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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 endedCommission file
September 30, 20192020
number1-5805
JPMorgan Chase & Co.Co.
(Exact name of registrant as specified in its charter)
Delaware13-2624428
(State or other jurisdiction of
incorporation or organization)		(I.R.S. employer
identification no.)
Delaware13-2624428
(State or other jurisdiction of
incorporation or organization)
(I.R.S. employer
identification no.)
383 Madison Avenue,
New York,New York10179
(Address of principal executive offices)
(Zip Code)

Registrant’s telephone number, including area code: (212) (212) 270-6000
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common stockJPMThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 5.45% Non-Cumulative Preferred Stock, Series PJPM PR AThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.125% Non-Cumulative Preferred Stock, Series YJPM PR FThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.10% Non-Cumulative Preferred Stock, Series AAJPM PR GThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.15% Non-Cumulative Preferred Stock, Series BBJPM PR HThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 5.75% Non-Cumulative Preferred Stock, Series DDJPM PR DThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 6.00% Non-Cumulative Preferred Stock, Series EEJPM PR CThe New York Stock Exchange
Depositary Shares, each representing a one-four hundredth interest in a share of 4.75% Non-Cumulative Preferred Stock, Series GGJPM PR JThe New York Stock Exchange
Alerian MLP Index ETNs due May 24, 2024AMJNYSE Arca, Inc.
Guarantee of Callable Step-Up Fixed Rate Notes due April 26, 2028 of JPMorgan Chase Financial Company LLCJPM/28The New York Stock Exchange
Guarantee of Cushing 30 MLP Index ETNs due June 15, 2037 of JPMorgan Chase Financial Company LLCPPLNNYSE 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☐
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
2020: 3,048,203,063



FORM 10-Q
TABLE OF CONTENTS
Part I – Financial information
Page
Item 1.
Financial Statements.
Consolidated Financial Statements – JPMorgan Chase & Co.:
Consolidated statements of income (unaudited) for the three and nine months ended September 30, 20192020 and 20182019
8093
Consolidated statements of comprehensive income (unaudited) for the three and nine months ended September 30, 20192020 and 20182019
8194
Consolidated balance sheets (unaudited) at September 30, 20192020 and December 31, 20182019
8295
Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended September 30, 20192020 and 20182019
8396
Consolidated statements of cash flows (unaudited) for the nine months ended September 30, 20192020 and 20182019
8497
Notes to Consolidated Financial Statements (unaudited)
8598
Report of Independent Registered Public Accounting Firm
165189
Consolidated Average Balance Sheets, Interest and Rates (unaudited) for the three and nine months ended September 30, 20192020 and 20182019
166190
Glossary of Terms and Acronyms and Line of Business Metrics
168192
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Consolidated Financial Highlights
3
Introduction
4
Executive Overview
5
Consolidated Results of Operations
1013
Consolidated Balance Sheets and Cash Flows Analysis
1518
Off-Balance Sheet Arrangements
1821
Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures
1922
Business Segment Results
2124
Enterprise-WideFirmwide Risk Management
4448
Capital Risk Management
4549
Liquidity Risk Management
5055
Consumer Credit Portfolio
5662
Wholesale Credit Portfolio
6067
Investment Portfolio Risk Management
6979
Market Risk Management
7080
Country Risk Management
7585
Operational Risk Management
86
Estimations and Model Risk Management
87
Critical Accounting Estimates Used by the Firm
7688
Accounting and Reporting Developments
7891
Forward-Looking Statements
7992
Item 3.
Quantitative and Qualitative Disclosures About Market Risk.
176201
Item 4.
Controls and Procedures.
176201
Part II – Other information
Item 1.
Legal Proceedings.
176201
Item 1A.
Risk Factors.
176201
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
176202
Item 3.
Defaults Upon Senior Securities.
177202
Item 4.
Mine Safety Disclosures.
177202
Item 5.
Other Information.
177202
Item 6.
Exhibits.
177203

2

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

Nine months ended Sept 30,
3Q202Q201Q204Q193Q1920202019
Selected income statement data
Total net revenue(a)
$29,147 $32,980 $28,192 $28,285 $29,291 $90,319 $87,114 
Total noninterest expense(a)
16,875 16,942 16,791 16,293 16,372 50,608 48,976 
Pre-provision profit(b)
12,272 16,038 11,401 11,992 12,919 39,711 38,138 
Provision for credit losses611 10,473 8,285 1,427 1,514 19,369 4,158 
Income before income tax expense11,661 5,565 3,116 10,565 11,405 20,342 33,980 
Income tax expense2,218 878 251 2,045 2,325 3,347 6,069 
Net income$9,443 $4,687 $2,865 $8,520 $9,080 $16,995 $27,911 
Earnings per share data
Net income:     Basic$2.93 $1.39 $0.79 $2.58 $2.69 $5.10 $8.17 
         Diluted2.92 1.38 0.78 2.57 2.68 5.09 8.15 
Average shares: Basic3,077.8 3,076.3 3,095.8 3,140.7 3,198.5 3,083.3 3,248.7 
         Diluted3,082.8 3,081.0 3,100.7 3,148.5 3,207.2 3,088.1 3,258.0 
Market and per common share data
Market capitalization293,451 286,658 274,323 429,913 369,133 293,451 369,133 
Common shares at period-end3,048.2 3,047.6 3,047.0 3,084.0 3,136.5 3,048.2 3,136.5 
Book value per share79.08 76.91 75.88 75.98 75.24 79.08 75.24 
Tangible book value per share (“TBVPS”)(b)
63.93 61.76 60.71 60.98 60.48 63.93 60.48 
Cash dividends declared per share0.90 0.90 0.90 0.90 0.90 2.70 2.50 
Selected ratios and metrics
Return on common equity (“ROE”)(c)
15 %7 %4 %14 %15 %9 %15 %
Return on tangible common equity (“ROTCE”)(b)(c)
19 9 5 17 18 11 19 
Return on assets(b)
1.14 0.58 0.40 1.22 1.30 0.72 1.37 
Overhead ratio58 51 60 58 56 56 56 
Loans-to-deposits ratio(d)
49 52 57 64 64 49 64 
Liquidity coverage ratio (“LCR”) (average)114 117 114 116 115 114 115 
Common equity Tier 1 (“CET1”) capital ratio(e)
13.1 12.4 11.5 12.4 12.3 13.1 12.3 
Tier 1 capital ratio(e)
15.0 14.3 13.3 14.1 14.1 15.0 14.1 
Total capital ratio(e)
17.3 16.7 15.5 16.0 15.9 17.3 15.9 
Tier 1 leverage ratio(e)
7.0 6.9 7.5 7.9 7.9 7.0 7.9 
Supplementary leverage ratio (“SLR”)(e)
7.0 6.8 6.0 6.3 6.3 7.0 6.3 
Selected balance sheet data (period-end)
Trading assets(d)
$505,822 $491,716 $510,923 $369,687 $457,274 $505,822 $457,274 
Investment securities, net of allowance for credit losses531,136 558,791 471,144 398,239 394,251 531,136 394,251 
Loans(d)
989,740 1,009,382 1,049,610 997,620 980,019 989,740 980,019 
Total assets3,246,076 3,213,616 3,139,431 2,687,379 2,764,661 3,246,076 2,764,661 
Deposits2,001,416 1,931,029 1,836,009 1,562,431 1,525,261 2,001,416 1,525,261 
Long-term debt279,175 317,003 299,344 291,498 296,472 279,175 296,472 
Common stockholders’ equity241,050 234,403 231,199 234,337 235,985 241,050 235,985 
Total stockholders’ equity271,113 264,466 261,262 261,330 264,348 271,113 264,348 
Headcount256,358 256,710 256,720 256,981 257,444 256,358 257,444 
Credit quality metrics
Allowances for loan losses and lending-related commitments$33,637 $34,301 $25,391 $14,314 $14,400 $33,637 $14,400 
Allowance for loan losses to total retained loans3.26 %3.27 %(f)2.32 %1.39 %1.42 %3.26 %1.42 %
Nonperforming assets(d)
$11,462 $9,715 $7,062 $5,054 $5,993 $11,462 $5,993 
Net charge-offs1,180 1,560 1,469 1,494 1,371 4,209 4,135 
Net charge-off rate0.49 %0.64 %0.62 %0.63 %0.58 %0.58 %0.59 %
Effective January 1, 2020, the Firm adopted the Financial Instruments – Credit Losses (“CECL”) accounting guidance. Refer to Note 1 for further information.
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Pre-provision profit, TBVPS and ROTCE are each non-GAAP financial measures. Tangible common equity (“TCE”) is also a non-GAAP financial measure. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 22-23 for a further discussion of these measures.
(c)Quarterly ratios are based upon annualized amounts.
(d)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(e)Reflects the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition provisions that became effective in the first quarter of 2020. Effective in the second quarter of 2020, the SLR reflects the temporary exclusions of U.S. Treasury securities and deposits at Federal Reserve Banks. Refer to��Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 and Capital Risk Management on pages 49-54 of this Form 10-Q for additional information. Refer to Capital Risk Management on pages 85-92 of JPMorgan Chase’s 2019 Form 10-K for additional information on the Firm’s capital metrics.
(f)Prior-period amounts have been revised to conform with the current presentation.
3
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 expense16,422
16,341
16,395
15,720
15,623
 49,158
47,674
Pre-provision profit12,919
12,491
12,728
10,389
11,637
 38,138
35,246
Provision for credit losses1,514
1,149
1,495
1,548
948
 4,158
3,323
Income before income tax expense11,405
11,342
11,233
8,841
10,689
 33,980
31,923
Income tax expense2,325
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
        Diluted2.68
2.82
2.65
1.98
2.34
 8.15
7.00
Average shares: Basic3,198.5
3,250.6
3,298.0
3,335.8
3,376.1
 3,248.7
3,416.5
        Diluted3,207.2
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 capitalization369,133
357,479
328,387
319,780
375,239
 369,133
375,239
Common shares at period-end3,136.5
3,197.5
3,244.0
3,275.8
3,325.4
 3,136.5
3,325.4
Book value per share75.24
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 share0.90
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 ratio56
57
56
60
57
 56
57
Loans-to-deposits ratio62
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 securities394,251
307,264
267,365
261,828
231,398
 394,251
231,398
Loans945,218
956,889
956,245
984,554
954,318
 945,218
954,318
Core loans899,572
908,971
905,943
931,856
899,006
 899,572
899,006
Average core loans900,567
905,786
916,567
907,271
894,279
 907,581
877,774
Total assets2,764,661
2,727,379
2,737,188
2,622,532
2,615,183
 2,764,661
2,615,183
Deposits1,525,261
1,524,361
1,493,441
1,470,666
1,458,762
 1,525,261
1,458,762
Long-term debt296,472
288,869
290,893
282,031
270,124
 296,472
270,124
Common stockholders’ equity235,985
236,222
232,844
230,447
231,192
 235,985
231,192
Total stockholders’ equity264,348
263,215
259,837
256,515
258,956
 264,348
258,956
Headcount257,444
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 loans1.42%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-offs1,371
1,403
1,361
1,236
1,033
 4,135
3,620
Net charge-off rate0.58%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.


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 2019.2020.
This Quarterly Report on Form 10-Q for the third quarter of 20192020 (“Form 10-Q”) should be read together with JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 20182019 (“20182019 Form 10-K”). Refer to the Glossary of terms and acronyms and line of business (“LOB”) metrics on pages 168–175192-200 for definitions of terms and acronyms used throughout this Form 10-Q.
This document contains forward-looking statements that are forward-looking within the meaning of the Private Securities Litigation Reform Act of 1995. These forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management, speak only as of the date of this Form 10-Q and are subject to significant risks and uncertainties. Refer to Forward-looking Statements on page 79 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 7–28 of the 2018 Form 10-K forFor 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.uncertainties, refer to Forward-looking Statements on page 92 of this Form 10-Q, Part II, Item 1A, Risk Factors on pages 201-202 of this Form 10-Q and Part I, Item 1A, Risk factors, on pages 6-28 of the 2019 Form 10-K.
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$3.2 trillion in assets and $264.3$271.1 billion in stockholders’ equity as of September 30, 2019.2020. The Firm is a leader in investment banking, financial services for consumers and
small businesses, commercial banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers in the U.S. and many of the world’s most prominent corporate, institutional and government clients.
JPMorgan Chase’s principal bank subsidiary is JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank N.A.”), a national banking association with U.S. branches in 3238 states and Washington, D.C. as of September 30, 2019.2020. JPMorgan Chase’s principal nonbanknon-bank subsidiary is J.P. Morgan Securities LLC (“J.P. Morgan Securities”), a U.S. broker-dealer. The bank and non-bank subsidiaries of JPMorgan Chase operate nationally as well as through overseas branches and subsidiaries, representative offices and subsidiary foreign banks. The Firm’s principal operating subsidiary inoutside the United Kingdom (“U.K.”)U.S. is J.P. Morgan Securities plc, a U.K.-based subsidiary of JPMorgan Chase Bank, N.A.

For management reporting purposes, the Firm’s activities are organized into four major reportable business segments, as well as a Corporate segment. The Firm’s consumer business segment is Consumer & Community Banking (“CCB”). The Firm’s wholesale business segments are Corporate & Investment Bank (“CIB”), Commercial Banking (“CB”), and Asset & Wealth Management (“AWM”). Refer to Note 31 of JPMorgan Chase’s 2018 Form 10-K forFor a description of the Firm’s business segments and the products and services they provide to their respective
client bases.bases, refer to Note 26 of this Form 10-Q and Note 32 of JPMorgan Chase’s 2019 Form 10-K.
The Firm's website is www.jpmorganchase.com. JPMorgan Chase makes available on its website, free of charge, annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K pursuant to Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as soon as reasonably practicable after it electronically files or furnishes such material to the U.S. Securities and Exchange Commission (the “SEC”) at www.sec.gov. JPMorgan Chase also makes important information about the Firm available on the Investor Relations section of its website at https://www.jpmorganchase.com/corporate/investor-relations/investor-relations.htm.



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,LOBs, this Form 10-Q and the 20182019 Form 10-K should be read together and in their entirety.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Financial performance of JPMorgan 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,
20202019Change20202019Change
Selected income statement data
Total net revenue(a)
$29,147$29,291— %$90,319$87,1144 %
Total noninterest expense(a)
16,87516,3723 50,60848,9763 
Pre-provision profit12,27212,919(5)39,71138,1384 
Provision for credit losses6111,514(60)19,3694,158366 
Net income9,4439,0804 16,99527,911(39)
Diluted earnings per share$2.92$2.689 $5.09$8.15(38)
Selected ratios and metrics
Return on common equity15%15%9%15%
Return on tangible common equity19181119
Book value per share$79.08$75.245 $79.08$75.245 
Tangible book value per share63.9360.486 63.9360.486 
Capital ratios(b)
CET113.1%12.3%13.1%12.3%
Tier 1 capital15.014.115.014.1
Total capital17.315.917.315.9
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Reflects the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition provisions that became effective in the first quarter of 2020. Refer to Regulatory Developments relating to the COVID-19 Pandemic on pages 11-12 and Capital Risk Management on pages 49-54 of this Form 10-Q for additional information. Refer to Capital Risk Management on pages 85-92 of JPMorgan Chase’s 2019 Form 10-K for additional information on the Firm’s capital metrics.

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 expense16,422
 15,623
 5
 49,158
 47,674
 3
Pre-provision profit12,919
 11,637
 11
 38,138
 35,246
 8
Provision for credit losses1,514
 948
 60
 4,158
 3,323
 25
Net income9,080
 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 equity15% 14%   15% 14%  
Return on tangible common equity18
 17
   19
 18
  
Book value per share$75.24
 $69.52
 8
 $75.24
 $69.52
 8
Tangible book value per share60.48
 55.68
 9
 60.48
 55.68
 9
Capital ratios(a)
           
CET112.3% 12.0%   12.3% 12.0%  
Tier 1 capital14.1
 13.6
   14.1
 13.6
  
Total capital15.9
 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.







Comparisons noted in the sections below are for the third quarter of 20192020 versus the third quarter of 2018,2019, unless otherwise specified.
Firmwide overview
JPMorgan Chase reported strong results innet income of $9.4 billion for the third quarter of 2019, with net income of $9.1 billion,2020, or $2.68$2.92 per share, on record net revenue of $29.3$29.1 billion. The Firm reported ROE of 15% and ROTCE of 18%19%. The Firm's results for the third quarter of 2020 included firmwide legal expense of $524 million.
•The Firm had net income of $9.1$9.4 billion, up 8%4%.
•Total net revenue was flat. Net interest income was $13.0 billion, down 9%, predominantly driven by the impact of lower rates largely offset by higher net interest income in CIB Markets as well as balance sheet growth. Noninterest revenue was $16.1 billion, up 7%, predominantly driven by higher Investment Banking fees, Markets revenue, and Credit Adjustments & Other in the CIB, and higher net investment securities gains in Corporate.
•
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$16.9 billion, up 5%3%, primarily driven by higher volume-legal expense predominantly in CIB and revenue-related expenses and investments, including compensation and auto lease depreciation,an impairment on a legacy investment in Corporate, partially offset by lower FDIC charges.marketing expense in CCB.

5

•The provision for credit losses was $1.5$611 million, down $903 million from the prior year. Net charge-offs of $1.2 billion up $566were down $191 million largely asfrom the prior year, predominantly driven by Card, which reflected lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs. The current quarter included a result of net reductions inreduction to the allowance for credit losses and net recoveriesthat was largely driven by paydowns in the Home Lending portfolio and changes in wholesale loan balances, partially offset by an addition to the allowance for the investment securities portfolio due to the transfer of certain securities from available-for-sale to held-to-maturity. The prior year.year included net additions to the allowance for credit losses across both the Consumer and Wholesale portfolios.
•The total allowance for credit losses was $14.4$33.8 billion at September 30, 2019, and the2020. The Firm had aan allowance for loan losslosses to retained loans coverage ratio of 1.42%3.26%, compared with 1.39%3.27% in the second quarter of 2020, and 1.42% in the prior year; excluding the PCI portfolio, the equivalent ratio was 1.32%, compared with 1.23% inincrease from the prior year. year was driven by the additions to the allowance for credit losses and the adoption of CECL.
•The Firm’s nonperforming assets totaled $5.3$11.5 billion at September 30, 2019,2020, an increase of $1.7 billion from $5.0the second quarter of 2020, driven by customers that have exited COVID-19 payment deferral programs and were 90 or more days past due in Home Lending in CCB, and downgrades in the wholesale portfolio across multiple industries on client credit deterioration. Nonperforming assets increased from $6.0 billion in the prior year reflecting increasesdue to downgrades in the wholesale portfolio, relatedas well as from the adoption of CECL, as the purchased credit deteriorated loans in the mortgage portfolio became subject to select client downgrades,nonaccrual loan treatment.
•Firmwide average loans of $991 billion were up 1%, largely reflecting higher loan balances in AWM, as well as loans originated under the Small Business Administration’s (“SBA”) Paycheck Protection Program (“PPP”), offset by improved credit performancelower loan balances in the consumer portfolio.Home Lending and Card.
•Firmwide average total loansdeposits of $2.0 trillion were flat at $947 billion, or up 3% excluding30%, reflecting significant inflows across the impactFirm, primarily driven by the COVID-19 pandemic and the related effect of certain loan salesgovernment actions.
•As of September 30, 2020 the Firm had average High Quality Liquid Assets (“HQLA”) of approximately $670 billion and unencumbered marketable securities with a fair value of approximately $660 billion, resulting in Home Lending.approximately $1.3 trillion of liquidity sources. Refer to Liquidity Risk Management on pages 55–59 for additional information.
Selected capital-related metrics
•The Firm’s CET1 capital was $188$198 billion, and the Standardized and Advanced CET1 ratios were 12.3%13.1% and 13.1%13.8%, respectively.
•The Firm’s supplementary leverage ratio (“SLR”)SLR was 6.3%7.0%. The SLR reflects the temporary exclusions of U.S. Treasury securities and deposits at September 30, 2019.Federal Reserve Banks, as required by the Federal Reserve’s interim final rule issued on April 1, 2020. The Firm’s SLR excluding the temporary relief was 5.8%.
•The Firm continued to grow tangible book value per share (“TBVPS”),grew TBVPS, ending the third quarter of 20192020 at $60.48,$63.93, up 9%.6% versus the prior year.
ROTCE and TBVPS are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–20 for22-23 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 businessLOBs are presented below for the third quarter of 2019.
2020.
CCB

ROE 32%

29%
•Average deposits up 28%; client investment assets up 11%
•
Average loans down 4%7%; 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 down 8%
•Active mobile customers up 10% and merchant processing volume up 11%
CIB

ROE 13%

21%
•$2.2 billion of Global Investment Banking fees, up 9%
•
Maintained #1 ranking for Global Investment Banking fees with 9.3%9.4% wallet share YTDyear-to-date
•
Total Markets revenue of $5.1$6.6 billion, up 14%30%, with Fixed Income Markets up 29% and Equity Markets up 32%
CB

ROE 16%

19%
•
Gross Investment Banking revenue of $700$840 million, up 20%
•
Average clientloans up 5%; average deposits of $173 billion, up 3%44%
AWM

ROE 24%

32%
•
Average loan balances up 7%
•
Assets under management (AUM) of $2.2$2.6 trillion, up 8%16%
•Average loans up 13%; average deposits up 23%
Refer to the Business Segment Results on pages 21–4324-47 for a detailed discussion of results by business segment.
Credit provided and capital raised
JPMorgan Chase continues to support consumers, businesses and communities around the globe. The Firm provided new and renewed credit and raised capital for wholesale and consumer clients during the first nine months of 2019,2020, consisting of:
$1.71.8 trillion
Total credit provided and capital raised (including loans and commitments)(a)
$188
billion
$164
billion		Credit for consumers
$25
billion
$14
billion		Credit for U.S. small businesses
$630 billion$611 billionCredit for corporations
$785 billion$885 billionCapital raised for corporate clients and non-U.S. government entities
$53 billion$82
billion
Credit and capital raised for nonprofit and U.S. government entities(a)(b)
(a)$28 billionIncludes states, municipalities, hospitals and universities.Loans under the Small Business Administration’s Paycheck Protection
Program
(a)Excludes loans under the SBA’s PPP.
(b)Includes states, municipalities, hospitals and universities.

2019 outlook7

Recent events
•On October 28, 2020, JPMorgan Chase announced the election of Phebe N. Novakovic as a member of the Firm's Board of Directors, effective December 7, 2020. Ms. Novakovic is Chairman and Chief Executive Officer of General Dynamics Corporation.
•On October 8, 2020, JPMorgan Chase announced a long-term $30 billion commitment to advance racial equity.
•On October 6, 2020, JPMorgan Chase announced a financing strategy that is aligned to the goals of the Paris Agreement. As part of its strategy, the Firm will work with clients in key sectors to reduce their greenhouse gas emissions intensity and expand investment in low- and zero-carbon energy sources and technologies.
•On September 15, 2020, JPMorgan Chase expanded its Operating Committee to include the heads of several of the Firm's largest businesses in the LOBs. The current business roles and reporting lines of the new members remained unchanged. The Firm also announced that its two Co-Presidents and Co-Chief Operating Officers, Daniel Pinto and Gordon Smith, will be taking on additional responsibility across all of the Firm’s businesses.
•On September 15, 2020, the Board of Directors of JPMorgan Chase announced that the independent directors of the Board have appointed Stephen B. Burke as Lead Independent Director, effective January 1, 2021, succeeding Lee Raymond in that role.
Outlook
These current expectations are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management, speak only as of the date of this Form 10-Q, and are subject to significant risks and uncertainties. Refer to Forward-Looking Statements on page 7992 and Risk Factors on page 201 of this Form 10-Q and Risk Factors onand pages 7–6–28 of JPMorgan Chase’s 20182019 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 20192020 and for 2021 should be viewed against the backdrop of the global and U.S. economies, the COVID-19 pandemic, financial markets activity, the geopolitical environment, the competitive environment, client and customer activity levels, and regulatory and legislative developments in the U.S. and other countries where the Firm does business. Each of these factors will affect the performance of the Firm and its lines of business.LOBs. 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.The outlook information contained in this Form 10-Q supersedes all outlook information furnished by the Firm in its periodic reports filed with the SEC prior to the date of this Form 10-Q.
Firmwide
Management•On a managed basis, management expects full-year 20192020 net interest income on a managed basis, to be less than $57.5approximately $55 billion, and full-year 2021 net interest income to be approximately $54 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 20192020 to be approximately $65.5$66 billion.
Management expects full-year 2019 net charge-offs to be approximately $5.5 billion.

8

Business Developments
Expected departureCOVID-19 Pandemic
In response to the COVID-19 pandemic, the Firm has implemented strategies and procedures designed to help it respond to increased market volatility, client demand for credit and liquidity, distress in certain industries/sectors and the ongoing impacts to consumers and businesses.
The Firm remains focused on serving its customers, clients and communities, as well as the well-being of its employees during the COVID-19 pandemic. The Firm continues to actively monitor the dynamic health and safety situations at local and regional levels, and plans remain flexible to adapt as these situations evolve.
Supporting clients and customers
Since March 2020 the Firm has provided assistance to clients and customers primarily in the form of payment deferrals on loans and auto leases.
Refer to Credit Portfolio on pages 60-61 for information on assistance granted to customers and clients. Refer to Consumer Credit portfolio on pages 62-66 and Wholesale Credit Portfolio on pages 67-76 for information on retained loans under payment deferral.
The Firm has gradually re-opened its branches since April, with nearly 90% of its branches returning to full service as of the third quarter of 2020. Additionally, the Firm continues to make a wide range of banking services accessible to clients and customers through mobile and other digital channels.
Protecting and supporting employees
At the onset of the pandemic, the Firm implemented alternative work arrangements, with the vast majority of its global workforce working from home.
While the majority of the Firm’s employees globally continue to work from home, the Firm continues to return employees to the office.
Supporting communities
Since March, the Firm has committed $250 million to help address humanitarian needs and long-term economic challenges posed by the COVID-19 pandemic on the communities in which the Firm operates. As of September 30, 2020 nearly half of this commitment has been funded.
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 ofon 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 isremains 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 Firm is preparing for the significant updatespossibility that the U.K. will complete its departure from the matters discussedEU without having agreed the terms of their future relationship, which is commonly referred to as “hard Brexit.” The Firm is therefore preparing to finalize and implement the various components of its Brexit readiness plan by year-end, including completion of the relocation of approximately 200 front office roles from the U.K. to EU locations, and the migration of remaining EU clients and certain positions to EU entities by the end of the year. A key factor in that plan will be to secure client engagement; any delays may impact the 2018 Form 10-K.
Regulatory andFirm’s ability to continue servicing EU clients, as the Firm’s U.K.-based legal entity readinessentities are expected to lose their ability to transact business from the U.K. with EU clients at the end of the year.
The Firm’s legal entities in Germany, Luxembourg and Ireland are now prepared and licensed to provide servicesCOVID-19 pandemic has introduced additional risk to the Firm’s Brexit Implementation program. Infection rates and travel restrictions are increasing and lock-downs have been introduced across various U.K. and EU locations. As a result, the risk that clients may not be operationally ready and that the Firm may not be able to relocate employees by year-end is rising. Unless some official-sector solution is forthcoming, the Firm’s ability to continue servicing EU clients including after any departuremay be adversely affected.

9

Interbank Offered Rate (“IBOR”) transition
On March 12, 2020, the Financial Accounting Standards Board (“FASB”) issued an accounting standards update providing optional expedients and exceptions for applying generally accepted accounting principles to contracts and hedge accounting relationships affected by reference rate reform. These optional expedients are intended to simplify the U.K. fromoperational impact of applying U.S. GAAP to transactions impacted by reference rate reform. The Firm elected to apply certain of these expedients beginning in the EU.
Client readiness
The agreements covering a significant proportionthird quarter of 2020. On August 27, 2020, the Firm’s EU client activity have been re-documentedInternational Accounting Standards Board (“IASB”) issued guidance that provides similar relief for entities reporting under International Financial Reporting Standards ("IFRS"). Refer to other EU legal entities to help facilitate continuation of service.Accounting and Reporting Developments on page 91 for additional information. The Firm continues to actively engage with clients that have not completed re-documentation to ensure preparedness both in termsmonitor the transition relief being considered by the U.S. Treasury Department regarding the tax implications 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 readinessreference rate reform.
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 Firmalso 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.
IBOR discontinuation. Refer to Business Developments on page 47 of the 20182019 Form 10-K for a discussion of the Firm’s initiatives to address the expected discontinuation of LIBORthe London Interbank Offered Rate (“LIBOR”) and other IBORs.


10

Regulatory Developments Relating to the COVID-19 Pandemic
Since March 2020, the U.S. government as well as central banks and banking authorities around the world have taken and continue to take actions to help individuals, households and businesses that have been adversely affected by the economic disruption caused by the COVID-19 pandemic. The CARES Act, which was signed into law on March 27, 2020, provides, among other things, funding to support loan facilities to assist consumers and businesses. Set forth below is a summary as of the date of this Form 10-Q of U.S. government actions currently impacting the Firm and U.S. government programs in which the Firm is participating to support individuals, businesses, and the broader economy. The Firm will continue to assess ongoing developments in government actions in response to the COVID-19 pandemic.
U.S. government actions
Eligible retained income definition. On March 17, 2020, the Office of the Comptroller of the Currency (“OCC”), the Board of Governors of the Federal Reserve System (“Federal Reserve”), and the Federal Deposit Insurance Corporation (“FDIC”), collectively the “federal banking agencies,” issued an interim final rule that revised the definition of “eligible retained income” in the regulatory capital rules that apply to all U.S. banking organizations. On March 23, 2020, the Federal Reserve issued an interim final rule that revised the definition of “eligible retained income” for purposes of the total loss-absorbing capacity (“TLAC”) buffer requirements that apply to global systemically important banking organizations. The revised definition of eligible retained income makes any automatic limitations on payout distributions that could apply under the agencies’ capital rules or TLAC rule take effect on a more graduated basis in the event that a banking organization’s capital, leverage and TLAC ratios were to decline below regulatory requirements (including buffers). The March 17, 2020 interim final rule was issued, in conjunction with an interagency statement encouraging banking organizations to use their capital and liquidity buffers, to further support banking organizations’ abilities to lend to households and businesses affected by the COVID-19 pandemic. On August 26, 2020, the federal banking agencies issued the final rule consistent with the interim final rules published on March 17, 2020 and March 23, 2020.
Reserve requirements. On March 26, 2020, the Federal Reserve reduced reserve requirement ratios to zero percent, effectively eliminating the reserve requirement for all depository institutions, an action that freed up liquidity in the banking system to support lending to households and businesses.
Refer to Note 21 for additional information on the reduction to the reserve requirement.
Regulatory Capital - Current Expected Credit Losses (“CECL”) transition delay. On March 31, 2020, the federal banking agencies issued an interim final rule (issued as final on
August 26, 2020) that provided banking organizations with the option to delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period (“CECL capital transition provisions”). The Firm elected to apply the CECL capital transition provisions.
Refer to Capital Risk Management on pages 49-54 and Note 22 on pages 177–178 for additional information on the CECL capital transition provisions and the impact to the Firm’s capital metrics.
Supplementary leverage ratio (“SLR”) temporary revision. On April 1, 2020, the Federal Reserve issued an interim final rule that requires, on a temporary basis, the calculation of total leverage exposure for purposes of calculating the SLR for bank holding companies, to exclude the on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks. These exclusions became effective April 1, 2020, and will remain in effect through March 31, 2021.
Refer to Capital Risk Management on pages 49-54 and Note 22 for additional information on the Firm’s SLR.
Loan modifications. On April 7, 2020, the federal banking agencies along with the National Credit Union Administration, and the Consumer Financial Protection Bureau, in consultation with the state financial regulators, issued an interagency statement revising a March 22, 2020 interagency statement on loan modifications and the reporting for financial institutions working with customers affected by the COVID-19 pandemic (the “IA Statement”). The IA Statement reconfirmed that efforts to work with borrowers where the loans are prudently underwritten, and not considered past due or carried on nonaccrual status, should not result in the loans automatically being considered modified in a troubled debt restructuring (“TDR”) for accounting and financial reporting purposes, or for purposes of their respective risk-based capital rules, which would otherwise require financial institutions subject to the capital rules to hold more capital. The IA Statement also clarified the interaction between its previous guidance and Section 4013 of the CARES Act, which provides certain financial institutions with the option to suspend the application of accounting guidance for TDRs for a limited period of time for loan modifications made to address the effects of the COVID-19 pandemic.
The Firm has granted various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered TDRs as:
•they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or the IA Statement guidance, or
•the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
11

To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs. Refer to Credit Portfolio on pages 60-61 and Note 12 for additional information on the Firm’s loan modification activities.
U.S. government facilities and programs. Beginning in March 2020, the Federal Reserve announced a suite of facilities using its emergency lending powers under section 13(3) of the Federal Reserve Act to support the flow of credit to individuals, households and businesses adversely affected by the COVID-19 pandemic and to support the broader economy. In addition, beginning April 3, 2020, the PPP, established by the CARES Act and administered by the SBA, authorized eligible lenders to provide nonrecourse loans to eligible borrowers until August 8, 2020 to provide an incentive for these businesses to keep their workers on their payroll. The Firm has participated and is participating in certain of these facilities and programs, as needed, to assist its clients and customers or to support the broader economy.
Refer to Capital Risk Management on pages 49-54, Liquidity Risk Management on pages 55–59 and Note 22 for additional information on the Firm’s participation in these facilities. Refer to Capital Risk Management on pages 49-54, Credit Portfolio on pages 60-61 and Note 22 for additional information on the Firm’s participation in the PPP.

12

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, 20192020 and 2018,2019, unless otherwise specified. Factors that relate primarily to a single business segment are discussed in more detail within that business segment. Refer to pages 76–7788–90 of this Form 10-Q and pages 141-143136–138 of JPMorgan Chase’s 20182019 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)20202019Change20202019Change
Investment banking fees$2,187 $1,967 11 %$6,903 $5,658 22 %
Principal transactions4,142 3,449 20 14,700 11,239 31 
Lending- and deposit-related fees(a)
1,647 1,671 (1)4,784 4,854 (1)
Asset management, administration and commissions(a)
4,470 4,306 4 13,276 12,607 5 
Investment securities gains473 78 NM732 135 442 
Mortgage fees and related income1,087 887 23 2,324 1,562 49 
Card income(b)
1,169 1,233 (5)3,138 3,741 (16)
Other income(c)
959 1,472 (35)3,157 4,239 (26)
Noninterest revenue16,134 15,063 7 49,014 44,035 11 
Net interest income13,013 14,228 (9)41,305 43,079 (4)
Total net revenue$29,147 $29,291 — %$90,319 $87,114 4 %
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 transactions3,449
 2,964
 16
 11,239
 10,698
 5
Lending- and deposit-related fees1,626
 1,542
 5
 4,643
 4,514
 3
Asset management, administration and commissions4,351
 4,310
 1
 12,818
 12,923
 (1)
Investment securities gains/(losses)78
 (46) NM
 135
 (371) NM
Mortgage fees and related income887
 262
 239
 1,562
 1,051
 49
Card income1,283
 1,328
 (3) 3,923
 3,623
 8
Other income(a)
1,472
 1,160
 27
 4,239
 4,041
 5
Noninterest revenue15,113
 13,352
 13
 44,217
 42,215
 5
Net interest income14,228
 13,908
 2
 43,079
 40,705
 6
Total net revenue$29,341
 $27,260
 8 % $87,296
 $82,920
 5 %
(a) In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(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.
(b) In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(c) Included operating lease income of $1.4 billion for each of the three months ended September 30, 2020 and 2019, and $4.2 billion and $4.0 billion for the nine months ended September 30, 2020 and 2019, respectively.
Quarterly results
Investment banking fees increased, driven by CIB, reflecting:
•higher equity underwriting fees primarily in follow-on offerings and IPO markets due to increased industry-wide fees
•higher debt underwriting fees ondue to wallet share gains despite a decline indecreased 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 declinelower number of completed transactions associated in industry-wide fees comparedpart with a strong priorthe lower level of announced deal volumes in the first half of the year.
Refer to CIB segment results on pages 28–3331-37 and Note 56 for additional information.
Principal transactions revenue increased, primarily in CIB, reflecting:
•higher revenue in CIB, primarilyboth Fixed Income and Equity Markets 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,Commodities and Credit, as well as Cash Equities, respectively, and
•a $169 million gain in Credit Adjustments & Other largely driven by funding and credit spread tightening on derivatives, compared with a $71 million loss in the prior year.
The increase in principal transactions revenue also reflected net gains on certain legacy private equity investments compared with net losses in the prior year.Corporate.
Principal transactions revenue in CIB may in certain cases have offsets across other revenue lines, including net interest income. The Firm assesses its CIB Markets business performance on a total revenue basis.
Refer to CIB AWM and Corporate segment results on pages 28–33, pages 38–4131-37 and pages 42–43,46-47, and Note 56 for additional information.
Lending- and deposit-related fees increased primarily due to higherwas relatively flat as the lower deposit-related fees in CCB, reflecting growthlower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, was offset by higher cash management fees, as well as higher lending-related fees, in customer accountsparticular, loan commitment fees in CIB and transactions.
CB. Refer to CCB segment results on pages 22–27,26-30, CIB on pages 28–3331-37 and CB on pages 34–37,38-41, respectively, and Note 56 for additional information.
Asset management, administration and commissions revenue increased, driven byreflecting higher asset management fees as a result of cumulative net inflows into liquidity and long-term products in CCB from growth in client investment assets.AWM.
ReferFor information on asset management, administration and commissions revenue, refer to CCB, CIB and AWM segment results on pages 22–2726-30, pages 31-37 and pages 38–41 ,42-45, respectively, and Note 5 for additional information.6.
13

Investment securities gains/(losses) gainsprimarily reflect increased due to the impactrepositioning of repositioning the investment securities portfolio. portfolio, including sales of U.S. GSE and government agency mortgage-backed securities.
Refer to Corporate segment results on pages 42–4346-47 and Note 910 for additional information.information on investment securities gains.
Mortgage fees and related income increased driven by:due to:
•higher net mortgage servicing revenue reflecting
–higher MSR risk management results driven by updates to model inputs, and
–higher operating revenue reflecting the absence of losses in the prior year from reclassifying certain loans to held-for-sale, predominantly offset by lower revenue on a lower level of third-party loans serviced
•higher net mortgage production revenue reflecting higher production margins and volumes; the prior year included approximately $350 million of gains on the sale of certain loans, as well as higher production volumes and marginsloans.
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 CCB segment results on pages 22–27,26-30, Note 56 and 1415 for further information.
Card income decreased due to lower net interchange income reflecting higher rewardslower card sales volumes as a result of the COVID-19 pandemic, largely offset by lower acquisition costs and partner payments, predominantly offset by higher interchange income and merchant processing fees on higher volumes.annual fees.
Refer to CCB segment results on pages 22–2726-30, and Note 56 for further information.
Other income increaseddecreased, reflecting:
higher operating lease income from growth•net losses related to derivatives in auto operating lease volumeOther Corporate, as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in CCBTreasury and CIO
•losses related to the early termination of certain of the Firm's long-term debt in the prior year on certain investments in CIBTreasury and Corporate,CIO
partially offset by
lower other income in CIB associated with •increased amortization on a higher levellevels of alternative energy investments.investments in CIB. 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,decreased due to the impact of lower rates, largely offset by thehigher net impact of rates. interest income in CIB Markets, as well as balance sheet growth.
The Firm’s average interest-earning assets were $2.4$2.9 trillion, up $162$510 billion, and the yield was 2.05%, down 151 basis points ("bps"), primarily due to lower rates. The net interest yield on these assets, on a fully taxable-equivalent (“FTE”)an FTE basis, was 2.41%1.82%, a decrease of 12 basis points.59 bps. The net interest yield excluding CIB Markets was 3.23%2.05%, a decrease of 7 basis points. down 118 bps.
Net interest yield excluding CIB marketsMarkets is a non-GAAP financial measure. Refer to the Consolidated average balance sheets, interest and rates schedule on pages 166–167190–191 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–2022-23 for a further discussion of Net interest yield excluding CIB markets.Markets.


Year-to-date results
Investment banking fees were relatively flat increased, driven by CIB, reflecting:
•higher equity underwriting fees primarily in follow-on offerings and convertible securities markets due to increased industry-wide fees
•higher debt underwriting fees due to increased industry-wide fees and wallet share gains in investment-grade and high-yield bonds. The increased activity resulted in part from clients seeking liquidity in the first half of the year as a result of the COVID-19 pandemic,
partially offset by
•lower advisory 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 dealslower number of completed transactions.
Principal transactions revenue increased, primarily in CIB, reflecting:
•higher revenue in CIB, which included a gain on the IPO of Tradeweb. Excluding this gain, the increaseboth Fixed Income and Equity Markets driven by strong performance in CIB’s revenue was driven by:Rates, Currencies & Emerging Markets, Credit and Commodities, as well as in Cash Equities and equity derivatives, respectively,
–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
•a $272 million net loss in Credit Adjustments & Other driven by losses on certain components of fair value option elected liabilities, as well as the impact of funding spread widening on derivatives.
–lower revenue in Equity Markets driven by lower client activity in derivatives
the netThe increase in CIB was partially offset by
lowerprincipal transactions revenue in AWM, related to hedgesalso reflected net gains on certain legacy private equity investments which was more than offset by higher valuation gains onin Corporate, compared with net losses in 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.prior year.
Lending- and deposit-related fees increased primarily due to higherwas relatively flat as the lower deposit-related fees in CCB, reflecting growthlower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, was offset by higher cash management fees in customer accountsCIB and transactions.CB, as well as higher lending-related fees, in particular, loan commitment fees in CIB.
Asset management, administration and commissions revenue was relatively flat reflecting:increased driven by:
lower•higher asset management fees in AWM driven byas a shiftresult of cumulative net inflows into liquidity and long-term products, and in the mix toward lower fee products,CCB related to a higher level of investment assets
largely•higher brokerage commissions in CIB and AWM on higher client-driven volume,
partially offset by
higher asset management fees•lower volume of annuity sales in CCB from growth in client investment assets.CCB.
14

Investment securities gains/(losses) gainsprimarily reflect increased due to the impactrepositioning of repositioning the investment securities portfolio.portfolio, including sales of U.S. GSE and government agency mortgage-backed securities in the first and third quarters of 2020.
Mortgage fees and related income increased driven by:due to:
•higher net mortgage production revenue reflecting higher mortgage production volumes and margins; the prior year included gains on the sales of certain loans as well as
•higher net mortgage production margins and volumes,servicing revenue reflecting
–higher MSR risk management results; the prior year included losses resulting from updates to model inputs,
partially offset by
–lower net mortgage servicingoperating revenue driven byreflecting a lower level of third-party loans serviced; the prior year included losses from reclassifying certain loans to held-for-sale.
–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 increaseddecreased due to lower net interchange income reflecting the absencelower card sales volumes that began in March as a result of the prior-year adjustment of approximately $330 million to the credit card rewards liability.COVID-19 pandemic, partially offset by higher annual fees and lower acquisition costs.
Other income increaseddecreased reflecting:
•net losses related to derivatives in Other Corporate, as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO
•net losses on certain equity investments in CIB, compared with net gains in the prior year
•increased amortization on higher levels of alternative energy investments in CIB. The increased amortization is more than offset by lower income tax expense from the associated tax credits
•lower net valuation gains on certain investments in AWM
•losses related to the early termination of certain of the Firm's long-term debt in Treasury and CIO,
partially offset by
•higher operating lease income from growth in auto operating lease volume in CCB, andCCB.
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

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 relatedRefer to the adoption of the recognition and measurement accounting guidanceNote 17 for certain equity investments previously held at cost in the first quarter of 2018, andfurther information.
losses on certain investments in CIB and Corporate.
Net interest income increased drivendecreased due to the impact of lower rates, predominantly offset by continuedhigher net interest income in CIB Markets, as well as balance sheet growth and changes in mix. growth.
The Firm’s average interest-earning assets were $2.3$2.7 trillion, up $136$386 billion, and the yield was 2.47%, down 123 bps, primarily due to lower rates. The net interest yield on these assets, on an FTE basis, was 2.49%2.04%, a decrease of 1 basis point.45 bps. The net interest yield excluding CIB Markets was 3.34%2.41%, an increase of 13 basis points. Net interest yield excluding CIB markets is a non-GAAP financial measure.down 93 bps.
15

Provision for credit lossesProvision for credit losses          Provision for credit losses
Three months ended September 30, Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
(in millions)

2019
 2018
 Change
 2019
 2018
 Change
(in millions)20202019Change20202019Change
Consumer, excluding credit card$(61) $(242) 75% $(265) $(152) (74)%Consumer, excluding credit card$(336)$19 NM$1,874 $(227)NM
Credit card1,375
 1,223
 12
 4,017
 3,557
 13
Credit card1,028 1,375 (25)10,119 4,017 152 
Total consumer1,314
 981
 34
 3,752
 3,405
 10
Total consumer692 1,394 (50)11,993 3,790 216 
Wholesale200
 (33) NM
 406
 (82) NM
Wholesale(178)120 NM7,266 368 NM
Investment securitiesInvestment securities97 NANM110 NANM
Total provision for credit losses$1,514
 $948
 60% $4,158
 $3,323
 25 %Total provision for credit losses$611 $1,514 (60)%$19,369 $4,158 366 %
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.

Quarterly results
The provision for credit losses increaseddecreased driven by both the consumer and wholesale.wholesale portfolios.
The decrease in total consumer provision reflects:reflected:
an increase•a $300 million reduction in the allowance for credit cardlosses in Home Lending 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 paydowns; a $100 million reduction in the allowance in the Business Banking 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
partiallyportfolio, which was offset by an addition to the allowance in the Business Banking wholesale portfolio; resulting in no change to CBB’s overall allowance for credit losses, and
–a $50 million reduction in the allowance for loan losses in the business banking portfolio.
•lower net charge-offs in Card, which reflected lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs.
The prior year included a $138 million net addition to the allowance for credit losses.
The wholesale provision was a net benefit as a result of reductions in the allowance for credit losses across CIB, CB and AWM, driven by changes in loan balances, partially offset by an addition to the allowance in CCB Business Banking as noted above. The prior year provision was largely driven by select Commercial & Industrial (“("C&I”&I") client downgrades.
The prior yearinvestment securities provision was a net benefit which included net recoveries predominantly relateddriven by the transfer of certain securities from available-for-sale ("AFS") to a loan sale in CIB.held-to-maturity ("HTM").
Refer to CCB segment results on pages 22–27,26-30, CIB on pages 28–33,31-37, CB on pages 34–37,38-41, AWM on pages 38–41,42-45, the Allowance for Credit Losses on pages 67–68,77–78, and Note 1210 and 13 for additional information on the credit portfolio and the allowance for credit losses.

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

Noninterest expense
(in millions)Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change
Compensation expense$8,630 $8,583 1 %$27,034 $26,067 4 %
Noncompensation expense:
Occupancy1,142 1,110 3 3,288 3,238 2 
Technology, communications and equipment2,564 2,494 3 7,732 7,236 7 
Professional and outside services2,178 2,056 6 6,205 6,307 (2)
Marketing(a)
470 895 (47)1,751 2,504 (30)
Other expense(b)(c)
1,891 1,234 53 4,598 3,624 27 
Total noncompensation expense8,245 7,789 6 23,574 22,909 3 
Total noninterest expense$16,875 $16,372 3 %$50,608 $48,976 3 %
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net benefit primarily driven by loan sales and other activity relatedincome. Prior-period amounts have been revised to a single name inconform with the Oil & Gas portfolio, partially offset by other net portfolio activity.current presentation.
The (b)total consumer provision reflects:Included Firmwide legal expense/(benefit) of $524 million and $10 million for the three months ended September 30, 2020 and 2019, respectively, and $839 million and $(2) million for the nine months ended September 30, 2020 and 2019, respectively.
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.

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:           
Occupancy1,110
 1,014
 9
 3,238
 2,883
 12
Technology, communications and equipment2,494
 2,219
 12
 7,236
 6,441
 12
Professional and outside services2,056
 2,086
 (1) 6,307
 6,333
 —
Marketing945
 798
 18
 2,686
 2,396
 12
Other expense(a)(b)
1,234
 1,398
 (12) 3,624
 4,313
 (16)
Total noncompensation expense7,839
 7,515
 4
 23,091
 22,366
 3
Total noninterest expense$16,422
 $15,623
 5 % $49,158
 $47,674
 3 %
(c)Included FDIC-related expense of $186 million and $114 million for the three months ended September 30, 2020 and 2019, respectively, and $503 million and $378 million for the nine months ended September 30, 2020 and 2019, respectively.
(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 expenseinvestments in CIB and investments across the businesses, including front officenew 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, partiallypredominantly 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 marketinglegal expense predominantly in CIB
•an impairment on a legacy investment in Corporate
•higher volume-related expense, in particular brokerage expense in CIB,
partially offset by
•lower marketing expense in CCB as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower structural expense, including lower travel and entertainment across the businesses.
Year-to-date results
Compensation expense increased driven by higher revenue-related expense in CIB.
Noncompensation expense increased as a result of:
•higher legal expense predominantly in CIB and from a lower net legal benefit in Corporate
•higher volume-related expense, in particular brokerage expense in CIB and depreciation from growth in auto operating lease assets in CCB and brokerage expense
•an impairment on a legacy investment 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,Corporate,
partially offset by
•lower FDIC chargesmarketing expense in CCB as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower structural expense, including lower travel and entertainment across the 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.businesses.

Income tax expenseIncome tax expense       Income tax expense
Three months ended September 30, Nine months ended September 30,
(in millions)(in millions)Three months ended September 30,Nine months ended September 30,
2019
 2018
 Change
 2019
 2018
 Change20202019Change20202019Change
Income before income tax expense$11,405
 $10,689
 7% $33,980
 $31,923
 6 %Income before income tax expense$11,661 $11,405 2 %$20,342 $33,980 (40)%
Income tax expense2,325
 2,309
 1
 6,069
 6,515
 (7)Income tax expense2,218 2,325 (5)3,347 6,069 (45)
Effective tax rate20.4% 21.6%   17.9% 20.4%  Effective tax rate19.0 %20.4 %16.5 %17.9 %
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 level and mix of income and expenseexpenses subject to U.S. federal, and state and local taxes. In addition,taxes, as well as prior-year adjustments. The decrease was partially offset by the absence of tax benefits recorded in 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 remeasurementresolution of certain deferred taxes and the deemed repatriation tax on non-U.S. earnings.audits.

Year-to-date results
The effective tax rate decreased due to changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes, as well as prior-year adjustments and the more significant effect of certain tax benefits on a lower level of pre-tax income. The decrease was largely offset by the recognition of $1.0 billion of tax benefits recorded in the prior year related to the resolution of certain tax audits 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.audits.

17



CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
Consolidated balance sheets analysis
The following is a discussion of the significant changes between September 30, 2019,2020, and December 31, 2018.2019.
Selected Consolidated balance sheets data
(in millions)September 30,
2020		December 31,
2019		Change
Assets
Cash and due from banks$20,816 $21,704 (4)%
Deposits with banks466,706 241,927 93 
Federal funds sold and securities purchased under resale agreements319,849 249,157 28 
Securities borrowed142,441 139,758 2 
Trading assets(a)
505,822 369,687 37 
Available-for-sale securities389,583 350,699 11 
Held-to-maturity securities, net of allowance for credit losses141,553 47,540 198 
Investment securities, net of allowance for credit losses531,136 398,239 33 
Loans(a)
989,740 997,620 (1)
Allowance for loan losses(30,814)(13,123)135 
Loans, net of allowance for loan losses958,926 984,497 (3)
Accrued interest and accounts receivable76,945 72,861 6 
Premises and equipment26,672 25,813 3 
Goodwill, MSRs and other intangible assets51,594 53,341 (3)
Other assets(a)
145,169 130,395 11 
Total assets$3,246,076 $2,687,379 21 %
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 banks235,382
 256,469
(8)
Federal funds sold and securities purchased under resale agreements257,391
 321,588
(20)
Securities borrowed138,336
 111,995
24
Trading assets495,875
 413,714
20
Investment securities394,251
 261,828
51
Loans945,218
 984,554
(4)
Allowance for loan losses(13,235) (13,445)(2)
Loans, net of allowance for loan losses931,983
 971,109
(4)
Accrued interest and accounts receivable88,988
 73,200
22
Premises and equipment25,117
 14,934
68
Goodwill, MSRs and other intangible assets53,078
 54,349
(2)
Other assets123,045
 121,022
2
Total assets$2,764,661
 $2,622,532
5 %
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
Cash and due from banks and deposits with banks decreasedincreased primarily as a result of a shiftsignificant deposit inflows, which also funded asset growth across the Firm, including in the deployment of cash in Treasuryinvestment securities and CIO to investment securities.securities purchased under resale agreements. 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 largelyincreased predominantly as a result of a shift in thehigher deployment of cash in Treasury and CIO. Refer to Liquidity Risk Management on pages 50–54CIO, as well as the impact of client activity 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.CIB. Refer to Liquidity RiskRisk Management on pages 50–5455–59 and Note 1011 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 relateddue to originations of mortgage warehouse loans, resulting from the favorable rate environment,
partially offset by
a reduction in short-term instruments associated with cash deploymentclient-driven market-making activities in Treasurydebt and CIO.
equity instruments in CIB Markets, as well as higher derivative receivables as a result of market movements, also in CIB. Refer to Notes 2 and 45 for additional information.
Investment securitiessecurities increased, primarily reflecting net purchases of U.S. Treasuries and U.S. GSE and government agency MBS in Treasury and CIOthe available-for-sale (“AFS”) portfolio, driven by interest rate risk management activities and broader balance sheet management. cash deployment, partially offset by a non-cash transfer of $100.5 billion of AFS securities to the held-to-maturity (“HTM”) portfolio, resulting in a comparable increase in HTM; the transfer was made for capital management purposes.
Refer to Corporate segment results on pages 42–43,46-47, Investment Portfolio Risk Management on page 69,79, and
Notes 2 and 910 for additional information on Investment securities.
Loans decreased, reflecting:
Loans •decreased reflecting loanlower loans in Card due to the decline in sales volume that began in Home Lending,March as a result of the COVID-19 pandemic, as well as the impact of seasonality; and lower loans in CIB,Home Lending primarily driven by adue to paydowns and loan syndication andsales, net pay downs, of originations,
partially offset by increases
•the impact of the PPP loans in CBB and CB, as well as growth in wholesale loans and mortgages in 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 byincreased primarily reflecting the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
•a $400 millionnet $8.3 billion addition in consumer, predominantly in the credit card and residential real estate portfolios
•a net $5.2 billion addition in wholesale, across the LOBs impacting multiple industry sectors, and
•a net $4.2 billion addition as a result of the adoption of CECL.
There were also additions to the allowance for loan losseslending-related commitments, which is included in other liabilities on the credit card portfolio reflecting higher loss rates, as newer vintages season and become a larger partconsolidated balance sheets, of $1.5 billion related to the impact of the portfolioCOVID-19 pandemic, and loan growth.$98 million related to the adoption of CECL, resulting in total additions to the allowance for credit losses of $15.0 billion and $4.3 billion, respectively, as of September 30, 2020.
18

Refer to Credit and Investment Risk Management on pages 55–69,60-79, and Notes 1, 2, 3, 1112 and 1213 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.

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 and the realization of expected cash flows, partially offset by an increase in goodwill associated withnet additions to the acquisition of InstaMed. MSRs.Refer to Note 1415 for additional information.
Other assets increased reflecting higher cash collateral placed with central counterparties in CIB. Refer to Liquidity Risk Management on pages 55–59 for additional information.
Selected Consolidated balance sheets data (continued)Selected Consolidated balance sheets data (continued) Selected Consolidated balance sheets data (continued)
(in millions)September 30,
2019
 December 31,
2018
Change
(in millions)September 30,
2020		December 31,
2019		Change
Liabilities    Liabilities
Deposits$1,525,261
 $1,470,666
4 %Deposits$2,001,416 $1,562,431 28 %
Federal funds purchased and securities loaned or sold under repurchase agreements247,766
 182,320
36
Federal funds purchased and securities loaned or sold under repurchase agreements236,440 183,675 29 
Short-term borrowings48,893
 69,276
(29)Short-term borrowings41,992 40,920 3 
Trading liabilities138,343
 144,773
(4)Trading liabilities162,493 119,277 36 
Accounts payable and other liabilities225,063
 196,710
14
Accounts payable and other liabilities234,256 210,407 11 
Beneficial interests issued by consolidated variable interest entities (“VIEs”)18,515
 20,241
(9)Beneficial interests issued by consolidated variable interest entities (“VIEs”)19,191 17,841 8 
Long-term debt296,472
 282,031
5
Long-term debt279,175 291,498 (4)
Total liabilities2,500,313
 2,366,017
6
Total liabilities2,974,963 2,426,049 23 
Stockholders’ equity264,348
 256,515
3
Stockholders’ equity271,113 261,330 4 
Total liabilities and stockholders’ equity$2,764,661
 $2,622,532
5 %Total liabilities and stockholders’ equity$3,246,076 $2,687,379 21 %
Deposits increased reflecting:
growth in operating deposits in CIBreflecting significant inflows across the LOBs primarily driven by client activity the COVID-19 pandemic and the related effect of certain government actions
•in Treasury Servicesthe wholesale businesses, the inflows principally occurred in March as clients looked to remain liquid as a result of market conditions; in general, balances remained elevated through the third quarter, and Securities Services, and an increase in net issuances of structured notes in Markets, and
•in CCB, predominantly due to continued growth in new accounts,the increase was driven by lower spending and in CB,higher cash balances across both consumer and small business customers, as well as growth from existing clients.and new accounts.
Refer to Liquidity Risk Management on pages 50–5455–59 and Notes 2 and 1516 for additional information.
Federal funds purchased and securities loaned or sold under repurchase agreements increased driven byreflecting:
•in 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 instrumentsassets, partially offset by a decline in client-driven market-making activities, and client-driven activities.the Firm's nonparticipation in the Federal Reserve's open market operations, and
•in Treasury and CIO, higher secured financing of AFS investment securities. Refer to Liquidity Risk Management on pages 50–5455–59 and Note 1011 for additional information.
Short-termFor information on 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 refer to Liquidity Risk Management on pages 50–54 for additional information.55–59 .
Trading liabilities decreasedincreased as a result of client-driven market-making activities in CIB, which resulted in lowerhigher levels of short positions primarilypredominantly in equitydebt instruments in Equity Markets.Fixed Income Markets, as well as higher derivative payables as a result of market movements. Refer to Notes 2 and 45 for additional information.
Accounts payable and other liabilities increased reflecting:
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.CIB.
Beneficial interests issued by consolidated VIEs decreased due to:
maturities of credit card securitizations,
predominantly offset by
increased primarily reflecting higher levels of Firm-administered multi-seller conduit commercial paper issued toheld by third parties.
Refer to Off-Balance Sheet Arrangements on page 1821 and Notes 1314 and 2223 for further information on Firm-sponsored VIEs and loan securitization trusts.
Long-term debt increaseddecreased as a result of client-drivenmaturities of FHLB advances; net issuancesmaturities of senior debt, which included the early termination of certain of the Firm's debt; partially offset by an issuance of subordinated debt, and higher fair value hedge accounting adjustments related to lower interest rates. The decrease was also due to a lower level of structured notes in CIB’s Markets business.CIB.
Refer to Liquidity Risk Management on pages 50–5455–59 for additional information on the Firm’s long-term debt activities.
Stockholders’ equity increased reflecting the combined impact of net income, capital actions, the adoption of CECL and an increase in accumulated other comprehensive income (“AOCI”). The increase in AOCI was driven by net unrealized gains on AFS securities, and higher valuation of interest rate cash flow hedges.Refer to page 8396 for information on changes in stockholders’ equity, and Capital actions on pages 47–48.page 53, and Note 20 for additional information on AOCI.
19


Consolidated cash flows analysis
The following is a discussion of cash flow activities during the nine months ended September 30, 20192020 and 2018.2019.
(in millions) Nine months ended September 30,(in millions)Nine months ended September 30,
2019
 2018
20202019
Net cash provided by/(used in)    Net cash provided by/(used in)
Operating activities $(77,039) $13,765
Investing activities (38,181) (39,782)
Operating activities(a)
Operating activities(a)
$(51,858)$(78,719)
Investing activities(a)
Investing activities(a)
(198,206)(36,501)
Financing activities 96,006
 16,319
Financing activities470,687 96,006 
Effect of exchange rate changes on cash (2,982) (2,509)Effect of exchange rate changes on cash3,268 (2,982)
Net decrease in cash and due from banks and deposits with banks $(22,196) $(12,207)
Net increase/(decrease) in cash and due from banks and deposits with banksNet increase/(decrease) in cash and due from banks and deposits with banks$223,891 $(22,196)
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
Operating activities
•In 2020, cash used resulted from higher trading assets and other assets, partially offset by higher trading liabilities, accounts payable and other liabilities, and net proceeds from loans held for sale.
•In 2019, cash used primarily resulted from higher trading assets and securities borrowed, other assets and accrued interest and accounts receivable, partially offset by higherincreased 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.held-for-sale.
Investing activities
•In 2019,2020, cash used primarily resulted fromreflected 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 sales and securitizations of loans held-for-investment.
•In 2019, cash used resulted from net purchases of investment securities, partially offset by higher securities purchased under resale agreements, and net proceeds from sales and securitizations of loans held-for- investment.held-for-investment.
Financing activities
•In 2020, cash provided reflected higher deposits and securities loaned or sold under repurchase agreements, partially offset by net payments of long term borrowings.
•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.agreements.
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. On March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common equity. Subsequently, the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases through the end of the fourth quarter of 2020.
* * *
Refer to Consolidated Balance Sheets Analysis on pages 15-16,18-19, Capital Risk Management on pages 45–49,49-54, and Liquidity Risk Management on pages 50–5455–59 of this Form 10-Q, and pages 95–10093–98 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of the activities affecting the Firm’s cash flows.

20


OFF-BALANCE SHEET ARRANGEMENTS
In the normal course of business, the Firm enters into various off-balance sheet arrangements and contractual obligations that may require future cash payments. Certain obligations are recognized on-balance sheet, while others are disclosed as off-balance sheet under accounting principles generally accepted in the U.S. (“U.S. GAAP”).
Special-purpose entities
The Firm has several types of off–balance sheet arrangements, including through nonconsolidated special-purpose entities (“SPEs”), which are a type of VIE, and through lending-related financial instruments (e.g., commitments and guarantees).
The Firm holds capital, as appropriate, against all SPE-related transactions and related exposures, such as derivative contracts and lending-related commitments and guarantees.
The Firm has no commitments to issue its own stock to support any SPE transaction, and its policies require that transactions with SPEs be conducted at arm’s length and reflect market pricing. 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, referRefer to Note 1 for additional information about the Firm’s consolidation policies.
Type of off-balance sheet arrangementLocation of disclosurePage references
Special-purpose entities: variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsRefer to Note 1314139-144163-168
Off-balance sheet lending-related financial instruments, guarantees, and other commitmentsRefer to Note 2223156-159179-182


21


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 80–84.93-97.
In addition to analyzing the Firm’s results on a reported basis, the Firm also reviews and uses certain non-GAAP financial measures at the Firmwide and segment level. These non-GAAP measures include:
•Firmwide “managed” basis results, including the overhead ratio, which include certain reclassifications to present total net revenue from investments that receive tax credits and tax-exempt securities on a basis comparable to taxable investments and securities (“FTE” basis)
•Pre-provision profit, which represents total net revenue less noninterest expense
•Net interest income and net yield excluding CIB’sCIB Markets businesses
Certain credit metrics and ratios, which exclude PCI loans
•Tangible common equity (“TCE”), ROTCE, and TBVPS.TBVPS
In addition, core•Allowance for loan losses to period-end loans is a key performance measure utilized by the Firmretained, excluding trade finance and its investors and analysts in assessing actual growth in the loan portfolio.conduits.
Refer to Explanation and Reconciliation of the Firm’s Use Of Non-GAAP Financial Measures and Key Performance Measures on pages 57-5957–59 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of management’s use of non-GAAP financial measures and key performance measures.
The following summary table providestables provide a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.
Three months ended September 30,
20202019
(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis
Other income$959 $690 $1,649 $1,472 $596 $2,068 
Total noninterest revenue(a)
16,134 690 16,824 15,063 596 15,659 
Net interest income13,013 104 13,117 14,228 127 14,355 
Total net revenue29,147 794 29,941 29,291 723 30,014 
Total noninterest expense(a)
16,875 NA16,875 16,372 NA16,372 
Pre-provision profit12,272 794 13,066 12,919 723 13,642 
Provision for credit losses611 NA611 1,514 NA1,514 
Income before income tax expense11,661 794 12,455 11,405 723 12,128 
Income tax expense2,218 794 3,012 2,325 723 3,048 
Net income$9,443 NA$9,443 $9,080 NA$9,080 
Overhead ratio58 %NM56 %56 %NM55 %
Nine months ended September 30,
20202019
(in millions, except ratios)Reported
Fully taxable-equivalent adjustments(b)
Managed
basis		Reported
Fully taxable-equivalent adjustments(b)
Managed
basis
Other income$3,157 $2,128 $5,285 $4,239 $1,777 $6,016 
Total noninterest revenue(a)
49,014 2,128 51,142 44,035 1,777 45,812 
Net interest income41,305 321 41,626 43,079 408 43,487 
Total net revenue90,319 2,449 92,768 87,114 2,185 89,299 
Total noninterest expense(a)
50,608 NA50,608 48,976 NA48,976 
Pre-provision profit39,711 2,449 42,160 38,138 2,185 40,323 
Provision for credit losses19,369 NA19,369 4,158 NA4,158 
Income before income tax expense20,342 2,449 22,791 33,980 2,185 36,165 
Income tax expense3,347 $2,449 5,796 6,069 2,185 8,254 
Net Income$16,995 NA$16,995 $27,911 NA$27,911 
Overhead ratio56 %NM55 %56 %NM55 %
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(b)Predominantly recognized in CIB, CB and Corporate.
22
 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 revenue15,113
 596
  15,709
 13,352
 408
  13,760
Net interest income14,228
 127
  14,355
 13,908
 154
  14,062
Total net revenue29,341
 723
  30,064
 27,260
 562
  27,822
Pre-provision profit12,919
 723
  13,642
 11,637
 562
  12,199
Income before income tax expense11,405
 723
  12,128
 10,689
 562
  11,251
Income tax expense$2,325
 $723
  $3,048
 $2,309
 $562
  $2,871
Overhead ratio56% 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 revenue44,217
 1,777
  45,994
 42,215
 1,337
  43,552
Net interest income43,079
 408
  43,487
 40,705
 473
  41,178
Total net revenue87,296
 2,185
  89,481
 82,920
 1,810
  84,730
Pre-provision profit38,138
 2,185
  40,323
 35,246
 1,810
  37,056
Income before income tax expense33,980
 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 ratio56% NM
  55% 57% NM
  56%

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












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

(in millions, except rates)		Three months ended September 30,Nine months ended September 30,
20202019Change20202019Change
Net interest income – reported$13,013 $14,228 (9)%$41,305 $43,079 (4)%
Fully taxable-equivalent adjustments104 127 (18)321 408 (21)
Net interest income – managed basis(a)
$13,117 $14,355 (9)$41,626 $43,487 (4)
Less: CIB Markets net interest income(b)
2,076 723 187 6,208 1,971 215 
Net interest income excluding CIB Markets(a)
$11,041 $13,632 (19)$35,418 $41,516 (15)
Average interest-earning assets(c)
$2,874,974 $2,364,951 22 $2,720,636 $2,334,406 17 
Less: Average CIB Markets interest-earning assets(b)(c)
730,141 690,390 6 753,748 671,019 12 
Average interest-earning assets excluding CIB Markets$2,144,833 $1,674,561 28%$1,966,888 $1,663,387 18%
Net yield on average interest-earning assets – managed basis1.82 %2.41 %2.04 %2.49 %
Net yield on average CIB Markets interest-earning assets(b)
1.13 0.42 1.10 0.39 
Net yield on average interest-earning assets excluding CIB Markets2.05 %3.23 %2.41 %3.34 %

(in millions, except rates)
Three months ended September 30, Nine months ended September 30,
2019
2018
 Change
 20192018 Change
Net interest income – reported$14,228
$13,908
 2 % $43,079
$40,705
 6 %
Fully taxable-equivalent adjustments127
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 Markets3.23%3.30%   3.34%3.21%  
(a)Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.
(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.
(b)Refer to page 36 for further information on CIB Markets.
(c)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.
Period-endAverage
(in millions, except per share and ratio data)Sep 30,
2020		Dec 31,
2019		Three months ended September 30,Nine months ended September 30,
2020201920202019
Common stockholders’ equity$241,050 $234,337 $236,797 $235,613 $235,251 $232,917 
Less: Goodwill47,819 47,823 47,820 47,707 47,812 47,552 
Less: Other intangible assets759 819 769 842 791 776 
Add: Certain deferred tax liabilities(a)
2,405 2,381 2,401 2,344 2,393 2,311 
Tangible common equity$194,877 $188,076 $190,609 $189,408 $189,041 $186,900 
Return on tangible common equityNANA19 %18 %11 %19 %
Tangible book value per share$63.93 $60.98 NANAN/AN/A
(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE.
23
 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: Goodwill47,818
47,471
 47,707
47,490
47,552
47,496
Less: Other intangible assets841
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 equityNA
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.



BUSINESS SEGMENT RESULTS
The Firm is managed on a line of businessan LOB basis. There are four major reportable business segments – Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment.
The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Explanation and Reconciliation of the Firm’s use of Non-GAAP Financial Measures and Key Performance Measures on pages 19–2022-23 for a definition of managed basis.
Description of business segment reporting methodology
Results of the business segments are intended to present each segment as if it were 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. The Firm’s LOBs also provide various business metrics which are utilized by the Firm and its investors and analysts in assessing performance.
Revenue sharing
When business segments join efforts to sell products and services to the Firm’s clients, the participating business segments may agree to share revenue from those transactions. Revenue and expense are generally recognized in the segment responsible for the related product or service, with allocations to the other segment(s)
involved in the transaction. The segment results reflect these revenue-sharing agreements.
Business segment capital allocation
The amount of capital assigned to each business is referred to as equity. On at least an annual basis,Periodically, the assumptions and methodologies used into allocate capital allocation are assessed and as a result, the capital allocated to lines of businessthe LOBs may change. Refer to Line of business equity on page 9190 of JPMorgan Chase’s 20182019 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 20182019 Form 10-K for a further discussion of those methodologies.
Business segment changes
In the first quarter of 2020, the Firm began reporting a Wholesale Payments business unit within CIB following a realignment of the Firm’s wholesale payments businesses. The Wholesale Payments business comprises:
•Merchant Services, which was realigned from CCB to CIB
•Treasury Services and Trade Finance in CIB. Trade Finance was previously reported in Lending in CIB.
In connection with the alignment of Wholesale Payments, the assets, liabilities and headcount associated with the Merchant Services business were realigned to CIB from CCB, and the revenue and expenses of the Merchant Services business are reported across CCB, CIB and CB based primarily on client relationships. Prior-period amounts have been revised to reflect this realignment and revised allocation methodology.
JPMorgan Chase
Consumer BusinessesWholesale Businesses
Consumer & Community BankingCorporate & Investment BankCommercial BankingAsset & Wealth Management
Consumer &
Business Banking		Home LendingCard & AutoBankingMarkets &
Securities Services		 • Middle Market Banking • Asset Management
 • Consumer Banking/Chase Wealth Management
 • Business Banking
 • Home Lending Production
 • Home Lending Servicing
 • Real Estate Portfolios
• Credit Card
• Auto

 • Investment Banking
 • Wholesale Payments
 • Lending
 • Fixed Income Markets
 • Equity Markets
 • Securities Services
 • Credit Adjustments & Other
 • Corporate Client Banking
• Wealth Management

 • Commercial Real Estate Banking
24

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(a)
Corporate & Investment BankCommercial Banking
(in millions, except ratios)20202019Change20202019Change20202019Change
Total net revenue$12,755 $13,958 (9)%$11,503 $9,522 21 %$2,285 $2,274 — %
Total noninterest expense6,770 7,025 (4)5,797 5,504 5 966 940 3 
Pre-provision profit/(loss)5,985 6,933 (14)5,706 4,018 42 1,319 1,334 (1)
Provision for credit losses794 1,311 (39)(81)92 NM(147)67 NM
Net income/(loss)3,873 4,245 (9)4,304 2,831 52 1,088 943 15 
Return on equity (“ROE”)29 %31 %21 %13 %19 %16 %
Three months ended September 30,Consumer & Community Banking Corporate & Investment Bank Commercial BankingThree months ended September 30,Asset & Wealth ManagementCorporate
Total(a)
(in millions, except ratios)2019
2018
Change 2019
2018
Change 2019
2018
Change
(in millions, except ratios)20202019Change20202019Change20202019Change
Total net revenue$14,259
$13,290
7 $9,338
$8,805
6 $2,207
$2,271
(3)%Total net revenue$3,737 $3,568 5 %$(339)$692 NM$29,941 $30,014 — %
Total noninterest expense7,290
6,982
4 5,348
5,175
3 881
853
3
Total noninterest expense2,623 2,622 — 719 281 156 16,875 16,372 3 
Pre-provision profit/(loss)6,969
6,308
10 3,990
3,630
10 1,326
1,418
(6)Pre-provision profit/(loss)1,114 946 18 (1,058)411 NM13,066 13,642 (4)
Provision for credit losses1,311
980
34 92
(42)NM 67
(15)NM
Provision for credit losses(51)44 NM96 — NM611 1,514 (60)
Net income/(loss)4,273
4,086
5 2,809
2,626
7 937
1,089
(14)Net income/(loss)877 668 31 (699)393 NM9,443 9,080 4 
Return on equity (“ROE”)32%31% 13%14% 16%21% 
ROEROE32 %24 %NMNM15 %15 %
Nine months ended September 30,
Consumer & Community Banking(a)
Corporate & Investment BankCommercial Banking
(in millions, except ratios)20202019Change20202019Change20202019Change
Total net revenue$38,084 $40,885 (7)%$37,803 $29,387 29 %$6,855 $6,972 (2)%
Total noninterest expense20,498 20,784 (1)18,457 16,794 10 2,853 2,809 2 
Pre-provision profit/(loss)17,586 20,101 (13)19,346 12,593 54 4,002 4,163 (4)
Provision for credit losses12,394 3,745 231 3,307 179 NM3,294 186 NM
Net income/(loss)3,888 12,349 (69)11,756 9,037 30 544 3,005 (82)
ROE9 %31 %19 %14 %2 %17 %
Three months ended September 30,Asset & Wealth Management Corporate Total
Nine months ended September 30,Nine months ended September 30,Asset & Wealth ManagementCorporate
Total(a)
(in millions, except ratios)2019
2018
Change
 2019
2018
Change 2019
2018
Change(in millions, except ratios)20202019Change20202019Change20202019Change
Total net revenue$3,568
$3,559
—
 $692
$(103)NM $30,064
$27,822
8Total net revenue$10,953 $10,616 3 %$(927)$1,439 NM$92,768 $89,299 4 %
Total noninterest expense2,622
2,585
1
 281
28
NM 16,422
15,623
5Total noninterest expense7,788 7,865 (1)1,012724 40 50,608 48,976 3 
Pre-provision profit/(loss)946
974
(3) 411
(131)NM 13,642
12,199
12Pre-provision profit/(loss)3,165 2,751 15 (1,939)715 NM42,160 40,323 5 
Provision for credit losses44
23
91
 —
2
NM 1,514
948
60Provision for credit losses266 48 454 108— NM19,369 4,158 366 
Net income/(loss)668
724
(8) 393
(145)NM 9,080
8,380
8Net income/(loss)2,199 2,048 7 (1,392)1,472 NM16,995 27,911 (39)
ROE24%31%  NM
NM
 15%14% ROE27 %25 %NMNM9 %15 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
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 expense21,663
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 losses3,745
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)
ROE31%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 expense7,865
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 losses48
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
ROE25%32%  NM
NM
  15%14% 
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
The following sections provide a comparative discussion of the Firm’s results by segment as of or for the three and nine months ended September 30, 20192020 versus the corresponding periods in the prior year, unless otherwise specified.

