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.
MBS: Mortgage-backed securities
MD&A: Management’s discussion and analysis
Moody’s: Moody’s Investor Services
Mortgage product types:
Alt-A
Alt-A loans are generally higher in credit quality than subprime loans but have characteristics that would disqualify the borrower from a traditional prime loan. Alt-A lending characteristics may include one or more of the following: (i) limited documentation; (ii) a high CLTV ratio; (iii) loans secured by non-owner occupied properties; or (iv) a debt-to-income ratio above normal limits. A substantial proportion of the Firm’s Alt-A loans are those where a borrower does not provide complete documentation of his or her assets or the amount or source of his or her income.
Option ARMs
The option ARM real estate loan product is an adjustable-rate mortgage loan that provides the borrower with the option each month to make a fully amortizing, interest-only or minimum payment. The minimum payment on an option ARM loan is based on the interest rate charged during the introductory period. This introductory rate is usually significantly below the fully indexed rate. The fully indexed rate is calculated using an index rate plus a margin. Once the introductory period ends, the contractual interest rate charged on the loan increases to the fully indexed rate and adjusts monthly to reflect movements in the index. The minimum payment is typically insufficient to cover interest accrued in the prior month, and any unpaid interest is deferred and added to the principal balance of the loan. Option ARM loans are subject to payment recast, which converts the loan to a variable-rate fully amortizing loan upon meeting specified loan balance and anniversary date triggers.
Prime
Prime mortgage loans are made to borrowers with good credit records who meet specific underwriting requirements, including prescriptive requirements related to income and overall debt levels. New prime mortgage borrowers provide full documentation and generally have reliable payment histories.
Subprime
Subprime loans are loans that, prior to mid-2008, were offered to certain customers with one or more high risk
 
characteristics, including but not limited to: (i) unreliable or poor payment histories; (ii) a high LTV ratio of greater than 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the loan is other than the borrower’s primary residence; or (v) a history of delinquencies or late payments on the loan.
MSA: Metropolitan statistical areas
MSR: Mortgage servicing rights
NA: Data is not applicable or available for the period presented.
Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net charge-off/(recovery) rate: represents net charge-offs/(recoveries) (annualized) divided by average retained loans for the reporting period.
Net interchange income includes the following components:
•
Interchange income: Fees earned by credit and debit card issuers on sales transactions.
•
Rewards costs: The cost to the Firm for points earned by cardholders enrolled in credit card rewards programs.
•
Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
Net yield on interest-earning assets: The average rate for interest-earning assets less the average rate paid for all sources of funds.
NM: Not meaningful
Nonaccrual loans: Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest has been in default for a period of 90 days or more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are typically maintained on nonaccrual status.
Nonperforming assets: Nonperforming assets include nonaccrual loans, nonperforming derivatives and certain assets acquired in loan satisfactions, predominantly real estate owned and other commercial and personal property.
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income/(loss)
OPEB: Other postretirement employee benefit
OTC: “Over-the-counter derivatives”: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
OTC cleared: “Over-the-counter cleared derivatives”: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
OTTI: Other-than-temporary impairment

170

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.
PCI: “Purchased credit-impaired” loans represents certain loans that were acquired and deemed to be credit-impaired on the acquisition date in accordance with the guidance of the FASB. The guidance allows purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans have common risk characteristics (e.g., product type, LTV ratios, FICO scores, past due status, geographic location). A pool is then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows.
PD: Probability of default
PRA: Prudential 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
Receivables from customers: primarily represents prime brokerage-related held-for-investment customer receivables from brokerage customers that are collateralized through assets maintained in the clients’ brokerage accounts, as such no allowance is held against these receivables. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.
Regulatory VaR: Daily aggregated VaR calculated in accordance with regulatory rules.
REO: Real estate owned
Reported basis: Financial statements prepared under U.S. GAAP, which excludes the impact of taxable-equivalent adjustments.
Retained loans: Loans that are held-for-investment (i.e. excludes loans held-for-sale and loans at fair value).
Revenue wallet: Total fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications. Source: Dealogic, a third-party provider of investment banking competitive analysis and volume based league tables for the above noted industry products.
RHS: Rural Housing Service of the U.S. Department of Agriculture
ROE: Return on equity
ROTCE: Return on tangible common equity
ROU assets: Right-of-use assets
RSU(s): Restricted stock units
RWA: “Risk-weighted assets”: Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach) which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced.
Scored portfolio: The scored portfolio predominantly includes residential real estate loans, credit card loans and certain auto and business banking loans where credit loss estimates are based on statistical analysis of credit losses over discrete periods of time. The statistical analysis uses portfolio modeling, credit scoring and decision-support tools.
S&P: Standard and Poors
SAR(s): Stock appreciation rights
SEC: U.S. Securities and Exchange Commission
Seed capital: Initial JPMorgan capital invested in products,

