業務及び財産の状況に関する説明書

令和 5 年 12 月期

JP モルガン・チェース銀行
東 京 支 店

この説明書は、銀行法第21条および銀行法施行規則第19条の2 （業務および財産の状況に関する説明書類の縦覧等）に基づき、当行在日支店ならびに当行の業務および財産の状況に関し作成したものです。

目

次

頁

1. 外国銀行在日支店に係る事項
１） JP モルガン・チェース銀行東京支店の概況 ···································
イ． 代表者 ··············································································
ロ． ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーションの大株主·····························
ハ． 営業所の名称及び所在地 ························································

1
1２） 直近の事業年度における事業の概況 ··············································（1）東京支店の事業内容について ················································（2）令和 5 年 12 月期の事業の概況 ··············································

11
1３） 直近の 2 事業年度における貸借対照表及び損益計算書
４） 確認書2. 外国銀行に係る事項
１） 業務及び財産の状況に関する事項（原文（英語））２） 業務及び財産の状況に関する事項（日本語訳抜粋）
３） 連結損益計算書及び連結貸借対照表·····················

1
1

2～3
4

1. 外国銀行在日支店に係る事項
１）JP モルガン・チェース銀行東京支店の概況
イ．代表者

李家

輝：

日本における代表者(兼)東京支店長

ロ．ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーションの大株主
氏名又は名称
保有株式数
発行株式総数に対する保有株の割合（％）
１

ジェー・ピー・モルガン・チェース・アンド・カンパニー

168,971 千株

100％
以上

ハ．営業所の名称及び所在地
JP モルガン・チェース銀行 東京支店
東京都千代田区丸の内２丁目７番３号 東京ビルディング

２） 直近の事業年度における事業の概況（１） 東京支店の事業内容について
JP モルガン・チェース・グループにおけるコーポレート・アンド・インベストメント・バンク部門のホー
ルセール事業の日本における拠点として、日本の事業会社及び金融機関に対し、グループの持つグローバル
機能を生かし、主として外国為替、デリバティブ、与信業務、財務サービス等を提供しています。

（２） 令和 5 年 12 月期の事業の概況
当期の経常損益は 58.6 億円の利益となりました。主に、資金の運用・調達に関する収支を 58.8 億円、役務取引等収支を 42.7 億円、その他業務に関する収支を 59.0 億円、その他経常収支を 24.4 億円、営業経費を126.5 億円計上したことによります。
税引前当期純損益は 58.6 億円の利益、法人税等を差し引いた当期純損益は 43.0 億円の利益となりました。

-1-３） 直近の 2 事業年度における貸借対照表及び損益計算書
貸借対照表（単位：百万円）
科目

令和5年12月31日

令和4年12月31日
令和元年12月31日 科

資産の部

目

令和5年12月31日

令和4年12月31日

負債の部

現金預け金
現金
預け金
債券貸借取引支払保証金
買入金銭債権4,105,065

6,352,615

829,889

710,918

5

10

預金
当座預金

150,447

132,562

4,105,060

6,352,604

普通預金

120,006

124,532

91,112

59,791

その他の預金559,435

453,823

コールマネー

491,000

277,000

外国為替

49,57667,86449,571

67,864

765

749

有価証券

-

11,008

国債-

11,008

外国他店預り貸出金

306,807

112,102

外国他店借34,313

8,028

証書貸付
当座貸越
外国為替
外国他店預け外国他店貸買入外国為替104,073

未払法人税等703

2,128

18,419

未払費用

6,470

4,802

10,63015,971

前受収益

292

233

530

381

2,004,216

2,064,581

金融商品等受入担保金

663,902

501,001

その他の負債

27,80322,147

1,269

2,065
2,185,013

前払費用

45

30

未収収益

2,807

3,801

金融派生商品

賞与引当金

1,881

2,588

支払承諾

6,945

10,294

3,476,383

5,315,718

1,994,733

2,044,803

本支店勘定

金融商品等差入担保金

245,923

121,150

本店

その他の資産52,087

15,226在外支店

3

5

その他の有形固定資産
無形固定資産ソフトウエア

3

5

204

138

204

138

純資産の部
持込資本金

前払年金費用805

513

支払承諾見返6,945

10,294

貸倒引当金

△148

△12

本支店勘定

741,772

229,693

本店

516,098

9,330

在外支店

225,673

220,362

7,561,361

8,980,333

負債の部合計繰越利益剰余金
その他有価証券評価差額金

純資産の部合計
資産の部合計

2,594,895

272,4932,295,597

有形固定資産02,703,388

12,429

その他資産

金融派生商品

その他負債

5

-2-

負債及び純資産の部合計

73,4282,910,818

3,402,955

2,404,900

7,559,064

8,979,280

2,000

2,000

296

△945

-

△1

2,296

1,053

7,561,361

8,980,333

損益計算書（単位：百万円）
科

目

令和
令和

5 年 1 月 1
5 年 12 月 31

経常収益
資金運用収益
貸出金利息
有価証券利息配当金
コールローン利息
債券貸借取引受入利息
預け金利息
外国為替受入利息
本支店為替尻受入利息
その他の受入利息
役務取引等収益外国為替受入手数料
内国為替受入手数料
その他の役務収益
その他業務収益
外国為替売買益
その他の業務収益その他経常収益
貸倒引当金戻入益
その他の経常収益
経常費用
資金調達費用
預金利息
コールマネー利息
債券貸借取引支払利息
借用金利息
外国為替支払利息
本支店為替尻支払利息
その他の支払利息
役務取引等費用
外国為替支払手数料
内国為替支払手数料
その他の役務費用
その他業務費用
国債等債券売却損
金融派生商品費用
その他の業務費用
営業経費
その他経常費用
貸倒引当金繰入額
その他の経常費用
経常利益
税引前当期純利益
法人税、住民税及び事業税
過年度法人税等
法人税等合計当期純利益
繰越利益剰余金(当期首残高)
本店への送金又は本店からの補填金（△）
繰越利益剰余金-3-日から 令和日まで 令和39,265
19,567
5,625
△ 10
△ 359
4
△ 1,322372
15,279
△ 21
5,395
1,755
520
3,119
11,721
9,004
2,716
2,581
2,581
33,404
13,680
9,087
△ 310
0
0
3
4,942
△ 41
1,119
32
84
1,001
5,815
2,017
3,798
12,651
137
135
1
5,861
5,861
1,582
△ 23
1,559
4,302
△ 945
3,060
296

4 年 1 月 1
4 年 12 月 31日から日まで
31,723
1,914
2,067
0
△ 431
4
△ 1,410
175
1,529
△ 20
4,668
1,635
418
2,614
22,641
18,044
4,596
2,498
95
2,403
29,28914,080
3,012
△ 278
0
0
2
11,367
△ 24
334
33
65
234
1,796
1,120
477
198
13,067
10
10
2,433
2,433
1,848
△ 1
1,846
586
△ 1,250281△ 945

2. 外国銀行に係る事項
1) 業務及び財産の状況に関する事項（原文（英語））JPMORGAN CHASE BANK, NATIONAL ASSOCIATIONREVIEW OF FINANCIAL PERFORMANCEFOR THE YEAR ENDED DECEMBER 31, 2023

The following is a summary of the financial performance of JPMorgan Chase Bank, National Association for the year
ended December 31, 2023.
Net income was $47.5 billion in 2023, compared with $34.3 billion in 2022, reflecting an increase of 38.3% from theprior year. Total net revenue was $147.0 billion in 2023, compared with $119.0 billion in 2022, reflecting an increaseof 23.6% from the prior year.
The provision for credit losses was $9.0 billion in 2023, compared with $6.3 billion in 2022, reflecting an increase of
41.7% from the prior year.
Noninterest expense was $78.5 billion in 2023, compared with $68.7 billion in 2022, reflecting an increase of 14.1%.
Income tax expense was $12.1 billion in 2023, compared with $9.6 billion in 2022, an increase of 26.4% from theprior year.
As of December 31, 2023, total assets were $3.4 trillion, reflecting an increase of 6.0% compared with 2022. As of
December 31, 2023, total liabilities were $3.1 trillion, reflecting an increase of 6.8% compared with 2022. Total
stockholder’s equity decreased 1.4% in 2023 to $299.3 billion, compared with $303.6 billion in 2022.

JPMORGAN CHASE BANK,NATIONAL ASSOCIATION(a wholly-owned subsidiary of JPMorgan Chase & Co.)CONSOLIDATED FINANCIAL STATEMENTS
For the three years ended December 31, 2023

FOR THE THREE YEARS ENDED DECEMBER 31, 2023
Page
Report of Independent Auditors ....................................................................................................................................

1-2

Consolidated Financial Statements:
Consolidated Statements of Income ................................................................................................................................
Consolidated Statements of Comprehensive Income ......................................................................................................
Consolidated Balance Sheets ...........................................................................................................................................
Consolidated Statements of Changes in Stockholder’s Equity ........................................................................................
Consolidated Statements of Cash Flows ..........................................................................................................................
Notes to Consolidated Financial Statements ...................................................................................................................

3
4
5
6
7
8-137

Supplementary Information (unaudited):
Glossary of Terms and Acronyms .................................................................................................................................... 138-142

Report of Independent Auditors
To the Board of Directors and Shareholder of JPMorgan Chase Bank, National Association
OpinionWe have audited the accompanying consolidated financial statements of JPMorgan Chase Bank, National Association and its
subsidiaries (the “Company”), which comprise the consolidated balance sheets as of December 31, 2023 and 2022, and therelated consolidated statements of income, comprehensive income, changes in stockholder’s equity and cash flows for each of
the three years in the period ended December 31, 2023, including the related notes (collectively referred to as the“consolidated financial statements”).
In our opinion, the accompanying consolidated financial statements present fairly, in all material respects, the financial
position of the Company as of December 31, 2023 and 2022, and the results of its operations and its cash flows for each of
the three years in the period ended December 31, 2023 in accordance with accounting principles generally accepted in the
United States of America.
Basis for Opinion
We conducted our audit in accordance with auditing standards generally accepted in the United States of America (US GAAS).
Our responsibilities under those standards are further described in the Auditors’ Responsibilities for the Audit of theConsolidated Financial Statements section of our report. We are required to be independent of the Company and to meet ourother ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that theaudit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Responsibilities of Management for the Consolidated Financial Statements
Management is responsible for the preparation and fair presentation of the consolidated financial statements in accordancewith accounting principles generally accepted in the United States of America, and for the design, implementation, andmaintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are
free from material misstatement, whether due to fraud or error.
In preparing the consolidated financial statements, management is required to evaluate whether there are conditions or
events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern
for one year after the date the consolidated financial statements are available to be issued.
Auditors’ Responsibilities for the Audit of the Consolidated Financial Statements
Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are freefrom material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion.
Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit
conducted in accordance with US GAAS will always detect a material misstatement when it exists. The risk of not detecting amaterial misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery,
intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there isa substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user
based on the consolidated financial statements.
In performing an audit in accordance with US GAAS, we:• Exercise professional judgment and maintain professional skepticism throughout the audit.
• Identify and assess the risks of material misstatement of the consolidated financial statements, whether due to fraud
or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on atest basis, evidence regarding the amounts and disclosures in the consolidated financial statements.
• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that areappropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of theCompany's internal control. Accordingly, no such opinion is expressed.
• Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates
made by management, as well as evaluate the overall presentation of the consolidated financial statements.
• Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial
doubt about the Company’s ability to continue as a going concern for a reasonable period of time.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements1

We are required to communicate with those charged with governance regarding, among other matters, the planned scope andtiming of the audit, significant audit findings, and certain internal control-related matters that we identified during the audit.