25


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

Refer to pages 62–65 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 173198 for a further discussion of the business profile of CCB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue
Lending- and deposit-related fees(a)
$771 $1,026 (25)%$2,360 $2,906 (19)%
Asset management, administration and commissions(a)
596 606 (2)1,717 1,807 (5)
Mortgage fees and related income1,076 886 21 2,313 1,561 48 
Card income(b)
890 905 (2)2,332 2,680 (13)
All other income1,425 1,383 3 4,111 3,994 3 
Noninterest revenue4,758 4,806 (1)12,833 12,948 (1)
Net interest income7,997 9,152 (13)25,251 27,937 (10)
Total net revenue12,755 13,958 (9)38,084 40,885 (7)
Provision for credit losses794 1,311 (39)12,394 3,745 231 
Noninterest expense
Compensation expense2,679 2,544 5 7,833 7,641 3 
Noncompensation expense(b)(c)
4,091 4,481 (9)12,665 13,143 (4)
Total noninterest expense6,770 7,025 (4)20,498 20,784 (1)
Income before income tax expense5,191 5,622 (8)5,192 16,356 (68)
Income tax expense1,318 1,377 (4)1,304 4,007 (67)
Net income$3,873 $4,245 (9)$3,888 $12,349 (69)
Revenue by line of business
Consumer & Business Banking$5,557 $6,782 (18)$16,755 $20,340 (18)
Home Lending1,714 1,465 17 4,562 3,929 16 
Card & Auto(b)
5,484 5,711 (4)16,767 16,616 1 
Mortgage fees and related income details:
Net production revenue765 738 4 1,826 1,291 41 
Net mortgage servicing revenue(d)
311 148 110 487 270 80 
Mortgage fees and related income$1,076 $886 21 %$2,313 $1,561 48 %
Financial ratios
Return on equity29 %31 %9 %31 %
Overhead ratio53505451
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(c)Included depreciation expense on leased assets of $1.0 billion for both of the three months ended September 30, 2020 and 2019, and $3.2 billion and $2.9 billion for nine months ended September 30, 2020 and 2019, respectively.
(d)Included MSR risk management results of $145 million and $53 million for the three months ended September 30, 2020 and 2019, respectively, and $134 million and $(200) million for nine months ended September 30, 2020 and 2019, respectively.
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 commissions608
 626
 (3) 1,890
 1,792
 5
Mortgage fees and related income886
 260
 241
 1,561
 1,049
 49
Card income1,176
 1,219
 (4) 3,601
 3,299
 9
All other income1,399
 1,135
 23
 3,989
 3,255
 23
Noninterest revenue5,095
 4,176
 22
 13,868
 12,063
 15
Net interest income9,164
 9,114
 1
 27,975
 26,321
 6
Total net revenue14,259
 13,290
 7
 41,843
 38,384
 9
            
Provision for credit losses1,311
 980
 34
 3,745
 3,405
 10
            
Noninterest expense           
Compensation expense2,683
 2,635
 2
 8,063
 7,916
 2
Noncompensation expense(a)
4,607
 4,347
 6
 13,600
 12,854
 6
Total noninterest expense7,290
 6,982
 4
 21,663
 20,770
 4
Income before income tax expense5,658
 5,328
 6
 16,435
 14,209
 16
Income tax expense1,385
 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 Lending1,465
 1,306
 12
 3,929
 4,162
 (6)
Card, Merchant Services & Auto6,106
 5,599
 9
 17,861
 15,984
 12
            
Mortgage fees and related income details:           
Net production revenue738
 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 equity32% 31%   31% 27%  
Overhead ratio51
 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.

26

Quarterly results
Net income was $4.3$3.9 billion, an increasea decrease of 5%9%.
Net revenue was $14.3$12.8 billion, an increasea decrease of 7%9%.
Net interest income was $8.0 billion, down 13%, driven by:
•the impact of deposit margin compression in CBB and lower loans in Card due to the decline in sales volume as a result of the COVID-19 pandemic,
largely offset by
•growth in deposits in CBB, and loan margin expansion in Card; the prior year included a charge for the unwind of the internal funding from Treasury and CIO associated with the sale of certain mortgage loans.
Noninterest revenue was $4.8 billion, flat, reflecting:
•lower deposit-related fees due to lower transaction activity and the impact of fee refunds related to the COVID-19 pandemic, and
•lower card income due to lower net interchange income reflecting lower card sales volumes as a result of the COVID-19 pandemic, offset by lower acquisition costs and higher annual fees,
offset by
•higher net mortgage servicing revenue reflecting:
–higher MSR risk management results driven by updates to model inputs, and
–higher operating revenue reflecting the absence of losses in the prior year from reclassifying certain loans to held-for-sale, predominantly offset by lower revenue on a lower level of third-party loans serviced
•higher net mortgage production revenue reflecting higher production margins and volumes; the prior year included approximately $350 million of gains on the sale of certain mortgage loans 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 1415 for further information regarding changes in the value of the MSR asset and related hedges, and mortgage fees and related income.
Noninterest expense was $7.3$6.8 billion, updown 4%, predominantly driven by:
technology,by lower marketing and otherexpense as a result of lower investments in the business, as well as higher auto lease depreciation,
partially offset by
expense efficienciesmarketing campaigns and lower FDIC charges.travel-related benefits.
The provision for credit losses was $1.3 billion, an increase$794 million, a decrease of 34%, reflecting:$517 million from the prior year, driven by:
an increase•a $300 million reduction in the allowance for credit cardlosses in Home Lending due to paydowns, and
–higher
•lower 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, excludingCard, which reflected lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs.
The prior year included a $50 million net addition in the allowance for credit card duelosses.
Refer 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.

Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77–78 for further discussions of the credit portfolios and the allowance for credit losses.


Year-to-date results
Net income was $12.4$3.9 billion, a decrease of 69%, predominantly driven by an increase of 15%.in the provision for credit losses.
Net revenue was $41.8$38.1 billion, an increasea decrease of 9%7%.
Net production revenue included gains oninterest income was $25.3 billion, down 10%, driven by:
•the impact of deposit margin compression in CBB, and lower loans in Home Lending predominantly due to prior year loan sales, of certain mortgage loans that were predominantly
partially offset by
•growth in deposits in CBB, and loan margin expansion in Card; the prior year included charges in net interest income for the unwind of the related internal funding from Treasury and CIO associated with thesethe sales of certain mortgage 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$12.8 billion, up 15%,flat, reflecting:
•lower deposit-related fees due to lower transaction activity and includes gains from the loanimpact of fee refunds related to the COVID-19 pandemic, and
•lower card income due to lower net interchange income reflecting lower card sales mentioned above. Excluding these gains, noninterest revenue increased, driven by:volumes that began in March as a result of the COVID-19 pandemic, partially offset by higher annual fees and lower acquisition costs,
higher auto lease volume,offset by
•higher net mortgage production revenue reflecting higher mortgage production margins and volumes and margins; the prior year included gains on the sales of certain mortgage loans
the impact of the prior-year adjustment of approximately $330 million to the credit card rewards liability,
partially offset by
lower•higher 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–higher MSR risk management results; the business, as well as higher auto lease depreciation,prior year included losses resulting from updates to model inputs,
partially offset by
–lower operating revenue reflecting a lower level of third-party loans serviced; the prior year included losses from reclassifying certain loans to held-for-sale
•higher auto lease volume.
Noninterest expense efficiencieswas $20.5 billion, down 1%, compared to the prior year, reflecting:
•lower marketing expense as a result of lower investments in marketing campaigns and travel-related benefits, and
•lower FDIC charges.
structural expenses, including lower payment processing costs,
largely offset by
•higher volume- and revenue-related expense, including depreciation on auto lease assets, and investments in the business.
The provision for credit losses was $3.7$12.4 billion, an increase of 10%, reflecting:$8.6 billion from the prior year, driven by:
an increase in•additions to the allowance for credit card due tolosses as a result of the impact of the COVID-19 pandemic, consisting of: $6.6 billion for Card, $900 million for Home Lending, $649 million for CBB, and $560 million for Auto,
–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
•lower net charge-offs largely in Card, which reflected higher recoveries, and in Home Lending, reflecting higher recoveries on a decreaseloan sale in consumer, excludingthe first quarter of 2020.
The prior year included a $150 million net reduction in the allowance for 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.


losses.
27


Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Selected balance sheet data (period-end)
Total assets$480,325 $525,223 (9)%$480,325 $525,223 (9)%
Loans:
Consumer & Business Banking47,077 (e)26,699 76 47,077 (e)26,699 76 
Home Lending(a)(b)
188,561 213,901 (12)188,561 213,901 (12)
Card140,377 159,571 (12)140,377 159,571 (12)
Auto62,304 61,410 1 62,304 61,410 1 
Total loans438,319 461,581 (5)438,319 461,581 (5)
Deposits900,920 701,111 28 900,920 701,111 28 
Equity52,000 52,000 — 52,000 52,000 — 
Selected balance sheet data (average)
Total assets$483,478 $530,649 (9)$499,551 $537,044 (7)
Loans:
Consumer & Business Banking47,102 26,550 77 38,552 26,537 45 
Home Lending(a)(c)
192,172 226,139 (15)200,980 235,292 (15)
Card140,386 158,168 (11)148,445 154,375 (4)
Auto60,345 61,371 (2)60,514 62,118 (3)
Total loans440,005 472,228 (7)448,491 478,322 (6)
Deposits887,138 693,943 28 817,848 688,663 19 
Equity52,000 52,000 — 52,000 52,000 — 
Headcount(d)
121,959 123,532 (1)%121,959 123,532 (1)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation, including a decrease to period-end assets and headcount of $7.3 billion and 4,155, respectively, as of September 30, 2019.
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)At September 30, 2020 and 2019, Home Lending loans held-for-sale and loans at fair value were $10.0 billion and $15.4 billion, respectively.
(c)Average Home Lending loans held-for sale and loans at fair value were $9.2 billion and $18.2 billion for the three months ended September 30, 2020 and 2019, respectively, and were $11.2 billion and $12.3 billion for the nine months ended September 30, 2020 and 2019, respectively.
(d)During the second and third quarter of 2020, certain technology and support functions, comprising approximately 850 and 800 staff, respectively, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.
(e)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
28

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 Banking26,699
 26,451
 1
 26,699
 26,451
 1
Home equity31,552
 37,461
 (16) 31,552
 37,461
 (16)
Residential mortgage171,787
 205,389
 (16) 171,787
 205,389
 (16)
Home Lending203,339
 242,850
 (16) 203,339
 242,850
 (16)
Card159,571
 147,881
 8
 159,571
 147,881
 8
Auto61,410
 63,619
 (3) 61,410
 63,619
 (3)
Total loans451,019
 480,801
 (6) 451,019
 480,801
 (6)
Core loans405,662
 425,917
 (5) 405,662
 425,917
 (5)
Deposits701,170
 677,260
 4
 701,170
 677,260
 4
Equity52,000
 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 Banking26,550
 26,351
 1
 26,537
 26,104
 2
Home equity32,215
 38,211
 (16) 33,694
 39,951
 (16)
Residential mortgage181,157
 204,689
 (11) 191,881
 201,665
 (5)
Home Lending213,372
 242,900
 (12) 225,575
 241,616
 (7)
Card158,168
 146,272
 8
 154,375
 143,986
 7
Auto61,371
 64,060
 (4) 62,118
 65,096
 (5)
Total loans459,461
 479,583
 (4) 468,605
 476,802
 (2)
Core loans413,036
 422,582
 (2) 419,851
 415,662
 1
Deposits693,980
 674,211
 3
 688,676
 669,244
 3
Equity52,000
 51,000
 2
 52,000
 51,000
 2
            
Headcount127,687
 129,891
 (2)% 127,687
 129,891
 (2)%
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratio data)20202019Change20202019Change
Credit data and quality statistics
Nonaccrual loans(a)(b)(c)
$5,159 (f)$3,109 66 %$5,159 (f)$3,109 66 %
Net charge-offs/(recoveries)
Consumer & Business Banking53 79 (33)187 204 (8)
Home Lending8 (42)NM(119)(75)(59)
Card1,028 1,175 (13)3,519 3,617 (3)
Auto5 49 (90)98 149 (34)
Total net charge-offs/(recoveries)$1,094 $1,261 (13)$3,685 $3,895 (5)
Net charge-off/(recovery) rate
Consumer & Business Banking0.45 %(g)1.18 %0.65 %(g)1.03 %
Home Lending0.02(0.08)(0.08)(0.04)
Card2.92 2.953.17 3.13
Auto0.03 0.320.22 0.32
Total net charge-off/(recovery) rate1.01 %1.10 %1.13 1.12
30+ day delinquency rate
Home Lending(d)(e)
1.62 %(h)1.63 %1.62 %(h)1.63 %
Card1.57 (h)1.84 1.57 (h)1.84 
Auto0.54 (h)0.88 0.54 (h)0.88 
90+ day delinquency rate — Card0.69 %(h)0.90 %0.69 %(h)0.90 %
Allowance for loan losses
Consumer & Business Banking$1,370 $746 84 $1,370 $746 84 
Home Lending2,685 2,159 24 2,685 2,159 24 
Card17,800 5,583 219 17,800 5,583 219 
Auto1,044 465 125 1,044 465 125 
Total allowance for loan losses$22,899 $8,953 156 %$22,899 $8,953 156 %

Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Refer to Note 1 for further information.
(a)At September 30, 2020, nonaccrual loans included $1.5 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(b)At September 30, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $851 million and $1.6 billion, respectively. Prior-period amount has been revised to conform with the current presentation, refer to footnote (c) below for additional information. These amounts have been excluded based upon the government guarantee.
(c)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(d)At September 30, 2020, the 30+ day delinquency rates included PCD loans. The rate prior to January 1, 2020 was revised to include the impact of PCI loans.
(e)At September 30, 2020 and 2019, excluded mortgage loans insured by U.S. government agencies of $1.1 billion and $2.7 billion, respectively, that are 30 or more days past due. Prior-period amount has been revised to conform with the current presentation, refer to footnote (c) above for additional information. These amounts have been excluded based upon the government guarantee.
(f)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Refer to Consumer Credit Portfolio on pages 62-66 for further information on consumer payment assistance activity. Includes loans to customers that have exited COVID-19 payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lower of amortized cost or fair value of the underlying collateral less costs to sell.
(g)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
(h)At September 30, 2020, the principal balance of loans in Home Lending, Card and Auto under payment deferral programs offered in response to the COVID-19 pandemic were $10.2 billion, $368 million and $411 million, respectively. Loans that are performing according to their modified terms are generally not considered delinquent. Refer to Consumer Credit Portfolio on pages 62-66 for further information on consumer payment assistance activity.
29


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)20202019Change20202019Change
Business Metrics
Number of branches4,960 4,949 — %4,960 4,949 — %
Active digital customers (in thousands)(a)
54,745 51,843 6 54,745 51,843 6 
Active mobile customers (in thousands)(b)
40,143 36,510 10 40,143 36,510 10 
Debit and credit card sales volume$278.2 $282.2 (1)$781.8 $818.8 (5)
Consumer & Business Banking
Average deposits$865.9 $678.3 28 $799.6 $674.5 19 
Deposit margin1.43 %2.47 %1.65 %2.56 %
Business banking origination volume$1.4 (f)$1.6 (13)$25.9 (f)$4.8 443 
Client investment assets376.1 337.9 11 376.1 337.9 11 
Home Lending
Mortgage origination volume by channel
Retail$20.7 $14.2��46 $52.8 $34.6 53 
Correspondent8.3 18.2 (54)28.5 37.3 (24)
Total mortgage origination volume(c)
$29.0 $32.4 (10)$81.3 $71.9 13 
Total loans serviced (period-end)$654.0 $774.8 (16)$654.0 $774.8 (16)
Third-party mortgage loans serviced (period-end)454.8 535.8 (15)454.8 535.8 (15)
MSR carrying value (period-end)3.0 4.4 (32)3.0 4.4 (32)
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)0.66 %0.82 %0.66 %0.82 %
MSR revenue multiple(d)
2.28 x2.41 x2.28 x2.34 x
Credit Card
Credit card sales volume, excluding Commercial Card$178.1 $193.6 (8)$505.7 $558.6 (9)
Net revenue rate(e)
10.96 %10.40 %10.82 %10.42 %
Auto
Loan and lease origination volume$11.4 $9.1 25 $27.4 $25.5 7 
Average auto operating lease assets21.7 21.8 — %22.4 21.3 5 %
(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 $36.2 billion and $35.8 billion for the three months ended September 30, 2020 and 2019, respectively, and $96.4 billion and $78.5 billion for the nine months ended September 30, 2020 and 2019, respectively.
(d)Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).
(e)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
(f)Included $396 million and $21.9 billion of origination volume under the PPP for the three and nine months ended September 30, 2020, respectively. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
30
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 Banking79
 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
Card1,175
 1,073
 10
 3,617
 3,407
 6
Auto49
 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 Banking1.18 % 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)  
Card2.95
 2.91
   3.13
 3.16
  
Auto0.32
 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%  
Card1.84
 1.75
   1.84
 1.75
  
Auto0.88
 0.82
   0.88
 0.82
  
            
90+ day delinquency rate — Card0.90
 0.85
   0.90
 0.85
  
            
Allowance for loan losses           
Consumer & Business Banking$746
 $796
 (6) $746
 $796
 (6)
Home Lending, excluding PCI loans903
 1,003
 (10) 903
 1,003
 (10)
Home Lending — PCI loans(c)
1,256
 1,824
 (31) 1,256
 1,824
 (31)
Card5,583
 5,034
 11
 5,583
 5,034
 11
Auto465
 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.


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 branches4,949
 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 margin2.47% 2.43%   2.56% 2.33%  
Business banking origination volume$1.6
 $1.6
 (5) $4.8
 $5.2
 (8)
Client investment assets337.9
 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
Correspondent18.2
 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)
2.41x 3.49x   2.34x 3.49x  
            
Card, excluding Commercial Card           
Credit card sales volume$193.6
 $176.0
 10
 $558.6
 $507.1
 10
            
Card Services           
Net revenue rate11.40% 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 assets21.8
 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).


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

Refer to pages 66–70 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 173198 for a further discussion of the business profile of CIB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue
Investment banking fees$2,165 $1,981 9 %$6,919 $5,671 22 %
Principal transactions3,990 3,418 17 14,578 11,467 27 
Lending- and deposit-related fees(a)
546 398 37 1,496 1,206 24 
Asset management, administration and commissions(a)
1,086 1,160 (6)3,493 3,339 5 
All other income288 397 (27)703 1,167 (40)
Noninterest revenue8,075 7,354 10 27,189 22,850 19 
Net interest income3,428 2,168 58 10,614 6,537 62 
Total net revenue(b)
11,503 9,522 21 37,803 29,387 29 
Provision for credit losses(81)92 NM3,307 179 NM
Noninterest expense
Compensation expense2,651 2,873 (8)9,654 8,803 10 
Noncompensation expense3,146 2,631 20 8,803 7,991 10 
Total noninterest expense5,797 5,504 5 18,457 16,794 10 
Income before income tax expense5,787 3,926 47 16,039 12,414 29 
Income tax expense1,483 1,095 35 4,283 3,377 27 
Net income$4,304 $2,831 52 %$11,756 $9,037 30 %
Financial ratios
Return on equity21 %13 %19 %14 %
Overhead ratio50 58 49 57 
Compensation expense as percentage of total net revenue23 30 26 30 
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)Includes tax-equivalent adjustments, predominantly due to income tax credits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; and tax-exempt income from municipal bonds of $641 million and $527 million for the three months ended September 30, 2020 and 2019, respectively, and $2.0 billion and $1.6 billion for the nine months ended September 30, 2020 and 2019, respectively.
31


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 transactions3,418
 3,091
 11
 11,466
 10,786
 6
Lending- and deposit-related fees360
 373
 (3) 1,095
 1,136
 (4)
Asset management, administration and commissions1,197
 1,130
 6
 3,447
 3,416
 1
All other income226
 88
 157
 649
 958
 (32)
Noninterest revenue7,182
 6,505
 10
 22,328
 21,954
 2
Net interest income2,156
 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 losses92
 (42) NM
 179
 (142) NM
            
Noninterest expense           
Compensation expense2,734
 2,402
 14
 8,381
 8,158
 3
Noncompensation expense2,614
 2,773
 (6) 7,907
 8,079
 (2)
Total noninterest expense5,348
 5,175
 3
 16,288
 16,237
 —
Income before income tax expense3,898
 3,672
 6
 12,360
 13,116
 (6)
Income tax expense1,089
 1,046
 4
 3,365
 3,318
 1
Net income$2,809
 $2,626
 7 % $8,995
 $9,798
 (8)%
Financial ratios           
Return on equity13% 14%   14% 18%  
Overhead ratio57
 59
   57
 56
  
Compensation expense as percentage of total net revenue29
 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)20202019Change20202019Change
Revenue by business
Investment Banking$2,087 $1,871 12 %$6,374 $5,392 18 %
Wholesale Payments1,289 1,361 (5)4,004 4,178 (4)
Lending333 253 32 953 771 24 
Total Banking3,709 3,485 6 11,331 10,341 10 
Fixed Income Markets4,597 3,557 29 16,928 10,972 54 
Equity Markets1,999 1,517 32 6,616 4,986 33 
Securities Services1,029 1,034 — 3,200 3,093 3 
Credit Adjustments & Other(a)
169 (71)NM(272)(5)NM
Total Markets & Securities Services7,794 6,037 29 26,472 19,046 39 
Total net revenue$11,503 $9,522 21 %$37,803 $29,387 29 %
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 Services1,101
 1,183
 (7) 3,383
 3,480
 (3)
Lending329
 331
 (1) 1,006
 954
 5
Total Banking3,301
 3,245
 2
 9,781
 9,701
 1
Fixed Income Markets3,557
 2,844
 25
 10,972
 10,850
 1
Equity Markets1,517
 1,595
 (5) 4,986
 5,571
 (11)
Securities Services1,034
 1,057
 (2) 3,093
 3,219
 (4)
Credit Adjustments & Other(a)
(71) 64
 NM
 (5) (130) 96
Total Markets & Securities Services6,037
 5,560
 9
 19,046
 19,510
 (2)
Total net revenue$9,338
 $8,805
 6 % $28,827
 $29,211
 (1)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(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
(a)Includes credit valuation adjustments (“CVA”) managed centrally within CIB and funding valuation adjustments (“FVA”) on derivatives and certain components of fair value option elected liabilities, which are primarily reported in principal transactions revenue. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets.


Quarterly results
Net income was $2.8$4.3 billion, up 7%52%.
Net revenue was $9.3$11.5 billion, up 21%.
Banking revenue was $3.7 billion, up 6%.
Banking revenue was $3.3 billion, up 2%.
•Investment Banking revenue was $1.9$2.1 billion, up 8%12%, predominantly driven by higher debtInvestment Banking fees, up 9%, reflecting higher equity and equitydebt underwriting fees, partially offset by lower advisory fees. The Firm maintained its #1 ranking for Global Investment Banking fees, with overallaccording to Dealogic.
–Equity underwriting fees were $732 million, up 42%, primarily in the follow-on offerings and IPO markets due to increased industry-wide fees.
–Debt underwriting fees were $1.0 billion, up 5%, driven by wallet share gains according to Dealogic.despite decreased industry-wide fees.
–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–Advisory fees were $428 million, down 15%, driven by a lower number of completed transactions associated in part with the lower level of announced deal volumes in the first half of the year.
•Wholesale Payments revenue was $1.1$1.3 billion, down 7%5%, predominantly driven by deposit margin compression partiallyand a reporting reclassification for certain expenses which are now reported as a reduction of revenue in Merchant Services, largely offset by fee growth andthe impact of higher deposit balances.
•Lending revenue was $329$333 million, down 1%.up 32%, predominantly driven by higher net interest income reflecting overall spread widening and higher loan balances.
Markets & Securities Services revenue was $6.0$7.8 billion, up 9%29%. Markets revenue was $5.1$6.6 billion, up 14%30%.
•Fixed Income Markets revenue was $3.6$4.6 billion, up 25% compared to the prior year which reflected less favorable market conditions. The current quarter results were29%, driven by strong client activityperformance across products, primarily in Rates, agency mortgage trading withinCommodities, Credit, and Securitized Products and Commodities.Products.
•Equity Markets revenue was $1.5$2.0 billion, down 5% compared to a strong prior year. The current quarter results wereup 32%, 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.strong performance across products.
•Securities Services revenue was $1.0 billion, down 2%, withflat compared to the prior year, as deposit margin compression was offset by balance growth.
•Credit Adjustments & Other was a gain of $169 million, largely driven by funding and credit spread tightening on derivatives.
Noninterest expense was $5.8 billion, up 5%, predominantly driven by higher legal expense and volume-related expense, largely offset by organic growth.lower revenue-related compensation expense and structural expense.
The provision for credit losses was $92a net benefit of $81 million, largely driven by a net addition toreduction in the allowance for credit losses related to select emerging market client downgrades. Theacross multiple sectors, compared with an expense of $92 million in 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.
Year-to-date results
Net income was $9.0$11.8 billion, down 8%up 30%.
Net revenue was $28.8$37.8 billion, down 1%up 29%.
Banking revenue was $9.8$11.3 billion, up 1% compared to the prior year.10%.
•Investment Banking revenue was $5.4$6.4 billion, up 2%18%, withdriven by higher Investment Banking fees, up 22%, reflecting higher equity and debt underwriting predominantlyfees, partially offset by lower advisory and equity underwriting fees. The Firm maintained its #1 ranking for Global Investment Banking fees, with overallaccording to Dealogic.
–Equity underwriting fees were $2.0 billion, up 59%, primarily in follow-on offerings and convertible securities markets due to increased industry-wide fees.
–Debt underwriting fees were $3.3 billion, up 23%, driven by increased industry-wide fees and wallet share gains according to Dealogic.in investment-grade and high-yield bonds. The increased activity resulted in part from clients seeking liquidity in the first half of the year as a result of the COVID-19 pandemic.
–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
32


–Advisory fees of $1.5 billion were down 8%, driven by a lower number of completed transactions.
•Wholesale payments revenue was $3.4$4.0 billion, down 3%4%, withpredominantly driven by a reporting reclassification for certain expenses which are now reported as a reduction of revenue in Merchant Services. In addition, the impact of deposit margin compression was predominantly offset by fee growth and higher deposit balances.
•Lending revenue was $1.0 billion,$953 million, up 5%24%, predominantly driven by higher net interest income reflecting growth inoverall spread widening and higher loan balances.
Markets & Securities Services revenue was $19.0$26.5 billion, down 2%up 39%. Markets revenue was $16.0$23.5 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.up 48%.
•Fixed Income Markets revenue was $11.0$16.9 billion, up 1% reflecting higher revenue54%, driven by strong client activity across products primarily in agency mortgage trading within Securitized Products and Commodities partially offset by lower revenue inRates, Credit, Currencies & Emerging Markets.Markets, and Securitized Products.
•Equity Markets revenue was $5.0$6.6 billion, down 11% compared to a strong prior year, predominantlyup 33%, driven by lowerstrong client activity in derivatives.across products.
•Securities Services revenue was $3.1$3.2 billion, down 4%up 3%, predominantly driven by deposit margin compressionbalance and the impact of a business exit partiallyfee growth largely offset by organic growth.deposit margin compression.
•Credit Adjustments & Other was a net loss of $5$272 million, compared with a lossdriven by losses on certain components of $130 million infair value option elected liabilities, as well as the prior year.impact of funding spread widening on derivatives.
Noninterest expense was $18.5 billion, up 10%, predominantly driven by higher revenue-related compensation expense and legal expense.
The provision for credit losses was $3.3 billion, compared with $179 million reflecting select C&I client downgrades including those in an emerging market.the prior year. The prior yearincrease was a benefit of $142 million, primarily driven by loan salesnet additions to the allowance for credit losses as a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Refer to Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77–78 for further discussions of the credit portfolios and the allowance for credit losses.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Selected balance sheet data (period-end)
Assets$1,089,293 $1,030,396 6 %$1,089,293 $1,030,396 6 %
Loans:
Loans retained(a)
126,841 118,290 7 126,841 118,290 7 
Loans held-for-sale and loans at fair value(b)
33,046 32,563 1 33,046 32,563 1 
Total loans159,887 150,853 6 159,887 150,853 6 
Equity80,000 80,000 — 80,000 80,000 — 
Selected balance sheet data (average)
Assets$1,100,657 $1,011,246 9 $1,117,035 $993,292 12 
Trading assets-debt and equity instruments(b)
425,789 387,377 10 415,453 377,976 10 
Trading assets-derivative receivables78,339 48,266 62 70,091 49,221 42 
Loans:
Loans retained(a)
$131,187 $119,007 10 $137,996 $123,368 12 
Loans held-for-sale and loans at fair value(b)
30,205 32,545 (7)32,974 32,611 1 
Total loans$161,392 $151,552 6 $170,970 $155,979 10 
Equity80,000 80,000 — 80,000 80,000 — 
Headcount61,830 60,028 3 %61,830 60,028 3 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation, including an increase to period-end assets and headcount of $7.3 billion and 4,155, respectively, as of September 30, 2019.
(a)Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.
(b) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other activity relatedassets. Prior-period amounts have been revised to conform with the current presentation.
33


Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ratios)20202019Change20202019Change
Credit data and quality statistics
Net charge-offs/(recoveries)$23 $38 (39)%$282 $140 101 %
Nonperforming assets:
Nonaccrual loans:
Nonaccrual loans retained(a)
$1,178 $712 65 %$1,178 $712 65 
Nonaccrual loans held-for-sale and loans at fair value(b)(c)
2,111 902 134 2,111 902 134 
Total nonaccrual loans3,289 1,614 104 3,289 1,614 104 
Derivative receivables140 26 438 140 26 438 
Assets acquired in loan satisfactions88 75 17 88 75 17 
Total nonperforming assets$3,517 $1,715 105 $3,517 $1,715 105 
Allowance for credit losses:
Allowance for loan losses$2,863 $1,171 144 $2,863 $1,171 144 
Allowance for lending-related commitments1,706 824 107 1,706 824 107 
Total allowance for credit losses$4,569 $1,995 129 %$4,569 $1,995 129 %
Net charge-off/(recovery) rate(d)
0.07 %0.13 %0.27 %0.15 %
Allowance for loan losses to period-end loans retained2.26 0.99 2.26 0.99 
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(e)
3.15 1.33 3.15 1.33 
Allowance for loan losses to nonaccrual loans retained(a)
243 164 243 164 
Nonaccrual loans to total period-end loans(b)
2.06 %1.07 %2.06 %1.07 %
(a)Allowance for loan losses of $320 million and $207 million were held against these nonaccrual loans at September 30, 2020 and 2019, respectively.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(c)At September 30, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $297 million and $116 million, respectively. These amounts have been excluded based upon the government guarantee.
(d)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.
(e)Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a single namenon-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.

34


Investment banking fees
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Advisory$428 $506 (15)%$1,533 $1,675 (8)%
Equity underwriting732 514 42 2,040 1,284 59 
Debt underwriting(a)
1,005 961 5 3,346 2,712 23 
Total investment banking fees$2,165 $1,981 9 %$6,919 $5,671 22 %
(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 2019
2020201920202019
RankShareRankShareRankShareRankShareRankShare
Based on fees(a)
M&A(b)
Global#1 9.2 %#2 8.0 %#2 9.1 %#2 8.8 %#2 9.0 %
U.S.1 11.4 3 8.3 2 9.4 2 9.0 2 9.2 
Equity and equity-related(c)
Global3 7.7 1 12.0 2 9.5 1 10.2 1 9.3 
U.S.2 10.4 1 17.5 2 11.8 1 13.6 2 13.2 
Long-term debt(d)
Global1 8.3 1 8.7 1 9.1 1 7.9 1 7.8 
U.S.1 11.6 1 13.8 1 12.6 1 12.3 1 12.0 
Loan syndications
Global1 13.5 1 9.7 1 11.3 1 10.6 1 10.1 
U.S.1 18.3 1 12.0 1 12.8 1 12.9 1 12.5 
Global investment banking fees(e)
#1 8.7 %#1 9.2 %#1 9.4 %#1 9.1 %#1 8.9 %
(a)Source: Dealogic as of October 1, 2020. Reflects the ranking of revenue wallet and market share.
(b)Global M&A excludes any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the Oil & Gas portfolio, partially offset by other net portfolio activity. U.S.
Noninterest expense was $16.3 billion, flat compared to the prior year reflecting higher volume-related expenses(c)Global equity and investments, including front office hires, as well as technology staff, predominantly offset by lower FDIC chargesequity-related ranking includes rights offerings and revenue-related compensation expense.
Chinese A-Shares.

(d)Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, ABS and mortgage-backed securities (“MBS”); and exclude money market, short-term debt, and U.S. municipal securities.
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 value8,324
 6,133
 36
 8,324
 6,133
 36
Total loans126,614
 123,217
 3
 126,614
 123,217
 3
Core loans126,445
 122,953
 3
 126,445
 122,953
 3
Equity80,000
 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 instruments415,450
 349,390
 19
 406,304
 354,270
 15
Trading assets-derivative receivables48,266
 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 value8,344
 7,328
 14
 8,239
 6,263
 32
Total loans$127,351
 $122,718
 4
 $131,607
 $119,184
 10
Core loans127,187
 122,442
 4
 131,436
 118,877
 11
Equity80,000
 70,000
 14
 80,000
 70,000
 14
Headcount55,873
 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 loans974
 327
 198
 974
 327
 198
Derivative receivables26
 90
 (71) 26
 90
 (71)
Assets acquired in loan satisfactions75
 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 commitments824
 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 retained0.99
 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 loans0.77% 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.

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 underwriting514
 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)
                   
Global1
 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)
                   
Global1
 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                   
Global1
 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.

(e)Global investment banking fees exclude money market, short-term debt and shelf deals.
35


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 56 and 67 for a description of the composition of these income statement line items. Refer to Markets revenue on page 69 of JPMorgan Chase’s 20182019 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,
20202019

(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactions$2,411 $1,402 $3,813 $2,292 $1,263 $3,555 
Lending- and deposit-related fees62 3 65 51 1 52 
Asset management, administration and commissions100 437 537 110 472 582 
All other income138 (33)105 108 54 162 
Noninterest revenue2,711 1,809 4,520 2,561 1,790 4,351 
Net interest income1,886 190 2,076 996 (273)723 
Total net revenue$4,597 $1,999 $6,596 $3,557 $1,517 $5,074 
Nine months ended September 30,Nine months ended September 30,
20202019

(in millions)		Fixed Income MarketsEquity
Markets		Total
Markets		Fixed Income MarketsEquity
Markets		Total
Markets
Principal transactions$10,205 $4,862 $15,067 $7,205 $4,428 $11,633 
Lending- and deposit-related fees157 7 164 149 5 154 
Asset management, administration and commissions304 1,542 1,846 310 1,359 1,669 
All other income315 (56)259 500 31 531 
Noninterest revenue10,981 6,355 17,336 8,164 5,823 13,987 
Net interest income5,947 261 6,208 2,808 (837)1,971 
Total net revenue$16,928 $6,616 $23,544 $10,972 $4,986 $15,958 
 Three months ended September 30, Three months ended September 30,
 2019 2018

(in millions)		Fixed Income MarketsEquity MarketsTotal Markets Fixed Income MarketsEquity MarketsTotal Markets
Principal transactions$2,292
$1,263
$3,555
 $1,849
$1,252
$3,101
Lending- and deposit-related fees51
1
52
 51
1
52
Asset management, administration and commissions110
472
582
 96
446
542
All other income108
54
162
 33
7
40
Noninterest revenue2,561
1,790
4,351
 2,029
1,706
3,735
Net interest income996
(273)723
 815
(111)704
Total net revenue$3,557
$1,517
$5,074
 $2,844
$1,595
$4,439
CIB Markets had no loss days in the third quarter of 2020 and three loss days for the nine months ended September 30, 2020. Loss days represent the number of days for which CIB Markets, which consists of Fixed Income Markets and Equity Markets, posted losses to total net revenue. The loss days determined under this measure differ from the measure used to determine backtesting gains and losses. Daily backtesting gains and losses include positions in the Firm’s Risk Management value-at-risk (“VaR”) measure and exclude select components of total net revenue, which may more than offset backtesting gains or losses on a particular day. For more information on daily backtesting gains and losses, refer to the VaR discussion on pages 80–82.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where otherwise noted)20202019Change20202019Change
Assets under custody (“AUC”) by asset class (period-end)
(in billions):
Fixed Income$15,360 $13,349 15 %$15,360 $13,349 15 %
Equity9,914 9,301 7 9,914 9,301 7 
Other(a)
3,354 3,045 10 3,354 3,045 10 
Total AUC$28,628 $25,695 11 $28,628 $25,695 11 
Merchant processing volume (in billions)(b)
$406.1 $380.5 7 $1,152.8 $1,108.6 4 
Client deposits and other third-party liabilities (average)(c)
$634,961 $471,328 35 %$585,955 $457,973 28 %
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.
(b)Represents total merchant processing volume across CIB, CCB and CB.
(c)Client deposits and other third-party liabilities pertain to the Wholesale Payments and Securities Services businesses.
36


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

(in millions)		Fixed Income MarketsEquity MarketsTotal Markets Fixed Income MarketsEquity MarketsTotal Markets
Principal transactions$7,205
$4,428
$11,633
 $6,795
$4,528
$11,323
Lending- and deposit-related fees149
5
154
 147
4
151
Asset management, administration and commissions310
1,359
1,669
 313
1,364
1,677
All other income500
31
531
 764
18
782
Noninterest revenue8,164
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
International metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except where
otherwise noted)		2020
2019(c)
Change2020
2019(c)
Change
Total net revenue(a)
Europe/Middle East/Africa$3,126 $2,873 9 %$10,692 $8,951 19 %
Asia-Pacific1,909 1,389 37 5,881 4,072 44 
Latin America/Caribbean423 399 6 1,517 1,184 28 
Total international net revenue5,458 4,661 17 18,090 14,207 27 
North America6,045 4,861 24 19,713 15,180 30 
Total net revenue$11,503 $9,522 21 $37,803 $29,387 29 
Loans retained (period-end)(a)
Europe/Middle East/Africa$26,945 $27,234 (1)$26,945 $27,234 (1)
Asia-Pacific12,734 14,402 (12)12,734 14,402 (12)
Latin America/Caribbean6,306 5,782 9 6,306 5,782 9 
Total international loans45,985 47,418 (3)45,985 47,418 (3)
North America80,856 70,872 14 80,856 70,872 14 
Total loans retained$126,841 $118,290 7 $126,841 $118,290 7 
Client deposits and other third-party liabilities (average)(b)
Europe/Middle East/Africa$212,635 $175,354 21 $206,629 $171,601 20 
Asia-Pacific128,519 91,556 40 119,417 87,868 36 
Latin America/Caribbean39,674 30,164 32 35,638 28,845 24 
Total international$380,828 $297,074 28 $361,684 $288,314 25 
North America254,133 174,254 46 224,271 169,659 32 
Total client deposits and other third-party liabilities$634,961 $471,328 35 $585,955 $457,973 28 
AUC (period-end)(b)
(in billions)
North America$18,534 $16,146 15 $18,534 $16,146 15 
All other regions10,094 9,549 6 10,094 9,549 6 
Total AUC$28,628 $25,695 11 %$28,628 $25,695 11 %
(a)Declines in Markets net interest income were driven by higher funding costs.

In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. Prior-period amounts have been revised to conform with the current presentation.
(a)Total net revenue and loans retained (excluding loans held-for-sale and loans at fair value) are based on the location of the trading desk, booking location, or domicile of the client, as applicable.
(b)Client deposits and other third-party liabilities pertaining to the Wholesale Payments and Securities Services businesses, and AUC, are based on the domicile of the client.
(c)Prior-period amounts have been revised to conform with the current presentation.
37

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%
Equity9,301
 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/Pacific1,428
 1,234
 16
 4,143
 3,997
 4
Latin America/Caribbean404
 318
 27
 1,205
 1,123
 7
Total international net revenue4,724
 4,325
 9
 14,303
 15,056
 (5)
North America4,614
 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/Pacific14,402
 16,907
 (15) 14,402
 16,907
 (15)
Latin America/Caribbean5,782
 6,097
 (5) 5,782
 6,097
 (5)
Total international loans43,991
 48,345
 (9) 43,991
 48,345
 (9)
North America74,299
 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/Pacific91,556
 81,771
 12
 87,866
 82,272
 7
Latin America/Caribbean30,165
 26,196
 15
 28,849
 26,477
 9
Total international$297,075
 $270,027
 10
 $288,316
 $270,851
 6
North America174,216
 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 regions9,549
 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.

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

Refer to pages 71-73 of JPMorgan Chase’s 2018 Form 10-K and Line of Business Metrics on page 174199 for a discussion of the business profile of CB.
Selected income statement data
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Revenue
Lending- and deposit-related fees(a)
$304 $228 33 %$862 $685 26 %
All other income(a)
457 438 4 1,335 1,337 — 
Noninterest revenue761 666 14 2,197 2,022 9 
Net interest income1,524 1,608 (5)4,658 4,950 (6)
Total net revenue(b)
2,285 2,274 — 6,855 6,972 (2)
Provision for credit losses(147)67 NM3,294 186 NM
Noninterest expense
Compensation expense492 454 8 1,394 1,341 4 
Noncompensation expense474 486 (2)1,459 1,468 (1)
Total noninterest expense966 940 3 2,853 2,809 2 
Income/(loss) before income tax expense/(benefit)1,466 1,267 16 708 3,977 (82)
Income tax expense/(benefit)378 324 17 164 972 (83)
Net income/(loss)$1,088 $943 15 %$544 $3,005 (82)%
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 revenue599
 576
 4
 1,806
 1,758
 3
Net interest income1,608
 1,695
 (5) 4,950
 4,995
 (1)
Total net revenue(b)
2,207
 2,271
 (3) 6,756
 6,753
 —
            
Provision for credit losses67
 (15) NM
 186
 23
 NM
            
Noninterest expense           
Compensation expense454
 432
 5
 1,341
 1,268
 6
Noncompensation expense427
 421
 1
 1,277
 1,273
 —
Total noninterest expense881
 853
 3
 2,618
 2,541
 3
            
Income before income tax expense1,259
 1,433
 (12) 3,952
 4,189
 (6)
Income tax expense322
 344
 (6) 966
 988
 (2)
Net income$937
 $1,089
 (14)% $2,986
 $3,201
 (7)%
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior-period revenue and expense amounts have been revised to conform with the current presentation.
(a)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
(a)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions (which are included in all other income) to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
(b)Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community development entities that provide loans to qualified businessesand in low-income communities,entities established for rehabilitation of historic properties, as well as tax-exempt income related to municipal financing activities of $114$82 million and $107$114 million for the three months ended September 30, 20192020 and 2018,2019, respectively, and $308$243 million and $316$308 million for the nine months ended September 30, 2020 and 2019, and 2018, respectively.
Quarterly results
Net income was $937 million, a decrease of 14%$1.1 billion, up 15%.
Net revenue was $2.2$2.3 billion, down 3%.flat compared to the prior year. Net interest income was $1.6$1.5 billion, down 5%, driven by lower deposit margins, partiallymargin compression, predominantly offset by higher deposit balances.balances and lending revenue. Noninterest revenue was $599$761 million, an increase of 4%up 14%, predominantly driven by stronghigher deposit related fees and investment banking performance due to increased equity underwriting and M&A activity.income.
Noninterest expense was $881$966 million, up 3%, predominantly driven by investments in the business, largely offset by lower FDIC charges.higher compensation expense.
The provision for credit losses was $67a net benefit of $147 million, driven by net reductions in the allowance for credit losses across multiple sectors, compared with a benefitan expense of $15$67 million in the prior year.
Year-to-date results
Net income was $3.0 billion, a decrease of 7%.$544 million, down 82%, driven by an increase in the provision for credit losses.
Net revenue of $6.8was $6.9 billion, was flat.down 2%. Net interest income was $5.0$4.7 billion, a decrease of 1%down 6%, driven by lower loan spreads and lower deposit balances,margin compression, largely offset by higher deposit margins.balances and lending revenue. Noninterest revenue was $1.8$2.2 billion, up 3%9%, driven by higher investment banking revenue, predominantlydeposit related fees and a gain on a strategic investment. The increase was partially offset by lower card income primarily due to increased equity underwritinglower volumes as a result of the COVID-19 pandemic and M&A activity.a $57 million markdown of a held-for-sale position.
Noninterest expense was $2.6$2.9 billion, an increase of 3%up 2%, predominantly driven by continued investments in the business, largely offset by lower FDIC charges.higher compensation expense.
38


The provision for credit losses was $3.3 billion, compared with $186 million largelyin the prior year. The increase was driven by a net additionadditions to the allowance for credit losses relatedas a result of the impact of the COVID-19 pandemic across multiple industry sectors.
Refer to select C&I client downgrades.
Credit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77–78 for further discussions of the credit portfolios and the allowance for credit losses.

Selected 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 services950
 1,021
 (7) 2,968
 3,019
 (2)
Investment banking(a)
226
 206
 10
 708
 644
 10
Other25
 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 Banking739
 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 equity16% 21%   17% 20%  
Overhead ratio40
 38
   39
 38
  
(a)CB product revenue consists of the following:
Includes CB’s share
Lending includes a variety of financing alternatives, which are primarily provided on a secured basis; collateral includes receivables, inventory, equipment, real estate or other assets. Products include term loans, revolving lines of credit, bridge financing, asset-based structures, leases, and standby letters of credit.
Wholesale payments includes revenue from investment bankinga broad range of products sold toand services that enable CB clients through the CIB.
to manage payments and receipts, as well as invest and manage funds.
(b)Refer to page 60
Investment banking includes revenue from a range of the 2018 Form 10-K for discussion of revenue sharing.
products providing CB clients with sophisticated capital-raising alternatives, as well as balance sheet and risk management tools through advisory, equity underwriting, and loan syndications. Revenue from Fixed Income and Equity Markets products used by CB clients is also included.
(c)Effective in the first quarter of 2019, client segment data
Other product revenue primarily includes Commercial Real Estate Banking which comprises the former Commercial Term Lending and Real Estate Banking client segments, andtax-equivalent adjustments generated from Community Development Banking (previously part of Other). The prior period amounts have been revised to conform with the current period presentation.activities and certain income derived from principal transactions.
Selected income statement data (continued)
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)20202019Change20202019Change
Revenue by product
Lending$1,138 $1,006 13 %$3,219 $3,030 6 %
Wholesale payments867 1,017 (15)2,775 3,184 (13)
Investment banking(a)
260 226 15 751 708 6 
Other20 25 (20)110 50 120 
Total Commercial Banking net revenue$2,285 $2,274 — $6,855 $6,972 (2)
Investment banking revenue, gross(b)
$840 $700 20 $2,377 $2,110 13 
Revenue by client segments
Middle Market Banking$877 $925 (5)$2,689 $2,860 (6)
Corporate Client Banking807 767 5 2,347 2,362 (1)
Commercial Real Estate Banking576 547 5 1,683 1,632 3 
Other25 35 (29)136 118 15 
Total Commercial Banking net revenue$2,285 $2,274 — %$6,855 $6,972 (2)%
Financial ratios
Return on equity19 %16 %2 %17 %
Overhead ratio42 41 42 40 
In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB and the revenue and expense of the business is reported across CCB, CIB and CB based primarily on client relationship. In conjunction with this realignment, treasury services product revenue has been renamed wholesale payments. Prior-period revenue and expense amounts have been revised to conform with the current presentation.
(a)Includes CB’s share of revenue from investment banking products sold to CB clients through the CIB.
(b)Refer to Business Segment Results on page 24 for discussion of revenue sharing.
39


Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Selected balance sheet data (period-end)
Total assets$228,587 $222,483 3 %$228,587 $222,483 3 %
Loans:
Loans retained214,352 209,448 2 214,352 209,448 2 
Loans held-for-sale and loans at fair value349 3,187 (89)349 3,187 (89)
Total loans$214,701 $212,635 1 $214,701 $212,635 1 
Equity22,000 22,000 — 22,000 22,000 — 
Period-end loans by client segment
Middle Market Banking$61,812 (a)$54,298 14 $61,812 (a)$54,298 14 
Corporate Client Banking49,857 55,976 (11)49,857 55,976 (11)
Commercial Real Estate Banking102,484 101,326 1 102,484 101,326 1 
Other548 1,035 (47)548 1,035 (47)
Total Commercial Banking loans$214,701 (a)$212,635 1 $214,701 (a)$212,635 1 
Selected balance sheet data (average)
Total assets$231,691 $218,620 6 $235,079 $218,560 8 
Loans:
Loans retained217,498 207,286 5 220,167 206,183 7 
Loans held-for-sale and loans at fair value629 963 (35)986 1,097 (10)
Total loans$218,127 $208,249 5 $221,153 $207,280 7 
Average loans by client segment
Middle Market Banking$63,029 $54,806 15 $61,789 $56,221 10 
Corporate Client Banking51,608 51,389 — 55,967 49,407 13 
Commercial Real Estate Banking102,905 101,044 2 102,650 100,663 2 
Other585 1,010 (42)747 989 (24)
Total Commercial Banking loans$218,127 $208,249 5 $221,153 $207,280 7 
Client deposits and other third-party liabilities$248,289 $172,714 44 $224,774 $169,427 33 
Equity22,000 22,000 — 22,000 22,000 — 
Headcount11,704 11,501 2 %11,704 11,501 2 %
(a)At September 30, 2020, total loans included $6.6 billion of loans under the PPP, of which $6.4 billion were in Middle Market Banking. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
40


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)20202019Change20202019Change
Credit data and quality statistics
Net charge-offs/(recoveries)$60 $45 33 %$239 $71 237 %
Nonperforming assets
Nonaccrual loans:
Nonaccrual loans retained(a)
$1,468 $659 123 %$1,468 $659 123 %
Nonaccrual loans held-for-sale and loans at fair value85 — NM85 — NM
Total nonaccrual loans$1,553 $659 136 $1,553 $659 136 
Assets acquired in loan satisfactions24 19 26 24 19 26 
Total nonperforming assets$1,577 $678 133 $1,577 $678 133 
Allowance for credit losses:
Allowance for loan losses$4,466 $2,759 62 $4,466 $2,759 62 
Allowance for lending-related commitments864 293 195 864 293 195 
Total allowance for credit losses$5,330 $3,052 75 %$5,330 $3,052 75 %
Net charge-off/(recovery) rate(b)
0.11 %0.09 %0.15 %0.05 %
Allowance for loan losses to period-end loans retained2.08 1.32 2.08 1.32 
Allowance for loan losses to nonaccrual loans retained(a)
304 419 304 419 
Nonaccrual loans to period-end total loans0.72 0.31 0.72 0.31 
(a)Allowance for loan losses of $367 million and $119 million was held against nonaccrual loans retained at September 30, 2020 and 2019, respectively.
(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.

41

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
 20192018Change
Selected balance sheet data (period-end)       
Total assets$222,483
$217,194
2 % $222,483
$217,194
2 %
Loans:       
Loans retained209,448
205,177
2
 209,448
205,177
2
Loans held-for-sale and loans at fair value3,187
405
NM
 3,187
405
NM
Total loans$212,635
$205,582
3
 $212,635
$205,582
3
Core loans212,514
205,418
3
 212,514
205,418
3
Equity22,000
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 Banking55,976
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 retained207,286
205,603
1
 206,183
203,950
1
Loans held-for-sale and loans at fair value963
1,617
(40) 1,097
1,139
(4)
Total loans$208,249
$207,220
—
 $207,280
$205,089
1
Core loans208,125
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 Banking51,389
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)
Equity22,000
20,000
10
 22,000
20,000
10
        
Headcount11,501
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.

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 satisfactions19
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 commitments293
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 loans0.31
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.


ASSET & WEALTH MANAGEMENT
Refer to pages 74–76 of JPMorgan Chase’s 20182019 Form 10-K and Line of Business Metrics on pages 174–175199-200 for a discussion of the business profile of AWM.
Selected income statement dataSelected income statement data   Selected income statement data
(in millions, except ratios)Three months ended September 30, Nine months ended September 30,(in millions, except ratios)Three months ended September 30,Nine months ended September 30,
2019
2018
Change
 2019
2018
Change
20202019Change20202019Change
Revenue     Revenue
Asset management, administration and commissions$2,574
$2,563
— % $7,558
$7,623
(1)%Asset management, administration and commissions$2,753 $2,574 7 %$8,048 $7,558 6 %
All other income139
117
19
 431
374
15
All other income134 139 (4)268 431 (38)
Noninterest revenue2,713
2,680
1
 7,989
7,997
—
Noninterest revenue2,887 2,713 6 8,316 7,989 4 
Net interest income855
879
(3) 2,627
2,640
—
Net interest income850 855 (1)2,637 2,627 — 
Total net revenue3,568
3,559
—
 10,616
10,637
—
Total net revenue3,737 3,568 5 10,953 10,616 3 
     
Provision for credit losses44
23
91
 48
40
20
Provision for credit losses(51)44 NM266 48 454 
     
Noninterest expense     Noninterest expense
Compensation expense1,391
1,391
—
 4,259
4,112
4
Compensation expense1,357 1,391 (2)4,083 4,259 (4)
Noncompensation expense1,231
1,194
3
 3,606
3,620
—
Noncompensation expense1,266 1,231 3 3,705 3,606 3 
Total noninterest expense2,622
2,585
1
 7,865
7,732
2
Total noninterest expense2,623 2,622 — 7,788 7,865 (1)
     
Income before income tax expense902
951
(5) 2,703
2,865
(6)Income before income tax expense1,165 902 29 2,899 2,703 7 
Income tax expense234
227
3
 655
616
6
Income tax expense288 234 23 700 655 7 
Net income$668
$724
(8) $2,048
$2,249
(9)Net income$877 $668 31 $2,199 $2,048 7 
     
Revenue by line of business     Revenue by line of business
Asset Management$1,816
$1,827
(1) $5,362
$5,440
(1)Asset Management$1,924 $1,816 6 $5,444 $5,362 2 
Wealth Management1,752
1,732
1
 5,254
5,197
1
Wealth Management1,813 1,752 3 5,509 5,254 5 
Total net revenue$3,568
$3,559
— % $10,616
$10,637
— %Total net revenue$3,737 $3,568 5 %$10,953 $10,616 3 %
     
Financial ratios     Financial ratios
Return on equity24%31%  25%32% Return on equity32 %24 %27 %25 %
Overhead ratio73
73
  74
73
 Overhead ratio70737174
Pre-tax margin ratio:     Pre-tax margin ratio:
Asset Management25
27
  25
27
 Asset Management30252725
Wealth Management25
26
  26
27
 Wealth Management33252626
Asset & Wealth Management25
27
  25
27
 Asset & Wealth Management31252625
Quarterly results
Net income was $668$877 million, a decrease of 8%up 31%.
Net revenue of $3.6was $3.7 billion, was flat.up 5%. Net interest income of $850 million was $855 million, down 3%, driven byrelatively flat, as deposit margin compression was predominantly offset by growth in average deposit and loan balances. Noninterest revenue was $2.9 billion, up 6%, predominantly driven by higher asset management fees due to strong cumulative net inflows into liquidity and long-term products and increased brokerage commissions on higher client-driven volume.
Revenue from Asset Management was $1.9 billion, up 6%, predominantly driven by asset management fees due to strong cumulative net inflows into liquidity products.
Revenue from Wealth Management was $1.8 billion, up 3%, predominantly driven by higher deposit and loan balances, increased brokerage commissions on higher client-driven volume, and higher asset management fees due to cumulative net inflows across all products, largely offset by deposit and loan growth. margin compression.
Noninterest revenueexpense of $2.6 billion was $2.7 billion, up 1%, driven by higher average market levels.flat.
The provision for credit losses was $44a benefit of $51 million, driven by net charge-offs, as well as net additions toa reduction in the allowance for loan losses predominantly duecredit losses.
Refer to loan growth.
Noninterest expense was $2.6 billion, an increaseCredit and Investment Risk Management on pages 60-79 and Allowance for Credit Losses on pages 77–78 for further discussions of 1%, predominantly driven by continued investments in technologythe credit portfolios and advisors, partially offset by lower distribution and legal fees.the allowance for credit losses.
Year-to-date results
Net income was $2.0$2.2 billion, a decreasean increase of 9%7%.
Net revenue was $11.0 billion, an increase of $10.6 billion was flat.3%. Net interest income of $2.6 billion, was flat reflecting higher deposit and loan growth,balances, offset by deposit margin compression. Noninterest revenue was $8.3 billion, up 4%, predominantly driven by higher asset management fees as a result of $8.0 billion was flat, reflecting a shiftcumulative net inflows into liquidity and long-term products as well as increased brokerage commissions on higher client-driven volume, partially offset by net valuation losses on certain investments, compared with gains in the mix towardprior year.
42


Revenue from Asset Management was $5.4 billion, up 2%, driven by higher asset management fees as a result of cumulative net inflows into liquidity products, largely offset by lower fee productsinvestment valuation gains.
Revenue from Wealth Management was $5.5 billion, up 5%, predominantly driven by higher deposit and loan balances as well as increased brokerage commissions on higher client-driven volume and higher asset management fees, largely offset by deposit margin compression.
Noninterest expense was $7.8 billion, a decrease of 1%, driven by lower brokerage activity,structural expense, predominantly offset by higher net investment valuation gains.investments, legal expense and volume- and revenue-related expense.
The provision for credit losses was $48$266 million, driven by net charge-offs, as well as net additions to the allowance for loancredit losses predominantly dueas a result of the impact of the COVID-19 pandemic.
Selected metrics
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except ranking data, headcount and ratios)20202019Change20202019Change
% of JPM mutual fund assets rated as 4- or 5-star(a)
54 %65 %54 %65 %
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)
1 year50 74 50 74 
3 years68 80 68 80 
5 years68 86 68 86 
Selected balance sheet data (period-end)(c)
Total assets$194,596 $174,226 12 %$194,596 $174,226 12 %
Loans175,264 153,245 14 175,264 153,245 14 
Deposits174,327 138,439 26 174,327 138,439 26 
Equity10,500 10,500 — 10,500 10,500 — 
Selected balance sheet data (average)(c)
Total assets$188,466 $171,121 10 $184,714 $168,688 10 
Loans170,139 150,486 13 165,152 147,481 12 
Deposits170,986 138,822 23 163,424 139,127 17 
Equity10,500 10,500 — 10,500 10,500 — 
Headcount(d)
22,004 24,228 (9)22,004 24,228 (9)
Number of Wealth Management client advisors2,968 2,872 3 2,968 2,872 3 
Credit data and quality statistics(c)
Net charge-offs/(recoveries)$2 $26 (92)$2 $27 (93)
Nonaccrual loans959 176 445 959 176 445 
Allowance for credit losses:
Allowance for loan losses$582 $350 66 $582 $350 66 
Allowance for lending-related commitments41 16 156 41 16 156 
Total allowance for credit losses$623 $366 70 %$623 $366 70 %
Net charge-off rate— %0.07 %— %0.02 %
Allowance for loan losses to period-end loans0.33 0.23 0.33 0.23 
Allowance for loan losses to nonaccrual loans61 199 61 199 
Nonaccrual loans to period-end loans0.55 0.11 0.55 0.11 
(a)Represents the Nomura “star rating” for Japan domiciled funds and Morningstar for all other domiciled funds. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(b)Quartile ranking sourced from Lipper, Morningstar, Nomura and Fund Doctor based on country of domicile. Includes only Asset Management retail open-ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds.
(c)Loans, deposits and related credit data and quality statistics relate to loan growth.the Wealth Management business.
Noninterest expense was $7.9 billion, an increase(d)During the second and third quarter of 2%, predominantly driven by continued investments in2020, certain technology and advisors, partially offset by lower distribution fees.


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 year74
65
  74
65
 
3 years80
64
  80
64
 
5 years86
83
  86
83
 
        
Selected balance sheet data (period-end)       
Total assets$174,226
$166,716
5 % $174,226
$166,716
5 %
Loans153,245
143,162
7
 153,245
143,162
7
Core loans153,245
143,162
7
 153,245
143,162
7
Deposits138,439
130,497
6
 138,439
130,497
6
Equity10,500
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
Loans150,486
140,558
7
 147,481
136,663
8
Core loans150,486
140,558
7
 147,481
136,663
8
Deposits138,822
133,021
4
 139,127
138,885
—
Equity10,500
9,000
17
 10,500
9,000
17
        
Headcount24,228
23,747
2
 24,228
23,747
2
        
Number of Wealth Management client advisors2,872
2,808
2
 2,872
2,808
2
        
Credit data and quality statistics       
Net charge-offs$26
$11
136
 $27
$7
286
Nonaccrual loans176
285
(38) 176
285
(38)
Allowance for credit losses:       
Allowance for loan losses$350
$317
10
 $350
$317
10
Allowance for lending-related commitments16
15
7
 16
15
7
Total allowance for credit losses$366
$332
10 % $366
$332
10 %
Net charge-off rate0.07%0.03%  0.02%0.01% 
Allowance for loan losses to period-end loans0.23
0.22
  0.23
0.22
 
Allowance for loan losses to nonaccrual loans199
111
  199
111
 
Nonaccrual loans to period-end loans0.11
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.

support functions, comprising approximately 850 and 800 staff, respectively, were transferred from AWM to CCB as part of the ongoing reorganization of the U.S. Wealth Management business.
43


Client assets
Client assets of $3.1$3.5 trillion and assets under management of $2.2$2.6 trillion were up 7%15% and 8%16%, respectively, predominantly driven by cumulative net inflows into long-termliquidity and liquiditylong term products as well as higher market levels globally.levels.
Client assets
As of September 30,
(in billions)20202019Change
Assets by asset class
Liquidity$674 $505 33 %
Fixed income663 590 12 
Equity509 437 16 
Multi-asset and alternatives749 714 5 
Total assets under management2,595 2,246 16 
Custody/brokerage/administration/deposits917 815 13 
Total client assets$3,512 $3,061 15 
Memo:
Alternatives client assets (a)
$195 $183 7 
Assets by client segment
Private Banking$698 $636 10 
Institutional1,233 1,029 20 
Retail664 581 14 
Total assets under management$2,595 $2,246 16 
Private Banking$1,577 $1,424 11 
Institutional1,266 1,051 20 
Retail669 586 14 
Total client assets$3,512 $3,061 15 %
Client assets   
 September 30,
(in billions)2019
2018
Change
Assets by asset class   
Liquidity$505
$463
9 %
Fixed income590
457
29
Equity437
452
(3)
Multi-asset and alternatives714
705
1
Total assets under management2,246
2,077
8
Custody/brokerage/administration/deposits815
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
Institutional1,029
945
9
Retail581
556
4
Total assets under management$2,246
$2,077
8
    
Private Banking$1,424
$1,339
6
Institutional1,051
967
9
Retail586
561
4
Total client assets$3,061
$2,867
7 %
(a)Represents assets under management, as well as client balances in brokerage accounts
(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)2020201920202019
Assets under management rollforward
Beginning balance$2,511 $2,178 $2,364 $1,987 
Net asset flows:
Liquidity(33)24 137 23 
Fixed income24 41 42 97 
Equity9 (2)19 (9)
Multi-asset and alternatives1 1 — (2)
Market/performance/other impacts83 4 33 150 
Ending balance, September 30$2,595 $2,246 $2,595 $2,246 
Client assets rollforward
Beginning balance$3,370 $2,998 $3,226 $2,733 
Net asset flows17 59 240 120 
Market/performance/other impacts125 4 46 208 
Ending balance, September 30$3,512 $3,061 $3,512 $3,061 
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:     
Liquidity24
14
 23
10
Fixed income41
3
 97
(9)
Equity(2)1
 (9)8
Multi-asset and alternatives1
4
 (2)29
Market/performance/other impacts4
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 flows59
33
 120
58
Market/performance/other impacts4
35
 208
20
Ending balance, September 30$3,061
$2,867
 $3,061
$2,867
44



International metrics
Three months ended September 30,Nine months ended September 30,
(in millions)20202019Change20202019Change
Total net revenue (a)
Europe/Middle East/Africa$755 $704 7 %$2,097 $2,113 (1)%
Asia-Pacific413 382 8 1,191 1,122 6 
Latin America/Caribbean199 180 11 585 541 8 
Total international net revenue1,367 1,266 8 3,873 3,776 3 
North America2,370 2,302 3 7,080 6,840 4 
Total net revenue(a)
$3,737 $3,568 5 %$10,953 $10,616 3 %

(a)Regional revenue is based on the domicile of the client.

As of September 30,As of September 30,
(in billions)20202019Change20202019Change
Assets under management
Europe/Middle East/Africa$481 $398 21 %$481 $398 21 %
Asia-Pacific203 184 10 203 184 10 
Latin America/Caribbean67 58 16 67 58 16 
Total international assets under management751 640 17 751 640 17 
North America1,844 1,606 15 1,844 1,606 15 
Total assets under management$2,595 $2,246 16 $2,595 $2,246 16 
Client assets
Europe/Middle East/Africa$578 $484 19 $578 $484 19 
Asia-Pacific295 258 14 295 258 14 
Latin America/Caribbean153 138 11 153 138 11 
Total international client assets1,026 880 17 1,026 880 17 
North America2,486 2,181 14 2,486 2,181 14 
Total client assets$3,512 $3,061 15 %$3,512 $3,061 15 %


45
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/Pacific376
377
—
 1,104
1,161
(5)
Latin America/Caribbean218
228
(4) 658
689
(4)
Total international net revenue1,266
1,282
(1) 3,776
3,945
(4)
North America2,302
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/Pacific183
164
12
 183
164
12
Latin America/Caribbean70
65
8
 70
65
8
Total international assets under management640
604
6
 640
604
6
North America1,606
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/Pacific253
228
11
 253
228
11
Latin America/Caribbean172
162
6
 172
162
6
Total international client assets880
825
7
 880
825
7
North America2,181
2,042
7
 2,181
2,042
7
Total client assets$3,061
$2,867
7% $3,061
$2,867
7%

CORPORATE
Refer to pages 77–78 of JPMorgan Chase’s 20182019 Form 10-K for a discussion of Corporate.
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions, except headcount)20202019Change20202019Change
Revenue
Principal transactions$87 $10 NM$(28)$(227)88 %
Investment securities gains466 78 497 %725 135 437 %
All other income(210)32 NM(90)95 NM
Noninterest revenue343 120 186 %607 3 NM
Net interest income(682)572 NM(1,534)1,436 NM
Total net revenue(a)
(339)692 NM(927)1,439 NM
Provision for credit losses96 — NM108 — NM
Noninterest expense(b)
719 281 156 %1,012 724 40 
Income/(loss) before income tax expense/(benefit)(1,154)411 NM(2,047)715 NM
Income tax expense/(benefit)(455)18 NM(655)(757)13 %
Net income/(loss)$(699)$393 NM$(1,392)$1,472 NM
Total net revenue
Treasury and CIO$(243)$801 NM$(745)$1,930 NM
Other Corporate(96)(109)12 (182)(491)63 
Total net revenue$(339)$692 NM$(927)$1,439 NM
Net income/(loss)
Treasury and CIO$(349)$576 NM$(816)$1,372 NM
Other Corporate(350)(183)(91)(576)100 NM
Total net income/(loss)$(699)$393 NM$(1,392)$1,472 NM
Total assets (period-end)$1,253,275 $812,333 54 $1,253,275 $812,333 54 
Loans (period-end)1,569 1,705 (8)1,569 1,705 (8)
Headcount38,861 38,155 2 %38,861 38,155 2 %
Selected income statement and balance sheet data      
 As of or for the three months
ended September 30,		 As of or for the nine months
ended September 30,
(in millions, except headcount)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 income32
30
 7% 95
 373
 (75)
Noninterest revenue120
(177) NM
 3
 (220) NM
Net interest income572
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
Headcount38,155
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.
(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $62 million and $74 million for the three months ended September 30, 2020 and 2019, respectively, and $186 million and $241 million for the nine months ended September 30, 2020 and 2019, respectively.
(b)Included a net legal benefit of $(6) million and $(32) million for the three months ended September 30, 2020 and 2019, respectively, and $(38) million and $(189) million for the nine months ended September 30, 2020 and 2019, respectively.
Quarterly results
Net incomeloss was $393$699 million compared with a net lossincome of $145$393 million in the prior year.
Net revenue was $692 million, compared with a net loss of $103$339 million, in the prior year,down $1.0 billion, driven by higherlower net interest income, and noninterest revenue. Net interest income was driven by balance sheet growth and changes in mix, partially offset bylargely on lower rates. Net interest income also includesrates, including the impact of faster prepayments on mortgage-backed securities. The prior year included income related to the unwind of the internal funding provided to CCB upon the sale of certain mortgage loans. 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 reflecting:
•higher investment securities gains due to the repositioning of the investment securities portfolio, including sales of U.S. GSE and government agency mortgage-backed securities, and
•net gains on certain legacy private equity investments, compared to
largely offset by
•net losses related to derivatives in Other Corporate, as well as the prior year.costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO, and
•losses related to the early termination of certain of the Firm’s long-term debt in Treasury and CIO.
Noninterest expense of $281$719 million was up $253$438 million duepredominantly driven by an impairment on a legacy investment.
The provision for credit losses was predominantly driven by the transfer of certain securities from AFS to higher investments in technologyHTM.
Refer to Note 10 and a lower net legal benefit compared withNote 13 for additional information on the prior year.investment securities portfolio and the allowance for credit losses.
The current period income tax benefit was driven by the change in the level and mix of income and expenses subject to U.S. federal, and state and local taxes as well as the impact of the Firm’s estimated full-year expected tax rate relative to the level of year-to-date pretax income. The prior 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.audits.
46


Year-to-date results
Net incomeloss was $1.5$1.4 billion compared with a net lossincome of $664 million$1.5 billion in the prior year.
Net revenue was $1.4 billion,a loss of $927 million, compared with a net lossincome of $255 million$1.4 billion in the prior year driven by higherlower net interest income and noninterest revenue. Net interest income was

driven by balance sheet growth and changes in mix and includes theon lower rates. The prior year included income related to the unwind of the internal funding as mentioned above.provided to CCB upon the sale of certain mortgage loans.
Noninterest revenue increased reflecting:primarily due to
•higher net investment securities gains compared with losses in the prior year due to the repositioning of the investment securities portfolio, including sales of U.S. GSE and government agency mortgage-backed securities in the first and third quarters of 2020, and
lower •net valuation lossesgains on certain legacy private equity investments, compared with net losses in the prior year,
partially
largely offset by
•net losses on cash deployment transactions which were more than offset byrelated to derivatives in Other Corporate, as well as the costs of hedging certain non-U.S. dollar-denominated net investment exposures in Treasury and CIO, and
•losses related net interest income earned on those transactions.to the early termination of certain of the Firm’s long-term debt in Treasury and CIO.
Noninterest expense of $724 million,$1.0 billion was up $330$288 million reflecting:driven by an impairment on a legacy investment, and a lower net legal benefit, partially offset by lower structural expense.
higher investments in technology and real estate,The provision for credit losses was predominantly driven by the transfer of certain securities from AFS to HTM.
contributions toThe current period income tax benefit was predominantly driven by the Firm’s Foundation, whereas all prior-year contributions were madechange in the fourth quarter,level and
higher pension costs due mix of income and expenses subject to changes to actuarial assumptionsU.S. federal, and estimates.
state and local taxes. 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.audits.
Treasury and CIO overview
At September 30, 2019,2020, the average credit rating of the Treasury and CIO investment securities comprising the portfolio in the table below was AA+ (based upon external ratings where available and, where not available, based primarily upon internal ratings that correspond to ratings as defined by S&P and Moody’s)risk ratings). Refer to Note 910 for further information on the Firm’s investment securities portfolio.portfolio and internal risk ratings.
Refer to Liquidity Risk Management on pages 50–5455–59 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 70–7480–84 for information on interest rate, foreign exchange and other risks.
Selected income statement and balance sheet data
As of or for the three months
ended September 30,		As of or for the nine months
ended September 30,
(in millions)20202019Change20202019Change
Investment securities gains$466 $78 497 %$725 $135 437 %
Available-for-sale securities (average)$442,943 $305,894 45 %$414,228 $260,661 59 %
Held-to-maturity securities (average)103,596 35,494 192 74,102 32,518 128 
Investment securities portfolio (average)$546,539 $341,388 60 $488,330 $293,179 67 
Available-for-sale securities (period-end)$387,663 $351,599 10 $387,663 $351,599 10 
Held-to-maturity securities, net of allowance for credit losses (period-end)(a)(b)
141,553 40,830 247 141,553 40,830 247 
Investment securities portfolio, net of allowance for credit losses (period-end)(a)
$529,216 $392,429 35 %$529,216 $392,429 35 %
Selected income statement and balance sheet data      
 As of or for the three months
ended September 30,		 As of or for the nine months
ended September 30,
(in millions)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
(a)At September 30, 2020, the allowance for credit losses on HTM securities was $120 million.
(b)During the nine months ended September 30, 2020, the Firm transferred $100.5 billion of investment securities, consisting of $74.4 billion in the third quarter of 2020 and $26.1 billion in the first quarter of 2020, from AFS to HTM for capital management purposes.
Refer to Note 10 for further information.

47


ENTERPRISE-WIDEFIRMWIDE RISK MANAGEMENT
Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers and clients on their investment decisions, makes markets in securities, or offers other products or services, the Firm takes on some degree of risk. The Firm’s overall objective is to manage its businesses, and the associated risks, in a manner that balances serving the interests of its clients, customers and investors and protects the safety and soundness of the Firm.
The Firm believes that effective risk management requires:requires, among other things:
•Acceptance of responsibility, including identification and escalation of risk issues, by all individuals within the Firm;
•Ownership of risk identification, assessment, data and management within each of the lines of businessLOBs and Corporate; and
•Firmwide structures for risk governance.
The Firm strives for continual improvement throughin its efforts to enhance controls, ongoing employee training and development, talent retention, and other measures. The Firm follows a disciplined and balanced compensation framework with strong internal governance and independent oversight by the Board oversight.of Directors (the “Board”). The impact of risk and control issues areis carefully considered in the Firm’s performance evaluation and incentive compensation processes.
Firmwide Risk Management is overseengovernance and managed on an enterprise-wide basis. oversight framework
The Firm’s risk management governance and oversight framework involves understanding drivers of risks, types of risks, and impacts of risks.
jpm-20200930_g1.jpg
Refer to pages 79-83 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of Enterprise-wideFirmwide 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.