171

such as mutual funds, with the intention of ensuring the fund is of sufficient size to represent a viable offering to clients, enabling pricing of its shares, and allowing the manager to develop a track record. After these goals are achieved, the intent is to remove the Firm’s capital from the investment.
Shelf Deals: Shelf offerings are SEC provisions that allow issuers to register for new securities without selling the entire issuance at once. Since these issuances are filed with the SEC but are not yet priced in the market, they are not included in the league tables until the actual securities are issued.
Single-name: Single reference-entities
SLR: Supplementary leverage ratio
SMBS: Stripped mortgage-backed securities
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Structural interest rate risk: represents interest rate risk of the non-trading assets and liabilities of the Firm.
Structured notes: Structured notes are financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest, or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Suspended foreclosures: Loans referred to foreclosure where formal foreclosure proceedings have started but are currently on hold, which could be due to bankruptcy or loss mitigation. Includes both judicial and non-judicial states.
Taxable-equivalent basis: In presenting managed results, the total net revenue for each of the business segments and the Firm is presented on a tax-equivalent basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities; the corresponding income tax impact related to tax-exempt items is recorded within income tax expense.
TBVPS: Tangible book value per share
TCE: Tangible common equity
TDR: “Troubled debt restructuring” is deemed to occur when the Firm modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty.
TLAC: Total Loss Absorbing Capacity
U.K.: United Kingdom
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
U.S.: United States of America
 
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac which are U.S. government-sponsored enterprises (“U.S. GSEs”). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. GAAP: Accounting principles generally accepted in the United States of America.
U.S. GSE(s): “U.S. government-sponsored enterprises” are quasi-governmental, privately-held entities established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress to improve the flow of credit to specific sectors of the economy and provide certain essential services to the public. U.S. GSEs include Fannie Mae and Freddie Mac, but do not include Ginnie Mae or FHA. U.S. GSE obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government.
U.S. Treasury: U.S. Department of the Treasury
VA: U.S. Department of Veterans Affairs
VaR: “Value-at-risk” is a measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Warehouse loans: consist of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets.

172

LINE OF BUSINESS METRICS
CONSUMER & COMMUNITY BANKING (“CCB”)
Debit and credit card sales volume: Dollar amount of cardmember purchases, net of returns.
Deposit margin/deposit spread: represents net interest income expressed as a percentage of average deposits.
Home Lending Production and Home Lending Servicing revenue comprises the following:
Net mortgage servicing revenue: Includes
operating revenue earned from servicing third-party
mortgage loans which is recognized over the period in
which the service is provided, changes in the fair value of
MSRs, the impact of risk management activities
associated with MSRs and gains and losses on securitization of excess mortgage servicing. Net mortgage servicing revenue also includes gains and losses on sales and lower of cost or fair value adjustments of certain loans insured by U.S. government agencies.
Net production revenue: Includes fees and income
recognized as earned on mortgage loans originated with the
intent to sell; the impact of risk management activities
associated with the mortgage pipeline and warehouse
loans; and changes in the fair value of any residual interests
held from mortgage securitizations. Net production revenue
also includes gains and losses on sales and lower of cost or fair value adjustments on mortgage loans (excluding certain loans insured by U.S. government agencies) held-for-sale and changes in fair value on mortgage loans originated with the intent to sell and measured at fair value 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.
Card Services: includes the Credit Card and Merchant Services businesses.
Credit Card: is a business that primarily issues credit cards to consumers and small businesses.
Merchant Services: is a business that primarily processes transactions for merchants.
Net revenue rate: represents Card Services net revenue (annualized) expressed as a percentage of average loans for the period.
Auto loan and lease origination volume: Dollar amount of auto loans and leases originated.
 
CORPORATE & INVESTMENT BANK (“CIB”)
Definition of selected CIB revenue:
Investment Banking: incorporates all revenue associated with investment banking activities, and is reported net of investment banking revenue shared with other lines of business.
Treasury Services: offers a broad range of products and services that enable clients to manage payments and receipts, as well as invest and manage funds. Products include U.S. dollar and multi-currency clearing, ACH, lockbox, disbursement and reconciliation services, check deposits, and currency-related services.
Lending: includes net interest income, fees, gains or losses on loan sale activity, gains or losses on securities received as part of a loan restructuring, and the risk management results related to the credit portfolio. Lending also includes Trade Finance, which includes loans tied directly to goods crossing borders, export/import loans, commercial letters of credit, standby letters of credit, and supply chain finance.
Fixed Income Markets: primarily includes revenue related to market-making across global fixed income markets, including foreign exchange, interest rate, credit and commodities markets.
Equity Markets: primarily includes revenue related to market-making across global equity products, including cash instruments, derivatives, convertibles and prime 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.