February 16, 2024

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

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements2Consolidated statements of income
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Year ended December 31, (in millions)

2023

2022

2021

Revenue
Investment banking fees

$

2,525

$

2,955

$

5,232

Principal transactions

20,903

17,895

13,677

Lending- and deposit-related fees

7,410

7,095

7,031

Asset management fees

2,591

2,479

2,389

Commissions and other fees

12,41811,456

11,632

Investment securities losses(3,180)(2,380)(345)

Mortgage fees and related income

1,176

1,250

2,170

Card income

4,784

4,421

5,102

Other income

5,410

5,384

5,511

Noninterest revenue

54,03750,55552,399Interest income

151,415

84,09753,870Interest expense

58,431

15,6752,064

Net interest income

92,98468,42251,806

Total net revenue

147,021118,977

104,205

8,996

6,347

(9,296)Compensation expense

37,60534,00031,212

Occupancy expense

4,315

4,469

4,313

Technology, communications and equipment expense

8,414

8,646

9,304

Professional and outside services

6,798

6,983

6,510

Marketing

4,551

3,877

2,936

Other expense

16,777

10,761

10,170Total noninterest expense

78,46068,73664,445

Income before income tax expense

59,56543,89449,056

Income tax expense

12,069

9,552

Provision for credit losses
Noninterest expense

Net income$

47,496$34,342

11,001$38,055The Notes to Consolidated Financial Statements are an integral part of these statements.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements3Consolidated statements of comprehensive income
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Year ended December 31, (in millions)
Net income

2023$

47,4962022$

34,3422021$

38,055

Other comprehensive income/(loss), after–tax
Unrealized gains/(losses) on investment securities
Translation adjustments, net of hedges
Cash flow hedges

5,387(11,751)(5,516)

339

(555)

(442)
(2,679)1,723(5,359)Defined benefit pension and OPEB plans

188

(742)

688

DVA on fair value option elected liabilities

133

265

(291)

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

7,770
$

55,266(18,142)$

16,200(8,240)$29,815The Notes to Consolidated Financial Statements are an integral part of these statements.

4

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Consolidated balance sheets
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
December 31, (in millions, except share data)
AssetsCash and due from banks
Deposits with banks
Federal funds sold and securities purchased under resale agreements (included $162,977 and $193,945 at fair value)
Securities borrowed (included $20,541 and $22,454 at fair value)
Trading assets (included assets pledged of $75,500 and $39,458)
Available-for-sale securities (amortized cost of $205,401 and $216,103, included assets pledged of $11,880 and$15,274
Held-to-maturity securities
Investment securities, net of allowance for credit losses
Loans (included $38,591 and $41,795 at fair value)
Allowance for loan losses
Loans, net of allowance for loan losses
Accrued interest and accounts receivable
Premises and equipment
Goodwill, mortgage servicing rights and other intangible assets
Other assets (included $11,315 and $12,667 at fair value and assets pledged of $3,159 and $2,505)
Total assets(a)Liabilities
Deposits (included $78,524 and $28,742 at fair value)
Federal funds purchased and securities loaned or sold under repurchase agreements (included $67,067 and $75,327 atfair value)
Short-term borrowings (included $10,260 and $7,796 at fair value)
Trading liabilities
Accounts payable and other liabilities (included $8,255 and $7,760 at fair value)
Beneficial interests issued by consolidated variable interest entities
Long-term debt (included $28,999 and $27,145 at fair value)
Total liabilities(a)Commitments and contingencies (refer to Notes 26, 27 and 28)
Stockholder’s equity
Preferred stock ($1 par value; authorized 15,000,000 shares: issued 0 shares)
Common stock ($12 par value; authorized 200,000,000 shares; issued 168,971,750 shares)
Additional paid-in capital
Retained earnings
Accumulated other comprehensive losses
Total stockholder’s equity
Total liabilities and stockholder’s equity

2023
$

$

27,258538,715
259,460
53,642
288,420$

201,676
369,848571,524
1,320,120(22,311)
1,297,809
67,147
28,82850,295
139,3423,395,126 $

205,790425,305
631,095
1,132,985(19,714)
1,113,271
89,373
26,347
48,600125,761
3,201,942$

2,498,231

2,440,722$

28,784
593,706
226,683
61,199329,8092022$

74,60911,919110,862
170,119
23,162206,945
3,095,847

85,902
10,074
116,629
156,433
13,42475,1382,898,322—
2,028
119,356
188,089(10,194)299,279
3,395,126 $—
2,028
118,293201,263(17,964)
303,620
3,201,942(a) The following table presents information on assets and liabilities related to variable interest entities (“VIEs”) that are consolidated by the Bank at
December 31, 2023 and 2022. 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 the Bank. The assets and liabilities in the table below include third-party assets andliabilities of consolidated VIEs (including balances with related parties) and exclude intercompany balances that eliminate in consolidation. Refer to Note
15 for a further discussion.
December 31, (in millions)
AssetsTrading assets
Loans
All other assets
Total assets
Liabilities
Beneficial interests issued by consolidated VIEs
All other liabilities
Total liabilities

2023
$

$
$
$

2022

2,057
37,602340
39,999$23,162
119
23,281

$

$

$

2,089
34,394290
36,773
13,424132
13,556The Notes to Consolidated Financial Statements are an integral part of these statements.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

5Consolidated statements of changes in stockholder’s equity
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Year ended December 31, (in millions)

2023

2022

2021

Common stock
Balance at January 1 and December 31

$

2,028

$

2,028

$

2,028

Additional paid-in capital
Balance at January 1

118,293

Cash capital contribution from JPMorgan Chase & Co.
Adjustments to capital due to transactions with JPMorgan Chase & Co.
Balance at December 31

118,221

115,248
3,000

—

—

1,063

72

(27)

119,356

118,293

118,221201,263

182,421

144,366

Retained earnings
Balance at January 1
Cumulative effect of change in accounting principles

451

—

—

Net income

47,49634,342

38,055

Cash dividends paid to JPMorgan Chase & Co.

(61,000)(15,500)

—

(121)

—

—

188,089

201,263

182,421

Other
Balance at December 31
Accumulated other comprehensive income/(loss)
Balance at January 1
Other comprehensive income/(loss), after-tax
Balance at December 31
Total stockholder’s equity(17,964)

178

8,418

7,770

(18,142)(8,240)(10,194)(17,964)178$ 299,279$ 303,620$ 302,848

Effective January 1, 2023, the Bank adopted the Financial Instruments – Credit Losses: Troubled Debt Restructurings and Derivatives and Hedging:
Fair Value Hedging – Portfolio Layer Method accounting guidance. Refer to Note 1 for further information.

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

6

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Consolidated statements of cash flows
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Year ended December 31, (in millions)

2023

2022

2021

Operating activities
Net income$

47,496$34,342$

38,055Adjustments to reconcile net income to net cash provided by operating activities:
Provision for credit losses

8,996

6,347

(9,296)

Depreciation and amortization

6,969

6,590

7,535

Deferred tax (benefit)/expense(4,194)(3,542)

2,147

Bargain purchase gain associated with the First Republic acquisition(2,775)

—

—

Other

1,200

2,380

345

Originations and purchases of loans held-for-sale(114,496)(149,091)(347,864)

Proceeds from sales, securitizations and paydowns of loans held-for-sale

116,142

167,713

336,404

Trading assets(28,386)

14,11425,806

Securities borrowed(7,421)

10,973(20,978)

Accrued interest and accounts receivable

24,481(13,088)(4,722)Other assets(5,279)(29,954)

21,442

Trading liabilities(6,672)

7,404(38,612)

Accounts payable and other liabilities

2,359

46,646

12,529Other operating adjustments

3,959

8

284

Net cash provided by operating activities

42,379100,842

23,07532,961(32,211)

116,694

Net change in:Investing activities
Net change in:Federal funds sold and securities purchased under resale agreements
Held-to-maturity securities:
Proceeds from paydowns and maturities

53,056

48,62650,897Purchases(4,141)(33,676)(111,756)

Proceeds from paydowns and maturities

53,74039,04849,505

Proceeds from sales

108,406

84,616

162,642

Purchases(248,784)

Available-for-sale securities:(115,499)(126,258)

Proceeds from sales and securitizations of loans held-for-investment

47,22844,91035,843

Other changes in loans, net(87,815)(128,952)(91,019)

Net cash used in First Republic acquisition(9,920)——All other investing activities, net(13,900)(8,017)(3,849)Net cash provided by/(used in) investing activities

64,116(111,914)(39,827)

Deposits(44,217)(111,772)

274,351

Federal funds purchased and securities loaned or sold under repurchase agreements(11,429)(15,795)(33,459)

Short-term borrowings(1,011)(2,122)

1,886

Beneficial interests issued by consolidated VIEs

8,353

3,042

(4,255)

Financing activities
Net change in:Proceeds from long-term borrowings

81,171

16,36329,783

Payments of long-term borrowings(25,017)(20,459)(29,389)
3,000

Cash capital contribution from JPMorgan Chase & Co.
Dividends paid to JPMorgan Chase & Co.
All other financing activities, net
Net cash provided by/(used in) financing activities——(61,000)(15,500)

—

1,311

576

(148)
241,769(51,839)(145,667)

Effect of exchange rate changes on cash and due from banks and deposits with banks

1,861(16,605)(11,469)

Net increase/(decrease) in cash and due from banks and deposits with banks

56,517(173,344)

213,548

Cash and due from banks and deposits with banks at the beginning of the period

565,973

739,317525,769

Cash and due from banks and deposits with banks at the end of the period$ 622,490$ 565,973$ 739,317

Cash interest paid

$

$

$

Cash income taxes paid, net(a)54,028
11,831

13,717
9,586

1,822
16,496(a) Includes $12.6 billion, $12.5 billion and $13.3 billion paid to JPMorgan Chase & Co. in 2023, 2022 and 2021, respectively. Refer to Note 23 for discussion of income taxes.

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

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

7

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 1 – Overview and basis of presentation
JPMorgan Chase Bank, National Association (“JPMorgan
Chase Bank, N.A.”) and its subsidiaries, (collectively, the“Bank”), is a wholly-owned bank subsidiary of JPMorgan
Chase & Co. (“JPMorgan Chase”), which is a leading
financial services firm based in the United States of America(“U.S.”), with operations worldwide. JPMorgan Chase Bank,
N.A. is a national banking association that is chartered by
the Office of the Comptroller of the Currency (“OCC”), a
bureau of the U.S. Department of the Treasury. JPMorgan
Chase Bank, N.A.’s main office is located in Columbus, Ohio,and it has U.S. branches in 48 states and Washington, D.C.
as of December 31, 2023. JPMorgan Chase Bank, N.A.
operates nationally as well as through non-U.S. bankoverseas branches and subsidiaries, representative offices
and subsidiary foreign banks. The Bank either directly or
through such branches, subsidiaries and offices offers awide range of banking services to its U.S. and non-U.S.
customers including 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 Bank serves
millions of customers, predominantly in the U.S. and manyof the world’s most prominent corporate, institutional andgovernment clients globally. JPMorgan Chase Bank, N.A.’s
principal operating subsidiaries outside of the U.S. are J.P.
Morgan Securities plc and J.P. Morgan SE, which are basedin the United Kingdom (“U.K.”) and Germany, respectively.
The JPMorgan Chase Bank, N.A. Board of Directors is
responsible for the oversight of management of JPMorgan
Chase Bank, N.A., which it discharges both acting directly
and through the principal standing committees of JPMorgan
Chase’s Board of Directors. Risk and control oversight onbehalf of JPMorgan Chase Bank, N.A. is primarily the
responsibility of the Board Risk Committee and the Audit
Committee, respectively, and, with respect to compensationand other management-related matters, the Compensation& Management Development Committee. Each committee of
JPMorgan Chase’s Board of Directors oversees reputationalrisks, conduct risks, and ESG matters within its scope of
responsibility.
The accounting and financial reporting policies of the Bank
conform to accounting principles generally accepted in the
U.S. (“U.S. GAAP”). Additionally, where applicable, thepolicies conform to the accounting and reporting guidelines
prescribed by regulatory authorities.
First Republic acquisition
On May 1, 2023, JPMorgan Chase Bank, N.A. acquired
certain assets and assumed certain liabilities of First
Republic Bank (the “First Republic acquisition”) from theFederal Deposit Insurance Corporation (“FDIC”), as
receiver.