Governancegovernance and Oversight Functionsoversight functions
The following sections of this Form 10-Q and the 20182019 Form 10-K discuss the risk governance and oversight functions in place to manage the risks inherent in the Firm’s business activities.
Risk governance and oversight functionsForm 10-Q page referenceForm 10-K page referenceRisk governance and oversight functionsForm 10-Q page referenceForm 10-K page reference
Strategic risk 84Strategic risk84
Capital risk45–4985–94Capital risk49-5485–92
Liquidity risk50–5495–100Liquidity risk55-5993–98
Reputation risk 101Reputation risk99
Consumer credit risk56–59106-111Consumer credit risk62-66103–107
Wholesale credit risk60–66112-119Wholesale credit risk67-76108–115
Investment portfolio risk69123Investment portfolio risk79118
Market risk70–74124-131Market risk80-84119–126
Country risk75132–133Country risk85127–128
Operational risk 134-136Operational risk86129–135
Compliance risk 137Compliance risk132
Conduct risk 138Conduct risk133
Legal risk 139Legal risk134
Estimations and Model risk 140Estimations and Model risk87135
48


CAPITAL RISK MANAGEMENT
Capital risk is the risk the Firm has an insufficient level andor composition of capital to support the Firm’s business activities and associated risks during normal economic environments and under stressed conditions.
Refer to pages 85-9485–92 of JPMorgan Chase’s 20182019 Form
10-K, Note 2122 of this Form 10-Q and the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for a further discussion of the Firm’s Capital Risk Management, including capital planning and stress testing.
COVID-19 Pandemic
The Firm has been impacted by recent market events as a result of the COVID-19 pandemic, but remains well-capitalized. However, the continuation or further deterioration of the current macroeconomic environment could result in impacts to the Firm’s capital and leverage.
Basel III Overview
The capital rules under Basel III establish minimum capital ratios and overall capital adequacy standards for large and internationally active U.S. bank holding companies (“BHC”) and banks, including the Firm and its insured depository institution (“IDI”) subsidiaries, including JPMorgan Chase Bank, N.A. The minimum amount of regulatory capital that must be held by BHCs and banks is determined by calculating risk-weighted assets (“RWA”), which are on-balance sheet assets and off-balance sheet exposures, weighted according to risk. Two comprehensive approaches are prescribed for calculating RWA: a standardized approach (“Basel III
Standardized”), and an advanced approach (“Basel III Advanced”). Effective January 1, 2019,For each of the risk-based capital ratios, 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-basedStandardized-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.Advanced-risk-based ratios.
Basel III also includes a requirement for Advanced Approach banking organizations, including the Firm, to calculate the SLR. Refer to SLR on page 9190 of JPMorgan Chase’s 20182019 Form 10-K for additional information.
Key Regulatory Developments
Current Expected Credit Losses. As disclosed in the Firm’s 2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule (issued as final on August 26, 2020) that provided the option to delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period (“CECL capital transition provisions”).
The final rule provides a uniform approach for estimating the effects of CECL compared to the legacy incurred loss model during the first two years of the transition period (the “day 2” transition amount), whereby the Firm may exclude from CET1 capital 25% of the change in the allowance for credit losses (excluding allowances on PCD loans). The cumulative day 2 transition amount as at December 31, 2021 that is not recognized in CET1 capital as well as the $2.7 billion day 1 impact, will be phased into CET1 capital at 25% per year beginning January 1, 2022. The Firm has elected to apply the CECL capital transition provisions, and accordingly, for the period ended September 30, 2020, the capital metrics of the Firm exclude $6.4 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $15.2 billion increase in the allowance for credit losses (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions on Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital metrics. Refer to Note 1 for further information on SLR.the CECL accounting guidance.
Money Market Mutual Fund Liquidity Facility ("MMLF").On March 18, 2020, the Federal Reserve established the MMLF facility, authorized through September 30, 2020, to enhance the liquidity and functioning of money markets. On July 28, 2020, the Federal Reserve announced that it was extending the MMLF through December 31, 2020. Under the MMLF, the FRBB makes nonrecourse advances to participating financial institutions to purchase certain types of assets from eligible money market mutual fund clients. These assets, which are reflected in other assets on the Firm’s Consolidated balance sheets, are pledged to the FRBB as collateral. On March 23, 2020, the federal banking agencies issued an interim final rule (issued as final on September 29, 2020) to neutralize the effects of purchasing assets through the program on risk-based and leverage-based capital ratios. As of September 30, 2020, the Firm excluded assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF in the amount of $932 million from its RWA and $2.2 billion from adjusted average assets and total leverage exposure.
Supplementary leverage ratio temporary revision. On April 1, 2020, the Federal Reserve issued an interim final rule that requires, on a temporary basis, the calculation of total leverage exposure for purposes of calculating the SLR for bank holding companies, to exclude the on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks. These exclusions became effective April 1, 2020, and will remain in effect through March 31, 2021.
On June 1, 2020, the Federal Reserve, OCC and FDIC issued an interim final rule that provides IDI subsidiaries with an option to apply this temporary exclusion subject to certain
49


restrictions. As of September 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion.
Paycheck Protection Program. On April 13, 2020, the federal banking agencies issued an interim final rule (issued as final on September 29, 2020) to neutralize the regulatory capital effects of participating in the PPP on risk-based capital ratios by applying a zero percent risk weight to loans originated under the program. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. As of September 30, 2020, the Firm had approximately $28 billion of loans under the program.
The rule also provides that if the PPP loan is pledged as collateral for a non-recourse loan under the Federal Reserve’s Paycheck Protection Program Lending (“PPPL”) Facility, the PPP loans can be excluded from leverage-based capital ratios. As of September 30, 2020, the Firm had not participated in the PPPL Facility.
Refer to Regulatory Developments Relating to the COVID-19 Pandemic on pages 11-12 for additional information on regulatory actions and significant financing programs that the U.S. government and regulators have introduced to address the effects of the COVID-19 pandemic.
Stress Capital Buffer ("SCB"). On March 4, 2020, the Federal Reserve issued the final rule introducing the SCB framework
for the Basel III Standardized approach that is designed to more closely integrate the results of the quantitative assessment in the annual CCAR with the ongoing minimum capital requirements for BHCs under the U.S. Basel III rules. The final rule replaces the static 2.5% CET1 capital conservation buffer in the Standardized approach with a dynamic institution-specific SCB. The final rule does not apply to the Advanced approach capital requirements. The SCB requirement for BHCs will be effective on October 1 of each year and is expected to remain in effect until September 30 of the following year.
TLAC Holdings rule. On October 20, 2020, the federal banking agencies issued a final rule prescribing the regulatory capital treatment for holdings of TLAC debt instruments by certain large banking organizations, such as the Firm and JPMorgan Chase Bank, N.A. This rule expands the scope of the existing capital deductions rule around the holdings of capital instruments of financial institutions to also include TLAC debt instruments issued by systemically important banking organizations. The rule is intended to limit interconnectedness within the financial system and reduce systemic risk. The final rule will become effective on April 1, 2021.
The following tables present the Firm’s risk-based and leverage-based capital measuresmetrics 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 85-9485–92 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of these capital metrics.
September 30, 2020(c)(d)
December 31, 2019
(in millions, except ratios)StandardizedAdvancedStandardizedAdvanced
Minimum capital ratios(e)
Risk-based capital metrics:
CET1 capital$197,719 $197,719 $187,753 $187,753 
Tier 1 capital227,486 227,486 214,432 214,432 
Total capital262,397 249,947 242,589 232,112 
Risk-weighted assets1,514,509 1,429,334 1,515,869 1,397,878 
CET1 capital ratio13.1 %13.8 %12.4 %13.4 %10.5 %
Tier 1 capital ratio15.0 15.9 14.1 15.3 12.0 
Total capital ratio17.3 17.5 16.0 16.6 14.0 
Leverage-based capital metrics:
Adjusted average assets(a)
$3,243,290 $3,243,290 $2,730,239 $2,730,239 
Tier 1 leverage ratio7.0 %7.0 %7.9 %7.9 %4.0 %
Total leverage exposure(b)
NA$3,247,392 NA$3,423,431 
SLR(b)
NA7.0 %NA6.3 %5.0 %
(a)Adjusted average assets, for purposes of calculating the leverage ratios, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.
(b)As of September 30, 2020, total leverage exposure for purposes of calculating the SLR excludes U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the interim final rule issued by the Federal Reserve on April 1, 2020.
(c)As of September 30, 2020, the capital metrics reflect the CECL capital transition provisions.
(d)As of September 30, 2020, the capital metrics reflect the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF. Additionally, loans originated under the PPP receive a zero percent risk weight.
(e)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 22 for additional information.
 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 capital214,831
 214,831
   209,093
 209,093
  
Total capital243,500
 233,203
   237,511
 227,435
  
Risk-weighted assets1,527,762
 1,435,693
   1,528,916
 1,421,205
  
CET1 capital ratio12.3% 13.1% 10.5% 12.0% 12.9% 9.0%
Tier 1 capital ratio14.1
 15.0
 12.0
 13.7
 14.7
 10.5
Total capital ratio15.9
 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 ratio7.9% 7.9% 4.0% 8.1% 8.1% 4.0%
Total leverage exposureNA
 $3,404,535
   NA
 $3,269,988
  
SLRNA
 6.3% 5.0% NA
 6.4% 5.0%
50
(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.

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, 20192020 and December 31, 2018.2019.
(in millions)September 30,
2020		December 31, 2019
Total stockholders’ equity$271,113 $261,330 
Less: Preferred stock30,063 26,993 
Common stockholders’ equity241,050 234,337 
Add:
Certain deferred tax liabilities(a)
2,405 2,381 
Less:
Goodwill47,819 47,823 
Other intangible assets759 819 
Other CET1 capital adjustments(b)
(2,842)323 
Standardized/Advanced CET1 capital197,719 187,753 
Preferred stock30,063 26,993 
Less: Other Tier 1 adjustments296 314 
Standardized/Advanced Tier 1 capital$227,486 $214,432 
Long-term debt and other instruments qualifying as Tier 2 capital$16,965 $13,733 
Qualifying allowance for credit losses(c)
17,855 14,314 
Other91 110 
Standardized Tier 2 capital$34,911 $28,157 
Standardized Total capital$262,397 $242,589 
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)
(12,450)(10,477)
Advanced Tier 2 capital$22,461 $17,680 
Advanced Total capital$249,947 $232,112 
(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating CET1 capital.
(b)As of September 30, 2020, the impact of the CECL capital transition provision was an increase in CET1 capital of $6.4 billion.
(c)Represents the allowance for credit losses eligible for inclusion in Tier 2 capital up to 1.25% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.
(d)Represents an adjustment to qualifying allowance for credit losses for the excess of eligible credit reserves over expected credit losses up to 0.6% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.
(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’ equity235,985
230,447
Less:  
Goodwill47,818
47,471
Other intangible assets841
748
Other CET1 capital adjustments1,546
1,034
Add:  
Deferred tax liabilities(b)
2,371
2,280
Standardized/Advanced CET1 capital188,151
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 losses14,400
14,500
Other124
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, 2019.2020.
Nine months ended September 30,
(in millions)		2019
Standardized/Advanced CET1 capital at December 31, 2018$183,474
Net income applicable to common equity26,710
Dividends declared on common stock(8,086)
Net purchase of treasury stock(15,805)
Changes in additional paid-in capital(650)
Changes related to AOCI2,877
Adjustment related to DVA(a)
287
Changes related to other CET1 capital adjustments(656)
Change in Standardized/Advanced CET1 capital4,677
Standardized/Advanced CET1 capital at September 30, 2019$188,151
  
Standardized/Advanced Tier 1 capital at December 31, 2018$209,093
Change in CET1 capital4,677
Net issuance of noncumulative perpetual preferred stock(b)
925
Other136
Change in Standardized/Advanced Tier 1 capital5,738
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 2373
Change in qualifying allowance for credit losses(101)
Other(21)
Change in Standardized Tier 2 capital251
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 2373
Change in qualifying allowance for credit losses(322)
Other(21)
Change in Advanced Tier 2 capital30
Advanced Tier 2 capital at September 30, 2019$18,372
Advanced Total capital at September 30, 2019$233,203
Nine months ended September 30,
(in millions)		2020
Standardized/Advanced CET1 capital at December 31, 2019$187,753 
Net income applicable to common equity15,792 
Dividends declared on common stock(8,339)
Net purchase of treasury stock(5,238)
Changes in additional paid-in capital(233)
Changes related to AOCI7,371 
Adjustment related to AOCI(a)
(3,006)
Changes related to other CET1 capital adjustments(b)
3,619 
Change in Standardized/Advanced CET1 capital9,966 
Standardized/Advanced CET1 capital at September 30, 2020$197,719
(a)Standardized/Advanced Tier 1 capital at December 31, 2019Includes DVA related to structured notes recorded$214,432 
Change in AOCI.CET1 capital(b)
9,966 
Net issuance of noncumulative perpetual preferred stock3,070 
Other18 
Change in Standardized/Advanced Tier 1 capital13,054 
Standardized/Advanced Tier 1 capital at September 30, 2020$227,486
(b)Includes the net effect of $2.25 billion and $1.85 billion of non-cumulative preferred stock issued on JulyStandardized Tier 2 capital at December 31, 2019$28,157 
Change in long-term debt and January 24,other instruments qualifying as Tier 23,232 
Change in qualifying allowance for credit losses(b)
3,542 
Other(20)
Change in Standardized Tier 2 capital6,754 
Standardized Tier 2 capital at September 30, 2020$34,911
Standardized Total capital at September 30, 2020$262,397
Advanced Tier 2 capital at December 31, 2019 respectively,$17,680 
Change in long-term debt and redemptions of non-cumulative preferred stock of $925 million and $880 million on March 1, 2019 andother instruments qualifying as Tier 23,232 
Change in qualifying allowance for credit losses(b)
1,569 
Other(20)
Change in Advanced Tier 2 capital4,781 
Advanced Tier 2 capital at September 1, 2019, respectively, as well as $1.37 billion of non-cumulative preferred stock that was called for partial redemption on30, 2020$22,461
Advanced Total capital at September 26, 2019 and subsequently redeemed on October 30, 2019.2020$249,947

(a)Includes cash flow hedges and DVA related to structured notes recorded in AOCI.
(b)Includes the impact of the CECL capital transition provisions.
51


RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the nine months ended September 30, 2019.2020. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.
StandardizedAdvanced
Nine months ended September 30, 2020
(in millions)		Credit risk RWAMarket risk RWATotal RWACredit risk RWAMarket risk RWAOperational risk
RWA		Total RWA
December 31, 2019$1,440,220 $75,649 $1,515,869 $932,948 $75,652 $389,278 $1,397,878 
Model & data changes(a)
300 (16,650)(16,350)(6,300)(16,650)— (22,950)
Portfolio runoff(b)
(3,600)— (3,600)(3,100)— — (3,100)
Movement in portfolio levels(c)
(16,469)35,059 18,590 30,445 35,376 (8,315)57,506 
Changes in RWA(19,769)18,409 (1,360)21,045 18,726 (8,315)31,456 
September 30, 2020$1,420,451 $94,058 $1,514,509 $953,993 $94,378 $380,963 $1,429,334 
 Standardized Advanced 
Nine months ended September 30, 2019
(in millions)		Credit risk RWAMarket risk RWATotal RWA Credit risk RWAMarket 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 RWA16,905
(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).Model & data changes refer to material movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance (exclusive of rule changes).
(b)Portfolio runoff for credit risk RWA primarily reflects reduced risk from position rolloffs in legacy portfolios in Home Lending.
(c)Movement in portfolio levels (inclusive of rule changes) refers to: changes in book size, composition, credit quality, and market movements for credit risk RWA; changes in position and market movements for market risk RWA; updates to cumulative losses for operational risk RWA; and deductions to credit risk RWA for excess eligible credit reserves not eligible for inclusion in Tier 2 capital.
(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 ManagementSupplementary Leverage Ratio on page 88pages 87-88 of JPMorgan Chase’s 20182019 Form 10-K for additional information.
The following table presents the components of the Firm’s SLR.
(in millions, except ratio)September 30,
2020		December 31,
2019
Tier 1 capital$227,486 $214,432 
Total average assets3,290,157 2,777,270 
Less: Regulatory capital adjustments(a)
46,867 47,031 
Total adjusted average assets(b)
3,243,290 2,730,239 
Add: Off-balance sheet exposures(c)
702,203 693,192 
Less: Exclusion for U.S Treasuries and Federal Reserve Bank deposits698,101 — 
Total leverage exposure$3,247,392 $3,423,431 
SLR7.0 %6.3 %
(a)For purposes of calculating the SLR, asincludes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets. As of September 30, 20192020, includes adjustments for the CECL capital transition provisions and December 31, 2018.the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.
(b)Adjusted average assets used for the calculation of Tier 1 leverage ratio.
(in millions, except ratio)September 30,
2019
December 31,
2018
Tier 1 capital$214,831
$209,093
Total average assets2,765,052
2,636,505
Less: Adjustments for deductions from Tier 1 capital47,200
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
SLR6.3%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.(c)Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the reporting quarter.
(b)Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the quarter.
Refer to Note 2122 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,Refer to line of business capital allocations have increased due to a combination of changes in the relative weights, with greater emphasisequity on Standardized RWA and stress, a higher capitalization rate, updated stress simulations, and general business growth. Refer to page 9190 of JPMorgan Chase’s 20182019 Form 10-K for additional information.information on capital allocation.

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

(in billions)		September 30,
2020		December 31,
2019
Consumer & Community Banking$52.0 $52.0 
Corporate & Investment Bank80.0 80.0 
Commercial Banking22.0 22.0 
Asset & Wealth Management10.5 10.5 
Corporate76.6 69.8 
Total common stockholders’ equity$241.1 $234.3 

(in billions)
September 30,
2019
 December 31,
2018
Consumer & Community Banking$52.0
 $51.0
Corporate & Investment Bank80.0
 70.0
Commercial Banking22.0
 20.0
Asset & Wealth Management10.5
 9.0
Corporate71.5
 80.4
Total common stockholders’ equity$236.0
 $230.4
PlanningCapital planning and stress testing
Comprehensive Capital Analysis and Review (“CCAR”)
On June 27, 2019,29, 2020, the Firm announced that it had completed the 2020 CCAR stress test process. On August 10, 2020, the Federal Reserve informedaffirmed the Firm's SCB requirement of 3.3% and the Firm's minimum Standardized CET1 capital ratio of 11.3% (up from 10.5%). The SCB requirement became effective on October 1, 2020.
The Federal Reserve has determined that changes in financial markets or the macroeconomic outlook due to the COVID-19 pandemic could have a material effect on a firm’s risk profile and financial condition and therefore is requiring all large bank holding companies, including the Firm, to update and resubmit their capital plans by November 2, 2020. The Firm anticipates that it did not objectthe Federal Reserve will disclose firm-specific results under the additional scenarios before December 31, 2020.
Refer to the Firm’sKey Regulatory Developments on pages 49-50 of this Form 10-Q and capital planning and stress testing on pages 85-86 of JPMorgan Chase’s 2019 capital plan.Form 10-K for additional information.
52


Capital actions
Preferred stock
Preferred stock dividends declared were $423$381 million and $1.2 billion for the three and nine months ended September 30, 2019.2020.
On October 31, 2019, theThe Firm announced and priced an offering of depositary shares representing $900 million of 4.75% non-cumulativehas not issued or redeemed any preferred stock Series GG. This issuance is expected to close on November 7, 2019. On November 1, 2019,since the Firm announced that it will redeem all $900 millionfirst quarter of its 5.45% non-cumulative preferred stock, SeriesP 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.

2020. Refer to Note 1718 of this Form 10-Q and Note 2021 of JPMorgan Chase’s 20182019 Form 10-K for additional information on the Firm’s preferred stock.stock, including the issuance and redemption of preferred stock during the three months ended March 31, 2020.
Common stock dividends
On September 17, 2019, the Firm announced that its Board of Directors had declared aThe Firm’s quarterly common stock dividend which increased tois currently $0.90 per share, from $0.80 per share effective with the dividend paid on October 31, 2019.share. The Firm’s dividends are subject to the Board of Directors’ approval on a quarterly basis.
Common equity
The Firm’s BoardOn March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended repurchases of Directors has authorizedits common equity. In June 2020, the repurchaseFederal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases, at least through the end of up to $29.4 billionthe third quarter of gross common equity between July 1, 20192020. As such, there were no shares repurchased during the second and Junethird quarters of 2020. On September 30, 2020, as partthe Federal Reserve directed all large bank holding companies, including the Firm, to extend the discontinuation of net share repurchases through the end of the Firm’s annual capital plan.fourth quarter of 2020.
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, 20192020 and 2018.2019.

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

2019
2018
Total shares of common stock repurchased62.0
39.3

159.0
126.0
Aggregate common stock repurchases$6,949
$4,416

$17,250
$14,055
Three months ended
September 30,		Nine months ended
September 30,
(in millions)2020201920202019
Total number of shares of common stock repurchased— 62.0 50.0 159.0 
Aggregate purchase price of common stock repurchases$— $6,949 $6,397 $17,250 
Refer to Part II, Item 2: Unregistered Sales of Equity Securities and Use of Proceeds and Part II, Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities on pages 176-177page 202 of this Form 10-Q and page 30 of JPMorgan Chase’s 20182019 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.

Other capital requirements
TLACTotal Loss-Absorbing Capacity
The Federal Reserve’s TLAC rule requires the top-tier U.S. GSIBglobal systemically important bank (“GSIB”) top-tier holding companies, including the Firm, to maintain minimum levels of external TLAC and eligible LTD effective January 1, 2019.long-term debt (“eligible LTD”).
Refer to other capital requirements on page 9391 of JPMorgan Chase’s 20182019 Form 10-K for additional information.information on TLAC.
The following table presents the TLAC and external long-term debt minimum requirements including applicable regulatory buffers, as of September 30, 2020 and December 31, 2019.
Minimum Requirements
TLAC to RWA23.0 %
TLAC to leverage exposure9.5 
External long-term debt to RWA9.5 
External long-term debt to leverage4.5 
The following table presents the eligible external TLAC and eligible LTD amounts, as well as a representation of the amounts as a percentage of the Firm’s total RWA and total leverage exposure.exposure applying the impact of the CECL capital transition provisions as of September 30, 2020.
September 30, 2020December 31, 2019
(in billions, except ratio)Eligible external TLACEligible LTDEligible external TLACEligible LTD
Total eligible TLAC & LTD$405.4 $174.0 $386.4 $161.8 
% of RWA26.8 %11.5 %25.5 %10.7 %
Surplus/(shortfall)$57.1 $30.2 $37.7 $17.8 
% of total leverage exposure12.5 %5.4 %11.3 %4.7 %
Surplus/(shortfall)$96.9 $27.9 $61.2 $7.8 
September 30, 2019 
(in billions, except ratio)
Eligible external TLAC(a)
Eligible LTD
Total eligible TLAC & LTD$387.8
$159.9
% of RWA25.4%10.5%
Minimum requirement23.0
9.5
Surplus/(shortfall)$36.4
$14.8
   
% of total leverage exposure11.4%4.7%
Minimum requirement9.5
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 7-286–28 of JPMorgan Chase’s 20182019 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.
53


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 1.17the Rules of the Commodity Futures Trading Commission (“CFTC”).
Refer to Capital risk management on pages 85-9485–92 of JPMorgan Chase’s 20182019 Form 10-K for a discussion on J.P. Morgan Securities’ capital requirements.
The following table presents J.P. Morgan Securities’ net capital:
September 30, 2020
(in millions)
Actual(a)
Minimum
Net Capital$28,047 $5,150 
(a)Net capital reflects the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.
September 30, 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 85-9485–92 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion on J.P. Morgan Securities plc.
Effective January 1, 2019, theThe 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, 2019,2020, J.P. Morgan Securities plc was compliant with the requirements of the MREL rule. Refer to Supervision and Regulation on pages 1-61–6 of JPMorgan Chase’s 20182019 Form 10-K for additional information on MREL.
The following table presents J.P. Morgan Securities plc’s capital metrics:
September 30, 2019  
September 30, 2020September 30, 2020
(in millions, except ratios)Estimated
Minimum ratios
(in millions, except ratios)EstimatedMinimum ratios
Total capital$55,614
 Total capital$55,334 
CET1 ratio16.9%4.5%CET1 ratio17.5 %4.5 %
Total capital ratio21.5%8.0%Total capital ratio22.3 %8.0 %




54


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 95–10093–98 of JPMorgan Chase’s 20182019 Form 10-K and the Firm’s USU.S. LCR Disclosure reports, which are available on the Firm’s website for a further discussion of the Firm’s Liquidity Risk Management.
LCR and HQLA
The LCR rule requires that the Firm 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 standalonestand-alone 100% minimum LCR requirement, and that is not transferable to non-bank affiliates, must be excluded from the Firm’s reported HQLA. The LCR is required to be a minimum of 100%. Refer to page 94 of JPMorgan Chase’s 2019 Form 10-K and the Firm’s U.S. LCR Disclosure reports for additional information on HQLA and net cash outflows.
The following table summarizes the Firm’s average LCR for the three months ended September 30, 2019,2020, June 30, 20192020 and September 30, 20182019 based on the Firm’s interpretation of the finalized LCR framework.
Three months ended
Average amount
(in millions)		September 30,
2020		June 30, 2020September 30,
2019
HQLA
Eligible cash(a)
$458,336 $426,053 $199,757 
Eligible securities(b)(c)
211,841 225,135 337,704 
Total HQLA(d)
$670,177 $651,188 $537,461 
Net cash outflows$587,811 $556,395 $468,452 
LCR114 %117 %115 %
Net excess HQLA(d)
$82,366 $94,793 $69,009 
 Three months ended
Average amount
(in millions)
September 30,
2019		June 30, 2019September 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
LCR115%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.
(a)
(b)Predominantly U.S. Treasuries, U.S. GSE and government agency MBS, and sovereign bonds net of applicable haircuts under the LCR rule.
(c)HQLA eligible securities may be reported in securities borrowed or purchased under resale agreements, trading assets, or investment securities on the Firm’s Consolidated balance sheets.
(d)Excludes average excess HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
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 increaseddecreased during the three months ended September 30, 2019,2020, compared with the three-month period ended June 30, 2019,2020, due to an increase in net cash outflows largely due to market activities in the CIB. Liquidity in JPMorgan Chase Bank, N.A. increased during the quarter primarily due to growth in deposits and a declinereduction in loans. Deposits continued to increase in the third quarter primarily driven by the COVID-19 pandemic and the related effect of certain government actions. However, these increases in excess liquidity in JPMorgan Chase Bank, N.A. are excluded from the Firm’s reported LCR under the LCR rule.
The Firm's average LCR was negatively impacted during the three months ended September 30, 2020, compared with the prior year period due to a significant increase in deposits impacting both HQLA and net cash outflowsoutflows. However, the average net excess HQLA has increased during the same period, primarily due to an increase in cash from CIB activities.unsecured long-term debt issuances.
The Firm’s average LCR fluctuates from period to period, due to changes in its HQLA and estimated net cash outflows as a result of ongoing business activity.
Other liquidity sources
As of September 30, 2019, inIn addition to the assets reported in the Firm’s HQLA above, the Firm had approximately $312 billion of unencumbered marketable securities, such as equity securities and fixed income debt securities, that the Firm believes would be available to raise liquidity. This includes HQLA-eligible securities included as part of the excess liquidityHQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.
Asaffiliates, as described above. The fair value of these securities was approximately $660 billion and $315 billion as of September 30, 2020 and December 31, 2019, respectively, although the amount of liquidity that could be raised would be dependent on prevailing market conditions. The fair value increased compared to December 31, 2019, due to an increase in excess HQLA at JPMorgan Chase Bank, N.A. which was primarily a result of increased deposits as noted above.
The Firm also had approximately $313 billion of available borrowing capacity at FHLBs and the discount window at the Federal Reserve Bank and other central banks as a result of collateral pledged by the Firm to such banks.banks of approximately $295 billion and $322 billion as of September 30, 2020 and December 31, 2019, respectively. This borrowing capacity excludes the benefit of cash and securities reported in the Firm’s HQLA or other unencumbered securities that are currently pledged at the Federal Reserve Bank discount window.window and other central banks. Available borrowing capacity decreased from December 31, 2019 primarily due to lower credit card receivable balances driven by the COVID-19 pandemic and a decrease in pledged mortgage collateral as a result of paydown and maturity activity. Although available, the Firm does not view this borrowing capacity at the Federal Reserve Bank discount window and the other central banks as a primary source of liquidity.
NSFR
The net stable funding ratio (“NSFR”) is a liquidity requirement for large banking organizations that is intended to measure the adequacy of “available” and “required” amounts of stable funding over a one-year horizon. On October 20, 2020, the federal banking agencies issued a final NSFR rule under which large banking organizations such as the Firm will be required to maintain an NSFR of at least 100% on an ongoing basis. The final NSFR rule will become effective on July 1, 2021, and the Firm will be required to publicly disclose its quarterly average NSFR semi-annually beginning in 2023.
55


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.markets and stockholders’ equity. Deposits are the primary funding source for JPMorgan Chase Bank, N.A. Additionally, JPMorgan Chase Bank, N.A. may also access funding through short- or long-term secured borrowings, through the issuance of unsecured long-term debt, or from borrowings from the
Parent Company or the Intermediate Holding Company (“IHC”). The Firm’s loan portfolio isnon-bank subsidiaries are primarily funded with a portion of the Firm’s deposits, through securitizationsfrom long-term unsecured borrowings and with respect to a portion of the Firm’s real estate-related loans, withshort-term secured borrowings, from the FHLBs. Deposits in excess of the amount utilized to fund loans are primarily securities loaned or sold under repurchase agreements. Excess funding is invested by Treasury and CIO in the Firm’s investment securities portfolio or deployed in cash or other short-term liquid investments based on their interest rate and liquidity risk
characteristics. 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,LOB and Corporate, the deposit balances as of September 30, 2019,2020, and December 31, 2018,2019, and the average deposit balances for the three and nine months ended September 30, 20192020 and 2018,2019, respectively.
September 30, 2020December 31, 2019Three months ended September 30,Nine months ended September 30,
DepositsAverageAverage
(in millions)2020201920202019
Consumer & Community Banking$900,920 $718,354 (a)$887,138 $693,943 (a)$817,848 $688,663 (a)
Corporate & Investment Bank667,308 511,905 (a)678,843 524,558 (a)631,351 509,788 (a)
Commercial Banking258,635 184,115 248,078 172,653 224,591 169,361 
Asset & Wealth Management174,327 147,804 170,986 138,822 163,424 139,127 
Corporate226 253 554 904 760 887 
Total Firm$2,001,416 $1,562,431 $1,985,599 $1,530,880 $1,837,974 $1,507,826 
 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 Bank510,403
482,084
 524,521
476,995
 509,775
472,879
Commercial Banking174,903
170,859
 172,653
168,102
 169,361
171,403
Asset & Wealth Management138,439
138,546
 138,822
133,021
 139,127
138,885
Corporate346
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
(a)In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB as part of the Firm’s Wholesale Payments business. The prior- period amounts were revised to conform with the current presentation.
Deposits provide a stable source of funding and reduce the Firm’s reliance on the wholesale funding markets. A significant portion of the Firm’s deposits are consumer deposits and wholesale operating deposits, which are both considered to be stable sources of liquidity. Wholesale operating deposits are considered to be stable sources of liquidity because they are generated from customers that maintain operating service relationships with the Firm.
The table below shows the loan and deposit balances, the loans-to-deposits ratios, and deposits as a percentage of total liabilities, as of September 30, 20192020 and December 31, 2018.2019.
(in billions except ratios)September 30, 2019
 December 31, 2018
(in billions except ratios)September 30, 2020December 31, 2019
Deposits$1,525.3
 $1,470.7
Deposits$2,001.4 $1,562.4 
Deposits as a % of total liabilities61% 62%Deposits as a % of total liabilities67 %64 %
Loans$945.2
 $984.6
Loans$989.7 $997.6 
Loans-to-deposits ratio62% 67%Loans-to-deposits ratio49 %64 %
The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances.balances, over time. However, during periods of market disruption those trends could be affected.
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 Services2020, reflecting significant inflows across the LOBs primarily driven by growththe COVID-19 pandemic and the related effect of certain government actions. In the wholesale businesses, the inflows principally occurred in client activity, and anMarch as clients looked to remain liquid as a result of market conditions; in general, balances remained elevated through the third quarter. In CCB, the increase in the net issuances of structured notes in Markets. The increase in CCB was driven by lower spending and higher cash balances across both consumer and small business customers, as well as growth infrom existing and 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 21–4324-47 and pages 15-16,18-19, respectively, for further information on deposit and liability balance trends.
56


The following table summarizes short-term and long-term funding, excluding deposits, as of September 30, 2019,2020, and December 31, 2018,2019, and average balances for the three and nine months ended September 30, 20192020 and 2018,2019, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 15–1718-19 and Note 1011 for additional information.
September 30, 2020December 31, 2019Three months ended September 30,Nine months ended September 30,
Sources of funds (excluding deposits)AverageAverage
(in millions)2020201920202019
Commercial paper$8,752 $14,754 $10,921 $19,607 $12,968 $24,756 
Other borrowed funds10,431 7,544 8,791 10,537 8,832 10,869 
Total short-term unsecured funding$19,183 $22,298 $19,712 $30,144 $21,800 $35,625 
Securities sold under agreements to repurchase(a)
$227,834 $175,709 $244,638 $229,581 $249,087 $215,148 
Securities loaned(a)
6,076 5,983 6,563 8,505 6,620 9,117 
Other borrowed funds(b)
22,809 18,622 23,755 21,758 23,907 28,343 
Obligations of Firm-administered multi-seller conduits(c)
$11,622 $9,223 $12,120 $12,167 $11,484 $10,987 
Total short-term secured funding$268,341 $209,537 $287,076 $272,011 $291,098 $263,595 
Senior notes$164,986 $166,185 $178,282 $172,059 $174,014 $167,495 
Subordinated debt21,999 17,591 22,234 17,797 20,448 17,196 
Structured notes(d)
71,944 74,724 74,038 69,144 72,665 62,984 
Total long-term unsecured funding$258,929 $258,500 $274,554 $259,000 $267,127 $247,675 
Credit card securitization(c)
$4,942 $6,461 $5,070 $7,394 $5,714 $10,802 
FHLB advances16,126 28,635 30,628 29,646 31,293 35,998 
Other long-term secured funding(e)
4,120 4,363 4,189 4,558 4,432 4,708 
Total long-term secured funding$25,188 $39,459 $39,887 $41,598 $41,439 $51,508 
Preferred stock(f)
$30,063 $26,993 $30,063 $28,241 $29,844 $27,457 
Common stockholders’ equity(f)
$241,050 $234,337 $236,797 $235,613 $235,251 $232,917 
 September 30, 2019December 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 funds8,826
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 debt18,043
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 advances29,642
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.
(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.
(b)Effective March 2020, includes nonrecourse advances provided under the MMLF.
(c)Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.
(d)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 49-54 and Consolidated statements of changes in stockholders’ equity on page 96 of this Form 10-Q, and Note 21 and Note 22 of JPMorgan Chase’s 2019 Form 10-K for additional information on preferred stock and common stockholders’ equity.
Short-term funding
The Firm’s sources of short-term secured funding primarily consist of securities loaned or sold under agreements to repurchase. These instruments are secured predominantly by high-quality securities collateral, including government-issued debt and U.S. GSE and government agency MBS, and constitute a significant portion of the federal funds purchased and securities loaned orMBS. Securities sold under agreements to repurchase agreements on the Consolidated balance sheets. The increaseincreased at September 30, 2019, from2020, compared with December 31, 2018, was driven by2019, reflecting in 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
assets, partially offset by a decline in client-driven market-making activities, and client-driven activities.the Firm's nonparticipation in the Federal Reserve's open market operations, and in Treasury and CIO, higher secured financing of AFS investment securities.
The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to customers’ investment and financing activities, the Firm’s demand for financing, the ongoing management of the mix of the Firm’s liabilities, including its secured and unsecured financing (for both the investment securities and market-making portfolios), and other market and portfolio factors.
As of September 30, 2020, the Firm participated in the MMLF government facility. The secured nonrecourse advances under the MMLF are included in other borrowed
funds. Refer to Capital Risk Management on pages 49-54 for additional information on the MMLF.
The Primary Dealer Credit Facility ("PDCF") was established by the Federal Reserve on March 20, 2020. Under the PDCF, the Federal Reserve Bank of New York (“FRBNY”) provides collateralized financing on a term basis to primary dealers. These financing transactions were reported as securities sold under agreements to repurchase. The Firm participated in the PDCF in the first quarter of 2020, and ceased its participation in May 2020 as the secured financing market normalized.
The Firm’s sources of short-term unsecured funding primarily consist of other borrowed funds and issuance of wholesale commercial paper. The decrease in commercial paper at September 30, 2019,2020, from December 31, 2018,2019 and for the average three and nine months ended September 30, 2020 compared to the prior year period, was due to lower net issuance primarily for short-term liquidity management. The increase in other borrowed funds at September 30, 2020 from December 31, 2019 is primarily driven by an increase in financing activities in CIB Equity Markets.
57


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 nonbanknon-bank subsidiary funding needs. The Parent Company advances substantially all net funding proceeds to its subsidiary, the Intermediate Holding Company (“IHC”).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, 20192020 and 2018.2019. Refer to Liquidity Risk Management on pages 95-10093–98 and Note 1920 of JPMorgan Chase’s 20182019 Form 10-K for additional information on the IHC and long-term debt.
Long-term unsecured funding
Three months ended September 30,Nine months ended September 30,Three months ended September 30,Nine months ended September 30,
20202019202020192020201920202019
(Notional in millions)Parent CompanySubsidiaries
Issuance
Senior notes issued in the U.S. market$1,000 $5,000 $19,750 $13,250 $— $— $— $1,750 
Senior notes issued in non-U.S. markets— 1,672 1,355 3,920 — — — — 
Total senior notes1,000 6,672 21,105 17,170 — — — 1,750 
Subordinated debt— — 3,000 — — — — — 
Structured notes(a)
1,170 780 6,478 2,596 3,778 8,511 16,892 23,643 
Total long-term unsecured funding – issuance$2,170 $7,452 $30,583 $19,766 $3,778 $8,511 $16,892 $25,393 
Maturities/redemptions
Senior notes$16,697 $2,700 $24,781 $10,607 $5 $2,751 $7,642 $4,567 
Subordinated debt100 37 100 183 — — — — 
Structured notes1,879 477 4,713 1,436 7,513 4,540 22,250 12,700 
Total long-term unsecured funding – maturities/redemptions$18,676 $3,214 $29,594 $12,226 $7,518 $7,291 $29,892 $17,267 
Long-term unsecured funding          
 Three months ended September 30, Nine months ended September 30, Three months ended September 30, Nine months ended September 30,
 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. markets1,672
—
 3,920
1,175
 —
—
 —
—
Total senior notes6,672
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 debt37
15
 183
15
 —
—
 —
—
Structured notes477
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.

(a)Includes certain TLAC-eligible long-term unsecured debt issued by the Parent Company.
The Firm raisescan also raise secured long-term funding through securitization of consumer credit card loans and advances from the FHLBs.FHLB advances. The following table summarizes the securitization issuance and FHLB advances and their respective maturities or redemptions for the three and nine months ended September 30, 2020 and 2019, and 2018, respectively.
Long-term secured funding
Three months ended September 30,Nine months ended September 30,
IssuanceMaturities/RedemptionsIssuanceMaturities/Redemptions
(in millions)20202019202020192020201920202019
Credit card securitization$— $— $851 $2,850 $1,000 $— $2,525 $6,975 
FHLB advances— — 20,002 5 15,000 — 27,507 14,810 
Other long-term secured funding(a)
553 62 473 180 876 115 907 633 
Total long-term secured funding$553 $62 $21,326 $3,035 $16,876 $115 $30,939 $22,418 
(a)Includes long-term structured notes which are secured.
Long-term secured funding         
 Three months ended September 30, Nine months ended September 30,
 Issuance Maturities/Redemptions Issuance Maturities/Redemptions
(in millions)20192018 20192018 2019
2018
 2019
2018
Credit card securitization$—
$—
 $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 20182019 Form 10-K for further description of the client-driven loan securitizations.
58


Credit ratings
The cost and availability of financing are influenced by credit ratings. Reductions in these ratings could have an adverse effect on the Firm’s access to liquidity sources, increase the cost of funds, trigger additional collateral or funding requirements and decrease the number of investors and counterparties willing to lend to the Firm. The nature and magnitude of the impact of ratings downgrades depends on numerous contractual and behavioral factors, which the Firm believes are incorporated in its liquidity risk and stress testing metrics. The Firm believes that it maintains sufficient liquidity to withstand a potential decrease in funding capacity due to ratings downgrades.
Additionally, the Firm’s funding requirements for VIEs and other third-party commitments may be adversely affected by a decline in credit ratings. Refer to SPEs on page 18,21, and liquidity risk and credit-related contingent features in Note 45 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, 2019,2020 were as follows.
follows:
JPMorgan Chase & Co.
JPMorgan Chase Bank, N.A.(a)
J.P. Morgan Securities LLC

J.P. Morgan Securities plc
September 30, 20192020Long-term issuerShort-term issuerOutlookLong-term issuerShort-term issuerOutlookLong-term issuerShort-term issuerOutlook
Moody’s Investors ServiceA2P-1StableAa2P-1StableAa3P-1Stable
Standard & Poor’sA-A-2StableA+A-1StableA+A-1Stable
Fitch Ratings(a)
AA-F1+StableNegativeAAF1+StableNegativeAAF1+StableNegative
(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.
(a) On April 18, 2020, Fitch affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries but revised the outlook on the credit ratings from stable to negative given expectations that credit fundamentals will deteriorate as a result of the COVID-19 pandemic.
Refer to page 10098 of JPMorgan Chase’s 20182019 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.

59


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 55-6860-78 for a further discussion of Credit Risk.
Refer to page 6979 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 102-123100–118 of JPMorgan Chase’s 20182019 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.framework.

CREDIT PORTFOLIO
Credit risk is the risk associated with the default or change in credit profileprofile of a client, counterparty or customer.
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for PCI loans, which are considered PCD loans under CECL. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
The Firm has provided various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered troubled debt restructurings(“TDRs”) as:
•they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or the IA Statement guidance, or
•the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs. The Firm considers expected losses of principal and accrued interest associated with all COVID-19 related loan modifications in its allowance for credit losses. Refer to Business Developments on pages 9-10 for more information on customer and client assistance granted. Refer to Notes 12 and 13 for further information on the Firm’s accounting policies on loan modifications and the allowance for credit losses.
The effectiveness of the Firm’s actions in helping borrowers recover and in mitigating the Firm’s credit losses remains uncertain in light of the unpredictable nature and duration of the COVID-19 pandemic. Assistance provided in response to the COVID-19 pandemic could delay the recognition of delinquencies, nonaccrual status, and net charge-offs for those customers and clients who would have otherwise moved into past due or nonaccrual status. Refer to Consumer Credit Portfolio on pages 62-66 and Wholesale Credit Portfolio on pages 67-76 for information on loan modifications as of September 30, 2020.
In the following tables, reported loans include loans retained (i.e., held-for-investment); loans held-for-sale; and certain loans accounted for at fair value. The following tables do not include loans which the Firm accounts for at fair value and classifies as trading assets; refer to Notes 2 and 3 for further information regarding these loans. Refer to Notes 11, 22,12, 23, and 45 for additional information on the Firm’s loans, lending-related commitmentscommitments 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-K62-66 and Note 11 of this Form 10-Q12 for a further discussiondiscussions of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 112–119 of JPMorgan Chase’s 2018 Form 10-K67-76 and Note 11 of this Form 10-Q12 for a further discussiondiscussions 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-sale10,571
11,988
 88
—
Loans at fair value5,760
3,151
 176
220
Total loans–reported945,218
984,554
 4,951
4,831
Derivative receivables55,577
54,213
 26
60
Receivables from customers and other(a)
32,236
30,217
 —
—
Total credit-related assets1,033,031
1,068,984
 4,977
4,891
Assets acquired in loan satisfactions     
Real estate ownedNA
NA
 340
269
OtherNA
NA
 26
30
Total assets acquired in loan satisfactions
NA
NA
 366
299
Lending-related commitments1,095,090
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

60


(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     
Loans932,493
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     
Loans0.58%0.43% 0.59%0.52%
Loans – excluding PCI0.60
0.45
 0.60
0.54
Total credit portfolio
Credit exposure
Nonperforming(f)(g)
(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Loans retained$945,537 $945,601 $8,792 $3,983 
Loans held-for-sale5,983 7,064 200 7 
Loans at fair value(a)
38,220 44,955 2,010 647 
Total loans–reported989,740 997,620 11,002 4,637 
Derivative receivables76,626 49,766 140 30 
Receivables from customers and other(b)
30,847 33,706 — — 
Total credit-related assets1,097,213 1,081,092 11,142 4,667 
Assets acquired in loan satisfactions
Real estate ownedNANA298 344 
OtherNANA22 43 
Total assets acquired in loan satisfactions
NANA320 387 
Lending-related commitments(a)
1,150,520 1,108,399 607 474 
Total credit portfolio$2,247,733 $2,189,491 $12,069 $5,528 
Credit derivatives used
in credit portfolio management activities(c)(d)
$(27,274)$(18,530)$— $— 
Liquid securities and other collateral held against derivatives(e)
(20,384)(16,009)NANA
(in millions,
except ratios)		Three months ended September 30,Nine months ended
September 30,
2020201920202019
Net charge-offs$1,180 $1,371 $4,209 $4,135 
Average retained loans950,850 932,493 962,054 944,666 
Net charge-off rates0.49 %0.58 %0.58 %0.59 %
(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”).
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Receivables from customers and other reflect brokerage-related held-for-investment customer receivables.
(c)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 76 and Note 5 for additional information.
(d)Prior-period amount has been revised to conform with the current presentation.
(e)Includes collateral related to derivative instruments where appropriate legal opinions have not been either sought or obtained with respect to master netting agreements.
(f)At both September 30, 2020, and December 31, 2019, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (a) above for additional information. At September 30, 2020, and December 31, 2019, nonperforming assets also excluded real estate owned (“REO”) insured by U.S. government agencies of $10 million and $41 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance issued by the Federal Financial Institutions Examination Council (“FFIEC”).
(g)At September 30, 2020, nonperforming loans included $1.5 billion of PCD loans on nonaccrual status. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.

Paycheck Protection Program
The PPP, established by the CARES Act and implemented by the SBA, provided the Firm with delegated authority to process and originate PPP loans until the program closed in early August 2020. When certain criteria are met, PPP loans are subject to forgiveness and the Firm will receive payment of the forgiveness amount from the SBA. PPP loans have a contractual term of two or five years and provide borrowers with an automatic payment deferral of principal and interest. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. PPP processing fees are deferred and accreted into interest income over the contractual life of the loans, but may be accelerated upon forgiveness or prepayment. The impact on interest income related to PPP loans was not material for the three and nine months ended September 30, 2020.
At September 30, 2020, the Firm had approximately $28 billion of loans under the PPP, of which $20 billion and $8 billion are in Consumer and Wholesale, respectively.
61


CONSUMER CREDIT PORTFOLIO
The Firm’s retained consumer portfolio consists primarily of residential real estate loans, credit card loans, scored 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.loans, as well as the Firm’s nonaccrual and charge-off accounting policies. Refer to Note 22 of this Form 10-Q and Note 27 of JPMorgan Chase’s 2018 Form 10-K23 for further information on lending-related commitments.
Weakness in the macroeconomic environment driven by the impacts of the COVID-19 pandemic, resulted in an increase in the allowance for credit losses in the first half of 2020. The continuation or worsening of the effects of the COVID-19 pandemic on the macroeconomic environment and the extent to which customer assistance and government stimulus efforts are effective could result in further impacts to credit quality metrics, including delinquencies, nonaccrual loans and charge-offs.
The following table presents consumer credit-related information with respect to the scored credit portfolioportfolios held byin CCB, AWM, CIB and Corporate.
Consumer credit portfolio
Three months ended September 30,Nine months ended September 30,
(in millions, except ratios)Credit exposure
Nonaccrual loans(j)(k)(l)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(m)
Net charge-offs/(recoveries)
Net charge-off/(recovery) rate(m)
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		20202019202020192020201920202019
Consumer, excluding credit card
Residential real estate(a)
$229,751 $243,317 $4,909 $2,780 $10 $(40)0.02 %(0.06)%$(115)$(72)(0.06)%(0.04)%
Auto and other(b)(c)(d)
75,355 51,682 138 146 50 121 0.27 (d)0.93 252 327 0.53 (d)0.84 
Total loans – retained305,106 294,999 5,047 2,926 60 81 0.08 0.11 137 255 0.06 0.11 
Loans held-for-sale1,391 3,002 — 2 NANANANANANANANA
Loans at fair value(e)(f)
15,601 19,816 1,358 438 NANANANANANANANA
Total consumer, excluding credit card loans322,098 317,817 6,405 3,366 60 81 0.08 0.11 137 255 0.06 0.11 
Lending-related commitments(g)
46,425 40,169 
Total consumer exposure, excluding credit card368,523 357,986 
Credit card
Loans retained(h)
139,590 168,924 — — 1,028 1,175 2.92 2.95 3,519 3,617 3.17 3.13 
Loans held-for-sale787 — — — NANANANANANANANA
Total credit card loans140,377 168,924 — — 1,028 1,175 2.92 2.95 3,519 3,617 3.17 3.13 
Lending-related commitments(g)(i)
662,860 650,720 
Total credit card exposure(i)
803,237 819,644 
Total consumer credit portfolio(i)
$1,171,760 $1,177,630 $6,405 $3,366 $1,088 $1,256 0.97 %1.08 %$3,656 $3,872 1.09 %1.09 %
(a)Includes scored prime mortgage and scored home equity loans held byin CCB and AWM, and primescored mortgage loans held byin Corporate.
(b)At September 30, 2020 and December 31, 2019, excluded operating lease assets of $21.2 billion and $22.8 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K17 for further information.
(c)Includes scored auto and business banking loans and overdrafts.
(d)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. Given that PPP loans are guaranteed by the SBA, the Firm does not expect to realize material credit losses on these loans. Refer to Credit Portfolio on pages 60-61 for a further discussion of the PPP.
(e)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(f)Includes scored mortgage loans held in CCB and CIB.
(g)Credit card, home equity and certain business banking lending-related commitments represent the total available lines of credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit would be used at the same time. For credit card commitments, and if certain conditions are met, home equity commitments and certain business banking commitments, the Firm can reduce or cancel these lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to Note 23 for further information.
(h)Includes billed interest and fees.
(i)Also includes commercial card lending-related commitments primarily in CB and CIB.
(j)At both September 30, 2020 and December 31, 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (e) above for additional information. 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.
(k)At September 30, 2020, nonaccrual loans included $1.5 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(l)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lower of amortized cost or fair value of the underlying collateral less costs to sell.
(m)Average consumer loans held-for-sale and loans at fair value were $16.0 billion and $24.8 billion for the three months ended September 30, 2020 and 2019, respectively, and were $18.2 billion and $18.8 billion for the nine months ended September 30, 2020 and 2019, respectively. Prior-period amounts have been revised to conform with the current presentation, refer to footnote (e) above for additional information. These amounts were excluded when calculating net charge-off/(recovery) rates.
62


Consumer assistance
In March 2020, the Firm began providing assistance to customers in response to the COVID-19 pandemic, predominantly in the form of payment deferrals.
As of September 30, 2020, the Firm had $12.3 billion of loans under payment deferral programs, which represented a decrease of approximately $16.0 billion from June 30, 2020. During the third quarter of 2020, there were approximately $2.2 billion of new enrollments in payment deferral programs largely in the residential real estate loan class. Predominantly all borrowers that exited payment deferral programs are current. The Firm continues to monitor the credit risk associated with loans subject to payment deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments and considers expected losses of principal and accrued interest on these loans in its allowance for credit losses.
The following table presents information aboutrelated to the $12.3 billion and $28.3 billion unpaid principal balance of retained loans under payment deferral programs as of September 30, 2020 and June 30, 2020, respectively, and those that have exited payment deferral programs as of September 30, 2020.
September 30, 2020June 30, 2020
(in millions, except ratios)Loan balance
Percent of loan class balance(d)
Percent of accounts who exited payment deferral and are currentLoan balance
Percent of loan class balance(d)
Type of assistance
Residential real estate(a)
$11,458 5.0 %88 %$20,548 8.7 %Rolling three month payment deferral up to one year; final work-out is determined at the end of the deferral period with most common being deferred payments are due at the end of the loan term
Auto and other(b)
457 0.6 95 3,357 4.6 
•Auto: Currently offering one month payment deferral (initially offered three month payment deferral). Maturity date is extended by number of months deferred
•Business Banking: Three month deferral with automatic deferment to either maturity (loan) or one year forward (line)
Credit card368 0.3 91 4,384 3.1 Currently offering deferral of one month minimum payment (initially offered three month minimum payment deferral). Interest continues to accrue during the deferral period and is added to the principal balance
Total consumer(c)
$12,283 2.8 %92 %$28,289 6.3 %
(a)Excludes $17.1 billion and $34.0 billion of third-party mortgage loans serviced at September 30, 2020 and June 30, 2020, respectively.
(b)Excludes risk-rated business banking and auto dealer loans held in CCB and auto operating lease assets that were still under payment deferral programs as of September 30, 2020 and June 30, 2020. Auto operating lease asset payment assistance is currently offering one month payment deferral (initially offered three month payment deferral). Deferrals do not extend the term of the lease and all deferred payments are due at the end of the lease term.
(c)Includes $3.8 billion and $5.7 billion of loans that were accounted for as TDRs prior to payment deferral as of September 30, 2020 and June 30, 2020, respectively.
(d)Represents the unpaid principal balance of retained loans which were still under payment deferral programs, divided by the total unpaid principal balance of the respective loan classes retained loans.

Of the $12.3 billion of loans still under payment deferral programs as of September 30, 2020, approximately $3.9 billion were accounted for as TDRs, either because they were accounted for as TDRs prior to payment deferral, or because they did not qualify for or the Firm did not elect the option to suspend TDR accounting guidance provided under section 4013 of the CARES Act. All or a portion of the remaining $8.4 billion of loans could become TDRs in future periods, depending on the nature and timing of further modifications or payment arrangements offered to these borrowers. If the remaining $8.4 billion of loans were considered TDRs, the Firm estimates that it would result in an increase in standardized RWA of as much as $4.1 billion.
Predominantly all borrowers were current upon enrollment in payment deferral programs and are expected to exit payment deferral programs in a current status, either because no payments are contractually due during the deferral period or because payments originally contractually due during the deferral period will be modified to be due at maturity upon exit. For those borrowers that are not modified upon exit from payment deferral programs and are unable to resume making payments in accordance with the contractual terms of their agreements, they will be placed on nonaccrual status in line with the Firm’s nonaccrual policy, except for credit cards as permitted by regulatory guidance, and charged off in accordance with the Firm’s charge-off policies. Refer to Note 12 for additional information on the Firm’s nonaccrual and charge-off accounting policies.
63


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 equity24,954
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-sale310,519
349,603
 3,217
3,461
 88
7
 0.11
0.01
 282
95
 0.11
0.04
Loans – PCI                 
Home equity7,753
8,963
 NA
NA
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Prime mortgage4,164
4,690
 NA
NA
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Subprime mortgage1,797
1,945
 NA
NA
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Option ARMs7,576
8,436
 NA
NA
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Total loans – PCI21,290
24,034
 NA
NA
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Total loans – retained331,809
373,637
 3,217
3,461
 88
7
 0.10
0.01
 282
95
 0.11
0.03
Loans held-for-sale4,821
95
 2
—
 NA
NA
 NA
NA
 NA
NA
 NA
NA
Total consumer, excluding credit card loans336,630
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 customers18
154
               
Total consumer exposure, excluding credit card390,239
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 loans159,571
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 exposure805,451
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.

Consumer, excluding credit card
Portfolio analysis
Loan balances decreasedincreased from December 31, 20182019 due predominantly to PPP loan originations in Business Banking, partially offset by lower residential real estate loans, predominantly driven byreflecting paydowns and 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:real estate: The residential mortgagereal estate portfolio, including loans held-for-sale and loans at fair value, predominantly consists of prime mortgage loans.loans and home equity lines of credit. The portfolio decreased from December 31, 20182019 driven by paydowns and 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. Retained nonaccrual loans increased from December 31, 2019 due predominantly to the inclusion of PCD loans, which prior to the adoption of CECL were considered performing PCI loans and customers that have exited COVID-19 payment deferral programs and are 90 or more days past due. Net recoveriescharge-offs for the three and nine months ended September 30, 20192020 were lowerhigher when compared with the same periodsperiod in the prior year as the current quarter included losses associated with the PCD portfolio, as well as loans charged down to the lower of amortized cost or fair value of the underlying collateral less costs to sell related to certain customers that have exited COVID-19 payment deferral programs and are 90 or more days past due. Net recoveries for the nine months ended September 30, 2020 were higher when compared with the same period in the prior year as the current year benefited from larger recoveriesa recovery on a loan sales.sale.
The carrying value of home equity lines of credit outstanding was $25.8 billion at September 30, 2020. This amount included $9.1 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $8.1 billion of interest-only balloon HELOCs, which primarily mature after 2030. The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are exhibiting a material deterioration in their credit risk profile.
At September 30, 2019,2020, and December 31, 2018,2019, the Firm’scarrying value of interest-only residential mortgage portfolio included $21.8loans were $24.8 billion and $21.6$22.5 billion, respectively, of interest-only loans.respectively. These loans have an interest-only payment period generally followed by an adjustable-rate or fixed-rate fully amortizing payment period to maturity and are typically originated as higher-balance loans to higher-income borrowers, predominantly in AWM. Performance of this portfolio for the three and nine months ended September 30, 20192020 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.held-for-sale and loans at fair value. The Firm monitors its exposure to certain potential unrecoverable claim payments related to government-insured loans and considers this exposure in estimating the allowance for loan losses.
(in millions)September 30,
2019
December 31,
2018
Current$2,100
$2,884
30-89 days past due1,054
1,528
90 or more days past due1,602
2,600
Total government guaranteed loans$4,756
$7,012
(in millions)September 30,
2020		December 31,
2019
Current$422 $1,432 
30-89 days past due259 704 
90 or more days past due1,148 1,090 
Total government guaranteed loans(a)
$1,829 $3,226 
Home equity:(a)The home equity portfolio declinedIn the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions 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-onlytrading assets to fully amortizing payments orloans. Prior-period amounts 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 linerevised 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 comparedconform with the same period in the prior year due primarily to higher deposit overdraft losses.current presentation.
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.

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 mortgage4.1
 4.1
 3.9
 3.9
Subprime mortgage3.3
 3.3
 3.2
 3.2
Option ARMs10.3
 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 and current estimated loan-to-value ratio of residential real estate loans
Refer to Note 1112 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 forModified 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.difficulty, which include both TDRs and modified loans accounted for as PCI loans prior to the adoption of CECL. The following table does not include loans with short-term or other insignificant modifications that are not considered concessions and, therefore, are not TDRs. Refer to Note 1112 for further information on modifications for the three and nine months ended September 30, 2020 and 2019.
(in millions)September 30, 2020December 31, 2019
Retained loans(a)
$15,877 $5,926 
PCI loansNA12,372 (d)
Nonaccrual retained loans(b)(c)
$3,716 $2,332 
(a)At September 30, 2020, and December 31, 2019, $6 million and 2018.$14 million, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., Federal Housing Administration (“FHA”), U.S. Department of Veterans Affairs (“VA”), Rural Housing Service of the U.S. Department of Agriculture (“RHS”)) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. Refer to Note 14 for additional information about sales of loans in securitization transactions with Ginnie Mae.
(b)At September 30, 2020, and December 31, 2019, nonaccrual loans included $2.5 billion and $1.9 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. Refer to Note 12 for additional information about loans modified in a TDR that are on nonaccrual status.
(c)At September 30, 2020, nonaccrual loans included $1.2 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(d)Amount represents the unpaid principal balance of modified PCI loans at December 31, 2019, which were moved to retained loans upon the adoption of CECL.
64


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 equity1,961
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 mortgage2,929
NA
 3,179
NA
Subprime mortgage1,919
NA
 2,041
NA
Option ARMs5,879
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.

Auto and other: The auto and other loan portfolio predominantly consists of prime-quality scored auto and business banking loans, as well as overdrafts. The portfolio increased when compared with December 31, 2019, predominantly due to PPP loan originations of $21.9 billion in Business Banking of which $20.3 billion remained outstanding at September 30, 2020 as well as from growth in the auto portfolio from loan originations, partially offset by paydowns and charge-offs or liquidation of delinquent loans. The scored auto portfolio net charge-off rates were 0.04% and 0.41% for the three months ended September 30, 2020 and 2019, respectively, and 0.28% and 0.42% for the nine months ended September 30, 2020 and 2019, respectively. Auto charge-offs for the three months ended September 30, 2020 benefited from payment assistance programs and high vehicle collateral values.
Nonperforming assets
The following table presents information as of September 30, 2019,2020, and December 31, 2018,2019, about consumer, excluding credit card, nonperforming assets.
Nonperforming assets(a)
(in millions)September 30,
2020		December 31,
2019
Nonaccrual loans
Residential real estate(b)(c)(d)
$6,267 $3,220 
Auto and other138 146 
Total nonaccrual loans6,405 3,366 
Assets acquired in loan satisfactions
Real estate owned(e)
175 229 
Other22 24 
Total assets acquired in loan satisfactions197 253 
Total nonperforming assets$6,602 $3,619 
Nonperforming assets(a)
   
(in millions)September 30,
2019
 December 31,
2018
Nonaccrual loans(b)
   
Residential real estate$2,839
 $3,088
Other consumer380
 373
Total nonaccrual loans3,219
 3,461
Assets acquired in loan satisfactions   
Real estate owned(c)
209
 196
Other26
 30
Total assets acquired in loan satisfactions235
 226
Total nonperforming assets$3,454
 $3,687
(a)(a)At both September 30, 2020, and December 31, 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 and insured by U.S. government agencies of $1.1 billion. Prior-period amount has been revised to conform with the current presentation, refer to footnote (b) below for additional information. At September 30, 2020, and December 31, 2019, nonperforming assets also excluded REO insured by U.S. government agencies of $10 million and $41 million, respectively. These amounts have been excluded based upon the government guarantee.
(b)In the aggregate,third quarter of 2020, the unpaid principal balance of residential real estateFirm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(c)Generally excludes loans greater than 150under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 payment deferral programs and are 90 or more days past due, waspredominantly all of which were considered collateral-dependent and charged down by approximately 31% and 32% to the estimated net realizablelower of amortized cost or fair value of the underlying collateral atless costs to sell.
(d)At September 30, 2019, and December 31, 2018, respectively.2020, nonaccrual loans included $1.5 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(e)Prior-period amount has been revised to conform with the current presentation.
Nonaccrual loans: loans
The following table presents changes in consumer, excluding credit card, nonaccrual loans for the nine months ended September 30, 20192020 and 2018.2019.
Nonaccrual loan activity(a)
Nine months ended September 30,
(in millions)		20202019
Beginning balance$3,366 $3,853 
Additions:
PCD loans, upon adoption of CECL708 NA
Other additions4,109 (c)1,635 
Total additions4,817 1,635 
Reductions:
Principal payments and other(b)
508 878 
Charge-offs319 271 
Returned to performing status619 591 
Foreclosures and other liquidations332 292 
Total reductions1,778 2,032 
Net changes3,039 (397)
Ending balance$6,405 $3,456 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Other reductions includes loan sales.
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
(c)Includes loans to customers that have exited COVID-19 payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lower of amortized cost or fair value of the underlying collateral less costs to sell.
(a)Other reductions includes loan sales.
Active and suspended foreclosure: Refer to Note 1112 for information on loans that were in the process of active or suspended foreclosure.
Refer to Note 12 for further information about the consumer credit portfolio, including information about delinquencies, loan modifications and other credit quality indicators.
Purchased credit deteriorated (“PCD”) loans
The following tables provide credit-related information for PCD loans, which were accounted for as PCI loans prior to the adoption of CECL. PCI loans are considered PCD loans under CECL and are subject to the Firm’s nonaccrual and charge-off policies. PCD loans are now reported in the consumer, excluding credit card portfolio’s residential real estate class. Refer to Note 1 for further information.
(in millions, except ratios)September 30,
2020		December 31,
2019
Loan delinquency(a)
Current$16,586 $18,571 
30-149 days past due595 970 
150 or more days past due758 822 
Total PCD loans$17,939 $20,363 
% of 30+ days past due to total retained PCD loans7.54 %8.80 %
Nonaccrual loans$1,510 NA
(in millions, except ratios)Three months ended September 30, 2020 Nine months ended September 30, 2020
Net charge-offs$33 $66 
Net charge-off rate0.71 %0.46 %
(a)At September 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
65


Credit card
Total credit card loans increaseddecreased from December 31, 20182019 reflecting increaseda decline in sales volumes from existing customersvolume beginning in March as a result of the COVID-19 pandemic and new account growth, partially offset by the impact of seasonality. The September 30, 2020 30+ and 90+ day delinquency rates of 1.57% and 0.69%, respectively, decreased compared to the December 31, 2019 30+ and 90+ day delinquency rates of 1.84%1.87% and 0.90%0.95%, respectively, were relatively flat compared to the December 31, 2018 30+ and 90+ dayrespectively. The delinquency rates of 1.83%were positively impacted by borrowers who received payment assistance and 0.92%, respectively.government stimulus. Net charge-offs increaseddecreased for the three and nine months ended September 30, 2019 when2020 compared with the same period in the prior year due to loan growth,reflecting lower charge-offs and higher recoveries, and benefited from the effect of payment assistance and government stimulus programs. Net charge-offs decreased for the nine months ended September 30, 2020 compared with the same period in line with expectations.the prior year reflecting higher recoveries.
Consistent with the Firm’s policy, all credit card loans typically remain on accrual status until charged off. However, the Firm establishes anFirm’s allowance which is offset against loans and reduces interest income, for loan losses includes the estimated uncollectible portion of accrued and billed interest and fee income. Refer to Note 12 for further information about this portfolio, including information about delinquencies.
Geographic and FICO composition of credit card loans
Refer to Note 1112 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, 2018,2020 the Firm had $1.4 billion and $1.3 billion, respectively, of credit card loans outstanding that have been modified in TDRs.TDRs, which does not include loans with short-term or other insignificant modifications that are not considered TDRs, compared to $1.5 billion at December 31, 2019. Refer to Note 1112 for additional information about loan modification programs to borrowers.

66


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.
Refer to the industry discussion on pages 69-73 for further information.
In the following tables, theThe Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate. It excludes all exposure managed by CCB, scored prime mortgageCorporate, as well as risk-rated business banking and scored home equity loansauto dealer exposures held in CCB for which the wholesale methodology is applied when determining the allowance for credit losses.
The macroeconomic environment, driven by the impacts of the COVID-19 pandemic, has resulted in broad-based credit deterioration and an increase in the allowance for credit losses. In the nine months ended September 30, 2020, the investment-grade percentage of the portfolio decreased from 74% to 71%, and criticized exposure increased $22.3 billion from $15.1 billion to $37.4 billion, primarily driven by downgrade activity in the first half of the year. The increase in criticized exposure was largely driven by downgrades in Consumer & Retail and Oil & Gas. The continuation or worsening of the effects of the COVID-19 pandemic on the macroeconomic environment could result in further impacts to credit quality metrics, including investment-grade percentages, as well as to criticized and nonperforming exposures and charge-offs.
Lending-related commitments and retained loans increased by $23.7 billion and $19.2 billion, respectively, in the nine months ended September 30, 2020, driven by increases across CB, AWM and prime mortgageCIB, including loans heldunder the PPP. Outstanding loan balances under committed revolving credit facilities as of September 30, 2020 have returned to near the levels that existed before the increased drawdown activity in Corporate.March as a result of the COVID-19 pandemic.











Wholesale credit portfolio
Credit exposure
Nonperforming(e)
(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Loans retained$500,841 $481,678 $3,745 $1,057 
Loans held-for-sale3,805 4,062 200 5 
Loans at fair value(a)
22,619 25,139 652 209 
Loans – reported527,265 510,879 4,597 1,271 
Derivative receivables76,626 49,766 140 30 
Receivables from customers and other(b)
30,847 33,706 — — 
Total wholesale credit-related assets634,738 594,351 4,737 1,301 
Assets acquired in loan satisfactions
Real estate owned(c)
NANA123 115 
OtherNANA— 19 
Total assets acquired in loan satisfactionsNANA123 134 
Lending-related commitments(a)
441,235 417,510 607 474 
Total wholesale credit portfolio$1,075,973 $1,011,861 $5,467 $1,909 
Credit derivatives used
in credit portfolio management activities(c)(d)
$(27,274)$(18,530)$— $— 
Liquid securities and other collateral held against derivatives(20,384)(16,009)NANA
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Receivables from customers and other reflect brokerage-related held-for-investment customer receivables to clients in CIB and AWM; these are classified in accrued interest and accounts receivable on the Consolidated balance sheets.
(c)Prior-period amounts have been revised to conform with the current presentation.
(d)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 76 and Note 5 for additional information.
(e)Loans that were modified in response to the COVID-19 pandemic continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of September 30, 2020, predominantly all of these loans were considered performing.


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-sale5,750
11,877
 86
—
Loans at fair value5,760
3,151
 176
220
Loans – reported449,017
454,190
 1,732
1,370
Derivative receivables55,577
54,213
 26
60
Receivables from customers and other(a)
32,218
30,063
 —
—
Total wholesale credit-related assets536,812
538,466
 1,758
1,430
Lending-related commitments395,619
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
67
(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.



Wholesale assistance
In March 2020, the Firm began providing assistance to clients in response to the COVID-19 pandemic, predominantly in the form of payment deferrals and covenant modifications.
As of September 30, 2020, the Firm had approximately $6.3 billion of retained loans still under payment deferral, which has decreased approximately $10.5 billion from the second quarter, predominantly driven by $8.8 billion of loans to performing auto dealer clients where the deferral period ended on June 30, 2020. Predominantly all clients coming out of deferral are current, and the Firm has not experienced significant new payment deferral requests. The remaining deferrals are largely concentrated in Real Estate, predominantly within multifamily and retail, nearly all of which are scheduled to resume payments in the fourth quarter. The Firm continues to monitor the credit risk associated with loans subject to deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments and considers expected losses of principal and accrued interest on these loans in its allowance for credit losses.

(in millions, except ratios)		September 30, 2020June 30, 2020
IndustryLoan balance
Percent of total industry loan balance(a)
IG percentage of loan balance in payment deferralLoan balance
Percent of total industry loan balance(a)
IG percentage of loan balance in payment deferral
Real Estate$4,385 4 %61 %$5,211 4 %64 %
Individuals and Individual Entities691 1 10 809 1 9 
Consumer & Retail413 1 6 690 1 4 
Healthcare100 — 7 300 1 16 
Industrials91 — 5 335 1 10 
Automotive15 — — 8,827 46 72 
All other industries579 — 70 603 — 55 
Total wholesale$6,274 1 %51 %$16,775 3 %61 %
(a)Represents the balance of the retained loans which were still under payment deferral, divided by the respective industry total retained loans balance.
In addition, the Firm granted assistance in the form of covenant modifications. These types of assistance, both payment deferrals and covenant modifications, are generally not reported as TDRs, either because the modifications were insignificant or they qualified for the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act. These loans continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of September 30, 2020, predominantly all of these loans were considered performing.
Wholesale credit exposure – maturity and ratings profile
The following tables present the maturity and internal risk ratings profiles of the wholesale credit portfolio as of September 30, 2019,2020, and December 31, 2018.2019. The Firm considers internal ratings scaleequivalent to BBB-/Baa3 or higher as investment grade. Refer to Note 12 for further information on internal risk ratings.
Maturity profile(f)
Ratings profile
Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
September 30, 2020
(in millions, except ratios)
Loans retained$154,371 $211,770 $134,700 $500,841 $364,180 $136,661 $500,841 73 %
Derivative receivables76,626 76,626 
Less: Liquid securities and other collateral held against derivatives(20,384)(20,384)
Total derivative receivables, net of collateral12,644 15,455 28,143 56,242 35,608 20,634 56,242 63 
Lending-related commitments(a)
117,008 307,136 17,091 441,235 310,803 130,432 441,235 70 
Subtotal284,023 534,361 179,934 998,318 710,591 287,727 998,318 71 
Loans held-for-sale and loans at fair value(a)(b)
26,424 26,424 
Receivables from customers and other30,847 30,847 
Total exposure – net of liquid securities and other collateral held against derivatives$1,055,589 $1,055,589 
Credit derivatives used in credit portfolio management activities(c)(d)
$(12,739)$(11,260)$(3,275)$(27,274)$(21,140)$(6,134)$(27,274)78 %
68


Maturity profile(f)
Ratings profile
Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotalInvestment-gradeNoninvestment-gradeTotalTotal % of IG
December 31, 2019
(in millions, except ratios)
Loans retained$141,620 $218,323 $121,735 $481,678 $363,444 $118,234 $481,678 75 %
Derivative receivables49,766 49,766 
Less: Liquid securities and other collateral held against derivatives(16,009)(16,009)
Total derivative receivables, net of collateral6,561 6,960 20,236 33,757 26,966 6,791 33,757 80 
Lending-related commitments(a)
86,934 317,042 13,534 417,510 296,702 120,808 417,510 71 
Subtotal235,115 542,325 155,505 932,945 687,112 245,833 932,945 74 
Loans held-for-sale and loans at fair value(a)(b)
29,201 29,201 
Receivables from customers and other33,706 33,706 
Total exposure – net of liquid securities and other collateral held against derivatives$995,852 $995,852 
Credit derivatives used in credit portfolio management activities(c)(d)(e)
$(5,412)$(10,031)$(3,087)$(18,530)$(16,724)$(1,806)$(18,530)90 %
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(b)Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(c)These derivatives do not qualify for hedge accounting under U.S. GAAP.
(d)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the Firm’s internal risk ratings of the reference entity on which generally correspondprotection 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.
(e)Prior-period amounts have been revised to conform with the ratings assigned by S&Pcurrent presentation.
(f)The maturity profile of retained loans, lending-related commitments and Moody’s. Referderivative receivables is based on the remaining contractual maturity. Derivative contracts that are in a receivable position at September 30, 2020, may become payable prior to Note 12 of JPMorgan Chase’s 2018 Form 10-K for additional informationmaturity based on wholesale loan portfolio risk ratings.
Wholesale credit exposure – maturity and ratings profile      
 
Maturity profile(d)
 Ratings profile
 Due in 1 year or lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % of 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 collateral8,332
8,263
23,500
40,095
 32,535
 7,560
40,095
81
Lending-related commitments75,484
307,093
13,042
395,619
 291,144
 104,475
395,619
74
Subtotal216,704
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 lessDue after 1 year through 5 yearsDue after 5 yearsTotal Investment-grade Noninvestment-gradeTotalTotal % 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 collateral11,038
9,169
18,684
38,891
 31,794
 7,097
38,891
82
Lending-related commitments79,400
294,855
13,558
387,813
 288,724
 99,089
387,813
74
Subtotal228,896
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.

their cash flow profile or changes in market conditions.
Wholesale credit exposure – industry exposures
The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns. Exposures deemed criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful
categories.
categories. The totalTotal criticized component of the portfolio,exposure excluding loans held-for-sale and loans at fair value, was $12.8$37.4 billion at September 30, 2019,2020, compared with $12.1$15.1 billion at December 31, 2018.2019, representing approximately 3.5% and 1.5% of total wholesale credit exposure, respectively. The increase in total criticized exposure was largely driven by select client downgrades across a numberin Consumer & Retail and Oil & Gas due to impacts from the COVID-19 pandemic. Predominantly all of sectors.the $37.4 billion was performing and approximately half was undrawn.
69


Below are summaries of the Firm’s exposures as of September 30, 2019,2020, and December 31, 2018.2019. The industry of risk category is generally based on the client or counterparty’s primary business activity.
Wholesale credit exposure – industries(a)
Selected metrics
30 days or more past due and accruing
loans (h)
Net
charge-offs/
(recoveries)
Credit derivative hedges(i)
Liquid securities
and other collateral held against derivative
receivables
Noninvestment-grade
As of or for the nine months ended
Credit exposure(f)(g)
Investment- grade(g)
Noncriticized(g)
Criticized performingCriticized nonperforming
September 30, 2020
(in millions)
Real Estate$147,483 $115,849 $28,567 $2,500 $567 $87 $6 $(2,125)$(3)
Individuals and Individual Entities(b)
115,469 100,855 13,618 228 768 813 — — (718)
Consumer & Retail107,037 55,162 43,186 8,212 477 121 48 (296)(4)
Industrials68,950 38,983 27,697 1,979 291 190 73 (765)(27)
Technology, Media &
Telecommunications		64,800 35,996 23,769 4,791 244 18 43 (971)(29)
Asset Managers61,569 53,400 7,967 188 14 15 — — (5,502)
Healthcare59,864 44,190 13,770 1,694 210 27 99 (400)(294)
Banks & Finance Cos53,385 37,773 14,971 586 55 54 13 (1,494)(3,391)
Automotive40,930 23,486 15,465 1,937 42 18 26 (603)— 
Oil & Gas40,431 19,016 15,410 5,196 809 8 194 (376)(1)
State & Municipal Govt(c)
37,472 36,922 542 — 8 14 — — (147)
Utilities30,135 22,874 6,606 595 60 — (7)(402)(20)
Transportation17,154 7,658 6,394 2,742 360 38 40 (122)(31)
Chemicals & Plastics16,780 10,702 5,346 705 27 7 — (80)— 
Central Govt16,265 15,996 269 — — — — (8,602)(2,574)
Metals & Mining15,900 6,415 8,536 782 167 5 10 (144)(12)
Insurance13,509 10,440 3,046 20 3 4 — (37)(2,342)
Financial Markets Infrastructure10,311 10,055 256 — — — — — (11)
Securities Firms8,092 6,426 1,644 9 13 — 12 (49)(3,473)
All other(d)
93,166 76,747 15,334 708 377 19 (4)(10,808)(1,805)
Subtotal$1,018,702 $728,945 $252,393 $32,872 $4,492 $1,438 $553 $(27,274)$(20,384)
Loans held-for-sale and loans at fair value26,424 
Receivables from customers and other30,847 
Total(e)
$1,075,973 



















70




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

Receivables from customers and other33,706 
Total(e)
$1,011,861 
(a)The industry rankings presented in the table as of December 31, 2019, are based on the industry rankings of the corresponding exposures at September 30, 2020, not actual rankings of such exposures at December 31, 2019.
(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, 2020, and December 31, 2019, noted above, the Firm held: $7.5 billion and $6.5 billion, respectively, of trading assets; $20.9 billion and $29.8 billion, respectively, of AFS securities; and $12.8 billion and $4.8 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 42 and Note 10 for further information.
(d)All other includes: SPEs and Private education and civic organizations, representing approximately 91% and 9%, respectively, at September 30, 2020, and 90% and 10%, respectively, at December 31, 2019.
(e)Excludes cash placed with banks of JPMorgan Chase’s 2018 Form 10-K$478.4 billion and $254.0 billion, at September 30, 2020, and December 31, 2019, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(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 collateral held against derivative receivables.
(g)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(h)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic.
(i)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 additional informationhedge accounting under U.S. GAAP. The All other category includes purchased credit protection on industry concentrations.certain credit indices.