173

COMMERCIAL BANKING (“CB”)
Commercial Banking provides comprehensive financial solutions, including lending, treasury services, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.
Middle Market Banking: covers small business and midsized corporations, local governments and nonprofit clients.
Corporate Client Banking: covers large corporations.
Commercial Real Estate Banking: covers investors, developers, and owners of multifamily, office, retail, industrial and affordable housing properties.
CB product revenue comprises the following:
Lending: includes a variety of financing alternatives, which are primarily provided on a secured basis; collateral includes receivables, inventory, equipment, real estate or other assets. Products include term loans, revolving lines of credit, bridge financing, asset-based structures, leases, and standby letters of credit.
Treasury services: includes revenue from a broad range of products and services that enable CB clients to manage payments and receipts, as well as invest and manage funds.
Investment banking: includes revenue from a range of products providing CB clients with sophisticated capital-raising alternatives, as well as balance sheet and risk management tools through advisory, equity underwriting, and loan syndications. Revenue from fixed income and equity market products used by CB clients is also included.
Other: product revenue primarily includes tax-equivalent adjustments generated from Community Development Banking activity and certain income derived from principal transactions.
 
ASSET & WEALTH MANAGEMENT (“AWM”)
Assets under management (“AUM”): represent assets managed by AWM on behalf of its Private Banking, Institutional and Retail clients.
Client assets: represent assets under management, as well as custody, brokerage, administration and deposit accounts.
Multi-asset: Any fund or account that allocates assets under management to more than one asset class.
Alternative assets: The following types of assets constitute alternative investments – hedge funds, currency, real estate, private equity and other investment funds designed to focus on nontraditional strategies.
AWM’s lines of business consist of the following:
Asset Management: provides comprehensive global investment services - including asset management, pension analytics, asset-liability management and active risk-budgeting strategies.
Wealth Management: offers investment advice and wealth management, including investment management, capital markets and risk management, tax and estate planning, banking, lending and specialty-wealth advisory services.
AWM’s client segments consist of the following:
Private Banking: clients include high- and ultra-high-net-worth individuals, families, money managers, business owners and small corporations worldwide.
Institutional: clients include both corporate and public institutions, endowments, foundations, nonprofit organizations and governments worldwide.
Retail: clients include financial intermediaries and individual investors.
Asset Management has two high-level measures of its overall fund performance:
Percentage of mutual fund assets under management in funds rated 4- or 5-star: Mutual fund rating services rank funds based on their risk-adjusted performance over various periods. A 5-star rating is the best rating and represents the top 10% of industry-wide ranked funds.
A 4-star rating represents the next 22.5% of industry-wide ranked funds. A 3-star rating represents the next 35% of industry-wide ranked funds. A 2-star rating represents the next 22.5% of industry-wide ranked funds. A 1-star rating is the worst rating and represents the bottom 10% of industry-wide ranked funds. The “overall Morningstar rating” is derived from a weighted average of the performance associated with a fund’s three-, five- and ten-year (if applicable) Morningstar Rating metrics. For U.S. domiciled funds, separate star ratings are given at the individual share class level. The Nomura “star rating” is based on three-year risk-adjusted performance only. Funds with fewer than three years of history are not rated and

174

hence excluded from this analysis. All ratings, the assigned peer categories and the asset values used to derive this analysis are sourced from these fund rating providers. The data providers re-denominate the asset values into U.S. dollars. This % of AUM is based on star ratings at the share class level for U.S. domiciled funds, and at a “primary share class” level to represent the star rating of all other funds except for Japan where Nomura provides ratings at the fund level. The “primary share class”, as defined by Morningstar, denotes the share class recommended as being the best proxy for the portfolio and in most cases will be the most retail version (based upon annual management charge, minimum investment, currency and other factors). The performance data could have been different if all funds/accounts would have been included. Past performance is not indicative of future results.
 