First Republic. Where meaningful to the disclosure, theimpact of the First Republic acquisition, as well as
subsequent related business and activities, are disclosed invarious sections of these Bank financial statements. The
Bank continues to convert certain operations, and tointegrate clients, products and services associated with theFirst Republic acquisition, to align with the Bank’sbusinesses and operations. Accordingly, reportingclassification and internal risk rating profiles in thewholesale portfolio may change in future periods. Refer toNote 29 for additional information on the First Republic
acquisition.
Supervision and regulation
The Bank is subject to regulation under U.S. federal andstate laws, as well as the applicable laws of the jurisdictions
outside the U.S. in which the Bank does business.
In the U.S., the Bank is supervised and regulated by the OCC
and, with respect to certain matters, by the Federal Deposit
Insurance Corporation (the “FDIC”). J.P. Morgan Securities
plc is regulated by the U.K. Prudential Regulation Authority(the “PRA”) and the U.K. Financial Conduct Authority (the
“FCA”).
The Bank’s other non-U.S. subsidiaries are regulated by thebanking, securities, prudential and conduct regulatory
authorities in the countries in which they operate.
In the U.K., the Bank operates a retail bank through J.P.
Morgan Europe Limited (“JPMEL”). JPMEL is regulated by
the PRA, and by the FCA with respect to its conduct offinancial services in the U.K., including obligations relating
to the fair treatment of customers. JPMEL is also regulatedby the U.K. Payment Systems Regulator with respect to its
operation and use of payment systems. In addition, theretail business of JPMEL is subject to U.K. consumerprotection legislation.
JPMorgan Chase Bank, N.A. is registered with theCommodity Futures Trading Commission (“CFTC”) as a“swap dealer” and with the Securities and Exchange
Commission (“SEC”) as a “security-based swap dealer.” As aresult, JPMorgan Chase Bank, N.A. is subject to acomprehensive regulatory framework for its swap andsecurity-based swap activities.
Restrictions on transactions with affiliates. The Bank issubject to restrictions imposed by federal law on extensionsof credit to, investments in stock or securities of, andderivatives, securities lending and certain othertransactions with, JPMorgan Chase & Co. and certain otheraffiliates. These restrictions prevent JPMorgan Chase & Co.
and other affiliates from borrowing from such subsidiaries
unless the loans are secured in specified amounts andcomply with certain other requirements.

The Bank’s Consolidated Financial Statements as of and forthe period ended December 31, 2023 reflect the impact of
8

JPMorgan Chase Bank, National Association/2023 Consolidated Financial StatementsRefer to “Supervision and regulation” in the Annual Reporton Form 10-K of JPMorgan Chase for the year ended
December 31, 2023, filed with the U.S. Securities andExchange Commission on February 16, 2024 for additional
information concerning the supervision and regulation of
JPMorgan Chase Bank, N.A.
Consolidation
The Consolidated Financial Statements include the accountsof the Bank and other entities in which the Bank has acontrolling financial interest. All material intercompany
balances and transactions between the consolidated Bank
group of entities have been eliminated. The Bank regularly
enters into transactions with JPMorgan Chase and its
various subsidiaries collectively, JPMorgan Chase affiliates.
These transactions are considered to be related party
transactions. Refer to Note 21 for further discussion of theBank’s related party transactions.
Assets held for clients in an agency or fiduciary capacity by
the Bank are not assets of the Bank and are not included on
the Consolidated balance sheets.
The Bank determines whether it has a controlling financial
interest in an entity by first evaluating whether the entity isa voting interest entity or a variable interest entity.
Voting interest entities
Voting interest entities are entities that have sufficient
equity and provide the equity investors voting rights thatenable them to make significant decisions relating to theentity’s operations. For these types of entities, the Bank’s
determination of whether it has a controlling interest is
primarily based on the amount of voting equity interests
held. Entities in which the Bank has a controlling financial
interest, through ownership of the majority of the entities’
voting equity interests, or through other contractual rightsthat give the Bank control, are consolidated by the Bank.
Investments in companies in which the Bank has significant
influence over operating and financing decisions (but does
not own a majority of the voting equity interests) areaccounted for (i) in accordance with the equity method of
accounting, or (ii) at fair value if the fair value option waselected. These investments are generally included in otherassets, with income or loss included in noninterest revenue.
Certain Bank-sponsored asset management funds are
structured as limited partnerships or limited liability
companies. The Bank does not generally consolidate thesefunds as the Bank is not the general partner or managing
member and therefore does not have a controlling financial
interest.
Variable interest entities
VIEs are entities that, by design, either (1) lack sufficient
equity to permit the entity to finance its activities without
additional subordinated financial support from otherparties, or (2) have equity investors that do not have theability to make significant decisions relating to the entity’s

operations through voting rights, or do not have theobligation to absorb the expected losses, or do not have theright to receive the residual returns of the entity.
The most common type of VIE is a special purpose entity(“SPE”). SPEs are commonly used in securitizationtransactions in order to isolate certain assets and distributethe cash flows from those assets to investors. The basic SPE
structure involves a company selling assets to the SPE; theSPE funds the purchase of those assets by issuing securities
to investors. The legal documents that govern thetransaction specify how the cash earned on the assets mustbe allocated to the SPE’s investors and other parties thathave rights to those cash flows. SPEs are generally
structured to insulate investors from claims on the SPE’s
assets by creditors of other entities, including the creditorsof the seller of the assets.
The primary beneficiary of a VIE (i.e., the party that has acontrolling financial interest) is required to consolidate theassets and liabilities of the VIE. The primary beneficiary is
the party that has both (1) the power to direct the activitiesof the VIE that most significantly impact the VIE’s economic
performance; and (2) through its interests in the VIE, theobligation to absorb losses or the right to receive benefits
from the VIE that could potentially be significant to the VIE.
To assess whether the Bank has the power to direct theactivities of a VIE that most significantly impact the VIE’s
economic performance, the Bank considers all the facts andcircumstances, including its role in establishing the VIE and
its ongoing rights and responsibilities. This assessment
includes, first, identifying the activities that mostsignificantly impact the VIE’s economic performance; andsecond, identifying which party, if any, has power overthose activities. In general, the parties that make the mostsignificant decisions affecting the VIE (such as asset
managers, collateral managers, servicers, or owners of call
options or liquidation rights over the VIE’s assets) or havethe right to unilaterally remove those decision-makers are
deemed to have the power to direct the activities of a VIE.
To assess whether the Bank has the obligation to absorb
losses of the VIE or the right to receive benefits from the
VIE that could potentially be significant to the VIE, the Bank
considers all of its economic interests, including debt andequity investments, servicing fees, and derivatives or otherarrangements deemed to be variable interests in the VIE.
This assessment requires that the Bank apply judgment indetermining whether these interests, in the aggregate, areconsidered potentially significant to the VIE. Factors
considered in assessing significance include: the design of
the VIE, including its capitalization structure; subordinationof interests; payment priority; relative share of interests
held across various classes within the VIE’s capital
structure; and the reasons why the interests are held by theBank.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

9Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The Bank performs on-going reassessments of: (1) whether
entities previously evaluated under the majority votinginterest framework have become VIEs, based on certain
events, and are therefore subject to the VIE consolidation
framework; and (2) whether changes in the facts andcircumstances regarding the Bank’s involvement with a VIE
cause the Bank’s consolidation conclusion to change.
Refer to Note 15 for further discussion of Bank-sponsored
VIEs.
Revenue recognition
Interest income
The Bank recognizes interest income on loans, debt
securities, and other debt instruments, generally on a levelyield basis, based on the underlying contractual rate. Refer
to Note 8 for further information.
Revenue from contracts with customers
The Bank recognizes noninterest revenue from certain
contracts with customers, in investment banking fees,
deposit-related fees, asset management fees, commissions
and other fees, and components of card income, when the
Bank’s related performance obligations are satisfied. Refer
to Note 7 for further discussion of the Bank’s revenue fromcontracts with customers.
Principal transactions revenue
The Bank carries a portion of its assets and liabilities at fairvalue. Changes in fair value are reported primarily inprincipal transactions revenue. Refer to Notes 3 and 4 forfurther discussion of fair value measurement. Refer to Note
7 for further discussion of principal transactions revenue.
Use of estimates in the preparation of consolidated
financial statements
The preparation of the Consolidated Financial Statements
requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities,
revenue and expense, and disclosures of contingent assets
and liabilities. Actual results could be different from theseestimates.
Foreign currency translation
The Bank revalues assets, liabilities, revenue and expense
denominated in non-U.S. currencies into U.S. dollars using
applicable exchange rates.
Gains and losses relating to translating functional currency
financial statements for U.S. reporting are included in theConsolidated statements of comprehensive income. Gains
and losses relating to nonfunctional currency transactions,
including non-U.S. operations where the functional currency
is the U.S. dollar, are reported in the Consolidated
statements of income.
Offsetting assets and liabilities
U.S. GAAP permits entities to present derivative receivables
and derivative payables with the same counterparty and therelated cash collateral receivables and payables on a net
basis on the Consolidated balance sheets when a legally
10

enforceable master netting agreement exists. U.S. GAAP
also permits securities sold and purchased under
repurchase agreements and securities borrowed or loaned
under securities loan agreements to be presented net when
specified conditions are met, including the existence of alegally enforceable master netting agreement. The Bank has
elected to net such balances where it has determined thatthe specified conditions are met.
The Bank uses master netting agreements with third parties
and affiliates to mitigate counterparty credit risk in certaintransactions, including derivative contracts, resale,
repurchase, securities borrowed and securities loaned
agreements. A master netting agreement is a single
agreement with a counterparty that permits multiple
transactions governed by that agreement to be terminatedor accelerated and settled through a single payment in asingle currency in the event of a default (e.g., bankruptcy,
failure to make a required payment or securities transfer ordeliver collateral or margin when due). Upon the exercise ofderivatives termination rights by the non-defaulting party(i) all transactions are terminated, (ii) all transactions arevalued and the positive values of “in the money”
transactions are netted against the negative values of “outof the money” transactions and (iii) the only remaining
payment obligation is of one of the parties to pay the netted
termination amount. Upon exercise of default rights under
repurchase agreements and securities loan agreements ingeneral (i) all transactions are terminated and accelerated,(ii) all values of securities or cash held or to be delivered
are calculated, and all such sums are netted against eachother and (iii) the only remaining payment obligation is of
one of the parties to pay the netted termination amount.
Typical master netting agreements for these types oftransactions also often contain a collateral/marginagreement that provides for a security interest in, or title
transfer of, securities or cash collateral/margin to the party
that has the right to demand margin (the “demanding
party”). The collateral/margin agreement typically requiresa party to transfer collateral/margin to the demanding
party with a value equal to the amount of the margin deficit
on a net basis across all transactions governed by themaster netting agreement, less any threshold. The
collateral/margin agreement grants to the demanding
party, upon default by the counterparty, the right to set-off
any amounts payable by the counterparty against any
posted collateral or the cash equivalent of any posted
collateral/margin. It also grants to the demanding party theright to liquidate collateral/margin and to apply theproceeds to an amount payable by the counterparty.
Refer to Note 6 for further discussion of the Bank’s
derivative instruments. Refer to Note 12 for further
discussion of the Bank’s securities financing agreements.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Statements of cash flows
For the Bank’s Consolidated statements of cash flows, cash
is defined as those amounts included in cash and due frombanks and deposits with banks on the Consolidated balance
sheets.
Regulatory developments
U.S. Basel III Finalization
In July 2023, the Federal Reserve, the OCC and the FDIC
released a proposal to amend the risk-based capitalframework, entitled “Regulatory capital rule: Amendments
applicable to large banking organizations and to banking
organizations with significant trading activity,” which isreferred to in these Bank financial statements as “U.S. BaselIII proposal”. Under the proposal, changes to the framework
would include replacement of the Advanced approach withan expanded risk-based approach, which would not permit
the use of internal models for the calculation of riskweighted assets (“RWA”), other than for market risk. In
addition, the stress capital buffer requirement would beapplicable to both the expanded risk-based approach andthe Standardized approach. The proposal would
significantly revise risk-based capital requirements for allbanks with assets of $100 billion or more. The proposed
effective date is July 1, 2025, with a three-year transition
period applicable to the expanded risk-based approach.
In addition to the release of the U.S. proposal, the European
Union (“EU”) and U.K. regulators have also largely finalized
the rules implementing their Basel III frameworks. The
proposed effective dates are January 1, 2025, in the EU andJuly 1, 2025, in the U.K., with certain transitionalarrangements applicable until 2030 and 2032,
respectively.
Accounting standards adopted January 1, 2023
Derivatives and Hedging: Fair Value Hedging – Portfolio
Layer Method
The adoption of this guidance expanded the ability to hedge
a portfolio of fixed-rate assets to allow more types of assets
to be included in the portfolio, and to allow more of theportfolio to be hedged. This guidance also clarified thetypes of derivatives that could be used as hedges, and thebalance sheet presentation and disclosure requirements forthe hedge accounting adjustments. As permitted by theguidance, the Bank elected to transfer held-to-maturity(“HTM”) securities to available-for-sale (“AFS”) anddesignated those securities in a portfolio layer method
hedge upon adoption. The adoption impact of the transfer
on retained earnings was not material.