(j)Prior-period amount has been revised to conform with the current presentation.
71
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 performingCriticized 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 & Retail98,445
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)
Industrials57,085
38,511
 17,203
 1,222
149
158
30
(551)(17)
Banks & Finance Cos53,185
36,764
 15,979
 378
64
27
—
(832)(2,683)
Asset Managers50,119
44,006
 6,096
 4
13
26
—
—
(5,201)
Healthcare48,041
36,641
 10,422
 891
87
40
6
(230)(177)
Oil & Gas44,007
23,882
 18,615
 635
875
9
43
(445)(12)
Utilities29,709
23,543
 5,806
 184
176
10
37
(387)(75)
State & Municipal Govt(c)
26,806
26,287
 519
 —
—
13
—
—
(51)
Chemicals & Plastics16,870
11,311
 5,490
 69
—
1
—
(10)—
Central Govt16,685
16,264
 421
 —
—
1
—
(8,527)(2,836)
Automotive16,430
10,053
 5,978
 399
—
6
—
(172)—
Metals & Mining15,049
8,396
 6,280
 359
14
—
(1)(204)(8)
Transportation14,969
9,196
 5,356
 317
100
37
4
(36)(38)
Insurance13,365
10,517
 2,824
 19
5
—
—
(36)(2,062)
Financial Markets Infrastructure5,775
5,640
 135
 —
—
—
—
—
(7)
Securities Firms4,418
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 value11,510
          
Receivables from customers and other32,218
          
Total(e)
$932,431
          













(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 performingCriticized 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 & Retail94,815
60,678

31,901

2,033
203
43
55
(248)(14)
Technology, Media & Telecommunications72,646
46,334
 24,081
 2,170
61
8
12
(1,011)(12)
Industrials58,528
38,487

18,594

1,311
136
171
20
(207)(29)
Banks & Finance Cos49,920
34,120
 15,496
 299
5
11
—
(575)(2,290)
Asset Managers42,807
36,722

6,067

4
14
10
—
—
(5,829)
Healthcare48,142
36,687

10,625

761
69
23
(5)(150)(133)
Oil & Gas42,600
23,356

17,451

1,158
635
6
36
(248)—
Utilities28,172
23,558

4,326

138
150
—
38
(142)(60)
State & Municipal Govt(c)
27,351
26,746

603

2
—
18
(1)—
(42)
Chemicals & Plastics16,035
11,490

4,427

118
—
4
—
—
—
Central Govt18,456
18,251
 124
 81
—
4
—
(7,994)(2,130)
Automotive17,339
9,637

7,310

392
—
1
—
(125)—
Metals & Mining15,359
8,188

6,767

385
19
1
—
(174)(22)
Transportation15,660
10,508

4,699

393
60
21
6
(31)(112)
Insurance12,639
9,777

2,830

—
32
—
—
(36)(2,080)
Financial Markets Infrastructure7,484
6,746

738

—
—
—
—
—
(26)
Securities Firms4,558
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 value15,028

















Receivables from customers and other30,063


















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.

Real Estate
Presented below is additional informationdetail on certain of the Firm’s largest industry exposures and/or certain industries which present potential heightened credit concerns.
Real Estate industry, to which the Firm has significant exposure.
Real Estate exposure increased $4.1 billion towas $147.5 billion foras of September 30, 2020, of which $86.9 billion is multifamily lending as shown in the table below. During the nine months ended September 30, 2019, and2020, the investment gradefollowing changes were primarily driven by impacts from the COVID-19 pandemic:
•the investment-grade portion of the Real Estate portfolio decreased from 81% to 79%
•the drawn percentage of thethis portfolio remained relatively flat at 83%. Referincreased from 78% to Note 11 for further information on 82%
•criticized exposure increased by $1.6 billion from $1.5 billion to $3.1 billion
September 30, 2020
(in millions, except ratios)
Loans and Lending-related Commitments(d)
Derivative ReceivablesCredit exposure% Investment-grade
% Drawn(e)
Multifamily(a)
$86,631 $240 $86,871 87 %92 %
Office16,363 557 16,920 78 70 
Retail10,654 213 10,867 59 70 
Other Income Producing Properties(b)
10,580 391 10,971 70 68 
Industrial9,041 60 9,101 75 74 
Lodging3,207 5 3,212 23 63 
Services and Non Income Producing9,516 25 9,541 56 50 
Total Real Estate Exposure(c)
145,992 1,491 147,483 79 82 
December 31, 2019
(in millions, except ratios)
Loans and Lending-related Commitments(d)
Derivative
Receivables		Credit exposure% Investment-
grade
% Drawn(e)
Multifamily(a)
$86,381 $58 $86,439 91 %92 %
Office15,734 231 15,965 80 70 
Retail11,347 87 11,434 83 68 
Other Income Producing Properties(b)
14,372 181 14,553 48 45 
Industrial8,842 24 8,866 74 75 
Lodging3,702 19 3,721 51 38 
Services and Non Income Producing9,922 19 9,941 57 47 
Total Real Estate Exposure150,300 619 150,919 81 78 
(a)Multifamily exposure is largely in California.
(b)Other Income Producing Properties consists of clients with diversified property types or other property types outside of multifamily, office, retail, industrial and lodging with less material exposures.
(c)Real Estate exposure is approximately 80% secured; unsecured exposure is approximately 72% investment-grade.
(d)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(e)Represents drawn exposure as a percentage of credit exposure.
Consumer & Retail
Consumer & Retail exposure was $107.0 billion as of September 30, 2020, and predominantly includes Retail, Food and Beverage, and Business and Consumer Services as shown in the table below. During the nine months ended September 30, 2020, the following changes were primarily driven by impacts from the COVID-19 pandemic:
•the investment-grade portion of the Consumer & Retail portfolio decreased from 55% to 52%
•the drawn percentage of this portfolio increased from 35% to 39%
•criticized exposure increased by $6.2 billion from $2.5 billion to $8.7 billion
72


 September 30, 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% 
Other60,968
 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% 
Other57,469
 131
 57,600
 72
 63
 
Total Real Estate Exposure(b)
143,152
 164
 143,316
 82
 81
 
September 30, 2020
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(d)
Retail(a)
$31,842 $1,052 $32,894 49 %36 %
Food and Beverage26,864 768 27,632 61 35 
Business and Consumer Services25,167 552 25,719 50 43 
Consumer Hard Goods12,906 151 13,057 58 38 
Leisure(b)
7,456 279 7,735 22 50 
Total Consumer & Retail(c)
104,235 2,802 107,037 52 39 
December 31, 2019
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(d)
Retail(a)
$29,290 $294 $29,584 54 %37 %
Food and Beverage27,956 625 28,581 67 36 
Business and Consumer Services24,242 249 24,491 51 37 
Consumer Hard Goods13,144 109 13,253 65 35 
Leisure(b)
10,930 147 11,077 21 19 
Total Consumer & Retail105,562 1,424 106,986 55 35 
(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.
(a)Retail consists of Home Improvement & Specialty Retailers, Restaurants, Supermarkets, Discount & Drug Stores, Specialty Apparel and Department Stores.
(b)Leisure consists of Gaming, Arts & Culture, Travel Services and Sports & Recreation. As of September 30, 2020 approximately 80% of the noninvestment-grade Leisure portfolio is secured.
(c)Approximately 80% of the noninvestment-grade portfolio is secured.
(d)Represents drawn exposure as a percent of credit exposure.
Oil & Gas
Oil & Gas exposure was $40.4 billion as of September 30, 2020, including $20.2 billion of Exploration & Production and Oil field Services as shown in the table below. During the nine months ended September 30, 2020, the following changes were driven by lower oil prices and impacts from the COVID-19 pandemic:
•the investment-grade portion of the Oil & Gas portfolio decreased from 53% to 47%
•the drawn percentage of this portfolio increased from 31% to 32%
•criticized exposure increased by $4.4 billion from $1.6 billion to $6.0 billion
September 30, 2020
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field Services$19,418 $804 $20,222 32 %41 %
Other Oil & Gas(a)
19,673 536 20,209 62 23 
Total Oil & Gas(b)
39,091 1,340 40,431 47 32 
December 31, 2019
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative
Receivables		Credit exposure% Investment-
grade
% Drawn(c)
Exploration & Production ("E&P") and Oil field Services$22,543 $646 $23,189 38 %38 %
Other Oil & Gas(a)
18,246 206 18,452 73 23 
Total Oil & Gas(b)
40,789 852 41,641 53 31 
(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.
(b)Secured lending was $13.8 billion and $15.7 billion at September 30, 2020 and December 31, 2019, respectively, approximately half of which is reserve-based lending to the Exploration & Production sub-sector; unsecured exposure is largely investment-grade.
(c)Represents drawn exposure as a percent of credit exposure.
73


Loans
In the normal course of its wholesale business,businesses, the Firm provides loans to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals. Refer to Note 1112 for a further discussion on loans, including information onabout delinquencies, loan modifications and other credit quality indicators and sales of loans.indicators.
The following table presents the change in the nonaccrual loan portfolio for the nine months ended September 30, 20192020 and 2018.2019. The increase was driven by downgrades across multiple industries on client credit deterioration, with the largest concentration in Real Estate, predominantly within retail and lodging.
Wholesale nonaccrual loan activity
Nine months ended September 30,
(in millions)		20202019
Beginning balance$1,271 $1,587 
Additions(a)
5,650 2,303 
Reductions:
Paydowns and other1,381 1,192 
Gross charge-offs614 265 
Returned to performing status238 100 
Sales91 188 
Total reductions2,324 1,745 
Net changes3,326 558 
Ending balance$4,597 $2,145 
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
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the three and nine months ended September 30, 20192020 and 2018.2019. The amounts in the table below do not include gains or losses from sales of nonaccrual loans.
Wholesale net charge-offs/(recoveries)Wholesale net charge-offs/(recoveries)  Wholesale net charge-offs/(recoveries)
(in millions, except ratios)Three months ended
September 30,		 Nine months ended
September 30,		(in millions, except ratios)Three months ended
September 30,		Nine months ended
September 30,
2019
2018
 2019
2018
2020201920202019
Loans – reported   Loans – reported
Average loans retained$433,744
$420,597
 $434,434
$413,537
Average loans retained$504,449 $469,942 $512,137 $471,332 
Gross charge-offs120
23
 270
264
Gross charge-offs150 131 641 307 
Gross recoveries(12)(70) (34)(146)
Gross recoveries collectedGross recoveries collected(58)(16)(88)(45)
Net charge-offs/(recoveries)108
(47) 236
118
Net charge-offs/(recoveries)92 115 553 262 
Net charge-off/(recovery) rate0.10%(0.04)% 0.07%0.04%Net charge-off/(recovery) rate0.07 %0.10 %0.14 %0.07 %
74


Lending-related commitments
The Firm uses lending-related financial instruments, such as commitments (including revolving credit facilities) and guarantees, to address the financing needs of its clients. The contractual amounts of these financial instruments represent the maximum possible credit risk should the clients draw down on these commitments or when the Firm fulfillfulfills 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 arehave historically been refinanced, extended, cancelled, or expireexpired without being drawn upon or a default occurring. InAs a result, the Firm’s view,Firm does not believe that 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 2223 for further information on wholesale lending-related commitments.
Receivables from Customers
Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, liquid and readily marketable debt or equity securities), as such generally no allowance for credit losses is held against these receivables. To manage its credit risk the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.
Derivative contracts
Derivatives enable clients and counterparties to manage risks including credit risk and risks arising from fluctuations in interest rates, foreign exchange, equities, and commodities. The Firm makes markets in derivatives in order to meet these needs and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. The Firm also uses derivative instruments to manage its own credit risk and other market risk exposure. Refer to Note 45 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,
2020		December 31,
2019
Total, net of cash collateral76,626 49,766 
Liquid securities and other collateral held against derivative receivables(a)
(20,384)(16,009)
Total, net of collateral$56,242 $33,757 
(a)Includes collateral related to derivative instruments where appropriate legal opinions have not been either sought or obtained with respect to master netting agreements.
Derivative receivables  
(in millions)September 30,
2019
December 31,
2018
Total, net of cash collateral55,577
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$76.6 billion and $54.2$49.8 billion at September 30, 2019,2020, and December 31, 2018, respectively.2019, respectively, with increases in CIB resulting from market movements. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. However, in management’s view, the appropriate measure of current credit risk should also take into consideration additional liquid securities (primarily U.S. government and agency securities and other groupGroup of sevenSeven nations (“G7”) government securities) and other cash collateral held by the Firm aggregating $15.5$20.4 billion and $15.3$16.0 billion at September 30, 2019,2020, and December 31, 2018,2019, 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, theThe 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 45 for additional information on the Firm’s use of collateral agreements.

















75


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’sFirm considers internal ratings which generally correspondequivalent to the ratingsBBB-/Baa3 or higher as assigned by S&P and Moody’s.investment grade. Refer to Note 12 for further information on internal risk ratings.
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-/A36,106
15
 7,428
19
BBB+/Baa1 to BBB-/Baa315,766
39
 12,536
32
BB+/Ba1 to B-/B37,116
18
 6,373
16
CCC+/Caa1 and below444
1
 723
2
Total$40,095
100% $38,891
100%

Ratings profile of derivative receivables
Internal rating equivalent
September 30, 2020December 31, 2019

(in millions, except ratios)
Exposure net of collateral% of exposure net of collateralExposure net of collateral% of exposure net of collateral
AAA/Aaa to AA-/Aa3$11,465 20 %$8,347 25 %
A+/A1 to A-/A36,323 11 5,471 16 
BBB+/Baa1 to BBB-/Baa317,819 32 13,148 39 
BB+/Ba1 to B-/B318,681 33 6,225 18 
CCC+/Caa1 and below1,954 4 566 2 
Total$56,242 100 %$33,757 100 %
As previously noted, the Firm uses collateral agreements to mitigate counterparty credit risk. The percentage of the Firm’s over-the-counter derivative contracts subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity and centrally cleared trades that are settled daily — was approximately 87% and 90% at both September 30, 2019,2020, and December 31, 2018.2019, respectively.
Credit derivatives
The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker, and second, as an end-user, to manage the Firm’s own credit risk associated with various exposures.
Credit portfolio management activities
Included in the Firm’s end-user activities are credit derivatives used to mitigate the credit risk associated with traditional lending activities (loans and unfundedlending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “credit portfolio management” activities). Information on credit portfolio management activities is provided in the table below.
Credit derivatives used in credit portfolio management activities
Notional amount of protection
purchased and sold(b)
(in millions)September 30,
2020		December 31,
2019
Credit derivatives used to manage:
Loans and lending-related commitments$7,194 $2,047 
Derivative receivables(a)
20,080 16,483 
Credit derivatives used in credit portfolio management activities$27,274 $18,530 
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 receivables13,305
 11,410
Credit derivatives used in credit portfolio management activities$15,031
 $12,682
(a)Prior-period amount has been revised to conform with the current presentation.
(a)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index.
(b)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 45 of this Form 10-Q and Note 5 of JPMorgan Chase’s 20182019 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.
76


ALLOWANCE FOR CREDIT LOSSES
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 1 for further information.
The Firm’s allowance for credit losses comprises:
•the allowance for loan losses, which covers the Firm’s retained consumer and wholesale loan portfolios as well as(scored and risk-rated) and is presented separately on the balance sheet,
•the allowance for lending-related commitments, which is presented on the balance sheet in accounts payable and other liabilities, and
•the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognized within Investment Securities on the balance sheet.
Refer to Note 13 and Note 10 for a description of the policies, methodologies and judgments used to determine the Firm’s allowances for credit losses on loans, lending-related commitments, and investment securities.
The allowance for credit losses increased compared with December 31, 2019, primarily reflecting the deterioration and uncertainty in the macroeconomic environment as a result of the impact of the COVID-19 pandemic, consisting of:
•a net $8.3 billion addition in consumer, predominantly in the credit card and residential real estate portfolios
•a net $6.7 billion addition in wholesale, across the LOBs impacting multiple industry sectors, and
•a net $4.3 billion addition as a result of the adoption of CECL.
Discussion of changes in the allowance during 2020
The increase in the allowance for loan losses and certain consumer lending-related commitments.lending related commitments was primarily driven by an increase in the provision for credit losses, reflecting the deterioration in and uncertainty around the future macroeconomic environment as a result of the impact of the COVID-19 pandemic.
–In the first quarter of 2020, management’s macroeconomic forecast included a decline in the U.S. real GDP of approximately 25% and an increase in the U.S. unemployment rate to above 10%, for the first half of 2020, followed by a solid recovery in the second half of 2020.
–In the second quarter of 2020, based on the increased uncertainty around the duration and depth of the downturn and speed of economic recovery, the Firm’s central case assumptions reflected a more protracted downturn with the slower recovery of U.S. real GDP.
–In the third quarter of 2020, the Firm’s central case assumptions reflected some near term improvement in economic trends, however there is elevated uncertainty around potential impacts to medium and longer term macroeconomic conditions.
In the first, second and third quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as follows:
20202021
4Q2Q4Q
Central case assumptions
U.S. unemployment rate(a)
1Q 20206.6 %5.5 %4.6 %
2Q 202010.9 9.0 7.7 
3Q 20209.5 8.5 7.3 
U.S. real GDP - cumulative change from December 31, 2019
1Q 2020(5.4)(2.3)0.3 
2Q 2020(6.2)(4.0)(3.0)
3Q 2020(5.4)(3.7)(2.4)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
As a result of elevated macroeconomic uncertainty beyond the central case, the Firm continued to place significant weighting on its adverse scenarios, which incorporate more punitive macroeconomic factors than the central case assumptions outlined above, resulting in weighted average U.S. unemployment rates, remaining above ten percent into the fourth quarter of 2021.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.
Refer to Critical Accounting Estimates Used by the Firm on pages 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-K88–90 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 56–59,62-66, Wholesale Credit Portfolio on pages 60–6667-76 and Note 1112 for additional information on the consumer and wholesale credit portfolios.

77


Summary of changes in the allowance for credit losses     
 2019 2018
Nine months ended September 30,
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
(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-offs702
4,050
270
5,022
 776
3,777
264
4,817
Gross recoveries(420)(433)(34)(887) (681)(370)(146)(1,197)
Net charge-offs282
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-based2,066
5,095
3,843
11,004
 2,154
4,613
3,632
10,399
PCI1,256
—
—
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-based33
—
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, average355,865
154,367
434,434
944,666
 374,298
143,931
413,537
931,766
PCI loans, end of period21,290
—
—
21,290
 25,209
—
3
25,212
Credit ratios         
Allowance for loan losses to retained loans1.04%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 card108
NM
285
163
 115
NM
394
175
Net charge-off rates0.11
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 loans0.71
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 card69
NM
285
136
 65
NM
394
135
Net charge-off rates0.11%3.13%0.07%0.60% 0.04%3.16%0.04%0.54%
The adoption of the CECL accounting guidance resulted in a change in the accounting for PCI loans, which are considered PCD loans under CECL. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Note: In
Allowance for credit losses and related information
2020(d)
2019
Nine months ended September 30,Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
(in millions, except ratios)
Allowance for loan losses
Beginning balance at January 1,$2,538 $5,683 $4,902 $13,123 $3,434 $5,184 $4,827 $13,445 
Cumulative effect of a change in accounting principle297 5,517 (1,642)4,172 NANANANA
Gross charge-offs620 4,104 641 5,365 665 4,050 307 5,022 
Gross recoveries collected(483)(585)(88)(1,156)(409)(433)(45)(887)
Net charge-offs137 3,519 553 4,209 256 3,617 262 4,135 
Write-offs of PCI loans(a)
NANANANA132 — — 132 
Provision for loan losses1,803 10,119 5,802 17,724 (227)4,017 258 4,048 
Other1 3 4 — (1)10 9 
Ending balance at September 30,$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Allowance for lending-related commitments
Beginning balance at January 1,$12 $— $1,179 $1,191 $12 $— $1,043 $1,055 
Cumulative effect of a change in accounting principle133 — (35)98 NANANANA
Provision for lending-related commitments71 — 1,464 1,535 — — 110 110 
Other— — (1)(1)— — — — 
Ending balance at September 30,$216 $— $2,607 $2,823 $12 $— $1,153 $1,165 
Impairment methodology
Asset-specific(b)
$228 $652 $792 $1,672 $88 $488 $399 $975 
Portfolio-based4,274 17,148 7,720 29,142 1,475 5,095 4,434 11,004 
PCINANANANA1,256 — — 1,256 
Total allowance for loan losses$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Impairment methodology
Asset-specific$— $— $109 $109 $— $— $135 $135 
Portfolio-based216 — 2,498 2,714 12 — 1,018 1,030 
Total allowance for lending-related commitments$216 $— $2,607 $2,823 $12 $— $1,153 $1,165 
Total allowance for credit losses$4,718 $17,800 $11,119 $33,637 $2,831 $5,583 $5,986 $14,400 
Memo:
Retained loans, end of period$305,106 $139,590 $500,841 $945,537 $295,586 $159,571 $473,730 $928,887 
Retained loans, average301,535 148,382 512,137 962,054 318,967 154,367 471,332 944,666 
Credit ratios
Allowance for loan losses to retained loans1.48 %12.75 %1.70 %3.26 %0.95 %3.50 %1.02 %1.42 %
Allowance for loan losses to retained nonaccrual loans(c)
89 NM227 350 94 NM284 282 
Allowance for loan losses to retained nonaccrual loans excluding credit card89 NM227 148 94 NM284 163 
Net charge-off rates0.06 3.17 0.14 0.58 0.11 3.13 0.07 0.59 
(a)Prior to the table above, the financial measures which exclude the impactadoption of CECL, write-offs of PCI loans were recorded against the allowance for loan losses when actual losses for a pool exceeded estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan was recognized when the underlying loan was removed from a pool.
(b)Includes modified PCD loans and loans that have been modified or are 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.

reasonably expected to be modified in a TDR. Also includes risk-rated loans that have been placed on nonaccrual status for the wholesale portfolio segment. The asset-specific credit card allowance for loan losses modified or reasonably expected to be modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.

(c)The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.



(d)Excludes HTM securities, which had an allowance for credit losses of $120 million and a provision for credit losses of $110 million as of and for the nine months ended September 30, 2020.

78


INVESTMENT PORTFOLIO RISK MANAGEMENT
Investment portfolio risk is the risk associated with the loss of principal or a reduction in expected returns on investments arising from the investment securities portfolio or from principal investments. The investment securities portfolio is predominantly held predominantly by Treasury and CIO in connection with the Firm’s balance sheet or asset-liability management objectives or from principalobjectives. Principal investments are predominantly privately-held financial instruments and are managed in the LOBs and Corporate in predominantly privately-held financial instruments.Corporate. Investments are typically intended to be held over extended periods and, accordingly, the Firm has no expectation for short-term realized gains with respect to these investments.
Investment securities risk
Investment securities risk includes the exposure associated with a default in the payment of principal and interest. This risk is mitigated given that the investment securities portfolio held by Treasury and CIO substantially investis predominantly invested in high-quality securities. At September 30, 2019,2020, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $392.4$529.2 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)risk ratings). Refer to Corporate segment results on pages 42–4346-47 and Note 910 for further information on the investment securities portfolio.portfolio and internal risk ratings. Refer to Market Risk Management on pages 70–7480–84 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk Management on pages 50–5455–59 for further information on related liquidity risk.

Principal investment risk
Principal investments are typically private non-traded financial instruments representing ownership or other forms of junior capital. Principal investmentscapital and span multiple asset classes andclasses. These investments are made either in stand-aloneby dedicated investing businesses or as part of a broader business platform.strategy. In general, new principal investments include tax-oriented investments, as well as investments made to enhance or accelerate LOB and Corporate strategic business initiatives. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results. The aggregate carrying values of the principal investment portfolios have not been significantly affected by recent market events as a result of the COVID-19 pandemic. However, the duration and severity of adverse macroeconomic conditions could subject certain principal investments to impairments, write-downs, or other negative impacts.
As of September 30, 20192020 and December 31, 2018,2019, the aggregate carrying values of the principal investment portfolios were $23.3$23.9 billion and $22.2$24.2 billion, respectively, which included tax-oriented investments (e.g., affordable housing and alternative energy investments) of $16.7$18.4 billion and $16.6$18.2 billion respectively, and private equity, various debt and equity instruments, and real assets of $6.6$5.5 billion and $5.6$6.0 billion, respectively.
Refer to page 123118 of JPMorgan Chase’s 20182019 Form 10-K for a discussion of the Firm’s Investment Portfolio Risk Management governance and oversight.

79


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 124–131119–126 of JPMorgan Chase’s 2018 2019 Form 10-K for a discussion of the Firm’s Market Risk Management organization, market risk measurement, risk monitoring and control, and predominant business activities that give rise to market risk.
COVID-19 Pandemic
Market Risk Management is actively monitoring the impact of the COVID-19 pandemic on market risk exposures by leveraging existing risk measures and controls.
Models used to measure market risk are inherently imprecise and may be limited in their ability to measure certain risks or to predict losses. This imprecision may be heightened when sudden or severe shifts in market conditions occur, such as those observed at the onset of the COVID-19 pandemic. For additional discussion on model uncertainty refer to Estimations and Model Risk Management on page 87.
Market Risk Management periodically reviews the Firm’s existing market risk measures to identify opportunities for enhancement, and to the extent appropriate, will calibrate those measures accordingly over time. This is increasingly important in periods of sustained, heightened market volatility.

Value-at-risk
JPMorgan Chase utilizes value-at-risk (“VaR”), a statistical risk measure, to estimate the potential loss from adverse market moves in the current market environment. The Firm has a single VaR framework used as a basis for calculating Risk Management VaR and Regulatory VaR.
The Firm’s Risk Management VaR is calculated assuming a one-day holding period and an expected tail-loss methodology which approximates a 95% confidence level. For risk management purposes, the Firm believes this methodology provides a daily measure of risk that is closely aligned to risk management decisions made by the lines of businessLOBs 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 140135 of JPMorgan Chase’s 20182019 Form 10-K for information regarding model reviews and approvals.
Refer to page 126121 of JPMorgan Chase’s 20182019 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 129-131124-126 of JPMorgan Chase’s 20182019 Form 10-K for further information regarding nonstatistical market risk measures used by the Firm.

80


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, 2020June 30, 2020September 30, 2019
(in millions) Avg.MinMax Avg.MinMax Avg.MinMax
CIB trading VaR by risk type
Fixed income$93 $79 $124 $129 $109 $155 $37 $31 $46 
Foreign exchange13 7 18 9 7 13 6 4 8 
Equities26 22 31 27 22 35 22 19 27 
Commodities and other33 24 47 32 21 44 8 7 9 
Diversification benefit to CIB trading VaR(76)(a) NM(b) NM(b)(69)(a)NM(b)NM(b)(34)(a)NM(b)NM(b)
CIB trading VaR89 73 

115 

128 104 158 39 33 47 
Credit portfolio VaR15 12 17 22 18 28 5 4 7 
Diversification benefit to CIB VaR(14)(a) NM(b) NM(b)(23)(a)NM(b)NM(b)(6)(a)NM(b)NM(b)
CIB VaR90 74 

116 

127 101 157 38 33 46 
CCB VaR3 1 7 5 2 12 6 2 11 
Corporate and other LOB VaR16 15 

19 

15 11 18 10 9 11 
Diversification benefit to other VaR(3)(a) NM(b) NM(b)(4)(a)NM(b)NM(b)(5)(a)NM(b)NM(b)
Other VaR16 14 

19 

16 13 18 11 9 15 
Diversification benefit to CIB and other VaR(16)(a) NM(b) NM(b)(13)(a)NM(b)NM(b)(10)(a)NM(b)NM(b)
Total VaR$90 $74 

$117 

$130 $106 $163 $39 $35 $46 
Total VaR




















Three months ended

September 30, 2019
June 30, 2019
September 30, 2018
(in millions) Avg.MinMax
 Avg.MinMax
 Avg.MinMax

CIB trading VaR by risk type



















Fixed income$37

$31

$46


$39

$33

$45


$30

$25

$37

Foreign exchange6

4

8


7

5

12


5

3

11

Equities22

19

27


25

14

31


16

13

19

Commodities and other8

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 VaR39

33
(b) 
47
(b) 

44

34
(b) 
55
(b) 

33

27
(b) 
41
(b) 
Credit portfolio VaR5

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 VaR38

33
(b) 
46
(b) 

44

35
(b) 
55
(b) 

33

28
(b) 
42
(b) 






























CCB VaR6

2

11


4

2

7


1

1

2

Corporate VaR10

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 VaR11

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)Diversification benefit represents the difference between the portfolio VaR and the sum of its individual components. This reflects the non-additive nature of VaR due to imperfect correlation across LOBs, Corporate, and risk types.
(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.
(b)The maximum and minimum VaR for each portfolio may have occurred on different trading days than the components and consequently diversification benefit is not meaningful.
Quarter over quarter results
Average total VaR decreased by $7$40 million for the three months ended September 30, 2019 as2020 when compared with the prior quarter. This reflects adecrease was driven by the fixed income risk type, reflecting an overall risk reduction, in risk across the Fixed Income and Foreign Exchange risk types, as well as a decreasethe scope refinement described below.
Effective July 1, 2020, the Firm refined the scope of VaR to exclude certain asset-backed fair value option elected loans, and included them in other sensitivity-based measures to more effectively measure the risk from these loans. In the absence of this refinement, the average Total VaR and each of the components would have been different by the amounts reported in the Equities risk type driven by certain CIB investments, including Tradeweb.following table:


(in millions)Amount by which reported VaR would have been different for the three months ended September 30, 2020
CIB fixed income VaR$15 
CIB trading VaR11 
CIB VaR12 
Total VaR12 
Year over year results
Average total VaR increased by $4$51 million for the three months ended September 30, 2019,2020 when compared with the same period in the prior year. TheThis 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 CIBwas driven by the inclusion of Tradeweb following the IPOsubstantial increase in volatility in the second quarterone-year historical look-back period as a result of 2019.the COVID-19 pandemic. The most significant impacts were reflected in the fixed income and commodities risk types.
In addition, average CCBEffective January 1, 2020, the Firm refined the scope of VaR has increased by $5 million, driven by mortgage servicing rightsto exclude positions related to the risk management activities.of interest rate exposure from changes in the Firm’s own credit spread on fair value option elected liabilities, and included these positions in other sensitivity-based measures. Additionally, effective July 1, 2020, the Firm refined the scope of VaR to exclude certain asset-backed fair value option elected loans, and included them in other sensitivity-based measures. In the absence of these refinements, the average Total VaR and each of the components would have been different by the amounts reported in the following table:

(in millions)Amount by which reported VaR would have been different for the three months ended September 30, 2020
CIB fixed income VaR$15 
CIB trading VaR11 
CIB VaR11 
Total VaR11 
81


VaR back-testingbacktesting
The Firm performs daily VaR model back-testing,backtesting, which compares the daily Risk Management VaR results with the daily gains and losses actually recognized on market-risk related revenue.
that are utilized for VaR backtesting purposes. The Firm’s definition of market risk-related gains and losses is consistentin the chart below do not reflect the Firm’s revenue results as they exclude select components of total net revenue, such as those associated with the definition used by the banking regulators under Basel III. Under this definition market risk-related gainsexecution of new transactions (i.e., intraday client-driven trading and losses are defined as: gains and losses on the positions included in the Firm’s Risk Management VaR excludingintraday risk management activities), fees, commissions, certain valuation adjustments and net interest income, andincome. These excluded components of total net revenue may more than offset backtesting gains and losses arising from intraday trading.on a particular day. The definition of backtesting gains and losses above is consistent with the requirements for backtesting under Basel III capital rules.
The following chart compares actualFirmwide daily market risk-relatedbacktesting gains and losses with the Firm’s Risk Management VaR for the nine12 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, the2020. The results in the tablechart below differ from the results of back-testingbacktesting 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’sthe Firm’s covered positions.
For the nine12 months ended September 30, 2019,2020, the Firm observed five VaR back-testing exceptions and posted market risk-relatedbacktesting gains on 116151 of the 194 days.260 days, and observed 13 VaR backtesting exceptions, which were predominantly driven by volatility at the onset of the COVID-19 pandemic that was materially higher than the levels realized in the historical data used for the VaR calculation. For the three months ended September 30, 2019,2020, the Firm observed three VaR back-testing exceptions and posted market risk-relatedbacktesting gains on 3544 of the 66 days.days, and did not observe any VaR backtesting exceptions as the higher volatility is fully embedded in the look-back period used for the VaR calculation. Firmwide backtesting loss days can differ from the loss days for which Fixed Income Markets and Equity Markets posted losses, as disclosed in the CIB Markets revenue results, as the population of positions which compose each metric are different and due to the exclusion of select components of total net revenue in backtesting gains and losses as described above. For more information on CIB Markets revenue results, refer to page 36 .
Daily Market Risk-Related Gains and Losses
vs. Risk Management VaR (1-day, 95% Confidence level)Backtesting Results
Nine12 months ended September 30, 20192020
Market Risk-Related
Backtesting Gains and Losses
Risk Management VaR(1-day, 95% Confidence level)
chart-62dd8fa2647b59ecb55.jpg
jpm-20200930_g2.jpg
Fourth Quarter
2019		First Quarter 2019
2020		Second Quarter 2019
2020		Third Quarter 2019
2020

82


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 125120 of JPMorgan Chase’s 20182019 Form 10-K for a summary by line of businessLOB 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 125120 of JPMorgan Chase’s 20182019 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;rates; 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.constant. These scenarios consider many different factors, including:
•The impact on exposures as a result of instantaneous changes in interest rates from baseline rates.
•Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but do not include assumptions about actions that could be taken by the Firm in response to any such instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience.
•
•The pricing sensitivity of deposits, using normalized deposit betas which represent the amount by which deposit rates paid could change upon a given change in market interest rates over the cycle. 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 may differ from actual deposit rates paid, particularly for retail deposits, due to repricing lags and other factors.
The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings at risk analysis does not represent a forecast of the Firm’s net interest income (Refer to 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
(in billions)September 30, 2020December 31, 2019
Parallel shift:   Parallel shift:
+100 bps shift in rates$0.7
 $0.9
+100 bps shift in rates$4.4 $0.3 
-100 bps shift in rates(2.6) (2.1)
Steeper yield curve:   Steeper yield curve:
+100 bps shift in long-term rates0.9
 0.5
+100 bps shift in long-term rates1.8 1.2 
-100 bps shift in short-term rates(0.9) (1.2)
Flatter yield curve:   Flatter yield curve:
+100 bps shift in short-term rates(0.2) 0.4
+100 bps shift in short-term rates2.6 (0.9)
-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, 20192020 compared to December 31, 20182019 reflected updatingupdates to the Firm’s baseline for lower short-term and long-term rates as well as the impact of changes in the Firm’s balance sheet.
The Firm’s sensitivity to short-term rates decreased asis primarily a result of changesassets repricing at a faster pace than deposits.
Based upon current and implied market rates as of September 30, 2020, scenarios reflecting lower rates could result in the Firm’s balance sheet primarily offset by updating the Firm’s baseline to reflect lowernegative interest rates. The Firm’s sensitivityU.S. has never experienced an interest rate environment where the Federal Reserve has a negative interest rate policy. While the impact of negative interest rates on the Firm's earnings-at-risk would vary by scenario, a parallel shift downward of up to long-term rates increased primarily as100bps would negatively impact net interest income. In a result of updatingnegative interest rate environment, the Firm’s baseline to reflect lower ratesmodeling assumptions used for certain assets and is more impactful toliabilities require additional management judgment and therefore, the downward scenario due to the Firm’s sensitivity to mortgage prepayments.actual outcomes may differ from these assumptions.
The Firm’s non-U.S. dollar sensitivities are presented in the table below.
(in billions)September 30, 2019
 December 31, 2018
(in billions)September 30, 2020December 31, 2019
Parallel shift:   Parallel shift:
+100 bps shift in rates$0.5
 $0.5
+100 bps shift in rates$0.8 $0.5 
Flatter yield curve:   Flatter yield curve:
+100 bps shift in short-term rates0.5
 0.5
+100 bps shift in short-term rates0.7 0.5 
The results of the non-U.S. dollar interest rate scenario involving a steeper yield curve with long-term rates rising by 100 basis points and short-term rates staying at current levels were not material to the Firm’s earnings-at-risk at September 30, 20192020 and December 31, 2018.

2019.
83


Other sensitivity-based measures
The Firm quantifies the market risk of certain investmentdebt and equity and funding activities by assessing the potential impact on net revenue, other comprehensive income (“OCI”) and OCInoninterest expense due to changes in relevant market variables. Refer to the table Predominant business activities
that give rise to market risk on page 125120 of JPMorgan Chase’s 20182019 Form 10-K for additional information on the positions captured in other sensitivity-based measures.
The table below represents the potential impact to net revenue, OCI or OCInoninterest expense for market risk-sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported along withnet of the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at September 30, 20192020 and December 31, 2018,2019, as the movement in market parameters across maturities may vary and are not intended to imply management’s expectation of future deteriorationchanges in these sensitivities.
Gain/(loss) (in millions)
September 30, 2020December 31, 2019
ActivityDescriptionSensitivity measure
Debt and equity(a)
Asset Management activities
Consists of seed capital and related hedges; fund co-investments(b); and certain deferred compensation and related hedges(c)
10% decline in market value$(46)$(68)
Other debt and equity
Consists of certain asset-backed fair value option elected loans, privately held equity and other investments held at fair value(b)
10% decline in market value(894)(867)(e)
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(d)
1 basis point parallel tightening of cross currency basis(16)(17)
Non-USD LTD hedges foreign currency (“FX”) exposure
Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(d)
10% depreciation of currency11 15 
Derivatives – funding spread risk
Impact of changes in the spread related to derivatives FVA(b)
1 basis point parallel increase in spread(6)(5)
Fair value option elected liabilities – funding spread risk
Impact of changes in the spread related to fair value option elected liabilities DVA(d)
1 basis point parallel increase in spread33 29 
Fair value option elected liabilities – interest rate sensitivity
Interest rate sensitivity on fair value option liabilities resulting from a change in the Firm’s own credit spread(d)
1 basis point parallel increase in spread1 (2)
Interest rate sensitivity related to risk management of changes in the Firm’s own credit spread on fair value option liabilities(b)

1 basis point parallel increase in spread(1)2 
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.
(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.
(b)Impact recognized through net revenue.
(c)In the second quarter of 2020, the Firm refined the approach for risk management of certain deferred compensation, which is recognized through noninterest expense. As a result, certain deferred compensation and related hedges are now included in other sensitivity-based measures.
(d)Impact recognized through OCI.
(e)Prior-period amount has been revised to conform with the current presentation. In the absence of the scope refinement, Other debt and equity would have been $(213) million and $(192) million for the periods ending September 30, 2020 and December 31, 2019, respectively. Refer to Total VaR on page 81 for additional information.

84


COUNTRY RISK MANAGEMENT
The Firm, through its lines of businessLOBs 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 132–133127–128 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of the Firm’s country risk management.
COVID-19 Pandemic
Country Risk Management continues to monitor the impact of the COVID-19 pandemic on countries to which the Firm has exposure, leveraging tailored analysis and existing stress testing, exposure reporting and controls.
Risk Reporting
The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of September 30, 20192020 and their comparative exposures as of December 31, 2018.2019. The selection of countries represents the Firm’s largest total exposures by country, based on the Firm’s internal country risk management approach, and does not represent the Firm’s view of any actual or potentially adverse credit conditions. Country exposures may fluctuate from period to period due to client activity and market flows.
The overall increase in top 20 exposures was predominantly driven by client activity and demand for liquidity, relative to the period ending December 31, 2019. This resulted in an increase in cash placements primarily with the central banks of Germany, the United Kingdom and Australia.
Top 20 country exposures (excluding the U.S.)(a)

(in billions)		September 30, 2020
December 31, 2019(e)
Lending and deposits(b)
Trading and investing(c)
Other(d)
Total exposureTotal exposure
Germany$83.7 $3.5 $0.5 $87.7 $51.6 
United Kingdom45.2 10.1 1.7 57.0 42.4 
Japan35.7 8.8 0.3 44.8 43.8 
France13.4 6.5 1.1 21.0 18.1 
China9.7 9.0 1.4 20.1 19.2 
Australia10.0 6.0 0.4 16.4 11.7 
Switzerland11.8 0.5 3.8 16.1 18.3 
Canada11.8 0.9 0.1 12.8 13.2 
Luxembourg10.8 0.9 — 11.7 12.9 
Netherlands5.4 0.2 5.7 11.3 9.0 
Brazil4.3 6.4 — 10.7 7.2 
India4.5 5.1 1.1 10.7 11.3 
Italy5.0 5.1 0.3 10.4 6.8 
Singapore4.9 2.2 1.1 8.2 6.8 
South Korea3.8 3.4 0.4 7.6 6.4 
Spain3.2 3.0 0.1 6.3 5.8 
Saudi Arabia4.9 0.7 — 5.6 5.2 
Hong Kong SAR3.0 1.7 0.6 5.3 5.1 
Mexico4.3 0.5 — 4.8 4.7 
Belgium2.6 1.8 0.1 4.5 3.2 
(a)Country exposures presented in the table reflect 89% and 88% of total firmwide non-U.S. exposure, where exposure is attributed to a specific country, at September 30, 2020, and December 31, 2019, respectively.
(b)Lending and deposits includes loans and accrued interest receivable, lending related commitments (net of eligible collateral and the allowance for credit losses), deposits with banks (including central banks), acceptances, other monetary assets, and issued letters of credit net of participations. Excludes intra-day and operating exposures, such as those from settlement and clearing activities.
(c)Includes market-making inventory, Investment securities, and counterparty exposure on derivative and securities financings net of eligible collateral and hedging. Includes exposure from single reference entity (“single-name”), index and other multiple reference entity transactions for which one or more of the underlying reference entities is in a country listed in the above table.
(d)Predominantly includes physical commodity inventory.
(e)The country rankings presented in the table as of December 31, 2019, are based on the country rankings of the corresponding exposures at September 30, 2020, not actual rankings of such exposures at December 31, 2019.
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 Kingdom28.8
10.0
3.7
42.5
 40.7
Japan23.3
4.2
0.3
27.8
 29.1
Switzerland10.7
1.0
7.6
19.3
 12.8
France11.3
4.8
1.5
17.6
 17.9
China9.3
6.7
1.4
17.4
 19.3
Canada12.0
1.5
—
13.5
 14.3
India5.0
4.8
2.8
12.6
 11.8
Luxembourg11.6
0.7
—
12.3
 11.0
Australia7.1
5.0
—
12.1
 13.0
Netherlands6.0
1.2
3.0
10.2
 5.8
Brazil4.0
4.9
—
8.9
 7.3
Singapore4.3
1.6
2.6
8.5
 6.8
Saudi Arabia7.2
0.9
—
8.1
 5.3
South Korea4.0
3.6
0.1
7.7
 7.6
Italy2.2
4.7
0.1
7.0
 6.4
Hong Kong3.4
1.5
1.7
6.6
 5.4
Spain3.3
3.3
—
6.6
 5.1
Mexico4.2
0.9
—
5.1
 5.5
Belgium3.6
0.5
—
4.1
 2.3
85
(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.


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

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ESTIMATIONS AND MODEL RISK MANAGEMENT
Estimations and Model risk, a subcategory of operational risk, is the potential for adverse consequences from decisions based on incorrect or misused estimation outputs.
The Firm uses models and other analytical and judgment based estimations across various businesses and functions. The estimation methods are of varying levels of sophistication and are used for many purposes, such as the valuation of positions, measurement of risk, sizing the allowance for credit losses, assessing regulatory capital requirements, conducting stress testing, and making business decisions.
While models are inherently imprecise, the degree of imprecision or uncertainty can be heightened by the market or economic environment. This is particularly true when the current and forecasted environment is significantly different from the historical macroeconomic environments upon which the models were calibrated, as the Firm has experienced during the COVID-19 pandemic. This uncertainty may necessitate a greater degree of judgment and analytics to inform adjustments to model outputs than in typical periods.
Refer to Critical Accounting Estimates Used by the Firm on pages 88–90 and Note 2 of this Form 10-Q, and Estimations and Model Risk Management section on page 135 of JPMorgan Chase’s 2019 Form 10-K for a summary of model-based valuations and other valuation techniques.

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CRITICAL ACCOUNTING ESTIMATES USED BY THE FIRM
JPMorgan Chase’s accounting policies and use of estimates are integral to understanding its reported results. The Firm’s most complex accounting estimates require management’s judgment to ascertain the appropriate carrying value of assets and liabilities. The Firm has established policies and control procedures intended to ensure that estimation methods, including any judgments made as part of such methods, are well-controlled, independently reviewed and applied consistently from period to period. The methods used and judgments made reflect, among other factors, the nature of the assets or liabilities and the related business and risk management strategies, which may vary across the Firm’s businesses and portfolios. In addition, the policies and procedures are intended to ensure that the process for changing methodologies occurs in an appropriate manner. The Firm believes its estimates for determining the carrying value of its assets and liabilities are appropriate. The following is a brief description of the Firm’s critical accounting estimates involving significant judgments.
Allowance for credit losses
The Firm’s allowance for credit losses coversrepresents management’s estimate of expected credit losses over the retained consumer and wholesale loan portfolios, as well asremaining expected life of the Firm’s wholesalefinancial assets measured at amortized cost and certain consumeroff-balance sheet lending-related commitments. The allowance for credit losses comprises:
•The allowance for loan losses, is intended to adjust the carrying value ofwhich covers the Firm’s retained loan assets to reflect probable credit losses inherent in the loan portfolio as of the balance sheet date. Similarly, theportfolios (scored and risk-rated),
•The allowance for lending-related commitments, is established to cover probableand
•The allowance for credit losses inherent inon investment securities, which covers the lending-related commitments portfolio as of the balance sheet date.Firm’s HTM and AFS securities.
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.matters including development and weighting of macroeconomic forecasts, incorporation of historical loss experience, assessment of risk characteristics, assignment of risk ratings, valuation of collateral, and the determination of remaining expected life. Refer to pages 120–122, page 141Note 10 and Note 13 of JPMorgan Chase’s 2018 Form 10-K for further information on these components, areas of judgmentjudgments as well as the Firm’s policies and methodologies used in establishingto determine the Firm’s allowance for credit losses; and refer to Allowance for credit losses on pages 67–68 and Note 12losses.
One of this Form 10-Q.
As notedthe most significant judgments involved in the discussion on page 141 of JPMorgan Chase’s 2018 Form 10-K,estimating the Firm’s allowance for credit losses is sensitiverelates to numerous factors, which may differ dependingthe macroeconomic forecasts used to estimate credit losses over the eight-quarter forecast period within the Firm’s methodology. The eight-quarter forecast incorporates hundreds of macroeconomic variables (“MEVs”) that are relevant for exposures across the Firm, with modeled credit losses being driven primarily by a subset of less than twenty variables. The specific variables that have the greatest effect on the portfolio. modeled losses of each portfolio vary by portfolio and geography.
•Key MEVs for the consumer portfolio include U.S. unemployment, house price index (“HPI”) and U.S. real gross domestic product (“GDP”).
•Key MEVs for the wholesale portfolio include U.S. real GDP, U.S. unemployment, U.S. equity prices, corporate credit spreads, oil prices, commercial real estate prices and HPI.
Changes in economic conditions or in the Firm’s assumptions and estimatesforecasts of economic conditions could significantly affect its estimate of probableexpected credit losses inherent in the portfolio at the balance sheet date. The Firm uses its best judgmentdate or lead 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 thatsignificant changes in the following inputs would haveestimate from one reporting period to the following effects onnext.
The COVID-19 pandemic has resulted in a weak labor market and weak overall economic conditions that will continue to affect borrowers across the Firm’s modeled credit loss estimates as of September 30, 2019,
without consideration of any offsetting or correlated effects of other inputs inconsumer and wholesale lending portfolios. Significant judgment is required to estimate the Firm’s allowance for loan losses:
A combined 5% decline in housing pricesseverity 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 indicationduration of the isolated impactscurrent economic downturn, as well as its potential impact on borrower defaults and loss severities. In particular, macroeconomic conditions and forecasts regarding the duration and severity of hypothetical alternative assumptions on modeled loss estimates. Thethe economic downturn caused by the COVID-19 pandemic have been rapidly changing and remain highly uncertain. It is difficult to predict exactly how borrower behavior will be impacted by these changes in economic conditions. The effectiveness of government support, customer assistance and enhanced unemployment benefits should act as mitigants to credit losses, but the inputs presented above are not intended to imply management’s expectationextent 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.mitigation impact remains uncertain.
It is difficult to estimate how potential changes in specific factorsany one factor or input might affect the overall allowance for credit losses because management considers a wide variety of factors and inputs in estimating the allowance for credit losses. Changes in thesethe factors and inputs considered may not occur at the same rate and may not be consistent across all geographies or product types, and changes in factors and inputs may be directionally inconsistent, such that improvement in one factor or input may offset deterioration in other factors. In addition, it is difficult to predict how changes in specific economic conditions or assumptions could affect borrower behavior or other factorsothers.
To consider the impact of a hypothetical alternate macroeconomic forecast, the Firm compared the modeled credit losses determined using its central and relative adverse macroeconomic scenarios, which are two of the five scenarios considered by management in estimating the allowanceallowances for credit losses. Givenloan losses and lending-related commitments. The central and relative adverse scenarios each included a full suite of MEVs, but differed in the processlevels, paths and peaks/troughs of those variables over the Firm followseight-quarter forecast period.
For example, compared to the Firm’s central scenario described on page 77 and in Note 13, the judgments madeFirm’s relative adverse scenario assumes a significantly elevated U.S. unemployment rate through the first half of 2021, averaging 3.0% higher over the eight-quarter forecast, with a peak difference of approximately 4.3% in evaluating the risk factors relatedfirst quarter of 2021; lower U.S. real GDP with a slower recovery, remaining nearly 3% lower at the end of the eight-quarter forecast, with a peak difference of nearly 6.8% in the
88


fourth quarter of 2020; and an 11.5% further deterioration in the national HPI with a trough in the first quarter of 2022.
This analysis is not intended to its loss estimates, management believes that its current estimate ofexpected future changes in the allowance for credit losses, for a number of reasons, including:
•the Firm has placed significant weight on its adverse scenarios in estimating its allowance for credit losses as of September 30, 2020, and accordingly, the existing allowance already reflects credit losses beyond those estimated under the central scenario
•the impacts of changes in many MEVs are both interrelated and nonlinear, so the results of this analysis cannot be simply extrapolated for more severe changes in macroeconomic variables
•the COVID-19 pandemic has stressed many MEVs at a speed and to degrees not seen in recent history, adding significantly higher degrees of uncertainty around modeled credit loss estimations which use scenarios outside of historical experience
•significant changes in the expected severity and duration of the economic downturn caused by the COVID-19 pandemic, the effects of government support and customer assistance, and the speed of the subsequent recovery could significantly affect the Firm’s estimate of expected credit losses irrespective of the estimated sensitivities described below.
To demonstrate the sensitivity of credit loss estimates to macroeconomic forecasts as of September 30, 2020, the Firm compared the modeled estimates under its relative adverse scenario to its central scenario. Without considering the additional weight the Firm has placed on its adverse scenarios or any other offsetting or correlated effects in other qualitative components of the Firm’s allowance for credit losses for these lending exposures, the difference between these two scenarios would result in the following:
•An increase of approximately $1 billion for residential real estate loans and lending-related commitments
•An increase of approximately $5 billion for credit card loans
•An increase of approximately $4 billion for wholesale loans and lending-related commitments
This analysis relates only to the modeled credit loss estimates and is appropriate.not intended to estimate changes in the overall allowance for credit losses as it does not reflect any potential changes in other adjustments to the quantitative calculation, which would also be influenced by the judgment management applies to the modeled lifetime loss estimates to reflect the uncertainty and imprecision of these modeled lifetime loss estimates based on then-current circumstances and conditions.
Recognizing that forecasts of macroeconomic conditions are inherently uncertain, particularly in light of the recent economic conditions, the Firm believes that its process to

consider the available information and associated risks and uncertainties is appropriately governed and that its estimates of expected credit losses were reasonable and appropriate for the period ended September 30, 2020.
Fair value
JPMorgan Chase carries a portion of its assets and liabilities at fair value. The majority of such assets and liabilities are measured at fair value on a recurring basis, including, derivatives, structured note products and certain securities financing agreements. Certain assets and liabilities are measured at fair value on a nonrecurring basis, including certain mortgage, home equity and other loans, where the carrying value is based on the fair value of the underlying collateral.
Assets measured at fair value
The following table includes the Firm’s assets measured at fair value and the portion of such assets that are classified within level 3 of the valuation hierarchy. Refer to Note 2 for further information.
September 30, 2020
(in billions, except ratios)
Total assets at fair valueTotal level 3 assets
Federal funds sold and securities purchased under resale agreements$284.8 $— 
Securities borrowed44.5 — 
Trading assets:
Trading–debt and equity instruments$429.2 $3.0 
Derivative receivables(a)
76.6 8.0 
Total trading assets505.8 11.0 
AFS securities389.6 — 
Loans38.2 1.8 
MSRs3.0 3.0 
Other342.7 0.6 
Total assets measured at fair value on a recurring basis
1,279.3 16.4 
Total assets measured at fair value on a nonrecurring basis3.5 1.7 
Total assets measured at fair value
$1,282.8 $18.1 
Total Firm assets$3,246.1 
Level 3 assets at fair value as a percentage of total Firm assets(a)
0.6 %
Level 3 assets at fair value as a percentage of total Firm assets at fair value(a)
1.4 %
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 assets495.8
  10.0
AFS securities353.4
  —
Loans5.8
  —
MSRs4.4
  4.4
Other27.8
  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 basis6.4
  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 $8.0 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.
(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
89


significant than those required when estimating the fair value of instruments classified within levels 1 and 2.
In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation technique to use. Second, the lack of observability of certain significant inputs requires management to assess all relevant empirical data in deriving valuation inputs including, for example, transaction details, yield curves, interest rates, prepayment rates, default rates, volatilities, correlations, equity or debt prices, valuations of comparable instruments, foreign exchange rates and credit curves. Refer to Note 2 for a further discussion of the valuation of level 3 instruments, including unobservable inputs used.
For instruments classified in levels 2 and 3, management judgment must be applied to assess the appropriate level of valuation adjustments to reflect counterparty credit quality, the Firm’s creditworthiness, market funding rates, liquidity considerations, unobservable parameters, and for portfolios that meet specified criteria, the size of the net open risk position. The judgments made are typically affected by the type of product and its specific contractual terms, and the level of liquidity for the product or within the market as a whole. In periods of heightened market volatility and uncertainty judgments are further affected by the wider variation of reasonable valuation estimates, particularly for positions that are less liquid. Refer to Note 2 for a further discussion of valuation adjustments applied by the Firm.
Imprecision in estimating unobservable market inputs or other factors can affect the amount of gain or loss recorded for a particular position. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with those of other market participants, the methods and assumptions used reflect management judgment and may vary across the Firm’s businesses and portfolios.
The Firm uses various methodologies and assumptions in the determination of fair value. The use of methodologies or assumptions different than those used by the Firm could result in a different estimate of fair value at the reporting date. Refer to Note 2 for a detailed discussion of the Firm’s valuation process and hierarchy, and its determination of fair value for individual financial instruments.

Goodwill impairment
Management applies significant judgment when testing goodwill for impairment. The goodwill associated with each business combination is allocated to the related reporting units for goodwill impairment testing. Refer to Goodwill impairment on page 142137 of JPMorgan Chase’s 20182019 Form 10-K for a description of the significant valuation judgments associated with goodwill impairment.
Refer to Note 1415 for additional information on goodwill, including the goodwill impairment assessment as of September 30, 2019.2020.
Credit card rewards liability
The credit card rewards liability was $6.3$7.6 billion and $5.8$6.4 billion at September 30, 20192020 and December 31, 2018,2019, respectively, and is recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to page 143pages 137-138 of JPMorgan Chase’s 20182019 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 143138 of JPMorgan Chase’s 20182019 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 2425 of this Form 10-Q, and Note 2930 of JPMorgan Chase’s 20182019 Form 10-K for a description of the significant estimates and judgments associated with establishing litigation reserves.
90


ACCOUNTING AND REPORTING DEVELOPMENTS
Financial Accounting Standards Board (“FASB”) Standards Adopted since January 1, 2019
StandardSummary of guidanceEffects 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.




2020
FASB Standards Issued but not yet Adopted
StandardSummary of guidanceEffects on financial statements
Financial instrumentsInstruments – credit lossesCredit Losses (“CECL”)


Issued June 2016
 • Replaces existing incurred loss impairment guidance and establishesEstablishes a single allowance framework for all financial assets carriedmeasured at amortized cost which will reflectand certain off-balance sheet credit exposures. This framework requires that management’s estimate ofreflects credit losses over the fullinstrument’s remaining expected life of the financial assets and will considerconsiders 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 investmentamortized cost of the related loans.
 • Requires inclusion of expected recoveries, limited to the cumulative amount of prior write-offs, when estimating the allowance for credit losses for in scope financial assets (including collateral dependentcollateral-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:Adopted January 1, 2020.(a)
• The Firm has established a Firmwide, cross-discipline governance structure, which provides implementation oversight. The Firm continuesRefer 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 toNote 1 for 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.information.
Goodwill
Issued January 2017
 • Requires recognition of 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 guidancerequirement 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:Adopted January 1, 2020.
(a)•No impact upon adoption as the guidance is to be applied prospectively.
•Refer to Note 15 for further information.
Reference Rate Reform
Issued March 2020


 • Provides optional expedients and exceptions to current accounting guidance when financial instruments, hedge accounting relationships, and other transactions are amended due to reference rate reform.
 • Based on current impairment test results,Provides an election to account for certain contract amendments related to reference rate reform as modifications rather than extinguishments without the requirement to assess the significance of the amendments.
 • Allows for changes in critical terms of a hedge accounting relationship without automatic termination of that relationship. Provides various practical expedients and elections designed to allow hedge accounting to continue uninterrupted during the transition period.
 • Provides a one-time election to transfer securities out of the held-to-maturity classification if certain criteria are met.
•Issued and effective March 12, 2020.
•The Firm doeselected to prospectively apply certain of the practical expedients related to contract modifications and hedge accounting relationships beginning in the third quarter of 2020. While these elections did not expecthave a material effect onimpact to the Consolidated Financial Statements. However,Statements, they ease the impactadministrative burden 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.for contracts impacted by reference rate reform.
(a)Early adoption is permitted.

91


FORWARD-LOOKING STATEMENTS
From time to time, the Firm has made and will make forward-looking statements. These statements can be identified by the fact that they do not relate strictly to historical or current facts. Forward-looking statements often use words such as “anticipate,” “target,” “expect,” “estimate,” “intend,” “plan,” “goal,” “believe,” or other words of similar meaning. Forward-looking statements provide JPMorgan Chase’s current expectations or forecasts of future events, circumstances, results or aspirations. JPMorgan Chase’s disclosures in this Form 10-Q contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. The Firm also may make forward-looking statements in its other documents filed or furnished with the SEC. In addition, the Firm’s senior management may make forward-looking statements orally to investors, analysts, representatives of the media and others.
All forward-looking statements are, by their nature, subject to risks and uncertainties, many of which are beyond the Firm’s control. JPMorgan Chase’s actual future results may differ materially from those set forth in its forward-looking statements. While there is no assurance that any list of risks and uncertainties or risk factors is complete, below are certain factors which could cause actual results to differ from those in the forward-looking statements:
•Economic, financial, reputational and other impacts of the COVID-19 pandemic;
•Local, regional and global business, economic and political conditions and geopolitical events;
•Changes in laws and regulatory requirements, including capital and liquidity requirements affecting the Firm’s businesses, and the ability of the Firm to address those requirements;
•Heightened regulatory and governmental oversight and scrutiny of JPMorgan Chase’s business practices, including dealings with retail customers;
•Changes in trade, monetary and fiscal policies and laws;
•Changes in income tax laws and regulations;
•Securities and capital markets behavior, including changes in market liquidity and volatility;
•Changes in investor sentiment or consumer spending or savings behavior;
•Ability of the Firm to manage effectively its capital and liquidity, including approval of its capital plans by banking regulators;
•Changes in credit ratings assigned to the Firm or its subsidiaries;
•Damage to the Firm’s reputation;
•Ability of the Firm to appropriately address social and environmental and sustainability concerns that may arise, including from its business activities;
•Ability of the Firm to deal effectively with an economic slowdown or other economic or market disruption, including, but not limited to, in the interest rate environment;
•Technology changes instituted by the Firm, its counterparties or competitors;
•The effectiveness of the Firm’s control agenda;
•Ability of the Firm to develop or discontinue products and services, and the extent to which products or services previously sold by the Firm (including but not limited to mortgages and asset-backed securities) require the Firm to incur liabilities or absorb losses not contemplated at their initiation or origination;
•Acceptance of the Firm’s new and existing products and services by the marketplace and the ability of the Firm to innovate and to increase market share;
•Ability of the Firm to attract and retain qualified employees;
•Ability of the Firm to control expenses;
•Competitive pressures;
•Changes in the credit quality of the Firm’s clients, customers and counterparties;
•Adequacy of the Firm’s risk management framework, disclosure controls and procedures and internal control over financial reporting;
•Adverse judicial or regulatory proceedings;
•Changes in applicable accounting policies, including the introduction of new accounting standards;
•Ability of the Firm to determine accurate values of certain assets and liabilities;
•Occurrence of natural or man-made disasters or calamities, including health emergencies, the spread of infectious diseases, pandemics or conflictsoutbreaks of hostilities, or the effects of climate change, and the Firm’s ability to deal effectively with disruptions caused by the foregoing;
•Ability of the Firm to maintain the security of its financial, accounting, technology, data processing and other operational systems and facilities;
•Ability of the Firm to withstand disruptions that may be caused by any failure of its operational systems or those of third parties;
•Ability of the Firm to effectively defend itself against cyberattacks and other attempts by unauthorized parties to access information of the Firm or its customers or to disrupt the Firm’s systems; and
•The other risks and uncertainties detailed in Part I,II,
Item 1A: Risk Factors in this form 10-Q and Part I, Item 1A: Risk Factors in JPMorgan Chase’s 20182019 Form 10-K.
Any forward-looking statements made by or on behalf of the Firm speak only as of the date they are made, and JPMorgan Chase does not undertake to update any forward-looking statements. The reader should, however, consult any further disclosures of a forward-looking nature the Firm may make in any subsequent Form 10-Ks, Quarterly Reports on Form 10-Qs, or Current Reports on Form 8-K.
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JPMorgan Chase & Co.
Consolidated statements of income (unaudited)
Three months ended September 30,Nine months ended September 30,
(in millions, except per share data)2020201920202019
Revenue
Investment banking fees$2,187 $1,967 $6,903 $5,658 
Principal transactions4,142 3,449 14,700 11,239 
Lending- and deposit-related fees(a)
1,647 1,671 4,784 4,854 
Asset management, administration and commissions(a)
4,470 4,306 13,276 12,607 
Investment securities gains473 78 732 135 
Mortgage fees and related income1,087 887 2,324 1,562 
Card income(b)
1,169 1,233 3,138 3,741 
Other income959 1,472 3,157 4,239 
Noninterest revenue16,134 15,063 49,014 44,035 
Interest income14,700 21,121 49,973 64,113 
Interest expense1,687 6,893 8,668 21,034 
Net interest income13,013 14,228 41,305 43,079 
Total net revenue29,147 29,291 90,319 87,114 
Provision for credit losses611 1,514 19,369 4,158 
Noninterest expense
Compensation expense8,630 8,583 27,034 26,067 
Occupancy expense1,142 1,110 3,288 3,238 
Technology, communications and equipment expense2,564 2,494 7,732 7,236 
Professional and outside services2,178 2,056 6,205 6,307 
Marketing(b)
470 895 1,751 2,504 
Other expense1,891 1,234 4,598 3,624 
Total noninterest expense16,875 16,372 50,608 48,976 
Income before income tax expense11,661 11,405 20,342 33,980 
Income tax expense2,218 2,325 3,347 6,069 
Net income$9,443 $9,080 $16,995 $27,911 
Net income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 
Net income per common share data
Basic earnings per share$2.93 $2.69 $5.10 $8.17 
Diluted earnings per share2.92 2.68 5.09 8.15 
Weighted-average basic shares3,077.8 3,198.5 3,083.3 3,248.7 
Weighted-average diluted shares3,082.8 3,207.2 3,088.1 3,258.0 
  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 first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.

(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.

(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.



93


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

Three months ended
September 30,		Nine months ended
September 30,
(in millions)2020201920202019
Net income$9,443 $9,080 $16,995 $27,911 
Other comprehensive income/(loss), after–tax
Unrealized gains/(losses) on investment securities514 479 4,377 2,986 
Translation adjustments, net of hedges127 (165)(61)(90)
Fair value hedges(69)(1)35 87 
Cash flow hedges(70)195 2,629 430 
Defined benefit pension and OPEB plans(12)46 14 123 
DVA on fair value option elected liabilities(339)132 377 (229)
Total other comprehensive income/(loss), after–tax151 686 7,371 3,307 
Comprehensive income$9,594 $9,766 $24,366 $31,218 
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.

94


JPMorgan Chase & Co.
Consolidated balance sheets (unaudited)
(in millions, except share data)September 30, 2020December 31, 2019
Assets
Cash and due from banks$20,816 $21,704 
Deposits with banks466,706 241,927 
Federal funds sold and securities purchased under resale agreements (included $284,763 and $14,561 at fair value)
319,849 249,157 
Securities borrowed (included $44,493 and $6,237 at fair value)
142,441 139,758 
Trading assets (included assets pledged of $152,341 and $111,522)(a)
505,822 369,687 
Available-for-sale securities (amortized cost of $382,099 and $345,306; included assets pledged of $34,285 and $10,325)
389,583 350,699 
Held-to-maturity securities (net of allowance for credit losses of $120)
141,553 47,540 
Investment securities, net of allowance for credit losses531,136 398,239 
Loans (included $38,220 and $44,955 at fair value)(a)
989,740 997,620 
Allowance for loan losses(30,814)(13,123)
Loans, net of allowance for loan losses958,926 984,497 
Accrued interest and accounts receivable76,945 72,861 
Premises and equipment26,672 25,813 
Goodwill, MSRs and other intangible assets51,594 53,341 
Other assets (included $14,088 and $12,676 at fair value and assets pledged of $3,227 and $3,349)(a)
145,169 130,395 
Total assets(b)
$3,246,076 $2,687,379 
Liabilities
Deposits (included $19,314 and $28,589 at fair value)
$2,001,416 $1,562,431 
Federal funds purchased and securities loaned or sold under repurchase agreements (included $180,904 and $549 at fair value)
236,440 183,675 
Short-term borrowings (included $19,029 and $5,920 at fair value)
41,992 40,920 
Trading liabilities162,493 119,277 
Accounts payable and other liabilities (included $3,297 and $3,728 at fair value)
234,256 210,407 
Beneficial interests issued by consolidated VIEs (included $39 and $36 at fair value)
19,191 17,841 
Long-term debt (included $72,986 and $75,745 at fair value)
279,175 291,498 
Total liabilities(b)
2,974,963 2,426,049 
Commitments and contingencies (refer to Notes 23, 24 and 25)
Stockholders’ equity
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 3,006,250 and 2,699,250 shares)
30,063 26,993 
Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares)
4,105 4,105 
Additional paid-in capital88,289 88,522 
Retained earnings228,014 223,211 
Accumulated other comprehensive income/(loss)8,940 1,569 
Shares held in restricted stock units (“RSU”) Trust, at cost (236,476 and 472,953 shares)
(11)(21)
Treasury stock, at cost (1,056,730,832 and 1,020,912,567 shares)
(88,287)(83,049)
Total stockholders’ equity271,113 261,330 
Total liabilities and stockholders’ equity$3,246,076 $2,687,379 
(in millions, except share data)September 30, 2019 December 31, 2018
Assets   
Cash and due from banks$21,215
 $22,324
Deposits with banks235,382
 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 losses931,983
 971,109
Accrued interest and accounts receivable88,988
 73,200
Premises and equipment25,117
 14,934
Goodwill, MSRs and other intangible assets53,078
 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 liabilities138,343
 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 capital88,512
 89,162
Retained earnings217,888
 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’ equity264,348
 256,515
Total liabilities and stockholders’ equity$2,764,661
 $2,622,532
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.

(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(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.
(b) The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at September 30, 2020, and December 31, 2019. The assets of the consolidated VIEs are used to settle the liabilities of those entities. The holders of the beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. The assets and liabilities in the table below include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation. Refer to Note 14 for a further discussion.
(in millions)September 30, 2019 December 31, 2018(in millions)September 30, 2020December 31, 2019
Assets   Assets
Trading assets$1,461
 $1,966
Trading assets$2,467 $2,633 
Loans53,022
 59,456
Loans36,974 42,931 
All other assets974
 1,013
All other assets744 881 
Total assets$55,457
 $62,435
Total assets$40,185 $46,445 
Liabilities   Liabilities
Beneficial interests issued by consolidated VIEs$18,515
 $20,241
Beneficial interests issued by consolidated VIEs$19,191 $17,841 
All other liabilities301
 312
All other liabilities236 447 
Total liabilities$18,816
 $20,553
Total liabilities$19,427 $18,288 
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
95


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

Three months ended September 30,Nine months ended September 30,
(in millions, except per share data)2020201920202019
Preferred stock
Balance at the beginning of the period$30,063 $26,993 $26,993 $26,068 
Issuance0 2,250 4,500 4,100 
Redemption0 (880)(1,430)(1,805)
Balance at September 3030,063 28,363 30,063 28,363 
Common stock
Balance at the beginning and end of the period4,105 4,105 4,105 4,105 
Additional paid-in capital
Balance at the beginning of the period88,125 88,359 88,522 89,162 
Shares issued and commitments to issue common stock for employee shared-based compensation awards, and related tax effects215 156 (177)(604)
Other(51)(3)(56)(46)
Balance at September 3088,289 88,512 88,289 88,512 
Retained earnings
Balance at the beginning of the period221,732 212,093 223,211 199,202 
Cumulative effect of changes in accounting principle— — (2,650)62 
Net income9,443 9,080 16,995 27,911 
Dividends declared:
Preferred stock(381)(423)(1,203)(1,201)
Common stock ($0.90 and $0.90 per share and $2.70 and $2.50 per share, respectively)
(2,780)(2,862)(8,339)(8,086)
Balance at September 30228,014 217,888 228,014 217,888 
Accumulated other comprehensive income/(loss)
Balance at the beginning of the period8,789 1,114 1,569 (1,507)
Other comprehensive income/(loss), after-tax151 686 7,371 3,307 
Balance at September 308,940 1,800 8,940 1,800 
Shares held in RSU Trust, at cost
Balance at the beginning of the period(11)(21)(21)(21)
Liquidation of RSU Trust0 0 10 0 
Balance at September 30(11)(21)(11)(21)
Treasury stock, at cost
Balance at the beginning of the period(88,337)(69,428)(83,049)(60,494)
Repurchase0 (6,949)(6,397)(17,250)
Reissuance50 78 1,159 1,445 
Balance at September 30(88,287)(76,299)(88,287)(76,299)
Total stockholders’ equity$271,113 $264,348 $271,113 $264,348 

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

96


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 losses4,158
 3,323
Depreciation and amortization6,229
 5,716
Deferred tax (benefit)/expense(440) (323)
Other1,645
 2,179
Originations and purchases of loans held-for-sale(53,934) (68,235)
Proceeds from sales, securitizations and paydowns of loans held-for-sale60,510
 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 liabilities12,774
 21,580
Accounts payable and other liabilities19,661
 26,677
Other operating adjustments4,004
 (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 agreements64,207
 (19,259)
Held-to-maturity securities:   
Proceeds from paydowns and maturities2,239
 2,268
Purchases(11,682) (8,613)
Available-for-sale securities:   
Proceeds from paydowns and maturities41,378
 29,618
Proceeds from sales43,460
 34,322
Purchases(200,262) (46,530)
Proceeds from sales and securitizations of loans held-for-investment52,739
 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:   
Deposits77,147
 15,274
Federal funds purchased and securities loaned or sold under repurchase agreements65,428
 22,719
Short-term borrowings(20,577) 12,974
Beneficial interests issued by consolidated VIEs5,017
 975
Proceeds from long-term borrowings45,155
 54,842
Payments of long-term borrowings(51,936) (69,636)
Proceeds from issuance of preferred stock4,100
 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 activities96,006
 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 period278,793
 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, net3,478
 2,197


Nine months ended September 30,
(in millions)20202019
Operating activities
Net income$16,995 $27,911 
Adjustments to reconcile net income to net cash used in operating activities:
Provision for credit losses19,369 4,158 
Depreciation and amortization6,487 6,229 
Deferred tax (benefit)/expense(5,436)(440)
Other1,245 1,645 
Originations and purchases of loans held-for-sale(a)
(112,142)(119,583)
Proceeds from sales, securitizations and paydowns of loans held-for-sale(a)
120,786 122,208 
Net change in:
Trading assets(a)
(145,124)(92,041)
Securities borrowed(2,509)(26,162)
Accrued interest and accounts receivable(4,398)(16,089)
Other assets(a)
(28,548)(21,023)
Trading liabilities63,516 12,774 
Accounts payable and other liabilities16,608 19,661 
Other operating adjustments(a)
1,293 2,033 
Net cash (used in) operating activities(51,858)(78,719)
Investing activities
Net change in:
Federal funds sold and securities purchased under resale agreements(70,597)64,207 
Held-to-maturity securities:
Proceeds from paydowns and maturities11,498 2,239 
Purchases(5,528)(11,682)
Available-for-sale securities:
Proceeds from paydowns and maturities43,709 41,378 
Proceeds from sales110,354 43,460 
Purchases(281,147)(200,262)
Proceeds from sales and securitizations of loans held-for-investment18,509 52,739 
Other changes in loans, net(a)
(21,606)(24,297)
All other investing activities, net(3,398)(4,283)
Net cash (used in) investing activities(198,206)(36,501)
Financing activities
Net change in:
Deposits452,454 77,147 
Federal funds purchased and securities loaned or sold under repurchase agreements52,745 65,428 
Short-term borrowings1,945 (20,577)
Beneficial interests issued by consolidated VIEs2,838 5,017 
Proceeds from long-term borrowings64,243 45,155 
Payments of long-term borrowings(90,481)(51,936)
Proceeds from issuance of preferred stock4,500 4,100 
Redemption of preferred stock(1,430)(1,805)
Treasury stock repurchased(6,517)(17,250)
Dividends paid(9,551)(9,056)
All other financing activities, net(59)(217)
Net cash provided by financing activities470,687 96,006 
Effect of exchange rate changes on cash and due from banks and deposits with banks3,268 (2,982)
Net increase/(decrease) in cash and due from banks and deposits with banks223,891 (22,196)
Cash and due from banks and deposits with banks at the beginning of the period263,631 278,793 
Cash and due from banks and deposits with banks at the end of the period$487,522 $256,597 
Cash interest paid$11,576 $20,790 
Cash income taxes paid, net6,124 3,478 
(a) In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
The Notes to Consolidated Financial Statements (unaudited) are an integral part of these statements.
97


Refer to the Glossary of Terms and Acronyms on pages 168–172192-200 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 2526 for a further discussion of the Firm’s business segments.
The accounting and financial reporting policies of JPMorgan Chase and its subsidiaries conform to U.S. GAAP. Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by regulatory authorities.
The unaudited Consolidated Financial Statements prepared in conformity with U.S. GAAP require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expense, and the disclosures of contingent assets and liabilities. Actual results could be different from these estimates. In the opinion of management, all normal, recurring adjustments have been included such that this interim financial information is fairly presented.stated.
These unaudited Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements, and related notes thereto, included in JPMorgan Chase’s 20182019 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 20182019 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 20182019 Form 10-K for further information on offsetting assets and liabilities.
98

Income tax expense
Accounting standard adopted January 1, 2020
Financial Instruments – Credit Losses (“CECL”)
The Firm’s effective tax rate was 20.4%adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and 17.9%certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 13 for further information.
The following table presents the threeimpacts to the allowance for credit losses and nine months ended September 30,retained earnings upon adoption of this guidance on January 1, 2020:
(in billions)December 31, 2019CECL adoption impactJanuary 1, 2020
Allowance for credit losses
Consumer, excluding credit card(a)
$2.6 $0.4 $3.0 
Credit card5.7 5.5 11.2 
Wholesale(a)
6.0 (1.6)4.4 
Firmwide$14.3 $4.3 $18.6 
Retained earnings
Firmwide allowance increase$4.3 
Balance sheet reclassification(b)
(0.8)
Total pre-tax impact3.5 
Tax effect(0.8)
Decrease to retained earnings$2.7 
(a)In conjunction with the adoption of CECL, the Firm reclassified risk-rated business banking and auto dealer loans and lending-related commitments held in CCB from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Accordingly, $0.6 billion of the allowance for credit losses at December 31, 2019 respectively, and 21.6% and 20.4% in$(0.2) billion of the respective 2018 periods. For the nine months ended September 30, 2019, the effective tax rate reflectedCECL adoption impact were reclassified.
(b)Represents the recognition of $1.0 billionthe nonaccretable difference on purchased credit deteriorated loans and the Firm's election to recognize the reserve for uncollectible accrued interest on credit card loans in tax benefits relatedthe allowance, both of which resulted in a corresponding increase to loans.
Securities Financing Agreements
As permitted by the guidance, the Firm elected the fair value option for certain securities financing agreements. The difference between their carrying amount and fair value was immaterial and was recorded as part of the Firm’s cumulative-effect adjustment. Refer to Note 11 for further information.
Investment securities
Upon adoption, HTM securities are presented net of an allowance for credit losses. The guidance also amended the previous other-than-temporary impairment (“OTTI”) model for AFS securities to incorporate an allowance. Refer to Note 10 for further information.
Credit quality disclosures
As a result of the adoption of this guidance, the Firm expanded credit quality disclosures for financial assets measured at amortized cost particularly within the retained loan portfolios. Refer to Note 12 for further information.
PCD loans
The adoption resulted in a change in the accounting for PCI loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Upon adoption, the Firm recognized the nonaccretable difference on PCD loans in the allowance, which resulted in a corresponding increase to loans. PCD loans are subject to the resolutionFirm’s nonaccrual and charge-off policies and are now reported in the consumer, excluding credit card portfolio’s residential real estate loan class. Refer to Note 12 for further information.
Changes in credit portfolio segments and classes
In conjunction with the adoption of certain tax audits, which reducedCECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. The Firm also revised its loan classes. Prior- period amounts have been revised to conform with the current presentation. Refer to Note 12 for further information.
Accrued interest receivables
As permitted by the guidance, the Firm elected to continue classifying accrued interest on loans, including accrued but unbilled interest on credit card loans, and investment securities in accrued interest and accounts receivables on the Consolidated balance sheets. For credit card loans, accrued interest once billed is then recognized in the loan balances, with the related allowance recorded in the allowance for credit losses. Changes in the allowance for credit losses on accrued interest on credit card loans are recognized in the provision for credit losses and charge-offs are recognized by reversing interest income. For other loans and securities, the Firm generally does not recognize an allowance for credit losses on accrued interest receivables, consistent with its policy to write them off no later than 90 days past due by reversing interest income.
Capital transition provisions
As disclosed in the Firm’s effective tax rate2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule (issued as final on August 26, 2020) that provided the option to delay the effects of CECL on regulatory capital for two years, followed by 3.0%a three-year transition period (“CECL capital transition provisions”). Refer to Note 24 of JPMorgan Chase’s 2018 Form 10-K22 for further information.
99


Note 2 – Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 20182019 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.