Percentage of mutual fund assets under management in funds ranked in the 1st or 2nd quartile (one, three, and five years): All quartile rankings, the assigned peer categories and the asset values used to derive this analysis are sourced from the fund ranking providers. Quartile rankings are done on the net-of-fee absolute return of each fund. The data providers re-denominate the asset values into U.S. dollars. This % of AUM is based on fund performance and associated peer rankings at the share class level for U.S. domiciled funds, at a “primary share class” level to represent the quartile ranking of the U.K., Luxembourg and Hong Kong funds and at the fund level for all other funds. The “primary share class”, as defined by Morningstar, denotes the share class recommended as being the best proxy for the portfolio and in most cases will be the most retail version (based upon annual management charge, minimum investment, currency and other factors). Where peer group rankings given for a fund are in more than one “primary share class” territory both rankings are included to reflect local market competitiveness (applies to “Offshore Territories” and “HK SFC Authorized” funds only). The performance data could have been different if all funds/accounts would have been included. Past performance is not indicative of future results.


175

Item 3.    Quantitative and Qualitative Disclosures About Market Risk.
Refer to the Market Risk Management section of Management’s discussion and analysis and pages 124–131 of JPMorgan Chase’s 2018 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 Certification statements issued by the Chairman and Chief Executive Officer and Chief Financial Officer.
The Firm is committed to maintaining high standards of internal control over financial reporting. Nevertheless, because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. In addition, in a firm as large and complex as JPMorgan Chase, lapses or deficiencies in internal controls do occur from time to time, and there can be no assurance that any such deficiencies will not result in significant deficiencies or material weaknesses in internal controls in the future. Refer to “Management’s report on internal control over financial reporting” on page 148 of JPMorgan Chase’s 2018 Form 10-K for further information. There was no change in the Firm’s internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) that occurred during the three months ended September 30, 2019, 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 2018 Form 10-K.
Item 1A. Risk Factors.
Refer to Part I, Item 1A: Risk Factors on pages 7–28 of JPMorgan Chase’s 2018 Form 10-K and Forward-Looking Statements on page 79 of this Form 10-Q for a discussion of certain risk factors affecting the Firm.
Supervision and regulation
Refer to the Supervision and regulation section on pages 1–6 of JPMorgan Chase’s 2018 Form 10-K for information on Supervision and Regulation.
Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds.
The Firm did not have any unregistered sale of equity securities during the three months ended September 30, 2019.
Repurchases under the common equity repurchase program
Refer to Capital Risk Management on pages 45–49 of this Form 10-Q and pages 85-94 of JPMorgan Chase’s 2018 Form 10-K for information regarding repurchases under the Firm’s common equity repurchase program.

176

Shares repurchased, on a settlement-date basis, pursuant to the common equity repurchase program during the nine months ended September 30, 2019, were as follows.
Nine months ended September 30, 2019
Total shares of common stock repurchased
 
Average price paid per share of common stock(a)
 
Aggregate repurchases
of common equity
 (in millions)(a)
 
Dollar value of remaining authorized repurchase
(in millions)(a)
 
First quarter
49,534,646

 
$
102.78

 
$
5,091

 
$
5,290

 
Second quarter
47,434,255

 
109.83

 
5,210

 
80

(b) 
July
16,285,176

 
114.39

 
1,863

 
27,537

 
August
29,005,310

 
108.78

 
3,155

 
24,382

 
September
16,720,914

 
115.53

 
1,931

 
22,451

(c) 
Third quarter
62,011,400

 
112.07

 
6,949

 
22,451

(c) 
Year-to-date
158,980,301

 
$
108.51

 
$
17,250

 
$
22,451

(c) 
(a)
Excludes commissions cost.
(b)
The $80 million unused portion under the prior Board authorization was canceled when the $29.4 billion repurchase program was authorized by the Board of Directors on June 27, 2019.
(c)
Represents the amount remaining under the $29.4 billion repurchase program.
Item 3.    Defaults Upon Senior Securities.
None.
Item 4.    Mine Safety Disclosures.
Not applicable.
Item 5.    Other Information.
None.
 

Item 6.    Exhibits.
Exhibit No.
 
Description of Exhibit
 
 
 
10.1
 
 
 
 
15
 
 
 
 
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 September 30, 2019, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and nine months ended September 30, 2019 and 2018, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and nine months ended September 30, 2019 and 2018, (iii) the Consolidated balance sheets (unaudited) as of September 30, 2019, and December 31, 2018, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended September 30, 2019 and 2018, (v) the Consolidated statements of cash flows (unaudited) for the nine months ended September 30, 2019 and 2018, and (vi) the Notes to Consolidated Financial Statements (unaudited).

177

SIGNATURE



Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
JPMorgan Chase & Co.
(Registrant)


By:
/s/ Nicole Giles
 
Nicole Giles
 
Managing Director and Firmwide Controller
 
(Principal Accounting Officer)


Date:
November 4, 2019






178

INDEX TO EXHIBITS



Exhibit No.
 