Financial Instruments – Credit Losses: Troubled Debt
Restructurings (“TDRs”)
The adoption of this guidance eliminated the accounting
and disclosure requirements for TDRs, including therequirement to measure the allowance using a discounted
cash flow (“DCF”) methodology, and allowed the option of a
non-DCF portfolio-based approach for modified loans totroubled borrowers. If a DCF methodology is still applied forthese modified loans, the discount rate must be the postmodification effective interest rate, instead of the premodification effective interest rate.
The Bank elected to apply its non-DCF, portfolio-based
allowance approach for modified loans to troubled
borrowers for all portfolios except collateral-dependent
loans and nonaccrual risk-rated loans which the Bank
elected to continue applying a DCF methodology. Refer toNote 14 for a description of the portfolio-based allowanceapproach and the asset-specific allowance approach.
This guidance was adopted on January 1, 2023 under themodified retrospective method which resulted in a net
decrease to the allowance for credit losses of $587 million
and an increase to retained earnings of $446 million, aftertax, predominantly driven by residential real estate andcredit card.
The adoption of this guidance eliminated the disclosure
requirements for TDRs including the requirement to assess
whether a modification is reasonably expected or involves aconcession. The new guidance requires disclosure for loan
modifications to borrowers experiencing financial difficulty
consisting of principal forgiveness, interest rate reduction,other-than-insignificant payment delay, term extension or a
combination of these modifications. The Bank has definedthese types of modifications as financial difficultymodifications ("FDMs"). As a result of the elimination of therequirement to assess whether a modification is reasonably
expected or involves a concession, the population of loans
considered FDMs differs from those previously considered
TDRs. This guidance also requires disclosure of current
period gross charge-offs by vintage origination year.
Refer to Note 13 for further information.

Refer to Note 6 and Note 11 for additional information.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

11Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Accounting standard adopted since January 1, 2021
Reference rate reform
The adoption of the guidance provided various elective
options, referred to as “practical expedients,” that are
intended to simplify the operations impact of applying
generally accepted accounting principles to contracts andhedge relationships affected by reference rate reform. This
guidance also provided an election to account forderivatives modified to change the rate used for
discounting, margining, or contract price alignment(collectively “discounting transition”) as modifications.
The Bank elected to apply certain of the practical
expedients related to contract modifications and hedge
accounting relationships and discounting transition. The
main purpose of the practical expedients is to ease theadministrative burden of accounting for contracts impacted
by reference rate reform. These elections did not have amaterial impact on the Consolidated Financial Statements.

12

Significant accounting policies
The following table identifies the Bank’s other significant
accounting policies and the Note and page where a detailed
description of each policy can be found.
Fair value measurement

Note 3page 14

Fair value option

Note 4page 33

Derivative instruments
Noninterest revenue and noninterest
expenseNote 6page 38

Note 7page 54

Interest income and Interest expense

Note 8page 56

Pension and other postretirement
employee benefit plans

Note 9page 57

Employee share-based incentives

Note 10page 60

Investment securities

Note 11

page 62

Securities financing activities

Note 12page 67

Loans

Note 13

page 70

Allowance for credit losses

Note 14page 91

Variable interest entities
Goodwill, mortgage servicing rights, andother intangible assets

Note 15

page 97

Note 16

page 105

Premises and equipment

Note 17

page 109

Leases

Note 19

page 110

Long-term debt

Note 20

page 112

Related party transactions

Note 21

page 113

Income taxes

Note 23

page 117

Off–balance sheet lending-related financial
instruments, guarantees and othercommitments
Note 26

page 123

Litigation

page 130

Note 28

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 2 - Accounting and reporting developments
FASB Standards Issued but not yet Adopted as of December 31, 2023
Standard
Summary of guidance
Investments - Equity• Expands the ability to elect proportional
Method and Joint
amortization for more types of tax-oriented
Ventures: Accounting
investments (beyond low income housing tax
for Investments in Tax
credit investments) on program-by-program
Credit Structuresbasis.
Using the Proportional • May be adopted using a full retrospective method,
Amortization Method
or a modified retrospective method wherein theeffect of adoption is reflected as an adjustment toIssued March 2023
retained earnings at the effective date.

Effects on financial statements• Adopted under the modified retrospective
method on January 1, 2024, which resulted in adecrease to retained earnings of approximately$100 million.

Income Taxes:• Requires disclosure of income taxes paid
Improvements todisaggregated by 1) federal, state, and foreign
Income tax disclosurestaxes and 2) individual jurisdiction on the basis ofa quantitative threshold of equal to or greater
Issued December 2023
than 5 percent of total income taxes paid (net ofrefunds received).

• Required effective date: Annual financial
statements for the year ending December 31,
2025.(a)• Requires disclosure of the effective tax rate
reconciliation by specific categories, at aminimum, with accompanying qualitative
disclosures, and separate disclosure of reconciling
items based on quantitative thresholds.

• The guidance can be applied on a prospective
basis with the option to apply the standard
retrospectively.
• The Bank is evaluating the potential impact on
the Consolidated Financial Statements
disclosures, as well as the Bank’s planned date ofadoption.

• Requires categories within the effective rate
reconciliation to be further disaggregated if
quantitative thresholds are met.
(a) Early adoption is permitted.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

13

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 3 – Fair value measurement
The Bank carries a portion of its assets and liabilities at fairvalue. These assets and liabilities are predominantly carriedat fair value on a recurring basis (i.e., assets and liabilities
that are measured and reported at fair value on the Bank’s
Consolidated balance sheets). Certain assets, liabilities andunfunded lending-related commitments are measured atfair value on a nonrecurring basis; that is, they are notmeasured at fair value on an ongoing basis but are subject
to fair value adjustments only in certain circumstances (forexample, when there is evidence of impairment).
Fair value is defined as the price that would be received tosell an asset or paid to transfer a liability in an orderlytransaction between market participants at themeasurement date. Fair value is based on quoted market
prices or inputs, where available. If prices or quotes are notavailable, fair value is based on valuation models and othervaluation techniques that consider relevant transaction
characteristics (such as maturity) and use, as inputs,
observable or unobservable market parameters, including
yield curves, interest rates, volatilities, prices (such ascommodity, equity or debt prices), correlations, foreignexchange rates and credit curves. Fair value may also
incorporate valuation adjustments.
The level of precision in estimating unobservable market
inputs or other factors can affect the amount of gain or loss
recorded for a particular position. Furthermore, while the
Bank believes its valuation methods are appropriate andconsistent with those of other market participants, themethods and assumptions used reflect management
judgment and may vary across the Bank’s businesses andportfolios.

Price verification process
The VCG verifies fair value estimates provided by the risktaking functions by leveraging independently derived
prices, valuation inputs and other market data, whereavailable. Where independent prices or inputs are notavailable, the VCG performs additional review to ensure thereasonableness of the estimates. The additional review may
include evaluating the limited market activity including
client unwinds, benchmarking valuation inputs to thoseused for similar instruments, decomposing the valuation of
structured instruments into individual components,
comparing expected to actual cash flows, reviewing profit
and loss trends, and reviewing trends in collateralvaluation. There are also additional levels of management
review for more significant or complex positions.
The VCG determines any valuation adjustments that may berequired to the estimates provided by the risk-taking
functions. No adjustments to quoted prices are applied for
instruments classified within level 1 of the fair value
hierarchy (refer to the discussion below for further
information on the fair value hierarchy). For otherpositions, judgment is required to assess the need forvaluation adjustments to appropriately reflect liquidity
considerations, unobservable parameters, and, for certain
portfolios that meet specified criteria, the size of the net
open risk position. The determination of such adjustments
follows a consistent framework across the Bank:•

Liquidity valuation adjustments are considered where an
observable external price or valuation parameter exists
but is of lower reliability, potentially due to lower
market activity. Liquidity valuation adjustments are
made based on current market conditions. Factors that
may be considered in determining the liquidity
adjustment include analysis of: (1) the estimated bidoffer spread for the instrument being traded; (2)alternative pricing points for similar instruments inactive markets; and (3) the range of reasonable values
that the price or parameter could take.

•

The Bank manages certain portfolios of financial
instruments on the basis of net open risk exposure and,as permitted by U.S. GAAP, has elected to estimate thefair value of such portfolios on the basis of a transfer ofthe entire net open risk position in an orderlytransaction. Where this is the case, valuation
adjustments may be necessary to reflect the cost of
exiting a larger-than-normal market-size net open risk
position. Where applied, such adjustments are based on
factors that a relevant market participant would
consider in the transfer of the net open risk position,
including the size of the adverse market move that is
likely to occur during the period required to sufficiently
reduce the net open risk position.

The Bank uses various methodologies and assumptions in
the determination of fair value. The use of different
methodologies or assumptions by other market participants
compared with those used by the Bank could result in the
Bank deriving a different estimate of fair value at thereporting date.
Valuation process
Risk-taking functions are responsible for providing fairvalue estimates for assets and liabilities carried on theConsolidated balance sheets at fair value. JPMorgan Chase’s
Valuation Control Group (“VCG”), which is part of JPMorgan
Chase’s Finance function and independent of the risk-taking
functions, is responsible for verifying these estimates anddetermining any fair value adjustments that may berequired to ensure that the Bank’s positions are recorded atfair value. In addition, JPMorgan Chase’s Valuation
Governance Forum (“VGF”), which is composed of seniorfinance and risk executives, is responsible for overseeing
the management of risks arising from valuation activities
conducted across JPMorgan Chase. The Firmwide VGF ischaired by the Firmwide head of the VCG (under the
direction of JPMorgan Chase’s Controller).
14

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements••

Uncertainty adjustments related to unobservableparameters may be made when positions are valued
using prices or input parameters to valuation models
that are unobservable due to a lack of market activity or
because they cannot be implied from observable market
data. Such prices or parameters must be estimated andare, therefore, subject to management judgment.
Adjustments are made to reflect the uncertainty
inherent in the resulting valuation estimate.
Where appropriate, the Bank also applies adjustments to
its estimates of fair value in order to appropriatelyreflect counterparty credit quality (credit valuation
adjustments (“CVA”)), the Bank’s own creditworthiness(debit valuation adjustments (“DVA”)) and the impact offunding (funding valuation adjustments (“FVA”)), using
a consistent framework across the Bank.