100


The following table presents the assets and liabilities reported at fair value as of September 30, 2019,2020, and December 31, 2018, 2019, by major product category and fair value hierarchyhierarchy.
Assets and liabilities measured at fair value on a recurring basis
Fair value hierarchy
Derivative
netting
adjustments(g)
September 30, 2020 (in millions)Level 1Level 2Level 3Total fair value
Federal funds sold and securities purchased under resale agreements$0 $284,763 $0 $— $284,763 
Securities borrowed0 44,493 0 — 44,493 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
0 73,116 507 — 73,623 
Residential – nonagency0 2,459 25 — 2,484 
Commercial – nonagency0 1,270 2 — 1,272 
Total mortgage-backed securities0 76,845 534 — 77,379 
U.S. Treasury, GSEs and government agencies(a)
94,565 12,020 0 — 106,585 
Obligations of U.S. states and municipalities0 7,485 8 — 7,493 
Certificates of deposit, bankers’ acceptances and commercial paper0 2,020 0 — 2,020 
Non-U.S. government debt securities32,221 40,926 165 — 73,312 
Corporate debt securities0 21,545 649 — 22,194 
Loans(b)
0 5,548 730 — 6,278 
Asset-backed securities0 2,416 33 — 2,449 
Total debt instruments126,786 168,805 2,119 — 297,710 
Equity securities106,856 242 186 — 107,284 
Physical commodities(c)
5,511 4,307 0 — 9,818 
Other0 13,679 653 — 14,332 
Total debt and equity instruments(d)
239,153 187,033 2,958 — 429,144 
Derivative receivables:
Interest rate1,569 394,734 2,176 (361,421)37,058 
Credit0 14,381 763 (13,751)1,393 
Foreign exchange180 154,535 773 (144,060)11,428 
Equity0 69,452 4,083 (54,599)18,936 
Commodity0 22,048 208 (14,445)7,811 
Total derivative receivables1,749 655,150 8,003 (588,276)76,626 
Total trading assets(e)
240,902 842,183 10,961 (588,276)505,770 
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
5 99,589 0 — 99,594 
Residential – nonagency0 11,423 0 — 11,423 
Commercial – nonagency0 2,936 0 — 2,936 
Total mortgage-backed securities5 113,948 0 — 113,953 
U.S. Treasury and government agencies216,579 0 0 — 216,579 
Obligations of U.S. states and municipalities0 20,883 0 — 20,883 
Certificates of deposit0 0 0 — 0 
Non-U.S. government debt securities11,905 9,132 0 — 21,037 
Corporate debt securities0 271 0 — 271 
Asset-backed securities:
Collateralized loan obligations0 10,202 0 — 10,202 
Other0 6,658 0 — 6,658 
Total available-for-sale securities228,489 161,094 0 — 389,583 
Loans (b)(f)
0 36,414 1,806 — 38,220 
Mortgage servicing rights0 0 3,016 — 3,016 
Other assets(b)(e)
7,676 5,145 658 — 13,479 
Total assets measured at fair value on a recurring basis$477,067 $1,374,092 $16,441 $(588,276)$1,279,324 
Deposits$0 $16,258 $3,056 $— $19,314 
Federal funds purchased and securities loaned or sold under repurchase agreements0 180,904 0 — 180,904 
Short-term borrowings0 16,421 2,608 — 19,029 
Trading liabilities:
Debt and equity instruments(d)
85,147 19,631 57 — 104,835 
Derivative payables:
Interest rate1,352 355,857 2,148 (346,886)12,471 
Credit0 15,605 812 (14,175)2,242 
Foreign exchange180 163,589 1,449 (149,705)15,513 
Equity0 66,746 7,186 (54,576)19,356 
Commodity0 22,019 829 (14,772)8,076 
Total derivative payables1,532 623,816 12,424 (580,114)57,658 
Total trading liabilities86,679 643,447 12,481 (580,114)162,493 
Accounts payable and other liabilities2,945 308 44 — 3,297 
Beneficial interests issued by consolidated VIEs0 39 0 — 39 
Long-term debt0 50,770 22,216 — 72,986 
Total liabilities measured at fair value on a recurring basis$89,624 $908,147 $40,405 $(580,114)$458,062 
101

.
Fair value hierarchy
Derivative
netting
adjustments(g)
Assets and liabilities measured at fair value on a recurring basis





Fair value hierarchy
Derivative
netting
adjustments(f)

     
September 30, 2019 (in millions)Level 1Level 2
Level 3
Total fair value
December 31, 2019 (in millions)December 31, 2019 (in millions)Level 1Level 2Level 3
Derivative
netting
adjustments(g)
Total fair value
Federal funds sold and securities purchased under resale agreements$—
$13,705

$—

$—
$13,705
Federal funds sold and securities purchased under resale agreements$0 $14,561 $0 $14,561 
Securities borrowed—
5,784

—

—
5,784
Securities borrowed0 6,237 0 6,237 
Trading assets:











Trading assets:
Debt instruments:











Debt instruments:
Mortgage-backed securities:











Mortgage-backed securities:
U.S. GSEs and government agencies(a)
—
70,617

811

—
71,428
U.S. GSEs and government agencies(a)
0 44,510 797 — 45,307 
Residential – nonagency—
2,253

24

—
2,277
Residential – nonagency0 1,977 23 — 2,000 
Commercial – nonagency—
1,613

5

—
1,618
Commercial – nonagency0 1,486 4 — 1,490 
Total mortgage-backed securities—
74,483

840

—
75,323
Total mortgage-backed securities0 47,973 824 — 48,797 
U.S. Treasury, GSEs and government agencies(a)
76,953
9,446

—

—
86,399
U.S. Treasury, GSEs and government agencies(a)
78,289 10,295 0 — 88,584 
Obligations of U.S. states and municipalities—
6,229

627

—
6,856
Obligations of U.S. states and municipalities0 6,468 10 — 6,478 
Certificates of deposit, bankers’ acceptances and commercial paper—
2,180
 —
 —
2,180
Certificates of deposit, bankers’ acceptances and commercial paper0 252 0 — 252 
Non-U.S. government debt securities38,162
36,634
 146
 —
74,942
Non-U.S. government debt securities26,600 27,169 155 — 53,924 
Corporate debt securities—
20,461
 484
 —
20,945
Corporate debt securities0 17,956 558 — 18,514 
Loans(b)
—
43,308
 1,746
 —
45,054
Loans(b)
0 6,340 673 — 7,013 
Asset-backed securities—
2,996
 38
 —
3,034
Asset-backed securities0 2,593 37 — 2,630 
Total debt instruments115,115
195,737
 3,881
 —
314,733
Total debt instruments104,889 119,046 2,257 — 226,192 
Equity securities100,829
249
 170
 —
101,248
Equity securities71,890 244 196 — 72,330 
Physical commodities(c)
7,690
3,075
 —
 —
10,765
Physical commodities(c)
3,638 3,579 0 — 7,217 
Other—
13,172
 332
 —
13,504
Other0 13,896 232 — 14,128 
Total debt and equity instruments(d)
223,634
212,233
 4,383
 —
440,250
Total debt and equity instruments(d)
180,417 136,765 2,685 — 319,867 
Derivative receivables:     Derivative receivables:
Interest rate1,312
372,834
 1,787
 (347,426)28,507
Interest rate721 311,173 

1,400 (285,873)27,421 
Credit—
15,072
 645
 (14,879)838
Credit0 14,252 624 (14,175)701 
Foreign exchange3,681
158,893
 558
 (150,451)12,681
Foreign exchange117 137,938 

432 (129,482)9,005 
Equity—
44,064
 2,314
 (38,969)7,409
Equity0 43,642 

2,085 (39,250)6,477 
Commodity—
20,969
 269
 (15,096)6,142
Commodity0 17,058 184 (11,080)6,162 
Total derivative receivables4,993
611,832
 5,573
 (566,821)55,577
Total derivative receivables838 524,063 

4,725 (479,860)49,766 
Total trading assets(e)
228,627
824,065
 9,956
 (566,821)495,827
Total trading assets(e)
181,255 660,828 

7,410 (479,860)369,633 
Available-for-sale securities:     Available-for-sale securities:
Mortgage-backed securities:     Mortgage-backed securities:
U.S. GSEs and government agencies(a)
—
105,581
 —
 —
105,581
U.S. GSEs and government agencies(a)
0 110,117 0 — 110,117 
Residential – nonagency—
12,901
 1
 —
12,902
Residential – nonagency0 12,989 1 — 12,990 
Commercial – nonagency—
5,324
 —
 —
5,324
Commercial – nonagency0 5,188 0 — 5,188 
Total mortgage-backed securities—
123,806
 1
 —
123,807
Total mortgage-backed securities0 128,294 1 — 128,295 
U.S. Treasury and government agencies141,529
—
 —
 —
141,529
U.S. Treasury and government agencies139,436 0 0 — 139,436 
Obligations of U.S. states and municipalities—
31,064
 —
 —
31,064
Obligations of U.S. states and municipalities0 29,810 0 — 29,810 
Certificates of deposit—
74
 —
 —
74
Certificates of deposit0 77 0 — 77 
Non-U.S. government debt securities13,604
8,554
 —
 —
22,158
Non-U.S. government debt securities12,966 8,821 0 — 21,787 
Corporate debt securities—
1,634
 —
 —
1,634
Corporate debt securities0 845 0 — 845 
Asset-backed securities:     Asset-backed securities:
Collateralized loan obligations—
27,908
 —
 —
27,908
Collateralized loan obligations0 24,991 0 — 24,991 
Other—
5,247
 —
 —
5,247
Other0 5,458 0 — 5,458 
Total available-for-sale securities155,133
198,287
 1
 —
353,421
Total available-for-sale securities152,402 198,296 1 — 350,699 
Loans—
5,759
 1
 —
5,760
Loans(b)(f)
Loans(b)(f)
0 44,439 516 — 44,955 
Mortgage servicing rights—
—
 4,419
 —
4,419
Mortgage servicing rights0 0 4,699 — 4,699 
Other assets(e)
7,467
37
 746
 —
8,250
Other assets(b)(e)
Other assets(b)(e)
7,305 3,824 917 — 12,046 
Total assets measured at fair value on a recurring basis$391,227
$1,047,637
 $15,123
 $(566,821)$887,166
Total assets measured at fair value on a recurring basis$340,962 $928,185 

$13,543 

$(479,860)$802,830 
Deposits$—
$25,719
 $3,636
 $—
$29,355
Deposits$0 $25,229 $3,360 $— $28,589 
Federal funds purchased and securities loaned or sold under repurchase agreements—
933
 —
 —
933
Federal funds purchased and securities loaned or sold under repurchase agreements0 549 0 — 549 
Short-term borrowings—
4,496
 2,001
 —
6,497
Short-term borrowings0 4,246 1,674 — 5,920 
Trading liabilities:     

Trading liabilities:
Debt and equity instruments(d)
66,515
23,970
 68
 —
90,553
Debt and equity instruments(d)
59,047 16,481 41 — 75,569 
Derivative payables:     

Derivative payables:
Interest rate1,206
335,401
 2,106
 (328,490)10,223
Interest rate795 276,746 

1,732 (270,670)8,603 
Credit—
16,100
 962
 (14,903)2,159
Credit0 14,358 

763 (13,469)1,652 
Foreign exchange3,583
160,760
 1,399
 (150,726)15,016
Foreign exchange109 143,960 

1,039 (131,950)13,158 
Equity—
45,109
 5,782
 (40,288)10,603
Equity0 47,261 

5,480 (40,204)12,537 
Commodity—
25,495
 316
 (16,022)9,789
Commodity0 19,685 

200 (12,127)7,758 
Total derivative payables4,789
582,865
 10,565
 (550,429)47,790
Total derivative payables904 502,010 

9,214 (468,420)43,708 
Total trading liabilities71,304
606,835
 10,633
 (550,429)138,343
Total trading liabilities59,951 518,491 

9,255 (468,420)119,277 
Accounts payable and other liabilities2,355
37
 19
 —
2,411
Accounts payable and other liabilities3,231 452 

45 — 3,728 
Beneficial interests issued by consolidated VIEs—
39
 —
 —
39
Beneficial interests issued by consolidated VIEs0 36 

0 — 36 
Long-term debt—
49,608
 22,349
 —
71,957
Long-term debt0 52,406 

23,339 — 75,745 
Total liabilities measured at fair value on a recurring basis$73,659
$687,667
 $38,638
 $(550,429)$249,535
Total liabilities measured at fair value on a recurring basis$63,182 $601,409 

$37,673 $(468,420)$233,844 

(a)At September 30, 2020, and December 31, 2019, included total U.S. GSE obligations of $109.5 billion and $104.5 billion, respectively, which were mortgage-related.

(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.

Fair value hierarchy
Derivative
netting
adjustments(f)
 
        
December 31, 2018 (in millions)Level 1Level 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 securities27,878
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 instruments79,355
184,099

3,635

—
 267,089
Equity securities71,119
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 rate682
266,380

1,642

(245,490) 23,214
Credit—
19,235

860

(19,483) 612
Foreign exchange771
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 receivables1,453
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 agencies56,059
—

—

—
 56,059
Obligations of U.S. states and municipalities—
37,723

—

—
 37,723
Certificates of deposit—
75

—

—
 75
Non-U.S. government debt securities15,313
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 securities71,372
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 rate1,526
239,576

1,680

(234,998) 7,784
Credit—
19,309

967

(18,609) 1,667
Foreign exchange695
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 payables2,221
490,054

9,613

(460,119) 41,769
Total trading liabilities82,420
512,809

9,663

(460,119) 144,773
Accounts payable and other liabilities3,063
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)(c)Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities

inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities
102


approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. Refer to Note 45 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.
(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, 2020, and December 31, 2019, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $661 million and $684 million, respectively. Included in these balances at September 30, 2020, and December 31, 2019, were trading assets of $52 million and $54 million, respectively, and other assets of $609 million and $630 million, respectively.
(f)At September 30, 2020, and December 31, 2019, included within loans were $15.6 billion and $19.8 billion, respectively, of residential first-lien mortgages, and $5.2 billion and $8.2 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $8.6 billion and $13.6 billion, respectively.
(g)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 20182019 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 or arithmetic averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.
The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.
In the Firm’s view, the input range, weighted and the weightedarithmetic average valuevalues 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.

103

For
Level 3 inputs(a)
September 30, 2020
Product/Instrument
Fair value
(in millions)
Principal valuation technique
Unobservable inputs(g)
Range of input values
Average(i)
Residential mortgage-backed securities and loans(b)
$1,249 Discounted cash flowsYield(2)%–18%5%
Prepayment speed0%–45%10%
Conditional default rate0%–30%13%
Loss severity0%–107%9%
Commercial mortgage-backed securities and loans(c)
451 Market comparablesPrice$0–$100$83
Obligations of U.S. states and municipalities8 Market comparablesPrice$81–$100$97
Corporate debt securities649 Market comparablesPrice$3–$130$73
Loans(d)
1,370 Market comparablesPrice$2–$108$76
Asset-backed securities33 Market comparablesPrice$1–$95$61
Net interest rate derivatives(6)Option pricingInterest rate volatility8bps–517bps115bps
Interest rate spread volatility11bps–23bps15bps
Interest rate correlation(65)%–95%43%
IR-FX correlation(35)%–50%0%
34 Discounted cash flowsPrepayment speed3%–30%10%
Net credit derivatives(87)Discounted cash flowsCredit correlation32%–64%47%
Credit spread6bps–1,360 bps459bps
Recovery rate0%–70%46%
Conditional default rate2%–92%32%
Loss severity100%100%
38 Market comparablesPrice$0–$115$71
Net foreign exchange derivatives(527)Option pricingIR-FX correlation(50)%–65%19%
(149)Discounted cash flowsPrepayment speed9%9%
Net equity derivatives(3,103)Option pricing
Forward equity price(h)
67%–105%99%
Equity volatility3%–119%35%
Equity correlation45%–100%83%
Equity-FX correlation(77)%–55%(23)%
Equity-IR correlation20%–35%26%
Net commodity derivatives(621)Option pricingForward industrial metal price$1,551 / MT–$2,049 / MT$1,920 / MT
Forward power price$14 / MWH–$65 / MWH$23 / MWH
Commodity volatility5%–94%10%
Commodity correlation(45)%–95%34%
MSRs3,016 Discounted cash flowsRefer to Note 15
Other assets623 Discounted cash flowsCredit spread45bps45bps
Yield4%30%7%
688 Market comparablesPrice$29–$122$39
Long-term debt, short-term borrowings, and deposits(e)
27,880 Option pricingInterest rate volatility8bps–517bps115bps
Interest rate correlation(65)%–95%43%
IR-FX correlation(35)%–50%0%
Equity correlation45%–100%83%
Equity-FX correlation(77)%–55%(23)%
Equity-IR correlation20%–35%26%
Other level 3 assets and liabilities, net(f)
250 
(a)The categories presented in the Firm’s 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)derivativesComprises U.S. GSE and government agency securities of $507 million, nonagency securities of $25 million and non-trading loans of $717 million.
(c)Comprises nonagency securities of $2 million, trading loans of $44 million and non-trading loans of $405 million.
(d)Comprises trading loans of $686 million and non-trading loans of $684 million.
(e)Long-term debt, short-term borrowings and deposits include structured notes positions classified within level 3 at September 30, 2019, interest rate correlation inputs used in estimating fair value were concentrated towardsissued by the upper endFirm that are financial instruments that typically contain embedded derivatives. The estimation 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 towardsstructured notes includes the upper endderivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.
(f)Includes level 3 assets and liabilities that are insignificant both individually and in aggregate.
(g)Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.
(h)Forward equity price is expressed as a percentage of the range. Prepayment speedcurrent equity price.
(i)Amounts represent weighted averages except for derivative related 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.where arithmetic averages are used.


Level 3 inputs(a)
      
September 30, 2019      
Product/Instrument
Fair value
(in millions)
 Principal valuation technique
Unobservable inputs(g)
Range of input valuesWeighted average 
Residential mortgage-backed securities and loans(b)
$1,132
 Discounted cash flowsYield0 %–19% 5%
   Prepayment speed0 %–22% 14%
    Conditional default rate0 %–4% 1%
    Loss severity0 %–100% 2%
Commercial mortgage-backed securities and loans(c)
147
 Market comparablesPrice$0
–$102
 $80
Obligations of U.S. states and municipalities627
 Market comparablesPrice$68
–$100
 $97
Corporate debt securities484
 Market comparablesPrice$4
–$116
 $79
Loans(d)
194
 Discounted cash flowsYield5 %–22% 7%
 1,115
 Market comparablesPrice$12
–$101
 $78
Asset-backed securities38
 Market comparablesPrice$1
–$100
 $53
Net interest rate derivatives(388) Option pricingInterest rate spread volatility20 bps–30 bps 
    Interest rate correlation(28)%–96%  
    IR-FX correlation53 %–60%  
 69
 Discounted cash flowsPrepayment speed4 %–30%  
Net credit derivatives(353) Discounted cash flowsCredit correlation30 %–60%  
    Credit spread4 bps–1,315 bps  
    Recovery rate15 %–70%  
    Conditional default rate2 %–93%  
    Loss severity100%  
 36
 Market comparablesPrice$1
–$115
  
Net foreign exchange derivatives(679) Option pricingIR-FX correlation(58)%–60%  
 (162) Discounted cash flowsPrepayment speed9%  
Net equity derivatives(3,468) Option pricingEquity volatility11 %–82%  
    Equity correlation10 %–98%  
    Equity-FX correlation(81)%–59%  
    Equity-IR correlation25 %–60%  
Net commodity derivatives(47) Option pricingForward commodity price$30
–$ 61 per barrel
    Commodity volatility5 %–111%  
    Commodity correlation(48)%–95%  
MSRs4,419
 Discounted cash flowsRefer to Note 14  
Other assets303
 Discounted cash flowsCredit spread45 bps 45 bps
    Yield12% 12%
 775
 Market comparablesPrice$18
–$115
 $36
Long-term debt, short-term borrowings, and deposits(e)
27,986
 Option pricingInterest rate spread volatility20 bps–30 bps 
   Interest rate correlation(28)%–96%  
   IR-FX correlation(58)%–60%  
   Equity correlation10 %–98%  
   Equity-FX correlation(81)%–59%  
   Equity-IR correlation25 %–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.
104


Changes in and ranges of unobservable inputs
Refer to Note 2 of JPMorgan Chase’s 20182019 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, 20192020 and 2018.2019. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs to the overall fair
fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.



105
 Fair value measurements using significant unobservable inputs  
Three months ended
September 30, 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 – nonagency42
 —
 2
(3) —
—
(17) 24
 (1) 
Commercial – nonagency9
 —
 3
(5) —
—
(2) 5
 —
 
Total mortgage-backed securities668
 (71) 429
(112) (45)—
(29) 840
 (71) 
U.S. Treasury, GSEs and government agencies
—
 —
 —
—
 —
—
—
 —
 —
 
Obligations of U.S. states and municipalities680
 (2) 27
(77) (1)—
—
 627
 (2) 
Non-U.S. government debt securities190
 (1) 40
(74) —
3
(12) 146
 (1) 
Corporate debt securities562
 45
 56
(167) —
17
(29) 484
 3
 
Loans1,778
 (44) 152
(82) (132)211
(137) 1,746
 (46) 
Asset-backed securities33
 —
 11
(2) (2)3
(5) 38
 (2) 
Total debt instruments3,911
 (73) 715
(514) (180)234
(212) 3,881
 (119) 
Equity securities147
 (14) 10
(10) —
46
(9) 170
 (16) 
Other311
 18
 35
(15) (15)—
(2) 332
 23
 
Total trading assets – debt and equity instruments4,369
 (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
 —

Loans5
 —

—
—
 (4)—
—
 1
 —

Mortgage servicing rights5,093
 (447)
(d) 
388
(359) (256)—
—
 4,419
 (447)
(d) 
Other assets861
 (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
PurchasesSalesIssuances
Settlements(g)
Liabilities:(a)
               
Deposits$4,066
 $—

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

(5)25
—
1
2
—
 68
 —

Accounts payable and other liabilities92
 (6)
(c) 
(71)4
—
—
—
—
 19
 (2)
(c) 
Beneficial interests issued by consolidated VIEs—
 —

—
—
—
—
—
—
 —
 —

Long-term debt21,863
 187
(c)(e) 
—
—
2,230
(1,758)49
(222) 22,349
 89
(c)(e) 


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 – nonagency87
 1

—
(6)
 (3)
18
(20)
77

1

Commercial – nonagency18
 (1)
—
—

 



9
(13)
13

(1)
Total mortgage-backed securities583
 2

14
(34)
 (20)
110
(36)
619

—

U.S. Treasury, GSEs and government agencies—
 —
 —
—
  —
 —
—
 —
 —
 
Obligations of U.S. states and municipalities736
 8

26
(70)
 (1)
—
—

699

7

Non-U.S. government debt securities183
 (9)
44
(29)
 (2)
1
(24)
164

(9)
Corporate debt securities274
 (2)
156
(87)
 (4)
82
(24)
395

(3)
Loans1,986
 17

188
(146)
 (199)
48
(361)
1,533

3

Asset-backed securities87
 6

5
(7)
 (13)
5
(7)
76

3

Total debt instruments3,849
 22

433
(373)
 (239)
246
(452)
3,486

1

Equity securities288
 20

6
(48)
 



82
(19)
329

(18)
Other406
 30

13
—

 (37)
2
(1)
413

10

Total trading assets – debt and equity instruments4,543
 72
(c) 
452
(421)
 (276)
330
(472)
4,228

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


 







 


 








Interest rate489
 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 securities1
 —

—
—

 —

—
—

1

—

Asset-backed securities147
 —

—
—

 (86)
—
—

61

—

Total available-for-sale securities148
 —

—
—

 (86)
—
—

62

—

Loans159
 (1)
(c) 
1
—

 (19)
—
—

140

(1)
(c) 
Mortgage servicing rights6,241
 98
(d) 
291
(2)
 (195)
—
—

6,433

98
(d) 
Other assets1,225
 (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
PurchasesSalesIssuances
Settlements(g)

Liabilities:(a)

 




 

  







Deposits$4,305
 $(84)
(c)(e) 
$—
$—
$517
 $(170)
$1
$(129)
$4,440

$(82)
(c)(e) 
Short-term borrowings2,209
 (47)
(c)(e) 
—
—
713
 (885)
6
(25)
1,971

(31)
(c)(e) 
Trading liabilities – debt and equity instruments43
 36
(c) 
(6)19
—
 (2)
7
(1)
96

36
(c) 
Accounts payable and other liabilities8
 1
(c) 
—
—
—
 —

3
—

12

1
(c) 
Beneficial interests issued by consolidated VIEs1
 —

—
—
—
 —

—
—

1

—

Long-term debt17,632
(i) 
194
(c)(e) 
—
—
3,551
 (1,809)
59
(219)
19,408
(i) 
192
(c)(e) 


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

0 0 0 0 0 0 0 

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

0 0 0 0 0 0 0 0 

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


Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2019
(in millions)		Three months ended
September 30, 2019
(in millions)		Fair value at
July 1,
2019		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Assets:(a)
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:              Trading assets:
Debt instruments:              Debt instruments:
Mortgage-backed securities:              Mortgage-backed securities:
U.S. GSEs and government agencies$549
 $(111) $747
$(272)  $(83) $1
$(20) $811
 $(116) U.S. GSEs and government agencies$617 $(71)$424 $(104)$(45)$0 $(10)$811 $(70)
Residential – nonagency64
 25
 83
(86)  (20) 15
(57) 24
 (1) Residential – nonagency42 0 2 (3)0 0 (17)24 (1)
Commercial – nonagency11
 2
 19
(24)  (14) 15
(4) 5
 1
 Commercial – nonagency9 0 3 (5)0 0 (2)5 0 
Total mortgage-backed securities624
 (84) 849
(382)  (117) 31
(81) 840
 (116) Total mortgage-backed securities668 (71)429 (112)(45)0 (29)840 (71)
U.S. Treasury, GSEs and government agencies
—
 —
 —
—
  —
 —
—
 —
 —
 
Obligations of U.S. states and municipalities689
 12
 85
(152)  (7) —
—
 627
 13
 Obligations of U.S. states and municipalities680 (2)27 (77)(1)0 0 627 (2)
Non-U.S. government debt securities155
 (2) 228
(231)  —
 14
(18) 146
 3
 Non-U.S. government debt securities190 (1)40 (74)0 3 (12)146 (1)
Corporate debt securities334
 74
 340
(236)  (53) 96
(71) 484
 15
 Corporate debt securities562 45 56 (167)0 17 (29)484 3 
Loans(b)1,706
 95
 609
(416)  (408) 509
(349) 1,746
 44
 797 (48)115 (74)(24)118 (94)790 (55)
Asset-backed securities127
 —
 30
(81)  (39) 23
(22) 38
 (3) Asset-backed securities33 0 11 (2)(2)3 (5)38 (2)
Total debt instruments3,635
 95
 2,141
(1,498)  (624) 673
(541) 3,881
 (44) Total debt instruments2,930 (77)678 (506)(72)141 (169)2,925 (128)
Equity securities232
 (28) 33
(92)  (22) 142
(95) 170
 (21) Equity securities147 (14)10 (10)0 46 (9)170 (16)
Other301
 42
 50
(16)  (41) 1
(5) 332
 55
 Other311 18 35 (15)(15)0 (2)332 23 
Total trading assets – debt and equity instruments4,168
 109
(c) 
2,224
(1,606)  (687) 816
(641) 4,383
 (10)
(c) 
Total trading assets – debt and equity instruments3,388 (73)(d)723 (531)(87)187 (180)3,427 (121)(d)
Net derivative receivables:(b)(c)
              
Interest rate(38) (575) 86
(102)
(i) 
 174
(i) 
22
114
 (319) (694) Interest rate(544)88 39 (15)53 

10 50 (319)(15)
Credit(107) (209) 16
(5)  (13) 7
(6) (317) (169) Credit(232)(65)3 (3)(23)3 0 (317)(68)
Foreign exchange(297) (840) 13
(18)  294
 (19)26
 (841) (815) Foreign exchange(193)(653)2 (1)(1)6 (1)(841)(657)
Equity(2,225) 328
 335
(573)  (1,062) (418)147
 (3,468) (1,193) Equity(2,560)(382)

174 (118)

(377)

(203)(2)

(3,468)(362)
Commodity(1,129) 370
 32
(240)  51
 2
867
 (47) 634
 Commodity(908)8 22 (69)6 18 876 (47)40 
Total net derivative receivables(3,796) (926)
(c) 
482
(938)  (556) (406)1,148
 (4,992) (2,237)
(c) 
Total net derivative receivables(4,437)(1,004)(d)240 (206)

(342)

(166)923 

(4,992)(1,062)(d)
Available-for-sale securities:              Available-for-sale securities:
Mortgage-backed securities1
 —
 1
—
  (1) —
—
 1
 —
 Mortgage-backed securities0 0 

1 0 

0 

0 0 

1 0 
Asset-backed securities—
 —
 —
—
  —
 —
—
 —
 —
 
Total available-for-sale securities1
 —
 1
—
  (1) —
—
 1
 —
 Total available-for-sale securities0 0 

1 0 0 0 0 1 0 

Loans(b)122
 4
(c) 
—
—
  (125) —
—
 1
 —
 775 1 (d)26 (8)(84)93 (43)760 6 (d)
Mortgage servicing rights6,130
 (1,572)
(d) 
1,250
(687)  (702) —
—
 4,419
 (1,572)
(d) 
Mortgage servicing rights5,093 (447)(e)388 (359)(256)0 0 4,419 (447)(e)
Other assets(b)927
 (152)
(c) 
170
(160)  (33) 1
(7) 746
 (145)
(c) 
1,072 (53)(d)30 (72)(34)0 0 943 (53)(d)
              
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
PurchasesSales Issuances
Settlements(g)
 
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2019
(in millions)		Three months ended
September 30, 2019
(in millions)		Fair value at
July 1,
2019		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2019
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
              
Liabilities:(a)
Deposits$4,169
 $241
(c)(e) 
$—
$—
 $580
$(504) $12
$(862) $3,636
 $250
(c)(e) 
Deposits$4,066 $0 

$0 $0 $153 $(188)$12 $(407)$3,636 $16 (d)(f)
Short-term borrowings1,523
 142
(c)(e) 
—
—
 2,637
(2,265) 85
(121) 2,001
 74
(c)(e) 
Short-term borrowings2,052 24 (d)(f)0 0 949 (1,040)17 (1)2,001 28 (d)(f)
Trading liabilities – debt and equity instruments50
 —
 (12)41
 —
1
 9
(21) 68
 (1)
(c) 
Trading liabilities – debt and equity instruments45 0 

(5)25 0 1 2 0 68 0 

Accounts payable and other liabilities10
 (7)
(c) 
(79)94
 —
—
 1
—
 19
 4
(c) 
Accounts payable and other liabilities92 (6)(d)(71)4 0 0 0 0 19 (2)(d)
Beneficial interests issued by consolidated VIEs1
 (1)
(c) 
—
—
 —
—
 —
—
 —
 —
 Beneficial interests issued by consolidated VIEs0 0 

0 0 0 0 0 0 0 0 

Long-term debt19,418
 1,915
(c)(e) 
—
—
 6,929
(5,675) 522
(760) 22,349
 2,010
(c)(e) 
Long-term debt21,863 187 (d)(f)0 0 2,230 (1,758)

49 (222)22,349 

89 (d)(f)



107


Fair value measurements using significant unobservable inputs
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)
 
Nine months ended
September 30, 2020
(in millions)		Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2020
Purchases(g)
Sales
Settlements(h)
Assets:(a)
            
Assets:(a)
Trading assets:            Trading assets:
Debt instruments:            Debt instruments:
Mortgage-backed securities:            Mortgage-backed securities:
U.S. GSEs and government agencies$307
$5
 $348
$(126)  $(56) $92
$(41) $529
 $3
 U.S. GSEs and government agencies$797 $(153)$134 $(149)$(122)$0 $0 $507 $(140)
Residential – nonagency60
1
 45
(19)  (6) 58
(62) 77
 4
 Residential – nonagency23 (1)12 (4)(2)0 (3)25 2 
Commercial – nonagency11
2
 7
(8)  (13) 30
(16) 13
 (1) Commercial – nonagency4 0 1 0 (1)1 (3)2 4 
Total mortgage-backed securities378
8
 400
(153)  (75) 180
(119) 619
 6
 Total mortgage-backed securities824 (154)147 (153)(125)1 (6)534 (134)
U.S. Treasury, GSEs and government agencies1
—
 —
—
  —
 —
(1) —
 —
 
Obligations of U.S. states and municipalities744
(3) 107
(70)  (79) —
—
 699
 (3) Obligations of U.S. states and municipalities10 0 0 (1)(1)0 0 8 0 
Non-U.S. government debt securities78
(19) 395
(213)  (2) 18
(93) 164
 (18) Non-U.S. government debt securities155 10 164 (148)(7)0 (9)165 7 
Corporate debt securities312
(6) 297
(227)  (15) 249
(215) 395
 (1) Corporate debt securities558 (10)475 (131)(234)296 (305)649 13 
Loans2,719
58
 1,223
(1,680)  (528) 422
(681) 1,533
 (22) 
Loans(b)
Loans(b)
673 (72)829 (400)(130)676 (846)730 (35)
Asset-backed securities153
15
 64
(29)  (53) 18
(92) 76
 8
 Asset-backed securities37 (4)42 (36)(5)9 (10)33 (1)
Total debt instruments4,385
53
 2,486
(2,372)  (752) 887
(1,201) 3,486
 (30) Total debt instruments2,257 (230)1,657 (869)(502)982 (1,176)2,119 (150)
Equity securities295
(1) 99
(108)  (1) 86
(41) 329
 11
 Equity securities196 (79)37 (109)0 259 (118)186 (40)
Other690
(209) 47
(40)  (75) 3
(3) 413
 (250) Other232 239 213 (9)(23)4 (3)653 263 
Total trading assets – debt and equity instruments5,370
(157)
(c) 
2,632
(2,520)  (828) 976
(1,245) 4,228
 (269)
(c) 
Total trading assets – debt and equity instruments2,685 (70)(d)1,907 (987)(525)1,245 (1,297)2,958 73 (d)
Net derivative receivables:(b)
            
Net derivative receivables:(c)
Net derivative receivables:(c)
Interest rate264
576
 83
(77)  (234) 40
39
 691
 498
 Interest rate(332)2,052 102 (97)(1,510)(317)130 28 290 
Credit(35)19
 3
(7)  22
 5
20
 27
 7
 Credit(139)0 70 (150)137 59 (26)(49)24 
Foreign exchange(396)184
 42
(15)  (46) (114)43
 (302) 42
 Foreign exchange(607)(214)46 (16)75 15 25 (676)(181)
Equity(3,409)688
 1,467
(1,919)  1,043
 (324)177
 (2,277) 31
 Equity(3,395)564 912 (1,473)558 (524)255 (3,103)1,342 
Commodity(674)468
 —
—
  (287) 7
(39) (525) 158
 Commodity(16)(248)22 (107)54 (306)(20)(621)363 
Total net derivative receivables(4,250)1,935
(c) 
1,595
(2,018)  498
 (386)240
 (2,386) 736
(c) 
Total net derivative receivables(4,489)2,154 (d)1,152 (1,843)(686)(1,073)364 (4,421)1,838 (d)
Available-for-sale securities:            Available-for-sale securities:
Mortgage-backed securities1
—
 —
—
  —
 —
—
 1
 —
 Mortgage-backed securities1 0 0 0 (1)0 0 0 0 
Asset-backed securities276
1
 —
—
  (216) —
—
 61
 1
 
Total available-for-sale securities277
1
(j) 
—
—
  (216) —
—
 62
 1
(j) 
Total available-for-sale securities1 0 0 0 (1)0 0 0 0 
Loans276
(5)
(c) 
123
—
  (180) —
(74) 140
 (5)
(c) 
Loans(b)
Loans(b)
516 (195)(d)450 (77)(678)2,312 (522)1,806 (147)(d)
Mortgage servicing rights6,030
576
(d) 
770
(401)  (542) —
—
 6,433
 576
(d) 
Mortgage servicing rights4,699 (1,459)(e)663 (177)(710)0 0 3,016 (1,459)(e)
Other assets1,265
(210)
(c) 
49
(16)  (28) 4
(1) 1,063
 (217)
(c) 
Other assets(b)
Other assets(b)
917 (56)(d)66 (28)(281)40 0 658 4 (d)
            
Fair value measurements using significant unobservable inputs  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
PurchasesSalesIssuances
Settlements(g)
 
Nine months ended
September 30, 2020
(in millions)		Nine months ended
September 30, 2020
(in millions)		Fair value at
Jan 1,
2020		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2020		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2020
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
            
Liabilities:(a)
Deposits$4,142
$(125)
(c)(e) 
$—
$—
$1,272
 $(425) $2
$(426) $4,440
 $(115)
(c)(e) 
Deposits$3,360 $88 (d)(f)$0 $0 $636 $(538)$265 $(755)$3,056 $137 (d)(f)
Short-term borrowings1,665
(229)
(c)(e) 
—
—
2,783
 (2,245) 61
(64) 1,971
 26
(c)(e) 
Short-term borrowings1,674 (294)(d)(f)0 0 3,961 (2,769)77 (41)2,608 (27)(d)(f)
Trading liabilities – debt and equity instruments39
28
(c) 
(68)95
—
 (1) 9
(6) 96
 11
(c) 
Trading liabilities – debt and equity instruments41 1 (d)(81)12 0 (4)96 (8)57 0 

Accounts payable and other liabilities13
—
 (6)1
—
 —
 4
—
 12
 —
 Accounts payable and other liabilities45 (1)(d)(85)37 0 0 48 0 44 1 (d)
Beneficial interests issued by consolidated VIEs39
—
 —
—
—
 (38) —
—
 1
 —
 Beneficial interests issued by consolidated VIEs0 0 0 0 0 0 0 0 0 0 
Long-term debt16,125
(396)
(c)(e) 
—
—
9,792
(i) 
(6,195)
(i) 
653
(571) 19,408
(i) 
(576)
(c)(e) 
Long-term debt23,339 (639)(d)(f)0 0 7,432 (7,851)1,056 (1,121)22,216 (507)(d)(f)

(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 0t material for the nine months ended September 30, 2018.


108


Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized gains/(losses)
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2019
Purchases(g)
Sales
Settlements(h)
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 – nonagency64 25 83 (86)(20)15 (57)24 (1)
Commercial – nonagency11 2 19 (24)(14)15 (4)5 1 
Total mortgage-backed securities624 (84)849 (382)(117)31 (81)840 (116)
Obligations of U.S. states and municipalities689 12 85 (152)(7)0 0 627 13 
Non-U.S. government debt securities155 (2)228 (231)0 14 (18)146 3 
Corporate debt securities334 74 340 (236)(53)96 (71)484 15 
Loans(b)
738 28 362 (379)(80)358 (237)790 16 
Asset-backed securities127 0 30 (81)(39)23 (22)38 (3)
Total debt instruments2,667 28 1,894 (1,461)(296)522 (429)2,925 (72)
Equity securities232 (28)33 (92)(22)142 (95)170 (21)
Other301 42 50 (16)(41)1 (5)332 55 
Total trading assets – debt and equity instruments3,200 42 (d)1,977 (1,569)(359)665 (529)3,427 (38)(d)
Net derivative receivables:(c)
Interest rate(38)(575)86 (102)

174 

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)(d)482 (938)(556)(406)1,148 (4,992)(2,237)(d)
Available-for-sale securities:
Mortgage-backed securities1 0 1 0 (1)0 0 1 0 
Total available-for-sale securities1 0 1 0 (1)0 0 1 0 
Loans(b)
856 41 (d)224 (36)(364)151 (112)760 25 (d)
Mortgage servicing rights6,130 (1,572)(e)1,250 (687)(702)0 0 4,419 (1,572)(e)
Other assets(b)
1,161 (122)(d)193 (161)(122)1 (7)943 (142)(d)
Fair value measurements using significant unobservable inputs
Nine months ended
September 30, 2019
(in millions)		Fair value at
Jan 1,
2019		Total realized/unrealized (gains)/losses
Transfers into
level 3(i)
Transfers (out of) level 3(i)
Fair value at
September 30, 2019		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2019
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$4,169 $241 (d)(f)$0 $0 $580 $(504)$12 $(862)$3,636 $250 (d)(f)
Short-term borrowings1,523 142 (d)(f)0 0 2,637 (2,265)85 (121)2,001 74 (d)(f)
Trading liabilities – debt and equity instruments50 0 (12)41 0 1 9 (21)68 (1)(d)
Accounts payable and other liabilities10 (7)(d)(79)94 0 0 1 0 19 4 (d)
Beneficial interests issued by consolidated VIEs1 (1)(d)0 0 0 0 0 0 0 0 
Long-term debt19,418 1,915 (d)(f)0 0 6,929 (5,675)522 (760)22,349 2,010 (d)(f)
(a)Level 3 assets at fair value as a percentage of total Firm assets at fair value (including assets measured at fair value on a nonrecurring basis) were 1% and 2% at September 30, 2020 and December 31, 2019, respectively. Level 3 liabilities at fair value as a percentage of total Firm liabilities at fair value (including liabilities measured at fair value on a nonrecurring basis) were 9% and 16%, at September 30, 2020 and December 31, 2019, respectively.
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
109


(c)All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.
(d)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.
(e)Changes in fair value for MSRs are reported in mortgage fees and related income.
(f)Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three and nine months ended September 30, 2020 and 2019, respectively. Unrealized (gains)/losses are reported in OCI, and they were $120 million and $(62) million for the three months ended September 30, 2020 and 2019, respectively and $(78) million and $108 million for the nine months ended September 30, 2020 and 2019, respectively.
(g)Loan originations are included in purchases.
(h)Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications deconsolidations associated with beneficial interests in VIEs and other items.
(i)All transfers into and/or out of level 3 are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
(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 0 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 0 for both the three months ended September 30, 2019 and 2018, respectively and 0 and $1 million for the nine months ended September 30, 2019 and 2018, respectively.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets at fair value, including assets measured at fair value on a nonrecurring basis, were 0.6% of total Firm assets at September 30, 2019.2020. The following describes significant changes to level 3 assets since December 31, 2018,2019, for those items measured at fair value on a recurring basis. Refer to Assets and liabilities measured at fair value on a nonrecurring basis on page 97112 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and nine months ended September 30, 20192020
Level 3 assets were $15.1$16.4 billion at September 30, 2019,2020, reflecting a decrease of $1.4 billion and $2.0 billion$980 million from June 30, 20192020 with no movements that were significant and an increase of $2.9 billion from December 31, 2018, respectively.2019.
The decreaseincrease for the threenine months ended September 30, 20192020 was predominantly driven by a reduction of $674 million in MSRs and a reduction of $619 millionby:
•$2.0 billion increase in gross equity derivative receivables due to gains and purchases net of settlements.
The•$1.3 billion increase in non-trading loans due to net transfers.
largely offset by
•$1.7 billion decrease for the nine months ended September 30, 2019 was predominantly driven by a reduction of approximately $1.7 billion in MSRs. MSRs due to losses.
Refer to the Gains and losses sectionsections below for additional information.
Transfers between levels for instruments carried at fair value on a recurring basis
For boththe three months ended September 30, 2020, there were no significant transfers from level 2 into level 3.
For the nine months ended September 30, 2020, significant transfers from level 2 into level 3 included the following:
•$2.2 billion of gross equity derivative receivables and $2.7 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
•$2.3 billion of non-trading loans, driven by a decrease in observability.
•$1.1 billion of long-term debt driven by a decrease in observability and an increase in the significance of unobservable inputs for certain structured notes.
For the three months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:
•$965 million of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
For the nine months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:
•$1.7 billion of gross equity derivative receivables and $1.9 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.
•$1.1 billion of long-term debt driven by an increase in observability and a decrease in the significance of unobservable inputs for certain structured notes.
For the three and nine months ended September 30, 2019, there were no individually significant transfers from level 2 tointo 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.
110


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 90–95105-111 for further information on these instruments.
Three months ended September 30, 2020

•$744 million of net losses on assets, driven by market movements in net equity derivative receivables.
•$763 million of net losses on liabilities, driven by market movements in long-term debt.
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 1415 for information on MSRs.
•$205 million of net losses on liabilities, none of which were individually significant.
ThreeNine months ended September 30, 20182020
•$374 million
$394 million of net gains on assets, and $100driven by gains in net interest rate derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 15 for additional information on MSRs.
•$845 million of net gains on liabilities, none of which were individually significant.predominantly driven by market movements in long-term debt.
Nine months ended September 30, 2019
•
$2.5 billion of net losses on assets, driven by net derivative receivables due to market movements and MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 1415 for additional 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

Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Credit and funding adjustments:
Derivatives CVA$144 $55 $(574)$71 
Derivatives FVA109 (83)(236)(20)
Refer to Note 2 of JPMorgan Chase’s 20182019 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.
111


Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets and liabilities held as of September 30, 20192020 and 2018,2019, respectively, for which a nonrecurring fair value adjustment wasadjustments were recorded during the nine months ended September 30, 20192020 and 2018,2019, respectively, by major product category and fair value hierarchy.
Fair value hierarchyTotal fair value
Fair value hierarchy Total fair value
September 30, 2019 (in millions)Level 1
Level 2
 Level 3
 
September 30, 2020 (in millions)September 30, 2020 (in millions)Level 1Level 2Level 3Total fair value
Loans$—
$5,338
(b) 
$246
(c) 
$5,584
Loans$— $1,714 (c)$788 (d)
Other assets(a)
—
18
 775
 793
Other assets(a)
0 11 945 956 
Total assets measured at fair value on a nonrecurring basis$—
$5,356
 $1,021
 $6,377
Total assets measured at fair value on a nonrecurring basis$0 $1,725 $1,733 $3,458 
Accounts payable and other liabilities(b)
Accounts payable and other liabilities(b)
0 0 3  3 
Total liabilities measured at fair value on a nonrecurring basisTotal liabilities measured at fair value on a nonrecurring basis$0 $0 $3 $3 
Fair value hierarchyTotal fair value
September 30, 2019 (in millions)Level 1Level 2Level 3
Loans$0 $5,338 (c)$246 $5,584 
Other assets0 18 789 (e)807 
Total assets measured at fair value on a nonrecurring basis$0 $5,356 $1,035 $6,391 
 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 $945 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2020, $377 million related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.
(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%.
(b)Represents at September 30, 2020 the net markdowns associated with $556 million of held-for-sale positions related to unfunded commitments in the bridge financing portfolio. There were no material0 liabilities measured at fair value on a nonrecurring basis at September 30, 20192019.
(c)Primarily includes certain mortgage loans that were reclassified to held-for-sale.
(d)Of the $788 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2020, $471 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and 2018.automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 14% to 46% with a weighted average of 30%.
(e)Prior-period amounts have been revised to conform with the current presentation.
Nonrecurring fair value changes
The following table presents the total change in value of assets and liabilities for which a fair value adjustment hasadjustments have been recognized for the three and nine months ended September 30, 20192020 and 2018,2019, related to assets and liabilities held at those dates.
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Loans(a)
$(35) $(142)

$(318)

$(232)

Other assets(b)
(363) 37 (d)(539)137 (d)
Accounts payable and other liabilities92 (c)0 (3)(c)0 
Total nonrecurring fair value gains/(losses)$(306)$(105)$(860)$(95)
(a)Includes the impact of certain mortgage loans that were reclassified to held-for-sale.
(b)Included $2 million and $48 million for the three months ended September 30, 2020 and 2019, respectively and $(155) million and $146 million for the nine months ended September 30, 2020 and 2019, respectively, of net (losses)/gains as a result of the measurement alternative.
 Three months ended September 30, Nine months ended September 30,
(in millions)2019
 2018
 2019
 2018
Loans$(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.
(c)Represents marks on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.
(d)Prior-period amounts have been revised to conform with the current presentation.
Refer to Note 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).loans.

112


Equity securities without readily determinable fair values
The Firm measures certain equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in earnings.other income.
In its determination of the new carrying values upon observable price changes, the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with the Firm’s valuation techniques for private equity direct investments.
The following table presents the carrying value of equity securities without readily determinable fair values still held as of September 30, 20192020 and 2018,2019, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.
 Three months endedNine months ended
 September 30September 30
As of or for the period ended,
(in millions)2020201920202019
Other assets
Carrying value(a)
$2,329 $2,771 $2,329 $2,771 
Upward carrying value changes(b)
36 48 (d)49 183(d)
Downward carrying value changes/impairment(c)
(34)0 (204)(37)
(a)The carrying value as of December 31, 2019 was $2.4 billion. The period-end carrying values reflect cumulative purchases and sales in addition to upward and downward carrying value changes.
(b)The cumulative upward carrying value changes between January 1, 2018 and September 30, 2020 were $590 million.
 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)
(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 2020 were $(334) million.
(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.
(d)Prior-period amounts have been revised to conform with the current presentation.
Included in other assets above is the Firm’s interest in approximately 40 million Visa Class B 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, 2019,2020, and may be adjusted by Visa depending on developments related to the litigation matters.
113



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, 2019,2020, and December 31, 2018, 2019, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.
September 30, 2020December 31, 2019
Estimated fair value hierarchyEstimated fair value hierarchy
(in billions)Carrying
value		Level 1Level 2Level 3Total estimated
fair value		Carrying
value		Level 1Level 2Level 3Total estimated
fair value
Financial assets
Cash and due from banks$20.8 $20.8 $0 $0 $20.8 $21.7 $21.7 $0 $0 $21.7 
Deposits with banks466.7 466.7 0 0 466.7 241.9 241.9 0 0 241.9 
Accrued interest and accounts receivable76.0 0 75.9 0.1 76.0 71.3 0 71.2 0.1 71.3 
Federal funds sold and securities purchased under resale agreements35.1 0 35.1 0 35.1 234.6 0 234.6 0 234.6 
Securities borrowed97.9 0 97.9 0 97.9 133.5 0 133.5 0 133.5 
Investment securities, held-to-maturity141.6 0.1 144.9 0 145.0 47.5 0.1 48.8 0 48.9 
Loans, net of allowance for loan losses(a)
920.7 0 211.7 737.0 948.7 939.5 0 214.1 734.9 949.0 
Other77.0 0 75.8 1.4 77.2 61.3 0 60.6 0.8 61.4 
Financial liabilities
Deposits$1,982.1 $0 $1,982.2 $0 $1,982.2 $1,533.8 $0 $1,534.1 $0 $1,534.1 
Federal funds purchased and securities loaned or sold under repurchase agreements55.5 0 55.5 0 55.5 183.1 0 183.1 0 183.1 
Short-term borrowings23.0 0 23.0 0 23.0 35.0 0 35.0 0 35.0 
Accounts payable and other liabilities189.5 0 185.4 3.8 189.2 164.0 0.1 160.0 3.5 163.6 
Beneficial interests issued by consolidated VIEs19.2 0 19.2 0 19.2 17.8 0 17.9 0 17.9 
Long-term debt206.2 0 205.5 3.2 208.7 215.5 0 218.3 3.5 221.8 
(a)Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.
 September 30, 2019 December 31, 2018
  Estimated fair value hierarchy   Estimated fair value hierarchy 
(in billions)
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
 
Carrying
value
Level 1Level 2Level 3
Total estimated
fair value
Financial assets           
Cash and due from banks$21.2
$21.2
$—
$—
$21.2
 $22.3
$22.3
$—
$—
$22.3
Deposits with banks235.4
235.4
—
—
235.4
 256.5
256.5
—
—
256.5
Accrued interest and accounts receivable87.9
—
87.9
—
87.9
 72.0
—
71.9
0.1
72.0
Federal funds sold and securities purchased under resale agreements243.7
—
243.7
—
243.7
 308.4
—
308.4
—
308.4
Securities borrowed132.6
—
132.6
—
132.6
 106.9
—
106.9
—
106.9
Investment securities, held-to-maturity40.8
—
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
Other60.6
—
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 agreements246.8
—
246.8
—
246.8
 181.4
—
181.4
—
181.4
Short-term borrowings42.4
—
42.4
—
42.4
 62.1
—
62.1
—
62.1
Accounts payable and other liabilities181.5
0.7
177.0
3.4
181.1
 160.6
0.2
157.0
3.0
160.2
Beneficial interests issued by consolidated VIEs18.5
—
18.5
—
18.5
 20.2
—
20.2
—
20.2
Long-term debt and junior subordinated deferrable interest debentures224.3
—
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, 2020December 31, 2019
Estimated fair value hierarchyEstimated fair value hierarchy
(in billions)
Carrying value(a) (b)
Level 1Level 2Level 3Total estimated fair value
Carrying value(a)
Level 1Level 2Level 3Total estimated fair value
Wholesale lending-related commitments$2.6 $0 $0 $2.4 $2.4 $1.2 $0 $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)Includes the wholesale allowance for lending-related commitments and net markdowns associated with held-for-sale positions related to unfunded commitments in the bridge financing portfolio.
 September 30, 2019 December 31, 2018
  Estimated fair value hierarchy   Estimated fair value hierarchy 
(in billions)
Carrying value(a)
Level 1Level 2Level 3Total estimated fair value 
Carrying value(a)
Level 1Level 2Level 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 off-balance sheet lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to page 161156 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of the valuation of lending-related commitments.
114



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 theThe fair value option wasprovides an option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments.
The Firm has elected to measure certain instruments at fair value for several reasons including to mitigate income statement volatility caused by the differences between the measurement basis of elected instruments (e.g., certain instruments that otherwise would be accounted for those electionson an accrual basis) and the determinationassociated risk management arrangements that are accounted for on a fair value basis, as well as to better reflect those instruments that are managed on a fair value basis.
The Firm’s election of instrument-specificfair value includes the following instruments:
•Loans purchased or originated as part of securitization warehousing activity, subject to bifurcation accounting, or managed on a fair value basis, including lending-related commitments
•Certain securities financing agreements
•Owned beneficial interests in securitized financial assets that contain embedded credit risk,derivatives, which would otherwise be required to be separately accounted for as a derivative instrument
•Structured notes, which are predominantly financial instruments that contain embedded derivatives, that are issued as part of client-driven activities
•Certain long-term beneficial interests issued by CIB’s consolidated securitization trusts where relevant.the underlying assets are carried at fair value
Changes in fair value under the fair value option election
The following table presents the changes in fair value included in the Consolidated statements of income for the three and nine months ended September 30, 2020 and 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,
20202019
(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (f)
Principal transactionsAll other income
Total changes in fair value recorded (f)
Federal funds sold and securities purchased under resale agreements$(148)$0 $(148)$(23)$0 $(23)
Securities borrowed5 0 5 99 0 99 
Trading assets:
Debt and equity instruments, excluding loans879 0 879 546 0 546 
Loans reported as trading assets:
Changes in instrument-specific credit risk(a)
216 0  216 (40)0  (40)
Other changes in fair value(a)
0 0  0 0 0  0 
Loans:
Changes in instrument-specific credit risk(a)
112 (13)(d)99 144 (4)(d)140 
Other changes in fair value(a)
93 928 (d)1,021 76 320 (d)396 
Other assets(a)
(28)(7)(e)(35)(5)0  (5)
Deposits(b)
(147)0 (147)(397)0 (397)
Federal funds purchased and securities loaned or sold under repurchase agreements58 0 58 2 0 2 
Short-term borrowings(b)
(54)0 (54)173 0 173 
Trading liabilities1 0 1 0 0 0 
Other liabilities(8)0 (8)1 0 1 
Long-term debt(b)(c)
(530)(4)(d)(534)(614)0 (614)
 Three months ended September 30,
 2019 2018
(in millions)Principal transactions All other income
Total changes in fair
value recorded (e)
 Principal transactions All other income
Total changes in fair value recorded (e)
Federal funds sold and securities purchased under resale agreements$(23) $—
 $(23)  $(23) $—
 $(23)
Securities borrowed99
 —
 99
  (24) —
 (24)
Trading assets:            
Debt and equity instruments, excluding loans546
 —
 546
  (45) 5
(c) 
(40)
Loans reported as trading assets:            
Changes in instrument-specific credit risk111
 (4)
(c) 
107
  122
 1
(c) 
123
Other changes in fair value74
 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 agreements2
 —
 2
  8
 —
 8
Short-term borrowings(a)
173
 —
 173
  (25) —
 (25)
Trading liabilities—
 —
 —
  2
 —
 2
Other liabilities1
 —
 1
  —
 —
 —
Long-term debt(a)(b)
(614) —
 (614)  259
 —
 259


























115


 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 borrowed179
 —
 179
  (22) —
 (22)
Trading assets:            
Debt and equity instruments, excluding loans2,104
 —
 2,104
  (490) 6
(c) 
(484)
Loans reported as trading assets:            
Changes in instrument-specific credit risk558
 1
(c) 
559
  458
 5
(c) 
463
Other changes in fair value274
 885
(c) 
1,159
  64
 24
(c) 
88
Loans:            
Changes in instrument-specific credit risk(12) —
 (12)  (2) —
 (2)
Other changes in fair value1
 —
 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 liabilities5
 —
 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.

Nine months ended September 30,
20202019
(in millions)Principal transactionsAll other income
Total changes in fair
value recorded (f)
Principal transactionsAll other income
Total changes in fair value recorded (f)
Federal funds sold and securities purchased under resale agreements$96 $0 $96 $10 $0 $10 
Securities borrowed173 0 173 179 0 179 
Trading assets:
Debt and equity instruments, excluding loans(350)(1)(d)(351)2,104 0 2,104 
Loans reported as trading assets:
Changes in instrument-specific credit risk(a)
(39)0  (39)150 0 

150 
Other changes in fair value(a)
1 0  1 (1)0 

(1)
Loans:
Changes in instrument-specific credit risk(a)
143 2 (d)145 386 1 (d)387 
Other changes in fair value(a)
357 2,423 (d)2,780 285 885 (d)1,170 
Other assets(a)
74 1 (e)75 (2)3 (e)1 
Deposits(b)
(612)0 (612)(1,589)0 (1,589)
Federal funds purchased and securities loaned or sold under repurchase agreements(20)0 (20)(18)0 (18)
Short-term borrowings(b)
1,035 0 1,035 (601)0 (601)
Trading liabilities1 0 1 5 0 5 
Other liabilities(54)0 (54)(7)0 (7)
Long-term debt(b)(c)
70 (1)(d)69 (5,220)0 (5,220)

(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were $1 million and $20 million for the three and nine months ended September 30, 2020, respectively. The amounts were 0t material for the three and nine months ended September 30, 2019.
(c)Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.
(d)Reported in mortgage fees and related income.
(e)Reported in other income.
(f)Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. Refer to Note 7 for further information regarding interest income and interest expense.
116


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, 2019,2020, and December 31, 2018, 2019, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
September 30, 2020December 31, 2019
(in millions)Contractual principal outstandingFair valueFair value over/(under) contractual principal outstandingContractual principal outstandingFair valueFair value over/(under) contractual principal outstanding
Loans
Nonaccrual loans
Loans reported as trading assets(a)
$2,917 $434 $(2,483)$2,563 $234 $(2,329)
Loans(a)
2,289 2,008 (281)964 696 (268)
Subtotal5,206 2,442 (2,764)3,527 930 (2,597)
90 or more days past due and government guaranteed(b)
Loans reported as trading assets0 0 0 0 0 0 
Loans310 297 (13)138 129 (9)
Subtotal310 297 (13)138 129 (9)
All other performing loans(c)
Loans reported as trading assets(a)
7,654 5,844 (1,810)8,288 6,779 (1,509)
Loans(a)
35,493 35,915 422 43,955 44,130 175 
Subtotal43,147 41,759 (1,388)52,243 50,909 (1,334)
Total loans$48,663 $44,498 $(4,165)$55,908 $51,968 $(3,940)
Long-term debt
Principal-protected debt$40,141 (e)$39,536 $(605)$40,124 (e)$39,246 $(878)
Nonprincipal-protected debt(d)
NA33,450 NANA36,499 NA
Total long-term debtNA$72,986 NANA$75,745 NA
Long-term beneficial interests
Nonprincipal-protected debt(d)
NA$39 NANA$36 NA
Total long-term beneficial interestsNA$39 NANA$36 NA
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.
 September 30, 2019 December 31, 2018
(in millions)Contractual principal outstanding
Fair valueFair value over/(under) contractual principal outstanding Contractual principal outstanding Fair valueFair value over/(under) contractual principal outstanding
Loans(a)







     
Nonaccrual loans






     
Loans reported as trading assets$3,884

$1,151
$(2,733) $4,240
 $1,350
$(2,890)
Loans181

151
(30) 39
 —
(39)
Subtotal4,065

1,302
(2,763) 4,279
 1,350
(2,929)
All other performing loans






     
Loans reported as trading assets45,315

43,903
(1,412) 42,215
 40,403
(1,812)
Loans5,686

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 debtNA

$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 interestsNA

$39
NA
 NA
 $28
NA
(a)(c)There were 0 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, 2019,2020, and December 31, 2018, 2019, respectively.
(d)Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes.
(e)Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.
At September 30, 2020, and December 31, 2019, the contractual amount of lending-related commitments for which the fair value option was elected was $6.5 $13.2 billion and $6.9$8.6 billion, respectively,with a corresponding fair value of $(91) $(115) million and $(82)$(120) million, respectively. Refer to Note 2728 of JPMorgan Chase’s 20182019 Form 10-K, and Note 2223 of this Form 10-Q for further information regarding off-balance sheet lending-related financial instruments. Prior-period amounts have been revised to conform with the current presentation.
117


Structured note products by balance sheet classification and risk component
The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type.
September 30, 2020December 31, 2019
(in millions)Long-term debtShort-term borrowingsDepositsTotalLong-term debtShort-term borrowingsDepositsTotal
Risk exposure
Interest rate$36,598 $59 $7,646 $44,303 $35,470 $34 $16,692 $52,196 
Credit5,302 1,052 0 6,354 5,715 875 0 6,590 
Foreign exchange3,645 134 0 3,779 3,862 48 5 3,915 
Equity26,414 5,902 7,094 39,410 29,294 4,852 8,177 42,323 
Commodity363 26 2,274 2,663 472 32 1,454 1,958 
Total structured notes$72,322 $7,173 $17,014 $96,509 $74,813 $5,841 $26,328 $106,982 
 September 30, 2019 December 31, 2018
(in millions)Long-term debtShort-term borrowingsDepositsTotal Long-term debtShort-term borrowingsDepositsTotal
Risk exposure         
Interest rate$33,402
$54
$17,547
$51,003
 $24,137
$62
$12,372
$36,571
Credit5,207
817
—
6,024
 4,009
995
—
5,004
Foreign exchange3,570
45
8
3,623
 3,169
157
38
3,364
Equity27,644
5,565
8,190
41,399
 21,382
5,422
7,368
34,172
Commodity504
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


118



Note 4 – Credit risk concentrations
Concentrations of credit risk arise when a number of clients, counterparties or customers are engaged in similar business activities or activities in the same geographic region, or when they have similar economic features that would cause their ability to meet contractual obligations to be similarly affected by changes in economic conditions.
JPMorgan Chase regularly monitors various segments of its credit portfolios to assess potential credit risk concentrations and to obtain additional collateral when deemed necessary and permitted under the Firm’s agreements. Senior management is significantly involved in the credit approval and review process, and risk levels are adjusted as needed to reflect the Firm’s risk appetite.
In the Firm’s consumer portfolio, concentrations are managed primarily by product and by U.S. geographic region, with a key focus on trends and concentrations at the portfolio level, where potential credit risk concentrations can be remedied through changes in underwriting policies and portfolio guidelines. Refer to Note 12 for additional information on the geographic composition of the Firm’s consumer loan portfolios. In the wholesale portfolio, credit risk concentrations are evaluated primarily by industry and monitored regularly on both an aggregate portfolio level and on an individual client or counterparty basis.
The Firm’s wholesale exposure is managed through loan syndications and participations, loan sales, securitizations, credit derivatives, master netting agreements, collateral and other risk-reduction techniques. Refer to Note 12 for additional information on loans.
The Firm does not believe that its exposure to any particular loan product or industry segment (e.g., real estate), or its exposure to residential real estate loans with high LTV ratios, results in a significant concentration of credit risk.
Terms of loan products and collateral coverage are included in the Firm’s assessment when extending credit and establishing its allowance for loan losses.
119


The table below presents both on–balance sheet and off–balance sheet consumer and wholesale-related credit exposure by the Firm’s 3 credit portfolio segments as of September 30, 2020, and December 31, 2019. The wholesale industry of risk category is generally based on the client or counterparty’s primary business activity.
In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
September 30, 2020December 31, 2019
Credit exposure(h)(i)
On-balance sheet
Off-balance sheet(i)(k)
Credit exposure(h)(i)
On-balance sheet
Off-balance sheet(i)(k)
(in millions)
Loans(i)
Derivatives
Loans(i)
Derivatives
Consumer, excluding credit card$368,523 $322,098 (j)$— $46,425 $357,986 $317,817 $— $40,169 
Credit card(a)
803,237 140,377 — 662,860 819,644 168,924 — 650,720 
Total consumer-related(a)
1,171,760 462,475 — 709,285 1,177,630 486,741 — 690,889 
Wholesale-related(b)
Real Estate147,483 120,241 1,491 25,751 150,919 117,709 619 32,591 
Individuals and Individual Entities(c)
115,469 102,315 1,744 11,410 105,027 94,616 694 9,717 
Consumer & Retail107,037 41,461 2,802 62,774 106,986 36,985 1,424 68,577 
Industrials68,950 23,247 1,570 44,133 62,483 22,063 878 39,542 
Technology, Media &
Telecommunications		64,800 15,054 3,294 46,452 60,033 15,322 2,766 41,945 
Asset Managers61,569 26,167 8,758 26,644 54,304 24,008 7,160 23,136 
Healthcare59,864 20,617 3,430 35,817 50,824 17,607 2,078 31,139 
Banks & Finance Cos53,385 28,953 7,206 17,226 50,786 31,191 5,165 14,430 
Automotive40,930 16,819 3,453 20,658 35,118 18,844 368 15,906 
Oil & Gas40,431 12,920 1,340 26,171 41,641 13,101 852 27,688 
State & Municipal Govt(d)
37,472 17,245 2,435 17,792 30,095 13,271 2,000 14,824 
Utilities30,135 5,213 3,104 21,818 34,843 5,157 2,573 27,113 
Transportation17,154 7,689 1,713 7,752 14,497 5,253 715 8,529 
Chemicals & Plastics16,780 4,577 755 11,448 17,499 4,864 459 12,176 
Central Govt16,265 3,016 11,693 1,556 14,865 2,840 10,477 1,548 
Metals & Mining15,900 4,959 739 10,202 15,586 5,364 402 9,820 
Insurance13,509 1,215 2,741 9,553 12,348 1,356 2,282 8,710 
Financial Markets Infrastructure10,311 177 6,376 3,758 4,121 13 2,482 1,626 
Securities Firms8,092 599 4,865 2,628 7,381 757 4,507 2,117 
All other(e)
93,166 48,357 7,117 37,692 79,598 51,357 1,865 26,376 
Subtotal1,018,702 500,841 76,626 441,235 948,954 481,678 49,766 417,510 
Loans held-for-sale and loans at fair value26,424 26,424 — — 29,201 29,201 — — 
Receivables from customers and other(f)
30,847 — — — 33,706 — — — 
Total wholesale-related1,075,973 527,265 76,626 441,235 1,011,861 510,879 49,766 417,510 
Total exposure(g)(h)
$2,247,733 $989,740 $76,626 $1,150,520 $2,189,491 $997,620 $49,766 $1,108,399 
(a)Also includes commercial card lending-related commitments primarily in CB and CIB.
(b)The industry rankings presented in the table as of December 31, 2019, are based on the industry rankings of the corresponding exposures at September 30, 2020, not actual rankings of such exposures at December 31, 2019.
(c)Individuals and Individual Entities predominantly consists of Wealth Management clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts.
(d)In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at September 30, 2020, and December 31, 2019, noted above, the Firm held: $7.5 billion and $6.5 billion, respectively, of trading assets; $20.9 billion and $29.8 billion, respectively, of AFS securities; and $12.8 billion and $4.8 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.
(e)All other includes: SPEs and Private education and civic organizations, representing approximately 91% and 9%, respectively, at September 30, 2020, and 90% and 10%, respectively, at December 31, 2019. Refer to Note 14 for more information on exposures to SPEs.
(f)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, liquid and readily marketable debt or equity securities), as such generally no allowance for credit losses is held against these receivables. To manage its credit risk the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.
(g)Excludes cash placed with banks of $478.4 billion and $254.0 billion, at September 30, 2020, and December 31, 2019, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.
(h)Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other collateral held against derivative receivables.
(i)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
(j)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on these loans.
(k)Represents lending-related financial instruments.
120


Note 5 – Derivative instruments
JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. Refer to Note 5 of JPMorgan Chase’s 20182019 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 orand liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes.

The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category.
Type of DerivativeUse of DerivativeDesignation and disclosure
Affected

segment or unit
10-Q page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
•
Interest rate
Hedge fixed rate assets and liabilitiesFair value hedgeCorporate109-110127-128
•
Interest rate
Hedge floating-rate assets and liabilitiesCash flow hedgeCorporate111129
•
Foreign exchange
Hedge foreign currency-denominated assets and liabilitiesFair value hedgeCorporate109-110127-128
•
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expenseCash flow hedgeCorporate111129
•
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entitiesNet investment hedgeCorporate112130
•
Commodity
Hedge commodity inventoryFair value hedgeCIB109-110127-128
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
•
Interest rate
Manage the risk of theassociated with mortgage pipeline,commitments, warehouse loans and MSRsSpecified risk managementCCB112130
•
Credit
Manage the credit risk ofassociated with wholesale lending exposuresSpecified risk managementCIB112130
•
Interest rate and foreign exchange
Manage the risk ofassociated with certain other specified assets and liabilitiesSpecified risk managementCorporate112130
Market-making derivatives and other activities:
•
Various
Market-making and related risk managementMarket-making and otherCIB112130
•
Various
Other derivativesMarket-making and otherCIB, AWM, Corporate112130
121


Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of September 30, 2019,2020, and December 31, 2018.2019.
Notional amounts(b)
(in billions)September 30, 2020December 31, 2019
Interest rate contracts
Swaps$22,746 $21,228 
Futures and forwards4,086 3,152 
Written options3,512 3,938 
Purchased options3,875 4,361 
Total interest rate contracts34,219 32,679 
Credit derivatives(a)
1,450 1,242 
Foreign exchange contracts
Cross-currency swaps3,852 3,604 
Spot, futures and forwards7,304 5,577 
Written options810 700 
Purchased options815 718 
Total foreign exchange contracts12,781 10,599 
Equity contracts
Swaps416 406 
Futures and forwards130 142 
Written options752 646 
Purchased options714 611 
Total equity contracts2,012 1,805 
Commodity contracts
Swaps134 147 
Spot, futures and forwards219 211 
Written options138 135 
Purchased options125 124 
Total commodity contracts616 617 
Total derivative notional amounts$51,078 $46,942 
(a)Refer to the Credit derivatives discussion on page 131 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.
 
Notional amounts(b)
(in billions)September 30, 2019
December 31, 2018
Interest rate contracts  
Swaps$25,099
$21,763
Futures and forwards4,887
3,562
Written options4,290
3,997
Purchased options4,697
4,322
Total interest rate contracts38,973
33,644
Credit derivatives(a)
1,365
1,501
Foreign exchange contracts  
Cross-currency swaps3,886
3,548
Spot, futures and forwards7,111
5,871
Written options832
835
Purchased options852
830
Total foreign exchange contracts12,681
11,084
Equity contracts  
Swaps389
346
Futures and forwards131
101
Written options692
528
Purchased options632
490
Total equity contracts1,844
1,465
Commodity contracts  
Swaps148
134
Spot, futures and forwards218
156
Written options166
135
Purchased options153
120
Total commodity contracts685
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 amount used to calculate payments.
122


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, 2019,2020, and December 31, 2018, 2019, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.
Free-standing derivative receivables and payables(a)
Gross derivative receivablesGross derivative payables
September 30, 2020
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
Trading assets and liabilities
Interest rate$397,677 $802 $398,479 $37,058 $359,357 $0 $359,357 $12,471 
Credit15,144 0 15,144 1,393 16,417 0 16,417 2,242 
Foreign exchange155,016 472 155,488 11,428 164,434 784 165,218 15,513 
Equity73,535 0 73,535 18,936 73,932 0 73,932 19,356 
Commodity21,633 623 22,256 7,811 21,831 1,017 22,848 8,076 
Total fair value of trading assets and liabilities$663,005 $1,897 $664,902 $76,626 $635,971 $1,801 $637,772 $57,658 
Gross derivative receivablesGross derivative payables
December 31, 2019
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
Trading assets and liabilities
Interest rate$312,451 $843 $313,294 $27,421 $279,272 $1 $279,273 $8,603 
Credit14,876 0 14,876 701 15,121 0 15,121 1,652 
Foreign exchange138,179 308 138,487 9,005 144,125 983 145,108 13,158 
Equity45,727 0 45,727 6,477 52,741 0 52,741 12,537 
Commodity16,914 328 17,242 6,162 19,736 149 19,885 7,758 
Total fair value of trading assets and liabilities$528,147 $1,479 $529,626 $49,766 $510,995 $1,133 $512,128 $43,708 
(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.

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
Credit15,717
 —
 15,717
 838
 17,062
 —
 17,062
 2,159
Foreign exchange162,364
 768
 163,132
 12,681
 164,583
 1,159
 165,742
 15,016
Equity46,378
 —
 46,378
 7,409
 50,891
 —
 50,891
 10,603
Commodity20,985
 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
Credit20,095
 —
 20,095
 612
 20,276
 —
 20,276
 1,667
Foreign exchange167,057
 628
 167,685
 13,450
 164,392
 825
 165,217
 12,785
Equity49,285
 —
 49,285
 9,946
 51,195
 —
 51,195
 10,161
Commodity20,223
 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
123

(a)Balances exclude structured notes for which the fair value option has been elected. Refer to Note 3 for further information.
(b)As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists.