Description of Exhibit
 
 
 
10.1
 
 
 
 
15
 
 
 
 
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.
101.SCH
 
XBRL Taxonomy Extension Schema Document.
101.CAL
 
XBRL Taxonomy Extension Calculation Linkbase Document.
101.DEF
 
XBRL Taxonomy Extension Definition Linkbase Document.
101.LAB
 
XBRL Taxonomy Extension Label Linkbase Document.
101.PRE
 
XBRL Taxonomy Extension Presentation Linkbase Document.
104
 
Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101).
 
 
 
†
 
This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.



179
Exhibit



Exhibit 10.1

EMPLOYEE STOCK PURCHASE PLAN
OF JPMORGAN CHASE & CO.
AMENDED AND RESTATED EFFECTIVE AS OF JANUARY 1, 2019

1.
PURPOSE

The purposes of the Employee Stock Purchase Plan of JPMorgan Chase & Co. are (i) to serve as an employment incentive and (ii) to encourage stock ownership by Eligible Employees to align their long-term financial interests with those of the Company’s stockholders. The Plan is not intended to be an employee benefit plan under the Employee Retirement Income Security Act of 1974, as amended, nor qualify as an “employee stock purchase plan” under Section 423 of the Code.
2.
EFFECTIVE DATE AND DURATION OF PLAN

The Plan became effective as of January 1, 2002, and was approved by stockholders on May 15, 2001. The Plan is hereby amended and restated effective as of January 1, 2019 to (i) reflect that the Plan is no longer intended to qualify as an “employee stock purchase plan” under Section 423 of the Code and (ii) revise the Plan’s eligibility provisions. The Plan shall have an indefinite duration.
3.
DEFINITIONS

3.1 “Offer” means an offer by the Company, the form of which has been approved by the Committee, pursuant to which Eligible Employees may purchase Common Stock under the Plan.

3.2 “Board” means the Board of Directors of the Company.

3.3 “Closing Date” means the last day of the stated term of an Offer as established by the Committee.

3.4 “Code” means the Internal Revenue Code of 1986, as amended, including any rules and regulations promulgated thereunder and any successor thereto.

3.5 “Committee” means the Compensation and Management Development Committee of the Board or such other committee of the Board, as the Board may specify.

3.6 “Common Stock” means the Common Stock of the Company.

3.7 “Company” means JPMorgan Chase & Co., a Delaware corporation.

3.8 “Compensation” means, unless the Committee determines otherwise, base salary plus any shift differential, or for Eligible Employees in certain sales positions that are paid in part or exclusively on a draw and commission basis, “Compensation” as determined by the Committee from time to time. “Compensation” does not include any incentive or other awards, bonus payments, overtime payments, or similar distributions or contributions to any employee benefit plan of the Company or any Designated Subsidiary.

3.9 “Designated Subsidiary” means, with respect to any Offer, a Subsidiary that has been designated by the Committee resulting in the Employees of such Designated Subsidiary being eligible to participate with respect to such Offer.

3.10 “Eligible Employees” means those Employees who have been designated by the Committee, in its discretion, in accordance with Section 4 as being eligible to participate in the Plan.

3.11 “Employee” means an individual who is an employee of the Company or a Designated Subsidiary as of the date or dates determined by the Committee.





3.12 “Fair Market Value” as of any given date means, for each share of Common Stock, the average of high and low sale prices of the Common Stock as reported on the New York Stock Exchange (the “NYSE”) composite tape on the applicable date, or, if there are no such sale prices of Common Stock reported on the NYSE composite tape on such date, then the average price of the Common Stock on the last previous day on which high and low sale prices are reported on the NYSE composite tape; provided that notwithstanding the foregoing, the Committee can select such other method of establishing “Fair Market Value” as it deems reasonable and appropriate.

3.13 “Plan” means the Employee Stock Purchase Plan of JPMorgan Chase & Co., as amended from time to time.

3.14 “Subsidiary” means any corporation (other than the Company) in an unbroken chain of corporations including the Company provided that, on the date of an Offer hereunder, each of the corporations (other than the last corporation in the unbroken chain) owns stock possessing 50% or more of the total combined voting power of all classes of stock in one of the other corporations in such chain.

3.15 “1934 Act” means the Securities Exchange Act of 1934, as amended, including the rules and regulations promulgated thereunder and any successor thereto.