Valuation model review and approval
If prices or quotes are not available for an instrument or asimilar instrument, fair value is generally determined using
valuation models that consider relevant transaction terms
such as maturity and use as inputs market-based or
independently sourced parameters. Where this is the casethe price verification process described above is applied tothe inputs in those models.

Fair value hierarchy
A three-level fair value hierarchy has been establishedunder U.S. GAAP for disclosure of fair value measurements.
The fair value hierarchy is based on the observability of
inputs to the valuation of an asset or liability as of themeasurement date. The three levels are defined as follows.
•

Level 1 – inputs to the valuation methodology arequoted prices (unadjusted) for identical assets or
liabilities in active markets.

•

Level 2 – inputs to the valuation methodology include
quoted prices for similar assets and liabilities in active
markets, and inputs that are observable for the asset or
liability, either directly or indirectly, for substantially thefull term of the financial instrument.

•

Level 3 – one or more inputs to the valuation
methodology are unobservable and significant to the fairvalue measurement.

A financial instrument’s categorization within the fair value
hierarchy is based on the lowest level of input that issignificant to the fair value measurement.

Under the Bank’s Estimations and Model Risk Management
Policy, Model Risk Governance and Review (“MRGR”)
reviews and approves new models, as well as materialchanges to existing models, prior to implementation in theoperating environment. In certain circumstances exceptions
may be granted to the Bank’s policy to allow a model to be
used prior to review or approval. MRGR may also require
the user to take appropriate actions to mitigate the model
risk if it is to be used in the interim. These actions will
depend on the model and may include, for example,
limitation of trading activity.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

15

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table describes the valuation methodologies generally used by the Bank to measure its significant products/
instruments at fair value, including the general classification of such instruments pursuant to the fair value hierarchy.
Product/instrument
Securities financing agreements

Loans and lending-related
commitments – wholesale
Loans carried at fair value(trading loans and non-tradingloans) and associated lendingrelated commitments

Classifications in the fair
Valuation methodology
value hierarchy
Valuations are based on discounted cash flows, which consider:
Predominantly level 2• Derivative features: refer to the discussion of derivatives below
for further information• Market rates for the respective maturity• Collateral characteristics
Where observable market data is available, valuations are based on:
Level 2 or 3
• Observed market prices (circumstances are infrequent)• Relevant broker quotes• Observed market prices for similar instruments
Where observable market data is unavailable or limited, valuations are
based on discounted cash flows, which consider the following:• Credit spreads derived from the cost of credit default swaps(“CDS”); or benchmark credit curves developed by the Bank, byindustry and credit rating• Prepayment speed• Collateral characteristics
Loans – consumer
Fair value is based on observable market prices for mortgage-backed
securities (“MBS”) with similar collateral and incorporates
Loans carried at fair value –adjustments to these prices to account for differences between theconforming residential
mortgage loans expected to be securities and the value of the underlying loans, which include credit
characteristics, portfolio composition, and liquidity.
sold
Investment and trading
securities

Physical commodities

16

Predominantly level 2

Quoted market prices

Level 1In the absence of quoted market prices, securities are valued based
on:• Observable market prices for similar securities• Relevant broker quotes• Discounted cash flows
In addition, the following inputs to discounted cash flows are used forthe following products:
Mortgage- and asset-backed securities (“ABS”) specific inputs:• Collateral characteristics• Deal-specific payment and loss allocations• Current market assumptions related to yield, prepayment speed,
conditional default rates and loss severity
Collateralized loan obligations (“CLOs”) specific inputs:• Collateral characteristics• Deal-specific payment and loss allocations• Expected prepayment speed, conditional default rates, loss
• severity
Credit spreads• Credit rating data
Valued using observable market prices or data.

Level 2 or 3

Level 1 or 2

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Classifications in the fairvalue hierarchy

Product/instrument

Valuation methodology

Derivatives

Actively traded derivatives, e.g., exchange traded derivatives, that are
Level 1valued using quoted prices.
Derivatives that are valued using models such as the Black-Scholes option Level 2 or 3
pricing model, simulation models, or a combination of models that may
use observable or unobservable valuation inputs as well as considering
the contractual terms.
The key valuation inputs used will depend on the type of derivative andthe nature of the underlying instruments and may include equity prices,
commodity prices, foreign exchange rates, volatilities, correlations, CDS
spreads, recovery rates and prepayment speed.
In addition, specific inputs used for derivatives that are valued based onmodels with significant unobservable inputs are as follows:
Interest rate and FX exotic derivatives specific inputs include:• Interest rate curve• Interest rate volatility• Interest rate spread volatility• Bermudan switch value• Interest rate correlation• Interest rate-FX correlation• Foreign exchange correlation
Credit derivatives specific inputs include:• Credit correlation between the underlying debt instruments
Equity derivatives specific inputs include:• Forward equity price• Equity volatility• Equity correlation• Equity-FX correlation• Equity-IR correlation
Commodity derivatives specific inputs include:• Forward commodity price• Commodity volatility• Commodity correlation
Additionally, adjustments are made to reflect counterparty credit quality(CVA) and the impact of funding (FVA).
Refer to Mortgage servicing rights in Note 16.
Level 3
Net asset value (“NAV”)
Level 1
• NAV is supported by the ability to redeem and purchase at the NAV
level• Adjustments to the NAV as required, for restrictions on redemption(a)(e.g., lock-up periods or withdrawal limitations) or where observable Level 2 or 3
activity is limited
Valued using observable market information, where available.
Level 2 or 3

Mortgage servicing rights(“MSRs”)
Fund investments (e.g., mutual/collective investment funds,
private equity funds, hedge
funds, and real estate funds)

Beneficial interests issued byconsolidated VIEs

In the absence of observable market information, valuations are based on
the fair value of the underlying assets held by the VIE.
Structured notes (included in• Valuations are based on discounted cash flow analyses that consider Level 2 or 3
deposits, short-term borrowings
the embedded derivative and the terms and payment structure ofand long-term debt)
the note.
• The embedded derivative features are considered using models suchas the Black-Scholes option pricing model, simulation models, or a
combination of models that may use observable or unobservablevaluation inputs, depending on the embedded derivative. The
specific inputs used vary according to the nature of the embedded
derivative features, as described in the discussion above regarding
derivatives valuation. Adjustments are then made to this basevaluation to reflect the Bank’s own credit risk (DVA).
(a) Excludes certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

17Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents the assets and liabilities reported at fair value as of December 31, 2023 and 2022, by major
product category and fair value hierarchy.
Assets and liabilities measured at fair value on a recurring basis
Fair value hierarchy
December 31, 2023 (in millions)
Federal funds sold and securities purchased under resale agreements
Securities borrowed
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)Residential – nonagency
Commercial – nonagency
Total mortgage-backed securities
U.S. Treasury, GSEs and government agencies(a)Obligations of U.S. states and municipalities
Certificates of deposit, bankers’ acceptances and commercial paper
Non-U.S. government debt securities
Corporate debt securities
Loans
Asset-backed securities
Total debt instruments
Equity securities
Physical commodities(b)Other
Total debt and equity instruments(c)Derivative receivables:
Interest rate
CreditForeign exchange
EquityCommodity
Total derivative receivables
Total trading assets
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)Residential – nonagency
Commercial – nonagency
Total mortgage-backed securities
U.S. Treasury and government agencies
Obligations of U.S. states and municipalities
Non-U.S. government debt securities
Corporate debt securities
Asset-backed securities:
Collateralized loan obligations
Other
Total available-for-sale securities
Loans
Mortgage servicing rights
Other assets(d)Total assets measured at fair value on a recurring basis

Level 1$$

Deposits
Federal funds purchased and securities loaned or sold under repurchase agreements
Short-term borrowings
Trading liabilities:
Debt and equity instruments(c)Derivative payables:
Interest rate
CreditForeign exchange
EquityCommodity
Total derivative payables
Total trading liabilities
Accounts payable and other liabilities
Long-term debt$

Total liabilities measured at fair value on a recurring basis

$

18

— $
—

Level 2
162,977
20,541

Level 3$——

Derivative netting
adjustments(e)Total fair value$— $162,977—
20,541————
37,419——24,846———62,26584,5031,380—
148,148

9,465
756
278
10,499
769
3,565
278
55,17824,261
7,831
399
102,780546
2,433
18,776
124,535

758
4
5
767
—
5
—
179
211
606
—
1,768
41
—
142
1,951

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—

10,223760
283
11,26638,1883,570
278
80,20324,472
8,437
399
166,81385,090
3,813
18,918274,634

817—

301,350
8,376

4,322
1,056

(280,229)(8,867)26,260
565

149
—
—
966
149,114208,604
54,205
19,498592,033
716,568

1,097
6,447
189
13,111
15,062(191,832)(55,278)(14,729)(550,935)(550,935)

18,0185,374
4,958
55,175329,809————57,683—13,095—85,1703,639
2,803
91,612
122
21,367
8,187
87

—
—
—
—
—
—
—
—

—
—
—
—
—
—
—
—

85,1703,639
2,803
91,61257,80521,367
21,282
87——
70,778——
7,957
227,849 $

6,752
2,771
130,898
35,537—3,131
1,069,652

—
—
—
3,054
8,522
179
26,817— $——76,68867,067
8,712

$
$

1,836
—
1,548

$
$

—
—
—
—
—
—
(550,935) $

6,752
2,771
201,676
38,591
8,522
11,267773,383— $——78,52467,067
10,26051,341

24,12730—

75,498

1,087
—
147
—
—
1,234
52,575
7,361—

281,813
11,366
216,916
55,392
19,518585,005
609,132845
18,209

6,375
776
1,164
6,827
481
15,623
15,65349
10,790(278,417)(11,068)(205,622)(56,669)(14,722)(566,498)(566,498)——

10,8581,074
12,6055,550
5,277
35,364
110,862
8,255
28,99959,936 $780,653(566,498) $303,967$

29,876$

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Fair value hierarchy
December 31, 2022 (in millions)
Federal funds sold and securities purchased under resale agreements
Securities borrowed
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)Residential – nonagency
Commercial – nonagency
Total mortgage-backed securities
U.S. Treasury, GSEs and government agencies(a)Obligations of U.S. states and municipalities
Certificates of deposit, bankers’ acceptances and commercial paper
Non-U.S. government debt securities
Corporate debt securities
Loans
Asset-backed securities
Total debt instruments
Equity securities
Physical commodities(b)Other
Total debt and equity instruments(c)Derivative receivables:
Interest rate
CreditForeign exchange
EquityCommodity
Total derivative receivables
Total trading assets
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)Residential – nonagency
Commercial – nonagency
Total mortgage-backed securities
U.S. Treasury and government agencies
Obligations of U.S. states and municipalities
Non-U.S. government debt securities
Corporate debt securities
Asset-backed securities:
Collateralized loan obligations
Other
Total available-for-sale securities
Loans
Mortgage servicing rights
Other assets(d)Total assets measured at fair value on a recurring basis
Deposits
Federal funds purchased and securities loaned or sold under repurchase agreements
Short-term borrowings
Trading liabilities:
Debt and equity instruments(c)Derivative payables:
Interest rate
CreditForeign exchange
EquityCommodity
Total derivative payables
Total trading liabilities
Accounts payable and other liabilities
Long-term debt
Total liabilities measured at fair value on a recurring basis

Level 1
$

$
$

$

— $
—

Level 2
193,945
22,454

Level 3$——

Derivative netting
adjustments(e)Total fair value— $193,945—
22,454

$

—
—
—
—
9,402
—
—
18,213———
27,61557,996
8,454—
94,065

6,746
1,200
354
8,300
16
4,825
210
48,224
18,6875,720
596
86,578
1,942
16,205
19,416
124,141

742
4
—
746
—
5
—
155
201
687
1
1,795
166
—
347
2,308

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—

7,488
1,204
354
9,046
9,418
4,830
210
66,592
18,888
6,407
597
115,988
60,10424,65919,763
220,514