Derivatives netting
The following tables present, as of September 30, 2019,2020, and December 31, 2018, 2019, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty, have been netted on the Consolidated balance sheets where the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below.
In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with the Firm’s derivative instruments, but are not eligible for net presentation:
•collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government securities) and cash collateral held at third-party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount;
•
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, 2020December 31, 2019
(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivablesGross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables
U.S. GAAP nettable derivative receivables
Interest rate contracts:
Over-the-counter (“OTC”)$376,615 $(345,771)$30,844 $299,205 $(276,255)$22,950 
OTC–cleared15,121 (14,984)137 9,442 (9,360)82 
Exchange-traded(a)
673 (666)7 347 (258)89 
Total interest rate contracts392,409 (361,421)30,988 308,994 (285,873)23,121 
Credit contracts:
OTC10,710 (9,913)797 10,743 (10,317)426 
OTC–cleared3,856 (3,838)18 3,864 (3,858)6 
Total credit contracts14,566 (13,751)815 14,607 (14,175)432 
Foreign exchange contracts:
OTC151,749 (143,538)8,211 136,252 (129,324)6,928 
OTC–cleared538 (521)17 185 (152)33 
Exchange-traded(a)
17 (1)16 10 (6)4 
Total foreign exchange contracts152,304 (144,060)8,244 136,447 (129,482)6,965 
Equity contracts:
OTC31,974 (25,914)6,060 23,106 (20,820)2,286 
Exchange-traded(a)
33,230 (28,685)4,545 19,654 (18,430)1,224 
Total equity contracts65,204 (54,599)10,605 42,760 (39,250)3,510 
Commodity contracts:
OTC11,812 (8,395)3,417 7,093 (5,149)1,944 
OTC–cleared22 (22)0 28 (28)0 
Exchange-traded(a)
6,317 (6,028)289 6,154 (5,903)251 
Total commodity contracts18,151 (14,445)3,706 13,275 (11,080)2,195 
Derivative receivables with appropriate legal opinion642,634 (588,276)54,358 (d)516,083 (479,860)36,223 (d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained22,268 22,268 13,543 13,543 
Total derivative receivables recognized on the Consolidated balance sheets$664,902 $76,626 $529,626 $49,766 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(17,742)(14,226)
Net amounts$58,884 $35,540 
•
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 receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables Gross derivative receivables Amounts netted on the Consolidated balance sheetsNet derivative receivables
U.S. GAAP nettable derivative receivables           
Interest rate contracts:           
Over-the-counter (“OTC”)$356,075
$(332,566) $23,509
 $258,227
 $(239,498) $18,729
 
OTC–cleared14,438
(14,343) 95
 6,404
 (5,856) 548
 
Exchange-traded(a)
577
(517) 60
 322
 (136) 186
 
Total interest rate contracts371,090
(347,426) 23,664
 264,953
 (245,490) 19,463
 
Credit contracts:           
OTC11,168
(10,682) 486
 12,648
 (12,261) 387
 
OTC–cleared4,321
(4,197) 124
 7,267
 (7,222) 45
 
Total credit contracts15,489
(14,879) 610
 19,915
 (19,483) 432
 
Foreign exchange contracts:           
OTC160,181
(150,271) 9,910
 163,862
 (153,988) 9,874
 
OTC–cleared176
(174) 2
 235
 (226) 9
 
Exchange-traded(a)
20
(6) 14
 32
 (21) 11
 
Total foreign exchange contracts160,377
(150,451) 9,926
 164,129
 (154,235) 9,894
 
Equity contracts:           
OTC22,195
(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 contracts43,873
(38,969) 4,904
 45,054
 (39,339) 5,715
 
Commodity contracts:           
OTC7,714
(5,954) 1,760
 7,448
 (5,261) 2,187
 
OTC–cleared26
(25) 1
 —
 —
 —
 
Exchange-traded(a)
9,151
(9,117) 34
 8,815
 (8,218) 597
 
Total commodity contracts16,891
(15,096) 1,795
 16,263
 (13,479) 2,784
 
Derivative receivables with appropriate legal opinion607,720
(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 obtained14,678
  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
 
124


September 30, 2020December 31, 2019
(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payablesGross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables
U.S. GAAP nettable derivative payables
Interest rate contracts:
OTC$340,775 $(330,136)$10,639 $267,311 $(260,229)$7,082 
OTC–cleared16,396 (16,172)224 10,217 (10,138)79 
Exchange-traded(a)
584 (578)6 365 (303)62 
Total interest rate contracts357,755 (346,886)10,869 277,893 (270,670)7,223 
Credit contracts:
OTC11,855 (10,369)1,486 11,570 (10,080)1,490 
OTC–cleared3,815 (3,806)9 3,390 (3,389)1 
Total credit contracts15,670 (14,175)1,495 14,960 (13,469)1,491 
Foreign exchange contracts:
OTC161,052 (149,114)11,938 142,360 (131,792)10,568 
OTC–cleared596 (587)9 186 (152)34 
Exchange-traded(a)
17 (4)13 12 (6)6 
Total foreign exchange contracts161,665 (149,705)11,960 142,558 (131,950)10,608 
Equity contracts:
OTC31,055 (25,921)5,134 27,594 (21,778)5,816 
Exchange-traded(a)
32,508 (28,655)3,853 20,216 (18,426)1,790 
Total equity contracts63,563 (54,576)8,987 47,810 (40,204)7,606 
Commodity contracts:
OTC11,868 (8,590)3,278 8,714 (6,235)2,479 
OTC–cleared39 (39)0 30 (30)0 
Exchange-traded(a)
6,201 (6,143)58 6,012 (5,862)150 
Total commodity contracts18,108 (14,772)3,336 14,756 (12,127)2,629 
Derivative payables with appropriate legal opinion616,761 (580,114)36,647 (d)497,977 (468,420)29,557 (d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained21,011 21,011 14,151 14,151 
Total derivative payables recognized on the Consolidated balance sheets$637,772 $57,658 $512,128 $43,708 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(11,359)(7,896)
Net amounts$46,299 $35,812 
(a)Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)Represents liquid security collateral as well as cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty.
(c)Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d)Net derivatives receivable included cash collateral netted of $80.1 billion and $65.9 billion at September 30, 2020, and December 31, 2019, respectively. Net derivatives payable included cash collateral netted of $71.9 billion and $54.4 billion at September 30, 2020, and December 31, 2019, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.
125
 September 30, 2019 December 31, 2018
(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables Gross derivative payables Amounts netted on the Consolidated balance sheetsNet derivative payables
U.S. GAAP nettable derivative payables           
Interest rate contracts:           
OTC$321,553
$(313,017) $8,536
 $233,404
 $(228,369) $5,035
 
OTC–cleared15,176
(14,960) 216
 7,163
 (6,494) 669
 
Exchange-traded(a)
585
(513) 72
 210
 (135) 75
 
Total interest rate contracts337,314
(328,490) 8,824
 240,777
 (234,998) 5,779
 
Credit contracts:           
OTC13,130
(11,254) 1,876
 13,412
 (11,895) 1,517
 
OTC–cleared3,797
(3,649) 148
 6,716
 (6,714) 2
 
Total credit contracts16,927
(14,903) 2,024
 20,128
 (18,609) 1,519
 
Foreign exchange contracts:           
OTC162,336
(150,537) 11,799
 160,930
 (152,161) 8,769
 
OTC–cleared190
(185) 5
 274
 (268) 6
 
Exchange-traded(a)
14
(4) 10
 16
 (3) 13
 
Total foreign exchange contracts162,540
(150,726) 11,814
 161,220
 (152,432) 8,788
 
Equity contracts:           
OTC27,010
(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 contracts47,375
(40,288) 7,087
 45,722
 (41,034) 4,688
 
Commodity contracts:           
OTC10,450
(6,874) 3,576
 8,930
 (4,838) 4,092
 
OTC–cleared25
(25) —
 —
 —
 —
 
Exchange-traded(a)
10,004
(9,123) 881
 8,259
 (8,208) 51
 
Total commodity contracts20,479
(16,022) 4,457
 17,189
 (13,046) 4,143
 
Derivative payables with appropriate legal opinion584,635
(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 obtained13,584
  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.


Liquidity risk and credit-related contingent features
Refer to Note 5 of JPMorgan Chase’s 20182019 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, 2019,2020, 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

2019.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)September 30, 2020December 31, 2019
Aggregate fair value of net derivative payables$25,629 $14,819 
Collateral posted24,299 13,329 
The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries,, predominantly JPMorgan Chase Bank, N.A., at September 30, 2019,2020, and December 31, 2018, 2019, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract.
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
September 30, 2020December 31, 2019
(in millions)Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$163 $1,273 $189 $1,467 
Amount required to settle contracts with termination triggers upon downgrade(b)
158 1,977 104 1,398 
(a)Includes the additional collateral to be posted for initial margin.
(b)Amounts represent fair values of derivative payables, and do not reflect collateral posted.
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives    
 September 30, 2019 December 31, 2018
(in millions)Single-notch downgradeTwo-notch downgrade Single-notch downgradeTwo-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, 11, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding was not material at both September 30, 20192020 and December 31, 2018.2019.
126


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, 2020 and 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, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$(464)$743 $279 $0 $309 $0 
Foreign exchange(c)
307 (280)27 (79)27 (91)
Commodity(d)
(569)593 24 0 14 0 
Total$(726)$1,056 $330 $(79)$350 $(91)
Gains/(losses) recorded in income
Income statement impact of
excluded components(e)
OCI impact
Three months ended September 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$1,770 $(1,550)$220 $0 $228 $0 
Foreign exchange(c)
(167)293 126 (224)126 (1)
Commodity(d)
278 (232)46 0 49 0 
Total$1,881 $(1,489)$392 $(224)$403 $(1)
Gains/(losses) recorded in income
Income statement impact of
excluded components(e)
OCI impact
Nine months ended September 30, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$4,087 $(3,333)$754 $0 $728 $0 
Foreign exchange(c)
579 (430)149 (379)149 45 
Commodity(d)
(771)882 111 0 107 0 
Total$3,895 $(2,881)$1,014 $(379)$984 $45 
Gains/(losses) recorded in income
Income statement impact of
excluded components(e)
OCI impact
Nine months ended September 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$4,996 $(4,399)$597 $0 $596 $0 
Foreign exchange(c)
(31)401 370 (675)370 114 
Commodity(d)
(164)237 73 0 67 0 
Total$4,801 $(3,761)$1,040 $(675)$1,033 $114 
(a)Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income.
(b)Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. Also excludes the accrual of interest on interest rate swaps and the related hedged items.
(c)Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items due to changes in foreign currency rates and the income statement impact of excluded components were recorded primarily in principal transactions revenue and net interest income.
(d)Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue.
(e)The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. Excluded components may impact earnings either through amortization of the initial amount over the life of the derivative, or through fair value changes recognized in the current period.
(f)Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative.
127

 Gains/(losses) recorded in income 
Income statement impact of
excluded components(e)
 OCI impact
Three months ended September 30, 2019
(in millions)		DerivativesHedged itemsIncome statement impact Amortization approachChanges in fair value 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type        
Interest rate(a)(b)
$1,770
$(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)		DerivativesHedged itemsIncome statement impact Amortization approachChanges 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)		DerivativesHedged itemsIncome statement impact Amortization approachChanges 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)		DerivativesHedged itemsIncome statement impact Amortization approachChanges 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.

As of September 30, 20192020 and December 31, 2018, 2019, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future periods as an adjustment to yield.
Carrying amount of the hedged items(a)(b)
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
September 30, 2020
(in millions)		Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
Assets
Investment securities - AFS$136,335 (c)$5,171 $800 $5,971 
Liabilities
Long-term debt$173,402 $5,324 $11,790 $17,114 
Beneficial interests issued by consolidated VIEs746 0 (3)(3)
Carrying amount of the hedged items(a)(b)
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
December 31, 2019
(in millions)		Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
Assets
Investment securities - AFS$125,860 (c)$2,110 $278 $2,388 
Liabilities
Long-term debt$157,545 $6,719 $161 $6,880 
Beneficial interests issued by consolidated VIEs2,365 0 (8)(8)
(a)Excludes physical commodities with a carrying value of $9.5 billion and $6.5 billion at September 30, 2020 and December 31, 2019, respectively, to which the Firm applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Since the Firm exits these positions at fair value, there is no incremental impact to net income in future periods.
(b)Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges will not reverse through the income statement in future periods. At September 30, 2020 and December 31, 2019, the carrying amount excluded for AFS securities is $14.4 billion and $14.9 billion, respectively, and for long-term debt is $6.4 billion and $2.8 billion, respectively.
(c)Carrying amount represents the amortized cost.
(d)Represents basis adjustments existing on the balance sheet date associated with hedged items that have been de-designated from qualifying fair value hedging relationships.
(e)Positive amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce net interest income in future periods. Positive (negative) amounts related to liabilities represent cumulative fair value hedge basis adjustments that will increase (reduce) net interest income in future periods.
128
  
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.

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, 2020 and 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, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract type
Interest rate(a)
$214 $8 $(206)
Foreign exchange(b)
13 126 113 
Total$227 $134 $(93)
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)
Nine months ended September 30, 2020
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract type
Interest rate(a)
$332 $3,881 $3,549 
Foreign exchange(b)
(4)(94)(90)
Total$328 $3,787 $3,459 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2019
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract type
Interest rate(a)
$(12)$501 $513 
Foreign exchange(b)
(90)(37)53 
Total$(102)$464 $566 
(a)Primarily consists of hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.
(b)Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense.
 Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2019
(in millions)		Amounts reclassified from AOCI to incomeAmounts recorded in OCITotal 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 incomeAmounts recorded in OCITotal 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 incomeAmounts 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 incomeAmounts 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, 20192020 and 2018.2019.
Over the next 12 months, the Firm expects that approximately $(130) $709 million (after-tax) of net lossesgains recorded in AOCI at September 30, 2019,2020, related to cash flow hedges will be recognized in income. For cash flow hedges that have been terminated, the maximum length of time over which the derivative results recorded in AOCI will be recognized in earnings is approximately fivenine 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.
129

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, 2020 and 2019.
Gains/(losses) recorded in income and other comprehensive income/(loss)
20202019
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$(37)$(868)$17 $866 
Gains/(losses) recorded in income and other comprehensive income/(loss)
20202019
Nine months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Foreign exchange derivatives$(108)$308 $65 $705 
(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, 2020, the Firm reclassified pre-tax (losses) of $(8) million to other income related to the liquidation of certain legal entities and the amount was 0t material for the three months ended September 30, 2020. During the nine months ended September 30, 2019, and 2018.the Firm reclassified net pre-tax gains of $5 million to other income related to the liquidation of certain legal entities. Refer to Note 20 for further information.

 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,commitments, 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)2020201920202019
Contract type
Interest rate(a)
$597 $769 $2,533 $1,718 
Credit(b)
(19)(21)(58)(33)
Foreign exchange(c)
18 40 96 15 
Total$596 $788 $2,571 $1,700 
 
Derivatives gains/(losses)
recorded in income
 
 Three months ended September 30, Nine months ended September 30, 
(in millions)20192018 20192018 
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 mortgage commitments, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income.
(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.
(b)Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue.
(c)Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.
Gains and losses on derivatives related to market-making activities and other derivatives
The Firm makes markets in derivatives in order to meet the needs of customers and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. All derivatives not included in the hedge accounting or specified risk management categories above are included in this category. Gains and losses on these derivatives are primarily recorded in principal transactions revenue. Refer to Note 5 6 for information on principal transactions revenue.
130

Credit derivatives
Refer to Note 5 of JPMorgan Chase’s 20182019 Form 10-K for a more detailed discussion of credit derivatives. The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of September 30, 2020 and December 31, 2019. The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives.
Total credit derivatives and credit-related notes
Maximum payout/Notional amount
September 30, 2020 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
Credit default swaps$(655,517)$671,373 $15,856 $3,847 
Other credit derivatives(a)
(45,964)63,025 17,061 10,197 
Total credit derivatives(701,481)734,398 32,917 14,044 
Credit-related notes0 0 0 9,452 
Total$(701,481)$734,398 $32,917 $23,496 
Maximum payout/Notional amount
December 31, 2019 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
Credit default swaps$(562,338)$571,892 $9,554 $3,936 
Other credit derivatives(a)
(50,395)(e)46,541 (e)(3,854)

7,364 
Total credit derivatives(612,733)618,433 5,700 11,300 
Credit-related notes0 0 0 9,606 
Total$(612,733)$618,433 $5,700 $20,906 
 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.
(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.
(b)Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.
(c)Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.
(d)Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument.
(e)Prior-period amounts have been revised to conform with the current presentation.
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of September 30, 2019,2020, and December 31, 2018, 2019, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
September 30, 2020
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
Investment-grade$(102,910)$(334,763)$(87,060)$(524,733)$4,837 $(1,757)$3,080 
Noninvestment-grade(37,438)(112,679)(26,631)(176,748)3,332 (4,325)(993)
Total$(140,348)$(447,442)$(113,691)$(701,481)$8,169 $(6,082)$2,087 
December 31, 2019
(in millions)
<1 year(c)
1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)(c)
Fair value of payables(b)(c)
Net fair value
Risk rating of reference entity
Investment-grade$(119,788)$(311,407)$(42,129)$(473,324)$6,168 $(901)$5,267 
Noninvestment-grade(41,799)(87,769)(9,841)(139,409)4,287 (2,817)1,470 
Total$(161,587)$(399,176)$(51,970)$(612,733)$10,455 $(3,718)$6,737 
(a)The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s.
(b)Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements including cash collateral netting.
(c)Prior-period amounts have been revised to conform with the current presentation.
131
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.

Note 56 – Noninterest revenue and noninterest expense
Noninterest revenue
Refer to Note 6 of JPMorgan Chase’s 20182019 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
Debt955

836

2,720

2,596
Total underwriting1,472

1,253

4,013

3,938
Advisory495

579

1,645

1,798
Total investment banking fees$1,967

$1,832

$5,658

$5,736

Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Underwriting
Equity$736 $517 $2,037 $1,293 
Debt1,019 955 3,342 2,720 
Total underwriting1,755 1,472 5,379 4,013 
Advisory432 495 1,524 1,645 
Total investment banking fees$2,187 $1,967 $6,903 $5,658 
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 67 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 lineLOB.
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Trading revenue by instrument type
Interest rate(a)
$287 $866 (d)$2,258 $2,128 (d)
Credit(b)
950 (c)309 (d)2,201 (c)1,402 (d)
Foreign exchange714 876 (d)3,606 2,501 (d)
Equity1,410 1,007 (d)4,816 4,282 (d)
Commodity747 372 (d)1,775 984 (d)
Total trading
revenue		4,108 3,430 14,656 11,297 
Private equity gains/(losses)34 19 44 (58)
Principal transactions$4,142 $3,449 $14,700 $11,239 
(a)Includes the impact of business.changes in funding valuation adjustments on derivatives.
(b)
 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
Credit328
 202
 1,375
 1,230
Foreign exchange892
 937
 2,509
 2,706
Equity1,003
 1,363
 4,530
 4,376
Commodity372
 277
 982
 800
Total trading revenue3,430
 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

Includes the impact of changes in credit valuation adjustments on derivatives, net of the associated hedging activities.
(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.

(c)Includes marks on held-for-sale positions, including unfunded commitments, in the bridge financing portfolio.
(d)Prior-period amounts were revised to conform with the current presentation.
Lending- and deposit-related fees
The following table presents the components of lending- and deposit-related fees.
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Lending-related fees$337 $286 $916 $861 
Deposit-related fees(a)
1,310 1,385 3,868 3,993 
Total lending- and deposit-related fees$1,647 $1,671 $4,784 $4,854 
(a)
 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 fees1,340
 1,258
 3,782
 3,676
Total lending- and deposit-related fees$1,626
 $1,542
 $4,643
 $4,514

In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
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)2020201920202019
Asset management fees
Investment management fees(a)
$2,937 $2,738 $8,439 $8,013 
All other asset management fees(b)
85 82 253 229 
Total asset management fees3,022 2,820 8,692 8,242 
Total administration fees(c)
561 567 1,661 1,646 
Commissions and other fees
Brokerage commissions(d)
645 634 2,224 1,861 
All other commissions and fees(e)
242 285 699 858 
Total commissions and fees887 919 2,923 2,719 
Total asset management, administration and commissions$4,470 $4,306 $13,276 $12,607 
(a)Represents fees earned from managing assets on behalf of the Firm’s clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts.
(b)Represents fees for services that are ancillary to investment management services, such as commissions earned on the sales or distribution of mutual funds to clients.
(c)Predominantly includes fees for custody, securities lending, funds services and securities clearance.
(d)Represents commissions earned when the Firm acts as a broker, by facilitating its clients’ purchases and sales of securities and other financial instruments.
(e)In the first quarter of 2020, the Firm reclassified certain fees from asset management, administration and commissions to lending- and deposit-related fees. Prior-period amounts have been revised to conform with the current presentation.
 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 fees2,820
 2,795
 8,242
 8,292
        
Total administration fees(c)
567
 533
 1,646
 1,651
        
Commissions and other fees       
Brokerage commissions634
 604
 1,861
 1,887
All other commissions and fees330
 378
 1,069
 1,093
Total commissions and fees964
 982
 2,930
 2,980
Total asset management, administration and commissions$4,351
 $4,310
 $12,818
 $12,923
132
(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)2020201920202019
Interchange and merchant processing income$4,757 $5,127 $13,479 $15,032 
Rewards costs and partner payments(a)
(3,497)(3,719)(9,895)(10,697)
Other card income(b)
(91)(175)(446)(594)
Total card income$1,169 $1,233 $3,138 $3,741 
 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.
(a)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.

(b)Predominantly represents the amortization of account origination costs and annual fees.
Refer to Note 1415 Goodwill and MSRs for information on mortgage fees and related income.
Refer to Note 16 Leases17 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)2020201920202019
Legal expense/(benefit)$524 $10 $839 $(2)
FDIC-related expense186 114 503 378 
 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 expense114
 349
 378
 1,100


Note 67 – Interest income and Interest expense
Refer to Note 7 of JPMorgan Chase’s 20182019 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)2020201920202019
Interest income
Loans(a)(b)
$10,215 $12,977 $33,409 $39,269 
Taxable securities1,816 2,132 6,203 5,712 
Non-taxable securities(c)
294 318 901 1,021 
Total investment securities(a)
2,110 2,450 7,104 6,733 
Trading assets - debt instruments(b)
1,850 2,216 5,980 7,123 
Federal funds sold and securities purchased under resale agreements401 1,542 2,097 4,865 
Securities borrowed(d)
(128)

434 (151)1,298 
Deposits with banks69 898 708 3,200 
All other interest-earning assets(b)(e)
183 604 826 1,625 
Total interest income14,700 21,121 49,973 64,113 
Interest expense
Interest-bearing deposits245 2,409 2,169 7,010 
Federal funds purchased and securities loaned or sold under repurchase agreements105 1,241 1,023 3,577 
Short-term borrowings(f)
60 261 335 1,051 
Trading liabilities – debt and all other interest-bearing liabilities(d)(g)
(51)660 278 2,141 
Long-term debt1,293 2,188 4,679 6,796 
Beneficial interest issued by consolidated VIEs35 134 184 459 
Total interest expense1,687 6,893 8,668 21,034 
Net interest income13,013 14,228 41,305 43,079 
Provision for credit losses611 1,514 19,369 4,158 
Net interest income after provision for credit losses$12,402 $12,714 $21,936 $38,921 
(a)Includes the amortization/accretion of unearned income (e.g., purchase premiums/discounts, net deferred fees/costs, etc.).
(b)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(c)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(d)Negative interest income is related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other interest-bearing liabilities.
(e)Includes interest earned on prime brokerage-related held-for-investment customer receivables, which are classified in accrued interest and accounts receivable, and all other interest-earning assets which are classified in other assets on the Consolidated balance sheets.
(f)Includes commercial paper.
(g)Other interest-bearing liabilities includes interest expense on prime brokerage-related customer payables.

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 securities2,132

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 instruments2,659

2,155
 8,343
 6,369
Federal funds sold and securities purchased under resale agreements1,542

952
 4,865
 2,490
Securities borrowed(c)
434

248
 1,298
 549
Deposits with banks898

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 deposits2,409
 1,621
 7,010
 4,021
Federal funds purchased and securities loaned or sold under repurchase agreements1,241
 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 debt2,188
 2,056
 6,796
 5,812
Beneficial interest issued by consolidated VIEs134
 122
 459
 366
Total interest expense(c)
6,893
 5,531
 21,034
 14,794
Net interest income14,228
 13,908
 43,079
 40,705
Provision for credit losses1,514
 948
 4,158
 3,323
Net interest income after provision for credit losses$12,714
 $12,960
 $38,921
 $37,382
133
(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.

Note 78 – Pension and other postretirement employee benefit plans
Refer to Note 8 of JPMorgan Chase’s 20182019 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,(in millions)Three months ended September 30,Nine months ended September 30,
20192018 20192018 20192018 2019201820202019202020192020201920202019
Pension plans OPEB plans Pension plans OPEB plansPension plansOPEB plansPension plansOPEB plans
Components of net periodic benefit cost       Components of net periodic benefit cost
Benefits earned during the period$88
$88
 $—
$—
 $266
$267
 $—
$—
Benefits earned during the period$9 $88 $0 $0 $25 $266 $0 $0 
Interest cost on benefit obligations148
139
 6
6
 447
417
 18
18
Interest cost on benefit obligations120 148 5 6 360 447 15 18 
Expected return on plan assets(227)(246) (28)(25) (686)(741) (84)(77)Expected return on plan assets(192)(227)(28)(28)(575)(686)(83)(84)
Amortization:        
Amortization: 
Net (gain)/loss42
26
 —
—
 125
78
 —
—
Net (gain)/loss4 42 0 0 11 125 0 0 
Prior service (credit)/cost—
(7) —
—
 2
(19) —
—
Prior service (credit)/cost0 0 0 0 2 2 0 0 
Net periodic defined benefit cost51
—
 (22)(19) 154
2
 (66)(59)
Net periodic defined benefit (credit)/costNet periodic defined benefit (credit)/cost(59)51 (23)(22)(177)154 (68)(66)
Other defined benefit pension plans(a)
7
6
 NA
NA
 20
21
 NA
NA
Other defined benefit pension plans(a)
8 7 NANA27 20 NANA
Total defined benefit plans58
6
 (22)(19) 174
23
 (66)(59)Total defined benefit plans(51)58 (23)(22)(150)174 (68)(66)
Total defined contribution plans255
229
 NA
NA
 718
661
 NA
NA
Total defined contribution plans340 255 NANA960 718 NANA
Total pension and OPEB cost included in noninterest expense$313
$235
 $(22)$(19) $892
$684
 $(66)$(59)Total pension and OPEB cost included in noninterest expense$289 $313 $(23)$(22)$810 $892 $(68)$(66)
(a)Includes various defined benefit pension plans which are individually immaterial.
(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 plans2.9
 2.6

(in billions)September 30,
2020		December 31, 2019
Fair value of plan assets
Defined benefit pension plans$21.1 $20.4 
OPEB plans3.1 3.0 
There are 0 expected contributions to the U.S. defined benefit pension plan for 2019.2020.
134

Note 89 – Employee share-based incentives
Refer to Note 9 of JPMorgan Chase’s 20182019 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 employees294
 240
 900
 852
Total noncash compensation expense related to employee share-based incentive plans$559
 $522
 $1,782
 $1,808

Three months ended
September 30,		Nine months ended
September 30,
(in millions)2020201920202019
Cost of prior grants of RSUs, performance share units (“PSUs”) and employee stock options that are amortized over their applicable vesting periods$249 $265 $859 $882 
Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees272 294 1,108 900 
Total noncash compensation expense related to employee share-based incentive plans$521 $559 $1,967 $1,782 
In the first quarter of 2019, 2020, in connection with its annual incentive grant for the 20182019 performance year, the Firm granted 21 15 million RSUs and 630 496 thousand PSUswith weighted-average grant date fair values of $98.98 $135.64 per RSU and $98.96$135.30 per PSU.
135

Note 910 – 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 20182019 Form 10-K for additional information regarding the investment securities portfolio.

Effective January 1, 2020, the Firm adopted the CECL accounting guidance, which also amended the AFS securities impairment guidance. Refer to Note 1 for further information.
During the nine months ended September 30, 2020, the Firm transferred $100.5 billion of investment securities, consisting of $74.4 billion in the third quarter of 2020 and $26.1 billion
in the first quarter of 2020, from AFS to HTM for capital management purposes. AOCI included pretax unrealized gains of $2.9 billion and $1.0 billion on the securities at the dates of transfer for the quarters ended September 30, 2020, and March 31, 2020, respectively.
Unrealized gains or losses at the date of transfer of these securities continue to be reported in AOCI and are amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the premium or discount resulting from the transfer recorded at fair value.
Transfers of securities from AFS to HTM are non-cash transactions and are recorded at fair value.
The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
September 30, 2020December 31, 2019
(in millions)
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value
Amortized cost(e)
Gross unrealized gainsGross unrealized lossesFair value
Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
$96,865 $2,807 $78 $99,594 $107,811 $2,395 $89 $110,117 
Residential:
U.S.6,954 296 4 7,246 10,223 233 6 10,450 
Non-U.S.4,134 54 11 4,177 2,477 64 1 2,540 
Commercial2,923 62 49 2,936 5,137 64 13 5,188 
Total mortgage-backed securities110,876 3,219 142 113,953 125,648 2,756 109 128,295 
U.S. Treasury and government agencies213,887 2,820 128 216,579 139,162 449 175 139,436 
Obligations of U.S. states and municipalities19,518 1,370 5 20,883 27,693 2,118 1 29,810 
Certificates of deposit0 0 0 0 77 0 0 77 
Non-U.S. government debt securities20,695 353 11 21,037 21,427 377 17 21,787 
Corporate debt securities270 4 3 271 823 22 0 845 
Asset-backed securities:
Collateralized loan obligations10,253 19 70 10,202 25,038 9 56 24,991 
Other6,600 90 32 6,658 5,438 40 20 5,458 
Total available-for-sale securities(b)
382,099 7,875 391 389,583 345,306 5,771 378 350,699 
Held-to-maturity securities(c)
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
100,364 2,992 85 103,271 36,523 1,165 62 37,626 
U.S. Residential4,791 5 2 4,794 0 0 0 0 
Commercial2,583 44 2 2,681 0 0 0 0 
Total mortgage-backed securities107,738 3,041 89 110,746 36,523 1,165 62 37,626 
U.S. Treasury and government agencies51 2 0 53 51 0 1 50 
Obligations of U.S. states and municipalities12,828 413 60 13,245 4,797 299 0 5,096 
Asset-backed securities:
Collateralized loan obligations20,936 34 18 20,952 6,169 0 0 6,169 
Total held-to-maturity securities, net of allowance for credit losses(d)
141,553 3,490 167 144,996 47,540 1,464 63 48,941 
Total investment securities, net of allowance for credit losses(d)
$523,652 $11,365 $558 $534,579 $392,846 $7,235 $441 $399,640 
(a)Includes AFS U.S. GSE obligations with fair values of $55.6 billion and $78.5 billion, and HTM U.S. GSE obligations with amortized cost of $82.4 billion and $31.6 billion, at September 30, 2020, and December 31, 2019, respectively. As of September 30, 2020, mortgage-backed securities issued by Fannie Mae and Freddie Mac each exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities were $92.9 billion and $96.5 billion, and $43.0 billion and $44.3 billion, respectively.
(b)There was 0 allowance for credit losses on AFS securities at September 30, 2020.
(c)The Firm purchased $514 million and $5.5 billion of HTM securities for the three and nine months ended September 30, 2020, respectively, and $10.9 billion and $11.7 billion for the three and nine months ended September 30, 2019, respectively.
(d)HTM securities measured at amortized cost are reported net of allowance for credit losses of $120 million at September 30, 2020.
(e)Excludes $2.0 billion and $1.9 billion of accrued interest receivables at September 30, 2020 and December 31, 2019, respectively. The Firm did 0t reverse through interest income any accrued interest receivables for the three and nine months ended September 30, 2020 and 2019.
136

At September 30, 2020, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings). Risk ratings are used to identify the credit quality of securities and differentiate risk within the portfolio. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the
economic environment) defined by S&P and Moody’s, however the quantitative characteristics (e.g., probability of default (“PD”) and loss given default (“LGD”)) may differ as they reflect internal historical experiences and assumptions.Risk ratings are assigned at acquisition, are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary over the life of the investment for updated information affecting the issuer’s ability to fulfill its obligations.
 September 30, 2019 December 31, 2018
(in millions)Amortized costGross unrealized gainsGross unrealized lossesFair value Amortized costGross unrealized gainsGross unrealized lossesFair 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
Commercial5,228
100
4
 5,324
 6,758
43
147
 6,654
Total mortgage-backed securities120,887
2,993
73
 123,807
 84,190
788
1,158
 83,820
U.S. Treasury and government agencies141,646
376
493
 141,529
 55,771
366
78
 56,059
Obligations of U.S. states and municipalities28,871
2,193
—
 31,064
 36,221
1,582
80
 37,723
Certificates of deposit74
—
—
 74
 75
—
—
 75
Non-U.S. government debt securities21,644
524
10
 22,158
 23,771
351
20
 24,102
Corporate debt securities1,596
39
1
 1,634
 1,904
23
9
 1,918
Asset-backed securities:           
Collateralized loan obligations27,942
18
52
 27,908
 19,612
1
176
 19,437
Other5,199
57
9
 5,247
 7,225
57
22
 7,260
Total available-for-sale securities347,859
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 securities35,976
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 municipalities4,803
317
—
 5,120
 4,824
105
15
 4,914
Total held-to-maturity securities40,830
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.


InvestmentAFS securities impairment
The following tables present the fair value and gross unrealized losses for investment securities by aging category for AFS securities at September 30, 2019,2020 and December 31, 2018.2019. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency MBS with unrealized losses of $206 million and $264 million, at September 30, 2020 and December 31, 2019, respectively; changes in the value of these securities are generally driven by changes in interest rates rather than changes in their credit profile given the explicit or implicit guarantees provided by the U.S. government.
Available-for-sale securities with gross unrealized losses
Less than 12 months12 months or more
September 30, 2020 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
Available-for-sale securities
Mortgage-backed securities:
Residential:
U.S.
$446 $3 $119 $1 $565 $4 
Non-U.S.2,678 9 243 2 2,921 11 
Commercial1,069 23 178 26 1,247 49 
Total mortgage-backed securities4,193 35 540 29 4,733 64 
Obligations of U.S. states and municipalities233 5 0 0 233 5 
Certificates of deposit0 0 0 0 0 0 
Non-U.S. government debt securities3,510 7 922 4 4,432 11 
Corporate debt securities94 3 0 0 94 3 
Asset-backed securities:
Collateralized loan obligations6,656 48 2,393 22 9,049 70 
Other549 5 734 27 1,283 32 
Total available-for-sale securities with gross unrealized losses$15,235 $103 $4,589 $82 $19,824 $185 
Available-for-sale securities with gross unrealized losses
Less than 12 months12 months or more
December 31, 2019 (in millions)Fair valueGross
unrealized losses		Fair valueGross
unrealized losses		Total fair valueTotal gross unrealized losses
Available-for-sale securities
Mortgage-backed securities:
Residential:
U.S.$1,072 $3 $423 $3 $1,495 $6 
Non-U.S.13 0 420 1 433 1 
Commercial1,287 12 199 1 1,486 13 
Total mortgage-backed securities2,372 15 1,042 5 3,414 20 
Obligations of U.S. states and municipalities186 1 0 0 186 1 
Certificates of deposit77 0 0 0 77 0 
Non-U.S. government debt securities3,970 13 1,406 4 5,376 17 
Corporate debt securities0 0 0 0 0 0 
Asset-backed securities:
Collateralized loan obligations10,364 11 7,756 45 18,120 56 
Other1,639 9 753 11 2,392 20 
Total available-for-sale securities with gross unrealized losses$18,608 $49 $10,957 $65 $29,565 $114 
 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 valueTotal 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
Commercial752
4
 165
—
917
4
Total mortgage-backed securities9,304
41
 4,147
32
13,451
73
U.S. Treasury and government agencies84,152
489
 540
4
84,692
493
Obligations of U.S. states and municipalities41
—
 23
—
64
—
Certificates of deposit74
—
 —
—
74
—
Non-U.S. government debt securities3,189
6
 1,357
4
4,546
10
Corporate debt securities83
—
 36
1
119
1
Asset-backed securities:       
Collateralized loan obligations7,086
8
 6,684
44
13,770
52
Other506
3
 1,598
6
2,104
9
Total available-for-sale securities104,435
547
 14,385
91
118,820
638
Held-to-maturity securities       
Mortgage-backed securities       
U.S. GSEs and government agencies2,240
20
 86
—
2,326
20
Total mortgage-backed securities2,240
20
 86
—
2,326
20
U.S. Treasury and government agencies

51
—
 —
—
51
—
Obligations of U.S. states and municipalities—
—
 —
—
—
—
Total held-to-maturity securities2,291
20
 86
—
2,377
20
Total investment securities
 with gross unrealized losses
$106,726
$567
 $14,471
$91
$121,197
$658


 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 valueTotal 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
Commercial974
6
 3,172
141
4,146
147
Total mortgage-backed securities20,160
333
 27,510
825
47,670
1,158
U.S. Treasury and government agencies4,792
7
 2,391
71
7,183
78
Obligations of U.S. states and municipalities1,808
15
 2,477
65
4,285
80
Certificates of deposit75
—
 —
—
75
—
Non-U.S. government debt securities3,123
5
 1,937
15
5,060
20
Corporate debt securities478
8
 37
1
515
9
Asset-backed securities:       
Collateralized loan obligations18,681
176
 —
—
18,681
176
Other1,208
6
 2,354
16
3,562
22
Total available-for-sale securities50,325
550
 36,706
993
87,031
1,543
Held-to-maturity securities       
Mortgage-backed securities       
U.S. GSEs and government agencies4,385
23
 7,082
177
11,467
200
Total mortgage-backed securities4,385
23
 7,082
177
11,467
200
U.S. Treasury and government agencies

—
—
 —
—
—
—
Obligations of U.S. states and municipalities12
—
 1,114
15
1,126
15
Total held-to-maturity securities4,397
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
137

Other-than-temporaryAs a result of the adoption of the amended AFS securities impairment guidance, an allowance for credit losses on AFS securities is required for impaired securities if a credit loss exists.
AFS securities are considered impaired if the fair value is less than the amortized cost (excluding accrued interest receivable).
The Firm recognizes unrealizedimpairment losses on investment securities that it intendsin earnings if the Firm has the intent 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, anddebt security, or if it is more likely than not likely that the Firm will be required to sell these securitiesthe debt security before recovery of theirits amortized cost. In these circumstances the impairment loss recognized in earnings is equal to the full difference between the amortized cost basis. Further,(excluding accrued interest receivable and net of allowance if applicable) and the fair value of the securities.
For impaired debt securities that the Firm has the intent and ability to hold, the securities are evaluated to determine if a credit loss exists. If it is determined that a credit loss exists, that loss is recognized as an allowance for credit losses through the provision for credit losses in the Consolidated Statements of Income, limited by the amount of impairment. Any impairment not due to credit losses is recorded in OCI.
Factors considered in evaluating credit losses include adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; and payment structure of the security.
When assessing securities issued in a securitization for credit losses, the Firm estimates cash flows considering relevant market and economic data, underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the underlying collateral (“pool losses”) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss exists.
For beneficial interests in securitizations that are rated below “AA” at their acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment, the Firm evaluates impairment for credit losses when there is an adverse change in expected cash flows.
Allowance for credit losses
Based on its assessment, the Firm did not recognize any credit-related OTTIan allowance for credit losses duringon impaired AFS securities as of January 1, 2020 or September 30, 2020.

138

HTM securities – credit risk
The adoption of the CECL accounting guidance requires management to estimate expected credit losses on HTM securities over the remaining expected life and recognize this estimate as an allowance for credit losses. As a result of the adoption of this guidance, the Firm recognized an allowance for credit losses on HTM obligations of U.S. states and municipalities of $10 million as a cumulative-effect adjustment to retained earnings as of January 1, 2020.
Credit quality indicator
The primary credit quality indicator for HTM securities is the risk rating assigned to each security. At September 30, 2020, all HTM securities were rated investment grade and were current and accruing, with approximately 93% rated AAA.
Allowance for credit losses
The allowance for credit losses on HTM obligations of U.S. states and municipalities and commercial mortgage-backed securities is calculated by applying statistical credit loss factors (estimated PD and LGD) to the amortized cost (excluding accrued interest receivable). The credit loss factors are derived using a weighted average of five internally developed eight-quarter macroeconomic scenarios, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the forecast period. Refer to Note 13 for further information on the eight-quarter macroeconomic forecast.
The allowance for credit losses on HTM collateralized loan obligations and U.S. residential mortgage-backed securities
is calculated as the difference between the amortized cost (excluding accrued interest receivable) and the present value of the cash flows expected to be collected, discounted at the security’s effective interest rate. These cash flow estimates are developed based on expectations of underlying collateral performance derived using the eight-quarter macroeconomic forecast and the single year straight-line interpolation, as well as considering the structural features of the security.
The application of different inputs and assumptions into the calculation of the allowance for credit losses is subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for credit losses on HTM securities.
The allowance for credit losses on HTM securities was $120 million as of September 30, 2020, reflecting $97 million and $110 million recognized in the provision for credit losses for the three and nine months ended September 30, 2019 and 2018. Accordingly, the Firm believes that the2020, respectively.
Selected impacts of investment securities with an unrealized loss in AOCI ason the Consolidated statements 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.
income
Investment securities gains and losses
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Realized gains$1,123 $78 $2,842 $454 
Realized losses(648)0 (2,108)(319)
Intent to sell(a)
(2)0 (2)0 
Net investment securities gains$473 $78 $732 $135 
Provision for credit losses$97 NA110 NA
The following table presents realized gains and losses and OTTI from AFS securities that were recognized in income.(a)
 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 incomeearnings 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.
139

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at September 30, 2019,2020, of JPMorgan Chase’s investment securities portfolio by contractual maturity.
By remaining maturity
September 30, 2020 (in millions)		Due in one
year or less		Due after one year through five yearsDue after five years through 10 years
Due after
10 years(b)
Total
Available-for-sale securities
Mortgage-backed securities
Amortized cost$0 $433 $7,834 $102,609 $110,876 
Fair value0 449 8,149 105,355 113,953 
Average yield(a)
3.74 %2.28 %1.66 %2.93 %2.84 %
U.S. Treasury and government agencies
Amortized cost$38,577 $119,641 $44,776 $10,893 $213,887 
Fair value38,629 121,118 46,023 10,809 216,579 
Average yield(a)
0.37 %0.66 %0.85 %0.48 %0.64 %
Obligations of U.S. states and municipalities
Amortized cost$61 $187 $923 $18,347 $19,518 
Fair value62 196 980 19,645 20,883 
Average yield(a)
3.68 %4.62 %4.91 %4.83 %4.83 %
Non-U.S. government debt securities
Amortized cost$7,945 $7,691 $5,059 $0 $20,695 
Fair value7,966 7,900 5,171 0 21,037 
Average yield(a)
1.22 %1.77 %0.79 %0 %1.32 %
Corporate debt securities
Amortized cost$21 $129 $120 $0 $270 
Fair value21 128 122 0 271 
Average yield(a)
2.70 %2.29 %2.30 %0 %2.33 %
Asset-backed securities
Amortized cost$77 $3,088 $6,162 $7,526 $16,853 
Fair value77 3,115 6,141 7,527 16,860 
Average yield(a)
0.52 %2.18 %1.40 %1.49 %1.58 %
Total available-for-sale securities
Amortized cost$46,681 $131,169 $64,874 $139,375 $382,099 
Fair value46,755 132,906 66,586 143,336 389,583 
Average yield(a)
0.52 %0.77 %1.06 %2.91 %1.57 %
Held-to-maturity securities
Mortgage-backed securities
Amortized cost$0 $0 $11,183 $96,611 $107,794 
Fair value0 0 11,999 98,747 110,746 
Average yield(a)
0 %0 %2.42 %2.98 %2.92 %
U.S. Treasury and government agencies
Amortized cost$0 $51 $0 $0 $51 
Fair value0 53 0 0 53 
Average yield(a)
0 %1.47 %0 %0 %1.47 %
Obligations of U.S. states and municipalities
Amortized cost$0 $54 $481 $12,357 $12,892 
Fair value0 55 506 12,684 13,245 
Average yield(a)
0 %3.25 %3.49 %3.60 %3.59 %
Asset-backed securities
Amortized cost$0 $0 $10,970 $9,966 $20,936 
Fair value0 0 10,977 9,975 20,952 
Average yield(a)
0 %0 %1.46 %1.37 %1.42 %
Total held-to-maturity securities
Amortized cost$0 $105 $22,634 $118,934 $141,673 
Fair value0 108 23,482 121,406 144,996 
Average yield(a)
0 %2.39 %1.97 %2.91 %2.76 %
(a)Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. However, for certain callable debt securities, the average yield is calculated to the earliest call date.
(b)Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 4 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.
140
By remaining maturity
September 30, 2019 (in millions)
Due in one
year or less
Due after one year through five yearsDue after five years through 10 years
Due after
10 years(b)
 Total
Available-for-sale securities      
Mortgage-backed securities      
Amortized cost$14
$59
$10,230
$110,584
 $120,887
Fair value14
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 value10,901
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 value172
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 value74
—
—
—
 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 value6,350
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 value218
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 value17,729
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.


Note 1011 – Securities financing activities
JPMorgan Chase enters into resale, repurchase, securities borrowed and securities loaned agreements (collectively, “securities financing agreements”) primarily to finance the Firm’s inventory positions, acquire securities to cover short sales, accommodate customers’ financing needs, settle other securities obligations and to deploy the Firm’s excess cash.
Securities financing agreements are treated as collateralized financings on the Firm’s Consolidated balance sheets. Where appropriate under applicable accounting guidance, securities financing agreements with the same counterparty are reported on a net basis. Refer to Note 11 of JPMorgan Chase’s 2018 Form 10-K1 for afurther discussion of accounting policies relating tothe offsetting of assets and liabilities. Fees received and paid in connection with securities financing activities.agreements are recorded over the life of the agreement in interest income and interest expense on the Consolidated statements of income.
The Firm has elected the fair value option for certain securities financing agreements. Refer to Note 3 for further information regarding the fair value option. The securities borrowed and securities lendingfinancing agreements for which the fair value option has been elected.elected are reported within securities purchased under resale agreements, securities loaned or sold under repurchase agreements, and securities borrowed on the Consolidated balance sheets. Generally, for agreements carried at fair value, current-period interest accruals are recorded within interest income and interest expense, with changes in fair value reported in principal transactions revenue. However, for financial instruments containing embedded derivatives that would be separately accounted for in accordance with accounting guidance for hybrid instruments, all changes in fair value, including any interest elements, are reported in principal transactions revenue.
Securities financing agreements not elected under the fair value option are measured at amortized cost. As a result of the Firm’s credit risk mitigation practices described below, the Firm did not hold any allowance for credit losses with respect to resale and securities borrowed arrangements as of September 30, 2020 and December 31, 2019.
Credit risk mitigation practices
Securities financing agreements expose the Firm primarily to credit and liquidity risk. To manage these risks, the Firm monitors the value of the underlying securities (predominantly high-quality securities collateral, including government-issued debt and U.S. GSEs and government agencies MBS) that it has received from or provided to its counterparties compared to the value of cash proceeds and exchanged collateral, and either requests additional collateral or returns securities or collateral when appropriate. Margin levels are initially established based upon the counterparty, the type of underlying securities, and the permissible collateral, and are monitored on an ongoing basis.
In resale and securities borrowed agreements, the Firm is exposed to credit risk to the extent that the value of the securities received is less than initial cash principal advanced and any collateral amounts exchanged. In repurchase and securities loaned agreements, credit risk exposure arises to the extent that the value of underlying securities advanced exceeds the value of the initial cash principal received, and any collateral amounts exchanged.
Additionally, the Firm typically enters into master netting agreements and other similar arrangements with its counterparties, which provide for the right to liquidate the underlying securities and any collateral amounts exchanged in the event of a counterparty default. It is also the Firm’s policy to take possession, where possible, of the securities underlying resale and securities borrowed agreements. Refer to Note 2324 for further information regarding assets pledged and collateral received in securities financing agreements.

141

The table below summarizes the gross and net amounts of the Firm’s securities financing agreements as of September 30, 20192020 and December 31, 2018. 2019. When the Firm has obtained an appropriate legal opinion with respect to a master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, the Firm nets, on the Consolidated balance sheets, the
balances outstanding under its securities financing agreements with the same counterparty. In addition, the Firm exchanges securities and/or cash collateral with its counterparty to reduce the economic exposure with the counterparty, but such collateral is not eligible for net
Consolidated balance sheet presentation. Where the Firm has obtained an appropriate legal opinion with respect to the counterparty master netting agreement, such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented in the table below as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below.
September 30, 2020
(in millions)Gross amountsAmounts netted on the Consolidated balance sheetsAmounts presented on the Consolidated balance sheets
Amounts not nettable on the Consolidated balance sheets(b)
Net
amounts(c)
Assets
Securities purchased under resale agreements$653,504 $(333,655)$319,849 $(297,189)$22,660 
Securities borrowed169,400 (26,959)142,441 (97,418)45,023 
Liabilities
Securities sold under repurchase agreements$561,489 $(333,655)$227,834 $(210,378)$17,456 
Securities loaned and other(a)
36,307 (26,959)9,348 (8,884)464 
December 31, 2019
(in millions)Gross amountsAmounts netted on the Consolidated balance sheetsAmounts presented on the Consolidated balance sheets
Amounts not nettable on the Consolidated balance sheets(b)
Net
amounts(c)
Assets
Securities purchased under resale agreements$628,609 $(379,463)$249,146 $(233,818)$15,328 
Securities borrowed166,718 (26,960)139,758 (104,990)34,768 
Liabilities
Securities sold under repurchase agreements$555,172 $(379,463)$175,709 $(151,566)$24,143 
Securities loaned and other(a)
36,649 (26,960)9,689 (9,654)35 
(a)Includes securities-for-securities lending agreements of $3.3 billion and $3.7 billion at September 30, 2020 and December 31, 2019, respectively, accounted for at fair value, where the Firm is acting as lender. In the Consolidated balance sheets, the Firm recognizes the securities received at fair value within other assets and the obligation to return those securities within accounts payable and other liabilities.
(b)In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related net asset or liability with that counterparty.
(c)Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At September 30, 2020 and December 31, 2019, included $15.4 billion and $11.0 billion, respectively, of securities purchased under resale agreements; $41.8 billion and $31.9 billion, respectively, of securities borrowed; $16.3 billion and $22.7 billion, respectively, of securities sold under repurchase agreements; and $36 million and $7 million, respectively, of securities loaned and other.
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 September 30, 2019
(in millions)Gross amountsAmounts 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 borrowed160,304
(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 amountsAmounts 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 borrowed132,955
(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 0 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.

The tables below present as of September 30, 2019,2020, and December 31, 2018 2019 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, 2020December 31, 2019
 (in millions)Securities sold under repurchase agreementsSecurities loaned and otherSecurities sold under repurchase agreementsSecurities loaned and other
Mortgage-backed securities
U.S. GSEs and government agencies$62,739 $0 $34,119 $0 
Residential - nonagency588 0 1,239 0 
Commercial - nonagency846 0 1,612 0 
U.S. Treasury, GSEs and government agencies299,978 155 334,398 29 
Obligations of U.S. states and municipalities1,372 2 1,181 0 
Non-U.S. government debt157,840 2,104 145,548 1,528 
Corporate debt securities20,415 1,847 13,826 1,580 
Asset-backed securities1,348 0 1,794 0 
Equity securities16,363 32,199 21,455 33,512 
Total$561,489 $36,307 $555,172 $36,649 
 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 - nonagency1,804
 —
 2,165
 —
Commercial - nonagency1,778
 —
 1,390
 —
U.S. Treasury, GSEs and government agencies366,820
 8
 317,578
(a) 
69
Obligations of U.S. states and municipalities1,400
 —
 1,150
 —
Non-U.S. government debt165,568
 1,769
 154,900
 4,313
Corporate debt securities13,067
 1,361
 13,898
 428
Asset-backed securities1,746
 —
 3,867
 —
Equity securities23,036
 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 continuousGreater than
90 days
September 30, 2020 (in millions)Up to 30 days30 – 90 daysTotal
Total securities sold under repurchase agreements$234,766 $215,363 $41,042 $70,318 $561,489 
Total securities loaned and other34,354 9 628 1,316 36,307 
Remaining contractual maturity of the agreements
Remaining contractual maturity of the agreementsOvernight and continuousGreater than
90 days
Overnight and continuous    
Greater than
90 days
 
September 30, 2019 (in millions) Up to 30 days 30 – 90 daysTotal
December 31, 2019 (in millions)December 31, 2019 (in millions)Overnight and continuousUp to 30 days30 – 90 daysGreater than
90 days		Total
Total securities sold under repurchase agreements$336,082
 $132,662
 $53,504
$86,370
$608,618
Total securities sold under repurchase agreements$195,816 (a)$56,020 (a)$555,172 
Total securities loaned and other30,172
 231
 748
2,953
34,104
Total securities loaned and other32,028 1,706 937 1,978 36,649 
 Remaining contractual maturity of the agreements
 Overnight and continuous    
Greater than
90 days
 
December 31, 2018 (in millions) Up to 30 days 30 – 90 daysTotal
Total securities sold under repurchase agreements$247,579
 $174,971
 $71,637
$47,400
$541,587
Total securities loaned and other28,402
 997
 2,132
2,169
33,700
(a)Prior-period amounts have been revised to conform with the current presentation.
Transfers not qualifying for sale accounting
At September 30, 2019,2020, and December 31, 2018,2019, the Firm held $654$526 million and $2.1 billion,$743 million, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets. The prior period amount has been revised to conform with the current period presentation.
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Note 1112 – 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.loan. The Firm accounts for loans based on the following categories:
•
•Originated or purchased loans held-for-investment (i.e., “retained”)
•Loans held-for-sale
•Loans at fair value
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.
The following provides a detailed accounting discussion of these loan categories:
Loans held-for-investment
Originated or purchased loans held-for-investment are recorded at the principal amount outstanding, net of the following: charge-offs; interest applied to principal (for loans accounted for on the cost recovery method); unamortized discounts and premiums; and net deferred loan fees or costs. Credit card loans also include billed finance charges and fees.
Interest income
Interest income on performing loans held-for-investment is accrued and recognized as interest income at the contractual rate of interest. Purchase price discounts or premiums, as well as net deferred loan fees or costs, are amortized into interest income over the contractual life of the loan as an adjustment of yield.
The Firm classifies accrued interest on loans, including accrued but unbilled interest on credit card loans, in accrued interest and accounts receivables on the Consolidated balance sheets. For credit card loans, accrued interest once billed is then recognized in the loan balances, with the related allowance recorded in the allowance for credit losses. Changes in the allowance for credit losses on accrued interest on credit card loans are recognized in the provision for credit losses and charge-offs are recognized by reversing interest income. For other loans, the Firm generally does not recognize an allowance for credit losses on accrued interest receivables, consistent with its policy to write them off no later than 90 days past due by reversing interest income.
Nonaccrual loans
Nonaccrual loans are those on which the accrual of interest has been suspended. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status and considered nonperforming when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest has been in default for a period of 90 days or more, unless the loan is both well-secured and in the process of collection. A loan is determined to be past due when the minimum payment is not received from the
borrower by the contractually specified due date or for certain loans (e.g., residential real estate loans), when a monthly payment is due and unpaid for 30 days or more. Finally, collateral-dependent loans are typically maintained on nonaccrual status.
On the date a loan is placed on nonaccrual status, all interest accrued but not collected is reversed against interest income. In addition, the amortization of deferred amounts is suspended. Interest income on nonaccrual loans may be recognized as cash interest payments are received (i.e., on a cash basis) if the recorded loan balance is deemed fully collectible; however, if there is doubt regarding the ultimate collectibility of the recorded loan balance, all interest cash receipts are applied to reduce the carrying value of the loan (the cost recovery method). For consumer loans, application of this policy typically results in the Firm recognizing interest income on nonaccrual consumer loans on a cash basis.
A loan may be returned to accrual status when repayment is reasonably assured and there has been demonstrated performance under the terms of the loan or, if applicable, the terms of the restructured loan.
As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full.
Allowance for loan losses
The allowance for loan losses represents the estimated expected credit losses in the held-for-investment loan portfolio at the balance sheet date and is recognized on the balance sheet as a contra asset, which brings the amortized cost to the net carrying value. Changes in the allowance for loan losses are recorded in the provision for credit losses on the Firm’s Consolidated statements of income. Refer to Note 13 for further information on the Firm’s accounting policies for the allowance for loan losses.
Charge-offs
Consumer loans are generally charged off or charged down to the net realizable value of the underlying collateral (i.e., fair value less estimated costs to sell), with an offset to the allowance for loan losses, upon reaching specified stages of delinquency in accordance with standards established by the FFIEC. Residential real estate loans, unmodified credit card loans and scored business banking loans are generally charged off no later than 180 days past due. Scored auto and modified credit card loans are charged off no later than 120 days past due.
Certain consumer loans are charged off or charged down to their net realizable value earlier than the FFIEC charge-off standards in certain circumstances as follows:
•Loans modified in a TDR that are determined to be collateral-dependent.
144

•Loans to borrowers who have experienced an event that suggests a loss is either known or highly certain are subject to accelerated charge-off standards (e.g., residential real estate and auto loans are charged off or charged down within 60 days of receiving notification of a bankruptcy filing).
•Auto loans upon repossession of the automobile.
Other than in certain limited circumstances, the Firm typically does not recognize charge-offs on the government-guaranteed portion of loans.
Wholesale loans are charged off when it is highly certain that a loss has been realized. The determination of whether to recognize a charge-off includes many factors, including the prioritization of the Firm’s claim in bankruptcy, expectations of the workout/restructuring of the loan and valuation of the borrower’s equity or the loan collateral.
When a loan is charged down to the estimated net realizable value, the determination of the fair value of the collateral depends on the type of collateral (e.g., securities, real estate). In cases where the collateral is in the form of liquid securities, the fair value is based on quoted market prices or broker quotes. For illiquid securities or other financial assets, the fair value of the collateral is generally estimated using a discounted cash flow model.
For residential real estate loans, collateral values are based upon external valuation sources. When it becomes likely that a borrower is either unable or unwilling to pay, the Firm utilizes a broker’s price opinion, appraisal and/or an automated valuation model of the home based on an exterior-only valuation (“exterior opinions”), which is then updated at least every twelve months, or more frequently depending on various market factors. As soon as practicable after the Firm receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession), the Firm generally obtains an appraisal based on an inspection that includes the interior of the home (“interior appraisals”). Exterior opinions and interior appraisals are discounted based upon the Firm’s experience with actual liquidation values as compared with the estimated values provided by exterior opinions and interior appraisals, considering state-specific factors.
For commercial real estate loans, collateral values are generally based on appraisals from internal and external valuation sources. Collateral values are typically updated every six to twelve months, either by obtaining a new appraisal or by performing an internal analysis, in accordance with the Firm’s policies. The Firm also considers both borrower- and market-specific factors, which may result in obtaining appraisal updates or broker price opinions at more frequent intervals.
Originated or purchased loans held-for-investment (i.e., “retained”), other than PCI loans
Loans held-for-sale
Loans held-for-sale are measured at the lower of cost or fair value, with valuation changes recorded in noninterest revenue. For consumer loans, the valuation is performed on a portfolio basis. For wholesale loans, the valuation is performed on an individual loan basis.
Interest income on loans held-for-sale is accrued and recognized based on the contractual rate of interest.
Loan origination fees or costs and purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred fees or costs and discounts or premiums are an adjustment to the basis of the loan and therefore are included in the periodic determination of the lower of cost or fair value adjustments and/or the gain or loss recognized at the time of sale.
Because these loans are recognized at the lower of cost or fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans held-for-sale are subject to the nonaccrual policies described above.
Loans at fair value
PCILoans for which the fair value option has been elected are measured at fair value, with changes in fair value recorded in noninterest revenue.
Interest income on these loans held-for-investment
is accrued and recognized based on the contractual rate of interest. Changes in fair value are recognized in noninterest revenue. Loan origination fees are recognized upfront in noninterest revenue. Loan origination costs are recognized in the associated expense category as incurred.
Because these loans are recognized at fair value, the Firm’s allowance for loan losses and charge-off policies do not apply to these loans. However, loans at fair value are subject to the nonaccrual policies described above.
Refer to Note 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-Qand Note 3 for further information on loans carried at fair value and classified as trading assets.
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Loan classification changes
Loans in the held-for-investment portfolio that management decides to sell are transferred to the held-for-sale portfolio at the lower of cost or fair value on the date of transfer. Credit-related losses are charged against the allowance for loan losses; non-credit related losses such as those due to changes in interest rates or foreign currency exchange rates are recognized in noninterest revenue.
In the event that management decides to retain a loan in the held-for-sale portfolio, the loan is transferred to the held-for-investment portfolio at amortized cost on the date of transfer. These loans are subsequently assessed for impairment based on the Firm’s allowance methodology. Refer to Note 13 for a further discussion of the methodologies used in establishing the Firm’s allowance for loan losses.
Loan modifications
The Firm seeks to modify certain loans in conjunction with its loss mitigation activities. Through the modification, JPMorgan Chase grants one or more concessions to a borrower who is experiencing financial difficulty in order to minimize the Firm’s economic loss and avoid foreclosure or repossession of the collateral, and to ultimately maximize payments received by the Firm from the borrower. The concessions granted vary by program and by borrower-specific characteristics, and may include interest rate reductions, term extensions, payment delays, principal forgiveness, or the acceptance of equity or other assets in lieu of payments. Such modifications are accounted for and reported as TDRs. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
Loans, except for credit card loans, modified in a TDR are generally placed on nonaccrual status, although in many cases such loans were already on nonaccrual status prior to modification. These loans may be returned to performing status (the accrual of interest is resumed) if the following criteria are met: (i) the borrower has performed under the modified terms for a minimum of six months and/or 6 payments, and (ii) the Firm has an expectation that repayment of the modified loan is reasonably assured based on, for example, the borrower’s debt capacity and level of future earnings, collateral values, LTV ratios, and other current market considerations. In certain limited and well-defined circumstances in which the loan is current at the modification date, such loans are not placed on nonaccrual status at the time of modification.
Loans modified in TDRs are generally measured for impairment using the Firm’s established asset-specific allowance methodology, which considers the expected re-default rates for the modified loans. A loan modified in a TDR generally remains subject tothe asset-specific component of the allowance throughout its remaining life, regardless of whether the loan is performing and has been returned to accrual status. Refer to Note 13 for further
discussion of the methodology used to estimate the Firm’s asset-specific allowance.
The Firm has granted various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered TDRs as:
•they represent short-term or other insignificant modifications, whether under the Firm’s regular loan modification assessments or as permitted by regulatory guidance, or
•the Firm has elected to apply the option to suspend the application of accounting guidance for TDRs as provided under section 4013 of the CARES Act.
To the extent that certain modifications do not meet any of the above criteria, the Firm accounts for them as TDRs.
As permitted by regulatory guidance, the Firm does not place loans with deferrals granted due to COVID-19 on nonaccrual status where such loans are not otherwise reportable as nonaccrual. The Firm considers expected losses of principal and accrued interest associated with all COVID-19 related loan modifications in its allowance for credit losses.
Assistance provided in response to the COVID-19 pandemic could delay the recognition of delinquencies, nonaccrual status, and net charge-offs for those customers who would have otherwise moved into past due or nonaccrual status.
Foreclosed property
The Firm acquires property from borrowers through loan restructurings, workouts, and foreclosures. Property acquired may include real property (e.g., residential real estate, land, and buildings) and commercial and personal property (e.g., automobiles, aircraft, railcars, and ships).
The Firm recognizes foreclosed property upon receiving assets in satisfaction of a loan (e.g., by taking legal title or physical possession). For loans collateralized by real property, the Firm generally recognizes the asset received at foreclosure sale or upon the execution of a deed in lieu of foreclosure transaction with the borrower. Foreclosed assets are reported in other assets on the Consolidated balance sheets and initially recognized at fair value less estimated costs to sell. Each quarter the fair value of the acquired property is reviewed and adjusted, if necessary, to the lower of cost or fair value. Subsequent adjustments to fair value are charged/credited to noninterest revenue. Operating expense, such as real estate taxes and maintenance, are charged to other expense.
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Loan portfolio
The Firm’s loan portfolio is divided into three3 portfolio segments, which are the same segments used by the Firm to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment the Firm monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class.
In conjunction with the adoption of CECL, the Firm revised its loan classes. Prior-period amounts have been revised to conform with the current presentation:
•The consumer, excluding credit card portfolio segment’s residential mortgage and home equity loans and lending-related commitments have been combined into a residential real estate class.
•Upon adoption of CECL, the Firm elected to discontinue the pool-level accounting for PCI loans and to account for these loans on an individual loan basis. PCI loans are considered PCD loans under CECL and are subject to the Firm’s nonaccrual and charge-off policies. PCD loans are now reported in the consumer, excluding credit card portfolio segment’s residential real estate class.
•Risk-rated business banking and auto dealer loans and lending-related commitments held in CCB were reclassified from the consumer, excluding credit card portfolio segment, to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. The remaining scored auto and business banking loans and lending-related commitments have been combined into an auto and other class.
•The wholesale portfolio segment’s classes, previously based on the borrower’s primary business activity, have been revised to align with the loan classifications as defined by the bank regulatory agencies, based on the loan’s collateral, purpose, and type of borrower.
Consumer, excluding

credit card(a)
Credit card
Wholesale(f)(c)
• Residential real estate – excluding PCI
• Residential mortgage(b)(a)
• Home equityAuto and other(c)(b)
Other consumer loans(d)
• Auto
• Consumer & Business Banking(e)
Residential real estate – PCI
• Home equity
• Prime mortgage
• Subprime mortgage
• Option ARMs
• Credit card loans
• Secured by real estate
• Commercial and industrial
• Real estate
• Financial institutions
• Governments & Agencies
• Other(g)(d)
(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.
(a)Includes scored mortgage and home equity loans held in CCB and AWM,and scored mortgage loans held in CIB and Corporate.
(b)Includes scored auto and business banking loans and overdrafts.
(c)Includes loans held in CIB, CB, AWM, Corporate as well as risk-rated business banking and auto dealer loans held in CCB for which the wholesale methodology is applied when determining the allowance for loan losses.
(d)Includes loans to financial institutions, states and political subdivisions, SPEs, nonprofits, personal investment companies and trusts, as well as loans to individuals and individual entities (predominantly Wealth Management clients within AWM). Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for more information on SPEs.
147

The following tables summarize the Firm’s loan balances by portfolio segment.
September 30, 2020Consumer, excluding credit cardCredit cardWholesale
Total(b)
(in millions)
Retained$305,106 $139,590 $500,841 $945,537 (c)
Held-for-sale1,391 787 3,805 5,983 
At fair value(a)
15,601 0 22,619 38,220 
Total$322,098 $140,377 $527,265 $989,740 
December 31, 2019Consumer, excluding credit cardCredit cardWholesale
Total(b)
(in millions)
Retained$294,999 $168,924 $481,678 $945,601 (c)
Held-for-sale3,002 0 4,062 7,064 
At fair value(a)
19,816 0 25,139 44,955 
Total$317,817 $168,924 $510,879 $997,620 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans. Prior-period amounts have been revised to conform with the current presentation.
September 30, 2019Consumer, excluding credit card 
Credit card(a)
 Wholesale Total 
(in millions) 
Retained$331,809
 $159,571
 $437,507
 $928,887
(b) 
Held-for-sale4,821
 —
 5,750
 10,571
 
At fair value—
 —
 5,760
 5,760
 
Total$336,630
 $159,571
 $449,017
 $945,218
 
         
December 31, 2018Consumer, excluding credit card 
Credit card(a)
 Wholesale Total 
(in millions) 
Retained$373,637
 $156,616
 $439,162
 $969,415
(b) 
Held-for-sale95
 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.


(b)Excludes $2.8 billion and $2.9 billion of accrued interest receivables at September 30, 2020, and December 31, 2019, respectively. The Firm wrote off accrued interest receivables of $34 million and $15 million for the three months ended September 30, 2020 and 2019, respectively, and $82 million and $38 million for the nine months ended September 30, 2020 and 2019, respectively.
(c)Loans (other than those for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of September 30, 2020, and December 31, 2019.

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

0 359 4,248 
20202019
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding
credit card		Credit cardWholesaleTotal
Purchases$3,180 (b)(c)$0 $937 $4,117 $1,044 (b)(c)$0 $1,041 $2,085 
Sales348 0 13,579 13,927 30,474 0 16,414 46,888 
Retained loans reclassified to held-for-sale(a)
1,822 787 1,154 3,763 8,950 0 1,784 10,734 
(a)Reclassifications of loans to held-for-sale are non-cash transactions.

 
2019 2018
Three months ended September 30,
(in millions)		 
Consumer, excluding
credit card
Credit cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
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 cardWholesaleTotal 
Consumer, excluding
credit card
Credit cardWholesaleTotal
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

(b)Predominantly includes purchases of residential real estate loans, including the Firm’s voluntary repurchases of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines for the three and nine months ended September 30, 2020 and 2019. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA.
(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.

(c)Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $3.1 billion and $4.7 billion for the three months ended September 30, 2020 and 2019, respectively, and $10.5 billion and $12.2 billion for the nine months ended September 30, 2020 and 2019, respectively.
Gains and losses on sales of loans
Net gainsgains/(losses) on sales of loans and lending-related commitments (including adjustments to record loans and lending-related commitments held-for-sale at the lower of cost or fair value) recognized in noninterest revenue were $113 million and $(75) million for the three and nine months ended September 30, 2020, respectively, of which $24 million and $(76) million, respectively, were related to loans. Net gains on sales of loans were $254 million and $433 million for the three and nine months ended September 30, 2019, respectively. Gains and losses on sales of loans were 0t 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.
148

Consumer, excluding credit card loan portfolio
Consumer loans, excluding credit card loans, consist primarily of scored residential mortgages, home equity loans and lines of credit, auto 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,
2020		December 31,
2019
Residential real estate$229,751 $243,317 
Auto and other(a)
75,355 51,682 
Total retained loans$305,106 $294,999 
(a)
(in millions)September 30,
2019
December 31,
2018
Residential real estate – excluding PCI  
Residential mortgage$197,456
$231,078
Home equity24,954
28,340
Other consumer loans  
Auto61,410
63,573
Consumer & Business Banking26,699
26,612
Residential real estate – PCI  
Home equity7,753
8,963
Prime mortgage4,164
4,690
Subprime mortgage1,797
1,945
Option ARMs7,576
8,436
Total retained loans$331,809
$373,637
Refer to Note 12At September 30, 2020, included $20.3 billion of JPMorgan Chase’s 2018 Form 10-K for further information on consumerloans in Business Banking under the PPP.
Delinquency rates are the primary credit quality indicators.indicator for consumer loans. Loans that are more than 30 days past due provide an early warning of borrowers who may be experiencing financial difficulties and/or who may be unable or unwilling to repay the loan. As the loan continues to age, it becomes more clear whether the borrower is likely either unable or unwilling to pay. In the case of residential real estate loans, late-stage delinquencies (greater than 150 days past due) are a strong indicator of loans that will ultimately result in a foreclosure or similar liquidation transaction. In addition to delinquency rates, other credit quality indicators for consumer loans vary based on the class of loan, as follows:
•For residential real estate loans, the current estimated LTV ratio, or the combined LTV ratio in the case of junior lien loans, is an indicator of the potential loss severity in the event of default. Additionally, LTV or combined LTV ratios can provide insight into a borrower’s continued willingness to pay, as the delinquency rate of high-LTV loans tends to be greater than that for loans where the borrower has equity in the collateral. The geographic distribution of the loan collateral also provides insight as to the credit quality of the portfolio, as factors such as the regional economy, home price changes and specific events such as natural disasters, will affect credit quality. The borrower’s current or “refreshed” FICO score is a secondary credit quality indicator for certain loans, as FICO scores are an indication of the borrower’s credit payment history. Thus, a loan to a borrower with a low FICO score (less than 660 ) is considered to be of higher risk than a loan to a borrower with a higher FICO score. Further, a loan to a borrower with a high LTV ratio and a low FICO score is at greater risk of default than a loan to a borrower that has both a high LTV ratio and a high FICO score.
•For scored auto and business banking loans, geographic distribution is an indicator of the credit performance of the portfolio. Similar to residential real estate loans, geographic distribution provides insights into the portfolio performance based on regional economic activity and events.

149

Residential real estate – excluding PCI loans
The following table provides information by classon delinquency, which is the primary credit quality indicator for retained residential real estate – excluding PCI loans.
(in millions, except ratios)September 30, 2020December 31, 2019
Term loans by origination yearRevolving loansTotalTotal
20202019201820172016Prior to 2016Within the revolving periodConverted to term loans
Loan delinquency(a)(b)
Current$40,303 $35,666 $15,973 $23,425 $31,870 $54,731 $7,942 $16,553 $226,463 $239,979 
30–149 days past due11 46 39 59 102 949 12 285 1,503 1,910 
150 or more days past due10 38 53 68 58 1,198 14 346 1,785 1,428 
Total retained loans$40,324 $35,750 $16,065 $23,552 $32,030 $56,878 $7,968 $17,184 $229,751 $243,317 
% of 30+ days past due to total retained loans(c)
0.05 %0.23 %0.57 %0.54 %0.50 %3.67 %0.33 %3.67 %1.40 %1.35 %
(a)Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $10 million and $17 million; 30–149 days past due included $29 million and $20 million; and 150 or more days past due included $31 million and $26 million at September 30, 2020, and December 31, 2019, respectively.
(b)At September 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
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 due691
2,763
  355
453
  1,046
3,216
150 or more days past due411
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 loans1,629
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 66020
13
  2
1
  22
14
101% to 125% and refreshed FICO scores:         

Equal to or greater than 66022
37
  68
111
  90
148
Less than 66035
53
  23
38
  58
91
80% to 100% and refreshed FICO scores:          
Equal to or greater than 6604,650
3,977
  697
986
  5,347
4,963
Less than 660212
281
  214
326
  426
607
Less than 80% and refreshed FICO scores:         

Equal to or greater than 660185,438
212,505
  20,394
22,632
  205,832
235,137
Less than 6606,035
6,457
  2,842
3,355
  8,877
9,812
No FICO/LTV available952
813
  710
885
  1,662
1,698
U.S. government-guaranteed67
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 York25,442
28,847
  5,074
5,769
  30,516
34,616
Illinois13,304
15,249
  1,868
2,131
  15,172
17,380
Texas12,345
13,769
  1,640
1,819
  13,985
15,588
Florida10,195
10,704
  1,366
1,575
  11,561
12,279
Washington7,638
8,304
  762
869
  8,400
9,173
Colorado7,577
8,140
  458
521
  8,035
8,661
New Jersey5,749
7,302
  1,447
1,642
  7,196
8,944
Massachusetts5,610
6,574
  208
236
  5,818
6,810
Arizona3,862
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
(c)At September 30, 2020, and December 31, 2019, residential real estate loans excluded mortgage loans insured by U.S. government agencies of $60 million and $46 million, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.
(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 0 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.

Approximately 37%34% of the home equity portfoliototal revolving loans are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs.loans. The following table provideslien position the Firm holds is considered in the Firm’s delinquency statisticsallowance for junior lien home equitycredit losses. Revolving 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 period9,283
11,286
 2.47
2.80
HELOANs827
1,030
 2.42
2.82
Total$15,735
$17,924
 1.72%2.00%
(a)These HELOCs are predominantly revolvingthat have been converted to term 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 HELOCsthose that are still within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for HELOCsrevolving loans within the revolving period. The higher delinquency rates associated with amortizing HELOCs and HELOANs are factored into the Firm’s allowance for loan losses.






150

ImpairedNonaccrual loans and other credit quality indicators
The following table below sets forthprovides information about the Firm’s on nonaccrual and other credit quality indicators for retained residential real estate impairedloans.
(in millions, except weighted-average data)September 30, 2020December 31, 2019
Nonaccrual loans(a)(b)(c)(d)(e)
$4,909 $2,780 
90 or more days past due and government guaranteed(f)
55 38 
Current estimated LTV ratios(g)(h)
Greater than 125% and refreshed FICO scores:
Equal to or greater than 660$26 $31 
Less than 66026 38 
101% to 125% and refreshed FICO scores:
Equal to or greater than 660123 134 
Less than 660100 132 
80% to 100% and refreshed FICO scores:
Equal to or greater than 6606,180 5,953 
Less than 660659 764 
Less than 80% and refreshed FICO scores:
Equal to or greater than 660208,422 219,469 
Less than 66012,266 14,681 
No FICO/LTV available1,879 2,052 
U.S. government-guaranteed70 63 
Total retained loans$229,751 $243,317 
Weighted average LTV ratio(g)(i)
56 %55 %
Weighted average FICO(h)(i)
763 758 
Geographic region(j)
California$75,807 $82,147 
New York32,014 31,996 
Texas13,901 14,474 
Florida13,827 13,668 
Illinois13,800 15,587 
Colorado8,307 8,447 
Washington8,163 8,990 
New Jersey7,395 7,752 
Massachusetts5,857 6,210 
Connecticut4,962 4,954 
All other(k)
45,718 49,092 
Total retained loans$229,751 $243,317 
(a)Includes collateral-dependent residential real estate loans excludingthat are charged down to the fair value of the underlying collateral less costs to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At September 30, 2020, approximately 8% of Chapter 7 residential real estate loans were 30 days or more past due, respectively.
(b)At September 30, 2020, nonaccrual loans included $1.5 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans. loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.
(c)Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are considered collateral-dependent have been charged down to the fair value of their underlying collateral less costs to sell. If the value of the underlying collateral has subsequently improved, the related allowance may be negative.
(d)Interest income on nonaccrual loans recognized on a cash basis was $39 million and $40 million for the three months ended September 30, 2020 and 2019, respectively, and $119 million and $124 million for the nine months ended September 30, 2020 and 2019, respectively.
(e)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent and charged down to the lower of amortized cost or fair value of the underlying collateral less costs to sell.
(f)These balances are excluded from nonaccrual loans as the loans are consideredguaranteed 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 be impairedmeeting agreed-upon servicing guidelines. At September 30, 2020, and December 31, 2019, these balances included $55 million and $34 million, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were 0 loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at September 30, 2020, and December 31, 2019.
(g)Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as theywell as unused lines, related to the property.
(h)Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.
(i)Excludes loans with no FICO and/or LTV data available.
(j)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.
(k)At September 30, 2020, and December 31, 2019, included mortgage loans insured by U.S. government agencies of $70 million and $63 million, respectively. These amounts 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.excluded from the geographic regions presented based upon the government guarantee.