4.
ADMINISTRATION

The Committee shall have full and exclusive power to administer and interpret the Plan. The Committee may determine, from time to time, that the Company shall make Offers to Eligible Employees and the form of acceptance of such Offers. The Committee’s authority includes, but is not limited to the authority to, from time to time:
(a) determine whether Offers shall be made under Section 8(a) or 8(b) of the Plan or combination thereof;
(b) determine which Employees shall be Eligible Employees and which Subsidiaries shall be Designated Subsidiaries and in making such determination may exclude:
•
Employees who have employed less than 2 years by the Company or a Designated Subsidiary;
•
Employees whose customary employment is 20 hours or less per week;
•
Employees whose customary employment is for not more than 5 months in any calendar year;
•
Employees who are highly compensated employees within the meaning of Section 414(q) of the Code; and
•
Employees who are employed by the Company or a Designated Subsidiary outside of the United States.
•

(c) prescribe and modify the form and provisions of the Offers and the method of delivery and acceptance;

(d) decide questions that may arise with respect to the interpretation, construction or application of the Plan or any Offer;

(e) amend, suspend or terminate the Plan, in accordance with the provisions of Section 20;

(f) adopt and amend such administrative rules, regulations, procedures and guidelines governing the Plan and the Offers as it may deem necessary in its discretion;

(g) establish all other terms, conditions, restrictions and limitations applicable to Offers, including but not limited to those relating to an Eligible Employee’s retirement, death, disability, leave of absence or any other termination of employment; and

(h) establish the terms, conditions, limitations and restrictions that will apply to Eligible Employees, if any, working outside of the United States, including where necessary to comply with local laws, rules, regulations and policies.

The Committee shall have the power to correct any defect, supply any omission or clarify any inconsistency in the Plan and/or in any Offer and to take such actions and make such administrative determinations that the Committee deems appropriate in its discretion. Any decision of the Committee in the administration of the Plan, as described herein, shall be final, binding and conclusive on all parties concerned, including the Company, its stockholders, subsidiaries and all Employees.




The Committee may at any time delegate its responsibilities regarding the administration of the Plan to another committee or to one or more officers of the Company. Such delegations need not be in writing.
No member of the Committee shall be personally liable for any action or determination made with respect to the Plan, except for his or her own willful misconduct.
5.
ELIGIBILITY

(a)
Only Eligible Employees may be granted an Offer under the Plan.

(b)
No Eligible Employee may accept an Offer (nor may an Offer be made) if such Eligible

Employee, immediately after the Offer is made, owns stock having five percent (5%) or more of the total combined voting power or value of all classes of stock of the Company or any Subsidiary. For this purpose, the rules of Section 424(d) of the Code shall apply in determining the stock ownership of an Eligible Employee. For these purposes, stock that may be purchased by an Eligible Employee under an outstanding Offer shall be treated as owned by the Eligible Employee.

6.
COMMON STOCK

(a)
The stock subject to purchase pursuant to Offers shall be shares of Common Stock that have been authorized but unissued, or have been previously issued and reacquired by the Company, or both. Subject to adjustment in accordance with the provisions of Section 16, the aggregate number of shares of Common Stock that may be purchased by Eligible Employees pursuant to Offers under the Plan shall not exceed 30 million shares.

(b)
In the event that any Offer expires or is terminated for any reason, any shares of Common Stock that were the subject of such Offer but were not purchased may be subject to another Offer under this Plan.

7.
NUMBER OF SHARES AN ELIGIBLE EMPLOYEE MAY PURCHASE

(a)
The Committee may offer to Eligible Employees an option to purchase up to a certain number of shares of Common Stock as shall have an aggregate purchase price not in excess of (i) a specified percentage (not to exceed 100%) of each Eligible Employee’s Compensation or (ii) an aggregate purchase price expressed in U.S. dollars, in each case, as determined by the Committee.

(b)
No Eligible Employee may purchase shares of Common Stock pursuant to any Offer or Offers, including those made under any qualified employee stock purchase plan of the Company and/or its Subsidiaries, that would permit such Eligible Employee to purchase shares of Common Stock with an aggregate Fair Market Value in excess of twenty-five thousand dollars ($25,000) (determined at the date of grant designated in the Offer) for each calendar year in which any such Offer with such Eligible Employee is outstanding at any time. Any Offer which causes such total to exceed such limit shall be null and void to the extent of such excess.

8.
OFFERS TO PURCHASE COMMON STOCK

Offers to purchase Common Stock may be made on terms and conditions established by the Committee, subject to the limitations set forth in either Section (a) or (b) below:
(a)
Fixed Price Offerings. The purchase price for a share of Common Stock shall be no less than eighty-five percent (85%) of the Fair Market Value of a share of Common Stock on the date of the Offer, and each such Offer shall have a stated term, as established by the Committee, not to exceed twenty-seven (27) months.

(b)
Variable Price Offerings. The purchase price for a share of Common Stock shall be no less than eighty-five percent (85%) of the Fair Market Value of a share of Common Stock on the date of purchase, and each Offer shall have a stated term, as established by the Committee, not to exceed five (5) years.
The foregoing shall not preclude an Offer that includes both Section (a) or (b) above, subject to the twenty-seven month limitation.