856
—
169
—
—
1,025
95,090354,320
9,252
241,003
43,962
34,517683,054807,195

4,089
717
1,427
8,537
369
15,13917,447(331,521)(8,885)(219,326)(45,459)(26,121)(631,312)(631,312)

27,744
1,084
23,273
7,040
8,765
67,906
288,420

3——

71,500
4,620
1,958

—
—
—

—
—
—

71,503
4,620
1,958

3
92,060—10,591—

78,078
—
6,758
9,105
97

—
—
—
—
239

—
—
—
—
—

78,081
92,0606,758
19,696336——
102,654——7,105
204,849 $
— $
—
—

5,792
3,067
102,897
40,401—
5,411
1,172,303
26,57675,327
6,539

—
—
239
1,394
7,973
143
27,196
2,166
—
1,257

46,832

21,73076—

68,638

556
—
161
—
—
717
47,5497,084—

331,4889,409
252,605
45,03730,918669,457
691,187623
15,497

5,787
618
866
7,431
543
15,245
15,321
53
11,648(322,378)(9,294)(234,810)(45,582)(25,364)(637,428)(637,428)——

15,453733
18,822
6,886
6,097
47,991
116,629
7,760
27,14554,633 $815,749(637,428) $263,399$$$

30,445

$
$

$

—
—
—
—
—
—
(631,312) $
— $
—
—

5,792
3,067
205,790
41,795
7,973
12,659773,036
28,74275,3277,796(a) At December 31, 2023 and 2022, included total U.S. GSE obligations of $37.3 billion and $27.7 billion, respectively, which were mortgage-related.
(b) Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding
fair value less costs to sell (“transaction costs”). Transaction costs for the Bank’s physical commodities inventories are either not applicable or immaterial to the value of theinventory. Therefore, net realizable value approximates fair value for the Bank’s physical commodities inventories. When fair value hedging has been applied (or when net
realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted forchanges in fair value. Refer to Note 6 for a further discussion of the Bank’s hedge accounting relationships. To provide consistent fair value disclosure information, all physicalcommodities inventories have been included in each period presented.
(c) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

19Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)(d) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fairvalue hierarchy. At December 31, 2023 and 2022 the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds,
were $48 million and $8 million, respectively.
(e) As permitted under U.S. GAAP, the Bank 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.
Additionally, includes derivative receivables and payables with affiliates on a net basis. Refer to Note 21 for information regarding our derivative activities with affiliates.

Level 3 valuations
The Bank has established well-structured processes fordetermining fair value, including for instruments where fairvalue is estimated using significant unobservable inputs(level 3). Refer to pages 14-17 of this Note for further
information on the Bank’s valuation process and a detailed
discussion of the determination of fair value for individual
financial instruments.
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 Bank. 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 fair value
hierarchy, judgments used to estimate fair value are moresignificant than those required when estimating the fairvalue of instruments classified within levels 1 and 2.

In the Bank’s view, the input range, weighted and arithmetic
average values do not reflect the degree of input
uncertainty or an assessment of the reasonableness of theBank’s estimates and assumptions. Rather, they reflect thecharacteristics of the various instruments held by the Bankand the relative distribution of instruments within the rangeof 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 andweighted and arithmetic average values will therefore varyfrom period-to-period and parameter-to-parameter basedon the characteristics of the instruments held by the Bankat each balance sheet date.

In arriving at an estimate of fair value for an instrument
within level 3, management must first determine theappropriate valuation model or other valuation technique touse. Second, due to the lack of observability of significant
inputs, management must assess relevant empirical data inderiving valuation inputs including transaction details, yield
curves, interest rates, prepayment speed, default rates,
volatilities, correlations, prices (such as commodity, equity
or debt prices), valuations of comparable instruments,
foreign exchange rates and credit curves.
The following table presents the Bank’s primary level 3
financial instruments, the valuation techniques used tomeasure the fair value of those financial instruments, thesignificant unobservable inputs, the range of values for
those inputs and the weighted or arithmetic averages ofsuch inputs. While the determination to classify an
instrument within level 3 is based on the significance of theunobservable 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 theunobservable components. The level 1 and/or level 2 inputs
are not included in the table. In addition, the Bank manages
the risk of the observable components of level 3 financial
instruments using securities and derivative positions thatare classified within levels 1 or 2 of the fair value hierarchy.
The range of values presented in the table is representativeof the highest and lowest level input used to value thesignificant groups of instruments within a product/
instrument classification. Where provided, the weighted
averages of the input values presented in the table arecalculated based on the fair value of the instruments thatthe input is being used to value.

20

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Level 3 inputs(a)December 31, 2023
Product/Instrument

Fair value(in millions)

Residential mortgage-backed securities
and loans(b)$Commercial mortgage-backed securities
and loans(c)Corporate debt securities
Loans(d)Non-U.S. government debt securities
Net interest rate derivatives

Net credit derivatives

Net foreign exchange derivatives

Net equity derivatives

Net commodity derivatives

1,739

Principal valuation
technique
Discounted cash flows

Unobservable inputs(g)Range of input values

Average(i)

Yield

0%

72%

7%

Prepayment speed

3%

12%

9%

Conditional default rate

0%

6%

0%

Loss severity

0%

110%

3%

1,431

Market comparables

Price

$32

$84

$81

211

Market comparables

Price

$0

$242

$86

1,257

Market comparables

Price

$0

$108

$79

179

Market comparables

Price

$2

$109

$91

Option pricing

Interest rate volatility
Interest rate spread
volatility

25bps

420bps120bps

37bps

77bps

64bps

Bermudan switch value

0%

54%

21%

Interest rate correlation

(82)%

90%

19%

IR-FX correlation

(35)%

60%

5%

(2,060)7

Discounted cash flows

Prepayment speed

0%

20%

5%

248

Discounted cash flows

Credit correlation

35%

70%

51%

Credit spread

0bps

3,617bps

384bpsRecovery rate

10%

90%

55%

32

Market comparables

Price

$0

$115

$71

(1)

Option pricing

IR-FX correlation

(40)%

60%

21%

(66)

Discounted cash flows

Prepayment speed

(380)

(292)

Option pricing

Option pricing

11%

11%

Interest rate curve

2%

6%

4%

Forward equity price(h)

74%

148%

100%

Equity volatility

3%

151%

27%

Equity correlation

15%

100%

58%

Equity-FX correlation

(88)%

65%

(31)%

Equity-IR correlation

(19)%

20%

12%

Oil commodity forward$84 / BBL

$270 / BBL$177 / BBL

Natural gas commodity
forward$2 / MMBTU$6 / MMBTU$4 / MMBTU

Commodity volatility

17%

20%

18%

Commodity correlation

(35)%

98%

31%

MSRs

8,522

Discounted cash flows

Refer to Note 16

Long-term debt, short-term borrowings,
and deposits(e)12,977

Option pricing

Interest rate volatility

25bps

420bps120bpsBermudan switch value

0%

54%

21%

Interest rate correlation

(82)%

90%

19%

IR-FX correlation

(35)%

60%

5%

Equity correlation

15%

100%

58%

Equity-FX correlation

(88)%

65%

(31)%

Equity-IR correlation

(19)%

20%

12%

Credit correlation

35%

70%

51%

Yield

5%

20%

12%

Loss severity

0%

100%

50%

1,197

Other level 3 assets and liabilities, net(f)Discounted cash flows

288(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 thecharacteristics of the instruments can differ.
(b) Comprises U.S. GSE and government agency securities of $758 million, nonagency securities of $4 million and non-trading loans of $977 million.
(c) Comprises nonagency securities of $5 million, trading loans of $65 million and non-trading loans of $1.4 billion.
(d) Comprises trading loans of $541 million and non-trading loans of $716 million.
(e) Long-term debt, short-term borrowings and deposits include structured notes issued by the Bank 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 withthose presented for derivative receivables.
(f) Includes other equity instruments of $120 million with level 3 inputs comparable to net equity derivatives. All other level 3 assets and liabilities are insignificant bothindividually 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 internalvaluation techniques. The price input is expressed assuming a par value of $100.
(h) Forward equity price is expressed as a percentage of the current equity price.
(i) Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

21

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Changes in and ranges of unobservable inputs
The following discussion provides a description of the
impact on a fair value measurement of a change in each
unobservable input in isolation, and the interrelationshipbetween unobservable inputs, where relevant andsignificant. The impact of changes in inputs may not be
independent, as a change in one unobservable input may
give rise to a change in another unobservable input. Where
relationships do exist between two unobservable inputs,
those relationships are discussed below. Relationships may
also exist between observable and unobservable inputs (forexample, as observable interest rates rise, unobservableprepayment rates decline); such relationships have notbeen included in the discussion below. In addition, for eachof the individual relationships described below, the inverse
relationship would also generally apply.
The following discussion also provides a description of
attributes of the underlying instruments and externalmarket factors that affect the range of inputs used in thevaluation of the Bank’s positions.
Yield – The yield of an asset is the interest rate used to
discount future cash flows in a discounted cash flow
calculation. An increase in the yield, in isolation, would
result in a decrease in a fair value measurement.
Credit spread – The credit spread is the amount ofadditional annualized return over the market interest ratethat a market participant would demand for taking
exposure to the credit risk of an instrument. The credit
spread for an instrument forms part of the discount rateused in a discounted cash flow calculation. Generally, an
increase in the credit spread would result in a decrease in afair value measurement.
The yield and the credit spread of a particular mortgagebacked security primarily reflect the risk inherent in the
instrument. The yield is also impacted by the absolute levelof the coupon paid by the instrument (which may notcorrespond directly to the level of inherent risk). Therefore,
the range of yield and credit spreads reflects the range ofrisk inherent in various instruments owned by the Bank. The
risk inherent in mortgage-backed securities is driven by thesubordination of the security being valued and thecharacteristics of the underlying mortgages within thecollateralized pool, including borrower FICO scores, loan-tovalue (“LTV”) ratios for residential mortgages and thenature of the property and/or any tenants for commercial
mortgages. For corporate debt securities, obligations of U.S.
states and municipalities and other similar instruments,
credit spreads reflect the credit quality of the obligor andthe tenor of the obligation.
Prepayment speed – The prepayment speed is a measure of
the voluntary unscheduled principal repayments of aprepayable obligation in a collateralized pool. Prepayment
speeds generally decline as borrower delinquencies rise. An
increase in prepayment speeds, in isolation, would result in
22

a decrease in a fair value measurement of assets valued at
a premium to par and an increase in a fair value
measurement of assets valued at a discount to par.
Prepayment speeds may vary from collateral pool tocollateral pool, and are driven by the type and location of
the underlying borrower, and the remaining tenor of theobligation as well as the level and type (e.g., fixed or
floating) of interest rate being paid by the borrower.
Typically collateral pools with higher borrower credit
quality have a higher prepayment rate than those withlower borrower credit quality, all other factors being equal.
Conditional default rate – The conditional default rate is ameasure of the reduction in the outstanding collateralbalance underlying a collateralized obligation as a result ofdefaults. While there is typically no direct relationshipbetween conditional default rates and prepayment speeds,
collateralized obligations for which the underlying collateral
has high prepayment speeds will tend to have lower
conditional default rates. An increase in conditional default
rates would generally be accompanied by an increase inloss severity and an increase in credit spreads. An increasein the conditional default rate, in isolation, would result in adecrease in a fair value measurement. Conditional default
rates reflect the quality of the collateral underlying asecuritization and the structure of the securitization itself.
Based on the types of securities owned in the Bank’s
market-making portfolios, conditional default rates aremost typically at the lower end of the range presented.
Loss severity – The loss severity (the inverse concept is therecovery rate) is the expected amount of future realized
losses resulting from the ultimate liquidation of a particularloan, expressed as the net amount of loss relative to theoutstanding loan balance. An increase in loss severity is
generally accompanied by an increase in conditional default
rates. An increase in the loss severity, in isolation, would
result in a decrease in a fair value measurement.
The loss severity applied in valuing a mortgage-backed
security depends on factors relating to the underlying
mortgages, including the LTV ratio, the nature of thelender’s lien on the property and other instrument-specificfactors.
Correlation – Correlation is a measure of the relationshipbetween the movements of two variables. Correlation is apricing input for a derivative product where the payoff isdriven by one or more underlying risks. Correlation inputs
are related to the type of derivative (e.g., interest rate,credit, equity, foreign exchange and commodity) due to thenature of the underlying risks. When parameters are
positively correlated, an increase in one parameter will
result in an increase in the other parameter. Whenparameters are negatively correlated, an increase in one
parameter will result in a decrease in the other parameter.
An increase in correlation can result in an increase or adecrease in a fair value measurement. Given a short