(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.

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 equity1,938
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 equity1,973
2,092
 99
98
 62
63
Total residential real estate – excluding PCI$6,363
$7,334
 $270
$295
 $114
$121
151
(a)Generally, interest income on loans modified in TDRs is recognized on a cash basis until the borrower has made a minimum of 6 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,where the Firm grants concessions to borrowers who are experiencing financial difficulty are generally accounted for and reported as TDRs. Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs. The carrying value of new TDRs was $199 million and $112 million for the three months ended September 30, 2020 and 2019, respectively, and $537 million and $386 million for the nine months ended September 30, 2020 and 2019, respectively. 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 equity100
55
 214
241
Total residential real estate – excluding PCI$150
$122
 $395
$555



Nature and extent of modifications
The U.S. Treasury’s Making Home AffordableFirm’s proprietary modification programs as well as the Firm’s proprietary modification government programs, including U.S. GSE programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferraldelays of principal and/or interest payments that would otherwise have been required under the terms of the original agreement.
The following tables provide table provides information about how residential real estate loans excluding PCI loans, were modified in TDRs under the Firm’s loss mitigation programs described above during the periods presented. These tables exclude This table excludes Chapter 7 loans where the sole concession granted is the discharge of debt.debt and loans with short-term or other insignificant modifications that are not considered concessions.
Three months ended September 30,Nine months ended September 30,
2020201920202019
Number of loans approved for a trial modification1,623 1,219 4,468 4,444 
Number of loans permanently modified1,615 1,162 5,200 3,956 
Concession granted:(a)
Interest rate reduction40 %89 %51 %78 %
Term or payment extension39 68 53 72 
Principal and/or interest deferred21 10 12 13 
Principal forgiveness1 5 2 5 
Other(b)
65 76 65 63 
(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.
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 modification365
513
 854
586
 1,219
1,099
Number of loans permanently modified307
719
 855
939
 1,162
1,658
Concession granted:(a)
        
Interest rate reduction78%58% 93%77% 89%69%
Term or payment extension94
83
 59
88
 68
86
Principal and/or interest deferred21
30
 6
11
 10
19
Principal forgiveness7
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 modification1,603
1,789
 1,786
1,895
 3,389
3,684
Number of loans permanently modified1,178
2,374
 2,778
4,005
 3,956
6,379
Concession granted:(a)
        
Interest rate reduction65%36% 83%57% 78%49%
Term or payment extension91
49
 64
62
 72
57
Principal and/or interest deferred26
47
 7
22
 13
31
Principal forgiveness6
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.

(b)Includes variable interest rate to fixed interest rate modifications and payment delays that meet the definition of a TDR for the three and nine months ended September 30, 2020 and 2019.
Financial effects of modifications and redefaults
The following tables providetable provides information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI loans under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented. The following tables presenttable presents only the financial effects of permanent modifications and do not include temporary concessions offered through trial modifications. These tablesThis table also excludeexcludes Chapter 7 loans where the sole concession granted is the discharge of debt.
(in millions, except weighted-average data)Three months ended September 30,Nine months ended September 30,
2020201920202019
Weighted-average interest rate of loans with interest rate reductions – before TDR4.99 %5.57 %5.10 %5.77 %
Weighted-average interest rate of loans with interest rate reductions – after TDR3.34 3.58 3.40 3.90 
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR23202220
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR39393939
Charge-offs recognized upon permanent modification$1 $0 $2 $1 
Principal deferred3 6 12 17 
Principal forgiven1 2 4 6 
Balance of loans that redefaulted within one year of permanent modification(a)
$65 $53 $173 $132 
(a)Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes 2 contractual payments past due. In the event that a modified loan redefaults, it will generally be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last twelve months may not be representative of ultimate redefault levels.
Three months ended September 30,
(in millions, except weighted-average data)		Residential mortgage Home equity Total residential real estate – excluding PCI
2019
2018
 2019
2018
 2019
2018
Weighted-average interest rate of loans with interest rate reductions – before TDR5.68%6.13% 5.50%5.69% 5.57%5.89%
Weighted-average interest rate of loans with interest rate reductions – after TDR3.99
4.23
 3.30
3.83
 3.58
4.01
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR21
22
 19
18
 20
21
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR39
39
 39
39
 39
39
Charge-offs recognized upon permanent modification$—
$—
 $—
$—
 $—
$—
Principal deferred5
7
 1
2
 6
9
Principal forgiven1
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 TDR6.08%5.45% 5.56%5.34% 5.77%5.39%
Weighted-average interest rate of loans with interest rate reductions – after TDR4.36
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 TDR21
24
 20
18
 20
22
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR39
38
 40
39
 39
38
Charge-offs recognized upon permanent modification$1
$—
 $—
$1
 $1
$1
Principal deferred13
17
 4
7
 17
24
Principal forgiven3
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 2 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.
152

At September 30, 2019, 2020, 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. 6 years. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).

Active and suspended foreclosure
At September 30, 2019,2020, and December 31, 2018,2019, the Firm had non-PCI residential real estate loans, excluding those insured by U.S. government agencies, with a carrying value of $546 $904 million and $653 million,$1.2 billion, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

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

(in millions, except ratios)		Term Loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal
Loan delinquency(a)
Current$40,069 (b)$14,393 $8,516 $5,470 $2,683 $1,082 $2,573 $174 $74,960 $51,005 
30–119 days past due65 99 72 51 43 26 18 10 384 667 
120 or more days past due0 0 0 0 0 1 5 5 11 10 
Total retained loans$40,134 $14,492 $8,588 $5,521 $2,726 $1,109 $2,596 $189 $75,355 $51,682 
% of 30+ days past due to total retained loans0.16 %0.68 %0.84 %0.92 %1.58 %2.43 %0.89 %7.94 %0.52 %1.31 %
(a)At September 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.
(b)At September 30, 2020, included $20.3 billion of loans in Business Banking under the PPP. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on these loans.

Nonaccrual and other credit quality indicators
The following table provides information on nonaccrual and other credit quality indicators for retained auto and other consumer loans.
(in millions, except ratios)Total Auto and other
Sep 30, 2020Dec 31, 2019
Nonaccrual loans(a)(b)(c)
138 146 
Geographic region(d)
California$12,074 $7,795 
New York8,932 3,706 
Texas7,990 5,457 
Florida4,500 3,025 
Illinois3,829 2,443 
New Jersey2,633 1,798 
Arizona2,442 1,347 
Ohio2,181 1,490 
Colorado1,868 1,247 
Pennsylvania1,866 1,721 
All other27,040 21,653 
Total retained loans$75,355 $51,682 
(a)There were 0 loans that were 90 or more days past due and still accruing interest at September 30, 2020, and December 31, 2019.
(b)All nonaccrual auto and 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 due534
589
 231
252
 765
841
120 or more days past due4
—
 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 loans0.88%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
Texas6,644
6,531
 3,042
2,993
 9,686
9,524
New York3,627
3,863
 4,339
4,381
 7,966
8,244
Illinois3,438
3,716
 1,737
2,046
 5,175
5,762
Florida3,280
3,256
 1,565
1,502
 4,845
4,758
Arizona1,990
2,084
 1,268
1,491
 3,258
3,575
Ohio1,900
1,973
 1,189
1,305
 3,089
3,278
New Jersey1,920
1,981
 805
723
 2,725
2,704
Michigan1,279
1,357
 1,264
1,329
 2,543
2,686
Louisiana1,598
1,587
 768
860
 2,366
2,447
All other27,718
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 performing394
273
 747
751
 1,141
1,024
Criticized nonaccrual—
—
 218
191
 218
191
(a)There were 0 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.


Other consumer impaired loans and loan
modifications generally have an allowance.
The table below sets forth information about(c) the Firm’s other consumer impaired loans, including risk-rated business banking and auto loans that have been placedInterest income on nonaccrual status,loans recognized on a cash basis was not material for the three and loans that have been modifiednine months ended September 30, 2020 and 2019.
(d)The geographic regions presented in TDRs.this table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.
(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 status240
 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 TDRsLoans with short-term or other insignificant modifications that 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 innot considered concessions are not 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, 20192020 and 2018. 2019. Additional commitments to lend to borrowers whose loans have been modified in TDRs as of September 30, 20192020 and December 31, 2018 2019 were not material. TDRs on nonaccrual status were

$55 million and $57 million at September 30, 2019 and December 31, 2018, respectively.

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.
153

(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 due234
278

241
259

247
286

362
398

1,084
1,221
150 or more days past due165
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 loans5.02%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 66010
13

6
7

7
9

5
7

28
36
101% to 125% and refreshed FICO scores:























Equal to or greater than 66096
135

6
6

7
4

18
17

127
162
Less than 66046
65

19
22

24
35

18
33

107
155
80% to 100% and refreshed FICO scores:























Equal to or greater than 660643
805

58
75

52
54

102
119

855
1,053
Less than 660271
388

71
112

109
161

128
190

579
851
Lower than 80% and refreshed FICO scores:























Equal to or greater than 6605,031
5,548

2,559
2,689

809
739

4,932
5,111

13,331
14,087
Less than 6601,613
1,908

1,283
1,568

1,155
1,327

2,093
2,622

6,144
7,425
No FICO/LTV available219
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
Florida865
976

295
332

218
234

630
713

2,008
2,255
New York469
525

338
365

249
268

452
502

1,508
1,660
Illinois207
233
 139
154
 115
123
 181
199
 642
709
Washington348
419

85
98

38
44

155
177

626
738
New Jersey184
210

117
134

81
88

222
258

604
690
Massachusetts56
65

103
113

69
73

216
240

444
491
Maryland43
48

89
95

90
96

160
178

382
417
Virginia47
54

82
91

35
37

190
211

354
393
Arizona138
165

60
69

39
43

99
112

336
389
All other881
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.

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%
HELOANs234
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,
20192018 20192018
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 percentage5.27%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
The credit card portfolio segment includes credit card loans originated and purchased by the Firm. Delinquency rates are the primary credit quality indicator for credit card loans as they provide an early warning that borrowers may be experiencing difficulties (30 days past due); information on those borrowers that have been delinquent for a longer period of time (90 days past due) is also considered. In addition to Note 12delinquency rates, the geographic distribution of JPMorgan Chase’s 2018 Form 10-Kthe loans provides insight as to the credit quality of the portfolio based on the regional economy.
While the borrower’s credit score is another general indicator of credit quality, the Firm does not view credit scores as a primary indicator of credit quality because the borrower’s credit score tends to be a lagging indicator. The
distribution of such scores provides a general indicator of credit quality trends within the portfolio; however, the score does not capture all factors that would be predictive of future credit performance. Refreshed FICO score information, which is obtained at least quarterly, for further information ona statistically significant random sample of the credit card loan portfolio including credit quality indicators.
The table below sets forth information aboutis indicated in 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 accruing1,500
1,426
90 or more days past due and still accruing1,442
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
Texas15,790
15,085
New York13,940
13,601
Florida10,101
9,770
Illinois9,125
8,938
New Jersey6,821
6,739
Ohio5,093
5,094
Pennsylvania4,918
4,996
Colorado4,543
4,309
Michigan3,942
3,912
All other60,985
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 66083.6%84.2%
Less than 66015.6
15.0
No FICO available0.8
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.

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 arefollowing table. FICO is considered to be impaired as they have been modifiedthe industry benchmark for credit scores.
The Firm generally originates new card accounts to prime consumer borrowers. However, certain cardholders’ FICO scores may decrease over time, depending on the performance of the cardholder and changes in TDRs.the credit score calculation.
(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 loans488
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 impairedprovides information on delinquency, which is the primary credit quality indicator for retained credit card loans.

(in millions, except ratios)
September 30, 2020December 31, 2019
Within the revolving period
Converted to term loans(b)
TotalTotal
Loan delinquency(a)
Current and less than 30 days past due
and still accruing		$136,103 $1,289 $137,392 $165,767 
30–89 days past due and still accruing1,139 99 1,238 1,550 
90 or more days past due and still accruing916 44 960 1,607 
Total retained loans$138,158 $1,432 $139,590 $168,924 
Loan delinquency ratios
% of 30+ days past due to total retained loans1.49 %9.99 %1.57 %1.87 %
% of 90+ days past due to total retained loans0.66 3.07 0.69 0.95 
(a)At September 30, 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and interest income recognizedperforming according to their modified terms are generally not considered delinquent.
(b)Represents TDRs.
Other credit quality indicators
The following table provides information on thoseother credit quality indicators for retained credit card loans.
(in millions, except ratios)September 30, 2020December 31, 2019
Geographic region(a)
California$20,400 $25,783 
Texas14,116 16,728 
New York11,773 14,544 
Florida9,170 10,830 
Illinois7,862 9,579 
New Jersey5,820 7,165 
Ohio4,524 5,406 
Pennsylvania4,315 5,245 
Colorado4,018 4,763 
Michigan3,491 4,164 
All other54,101 64,717 
Total retained loans$139,590 $168,924 
Percentage of portfolio based on carrying value with estimated refreshed FICO scores
Equal to or greater than 66084.7 %84.0 %
Less than 66014.6 15.4 
No FICO available0.7 0.6 
(a)The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at September 30, 2020.
 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 loans18
17
 53
48
154

Loan modifications
The Firm may offer one of a number of loan modification programs granting concessions to credit card borrowers who are experiencing financial difficulty. MostThe Firm grants concessions for most of the credit card loans have been modified under long-term programs for borrowers who are experiencing financial difficulties.programs. These modifications involve placing the customer on a fixed payment plan, generally for 60 months, and typically include reducing the interest rate on the credit card. Substantially all modifications under the Firm’s long-term programs are considered to be TDRs. 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.Loans with short-term or other insignificant modifications that are not considered concessions are not TDRs.
Financial effects of modifications and redefaults
The following table provides information about the financial effects of the concessions granted on credit card loans modified in TDRs and redefaults for the periods presented. For all periods disclosed, new enrollments were less than 1% of total retained credit card loans.
(in millions, except
weighted-average data)		Three months ended September 30,Nine months ended September 30,
2020201920202019
Balance of new TDRs(a)
$220$242$648$717
Weighted-average interest rate of loans – before TDR17.65 %19.18 %18.21 %19.23 %
Weighted-average interest rate of loans – after TDR4.80 4.65 4.55 4.80 
Balance of loans that redefaulted within one year of modification(b)
$22$42$83$108
(a)Represents the outstanding balance prior to modification.
(b)Represents loans modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted.
(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 two2 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 forDefaulted modified credit card loans was expectedremain in the modification program and continue to be 34.30% and 33.38% as of September 30, 2019, and December 31, 2018, respectively.charged off in accordance with the Firm’s standard charge-off policy.
155

Wholesale loan portfolio
Wholesale loans include loans made to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals.
The primary credit quality indicator for wholesale loans is the internal risk rating assigned to each loan. Risk ratings are used to identify the credit quality of loans and differentiate risk within the portfolio. Risk ratings on loans consider the PD and the LGD. The PD is the likelihood that a loan will default. The LGD is the estimated loss on the loan that would be realized upon the default of the borrower and takes into consideration collateral and structural support for each credit facility.
Management considers several factors to determine an appropriate internal risk rating, including the obligor’s debt capacity and financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. The Firm’s internal risk ratings generally align with the qualitative characteristics (e.g., borrower capacity to meet financial commitments and vulnerability to changes in the economic environment) defined by S&P and Moody’s, however the quantitative characteristics (e.g., PD and LGD) may differ as they reflect internal historical experiences and assumptions. The Firm considers internal ratings equivalent to BBB-/Baa3 or higher as investment grade, and these ratings have a lower PD and/or lower LGD than non-investment grade ratings.
Noninvestment-grade ratings are further classified as noncriticized and criticized, and the criticized portion is further subdivided into performing and nonaccrual loans, representing management’s assessment of the collectibility of principal and interest. Criticized loans have a higher PD than noncriticized loans. The Firm’s definition of criticized aligns with the U.S. banking regulatory definition of criticized exposures, which consist of special mention, substandard and doubtful categories.
each loan.Risk ratings are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary for updated information affecting the obligor’s ability to fulfill its obligations.
As noted above, the risk rating of a loan considers the industry in which the obligor conducts its operations. As part of the overall credit risk management framework, the Firm focuses on the management and diversification of its industry and client exposures, with particular attention paid to industries with actual or potential credit concern. Refer to Note 12 4 for further detail on industry concentrations.

156

The following tables provide information on internal risk rating, which is the primary credit quality indicator for retained wholesale loans.
Secured by real estateCommercial and industrial
Other(b)
Total retained loans
(in millions, except ratios)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Loans by risk ratings
Investment-grade$93,052 $96,611 $70,373 (a)$80,489 $200,755 $186,344 $364,180 (a)$363,444 
Noninvestment-grade:
Noncriticized26,318 22,493 61,920 60,437 28,444 27,591 116,682 110,521 
Criticized performing2,042 1,131 13,294 4,399 898 1,126 16,234 6,656 
Criticized nonaccrual450 183 2,351 844 944 30 3,745 1,057 
Total noninvestment- grade28,810 23,807 77,565 65,680 30,286 28,747 136,661 118,234 
Total retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 $500,841 $481,678 
% of investment-grade to total retained loans76.36 %80.23 %47.57 %55.07 %86.89 %86.63 %72.71 %75.45 %
% of total criticized to total retained loans2.04 1.09 10.58 3.59 0.80 0.54 3.99 1.60 
% of criticized nonaccrual to total retained loans0.37 0.15 1.59 0.58 0.41 0.01 0.75 0.22 
Secured by real estate

(in millions)		September 30, 2020December 31, 2019
Term loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal
Loans by risk ratings
Investment-grade$13,326 $20,495 $12,963 $12,336 $14,590 $18,232 $1,110 $0 $93,052 $96,611 
Noninvestment-grade2,192 3,956 4,429 2,835 2,777 12,076 543 2 28,810 23,807 
Total retained loans$15,518 $24,451 $17,392 $15,171 $17,367 $30,308 $1,653 $2 $121,862 $120,418 
Commercial and industrial

(in millions)		September 30, 2020December 31, 2019
Term loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal
Loans by risk ratings
Investment-grade$19,444 (a)$8,283 $3,371 $2,673 $1,107 $1,290 $34,169 $36 $70,373 $80,489 
Noninvestment-grade12,504 10,298 6,413 2,710 725 3,090 41,729 96 77,565 65,680 
Total retained loans$31,948 $18,581 $9,784 $5,383 $1,832 $4,380 $75,898 $132 $147,938 $146,169 
Other(b)

(in millions)		September 30, 2020December 31, 2019
Term loans by origination yearRevolving loans
20202019201820172016Prior to 2016Within the revolving periodConverted to term loansTotalTotal
Loans by risk ratings
Investment-grade$25,774 $11,508 $8,228 $6,696 $3,877 $13,642 $130,774 $256 $200,755 $186,344 
Noninvestment-grade5,991 2,572 1,705 468 155 848 18,379 168 30,286 28,747 
Total retained loans$31,765 $14,080 $9,933 $7,164 $4,032 $14,490 $149,153 $424 $231,041 $215,091 
(a)At September 30, 2020, included $8.0 billion of loans under the PPP, of which $7.4 billion is included in commercial and Noteindustrial. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on these loans.
(b) 13Includes loans to financial institutions, states and political subdivisions, SPEs, nonprofits, personal investment companies and trusts, as well as loans to individuals and individual entities (predominantly Wealth Management clients within AWM). Refer to Note 14 of JPMorgan Chase’s 20182019 Form 10-K for furthermore information on these risk ratings.

The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment.SPEs.
157
 
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:               
Noncriticized52,484
51,720
 13,574
14,876
 16,123
15,316
206
201
 11,059
11,478
93,446
93,591
Criticized performing3,743
3,738
 808
620
 202
150
—
2
 540
182
5,293
4,692
Criticized nonaccrual1,291
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 nonaccrual1,291
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.

The following table presents additional information on theretained loans secured by real estate, classwhich consists of loans within the Wholesale portfolio for the periods indicated. Refer to Note 12 of JPMorgan Chase’s 2018 Form 10-K for further informationsecured wholly or substantially by a lien or liens on real estate loans.property at origination.

(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 exposure533
388
 340
366
 873
754
% of total criticized exposure to total real estate retained loans0.67%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 loans0.04%0.07% 0.08%0.21% 0.06%0.12%


(in millions, except ratios)		MultifamilyOther commercialTotal retained loans secured by real estate
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Retained loans secured by real estate$74,480 $73,840 $47,382 $46,578 $121,862 $120,418 
Criticized565 340 1,927 974 2,492 1,314 
% of total criticized to total retained loans secured by real estate0.76 %0.46 %4.07 %2.09 %2.04 %1.09 %
Criticized nonaccrual$51 $28 $399 $155 $450 $183 
% of criticized nonaccrual loans to total retained loans secured by real estate0.07 %0.04 %0.84 %0.33 %0.37 %0.15 %
Wholesale impaired retained loansGeographic distribution and loan modificationsdelinquency
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 presentsprovides information on the geographic distribution and delinquency for retained wholesale loans.
Secured by real estateCommercial
and industrial		OtherTotal
retained loans
(in millions,
except ratios)		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Loans by geographic distribution(a)
Total U.S.$119,062 $117,836 $112,316 $111,954 $166,006 $150,512 $397,384 $380,302 
Total non-U.S.2,800 2,582 35,622 34,215 65,035 64,579 103,457 101,376 
Total retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 

$500,841 $481,678 
Loan delinquency(b)
Current and less than 30 days past due and still accruing$121,302 $120,119 $145,165 $144,839 $229,191 $214,641 

$495,658 $479,599 
30–89 days past due and still accruing110 115 404 449 891 415 1,405 979 
90 or more days past due and still accruing(c)
0 1 18 37 15 5 33 43 
Criticized nonaccrual450 183 2,351 844 944 30 3,745 1,057 
Total retained loans$121,862 $120,418 $147,938 $146,169 $231,041 $215,091 

$500,841 $481,678 
(a)The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.
(b)The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. 
(c)Represents loans that are considered well-collateralized and therefore still accruing interest.
Nonaccrual loans
The following table provides information on retained wholesale nonaccrual loans.
 
(in millions)		Secured by real estateCommercial
and industrial		OtherTotal
retained loans
Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
Nonaccrual loans(a)
With an allowance$349 $169 $1,978 $688 $844 $28 $3,171 $885 
Without an allowance(b)
101 14 373 156 100 2 574 172 
Total nonaccrual loans(c)
$450 $183 $2,351 $844 $944 $30 $3,745 $1,057 
(a)Loans that were modified in response to the COVID-19 pandemic continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of September 30, 2020, predominantly all of these loans were considered performing.
(b)average impaired retainedWhen the discounted cash flows, collateral value or market price equals or exceeds the amortized cost of the loan, the loan does not require an allowance. This typically occurs when the loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.
(c)Interest income on nonaccrual loans recognized on a cash basis were not material for the periods indicated.three and nine months ended September 30, 2020 and 2019.
 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 estate80
134
 105
138
Financial institutions9
45
 11
76
Governments & Agencies—
—
 —
—
Other123
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.
Loan modifications
Certain loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All TDRsLoans with short-term or other insignificant modifications that 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.not considered concessions are not TDRs. The impact of these modifications, as well as new TDRs, were not material to the Firm for the three and nine months ended September 30, 20192020 and 2018.2019.

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Note 1213 – Allowance for credit losses
Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption of this guidance established a single allowance framework for all financial assets measured at amortized cost and certain off-balance sheet credit exposures. This framework requires that management’s estimate reflects credit losses over the instrument’s remaining expected life and considers expected future changes in macroeconomic conditions. Refer to Note 13 of 1 for further information.
JPMorgan Chase’s 2018 Form 10-Kallowance for a detailed discussioncredit losses comprises:
•the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the balance sheet,
•the allowance for lending-related commitments, which is presented on the balance sheet in accounts payable and other liabilities, and
•the allowance for credit losses on investment securities, which covers the Firm’s HTM and AFS securities and is recognized within Investment Securities on the balance sheet.
The income statement effect of all changes in the allowance for credit losses is recognized in the provision for credit losses.
Determining the appropriateness of the allowance for credit losses is complex and requires significant judgment by management about the effect of matters that are inherently uncertain. At least quarterly, the allowance for credit losses is reviewed by the CRO, the CFO and the Controller of the Firm. Subsequent evaluations of credit exposures, considering the macroeconomic conditions, forecasts and other factors then prevailing, may result in significant changes in the allowance for credit losses in future periods.
The Firm’s policies used to determine its allowance for loan losses and its allowance for lending-related commitments are described in the following paragraphs. Refer to Note 10 for a description of the policies used to determine the allowance for credit losses on investment securities.
Methodology for allowances for loan losses and lending-related commitments
The allowance for loan losses and allowance for lending-related commitments represents expected credit losses over the remaining expected life of retained loans and lending-related commitments that are not unconditionally cancellable. The Firm does not record an allowance for future draws on unconditionally cancellable lending-related commitments (e.g., credit cards). Expected losses related accounting policies.to accrued interest on credit card loans and certain performing, modified loans to borrowers impacted by COVID-19 are included in the Firm’s allowance for loan losses. However, the Firm does not record an allowance on other accrued interest receivables, due to its policy to write them off no later than 90 days past due by reversing interest income.
The expected life of each instrument is determined by considering its contractual term, expected prepayments, cancellation features, and certain extension and call options. The expected life of funded credit card loans is generally estimated by considering expected future payments on the credit card account, and determining how much of those amounts should be allocated to repayments of the funded loan
balance (as of the balance sheet date) versus other account activity. This allocation is made using an approach that incorporates the payment application requirements of the Credit Card Accountability Responsibility and Disclosure Act of 2009, generally paying down the highest interest rate balances first.
The estimate of expected credit losses includes expected recoveries of amounts previously charged off or expected to be charged off, even if such recoveries result in a negative allowance.
Collective and Individual Assessments
When calculating the allowance for loan losses and the allowance for lending-related commitments, the Firm assesses whether exposures share similar risk characteristics. If similar risk characteristics exist, the Firm estimates expected credit losses collectively, considering the risk associated with a particular pool and the probability that the exposures within the pool will deteriorate or default. The assessment of risk characteristics is subject to significant management judgement. Emphasizing one characteristic over another or considering additional characteristics could affect the allowance.
•Relevant risk characteristics for the consumer portfolio include product type, delinquency status, current FICO scores, geographic distribution, and, for collateralized loans, current LTV ratios.
•Relevant risk characteristics for the wholesale portfolio include LOB, geography, risk rating, delinquency status, level and type of collateral, industry, credit enhancement, product type, facility purpose, tenor, and payment terms.
The majority of the Firm’s credit exposures share risk characteristics with other similar exposures, and as a result are collectively assessed for impairment (“portfolio-based component”). The portfolio-based component covers consumer loans, performing risk-rated loans and certain lending-related commitments.
If an exposure does not share risk characteristics with other exposures, the Firm generally estimates expected credit losses on an individual basis, considering expected repayment and conditions impacting that individual exposure (“asset-specific component”). The asset-specific component covers modified PCD loans, loans modified or reasonably expected to be modified in a TDR, collateral-dependent loans, as well as, risk-rated loans that have been placed on nonaccrual status.
Portfolio-based component
The portfolio-based component begins with a quantitative calculation that considers the likelihood of the borrower changing delinquency status or moving from one risk rating to another. The quantitative calculation covers expected credit losses over an instrument’s expected life and is estimated by applying credit loss factors to the Firm’s estimated exposure at default. The credit loss factors incorporate the probability of borrower default as well as loss severity in the event of default. They are derived using a weighted average of five internally developed macroeconomic scenarios over an eight-quarter forecast period, followed by a single year straight-line interpolation to revert to long run historical information for periods beyond the eight-quarter forecast period. The five
159

macroeconomic scenarios consist of a central, relative adverse, extreme adverse, relative upside and extreme upside scenario, and are updated by the Firm’s central forecasting team. The scenarios take into consideration the Firm’s overarching economic outlook, internal perspectives from subject matter experts across the Firm, and market consensus and involve a governed process that incorporates feedback from senior management across LOBs, Corporate Finance and Risk Management.
The COVID-19 pandemic has stressed many MEVs to degrees not experienced in recent history, which creates additional challenges in the use of modeled credit loss estimates and increases the reliance on management judgment. During the second and third quarters, certain MEVs were outside the range of historical experience on which the Firm’s models had been calibrated and therefore adjustments were required to appropriately address these economic circumstances. For example, while forecasted U.S. employment rates in certain of the Firm’s scenarios are higher than historical experience, such rates are developed on a reported basis and do not reflect the significant mitigating impact of current government unemployment benefits and other stimulus programs. Consequently, management considered such mitigating impact to arrive at an effective unemployment rate, which informed modeled credit loss estimates, particularly in the consumer portfolio. In addition, for the wholesale portfolio, management used the historical relationship between credit spreads and portfolio default rates to inform the adjustment of the Firm’s modeled loss estimates. 
The quantitative calculation is further adjusted to take into consideration model imprecision, emerging risk assessments, trends and other subjective factors that are not yet reflected in the calculation. These adjustments are accomplished in part by analyzing the historical loss experience, including during stressed periods, for each major product or model. Management applies judgement in making this adjustment, including taking into account uncertainties associated with the economic and political conditions, quality of underwriting standards, borrower behavior, credit concentrations or deterioration within an industry, product or portfolio, as well as other relevant internal and external factors affecting the credit quality of the portfolio. In certain instances, the interrelationships between these factors create further uncertainties.
In the third quarter of 2020, the Firm continued to make qualitative adjustments which placed significant weighting on its adverse scenarios, as a result of continued uncertainty related to the COVID-19 pandemic.
The application of different inputs into the quantitative calculation, and the assumptions used by management to adjust the quantitative calculation, are subject to significant management judgment, and emphasizing one input or assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for loan losses and the allowance for lending-related commitments.
Asset-specific component
To determine the asset-specific component of the allowance, collateral-dependent loans (including those loans for which foreclosure is probable) and larger, nonaccrual risk-rated loans in the wholesale portfolio segment are generally evaluated individually, while smaller loans (both scored and risk-rated) are aggregated for evaluation using factors relevant for the respective class of assets.
The Firm generally measures the asset-specific allowance as the difference between the amortized cost of the loan and the present value of the cash flows expected to be collected, discounted at the loan’s original effective interest rate. Subsequent changes in impairment are generally recognized as an adjustment to the allowance for loan losses. For collateral-dependent loans, the fair value of collateral less estimated costs to sell is used to determine the charge-off amount for declines in value (to reduce the amortized cost of the loan to the fair value of collateral) or the amount of negative allowance that should be recognized (for recoveries of prior charge-offs associated with improvements in the fair value of collateral).
The asset-specific component of the allowance for loan losses that have been or are expected to be modified in TDRs incorporates the effect of the modification on the loan’s expected cash flows (including forgone interest, principal forgiveness, as well as other concessions), and also the potential for redefault. For residential real estate loans modified in or expected to be modified in TDRs, the Firm develops product-specific probability of default estimates, which are applied at a loan level to compute expected losses. In developing these probabilities of default, the Firm considers the relationship between the credit quality characteristics of the underlying loans and certain assumptions about housing prices and unemployment, based upon industry-wide data. The Firm also considers its own historical loss experience to-date based on actual redefaulted modified loans. For credit card loans modified in or expected to be modified in TDRs, expected losses incorporate projected delinquencies and charge-offs based on the Firm’s historical experience by type of modification program. For wholesale loans modified or expected to be modified in TDRs, expected losses incorporate management’s expectation of the borrower’s ability to repay under the modified terms.
Estimating the timing and amounts of future cash flows is highly judgmental as these cash flow projections rely upon estimates such as loss severities, asset valuations, default rates (including redefault rates on modified loans), the amounts and timing of interest or principal payments (including any expected prepayments) or other factors that are reflective of current and expected market conditions. These estimates are, in turn, dependent on factors such as the duration of current overall economic conditions, industry-, portfolio-, or borrower-specific factors, the expected outcome of insolvency proceedings as well as, in certain circumstances, other economic factors. All of these estimates and assumptions require significant management judgment and certain assumptions are highly subjective.
160

Allowance for credit losses and related information
The table below summarizes information about the allowances for loan losses and lending-related commitments, and includes a breakdown of loans and lending-related commitments by impairment methodology. Refer to Note 10 for further information on the allowance for credit losses on investment securities.
The adoption of the CECL accounting guidance resulted in a change in the accounting for PCI loans, which are considered PCD loans. In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
2020(e)
2019
Nine months ended September 30,
(in millions)		Consumer, excluding
credit card		Credit cardWholesaleTotalConsumer, excluding credit cardCredit cardWholesaleTotal
Allowance for loan losses
Beginning balance at January 1,$2,538 $5,683 $4,902 $13,123 $3,434 $5,184 $4,827 $13,445 
Cumulative effect of a change in accounting principle297 5,517 (1,642)4,172 NANANANA
Gross charge-offs620 4,104 641 5,365 665 4,050 307 5,022 
Gross recoveries collected(483)(585)(88)(1,156)(409)(433)(45)(887)
Net charge-offs137 3,519 553 4,209 256 3,617 262 4,135 
Write-offs of PCI loans(a)
NANANANA132 0 0 132 
Provision for loan losses1,803 10,119 5,802 17,724 (227)4,017 258 4,048 
Other1 0 3 4 0 (1)10 9 
Ending balance at September 30,$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Allowance for lending-related commitments
Beginning balance at January 1,$12 $0 $1,179 $1,191 $12 $0 $1,043 $1,055 
Cumulative effect of a change in accounting principle133 0 (35)98 NANANANA
Provision for lending-related commitments71 0 1,464 1,535 0 0 110 110 
Other0 0 (1)(1)0 0 0 0 
Ending balance at September 30,$216 $0 $2,607 $2,823 $12 $0 $1,153 $1,165 
Total allowance for credit losses$4,718 $17,800 $11,119 $33,637 $2,831 $5,583 $5,986 $14,400 
Allowance for loan losses by impairment methodology
Asset-specific(b)
$228 $652 $792 $1,672 $88 $488 $399 $975 
Portfolio-based4,274 17,148 7,720 29,142 1,475 5,095 4,434 11,004 
PCINANANANA1,256 0 0 1,256 
Total allowance for loan losses$4,502 $17,800 $8,512 $30,814 $2,819 $5,583 $4,833 $13,235 
Loans by impairment methodology
Asset-specific(b)
$16,888 $1,432 $3,856 $22,176 $6,117 $1,423 $1,760 $9,300 
Portfolio-based288,218 138,158 496,985 923,361 268,179 158,148 471,970 898,297 
PCINANANANA21,290 0 0 21,290 
Total retained loans$305,106 $139,590 $500,841 $945,537 $295,586 $159,571 $473,730 $928,887 
Collateral-dependent loans
Net charge-offs$109 $0 $22 $131 $23 $0 $28 $51 
Loans measured at fair value of collateral less cost to sell4,517 0 130 4,647 2,079 0 117 2,196 
Allowance for lending-related commitments by impairment methodology
Asset-specific$0 $0 $109 $109 $0 $0 $135 $135 
Portfolio-based216 0 2,498 2,714 12 0 1,018 1,030 
Total allowance for lending-related commitments(c)
$216 $0 $2,607 $2,823 $12 $0 $1,153 $1,165 
Lending-related commitments by impairment methodology
Asset-specific$0 $0 $607 $607 $0 $0 $446 $446 
Portfolio-based(d)
35,587 0 417,402 452,989 32,291 0 386,203 418,494 
Total lending-related commitments$35,587 $0 $418,009 $453,596 $32,291 $0 $386,649 $418,940 
161

(a)Prior to the adoption of CECL, write-offs of PCI loans were recorded against the allowance for loan losses when actual losses for a pool exceeded estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan was recognized when the underlying loan was removed from a pool.
(b)Includes modified PCD loans and loans that have been modified or are reasonably expected to be modified in a TDR. Also includes risk-rated loans that have been placed on nonaccrual status for the wholesale portfolio segment. The asset-specific credit card allowance for loans modified, or reasonably expected to be modified, in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.
(c)The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.
(d)At September 30, 2020 and 2019, lending-related commitments excluded $10.8 billion and $9.4 billion, respectively, for the consumer, excluding credit card portfolio segment; $662.9 billion and $645.9 billion, respectively, for the credit card portfolio segment; and $23.2 billion and $24.2 billion. respectively, for the wholesale portfolio segment, which were not subject to the allowance for lending-related commitments.
(e)Excludes HTM securities, which had an allowance for credit losses of $120 million and a provision for credit losses of $110 million as of and for the nine months ended September 30, 2020.
 2019 2018 
Nine months ended September 30,
(in millions)
Consumer, excluding
credit card
Credit card WholesaleTotal Consumer, excluding credit card Credit card WholesaleTotal 
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-offs702
4,050
 270
5,022
 776
 3,777
 264
4,817
 
Gross recoveries(420)(433) (34)(887) (681) (370) (146)(1,197) 
Net charge-offs282
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-based2,066
5,095
 3,843
11,004
 2,154
 4,613
 3,632
10,399
 
PCI1,256
—
 —
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-based304,178
158,148
 435,971
898,297
 343,703
 146,572
 422,783
913,058
 
PCI21,290
—
 —
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 sell2,083
—
 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-based33
—
 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-based53,591
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
 
Discussion of changes in the allowance during 2020
The increase in the allowance for loan losses and lending related commitments was primarily driven by an increase in the provision for credit losses, reflecting the deterioration in and uncertainty around the future macroeconomic environment as a result of the impact of the COVID-19 pandemic.
–In the first quarter of 2020, management’s macroeconomic forecast included a decline in the U.S. real GDP of approximately 25% and an increase in the U.S. unemployment rate to above 10%, for the first half of 2020, followed by a solid recovery in the second half of 2020.
–In the second quarter of 2020, based on the increased uncertainty around the duration and depth of the downturn and speed of economic recovery, the Firm’s central case assumptions reflected a more protracted downturn with the slower recovery of U.S. real GDP.
–In the third quarter of 2020, the Firm’s central case assumptions reflected some near term improvement in economic trends, however there is elevated uncertainty around potential impacts to medium and longer term macroeconomic conditions.
In the first, second and third quarters of 2020, the Firm’s central case assumptions reflected forecasted U.S. unemployment rates and cumulative changes in U.S. real GDP as follows:
20202021
4Q2Q4Q
Central case assumptions
U.S. unemployment rate(a)
1Q 20206.6 %5.5 %4.6 %
2Q 202010.9 9.0 7.7 
3Q 20209.5 8.5 7.3 
U.S. real GDP - cumulative change from December 31, 2019
1Q 2020(5.4)(2.3)0.3 
2Q 2020(6.2)(4.0)(3.0)
3Q 2020(5.4)(3.7)(2.4)
(a)Reflects quarterly average of forecasted reported U.S. unemployment rate.
As a result of elevated macroeconomic uncertainty beyond the central case, the Firm continued to place significant weighting on its adverse scenarios, which incorporate more punitive macroeconomic factors than the central case assumptions outlined above, resulting in weighted average U.S. unemployment rates, remaining above ten percent into the fourth quarter of 2021.
Subsequent changes to this forecast and related estimates will be reflected in the provision for credit losses in future periods.

(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.

162

Note 1314 – Variable interest entities
Refer to Note 1 of JPMorgan Chase’s 20182019 Form 10-K for a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs.
The following table summarizes the most significant types of Firm-sponsored VIEs by business segment.
Line of BusinessTransaction TypeActivityForm 10-Q page reference
CCBCredit card securitization trustsSecuritization of originated credit card receivables139163
Mortgage securitization trustsServicing and securitization of both originated and purchased residential mortgages139-141163-165
CIBMortgage and other securitization trustsSecuritization of both originated and purchased residential and commercial mortgages, and other consumer loans139-141163-165
Multi-seller conduitsAssist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs141165
Municipal bond vehiclesFinancing of municipal bond investments141165

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 142–143166–167 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 20182019 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,trust, the Chase Issuance Trust. Refer to the table on page 142166 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 20182019 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.
163

The following table presents the total unpaid principal amount of assets held in Firm-sponsored private-label securitization entities, including those in which the Firm has continuing involvement, and those that are consolidated by the Firm. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. The Firm’s maximum loss exposure from retained and purchased interests is the carrying value of these interests. Refer to Securitization activity on page 143167 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 143–144167-168 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
Principal amount outstanding
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
September 30, 2020 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
Securitization-related(a)
Residential mortgage:
Prime/Alt-A and option ARMs$54,012 $2,034 $44,680 $571 $884 $0 $1,455 
Subprime13,353 48 12,586 3 0 0 3 
Commercial and other(b)
117,103 0 94,944 887 1,591 280 2,758 
Total$184,468 $2,082 $152,210 $1,461 $2,475 $280 $4,216 
Principal amount outstanding
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2019 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by
JPMorgan
Chase
Securitization-related(a)
Residential mortgage:
Prime/Alt-A and option ARMs$60,348 $2,796 $48,734 $535 $625 $0 $1,160 
Subprime14,661 0 13,490 7 0 0 7 
Commercial and other(b)
111,903 0 80,878 785 773 241 1,799 
Total$186,912 $2,796 $143,102 $1,327 $1,398 $241 $2,966 
(a)Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 167-168 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.
(b)Consists of securities backed by commercial real estate loans and non-mortgage-related consumer receivables purchased from third parties.
(c)Excludes the following: retained servicing (refer to Note 15 for a discussion of MSRs); securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (refer to Note 5 for further information on derivatives); senior and subordinated securities of $125 million and $24 million, respectively, at September 30, 2020, and $106 million and $94 million, respectively, at December 31, 2019, which the Firm purchased in connection with CIB’s secondary market-making activities.
(d)Includes interests held in re-securitization transactions.
(e)As of September 30, 2020, and December 31, 2019, 71% and 63%, respectively, of the Firm’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $1.4 billion and $1.1 billion of investment-grade retained interests, and $53 million and $72 million of noninvestment-grade retained interests at September 30, 2020, and December 31, 2019, respectively. The retained interests in commercial and other securitization trusts consisted of $1.9 billion and $1.2 billion of investment-grade retained interests, and $857 million and $575 million of noninvestment-grade retained interests at September 30, 2020, and December 31, 2019, respectively.
 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 VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvement Trading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
Securitization-related(a)
        
Residential mortgage:        
Prime/Alt-A and option ARMs$61,480
$2,966
$49,826
 $522
$728
$—
$1,250
Subprime15,156
—
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
164
 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 securitiesOther 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
Subprime16,729
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.

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 20182019 Form 10-K for a more detailed description of the Firm’s involvement with residential mortgage securitizations. Refer to the table on page 142166 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 20182019 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 142166 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 20182019 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)2020201920202019
Transfers of securities to VIEs
U.S. GSEs and government agencies$12,488 $5,377 $27,710 $12,444 
 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 Firm did not transfer any private label securities to re-securitization VIEs during the three and nine months ended September 30, 2020 and 2019, respectively, and retained interests in any such Firm-sponsored VIEs as of September 30, 2020 and December 31, 2019 were immaterial.
The following table presents information on nonconsolidated re-securitization VIEs.
Nonconsolidated
re-securitization VIEs
(in millions)September 30, 2020December 31, 2019
U.S. GSEs and government agencies
Interest in VIEs$3,456 $2,928 
 
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 VIEs2,097
 3,058
(a)Represents the principal amount and includes the notional amount of interest-only securities.
As of September 30, 2019,2020, and December 31, 2018,2019, the Firm did not consolidate any U.S. GSE and government agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs.
Multi-seller conduits
Refer to Note 14 of JPMorgan Chase’s 20182019 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$11.4 billion and $20.1$16.3 billion of the commercial paper issued by the Firm-administered multi-seller conduits at September 30, 2019,2020, and December 31, 2018,2019, respectively, which have been eliminated in consolidation. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. Other than the amounts required to be held pursuant to credit risk retention rules, the Firm is not obligated under any agreement to purchase the commercial paper issued by the Firm-administered multi-seller conduits.
Deal-specific liquidity facilities, program-wide liquidity and credit enhancement provided by the Firm have been eliminated in consolidation. The Firm or the Firm-administered multi-seller conduits provide lending-related commitments to certain clients of the Firm-administered multi-seller conduits. The unfunded commitments were $8.5$10.7 billion and $8.0$8.9 billion at September 30, 2019,2020, and December 31, 2018,2019, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 2223 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 142–143166-167 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 20182019 Form 10-K for a more detailed description of JPMorgan Chase’s Municipal bond vehicles.


165

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, 2019,2020, and December 31, 2018.2019.
AssetsLiabilities
September 30, 2020 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$0$11,838$207$12,045$4,942$3$4,945
Firm-administered multi-seller conduits422,95716023,12111,6223011,652
Municipal bond vehicles2,461052,4662,40212,403
Mortgage securitization entities(a)
02,0121182,130225113338
Other216725442308989
Total$2,467$36,974$744$40,185$19,191$236$19,427
AssetsLiabilities
December 31, 2019 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$0$14,986$266$15,252$6,461$6$6,467
Firm-administered multi-seller conduits125,18335525,5399,223369,259
Municipal bond vehicles1,903041,9071,88131,884
Mortgage securitization entities(a)
662,762642,892276130406
Other66301928550272272
Total$2,633$42,931$881$46,445$17,841$447$18,288
 Assets Liabilities
September 30, 2019 (in millions)Trading assetsLoans
Other(b) 
 Total
assets(c)
 
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type        
Firm-sponsored credit card trusts$—
$27,377
$370
$27,747
 $6,457
$6
$6,463
Firm-administered multi-seller conduits3
22,708
334
23,045
 10,514
35
10,549
Municipal bond vehicles1,280
—
3
1,283
 1,249
2
1,251
Mortgage securitization entities(a)
70
2,937
58
3,065
 295
137
432
Other108
—
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 assetsLoans
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 vehicles1,779
—
4
1,783
 1,685
3
1,688
Mortgage securitization entities(a)
53
3,285
40
3,378
 308
161
469
Other134
—
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.
(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.
(b)Includes assets classified as cash and other assets on the Consolidated balance sheets.
(c)The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.
(d)The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. Refer to Note 14 of JPMorgan Chase’s 2019 Form 10-K for conduits program-wide credit enhancements. Included in beneficial interests in VIE assets are long-term beneficial interests of $5.2 billion and $6.7 billion at September 30, 2020, and December 31, 2019, respectively.
(e)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
VIEs sponsored by third parties
The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that construct, own and operate affordable housing, wind, solarenergy, 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$21.5 billion and $16.5$19.1 billion, of which $4.8$7.8 billion and $4.0$5.5 billion was unfunded at September 30, 20192020 and December 31, 2018,2019, respectively. In order to reduce the risk of loss, the Firm assesses each project and withholds varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 2425 of JPMorgan Chase’s 20182019 Form 10-K for further information on affordable housing tax credits. Refer to Note 2223 of this Form 10-Q for more information on off-balance sheet lending-related commitments.
166

Customer municipal bond vehicles (TOB trusts)
The Firm may provide various services to Customercustomer TOB trusts, including remarketing agent, liquidity or tender option provider. In certain Customercustomer TOB transactions, the

Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder.
In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate Customercustomer 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 Customercustomer TOB trusts at September 30, 20192020 and
December 31, 20182019 was $5.3$6.4 billion and $4.8$5.5 billion, respectively. The fair value of assets held by such VIEs at September 30, 20192020 and December 31, 2018,2019, was $8.6$9.9 billion and $7.7$8.6 billion, respectively. Refer to Note 2223 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 20182019 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, 20192020 and 2018,2019, related to assets held in Firm-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved at the time of the securitization.
Three months ended September 30,Nine months ended September 30,
2020201920202019
(in millions)
Residential mortgage(d)
Commercial and other(e)
Residential mortgage(d)
Commercial and other(e)
Residential mortgage(d)
Commercial and other(e)
Residential mortgage(d)
Commercial and other(e)
Principal securitized$2,852 $1,330 $3,225 $1,477 $6,450 $5,379 $7,132 $4,215 
All cash flows during the period:(a)
Proceeds received from loan sales as financial instruments(b)(c)
$2,955 $1,392 $3,327 $1,506 $6,645 $5,577 $7,337 $4,329 
Servicing fees collected54 1 70 0 165 1 220 1 
Cash flows received on interests207 78 115 34 538 138 314 183 
 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 interests115
34
 99
99
 314
183
 328
230
(a)Excludes re-securitization transactions.
(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.
(b)Predominantly includes Level 2 assets.
(c)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
(d)Includes prime mortgages only. Excludes loan securitization activity related to U.S. GSEs and government agencies.
(e)Includes commercial mortgage and other consumer loans.
Loans and excess MSRs sold to U.S. government-sponsored
enterprises and loans in securitization transactions pursuant to
Ginnie Mae guidelines
In addition to the amounts reported in the securitization activity tables above, the Firm, in the normal course of business, sells originated and purchased mortgage loans and certain originated excess MSRs on a nonrecourse basis, predominantly to U.S. GSEs. These loans and excess MSRs are sold primarily for the purpose of securitization by the U.S. GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). The Firm also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. The Firm does not consolidate the securitization vehicles underlying these transactions as it is not the primary beneficiary. For a limited number of loan sales, the Firm is obligated to share
a portion of the credit risk associated with the sold loans with the purchaser. Refer to Note 2223 of this Form 10-Q, and Note 2728 of JPMorgan Chase’s 20182019 Form 10-K for additional information about the Firm’s loan sales- and securitization-related indemnifications. Refer to Note 1415 for additional information about the impact of the Firm’s sale of certain excess MSRs.
167

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)2020201920202019
Carrying value of loans sold$18,065 $35,556 $60,447 $73,873 
Proceeds received from loan sales as cash5 3 27 73 
Proceeds from loan sales as securities(a)(b)
17,858 35,512 59,795 73,172 
Total proceeds received from loan sales(c)
$17,863 $35,515 $59,822 $73,245 
Gains/(losses) on loan sales(d)(e)
$0 $342 $6 $495 
 Three months ended September 30, Nine months ended September 30,
(in millions)2019
2018
 20192018
Carrying value of loans sold$35,556
$11,968
 $73,873
$28,804
Proceeds received from loan sales as cash3
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.
(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.
(b)Included in level 2 assets.
(c)Excludes the value of MSRs retained upon the sale of loans.
(d)Gains/(losses) on loan sales include the value of MSRs.
(e)The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
Options to repurchase delinquent loans
In addition to the Firm’s obligation to repurchase certain loans due to material breaches of representations and warranties as discussed in Note 22,23, the Firm also has the option to repurchase delinquent loans that it services for
Ginnie Mae loan pools, as well as for other U.S. government
agencies under certain arrangements. The Firm typically elects to repurchase delinquent loans from Ginnie Mae loan pools as it continues to service them and/or manage the foreclosure process in accordance with the applicable requirements, and such loans continue to be insured or guaranteed. When the Firm’s repurchase option becomes exercisable, such loans must be reported on the Consolidated balance sheets as a loan with a corresponding liability. Refer to Note 1112 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, 20192020 and December 31, 2018.2019. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)Sep 30,
2020		Dec 31,
2019
Loans repurchased or option to repurchase(a)
$1,491 $2,941 
Real estate owned10 41 
Foreclosed government-guaranteed residential mortgage loans(b)
72 198 
(a)Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools.
(b)Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable.
(in millions)Sep 30,
2019
Dec 31,
2018
Loans repurchased or option to repurchase(a)
$4,761
$7,021
Real estate owned50
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 and delinquencies related to 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, 2019,2020, and December 31, 2018.2019.
Net liquidation losses
Securitized assets90 days past dueThree months ended September 30,Nine months ended September 30,
(in millions)Sep 30,
2020		Dec 31,
2019		Sep 30,
2020		Dec 31,
2019		2020201920202019
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs$44,680 $48,734 $5,591 $2,449 $9 $146 $184 $474 
Subprime12,586 13,490 2,417 1,813 24 145 159 456 
Commercial and other94,944 80,878 5,025 187 0 118 11 283 
Total loans securitized$152,210 $143,102 $13,033 $4,449 $33 $409 $354 $1,213 
     
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
Subprime14,085
15,434
 1,962
2,478
 145
155
 456
(307)
Commercial and other86,302
79,387
 153
225
 118
71
 283
119
Total loans securitized$150,213
$145,500
 $4,794
$6,057
 $409
$408
 $1,213
$265
168

(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.



Note 1415 – Goodwill and Mortgage servicing rights
Refer to Note 15 of JPMorgan Chase’s 20182019 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,
2020		December 31,
2019
Consumer & Community Banking(a)
$30,082 $30,082 
Corporate & Investment Bank(a)
7,897 7,901 
Commercial Banking2,985 2,982 
Asset & Wealth Management6,855 6,858 
Total goodwill$47,819 $47,823 
(in millions)September 30,
2019
December 31,
2018
Consumer & Community Banking$31,038
$30,984
Corporate & Investment Bank6,941
6,770
Commercial Banking2,982
2,860
Asset & Wealth Management6,857
6,857
Total goodwill$47,818
$47,471

(a)In the first quarter of 2020, the Merchant Services business was realigned from CCB to CIB, including the associated Goodwill of $959 million. Prior-period amounts have been revised to conform with the current presentation.
The following table presents changes in the carrying amount of goodwill.
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
Balance at beginning
of period
$47,811 $47,477 $47,823 $47,471 
Changes during the period from:
Business combinations(a)
0 348 0 348 
Other(b)
8 (7)(4)(1)
Balance at September 30,$47,819 $47,818 $47,819 $47,818 
(a)For the three and nine months 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.
 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
Effective January 1, 2020, the Firm adopted new accounting guidance related to goodwill impairment testing. The adoption of the guidance requires recognition of an impairment loss when the estimated fair value of a reporting unit falls below its carrying value. It eliminated the requirement that an impairment loss be recognized only if the estimated implied fair value of the goodwill is below its carrying value. Refer to Impairment testing on pages 252–253Note 15 of JPMorgan Chase’s 20182019 Form 10-K for a further descriptiondiscussion 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 performanceGoodwill is tested 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, 2019fourth quarter of each fiscal year, or 2018.more often if events or circumstances, such as adverse changes in the business climate, indicate that there may be an impairment.  
DeclinesUnanticipated 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.
As of September 30, 2020, the Firm reviewed current economic conditions, including the potential impacts of the COVID-19 pandemic on business performance, estimated market cost of equity, as well as actuals and projections of business performance for all its reporting units. The Firm has concluded that the goodwill allocated to its reporting units was 0t impaired as of September 30, 2020, or December 31, 2019, nor was goodwill written off due to impairment during the nine months ended September 30, 2020 or 2019.
169

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 20182019 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, 20192020 and 2018.2019.
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)2020201920202019
Fair value at beginning of period$3,080 $5,093 $4,699 $6,130 
MSR activity:
Originations of MSRs204 390 639 1,146 
Purchase of MSRs17 (2)24 104 
Disposition of MSRs(a)
(104)(359)(177)(687)
Net additions/(dispositions)117 29 486 563 
Changes due to collection/realization of expected cash flows(215)(256)(710)(702)
Changes in valuation due to inputs and assumptions:
Changes due to market interest rates and other(b)
(59)(433)(1,573)(1,274)
Changes in valuation due to other inputs and assumptions:
Projected cash flows (e.g., cost to service)(82)17 (80)(333)(e)
Discount rates199 0 199 153 
Prepayment model changes and other(c)
(24)(31)(5)(118)
Total changes in valuation due to other inputs and assumptions93 (14)114 (298)
Total changes in valuation due to inputs and assumptions34 (447)(1,459)(1,572)
Fair value at September 30$3,016 $4,419 $3,016 $4,419 
Changes in unrealized gains/(losses) included in income related to MSRs held at September 30,$34 $(447)$(1,459)$(1,572)
Contractual service fees, late fees and other ancillary fees included in income333 397 1,026 1,254 
Third-party mortgage loans serviced at September 30, (in billions)456 537 456 537 
Servicer advances, net of an allowance for uncollectible amounts, at September 30, (in billions)(d)
1.7 2.0 1.7 2.0 
(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.
170
 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 MSRs390
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 income397
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.

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, 20192020 and 2018.2019.
Three months ended September 30,Nine months ended September 30,
(in millions)2020201920202019
CCB mortgage fees and related income
Net production revenue$765 $738 $1,826 $1,291 
Net mortgage servicing revenue:
Operating revenue:
Loan servicing revenue381 351 1,063 1,172 
Changes in MSR asset fair value due to collection/realization of expected cash flows(215)(256)(710)(702)
Total operating revenue166 95 353 470 
Risk management:
Changes in MSR asset fair value due to market interest rates and other(a)
(59)(433)(1,573)(1,274)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
93 (14)114 (298)
Changes in derivative fair value and other111 500 1,593 1,372 
Total risk management145 53 134 (200)
Total net mortgage servicing revenue311 148 487 270 
Total CCB mortgage fees and related income1,076 886 2,313 1,561 
All other11 1 11 1 
Mortgage fees and related income$1,087 $887 $2,324 $1,562 
(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).
  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
 $1,051
(a)Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(b)Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2019,2020, and December 31, 2018, 2019, and outlines hypothetical sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
(in millions, except rates)Sep 30,
2020		Dec 31,
2019
Weighted-average prepayment speed assumption (constant prepayment rate)16.94 %11.67 %
Impact on fair value of 10% adverse change$(203)$(200)
Impact on fair value of 20% adverse change(386)(384)
Weighted-average option adjusted spread(a)
7.37 %7.93 %
Impact on fair value of a 100 basis point adverse change$(121)$(169)
Impact on fair value of a 200 basis point adverse change(233)(326)
(a)Includes the impact of operational risk and regulatory capital.
(in millions, except rates)Sep 30,
2019
 Dec 31,
2018
Weighted-average prepayment speed assumption (constant prepayment rate)13.81% 8.78%
Impact on fair value of 10% adverse change$(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.

171

Note 1516 – Deposits
Refer to Note 17 of JPMorgan Chase’s 20182019 Form 10-K for further information on deposits.
At September 30, 2019,2020, and December 31, 2018, 2019, noninterest-bearing and interest-bearing deposits were as follows.
(in millions)September 30,
2020		December 31, 2019
U.S. offices
Noninterest-bearing (included $12,699 and $22,637 at fair value)(a)
$540,116 $395,667 
Interest-bearing (included $2,567 and $2,534 at fair value)(a)
1,117,149 876,156 
Total deposits in U.S. offices1,657,265 1,271,823 
Non-U.S. offices
Noninterest-bearing (included $1,481 and $1,980 at fair value)(a)
21,406 20,087 
Interest-bearing (included $2,567 and $1,438 at fair value)(a)
322,745 270,521 
Total deposits in non-U.S. offices344,151 290,608 
Total deposits$2,001,416 $1,562,431 
(a)Includes structured notes classified as deposits for which the fair value option has been elected. Refer to Note 3 for further information.


(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. offices1,237,659
 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. offices287,602
 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 1617 – Leases
Lease commitments
Effective January 1,Refer to Note 18 of JPMorgan Chase’s 2019 the Firm adopted new guidance that requires lessees to recognizeForm 10-K for a further discussion 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.leases.
Firm as lessee
At September 30, 2019,2020, JPMorgan Chase and its subsidiaries were obligated under a number of noncancelablenoncancellable 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.

The following tables providetable provides 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 liabilities8,425
  
Weighted average remaining lease term (in years)8.7
Weighted average discount rate3.73%
  
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, 2019Nine months ended September 30, 2019
Rental expense  
Gross rental expense$517
$1,537
Sublease rental income(49)(137)
Net rental expense$468
$1,400

(in millions)September 30, 2020December 31, 2019
Right-of-use assets$7,883 $8,190 
Lease liabilities8,335 8,505 
The following table presents future payments under operating leases as ofFirm’s net rental expense was $474 million and $468 million for the three months ended September 30, 2019:
Year ended December 31, (in millions) 
2019 (excluding nine months ended September 30, 2019)$394
20201,569
20211,394
20221,198
20231,027
After 20234,442
Total future minimum lease payments10,024
Less: Imputed interest(1,599)
Total$8,425

In addition to2020 and 2019, and $1.4 billion for each of the table above, as ofnine months ended 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 20192020 and 2022 with lease terms up to 25 years.2019.
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 generally operating leases. These assetsleases and are recognizedincluded 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, 2019December 31, 2018
Carrying value of assets subject to operating leases, net of accumulated depreciation $22,953
$21,428
Accumulated depreciation 5,848
5,303

sheets.
The following table presents the Firm’s operating lease income, included within other income, and the related depreciation expense, included within technology, communications and equipment expense, on the Consolidated statements of income:
Three months ended September 30,Nine months ended September 30,

(in millions)		2020201920202019
Operating lease income$1,425 $1,384 $4,236 $4,027 
Depreciation expense1,035 1,053 3,261 3,038 
  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
20203,785
20212,303
2022660
202374
After 2023137
Total future minimum lease payments$8,080


172

Note 1718 - Preferred stock
Refer to Note 2021 of JPMorgan Chase’s 20182019 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, 20192020 and December 31, 2018,2019, and the quarterly dividend declarations for the three and nine months ended September 30, 2020 and 2019.
Shares
Carrying value
 (in millions)
Contractual rate in effect at September 30, 2020Earliest redemption dateFloating annualized rate of three-month LIBOR/ Term SOFR plus:Dividend declared
per share
September 30, 2020December 31, 2019September 30, 2020December 31, 2019Issue dateThree months ended September 30,Nine months ended September 30,
2020201920202019
Fixed-rate:
Series P0 0 $0 $0 2/5/20130 %3/1/2018NA$0$136.25$0$408.75
Series T0 0 0 0 1/30/20140 3/1/2019NA0NA0167.50
Series W0 0 0 0 6/23/20140 9/1/2019NA0157.500472.50
Series Y0 143,000 0 1,430 2/12/20150 3/1/2020NA0153.13153.13459.39
Series AA142,500 142,500 1,425 1,425 6/4/20156.100 9/1/2020NA152.50152.50457.50457.50
Series BB115,000 115,000 1,150 1,150 7/29/20156.150 9/1/2020NA153.75153.75461.25461.25
Series DD169,625 169,625 1,696 1,696 9/21/20185.750 12/1/2023NA143.75143.75431.25431.25
Series EE185,000 185,000 1,850 1,850 1/24/20196.000 3/1/2024NA150.00150.00450.00361.67
Series GG90,000 90,000 900 900 11/7/20194.750 12/1/2024NA118.75NA387.92NA
Fixed-to-floating-rate:
Series I293,375 293,375 $2,934 $2,934 4/23/2008LIBOR + 3.47%4/30/2018LIBOR + 3.47%$95.53$146.58$334.90$455.09
Series Q150,000 150,000 1,500 1,500 4/23/20135.150 5/1/2023LIBOR + 3.25128.75128.75386.25386.25
Series R150,000 150,000 1,500 1,500 7/29/20136.000 8/1/2023LIBOR + 3.30150.00150.00450.00450.00
Series S200,000 200,000 2,000 2,000 1/22/20146.750 2/1/2024LIBOR + 3.78168.75168.75506.25506.25
Series U100,000 100,000 1,000 1,000 3/10/20146.125 4/30/2024LIBOR + 3.33153.13153.13459.38459.38
Series V250,000 250,000 2,500 2,500 6/9/2014LIBOR + 3.327/1/2019LIBOR + 3.3292.41144.11343.30394.11(a)
Series X160,000 160,000 1,600 1,600 9/23/20146.100 10/1/2024LIBOR + 3.33152.50152.50457.50457.50
Series Z200,000 200,000 2,000 2,000 4/21/2015LIBOR + 3.805/1/2020LIBOR + 3.80102.40132.50352.05397.50(b)
Series CC125,750 125,750 1,258 1,258 10/20/20174.625 11/1/2022LIBOR + 2.58115.63115.63346.88346.88
Series FF225,000 225,000 2,250 2,250 7/31/20195.000 8/1/2024SOFR + 3.38125.00126.39375.00126.39
Series HH300,000 0 3,000 0 1/23/20204.600 2/1/2025SOFR + 3.125115.00NA355.22NA
Series II150,000 0 1,500 0 2/24/20204.000 4/1/2025SOFR + 2.745100.00NA241.11NA
Total preferred stock3,006,250 2,699,250 $30,063 $26,993 
(a)Prior to July 1, 2019, the dividend rate was fixed at 5%.
(b)Prior to May 1, 2020, the dividend rate was fixed at 5.3%.
Each series of preferred stock has a liquidation value and 2018.redemption price per share of $10,000, plus accrued but unpaid dividends. The aggregate liquidation value was $30.4 billion at September 30, 2020.
 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, 2019December 31, 2018Issue dateThree months ended September 30,Nine months ended September 30, 
 2019201820192018 
Fixed-rate:             
Series P90,000
90,000
$900
$900
2/5/20135.450%3/1/2018NA$136.25
$136.25$408.75
$408.75 
Series T—
92,500
—
925
1/30/2014—
3/1/2019NANA167.50167.50502.50 
Series W—
88,000
—
880
6/23/2014—
9/1/2019NANA157.50472.50472.50 
Series Y143,000
143,000
1,430
1,430
2/12/20156.125
3/1/2020NA153.13
153.13459.39459.39 
Series AA142,500
142,500
1,425
1,425
6/4/20156.100
9/1/2020NA152.50
152.50457.50457.50 
Series BB115,000
115,000
1,150
1,150
7/29/20156.150
9/1/2020NA153.75
153.75461.25461.25 
Series DD169,625
169,625
1,696
1,696
9/21/20185.750
12/1/2023NA143.75
NA431.25NA 
Series EE185,000
—
1,850
—
1/24/20196.000
3/1/2024NA150.00
NA361.67NA 
              
Fixed-to-floating-rate:             
Series I430,375
430,375
$4,304
$4,304
4/23/2008LIBOR + 3.47%
4/30/2018LIBOR + 3.47%$146.58
$148.45$455.09
$493.29
(d) 
Series Q150,000
150,000
1,500
1,500
4/23/20135.150
5/1/2023LIBOR + 3.25128.75
128.75386.25386.25 
Series R150,000
150,000
1,500
1,500
7/29/20136.000
8/1/2023LIBOR + 3.30150.00
150.00450.00450.00 
Series S200,000
200,000
2,000
2,000
1/22/20146.750
2/1/2024LIBOR + 3.78168.75
168.75506.25506.25 
Series U100,000
100,000
1,000
1,000
3/10/20146.125
4/30/2024LIBOR + 3.33153.13
153.13459.38459.38 
Series V250,000
250,000
2,500
2,500
6/9/2014LIBOR + 3.32%
7/1/2019LIBOR + 3.32144.11
125.00394.11375.00
(e) 
Series X160,000
160,000
1,600
1,600
9/23/20146.100
10/1/2024LIBOR + 3.33152.50
152.50457.50457.50 
Series Z200,000
200,000
2,000
2,000
4/21/20155.300
5/1/2020LIBOR + 3.80132.50
132.50397.50397.50 
Series CC125,750
125,750
1,258
1,258
10/20/20174.625
11/1/2022LIBOR + 2.58115.63
115.63346.88346.88 
Series FF225,000
—
2,250
—
7/31/20195.000
8/1/2024SOFR + 3.38126.39
NA126.39NA
(f) 
Total preferred stock2,836,250
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.

Redemptions
On October 31, 2019,March 1, 2020, the Firm announced and priced an offeringredeemed all $1.43 billion of depositary shares representing $900 million of 4.75% non-cumulativeits 6.125% preferred stock, Series GG. This issuance is expected to close on November 7, 2019. Y.
On NovemberDecember 1, 2019, the Firm announced that it will redeemredeemed all $900 million of its 5.45% non-cumulative preferred stock, Series P on December 1, 2019.P.
On October 30, 2019, the Firm redeemed $1.37 billion of its Series I fixed-to-floating rate non-cumulative perpetual preferred stock.stock, Series I.
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-cumulative6.30% preferred stock, Series FF.W.
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.

173


Note 1819 – Earnings per share
Refer to Note 2223 of JPMorgan Chase’s 20182019 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, 20192020 and 2018.2019.
(in millions, except per share amounts)Three months ended
September 30,		Nine months ended
September 30,
2020201920202019
Basic earnings per share
Net income$9,443 $9,080 $16,995 $27,911 
Less: Preferred stock dividends381 423 1,203 1,201 
Net income applicable to common equity9,062 8,657 15,792 26,710 
Less: Dividends and undistributed earnings allocated to participating securities47 51 80 159 
Net income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 
Total weighted-average basic shares
  outstanding
3,077.8 3,198.5 3,083.3 3,248.7 
Net income per share$2.93 $2.69 $5.10 $8.17 
Diluted earnings per share
Net income applicable to common stockholders$9,015 $8,606 $15,712 $26,551 
Total weighted-average basic shares
  outstanding
3,077.8 3,198.5 3,083.3 3,248.7 
Add: Dilutive impact of SARs and employee stock options, unvested PSUs and nondividend-earning RSUs5.0 8.7 4.8 9.3 
Total weighted-average diluted shares outstanding3,082.8 3,207.2 3,088.1 3,258.0 
Net income per share$2.92 $2.68 $5.09 $8.15 
(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 dividends423
379
 1,201
1,167
Net income applicable to common equity8,657
8,001
 26,710
24,241
Less: Dividends and undistributed earnings allocated to participating securities51
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 PSUs8.7
18.2
 9.3
19.7
Total weighted-average diluted shares outstanding3,207.2
3,394.3
 3,258.0
3,436.2
Net income per share$2.68
$2.34
 $8.15
$7.00


174

Note 1920 – 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, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at July 1, 2020$7,920 $(895)$(27)$2,762 $(1,318)$347 $8,789 
Net change514 127 (69)(70)(12)(339)151 
Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 
As of or for the three months ended
September 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at July 1, 2019$3,709 $(652)(73)$126 $(2,231)$235 $1,114 
Net change479 (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 nine months ended
September 30, 2020
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at January 1, 2020$4,057 $(707)$(131)$63 $(1,344)$(369)$1,569 
Net change4,377 (61)35 2,629 14 377 7,371 
Balance at September 30, 2020$8,434 (a)$(768)$(96)$2,692 $(1,330)$8 $8,940 
As of or for the nine months ended
September 30, 2019
(in millions)		Unrealized
gains/(losses)
on investment securities		Translation adjustments, net of hedgesFair value hedgesCash flow hedgesDefined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
Balance at January 1, 2019$1,202 $(727)$(161)$(109)$(2,308)$596 $(1,507)
Net change2,986 (90)87 430 123 (229)3,307 
Balance at September 30, 2019$4,188 $(817)$(74)$321 $(2,185)$367 $1,800 
(a)Includes after-tax net unamortized unrealized gains of $2.7 billion related to AFS securities that have been transferred to HTM. Refer to Note 10 for further information.




 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 hedgesCash flow hedges Defined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at July 1, 2019 $3,709
   $(652)  $(73) $126
   $(2,231)  $235
  $1,114
 
 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 hedgesCash flow hedges Defined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated 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 hedgesCash flow hedges Defined benefit
pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated other comprehensive income/(loss)
 
 Balance at January 1, 2019 $1,202
   $(727)  $(161) $(109)   $(2,308)  $596
  $(1,507) 
 Net change 2,986
   (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 hedgesCash flow hedges Defined benefit pension and
OPEB plans		DVA on fair value option elected liabilitiesAccumulated 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) 
175

(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.



The following table presents the pre-tax and after-tax changes in the components of OCI.
20202019
Three months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-tax
Unrealized gains/(losses) on investment securities:
Net unrealized gains/(losses) arising during the period$1,143 $(270)$873 $708 $(169)$539 
Reclassification adjustment for realized (gains)/losses included in net income(a)
(473)114 (359)(78)18 (60)
Net change670 (156)514 630 (151)479 
Translation adjustments(b):
Translation871 (86)785 (861)40 (821)
Hedges(868)210 (658)866 (210)656 
Net change3 124 127 5 (170)(165)
Fair value hedges, net change(c):
(91)22 (69)(1)0 (1)
Cash flow hedges:
Net unrealized gains/(losses) arising during the period134 (32)102 222 (55)167 
Reclassification adjustment for realized (gains)/losses included in net income(d)
(227)55 (172)37 (9)28 
Net change(93)23 (70)259 (64)195 
Defined benefit pension and OPEB plans:
Net gain/(loss) arising during the period0 0 0 0 0 0 
Reclassification adjustments included in net income(e):
Amortization of net loss4 (1)3 42 (10)32 
Amortization of prior service cost/(credit)0 1 1 0 0 0 
Foreign exchange and other(22)6 (16)18 (4)14 
Net change(18)6 (12)60 (14)46 
DVA on fair value option elected liabilities, net change:(445)106 (339)173 (41)132 
Total other comprehensive income/(loss)$26 $125 $151 $1,126 $(440)$686 
20202019
Nine months ended September 30,
(in millions)		Pre-taxTax effectAfter-taxPre-taxTax effectAfter-tax
Unrealized gains/(losses) on investment securities:
Net unrealized gains/(losses) arising during the period$6,494 $(1,561)$4,933 $4,074 $(985)$3,089 
Reclassification adjustment for realized (gains)/losses included in net income(a)
(732)176 (556)(135)32 (103)
Net change5,762 (1,385)4,377 3,939 (953)2,986 
Translation adjustments(b):
Translation(316)15 (301)(697)76 (621)
Hedges316 (76)240 700 (169)531 
Net change0 (61)(61)3 (93)(90)
Fair value hedges, net change(c):
45 (10)35 114 (27)87 
Cash flow hedges:
Net unrealized gains/(losses) arising during the period3,787 (909)2,878 464 (112)352 
Reclassification adjustment for realized (gains)/losses included in net income(d)
(328)79 (249)102 (24)78 
Net change3,459 (830)2,629 566 (136)430 
Defined benefit pension and OPEB plans:
Net gain/(loss) arising during the period9 (2)7 2 (2)0 
Reclassification adjustments included in net income(e):
Amortization of net loss11 (3)8 125 (26)99 
Amortization of prior service cost/(credit)2 (1)1 2 (1)1 
Foreign exchange and other1 (3)(2)19 4 23 
Net change23 (9)14 148 (25)123 
DVA on fair value option elected liabilities, net change:496 (119)377 (296)67 (229)
Total other comprehensive income/(loss)$9,785 $(2,414)$7,371 $4,474 $(1,167)$3,307 
(a)The pre-tax amount is reported in Investment securities gains in the Consolidated statements of income.
(b)Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. The amounts were 0t material for the three and nine months ended September 30, 2020. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $6 million to other 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.
(c)Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap.
(d)The pre-tax amounts are primarily recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income.
(e)The pre-tax amount is reported in other expense in the Consolidated statements of income.
176
 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 change630
 (151) 479
 (1,071) 252
 (819)
Translation adjustments:           
Translation(861) 40
 (821) (314) 45
 (269)
Hedges866
 (210) 656
 311
 (73) 238
Net change5
 (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 period222
 (55) 167
 (122) 27
 (95)
Reclassification adjustment for realized (gains)/losses included in net income(c)
37
 (9) 28
 9
 (2) 7
Net change259
 (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 loss42
 (10) 32
 26
 (6) 20
Amortization of prior service cost/(credit)—
 —
 —
 (7) 2
 (5)
Foreign exchange and other18
 (4) 14
 7
 (3) 4
Net change60
 (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 change3,939
 (953) 2,986
 (2,980) 700
 (2,280)
Translation adjustments(e):
           
Translation(697) 76
 (621) (981) 188
 (793)
Hedges700
 (169) 531
 1,149
 (272) 877
Net change3
 (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 period464
 (112) 352
 (365) 85
 (280)
Reclassification adjustment for realized (gains)/losses included in net income(c)
102
 (24) 78
 (62) 15
 (47)
Net change566
 (136) 430
 (427) 100
 (327)
Defined benefit pension and OPEB plans:           
Net gain/(loss) arising during the period2
 (2) —
 25
 (6) 19
Reclassification adjustments included in net income(d):
           
Amortization of net loss125
 (26) 99
 78
 (18) 60
Amortization of prior service cost/(credit)2
 (1) 1
 (19) 5
 (14)
Settlement (gain)/loss

—
 —
 —
 —
 —
 —
Foreign exchange and other19
 4
 23
 19
 (6) 13
Net change148
 (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.


Note 2021 – Restricted cash and other restricted
assets
Refer to Note 2526 of JPMorgan Chase’s 20182019 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 customers16.8
14.6
Cash reserves at non-U.S. central banks and held for other general purposes3.6
4.1
Total restricted cash(a)
$47.1
$40.8
(in billions)September 30,
2020		December 31, 2019
Cash reserves – Federal Reserve Banks(a)
$0 $26.6 
Segregated for the benefit of securities and cleared derivative customers20.0 16.0 
Cash reserves at non-U.S. central banks and held for other general purposes4.7 3.9 
Total restricted cash(b)
$24.7 $46.5 
(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.
(a)Effective March 26, 2020, the Federal Reserve temporarily eliminated reserve requirements for depository institutions.
(b)Comprises $23.1 billion and $45.3 billion in deposits with banks, and $1.6 billion and $1.2 billion in cash and due from banks on the Consolidated balance sheet as of September 30, 2020 and December 31, 2019, respectively.
Also, as of September 30, 20192020 and December 31, 2018,2019, the Firm had the following other restricted assets:
•Cash and securities pledged with clearing organizations for the benefit of customers of $23.6$35.1 billion and $20.6$24.7 billion, respectively.
•Securities with a fair value of $13.1$5.6 billion and $9.7$8.8 billion, respectively, were also restricted in relation to customer activity.