9.
ELECTION TO PARTICIPATE

An Eligible Employee’s acceptance of an offer to purchase shares of Common Stock shall be evidenced as specified by the Committee, including by authorizing payroll deductions.
10.
PAYROLL DEDUCTIONS

(a)
By authorizing payroll deductions by a date specified by the Committee, an Eligible Employee will have accepted the terms and conditions of the Offer and will have authorized the Company or the Designated Subsidiary, to deduct per pay period, as specified by the Eligible Employee, an amount not more than nor less than the minimum set forth in an Offer from his or her Compensation commencing on the date indicated in such Offer. Such amount shall be credited to a Plan account. Subject to rules and administrative guidelines as the Committee may establish from time to time, an Eligible Employee may decrease the amount of his or her payroll deductions during the Offering Period.
(b) The Committee may specify that the funds in the Eligible Employee’s Plan account be credited with interest.

11.
PAYMENT OF PURCHASE PRICE

Shares of Common Stock purchased under the Plan shall be paid for with the amount held in the Plan account on behalf of the Eligible Employee, including accrued interest (if any). If specified by the Committee in the Offer, an Eligible Employee may (i) provide additional funds, if necessary, to purchase the full number of shares of Common Stock specified by the Offer or (ii) use shares of Common Stock owned by the Eligible Employee for at least six (6) months to purchase the full number of shares of Common Stock specified by the Offer.
12.
DATE OF PURCHASE

Each Offer shall provide that the shares of Common Stock to be purchased thereunder will be purchased on the Closing Date provided for in the Offer. If the Committee so determines, Offers also may permit the Eligible Employee to purchase shares of Common Stock thereunder at such earlier dates and on such terms and conditions as may be determined by the Committee, subject to the requirements of Section 409A of the Code.
13.
EMPLOYEE’S PURCHASE DIRECTIONS

(a)
On the Closing Date, each Eligible Employee will purchase shares of Common Stock, and the amount held in the Plan account on behalf of the Eligible Employee, including any accrued interest, shall be applied to the purchase price without further authorization, but only if the Fair Market Value on the Closing Date is equal to or higher than the purchase price. If the Fair Market Value on the Closing Date is lower than the purchase price, the amount held in the Plan account on behalf of the Eligible Employee, including any accrued interest, will, as the Committee may specify, be returned to such Eligible Employee or shall be retained to be used in connection with a new Offer.
(b) An Eligible Employee may purchase fewer than all of the shares covered by an Offer in the manner specified by the Committee.

14.
TERMINATION OF OFFER

An Eligible Employee may, at any time on or before the Closing Date, terminate an Offer in its entirety in a manner specified by the Committee. Upon such termination, the Company shall cause the amount held on behalf of such Eligible Employee in the Plan account, including any accrued interest, to be paid to such Eligible Employee and further payroll deductions shall cease within a reasonable period thereafter.
15.
TERMINATION OF EMPLOYMENT

The Committee shall determine the terms, conditions, restrictions and limitations applicable to an Offer in the event of an Eligible Employee’s retirement, death, disability, leave of absence or any other termination of employment.
16.
RECAPITALIZATION

The aggregate number, kind and class of shares of Common Stock that may be purchased by Eligible Employees pursuant to Offers, the number, kind and class of shares covered by each Offer, and the purchase price per share as established in accordance with each such Offer all may be equitably adjusted, as determined by the Committee, due to any changes in the Common Stock resulting from any stock split, combination or exchange of equity securities, merger, consolidation, re-




capitalization, reorganization, divestiture or other distribution (other than ordinary cash dividends) of assets to stockholders, any other subdivision or consolidation of shares or other capital adjustment, or the payment of a stock dividend or other increase or decrease in such shares.
17.
ASSIGNABILITY

No Offer may be assigned or transferred except by will or by the laws of descent and distribution.
18.
RIGHTS AS A STOCKHOLDER

An Eligible Employee shall have no rights as a stockholder with respect to shares of Common Stock covered by an Offer until the date the Eligible Employee becomes the holder of record of such shares. No adjustment will be made for dividends or other rights for which the record date is prior to such date of purchase.
19.
COMPLIANCE WITH SECTION 409A OF THE CODE