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

correlation position, an increase in correlation, in isolation,
would generally result in a decrease in a fair value
measurement.
The level of correlation used in the valuation of derivatives
with multiple underlying risks depends on a number offactors including the nature of those risks. For example, thecorrelation between two credit risk exposures would be
different than that between two interest rate risk
exposures. Similarly, the tenor of the transaction may also
impact the correlation input, as the relationship between
the underlying risks may be different over different time
periods. Furthermore, correlation levels are very muchdependent on market conditions and could have a relatively
wide range of levels within or across asset classes overtime, particularly in volatile market conditions.
Volatility – Volatility is a measure of the variability inpossible returns for an instrument, parameter or market
index given how much the particular instrument, parameteror index changes in value over time. Volatility is a pricing
input for options, including equity options, commodity
options, and interest rate options. Generally, the higher thevolatility of the underlying, the riskier the instrument. Givena long position in an option, an increase in volatility, inisolation, would generally result in an increase in a fairvalue measurement.
The level of volatility used in the valuation of a particular
option-based derivative depends on a number of factors,
including the nature of the risk underlying the option (e.g.,
the volatility of a particular equity security may besignificantly different from that of a particular commodity
index), the tenor of the derivative as well as the strike priceof the option.
Bermudan switch value – The switch value is the difference
between the overall value of a Bermudan swaption, which
can be exercised at multiple points in time, and its mostexpensive European swaption and reflects the additional
value that the multiple exercise dates provide the holder.
Switch values are dependent on market conditions and canvary greatly depending on a number of factors, such as thetenor of the underlying swap as well as the strike price ofthe option. An increase in switch value, in isolation, would
generally result in an increase in a fair value measurement.

Forward price – The forward price is the price at which thebuyer agrees to purchase the asset underlying a forward
contract on the predetermined future delivery date, and issuch that the value of the contract is zero at inception.
The forward price is used as an input in the valuation ofcertain derivatives and depends on a number of factors
including interest rates, the current price of the underlying
asset, and the expected income to be received and costs to
be incurred by the seller as a result of holding that asset
until the delivery date. An increase in the forward can resultin an increase or a decrease in a fair value measurement.
Changes in level 3 recurring fair value measurements
The following tables include a rollforward of theConsolidated balance sheets amounts (including changes infair value) for financial instruments classified by the Bank
within level 3 of the fair value hierarchy for the years ended
December 31, 2023, 2022 and 2021. When adetermination is made to classify a financial instrument
within level 3, the determination is based on thesignificance of the unobservable inputs to the overall fairvalue measurement. However, level 3 financial instruments
typically include, in addition to the unobservable or level 3
components, observable components (that is, componentsthat are actively quoted and can be validated to externalsources); accordingly, the gains and losses in the tablebelow include changes in fair value due in part toobservable factors that are part of the valuation
methodology. The Bank 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, thegains or losses in the following tables do not reflect theeffect of the Bank’s risk management activities related tosuch level 3 instruments.

Interest rate curve – The interest rate curve represents therelationship of interest rates over differing tenors. Theinterest rate curve is used to set interest rate and foreignexchange derivative cash flows and is also a pricing input
used in the discounting of any derivative cash flow.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

23

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Fair value measurements using significant unobservable inputs

Fairvalue atJanuary
1, 2023

Year ended
December 31, 2023
(in millions)Total
realized/unrealized
gains/(losses)(g)

Purchases

(h)

Sales

Settlements

Transfers
intolevel 3

Fairvalue atDec. 31,2023

Transfers(out of)level 3

Change inunrealized gains/(losses) related
to financial
instruments heldat Dec. 31, 2023

Assets:(a)Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government
agencies
$

742 $

4

224 $

(126)

(86) $— $— $Residential – nonagency

4

5

$

—

(6)

$

—

1

—

758
4

$

—

4

Commercial – nonagency

—

(1)

—

—

—

6

—

5

(1)

Total mortgage-backed
securities

746

8

224

(132)

(86)

7

—

767

3

Obligations of U.S. statesand municipalities

5

—

—

—

—

—

—

5

—

Non-U.S. government debt
securities

155

74

217

(254)

—

22

(35)

179

74

Corporate debt securities

201

16

196

(192)

—

70

(80)

211

11

Loans

687

5

954

(467)

(457)

384

(500)

606

26

Asset-backed securities

1

—

6

(10)

—

3

—

—

—

Total debt instruments

1,795

103

1,597

(1,055)

(543)

486

(615)

1,768

114

Equity securities

166

(30)

100

(181)

(16)

157

(155)

41

(37)

Other

347

(107)

160

—

(220)

6

(44)

142

25

1,857

(1,236)

(779)

649

(814)

1,951

102

Total trading assets – debt
and equity instruments

2,308(34) (c)(1,698)

218

252

(470)

996

(1,062)(289)(2,053)

11

99

305

(56)

(32)

(28)

(33)

25

280

224

(c)

(b)

Net derivative receivables:
Interest rate
CreditForeign exchange

561

(26)

151

(229)

(220)

117

(421)

(67)

(176)

Equity

1,106

(326)

2,911

(2,785)(1,219)

629

(696)

(380)

(825)

Commodity

(174)

(177)

61

(294)

87

(2)

207

(292)

(122)

Total net derivative
receivables(106)(6) (c)

3,319(3,810)

(384)

(351)

(1,174)(2,512)(888) (c)

239

24

—

(225)

—

—

(38)

—

—

239

24

(d)

—

(225)

—

—

(38)

—

—

(d)

288

(c)

2,398

(120)

(1,147)1,305(1,064)

3,054

274

(c)

467

(e)

1,281

(188)

(1,011)

—

—

8,522

467

(e)

36

(c)

—

—

—

—

—

179

36

(c)

Available-for-sale securities:
Corporate debt securities
Total available-for-salesecurities
Loans

1,394

Mortgage servicing rights
Other assets

7,973
143

Fair value measurements using significant unobservable inputs

Year ended
December 31, 2023
(in millions)

Total
Fair value
realized/
at January unrealized
1, 2023 (gains)/losses Purchases

Issuances Settlements(h)SalesTransfers
intolevel 3

Fairvalue atDec. 31,2023

Transfers(out of)level 3

Change inunrealized(gains)/losses
related tofinancial
instruments heldat Dec. 31, 2023

(a)Liabilities:
Deposits

Short-term borrowings$ 2,166 $
1,257

97

(c)(f)

141(c)(f)

$

— $

— $

—

—

940 $

$

74

(c)(f)(1,042) $— $(325) $ 1,836

4,192(4,031)

2

(13)

1,548

(4) (c)(f)Trading liabilities – debt andequity instruments

76(14) (c)

(31)

7

—

—

9

(17)

30

(2) (c)Accounts payable and otherliabilities

53(4) (c)

—

—

—

—

—

—

49

(4) (c)

—

—

4,626

(5,981)51(399)

10,790Long-term debt

24

11,648845(c)(f)

650(c)(f)

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Fair value measurements using significant unobservable inputs

Total
realized/unrealized
gains/(losses)Fairvalue atJanuary
1, 2022

Year ended
December 31, 2022
(in millions)Purchases(g)SalesSettlements(h)$$Transfers
intolevel 3

Transfers(out of)level 3

Fairvalue atDec. 31,2022

Change inunrealized gains/(losses) related
to financial
instruments heldat Dec. 31, 2022(a)Assets:Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs andgovernment agencies
$

254 $

29

643

$ (102)

— $

— $

742

Residential – nonagency

9

(1)

—

—

—

—

(4)

4

—

Commercial – nonagency

1

—

—

—

—

2

(3)

—

—

264

28

643

(102)

(82)

2

(7)

746

29

5

—

—

—

—

—

—

5

—

Total mortgage-backed
securities
Obligations of U.S. statesand municipalities
Non-U.S. government debt
securities(82) $

$

29

81

(92)

494

(338)

(4)

84

(70)

155

(145)

Corporate debt securities

267

(24)

126

(170)

(61)

147

(84)

201

(48)

Loans

654

(38)

596

(582)

(228)

920

(635)

687

(11)

Asset-backed securities

4

—

—

—

—

1

(4)

1

—

Total debt instruments

1,275

(126)

1,859

(1,192)

(375)

1,154

(800)

1,795

(175)

Equity securities

32

(835)

357

(270)

—

923

(41)

166

(652)

Other

602

(47)

702

—

(902)

3

(11)

347

(85)

1,909

(1,008) (c)2,918(1,462)(1,277)

2,080

(852)

2,308

(912) (c)(2,834)

1,142

311

(967)

306

718

(374)

(1,698)

1,155

88

225

16

(10)

(196)

6

(30)

99

170

Foreign exchange

(356)

773

214

(175)

98

3

4

561

495

Equity

(778)

2,530

2,933

(3,210)

(23)

343

(689)

1,106

1,628

Commodity

(962)

756

114

(331)

242

7

—

(174)

555

(4,842)

5,426

3,588

(4,693)

427

1,077

(1,089)

(106)

4,003

161

5

Total trading assets – debt
and equity instruments(b)

Net derivative receivables:
Interest rate
CreditTotal net derivative
receivables

(c)

(c)

Available-for-sale securities:
Corporate debt securities
Total available-for-salesecurities
Loans
Mortgage servicing rights
Other assets

161
1,904
5,494
77

88

—

(15)

—

—

239

5

5

(d)

88

—

(15)

—

—

239

5

(108)

(c)

454

(261)

(818)

1,053

(830)

1,394

(76) (c)

2,039

(e)

2,198

(822)

(936)

—

—

7,973

2,039

(e)

68

(c)

—

—

(2)

—

—

143

68

(c)

Fair
value atDec. 31,2022

Change inunrealized(gains)/losses
related tofinancial
instruments heldat Dec. 31, 2022(d)

Fair value measurements using significant unobservable inputs

Year ended
December 31, 2022
(in millions)
Liabilities:(a)Deposits
Short-term borrowings
Trading liabilities – debt andequity instruments
Accounts payable and otherliabilities
Long-term debt

Fair
Total
value atrealized/
January
unrealized
1, 2022 (gains)/losses Purchases

Sales

IssuancesSettlements(h)$ 2,329 $ (296) (c)(f)

$

$

$

2,376

(461)

(c)(f)

$

—

—

531

(115) $

Transfers
intolevel 3

Transfers(out of)level 3

— $(283) $ 2,166$(76) (c)(f)

—

—

3,859

(4,519)

16

(14)

1,257

86

(c)(f)(c)29(45) (c)

(22)

69

—

—

52

(7)

76

76

69

(16) (c)

—

—

—

—

—

—

53

(16) (c)

—

—

5,283

(5,836)549(577) 11,648(1,360) (c)(f)

13,925(1,696)(c)(f)

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

25

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Fair value measurements using significant unobservable inputs

Fairvalue atJanuary
1, 2021

Year ended
December 31, 2021
(in millions)Total
realized/unrealized
gains/(losses)

Purchases(g)Settlements(h)SalesTransfers
intolevel 3

Fairvalue atDec. 31,2021

Transfers(out of)level 3

Change inunrealized gains/(losses) related
to financial
instruments heldat Dec. 31, 2021(a)

Assets:Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs andgovernment agencies
$

— $

— $

254

Residential – nonagency

13

(1)

—

(2)

—

—

(1)