Note 2122 – Regulatory capital
Refer to Note 2627 of JPMorgan Chase’s 20182019 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”), includingprincipal IDI subsidiary, 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 capital, Tier 1 capital, Total capital, Tier 1 leverage and the SLR. Failure to meet these minimum requirements could cause the Federal Reserve to take action. IDI subsidiaries are also subject to these capital requirements established by their respective primary regulators.
The following table representspresents the minimum and well-capitalized ratios to which the Firm and its IDI subsidiaries were subject as of September 30, 2020 and December 31, 2019.
Minimum capital ratiosWell-capitalized ratios
BHC(a)(e)
IDI(b)(e)
BHC(c)
IDI(d)
Capital ratios
CET1 capital10.5 %7.0 %N/A6.5 %
Tier 1 capital12.0 8.5 6.0 8.0 
Total capital14.0 10.5 10.0 10.0 
Tier 1 leverage4.0 4.0 N/A5.0 
SLR5.0 6.0 N/A6.0 
 Minimum capital ratios Well-capitalized ratios
 
BHC(a)(e)(f)

IDI(b)(e)(f)

 
BHC(c) 
IDI(d)

Capital ratios     
CET110.5%7.0% N/A6.5%
Tier 112.0
8.5
 6.08.0
Total14.0
10.5
 10.010.0
Tier 1 leverage4.0
4.0
 N/A5.0
SLR5.0
6.0
 N/A6.0
Note: The table above is as defined by the regulations issued by the Federal Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are subject.
(a)Represents the minimum capital ratios applicable to the Firm under Basel III. The CET1, Tier 1 and Total capital minimum capital ratios include a capital conservation buffer requirement of 2.5% and GSIB surcharge of 3.5% as calculated under Method 2.
(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, Tier 1 and Total capital minimum capital ratios include a capital conservation buffer requirement of 2.5% that is applicable to the IDI subsidiaries. The IDI subsidiaries are not subject to the GSIB surcharge.
(c)Represents requirements for bank holding companies pursuant to regulations issued by the Federal Reserve.
(d)Represents requirements for IDI subsidiaries pursuant to regulations issued under the FDIC Improvement Act.
(e)Represents minimum SLR requirement of 3.0%, as well as supplementary leverage buffer requirements of 2.0% and 3.0% for BHC and IDI, respectively.
Current Expected Credit Losses
As disclosed in the Firm’s 2019 Form 10-K, the Firm initially elected to phase-in the January 1, 2020 (“day 1”) CECL adoption impact to retained earnings of $2.7 billion to CET1 capital, at 25% per year in each of 2020 to 2023. As part of their response to the impact of the COVID-19 pandemic, on March 31, 2020, the federal banking agencies issued an interim final rule (issued as final on August 26, 2020) that provided the option to delay the effects of CECL on regulatory capital for two years, followed by a three-year transition period.
(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.
177

The final rule provides a uniform approach for estimating the effects of CECL compared to the legacy incurred loss model during the first two years of the transition period (the “day 2” transition amount), whereby the Firm may exclude from CET1 capital 25% of the change in the allowance for credit losses (excluding allowances on PCD loans). The cumulative day 2 transition amount as at December 31, 2021 that is not recognized in CET1 capital as well as the $2.7 billion day 1 impact, will be phased into CET1 capital at 25% per year beginning January 1, 2022. The Firm has elected to apply the CECL capital transition provisions, and accordingly, for the period ended
September 30, 2020, the capital metrics of the Firm exclude $6.4 billion, which is the $2.7 billion day 1 impact to retained earnings and 25% of the $15.2 billion increase in the allowance for credit losses (excluding allowances on PCD loans).
The impacts of the CECL capital transition provisions on Tier 2 capital, adjusted average assets, and total leverage exposure have also been incorporated into the Firm’s capital metrics. Refer to Note 1 for further information on the CECL accounting guidance.
The following tables present the risk-based and leverage-based capital metrics for JPMorgan Chase and JPMorgan Chase Bank, N.A. under both the Basel III Standardized and Basel III Advanced Approaches. As of September 30, 20192020, the capital metrics are presented applying the CECL capital transition provisions. As of September 30, 2020 and December 31, 2018,2019, JPMorgan Chase and JPMorgan Chase Bank, N.A. were well-capitalized and met all capital requirements to which each was subject.

September 30, 2020
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.(d)
JPMorgan
Chase Bank, N.A.(d)
JPMorgan
Chase & Co.(d)
JPMorgan
Chase Bank, N.A.(d)
Risk-based capital metrics:(a)
CET1 capital$197,719 $225,547 $197,719 $225,547 
Tier 1 capital227,486 225,549 227,486 225,549 
Total capital262,397 242,927 249,947 230,846 
Risk-weighted assets1,514,509 1,444,069 1,429,334 1,298,354 
CET1 capital ratio13.1 %15.6 %13.8 %17.4 %
Tier 1 capital ratio15.0 15.6 15.9 17.4 
Total capital ratio17.3 16.8 17.5 17.8 
Leverage-based capital metrics:
Adjusted average assets(b)
$3,243,290 $2,852,307 $3,243,290 $2,852,307 
Tier 1 leverage ratio7.0 %7.9 %7.0 %7.9 %
Total leverage exposure(c)
NANA$3,247,392 $3,544,506 
SLR(c)
NANA7.0 %6.4 %
December 31, 2019
(in millions, except ratios)		Basel III StandardizedBasel III Advanced
JPMorgan
Chase & Co.		JPMorgan
Chase Bank, N.A.		JPMorgan
Chase & Co.		JPMorgan
Chase Bank, N.A.
Risk-based capital metrics:(a)
CET1 capital$187,753 $206,848 $187,753 $206,848 
Tier 1 capital214,432 206,851 214,432 206,851 
Total capital242,589 224,390 232,112 214,091 
Risk-weighted assets1,515,869 1,457,689 1,397,878 1,269,991 
CET1 capital ratio12.4 %14.2 %13.4 %16.3 %
Tier 1 capital ratio14.1 14.2 15.3 16.3 
Total capital ratio16.0 15.4 16.6 16.9 
Leverage-based capital metrics:
Adjusted average assets(b)
$2,730,239 $2,353,432 $2,730,239 $2,353,432 
Tier 1 leverage ratio7.9 %8.8 %7.9 %8.8 %
Total leverage exposureNANA$3,423,431 $3,044,509 
SLRNANA6.3 %6.8 %
(a)The capital adequacy of the Firm and JPMorgan Chase Bank, N.A. is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced).
(b)Adjusted average assets, for purposes of calculating the leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.
(c)As of September 30, 2020, JPMorgan Chase’s total leverage exposure for purposes of calculating the SLR, excludes on-balance sheet amounts of U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the interim final rule issued by the Federal Reserve on April 1, 2020. On June 1, 2020, the Federal Reserve, OCC and FDIC issued an interim final rule that provides IDI subsidiaries with an option to apply this temporary exclusion subject to certain restrictions. As of September 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion.
(d)As of September 30, 2020, the capital metrics for the Firm reflect the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF. Additionally, loans originated under the PPP in the Firm and JPMorgan Chase Bank, N.A. receive a zero percent risk weight.
178
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 capital214,831
205,347
 214,831
205,347
Total capital243,500
223,038
 233,203
212,919
      
Assets     
Risk-weighted1,527,762
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)
     
CET112.3%14.2% 13.1%15.8%
Tier 114.1
14.2
 15.0
15.8
Total15.9
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 capital209,093
211,671
 209,093
211,671
Total capital237,511
229,952
 227,435
220,025
      
Assets     
Risk-weighted1,528,916
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)
     
CET112.0%14.6% 12.9%16.5%
Tier 113.7
14.6
 14.7
16.5
Total15.5
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
SLR6.3%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.

Note 2223 – 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 arehave historically been refinanced, extended, cancelled, or expireexpired 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 2728 of JPMorgan Chase’s 20182019 Form 10-K for a further discussion of lending-related commitments and guarantees, and the Firm’s related accounting policies.
To provide for probable expectedcredit 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 13 for further information regarding the allowance for credit losses on lending-related commitments.commitments, including the impact of the Firm’s adoption of the CECL accounting guidance on January 1, 2020.
The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at September 30, 2019,2020, and December 31, 2018. 2019. The amounts in the table below for credit card, and home equity and certain scored business banking lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel credit card and certain scored business banking lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. In addition, the Firm typically closes credit card lines when the borrower is 60 days or more past due. The Firm may reduce or close HELOCs when there are significant decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.
179

In conjunction with the adoption of CECL, the Firm reclassified risk-rated loans and lending-related commitments from the consumer, excluding credit card portfolio segment to the wholesale portfolio segment, to align with the methodology applied when determining the allowance. Prior-period amounts have been revised to conform with the current presentation. Refer to Note 1 for further information.
Off–balance sheet lending-related financial instruments, guarantees and other commitments
Contractual amount
Carrying value(j)
September 30, 2020Dec 31,
2019		Sep 30,
2020		Dec 31,
2019
By remaining maturity
(in millions)		Expires in 1 year or lessExpires after
1 year through
3 years		Expires after
3 years through
5 years		Expires after 5 yearsTotalTotal
Lending-related
Consumer, excluding credit card:
Residential real estate(a)
$15,739 $1,447 $3,570 $14,816 $35,572 $30,217 $216 $12 
Auto and other10,044 1 16 792 10,853 9,952 0 0 
Total consumer, excluding credit card25,783 1,448 3,586 15,608 46,425 40,169 216 12 
Credit card(b)
662,860 0 0 0 662,860 650,720 0 0 
Total consumer(b)(c)
688,643 1,448 3,586 15,608 709,285 690,889 216 12 
Wholesale:
Other unfunded commitments to extend credit(d)(e)
96,207 160,733 134,223 15,571 406,734 380,307 2,492 952 
Standby letters of credit and other financial guarantees(d)
17,847 8,170 3,915 1,520 31,452 34,242 473 618 
Other letters of credit(d)
2,954 76 19 0 3,049 2,961 20 4 
Total wholesale(c)
117,008 168,979 138,157 17,091 441,235 417,510 2,985 1,574 
Total lending-related$805,651 $170,427 $141,743 $32,699 $1,150,520 $1,108,399 $3,201 $1,586 
Other guarantees and commitments
Securities lending indemnification agreements and guarantees(f)
$220,361 $0 $0 $0 $220,361 $204,827 $0 $0 
Derivatives qualifying as guarantees2,668 290 12,045 40,377 55,380 53,089 451 159 
Unsettled resale and securities borrowed agreements142,799 3,555 0 0 146,354 117,951 1 0 
Unsettled repurchase and securities loaned agreements120,904 586 0 0 121,490 73,351 (1)0 
Loan sale and securitization-related indemnifications:
Mortgage repurchase liabilityNANANANANANA84 59 
Loans sold with recourseNANANANA853 944 24 27 
Exchange & clearing house guarantees and commitments(g)
89,121 0 0 0 89,121 206,432 0 0 
Other guarantees and commitments(e)(h)
1,236 499 711 4,052 6,498 6,334 (i)(64)(66)
(a)Includes certain commitments to purchase loans from correspondents.
(b)Also includes commercial card lending-related commitments primarily in CB and CIB.
(c)Predominantly all consumer and wholesale lending-related commitments are in the U.S.
(d)At September 30, 2020, and December 31, 2019, reflected the contractual amount net of risk participations totaling $50 million and $76 million, respectively, for other unfunded commitments to extend credit; $8.8 billion and $9.8 billion, respectively, for standby letters of credit and other financial guarantees; and $462 million and $546 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(e)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans, which resulted in a corresponding reclassification of commitments from Other guarantees and commitments to Wholesale other unfunded commitments to extend credit. Prior-period amounts have been revised to conform with the current presentation.
(f)At September 30, 2020, and December 31, 2019, collateral held by the Firm in support of securities lending indemnification agreements was $233.0 billion and $216.2 billion, respectively. Securities lending collateral primarily consists of cash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(g)At September 30, 2020, and December 31, 2019, includes guarantees to the Fixed Income Clearing Corporation under the sponsored member repo program and commitments and guarantees associated with the Firm’s membership in certain clearing houses.
(h)At September 30, 2020, and December 31, 2019, primarily includes letters of credit hedged by derivative transactions and managed on a market risk basis, and unfunded commitments related to institutional lending. Additionally, includes unfunded commitments predominantly related to certain tax-oriented equity investments.
(i)Prior-period amounts have been revised to conform with the current presentation.
(j)For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, and lending-related commitments for which the fair value option was elected, the carrying value represents the fair value. At September 30, 2020, includes net markdowns on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

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 lessExpires after
1 year through
3 years		Expires after
3 years through
5 years		Expires after 5 yearsTotal
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
 —
—
Auto8,062
1,238
118
49
9,467
 8,011
 2
2
Consumer & Business Banking10,324
643
106
952
12,025
 11,673
 19
19
Total consumer, excluding credit card29,887
3,037
2,577
18,090
53,591
 46,066
 33
33
Credit card645,880
—
—
—
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 guarantees1,772
196
12,081
40,369
54,418
 55,271
 231
367
Unsettled resale and securities borrowed agreements122,946
1,125
66
—
124,137
 102,008
 —
—
Unsettled repurchase and securities loaned agreements120,679
670
—
—
121,349
 57,732
 —
—
Loan sale and securitization-related indemnifications:          
Mortgage repurchase liabilityNA
NA
NA
NA
NA
 NA
 61
89
Loans sold with recourseNA
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.

180

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, 2019,2020, and December 31, 2018.2019.
Standby letters of credit, other financial guarantees and other letters of credit
September 30, 2020December 31, 2019
(in millions)Standby letters of
credit and other financial guarantees		Other letters
of credit		Standby letters of
credit and other financial guarantees		Other letters
of credit
Investment-grade(a)
$23,461 $2,338 $26,880 $2,137 
Noninvestment-grade(a)
7,991 711 7,362 824 
Total contractual amount$31,452 $3,049 $34,242 $2,961 
Allowance for lending-related commitments$98 $20 $216 $4 
Guarantee liability375 0 402 0 
Total carrying value$473 $20 $618 $4 
Commitments with collateral$17,249 $417 $17,853 $728 
 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 liability390
 —
 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 risk ratings. Refer to Note 12 for further information on internal risk ratings.
(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 2728 of JPMorgan Chase’s 20182019 Form 10-K for further information on these derivatives.
The following table summarizes the derivatives qualifying as guarantees as of September 30, 2019,2020, and December 31, 2018.2019.
(in millions)September 30, 2019
 December 31, 2018
Notional amounts   
Derivative guarantees$54,418
 $55,271
Stable value contracts with contractually limited exposure28,886
 28,637
Maximum exposure of stable value contracts with contractually limited exposure2,960
 2,963
    
Fair value   
Derivative payables231
 367
Derivative receivables—
 —

(in millions)September 30, 2020December 31, 2019
Notional amounts
Derivative guarantees$55,380 $53,089 
Stable value contracts with contractually limited exposure28,955 28,877 
Maximum exposure of stable value contracts with contractually limited exposure2,974 2,967 
Fair value
Derivative payables451 159 

In addition to derivative contracts that meet the characteristics of a guarantee, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. Refer to Note 45 for a further discussion of credit derivatives.
Merchant charge-backs
Under the rules of payment networks, the Firm, in its role as a merchant acquirer, retains a contingent liability for disputed processed credit and debit card transactions that result in a charge-back to the merchant. If a dispute is resolved in the cardholder’s favor, Merchant Services will (through the cardholder’s issuing bank) credit or refund the amount to the cardholder and will charge back the transaction to the merchant. If Merchant Services is unable to collect the amount from the merchant, Merchant Services will bear the loss for the amount credited or refunded to the cardholder. Merchant Services mitigates this risk by withholding future settlements, retaining cash reserve accounts or obtaining other collateral. In addition, Merchant Services recognizes a valuation allowance that covers the payment or performance risk to the Firm related to charge-backs. The carrying value of the valuation allowance was $14 million and $11 million at September 30, 2020 and December 31, 2019, respectively.
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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 2728 of JPMorgan Chase’s 20182019 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 2425 of this Form 10-Q and Note 2930 of JPMorgan Chase’s 20182019 Form 10-K for additional information regarding litigation.

Sponsored member repo program
In 2018 the Firm commenced the sponsored member repo program, wherein theThe 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 157.180. Refer to Note 11 of JPMorgan Chase’s 20182019 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 157180 of this Note. Refer to Note 1920 of JPMorgan Chase’s 20182019 Form 10-K for additional information.


Note 2324 – Pledged assets and collateral
Refer to Note 2829 of JPMorgan Chase’s 20182019 Form 10-K for a discussion of the Firm’s pledged assets and collateral.
Pledged assets
The Firm may pledgepledges financial assets that it owns to maintain potential borrowing capacity at discount windows with Federal Reserve banks, various other central banks and FHLBs. Additionally, pledgedthe Firm pledges 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 parties94.5
 83.7
Assets pledged at Federal Reserve banks and FHLBs487.1
 475.3
Total assets pledged$735.8
 $663.0

(in billions)September 30, 2020December 31, 2019
Assets that may be sold or repledged or otherwise used by secured parties$189.9 $125.2 
Assets that may not be sold or repledged or otherwise used by secured parties98.8 80.2 
Assets pledged at Federal Reserve banks and FHLBs441.6 478.9 
Total pledged assets$730.3 $684.3 
Total pledged assets pledged do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. Refer to Note 1314 for additional information on assets and liabilities of consolidated VIEs. Refer to Note 1011 for additional information on the Firm’s securities financing activities. Refer to Note 1920 of JPMorgan Chase’s 20182019 Form 10-K for additional information on the Firm’s long-term debt.
Collateral
The Firm accepts financial assets as collateral that it is permitted to sell or repledge, deliver or otherwise use. This collateral is generally obtained under resale and other securities financing agreements, prime brokerage-related held-for-investment customer receivables and derivative contracts. Collateral is generally used under repurchase and other securities financing agreements, to cover short sales and to collateralize derivative contracts and deposits.
The following table presents the fair value of collateral accepted.
(in billions)September 30, 2020December 31, 2019
Collateral permitted to be sold or repledged, delivered, or otherwise used$1,361.5 $1,282.5 
Collateral sold, repledged, delivered or otherwise used999.8 1,000.5 (a)
(a)Includes collateral repledged to the Federal Reserve under the Federal Reserve’s open market operations.
(in billions)September 30, 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 used1,017.3
 998.3
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Note 2425 – Litigation
Contingencies
As of September 30, 2019,2020, the Firm and its subsidiaries and affiliates are defendants, putative defendants or respondents in numerous legal proceedings, including private, civil litigations and regulatory/government investigations. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations involve both formal and informal proceedings, by both governmental agencies and self-regulatory organizations. These legal proceedings are at varying stages of adjudication, arbitration or investigation, and involve each of the Firm’s lines of business and several geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel legal theories.
The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $1.3$1.7 billion at September 30, 2019.2020. This estimated aggregate range of reasonably possible losses was based upon information available as of that date for those proceedings in which the Firm believes that an estimate of reasonably possible loss can be made. For certain matters, the Firm does not believe that such an estimate can be made, as of that date. The Firm’s estimate of the aggregate range of reasonably possible losses involves significant judgment, given:
•the number, variety and varying stages of the proceedings, including the fact that many are in preliminary stages,
•the existence in many such proceedings of multiple defendants, including the Firm, whose share of liability (if any) has yet to be determined,
•the numerous yet-unresolved issues in many of the proceedings, including issues regarding class certification and the scope of many of the claims, and
•the attendant uncertainty of the various potential outcomes of such proceedings, including where the Firm has made assumptions concerning future rulings by the court or other adjudicator, or about the behavior or incentives of adverse parties or regulatory authorities, and those assumptions prove to be incorrect.
In addition, the outcome of a particular proceeding may be a result which the Firm did not take into account in its estimate because the Firm had deemed the likelihood of that outcome to be remote. Accordingly, the Firm’s estimate of the aggregate range of reasonably possible losses will change from time to time, and actual losses may vary significantly.
Set forth below are descriptions of the Firm’s material legal proceedings.
Advisory and Other Activities. JPMorgan Chase Bank, N.A. has been advised by one of its U.S. regulators of a potential civil money penalty action against the Bank related to historical deficiencies in internal controls and internal audit over certain advisory and other activities. The Bank already has controls in place to address the deficiencies related to the proposed penalty. The Firm is currently engaged in resolution discussions with the U.S. regulator. There is no assurance that such discussions will result in resolution.
Amrapali. India’s Enforcement Directorate (“ED”) is investigating JPMorgan India Private Limited in connection with investments made in 2010 and 2012 by 2 offshore funds formerly managed by JPMorgan Chase entities into residential housing projects developed by the Amrapali Group (“Amrapali”). In 2017, numerous creditors filed civil claims against Amrapali including petitions brought by home buyers relating to delays in delivering or failure to deliver residential units. The home buyers’ petitions have been overseen by the Supreme Court of India since 2017 pursuant to its jurisdiction over public interest litigation. In July 2019, the Supreme Court of India issued an order making preliminary findings that Amrapali and other parties, including unspecified JPMorgan Chase entities and the offshore funds that had invested in the projects, violated certain currency control and money laundering provisions, and ordering the ED to conduct a further inquiry under India’s Prevention of Money Laundering Act (“PMLA”) and Foreign Exchange Management Act (“FEMA”). In May 2020, the Enforcement Directorate issued a provisional attachment order as part of the criminal PMLA proceedings freezing approximately $25 million held by JPMorgan India Private Limited. In June 2020, the funds were transferred to an account held by the Supreme Court of India. A separate civil proceeding relating to alleged FEMA violations is ongoing. The Firm is responding to and cooperating with the investigation.    
Federal Republic of Nigeria Litigation. JPMorgan Chase Bank, N.A. operated an escrow and depository account for the Federal Government of Nigeria (“FGN”) and two major international oil companies. The account held approximately $1.1 billion in connection with a dispute among the clients over rights to an oil field. Following the settlement of the dispute, JPMorgan Chase Bank, N.A. paid out the monies in the account in 2011 and 2013 in accordance with directions received from its clients. In November 2017, the Federal Republic of Nigeria (“FRN”) commenced a claim in the English High Court for approximately $875 million in payments made out of the accounts. The FRN, claiming to be the same entity as the FGN, alleges that the payments were instructed as part of a complex fraud not involving JPMorgan Chase Bank, N.A., but that JPMorgan Chase Bank, N.A. was or should have been on notice that the payments may be fraudulent. JPMorgan
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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 resolveAmong those matters. Inresolutions, in May 2015, the Firm pleaded guilty to a single violation of federal antitrust law. In January 2017, the Firm was sentenced, with judgment entered thereafter and a term of probation ending in January 2020. The term of probation has concluded, with the Firm remaining in good standing throughout the probation period. The Department of Labor has granted the Firm a five-year exemption of disqualification that allows the Firm and its affiliates to continue to rely on the Qualified Professional Asset Manager exemption under the Employee Retirement Income Security Act (“ERISA”) until January 2023. The Firm will need to reapply in due course for a further exemption to cover the remainder of the ten-year disqualification period. 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 SwissA South Africa Competition Commission which were announced in May 2019matter is the remaining FX-related governmental inquiry, and June 2019, respectively. Separately, in February 2017is currently pending before 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.Tribunal.
In August 2018, the United States District Court for the Southern District of New York granted final approval to the Firm’s settlement of a consolidated class action brought by U.S.-based plaintiffs, which principally alleged violations of

federal antitrust laws based on an alleged conspiracy to manipulate foreign exchange rates and also sought damages on behalf of persons who transacted in FX futures and options on futures. Certain members of the settlement class filed requests to the Court to be excluded from the class, and certain of them filed a complaint against the Firm and a number of other foreign exchange dealers in November 2018 (the “opt-out action”). The 2 FX-related2018. A number of these actions brought by participants or beneficiaries of qualified ERISA plansremain pending. Further, putative class actions have been dismissed. Putative class actionsfiled against the Firm and a number of other foreign exchange dealers on behalf of certain consumers who purchased foreign currencies at allegedly inflated rates (the “consumer action”) and purported indirect purchasers of FX instruments (the “indirect purchaser action”)instruments; these actions also remain pending in the District Court. In 2020, the Firm and 11 other defendants agreed to settle the class action filed by purported indirect purchasers for a total of $10 million. That settlement remains subject to court approval. In addition, some FX relatedFX-related individual and putative class actions based on similar alleged underlying conduct have been filed outside the U.S., including in the U.K., Israel and Australia, which are based on similar alleged underlying conduct.Australia.
Interchange Litigation. GA grouproups 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 respectiverelated rules in violation of antitrust laws. TheIn 2012, the parties initially settled the cases for a cash payment, a temporary reduction of credit card interchange, and modifications to certain credit card
network rules. In 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 reversed2017, after the approval of that settlement was reversed on appeal, 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 United States District Court for the Eastern District of New York for further proceedings consistent with the appellate decision.
The original class action was divided into 2 separate actions, one seeking primarily monetary relief and the other seeking primarily injunctive relief. In September 2018, the parties to the class action seeking monetary relief finalized an agreement which amends and supersedes the prior settlement agreement, and the plaintiffs filed a motion seeking preliminary approval of the modified settlement.agreement. 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 JanuaryDecember 2019, the amended agreement was preliminarily approved by the District Court,Court. Certain merchants appealed the District Court’s approval order, and formal noticethose appeals are pending. Based on the percentage of merchants that opted out of the amended class settlement, $700 million has been completedreturned to the defendants from the settlementescrow in accordance with the District Court’s order. A fairness hearing is scheduled before the District Court in November 2019.settlement agreement. The class action seeking primarily injunctive relief continues separately.
In addition, certain merchants have filed individual actions raising similar allegations against Visa and Mastercard, as well as against the Firm and other banks, and some of those actions are proceeding.remain pending.
LIBOR and Other Benchmark Rate Investigations and Litigation. JPMorgan Chase has received subpoenas and requests for documents and, in some cases, interviews,responded to inquiries from federal and statevarious governmental 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’sAssociation’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’sFederation’s Euro Interbank Offered Rate (“EURIBOR”). The Firm continues to cooperate with these investigations to the extent that they are ongoing. ComCo’sSwiss Competition Commission’s investigation relating to EURIBOR, to which the Firm and other banks are subject, continues. In December 2016, the ECEuropean Commission issued a decision against the Firm and other banks finding an infringement of European antitrust rules relating to EURIBOR. The Firm has filed an appeal of that decision with the European General Court, and that appeal is pending.
In addition, the Firm has been named as a defendant along with other banks in a series of individual and putative class actions related to benchmarks, including U.S. dollar LIBOR during the period that it was administered by the BBA and, in a separate consolidated putative class action, during the period that it was administered by ICE Benchmark Administration. These actions have been filed, or consolidated for pre-trial purposes, in the United States District Court for the Southern District of New York. In these actions, plaintiffs make varying allegations that in various periods, starting in 2000 or later, defendants either individually or collectively manipulated various benchmark rates by submitting rates that were artificially low or high. Plaintiffs allege that they transacted in loans, derivatives or other financial instruments whose values are affected by
184

changes in these rates and assert a variety of claims including antitrust claims seeking treble damages. These actions are in various stages of litigation.
In actions related to U.S. dollar LIBOR during the period that it was administered by the BBA, the Firm has resolved certain of these actions, and others are in various stages of litigation. The District Court dismissed certain claims, including antitrust claims brought by some plaintiffs whom the District Court found did not have standing to assert such claims, and permitted certain claims to proceed, including antitrust, Commodity Exchange Act, Section 10(b) of the Securities Exchange Act and common law claims. The plaintiffs whose antitrust claims were dismissed for lack of standing have filed an appeal. The District Court granted class certification of antitrust claims related to bonds and interest rate swaps sold directly by the defendants and denied class certification motions filed by other plaintiffs. The Firm has agreed to settleIn the consolidated putative class

action related to the time period that U.S. dollar LIBOR was administered by ICE Benchmark Administration, the District Court granted defendants’ motion to dismiss plaintiffs’ complaint, and the plaintiffs have appealed. The Firm’s settlements of putative class actions related to Swiss franc LIBOR, the Singapore Interbank Offered Rate and the Singapore Swap Offer Rate and(“SIBOR”), the Australian Bank Bill Swap Reference Rate, as well as certainand one of the putative class actions related to U.S. dollar LIBOR. TheLIBOR remain subject to court approval. In the class actions related to SIBOR and Swiss franc LIBOR, the District Court declined to grant preliminary approvalconcluded that the Court lacked subject matter jurisdiction, and plaintiffs’ appeals of those decisions are pending.
In addition to the settlement involvingactions pending or consolidated in the Singapore Interbank Offered RateSouthern District of New York, in August 2020, a group of individual plaintiffs filed a lawsuit asserting antitrust claims in the United States District Court for the Northern District of California, alleging that the Firm and other defendants were engaged in an unlawful agreement to set LIBOR and conspired to monopolize the market for LIBOR-based consumer loans and credit cards. The complaint seeks injunctive relief and monetary damages.
Metals and U.S. Treasuries Investigations and Litigation and Related Inquiries. The Firm previously reported that it and/or certain of its subsidiaries had entered into resolutions with the U.S. Department of Justice (“DOJ”), the U.S. Commodity Futures Trading Commission (“CFTC”) and the Singapore Swap Offer RateU.S. Securities 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 conductingExchange Commission (“SEC”), which, collectively, resolved those agencies’ respective investigations relating to historical trading practices by former employees in the precious metals and U.S. treasuries markets and related conduct. conduct from 2008 to 2016.
The Firm is respondingentered into a Deferred Prosecution Agreement (“DPA”) with the DOJ in which it agreed to the filing of a criminal information charging JPMorgan Chase & Co. with 2 counts of wire fraud and cooperatingagreed, along with these investigations. JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC, to certain terms and obligations as set forth therein. Under the terms of the DPA, the criminal information will be dismissed after
three years, provided that JPMorgan Chase & Co., JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC fully comply with all of their obligations.
Across the 3 resolutions with the DOJ, CFTC and SEC, JPMorgan Chase & Co., JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC agreed to pay a total monetary amount of approximately $920 million. A portion of the total monetary amount includes victim compensation payments.
Several putative class action complaints have been filed in the United States District Court for the Southern District of New York against the Firm and certain former employees, alleging a precious metals futures and options price manipulation scheme in violation of the Commodity Exchange Act. Some of the complaints also allege unjust enrichment and deceptive acts or practices under the General Business Law of the State of New York. The Court consolidated these putative class actions in February 2019. The Firm is also a defendant in a2019, and the consolidated action is stayed through May 2021. In addition, several putative class actions have been filed in the United States District Courts for the Northern District of Illinois and Southern District of New York against the Firm, alleging manipulation of U.S. Treasury futures and options, and bringing claims under the Commodity Exchange Act. Some of the complaints also allege unjust enrichment. The actions in the Northern District of Illinois have been transferred to the Southern District of New York. A putative class action complaint has also been filed under the Securities Exchange Act of 1934 in the United States District Court for the SouthernEastern District of New York against the Firm and certain individual defendants on behalf of shareholders who acquired shares during the putative class period alleging monopolization of silver futures in violationthat certain SEC filings of the Sherman Act.Firm were materially false or misleading in that they did not disclose certain information relating to the above-referenced investigations.
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, theThe Court of Cassation, France’s highest court, ruled in September 2018 that a mise en examen is a prerequisite for an ordonnance de renvoi and remandedin January 2020 ordered the case to the Courtannulment 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 correctionnelcorrectionnel., and the Firm has reapplied to the Court of Cassation for a determination asAppeal hearings are scheduled in November and December 2020 to whetherfurther consider JPMorgan Chase’s
185

status in this matter. A trial of the Courtmanagers of Appeal’s decisionWendel is consistent withdue to commence before the Court of Cassation’s September 2018 ruling. Any further actionstribunal correctionnel in the criminal proceedings are stayed pending the outcome of that application.January 2021. In addition, a number of the managers have commenced civil proceedings against JPMorgan Chase Bank, N.A. The claims are separate, involve
different allegations and are at various stages of proceedings.
* * *
In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or are otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously. Additional legal proceedings may be initiated from time to time in the future.
The Firm has established reserves for several hundred of its currently outstanding legal proceedings. In accordance with the provisions of U.S. GAAP for contingencies, the Firm accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwardsupward or downward, as appropriate, based on management’s best judgment after consultation with counsel. The Firm’s legal expense/(benefit) was $10$524 million and $20$10 million for the three months ended September 30, 20192020 and 2018,2019, respectively, and $(2)$839 million and $90$(2) million for the nine months ended September 30, 20192020 and 2018,2019, 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.

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Note 2526 – Business segments
The Firm is managed on a line of businessan LOB basis. There are 4 major reportable business segments - Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment. The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Segment results below, and Note 3132 of JPMorgan Chase’s 20182019 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, 20192020 and 2018,2019, on a managed basis. The Firm’s definition of managed basis starts with the
reported U.S. GAAP results and includes certain reclassifications to present total net revenue for the Firm (and each of the reportable business segments) on an FTE basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities. Refer to Note 3132 of JPMorgan Chase’s 20182019 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,Periodically, the assumptions and methodologies used into allocate capital allocation are assessed and as a result, the capital allocated to lines of businessthe LOBs may change. Refer to Line of business equity on page 9190 of JPMorgan Chase’s 20182019 Form 10-K for additional information on business segment capital allocation.
Business segment changes
In the first quarter of 2020, the Firm began reporting a Wholesale Payments business unit within CIB following a realignment of the Firm’s wholesale payments businesses. The Wholesale Payments business comprises:
•Merchant Services, which was realigned from CCB to CIB
•Treasury Services and Trade Finance in CIB. Trade Finance was previously reported in Lending in CIB.
In connection with the alignment of Wholesale Payments, the assets, liabilities and headcount associated with the Merchant Services business were realigned to CIB from CCB, and the revenue and expenses of the Merchant Services business are reported across CCB, CIB and CB based primarily on client relationships. Prior period amounts have been revised to reflect this realignment and revised allocation methodology.
Segment results and reconciliation(a)
As of or for the three months ended September 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
Corporate &
Investment Bank		Commercial BankingAsset & Wealth Management
20202019202020192020201920202019
Noninterest revenue$4,758$4,806$8,075$7,354$761$666$2,887$2,713
Net interest income7,9979,1523,4282,1681,5241,608850855
Total net revenue12,75513,95811,5039,5222,2852,2743,7373,568
Provision for credit losses7941,311(81)92(147)67(51)44
Noninterest expense6,7707,0255,7975,5049669402,6232,622
Income/(loss) before income tax expense/(benefit)5,1915,6225,7873,9261,4661,2671,165902
Income tax expense/(benefit)1,3181,3771,4831,095378324288234
Net income/(loss)$3,873$4,245$4,304$2,831$1,088$943$877$668
Average equity$52,000$52,000$80,000$80,000$22,000$22,000$10,500$10,500
Total assets480,325525,2231,089,2931,030,396228,587222,483194,596174,226
ROE29 %31 %21 %13 %19 %16 %32 %24 %
Overhead ratio53 50 50 58 42 41 70 73 
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 ManagementAs of or for the three months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total(b)
2019
2018
 2019
2018
 2019
2018
 2019
2018
202020192020201920202019
Noninterest revenue$5,095
$4,176
 $7,182
$6,505
 $599
$576
 $2,713
$2,680
Noninterest revenue$343$120$(690)$(596)$16,134$15,063
Net interest income9,164
9,114
 2,156
2,300
 1,608
1,695
 855
879
Net interest income(682)572(104)(127)13,01314,228
Total net revenue14,259
13,290
 9,338
8,805
 2,207
2,271
 3,568
3,559
Total net revenue(339)692(794)(723)29,14729,291
Provision for credit losses1,311
980
 92
(42) 67
(15) 44
23
Provision for credit losses960006111,514
Noninterest expense7,290
6,982
 5,348
5,175
 881
853
 2,622
2,585
Noninterest expense7192810016,87516,372
Income before income tax expense5,658
5,328
 3,898
3,672
 1,259
1,433
 902
951
Income tax expense1,385
1,242
 1,089
1,046
 322
344
 234
227
Net income$4,273
$4,086
 $2,809
$2,626
 $937
$1,089
 $668
$724
Income/(loss) before income tax expense/(benefit)Income/(loss) before income tax expense/(benefit)(1,154)411(794)(723)11,66111,405
Income tax expense/(benefit)Income tax expense/(benefit)(455)18(794)(723)2,2182,325
Net income/(loss)Net income/(loss)$(699)$393$0$0$9,443$9,080
Average equity$52,000
$51,000
 $80,000
$70,000
 $22,000
$20,000
 $10,500
$9,000
Average equity$72,297$71,113$0$0$236,797$235,613
Total assets532,487
560,432
 1,023,132
928,148
 222,483
217,194
 174,226
166,716
Total assets1,253,275812,333NANA3,246,0762,764,661
ROE32%31% 13%14% 16%21% 24%31%ROENMNMNMNM15 %15 %
Overhead ratio51
53
 57
59
 40
38
 73
73
Overhead ratioNMNMNMNM58 56 
(a)Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results.
(b)In the second quarter of 2020, the Firm reclassified certain spend-based credit card reward costs from marketing expense to be a reduction of card income, with no effect on net income. Prior-period amounts have been revised to conform with the current presentation.
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 income572
74
 (127)(154) 14,228
13,908
Total net revenue692
(103) (723)(562) 29,341
27,260
Provision for credit losses—
2
 —
—
 1,514
948
Noninterest expense281
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 assets812,333
742,693
 NA
NA
 2,764,661
2,615,183
ROENM
NM
 NM
NM
 15%14%
Overhead ratioNM
NM
 NM
NM
 56
57
187

(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.


Segment results and reconciliation(a)
As of or for the nine months ended September 30,
(in millions, except ratios)
Consumer &
Community Banking(b)
Corporate &
Investment Bank		Commercial BankingAsset & Wealth Management
20202019202020192020201920202019
Noninterest revenue$12,833$12,948$27,189$22,850$2,197$2,022$8,316$7,989
Net interest income25,25127,93710,6146,5374,6584,9502,6372,627
Total net revenue38,08440,88537,80329,3876,8556,97210,95310,616
Provision for credit losses12,3943,7453,3071793,29418626648
Noninterest expense20,49820,78418,45716,7942,8532,8097,7887,865
Income/(loss) before income tax expense/(benefit)5,19216,35616,03912,4147083,9772,8992,703
Income tax expense/(benefit)1,3044,0074,2833,377164972700655
Net income/(loss)$3,888$12,349$11,756$9,037$544$3,005$2,199$2,048
Average equity$52,000$52,000$80,000$80,000$22,000$22,000$10,500$10,500
Total assets480,325525,2231,089,2931,030,396228,587222,483194,596174,226
Return on equity9%31 %19 %14 %2 %17 %27 %25 %
Overhead ratio5451 49 57 42 40 71 74 

As of or for the nine months ended September 30,
(in millions, except ratios)		Corporate
Reconciling Items(a)
Total(b)
202020192020201920202019
Noninterest revenue$607$3$(2,128)$(1,777)$49,014$44,035
Net interest income(1,534)1,436(321)(408)41,30543,079
Total net revenue(927)1,439(2,449)(2,185)90,31987,114
Provision for credit losses10800019,3694,158
Noninterest expense1,0127240050,60848,976
Income/(loss) before income tax expense/(benefit)(2,047)715(2,449)(2,185)20,34233,980
Income tax expense/(benefit)(655)(757)(2,449)(2,185)3,3476,069
Net income/(loss)$(1,392)$1,472$0$0$16,995$27,911
Average equity$70,751$68,417$0$0$235,251$232,917
Total assets1,253,275812,333NANA3,246,0762,764,661
Return on equityNMNMNMNM9 %15 %
Overhead ratioNMNMNMNM56 56 

(a)Segment managed results reflect revenue on an FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results.

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





188
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 income27,975
26,321
 6,499
7,257
 4,950
4,995
 2,627
2,640
Total net revenue41,843
38,384
 28,827
29,211
 6,756
6,753
 10,616
10,637
Provision for credit losses3,745
3,405
 179
(142) 186
23
 48
40
Noninterest expense21,663
20,770
 16,288
16,237
 2,618
2,541
 7,865
7,732
Income before income tax expense16,435
14,209
 12,360
13,116
 3,952
4,189
 2,703
2,865
Income tax expense4,025
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 assets532,487
560,432
 1,023,132
928,148
 222,483
217,194
 174,226
166,716
Return on equity31%27% 14%18% 17%20% 25%32%
Overhead ratio52
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 income1,436
(35) (408)(473) 43,079
40,705
Total net revenue1,439
(255) (2,185)(1,810) 87,296
82,920
Provision for credit losses—
(3) —
—
 4,158
3,323
Noninterest expense724
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 assets812,333
742,693
 NA
NA
 2,764,661
2,615,183
Return on equityNM
NM
 NM
NM
 15%14%
Overhead ratioNM
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.


jpm-20200930_g3.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, 2019,2020, 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, 20192020 and 20182019 and the consolidated statements of cash flows for the nine-month periods ended September 30, 20192020 and 2018,2019, including the related notes (collectively referred to as the “interim financial statements”). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America.
We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheet of the Firm as of December 31, 2018,2019, 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, 2019,25, 2020, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated balance sheet information as of December 31, 2018,2019, is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived.

Basis for Review Results
These interim financial statements are the responsibility of the Firm’s management. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Firm in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
jpm-20200930_g4.jpg
November 4, 20192, 2020
























PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
189

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, 2020Three months ended September 30, 2019
Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)
Assets
Deposits with banks$509,979 $69 0.05 %$267,578 $898 1.33 %
Federal funds sold and securities purchased under resale agreements277,899 401 0.57 276,721 1,542 2.21 
Securities borrowed147,184 (128)(0.35)(h)139,939 434 

1.23 
Trading assets – debt instruments(a)
322,321 1,859 2.29 298,358 2,228 2.96 
Taxable securities515,007 1,816 1.40 308,619 2,132 2.74 
Nontaxable securities(b)
33,537 358 4.25 34,515 396 4.55 
Total investment securities548,544 2,174 1.58 (i)343,134 2,528 2.92 (i)
Loans(a)
991,241 10,246 4.11 984,248 13,014 5.25 
All other interest-earning assets(a)(c)
77,806 183 0.94 54,973 604 4.36 
Total interest-earning assets2,874,974 14,804 2.05 2,364,951 21,248 3.56 
Allowance for loan losses(31,574)(13,142)
Cash and due from banks21,404 20,375 
Trading assets – equity and other instruments119,905 113,980 
Trading assets – derivative receivables81,300 57,062 
Goodwill, MSRs and other intangible Assets51,547 53,125 
All other noninterest-earning assets(a)
172,601 168,701 
Total assets$3,290,157 $2,765,052 
Liabilities
Interest-bearing deposits$1,434,034 $245 0.07 %$1,123,452 $2,409 0.85 %
Federal funds purchased and securities loaned or sold under repurchase agreements253,779 105 0.17 239,698 1,241 2.05 
Short-term borrowings(d)
36,697 60 0.65 44,814 261 2.31 
Trading liabilities – debt and all other interest-bearing
liabilities(e)(f)
206,643 (51)(0.10)(h)183,369 660 1.43 
Beneficial interests issued by consolidated VIEs19,838 35 0.71 21,123 134 2.53 
Long-term debt267,175 1,293 1.93 248,985 2,188 3.49 
Total interest-bearing liabilities2,218,166 1,687 0.30 1,861,441 6,893 1.47 
Noninterest-bearing deposits551,565 407,428 
Trading liabilities – equity and other instruments(f)
32,256 31,310 
Trading liabilities – derivative payables64,599 45,987 
All other liabilities, including the allowance for lending-related commitments156,711 155,032 
Total liabilities3,023,297 2,501,198 
Stockholders’ equity
Preferred stock30,063 28,241 
Common stockholders’ equity236,797 235,613 
Total stockholders’ equity266,860 263,854 
Total liabilities and stockholders’ equity$3,290,157 $2,765,052 
Interest rate spread1.75 %2.09 %
Net interest income and net yield on interest-earning assets$13,117 1.82 $14,355 2.41 
(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)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)All other interest-bearing liabilities include prime brokerage-related customer payables.
(f)The combined balance of trading liabilities – debt and equity instruments was $105.0 billion and $102.3 billion for the three months ended September 30, 2020 and 2019, respectively.
(g)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)Negative interest income and yield are related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other interest-bearing liabilities.
(i)The annualized rate for securities based on amortized cost was 1.61% and 2.97% for the three months ended September 30, 2020 and 2019, respectively, and does not give effect to changes in fair value that are reflected in AOCI.
190

JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)Consolidated average balance sheets, interest and rates (unaudited)Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)(Taxable-equivalent interest and rates; in millions, except rates)(Taxable-equivalent interest and rates; in millions, except rates)
   
Three months ended September 30, 2019 Three months ended September 30, 2018 Nine months ended September 30, 2020Nine months ended September 30, 2019
Average
balance
Interest(g)
 Rate
(annualized)		 Average
balance
Interest(g)
 Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)		Average
balance
Interest(g)
Rate
(annualized)
Assets      Assets
Deposits with banks$267,578
$898
 1.33% $408,595
$1,585
 1.54 Deposits with banks$422,860 $708 0.22 %$282,483 $3,200 1.51 %
Federal funds sold and securities purchased under resale agreements276,721
1,542
 2.21
 208,439
952
 1.81 Federal funds sold and securities purchased under resale agreements258,607 2,097 1.08 284,616 4,865 2.29 
Securities borrowed(a)
139,939
434
 1.23
 117,057
248

0.84 
Securities borrowedSecurities borrowed141,567 (151)(0.14)(h)129,915 1,298 1.34 
Trading assets – debt instruments(a)
339,198
2,671
 3.12
 241,074
2,170
 3.57 
Trading assets – debt instruments(a)
324,061 6,008 2.48 299,834 7,160 3.19 
Taxable securities308,619
2,132
 2.74
 187,942
1,402
 2.96 Taxable securities456,733 6,203 1.81 258,406 5,712 2.96 
Nontaxable securities(b)
34,515
396
 4.55
 42,045
490
 4.62 
Nontaxable securities(b)
33,589 1,096 4.36 36,490 1,271 4.66 
Total investment securities343,134
2,528
 2.92
(h) 
 229,987
1,892
 3.26
(h) 
Total investment securities490,322 7,299 1.99 (i)294,896 6,983 3.17 (i)
Loans947,280
12,623
 5.29
 951,724
12,250
 5.11 
Loans(a)
Loans(a)
1,007,360 33,507 4.44 990,731 39,390 5.32 
All other interest-earning assets(a)(c)
51,304
552
 4.27
 46,429
496
 4.23 
All other interest-earning assets(a)(c)
75,859 826 1.46 51,931 1,625 4.18 
Total interest-earning assets(a)
2,365,154
21,248
 3.56
 2,203,305
19,593
 3.53 
Total interest-earning assetsTotal interest-earning assets2,720,636 50,294 2.47 2,334,406 64,521 3.70 
Allowance for loan losses(13,142)    (13,207)  Allowance for loan losses(24,100)(13,366)
Cash and due from banks20,375
    21,101
  Cash and due from banks21,745 20,824 
Trading assets – equity and other instruments(a)
113,980
    119,915
  
Trading assets – equity and other instrumentsTrading assets – equity and other instruments111,198 114,394 
Trading assets – derivative receivables57,062
    62,075
  Trading assets – derivative receivables75,656 54,098 
Goodwill, MSRs and other intangible assets
53,125
    54,652
  
All other noninterest-earning assets168,498
    151,780
  
Goodwill, MSRs and other intangible AssetsGoodwill, MSRs and other intangible Assets52,006 53,853 
All other noninterest-earning assets(a)
All other noninterest-earning assets(a)
179,972 165,692 
Total assets$2,765,052
    $2,599,621
  Total assets$3,137,113 $2,729,901 
Liabilities      Liabilities
Interest-bearing deposits(a)
$1,123,452
$2,409
 0.85% $1,041,896
$1,621
 0.62 
Interest-bearing depositsInterest-bearing deposits$1,342,270 $2,169 0.22 %$1,102,751 $7,010 0.85 %
Federal funds purchased and securities loaned or sold under repurchase agreements239,698
1,241
 2.05
 184,377
827
 1.78 Federal funds purchased and securities loaned or sold under repurchase agreements258,156 1,023 0.53 225,471 3,577 2.12 
Short-term borrowings(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 
Short-term borrowings(d)
Short-term borrowings(d)
39,749 335 1.13 56,635 1,051 2.48 
Trading liabilities – debt and all other interest-bearing liabilities(e)(f)
Trading liabilities – debt and all other interest-bearing liabilities(e)(f)
202,322 278 0.18 (h)186,167 2,141 1.54 
Beneficial interests issued by consolidated VIEs21,123
134
 2.53
 19,921
122
 2.41 Beneficial interests issued by consolidated VIEs19,407 184 1.27 23,549 459 2.61 
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
  
Long-term debtLong-term debt260,194 4,679 2.40 247,782 6,796 3.67 
Total interest-bearing liabilitiesTotal interest-bearing liabilities2,122,098 8,668 0.55 1,842,355 21,034 1.53 
Noninterest-bearing depositsNoninterest-bearing deposits495,704 405,075 
Trading liabilities – equity and other instruments(f)
Trading liabilities – equity and other instruments(f)
32,258 32,059 
Trading liabilities – derivative payables45,987
    44,810
  Trading liabilities – derivative payables60,936 41,952 
All other liabilities, including the allowance for lending-related commitments(a)
155,032
    132,903
  
All other liabilities, including the allowance for lending-related commitmentsAll other liabilities, including the allowance for lending-related commitments161,022 148,086 
Total liabilities2,501,198
    2,342,930
  Total liabilities2,872,018 2,469,527 
Stockholders’ equity      Stockholders’ equity
Preferred stock28,241
    26,252
  Preferred stock29,844 27,457 
Common stockholders’ equity235,613
    230,439
  Common stockholders’ equity235,251 232,917 
Total stockholders’ equity263,854
    256,691
  Total stockholders’ equity265,095 260,374 
Total liabilities and stockholders’ equity$2,765,052
    $2,599,621
  Total liabilities and stockholders’ equity$3,137,113 $2,729,901 
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 
Interest rate spreadInterest rate spread1.92 %2.17 %
Net interest income and net yield on interest-earning assetsNet interest income and net yield on interest-earning assets$41,626 2.04 $43,487 2.49 
(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.

(a)In the third quarter of 2020, the Firm reclassified certain fair value option elected lending-related positions from trading assets to loans and other assets. Prior-period amounts have been revised to conform with the current presentation.
(b)Represents securities which are tax-exempt for U.S. federal income tax purposes.
(c)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 $105.0 billion and $106.8 billion for the nine months ended September 30, 2020 and 2019, respectively.
(g)Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable.
(h)Negative interest income and yield are related to the impact of current interest rates combined with the fees paid on client-driven securities borrowed balances. The negative interest expense related to prime brokerage customer payables is recognized in interest expense and reported within trading liabilities - debt and all other liabilities.
(i)The annualized rate for securities based on amortized cost was 2.03% and 3.20% and for the nine months ended September 30, 2020 and 2019, respectively, and does not give effect to changes in fair value that are reflected in AOCI.
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JPMorgan Chase & Co.
Consolidated average balance sheets, interest and rates (unaudited)
(Taxable-equivalent interest and rates; in millions, except rates)
    
 Nine months ended September 30, 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 agreements284,616
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 securities258,406
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 securities294,896
6,983
 3.17
(h) 
 233,881
5,592
 3.20
(h) 
Loans956,641
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 banks20,824
     21,771
    
Trading assets – equity and other instruments(a)
114,394
     124,048
    
Trading assets – derivative receivables54,098
     61,188
    
Goodwill, MSRs and other intangible assets
53,853
     54,656
    
All other noninterest-earning assets165,475
     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 agreements225,471
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 VIEs23,549
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 payables41,952
     42,919
    
All other liabilities, including the allowance for lending-related commitments(a)
148,086
     130,755
    
Total liabilities2,469,527
     2,344,469
    
Stockholders’ equity           
Preferred stock27,457
     26,130
    
Common stockholders’ equity232,917
     228,995
    
Total stockholders’ equity260,374
     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.


GLOSSARY OF TERMS AND ACRONYMS
20182019 Form 10-K: Annual report on Form 10-K for year ended December 31, 2018,2019, filed with the U.S. Securities and Exchange Commission.
ABS: Asset-backed securities
Active foreclosures: Loans referred to foreclosure where formal foreclosure proceedings are ongoing. Includes both judicial and non-judicial states.
AFS: Available-for-sale
Allowance for loan losses to total retained loans: represents period-end allowance for loan losses divided by retained loans.
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income/(loss)
ARM(s): Adjustable rate mortgage(s)
AUC: “Assets under custody”: Represents assets held directly or indirectly on behalf of clients under safekeeping, custody and servicing arrangements.
Auto loan and lease origination volume: Dollar amount of auto loans and leases originated.
AWM: Asset & Wealth Management
Beneficial interests issued by consolidated VIEs: represents the interest of third-party holders of debt, equity securities, or other obligations, issued by VIEs that JPMorgan Chase consolidates.
Benefit obligation: refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
Bridge Financing Portfolio: A portfolio of held-for-sale unfunded loan commitments and funded loans. The unfunded commitments include both short-term bridge loan commitments that will ultimately be replaced by longer term financing as well as term loan commitments. The funded loans include term loans and funded revolver facilities.
CB: Commercial Banking
CBB: Consumer & Business Banking
CCAR: Comprehensive Capital Analysis and Review
CCB: Consumer & Community Banking
CDS: Credit default swaps
CECL: Current Expected Credit Losses
CEO: Chief Executive Officer
CET1 Capital:capital: Common equity Tier 1 Capitalcapital
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 assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
Client deposits and other third-party liabilities: Deposits, as well as deposits that are swept to on-balance sheet liabilities (e.g., commercial paper, federal funds purchased and securities loaned or sold under repurchase agreements) as part of client cash management programs.
CLTV: Combined loan-to-value
Collateral-dependent: A loan is considered to be collateral-dependent when repayment of the loan is expected to be provided solely bysubstantially through the underlying operation or sale of thecollateral rather than by cash flows fromwhen the borrower’s operations, income or other resources.borrower is experiencing financial difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial Card: provides a wide range of payment services to corporate and public sector clients worldwide through the commercial card products. Services include procurement, corporate travel and entertainment, expense
management services, and business-to-business payment solutions.
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
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the cash flows or the value of the instrument in a manner similar to a derivative. An instrument containing such terms or features is referred to as a “hybrid.” The component of the hybrid that is the non-derivative instrument is referred to as the “host.” For example, callable debt is a hybrid instrument that contains a plain vanilla debt instrument (i.e., the host) and an embedded option that allows the issuer to redeem the debt issue at a specified date for a specified amount (i.e., the embedded derivative). However, a floating rate instrument is not a hybrid composed of a fixed-rate instrument and an interest rate swap.
ERISA: Employee Retirement Income Security Act of 1974
EPS: Earnings per share
Exchange-traded derivatives: Derivative contracts that are executed on an exchange and settled via a central clearing house.
Expense categories:
•Volume- and revenue-related expenses generally correlate with changes in the related business/transaction volume or revenue. Examples of volume- and revenue-related expenses include commissions and incentive compensation, depreciation expense related to operating lease assets, and brokerage expense related to equities trading transaction volume.
•Investments include expenses associated with supporting medium- to longer-term strategic plans of the Firm. Examples of investments include initiatives in technology (including related compensation), marketing, and compensation for new bankers and client advisors.
•Structural expenses are those associated with the day-to-day cost of running the bank and are expenses not covered by the above two categories. Examples of structural expenses include employee salaries and benefits, as well as noncompensation costs such as real estate and all other expenses.
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board

FCA: Financial Conduct Authority
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO score: A measure of consumer credit risk based on information in consumer credit reports produced by Fair Isaac Corporation. Because certain aged data is excluded from credit reports based on rules in the Fair Credit Reporting Act, FICO scores may not reflect all historical information about a consumer.
Firm: JPMorgan Chase & Co.
Follow-on offering: An issuance of shares following a company's IPO.
Forward points: represents the interest rate differential between two currencies, which is either added to or subtracted from the current exchange rate (i.e., “spot rate”) to determine the forward exchange rate.
FRBB: Federal Reserve Bank of Boston
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
Free-standing derivatives: is a derivative contract entered into either separate and apart from any of the Firm’s other financial instruments or equity transactions. Or, in conjunction with some other transaction and is legally detachable and separately exercisable.
FTE: Fully taxable-equivalent
FVA: Funding valuation adjustment
FX: Foreign exchange
G7: “Group of Seven nations”: Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
G7 government securities: Securities issued by the government of one of the G7 nations.
Ginnie Mae: Government National Mortgage Association
GSIB: Global systemically important banks
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
IBOR: Interbank Offered Rate
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
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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

and facilitates a comparison of the business segment with the performance of competitors.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Merchant Services: offers merchants payment processing capabilities, fraud and risk management, data and analytics, and other payments services. Through Merchant Services, merchants of all sizes can accept payments via credit and debit cards and payments in multiple currencies.
MEV: Macroeconomic variable
MBS: Mortgage-backed securities
MD&A: Management’s discussion and analysis
MMLF: Money Market Mutual Fund Liquidity Facility
MMMF: Money market mutual funds
Moody’s: Moody’s Investor Services
Mortgage product types:
Alt-A
Alt-A loans are generally higher in credit quality than subprime loans but have characteristics that would disqualify the borrower from a traditional prime loan. Alt-A lending characteristics may include one or more of the following: (i) limited documentation; (ii) a high CLTV ratio; (iii) loans secured by non-owner occupied properties; or (iv) a debt-to-income ratio above normal limits. A substantial proportion of the Firm’s Alt-A loans are those where a borrower does not provide complete documentation of his or her assets or the amount or source of his or her income.
Option ARMs
The option ARM real estate loan product is an adjustable-rate mortgage loan that provides the borrower with the option each month to make a fully amortizing, interest-only or minimum payment. The minimum payment on an option ARM loan is based on the interest rate charged during the introductory period. This introductory rate is usually significantly below the fully indexed rate. The fully indexed rate is calculated using an index rate plus a margin. Once the introductory period ends, the contractual interest rate charged on the loan increases to the fully indexed rate and adjusts monthly to reflect movements in the index. The minimum payment is typically insufficient to cover interest accrued in the prior month, and any unpaid interest is deferred and added to the principal balance of the loan. Option ARM loans are subject to payment recast, which converts the loan to a variable-rate fully amortizing loan upon meeting specified loan balance and anniversary date triggers.
Prime
Prime mortgage loans are made to borrowers with good credit records who meet specific underwriting requirements, including prescriptive requirements related to income and overall debt levels. New prime mortgage borrowers provide full documentation and generally have reliable payment histories.
Subprime
Subprime loans are loans that, prior to mid-2008, were offered to certain customers with one or more high risk
characteristics, including but not limited to: (i) unreliable or poor payment histories; (ii) a high LTV ratio of greater than 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the loan is other than the borrower’s primary residence; or (v) a history of delinquencies or late payments on the loan.
MSA: Metropolitan statistical areas
MSR: Mortgage servicing rights
NA: Data is not applicable or available for the period presented.
NAV: Net Asset Value
Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net charge-off/(recovery) rate: represents net charge-offs/(recoveries) (annualized) divided by average retained loans for the reporting period.
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Net interchange income includes the following components:
•Interchange income: Fees earned by credit and debit card issuers on sales transactions.
•
Interchange income: Fees
•Rewards costs: The cost to the Firm for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
•Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit 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

Overhead ratio: Noninterest expense as a percentage of total net revenue.
Parent Company: JPMorgan Chase & Co.
Participating securities: represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. JPMorgan Chase grants restricted stock and RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive nonforfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method, all earnings (distributed and
undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PCD: “Purchased credit deteriorated” assets represent acquired financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Firm.
PCI: “Purchased credit-impaired” loans representsrepresented certain loans that were acquired and deemed to be credit-impaired on the acquisition date in accordance with thedate. The superseded FASB guidance of the FASB. The guidance allowsallowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans havehad common risk characteristics (e.g., product type, LTV ratios, FICO scores, past due status, geographic location). A pool iswas then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows.
PD: Probability of default
PDCF: Primary Dealer Credit Facility
Phishing: a type of social engineering cyberattack received through email or online messages.
PPP: Paycheck Protection Program
PRA: Prudential Regulation Authority
Pre-provision profit/(loss): represents total net revenue less noninterest expense. The Firm believes that this financial measure is useful in assessing the ability of a lending institution to generate income in excess of its provision for credit losses.
Principal transactions revenue: Principal transactions revenue is driven by many factors, including the bid-offer spread, which is the difference between the price at which the Firm is willing to buy a financial or other instrument and the price at which the Firm is willing to sell that instrument. It also consists of realized (as a result of closing out or termination of transactions, or interim cash payments) and unrealized (as a result of changes in valuation) gains and losses on financial and other instruments (including those accounted for under the fair value option) primarily used in client-driven market-making activities and on private equity investments. In connection with its client-driven market-making activities, the Firm transacts in debt and equity instruments, derivatives and commodities (including physical commodities inventories and financial instruments that reference commodities). Principal transactions revenue also includes certain realized and unrealized gains and losses related to hedge accounting and specified risk-management activities, including: (a) certain derivatives designated in qualifying hedge accounting relationships (primarily fair value hedges of commodity and foreign exchange risk), (b) certain derivatives used for specific risk management purposes, primarily to mitigate credit risk and foreign exchange risk, and (c) other derivatives.
PSU(s): Performance share units
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
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Reported basis: Financial statements prepared under U.S. GAAP, which excludes the impact of taxable-equivalent adjustments.
Retained loans: Loans that are held-for-investment (i.e. excludes loans held-for-sale and loans at fair value).
Revenue wallet: Total fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications. Source: Dealogic, a third-party provider of investment banking competitive analysis and volume based league tables for the above noted industry products.
RHS: Rural Housing Service of the U.S. Department of Agriculture
ROE: Return on equity
ROTCE: Return on tangible common equity
ROU assets: Right-of-use assets
RSU(s): Restricted stock units
RWA: “Risk-weighted assets”: Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach) which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced.
Scored portfolio:portfolios: The scored portfolioConsumer loan portfolios that predominantly includesinclude residential real estate loans, credit card loans, auto loans to individuals and certain auto andsmall 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.loans.
S&P: Standard and Poors
SAR(s): Stock appreciation rights
SCB:Stress capital buffer
SEC: U.S. Securities and Exchange Commission
Seed capital: Initial JPMorgan capital invested in products,

such as mutual funds, with the intention of ensuring the fund is of sufficient size to represent a viable offering to clients, enabling pricing of its shares, and allowing the manager to develop a track record. After these goals are achieved, the intent is to remove the Firm’s capital from the investment.
Shelf Deals: Shelf offerings are SEC provisions that allow issuers to register for new securities without selling the entire issuance at once. Since these issuances are filed with the SEC but are not yet priced in the market, they are not included in the league tables until the actual securities are issued.
Single-name: Single reference-entities
SLR: Supplementary leverage ratio
SMBS: Stripped mortgage-backed securities
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
SPV: Special purpose vehicle
Structural interest rate risk: represents interest rate risk of the non-trading assets and liabilities of the Firm.
Structured notes: Structured notes are financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest, or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Suspended foreclosures: Loans referred to foreclosure where formal foreclosure proceedings have started but are currently on hold, which could be due to bankruptcy or loss mitigation. Includes both judicial and non-judicial states.
Taxable-equivalent basis: In presenting managed results, the total net revenue for each of the business segments and the Firm is presented on a tax-equivalent basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities; the corresponding income tax impact related to tax-exempt items is recorded within income tax expense.
TBVPS: Tangible book value per share
TCE: Tangible common equity
TDR: “Troubled debt restructuring” is deemed to occur when the Firm modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total Loss Absorbing Capacity
U.K.: United Kingdom
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
U.S.: United States of America
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac which are U.S. government-sponsored enterprises (“U.S. GSEs”). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. GAAP: Accounting principles generally accepted in the United States of America.
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U.S. GSE(s): “U.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.loans.
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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: representsRepresents 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,provided; changes in the fair value of
MSRs, MSRs; the impact of risk management activities
associated with MSRsMSRs; and gains and losses on securitization of excess mortgage servicing. Net mortgage servicing revenue also includes gains and losses on sales and lower of cost or fair value adjustments of certain repurchased loans insured by U.S. government agencies.
Net production revenue: Includes fees and income
recognized as earned on mortgage loans originated with the
intent to sell;sell, and 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. loans. Net production revenue
also includes gains and losses on sales and lower of cost or fair value adjustments on mortgage loans held-for-sale (excluding certain repurchased loans insured by U.S. government agencies) held-for-sale, and changes in the fair value on mortgage loans originated with the intent to sell andof financial instruments 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 Credit 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.LOBs.
Wholesale Payments includes the following:
•Treasury Services: offers a broad range of products and services that enable clients to manage payments and receipts, as well as invest and manage funds. Products include U.S. dollar and multi-currency clearing, ACH,automated clearing house, lockbox, disbursement and reconciliation services, check deposits, and currency-related services.services;
•Merchant Services: primarily processes transactions for merchants; and
•Trade Finance: which includes loans tied directly to goods crossing borders, export/import loans, commercial letters of credit, standby letters of credit, and supply chain finance.
Lending: includes net interest income, fees, gains or losses on loan sale activity, gains or losses on securities received as part of a loan restructuring, and the risk management results related to the credit portfolio. 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.
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COMMERCIAL BANKING (“CB”)
Commercial Banking provides comprehensive financial solutions, including lending, treasury services,wholesale payments, investment banking and asset management products across three primary client segments: Middle Market Banking, Corporate Client Banking and Commercial Real Estate Banking. Other includes amounts not aligned with a primary client segment.
Middle Market Banking: covers small business and midsized corporations,companies, local governments and nonprofit clients.
Corporate Client Banking: covers large corporations.
Commercial Real Estate Banking: covers investors, developers, and owners of multifamily, office, retail, industrial and affordable housing properties.
CB product revenue comprises the following:
Lending: includes a variety of financing alternatives, which are primarily provided on a secured basis; collateral includes receivables, inventory, equipment, real estate or other assets. Products include term loans, revolving lines of credit, bridge financing, asset-based structures, leases, and standby letters of credit.
Treasury services:Wholesale payments: includes revenue from a broad range of products and services that enable CB clients to manage payments and receipts, as well as invest and manage funds.
Investment banking: includes revenue from a range of products providing CB clients with sophisticated capital-raising alternatives, as well as balance sheet and risk management tools through advisory, equity underwriting, and loan syndications. Revenue from fixed income and equity market products used by CB clients is also included.
Other: product revenue primarily includes tax-equivalent adjustments generated from Community Development Banking activity and certain income derived from principal transactions.
ASSET & WEALTH MANAGEMENT (“AWM”)
Assets under management (“AUM”): represent assets managed by AWM on behalf of its Private Banking, Institutional and Retail clients.
Client assets: represent assets under management, as well as custody, brokerage, administration and deposit accounts.
Multi-asset: Any fund or account that allocates assets under management to more than one asset class.
Alternative assets: The following types of assets constitute alternative investments – hedge funds, currency, real estate, private equity and other investment funds designed to focus on nontraditional strategies.
AWM’s lines of business consist of the following:
Asset Management: provides comprehensive global investment services - including asset management, pension analytics, asset-liability management and active risk-budgeting strategies.
Wealth Management: offers investment advice and wealth management, including investment management, capital markets and risk management, tax and estate planning, banking, lending and specialty-wealth advisory services.
AWM’s client segments consist of the following:
Private Banking: clients include high- and ultra-high-net-worth individuals, families, money managers, business owners and small corporations worldwide.
Institutional: clients include both corporate and public institutions, endowments, foundations, nonprofit organizations and governments worldwide.
Retail: clients include financial intermediaries and individual investors.
Asset Management has two high-level measures of its overall fund performance:
Percentage of mutual fund assets under management in funds rated 4- or 5-star: Mutual fund rating services rank funds based on their risk-adjusted performance over various periods. A 5-star rating is the best rating and represents the top 10% of industry-wide ranked funds.
A 4-star rating represents the next 22.5% of industry-wide ranked funds. A 3-star rating represents the next 35% of industry-wide ranked funds. A 2-star rating represents the next 22.5% of industry-wide ranked funds. A 1-star rating is the worst rating and represents the bottom 10% of industry-wide ranked funds. The “overall Morningstar rating” is derived from a weighted average of the performance associated with a fund’s three-, five- and ten-year (if applicable) Morningstar Rating metrics. For U.S. domiciled funds, separate star ratings are given at the individual share class level. The Nomura “star rating” is based on three-year risk-adjusted performance only. Funds with fewer than three years of history are not rated and

hence excluded from this analysis. All ratings, the assigned peer categories and the asset values used to derive this
199

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.

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Item 3.    Quantitative and Qualitative Disclosures About Market Risk.
Refer to the Market Risk Management section of Management’s discussion and analysis and pages 124–131119–126 of JPMorgan Chase’s 20182019 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 issuedCertifications furnished by the Chairman and Chief Executive Officer and Chief Financial Officer.Officer, respectively.
The Firm is committed to maintaining high standards of internal control over financial reporting. Nevertheless, because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. In addition, in a firm as large and complex as JPMorgan Chase, lapses or deficiencies in internal controls domay 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 controlscontrol in the future.future and collateral consequences therefrom. Refer to “Management’s report on internal control over financial reporting” on page 148142 of JPMorgan Chase’s 20182019 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, 2019,2020, that has materially affected, or is reasonably likely to materially affect, the Firm’s internal control over financial reporting.


Part II – Other Information
Item 1. Legal Proceedings.
Refer to the discussion of the Firm’s material legal proceedings in Note 2425 of this Form 10-Q for information that updates the disclosures set forth under Part I, Item 3: Legal Proceedings, in JPMorgan Chase’s 20182019 Form 10-K.
Item 1A. Risk Factors.
Refer toThe following discussion supplements the discussion of risk
factors affecting the Firm as set forth in Part I, Item 1A:
Risk Factors on pages 7–6–28 of JPMorgan Chase’s 20182019 Form 10-K and Forward-Looking Statements on page 79 of this Form 10-Q for a10-K. The discussion of certain risk factors, affectingas so supplemented, sets forth the material risk factors that could affect JPMorgan Chase’s financial condition and operations. Readers should not consider any descriptions of such factors to be a complete set of all potential risks that could affect the Firm.
The COVID-19 pandemic has caused and is causing significant harm to the global economy and our businesses.
On March 11, 2020, the World Health Organization declared the outbreak of a strain of novel coronavirus disease, COVID-19, a global pandemic. The COVID-19 pandemic and governmental responses to the pandemic have had, and continue to have, a severe impact on global economic conditions, including:
•significant disruption and volatility in the financial markets
•disruption of global supply chains
•closures of many businesses, leading to loss of revenues and increased unemployment, and
•the institution of social distancing and sheltering-in-place requirements in the U.S. and other countries.
If the pandemic is prolonged, or other diseases emerge that give rise to similar effects, the adverse impact on the global economy could deepen.
The continuation of the adverse economic conditions caused by the pandemic can be expected to have a significant adverse effect on JPMorgan Chase’s businesses and results of operations, including:
•significantly reduced demand for products and services from JPMorgan Chase’s clients and customers
•possible recognition of credit losses and increases in the allowance for credit losses, especially if businesses remain closed, unemployment continues to rise and clients and customers draw on their lines of credit
•possible material impacts on the value of securities, derivatives and other financial instruments which JPMorgan Chase owns or in which it makes markets due to market fluctuations
•possible downgrades in JPMorgan Chase’s credit ratings
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•possible constraints on liquidity and capital, whether due to increases in risk-weighted assets related to supporting client activities or to regulatory actions, and
•the possibility that significant portions of JPMorgan Chase’s workforce are unable to work effectively, including because of illness, quarantines, sheltering-in-place arrangements, government actions or other restrictions in connection with the pandemic.
The extent to which the COVID-19 pandemic negatively affects JPMorgan Chase’s businesses, results of operations and financial condition, as well as its regulatory capital and liquidity ratios, will depend on future developments that are highly uncertain and cannot be predicted, including the scope and duration of the pandemic and actions taken by governmental authorities and other third parties in response to the pandemic. Those negative effects, including the recognition of charge-offs, may be delayed because of the impact of prior and potential future government stimulus actions or payment assistance provided to clients and customers. In addition, JPMorgan Chase’s participation directly or on behalf of customers and clients in U.S. government programs designed to support individuals, households and businesses impacted by the economic disruptions caused by the COVID-19 pandemic could be
criticized and subject JPMorgan Chase to increased governmental and regulatory scrutiny, negative publicity or increased exposure to litigation, which could increase its operational, legal and compliance costs and damage its reputation. To the extent the COVID-19 pandemic adversely affects JPMorgan Chase’s business, results of operations and financial condition, it may also have the effect of heightening many of the other risks described in Risk Factors in the 2019 Form 10-K.
Supervision and regulation
Refer to the Supervision and regulation section on pages 1–6 of JPMorgan Chase’s 20182019 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, 2019.2020.
Repurchases under the common equity repurchase program
Refer to Capital Risk Management on pages 45–4949-54 of this Form 10-Q and pages 85-9485-92 of JPMorgan Chase’s 20182019 Form 10-K for information regarding repurchases under the Firm’s common equity repurchase program.

Shares repurchased, on a settlement-date basis, pursuantOn March 15, 2020, in response to the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common equityequity. In June 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to discontinue net share repurchases, at least through the end of the third quarter of 2020. As such, there were no shares repurchased during the second and third quarters of 2020. On September 30, 2020, the Federal Reserve directed all large bank holding companies, including the Firm, to extend the discontinuation of net share repurchases through the end of the fourth quarter of 2020. Through the date of the filing of this Form 10-Q, the Firm has not authorized a stock repurchase program duringas part of its annual capital plan.
Nine months ended September 30, 2020Total shares of common stock repurchased
Average price paid per share of common stock(a)
Aggregate repurchases
of common equity
 (in millions)(a)
Dollar value of remaining authorized repurchase
(in millions)(a)
First quarter50,003,062 127.92 6,397 9,183 (b)
Second quarter— — — 9,183 (b)
July— — — — 
August— — — — 
September— — — — 
Third quarter— — — — 
Year-to-date50,003,062 127.92 6,397 — 
(a)Excludes commissions cost.
(b)The remaining $9.2 billion unused portion under the nine months ended Septemberprior $29.4 billion repurchase program expired on June 30, 2019, were as follows.2020.
Nine months ended September 30, 2019Total 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 quarter49,534,646
 $102.78
 $5,091
 $5,290
 
Second quarter47,434,255
 109.83
 5,210
 80
(b) 
July16,285,176
 114.39
 1,863
 27,537
 
August29,005,310
 108.78
 3,155
 24,382
 
September16,720,914
 115.53
 1,931
 22,451
(c) 
Third quarter62,011,400
 112.07
 6,949
 22,451
(c) 
Year-to-date158,980,301
 $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.


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Item 6.    Exhibits.
Exhibit No.Description of Exhibit
Exhibit No.15Description of Exhibit
10.1
15
Letter re: Unaudited Interim Financial Information. (a)
31.1
31.2
32
101.INS
The instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document.(c)
101.SCH
XBRL Taxonomy Extension Schema Document.(a)
101.CAL
XBRL Taxonomy Extension Calculation Linkbase Document.(a)
101.DEF
XBRL Taxonomy Extension Definition Linkbase Document.(a)
101.LAB
XBRL Taxonomy Extension Label Linkbase Document.(a)
101.PRE
XBRL Taxonomy Extension Presentation Linkbase Document.(a)
104Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101).
(a)Filed herewith.
(b)Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
(c)Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 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).
(a)Filed herewith.
(b)Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.
(c)Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2020, 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, 2020 and 2019, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and nine months ended September 30, 2020 and 2019, (iii) the Consolidated balance sheets (unaudited) as of September 30, 2020, and December 31, 2019, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the three and nine months ended September 30, 2020 and 2019, (v) the Consolidated statements of cash flows (unaudited) for the three and nine months ended September 30, 2020 and 2019, and (vi) the Notes to Consolidated Financial Statements (unaudited).
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SIGNATURE



Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
JPMorgan Chase & Co.
(Registrant)


By:/s/ Nicole Giles
Nicole Giles
Managing Director and Firmwide Controller
(Principal Accounting Officer)


Date:November 4, 20192, 2020





204

INDEX TO EXHIBITS



Exhibit No.Description of Exhibit
Exhibit No.15Description of Exhibit
10.1
15
Letter re: Unaudited Interim Financial Information.
31.1
31.2
32
101.INSThe instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document.
101.SCHXBRL Taxonomy Extension Schema Document.
101.CALXBRL Taxonomy Extension Calculation Linkbase Document.
101.DEFXBRL Taxonomy Extension Definition Linkbase Document.
101.LABXBRL Taxonomy Extension Label Linkbase Document.
101.PREXBRL Taxonomy Extension Presentation Linkbase Document.
104Cover Page Interactive Data File (embedded within the Inline XBRL document and included in Exhibit 101).
†This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.



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