All Offers entered into and all transactions that occur under this Plan are intended to comply with all applicable requirements of Section 409A of the Code (“Section 409A”), and, with respect to persons subject to Section 16 of the 1934 Act, with the conditions of Rule 16b-3 of the 1934 Act, and shall be construed and interpreted in accordance with such intent. To the extent an Offer is subject to Section 409A, the Offer shall be granted or exercised in a manner that will comply with Section 409A, including the final regulations and other guidance issued with respect thereto, except as otherwise determined by the Committee. Any provision of the Plan that would cause an Offer or the exercise thereof to fail to satisfy Section 409A shall be amended to comply with Section 409A on a timely basis, which amendment may be made on a retroactive basis, in accordance with the final regulations and guidance issued under Section 409A. Notwithstanding the foregoing, the Company shall have no liability to an Eligible Employee or any other party if an Offer granted under the Plan that is intended to be exempt from or compliant with Section 409A is not so exempt or compliant or for any action taken by the Committee with respect thereto.
20.
AMENDMENT AND TERMINATION

The Committee may from time to time amend, suspend, or terminate the Plan in whole or in part or amend any and all Offers granted under the Plan to the extent permitted by law. However, no such action of the Committee may be taken without the approval of the Board and/or the stockholders, if Board and/or stockholder approval would be required under then applicable law.
21.
TAX WITHHOLDING

Any amounts to be paid or shares to be delivered to any Eligible Employee under the Plan shall be reduced by any sums required by law to be withheld by the Company for payment of taxes, unless the Committee specifies another method of satisfying such taxes.
22.
GOVERNING LAW

The Plan and all Offers shall be construed in accordance with and governed by the laws of the State of New York.
23.
EMPLOYMENT AT WILL

This document is neither a contract nor a guarantee of continued employment for any definite period of time. An Employee’s employment is always on an at-will basis.



Exhibit


Exhibit 15
https://cdn.kscope.io/926ed75256a741181f6487c4daf8c23f-pwclogobwaa06.jpg
November 4, 2019

Securities and Exchange Commission 100 F Street, N.E.
Washington, DC 20549


Re:     JPMorgan Chase & Co.

Registration Statements on Form S-3
(No. 333-222672)
(No. 333-222672-01)
(No. 333-230098)


Registration Statements on Form S-8
(No. 333-219702)
(No. 333-219701)
(No. 333-219699)
(No. 333-185584)
(No. 333-185582)
(No. 333-185581)
(No. 333-175681)
(No. 333-158325)
(No. 333-142109)
(No. 333-125827)
(No. 333-112967)

Commissioners:


We are aware that our report dated November 4, 2019 on our review of interim financial information of JPMorgan Chase & Co. and its subsidiaries (the “Firm”), which appears in this Quarterly Report on Form 10-Q, is incorporated by reference in the Registration Statements of the Firm referred to above. Pursuant to Rule 436(c) under the Securities Act of 1933, such report should not be considered a part of such Registration Statements, and is not a report within the meaning of Sections 7 and 11 of that Act.


Very truly yours,
/s/ PricewaterhouseCoopers LLP




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

Exhibit


Exhibit 31.1
JPMorgan Chase & Co.

CERTIFICATION

I, James Dimon, certify that:
1.
I have reviewed this Quarterly Report on Form 10-Q of JPMorgan Chase & Co.;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d)
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5.
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent function):
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: November 4, 2019

/s/ James Dimon    
James Dimon
Chairman and Chief Executive Officer


Exhibit


Exhibit 31.2
JPMorgan Chase & Co.

CERTIFICATION

I, Jennifer Piepszak, certify that:
1.
I have reviewed this Quarterly Report on Form 10-Q of JPMorgan Chase & Co.;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.
The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
(d)
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5.
The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent function):
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: November 4, 2019

/s/ Jennifer Piepszak    
Jennifer Piepszak
Executive Vice President and Chief Financial Officer


Exhibit


Exhibit 32
JPMorgan Chase & Co.


CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


In connection with the Quarterly Report of JPMorgan Chase & Co. on Form 10-Q for the period ended September 30, 2019 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), each of the undersigned officers of JPMorgan Chase & Co., certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1.
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2.
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of JPMorgan Chase & Co.

Date:
November 4, 2019
 
By:
/s/
James Dimon
 
 
 
 
 
 
 
 
 
 
 
James Dimon
 
 
 
 
 
Chairman and Chief Executive Officer

Date:
November 4, 2019
 
By:
/s/
Jennifer Piepszak
 
 
 
 
 
 
 
 
 
 
 
Jennifer Piepszak
 
 
 
 
 
Executive Vice President and Chief Financial Officer


This certification accompanies this Quarterly Report on Form 10-Q and 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.

A signed original of this written statement required by Section 906 has been provided to, and will be retained by, JPMorgan Chase & Co. and furnished to the Securities and Exchange Commission or its staff upon request.