9

(1)

Commercial – nonagency

1

—

—

—

—

—

—

1

—

401

(29)

—

(2)

(105)

—

(1)

264

(29)

—

—

5

—

Total mortgage-backed
securities

387 $ (28)

$

—

$

—

$

(105) $$

(28)

Obligations of U.S. statesand municipalities
Non-U.S. government debt
securities

5

—

—

—

—

182

(14)

359

(332)

(7)

—

(107)

81

(10)

Corporate debt securities

441

(33)

390

(485)

(4)

152

(194)

267

(15)

Loans

874

18

935

(669)

(259)

629

(874)

654

5

Asset-backed securities

3

19

35

(55)

—

2

—

4

(1)

Total debt instruments

1,906

(39)

1,719

(1,543)

(375)

783

(1,176)

1,275

(50)

Equity securities

124

(17)

42

(181)

—

120

(56)

32

(66)

Other

344

79

1,067

—

(814)

27

(101)

602

43

2,374

23

2,828

(1,724)(1,189)930(1,333)

1,909(73) (c)Total trading assets – debt
and equity instruments

(c)

(b)

Net derivative receivables:
Interest rate

194

(718)

(1,773)113(88)(2,834)615

Credit

(205)

129

6

(12)

142

34

(6)

88

140

Foreign exchange

(372)

(252)

112

(123)

273

(20)

26

(356)

1

(1,175) 2,815

3,418(7,562)

996

446

284

(778)

2,400

148

(495)

840

3

(19)

(962)

(445)

3,878

(8,910)

478

576

197

(4,842)

2,711

(1)

162

—

—

—

—

161

(1)

EquityCommodity
Total net derivative
receivables(2,509) 1,947

(770)

(669)

(5,031) 3,970

(c)

(c)

Available-for-sale securities:
Corporate debt securities
Total available-for-salesecurities

—

(1)

162

—

—

—

—

161

(1)

Loans

2,274

(89) (c)

552

(437)

(903)

1,298

(791)

1,904

(59) (c)Mortgage servicing rights

3,276

98

(e)

3,022

(114)

(788)

—

—

5,494

98

(e)

20

(c)

—

—

—

—

—

77

19

(c)

Other assets—

57

Fair value measurements using significant unobservable inputs

Year ended
December 31, 2021
(in millions)
Liabilities:(a)Deposits
Short-term borrowings
Trading liabilities – debt andequity instruments
Accounts payable and otherliabilities
Long-term debt

Fairvalue atJanuary
1, 2021

Total
realized/unrealized(gains)/losses$ 2,948 $ (77) (c)(f)49
60
14,397

$

—

Sales
$

—

Issuances Settlements(g)
$

432 $

(487) $

Fair
value atDec. 31,2021

Transfers(out of)level 32 $(489) $ 2,329$(73) (c)(f)

—

—

6,665

(5,108)

9

(74)

2,376

(97) (c)(f)(7) (c)

(97)

32

—

—

63

(11)

29

(184) (c)

9

—

—

—

—

—

—

69

9

(c)

—

—

7,569

(7,443)79(625) 13,925

37(c)(f)

2,314 (1,430)(c)(f)

Purchases

Transfers
intolevel 3

Change inunrealized(gains)/losses
related tofinancial
instruments heldat Dec. 31, 2021(c)(52) (c)(f)(a) Level 3 assets at fair value as a percentage of total Bank assets at fair value (including assets measured at fair value on a nonrecurring basis) were 4% at both December 31,
2023 and 2022 and 3% at December 31, 2021. Level 3 liabilities at fair value as a percentage of total Bank liabilities at fair value (including liabilities measured at fair value
on a nonrecurring basis) were 10%, 12% and 14% at December 31, 2023, 2022 and 2021, respectively.
(b) All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.

26

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

(c) Predominantly reported in principal transactions revenue, except for changes in fair value for mortgage loans, and lending-related commitments originated with the intent tosell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.
(d) Realized gains/(losses) on AFS securities are reported in investment securities gains/(losses). Unrealized gains/(losses) are reported in OCI. Realized and unrealized gains/(losses) recorded on level 3 AFS securities were not material for the years ended December 31, 2023, 2022 and 2021.
(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 years ended
December 31, 2023, 2022 and 2021. Unrealized (gains)/losses are reported in OCI, and were $(79) million, $(143) million, and $235 million for the years ended
December 31, 2023, 2022 and 2021, 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.

Level 3 analysis
Consolidated balance sheets changes
The following describes significant changes to level 3 assets
since December 31, 2022, for those items measured at fairvalue on a recurring basis. Refer to Assets and liabilities
measured at fair value on a nonrecurring basis on page 29
for further information on changes impacting items
measured at fair value on a nonrecurring basis.
For the year ended December 31, 2023
Level 3 assets were $26.8 billion at December 31, 2023,
reflecting a decrease of $379 million from December 31,
2022.
The decrease for the year ended December 31, 2023 wasdriven by:•$2.0 billion decrease in gross derivative receivables due
to settlements and net transfers largely offset by gains
and purchases.

•$978 million of gross interest rate derivative
receivables as a result of an increase in observability
and a decrease in the significance of unobservable
inputs.

•$3.3 billion of gross equity derivative receivables and$2.6 billion of gross equity derivative payables as aresult of an increase in observability and a decrease in
the significance of unobservable inputs.

•$1.1 billion of non-trading loans as a result of anincrease in observability and a decrease in thesignificance of unobservable inputs.

During the year ended December 31, 2022, significant
transfers from level 2 into level 3 included the following:•$2.1 billion of total debt and equity instruments,
predominantly due to equity securities of $923 million
driven by a decrease in observability as a result of
restricted access to certain markets and trading loans of$920 million driven by a decrease in observability.

•$1.6 billion of gross interest rate derivative receivables
and $909 million of gross interest rate derivative
payables as a result of a decrease in observability andan increase in the significance of unobservable inputs.

•$3.0 billion of gross equity derivative receivables and$2.6 billion of gross equity derivative payables as aresult of a decrease in observability and an increase in
the significance of unobservable inputs.

•$1.1 billion of non-trading loans driven by a decrease inobservability.

predominantly offset by:•$1.7 billion increase in non-trading loans largely due to$1.1 billion of loans in CIB associated with First
Republic.

Refer to the sections below for additional information.
Transfers between levels for instruments carried atfair value on a recurring basis
During the year ended December 31, 2023, significant
transfers from level 2 into level 3 included the following:•$1.0 billion of gross interest rate derivative receivables
as a result of a decrease in observability and an increasein the significance of unobservable inputs and $2.1
billion of gross interest rate derivative payables as aresult of transition to term SOFR for certain interest rate
options.

During the year ended December 31, 2022, significant
transfers from level 3 into level 2 included the following:•$852 million of total debt and equity instruments,
largely due to trading loans, driven by an increase inobservability.

•$1.2 billion of gross interest rate derivative receivables
and $811 million of gross interest rate derivative
payables as a result of an increase in observability and adecrease in the significance of unobservable inputs.

•$3.6 billion of gross equity derivative receivables and$2.9 billion of gross equity derivative payables as aresult of an increase in observability and a decrease in
the significance of unobservable inputs.

•$830 million of non-trading loans driven by an increasein observability.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

27

•

•

$2.1 billion of gross equity derivative receivables and$1.5 billion of gross equity derivative payables as aresult of a decrease in observability and an increase in
the significance of unobservable inputs.
$1.3 billion of non-trading loans driven by a decrease inobservability.

During the year ended December 31, 2023, significant
transfers from level 3 into level 2 included the following:•$814 million of total debt and equity instruments,
largely due to trading loans, driven by an increase inobservability.

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

During the year ended December 31, 2021, significant
transfers from level 2 into level 3 included the following:• $930 million of total debt and equity instruments,
largely due to trading loans, driven by a decrease inobservability.

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 years
ended December 31, 2023, 2022 and 2021.

•$2.2 billion of gross equity derivative receivables and$1.7 billion of gross equity derivative payables as aresult of a decrease in observability and an increase in
the significance of unobservable inputs.

•$1.3 billion of non-trading loans driven by a decrease inobservability.

These amounts exclude any effects of the Bank’s risk
management activities where the financial instruments areclassified as level 1 and 2 of the fair value hierarchy. Refer
to Changes in level 3 recurring fair value measurements
rollforward tables on pages 23–27 for further informationon these instruments.

During the year ended December 31, 2021, significant
transfers from level 3 into level 2 included the following:•$1.3 billion of total debt and equity instruments, largely
due to trading loans, driven by an increase inobservability.

•$2.9 billion of gross equity derivative receivables and$3.2 billion of gross equity derivative payables as aresult of an increase in observability and a decrease in
the significance of unobservable inputs.

•$791 million of non-trading loans driven by an increasein observability

All transfers are based on changes in the observability and/or significance of the valuation inputs and are assumed tooccur at the beginning of the quarterly reporting period inwhich they occur.

2023• $775 million of net gains on assets, largely driven by
gains in MSRs reflecting lower prepayment speeds onhigher rates.
•$1.1 billion of net losses on liabilities, predominantly
driven by losses in long-term debt due to market
movements.

2022• $6.4 billion of net gains on assets, largely driven by
gains in net equity derivative receivables due to market
movements and gains in MSRs reflecting lower
prepayment speeds on higher rates.
•$2.5 billion of net gains on liabilities, largely driven by adecline in the fair value of long-term debt due to market
movements.

2021• $4.0 billion of net gains on assets, driven by gains in net
interest rate derivative receivables and net equity
derivative receivables due to market movements.
•$1.6 billion of net gains on liabilities, predominantly
driven by gains in short-term borrowings due to market
movements.

Refer to Note 16 for information on MSRs.

28

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Assets and liabilities measured at fair value on a nonrecurring basis
The following tables present the assets and liabilities held as of December 31, 2023 and 2022, for which nonrecurring fairvalue adjustments were recorded during the years ended December 31, 2023 and 2022, by major product category and fairvalue hierarchy.
December 31, 2023
(in millions)
Loans
Other assets(a)Total assets measured at fair value on a nonrecurring basis$$

Accounts payable and other liabilities
Total liabilities measured at fair value on a nonrecurring basis
December 31, 2022
(in millions)
Loans
Other assets
Total assets measured at fair value on a nonrecurring basis
Accounts payable and other liabilities$$$

Total liabilities measured at fair value on a nonrecurring basis$

Fair value hierarchy
Level 1
Level 2
— $
464
$
—
32
— $
496
$
—

—

— $

—

Level 3
1,051
859
1,910

Total fair value
$
1,515
891
$
2,406

—

—

$

—

Fair value hierarchy
Level 1
Level 2
— $
630
$
—
36
— $
666
$
—
—

Level 3
450
535
985
84

— $

—

$

84

$

—

Total fair value
$
1,080
571
$
1,651
84
$

84

(a) Included impairments on certain equity method investments, as well as equity securities without readily determinable fair values that were adjusted basedon observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative). Of the $859
million in level 3 assets measured at fair value on a nonrecurring basis as of December 31, 2023, $200 million related to equity securities adjusted basedon 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.

Nonrecurring fair value changes
The following table presents the total change in value of
assets and liabilities for which fair value adjustments havebeen recognized for the years ended December 31, 2023,
2022 and 2021, related to assets and liabilities held at
those dates.
December 31, (in millions)
Loans
Other assets(a)Accounts payable and otherliabilities
Total nonrecurring fair value
gains/(losses)2023$ (271)(323)

2022$ (57)(4)2021$ (48)
(36)

—

(83)

5

$ (594)$ (144)$ (79)(a) At both December 31, 2023 and 2022, included $62 million of net
gains/(losses) as a result of the measurement alternative, and was notmaterial for the year ended December 31, 2021. The current periodalso included impairments on certain equity method investments.

Refer to Note 13 for further information about themeasurement of collateral-dependent loans.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

29

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Equity securities without readily determinable fair values
The Bank measures certain equity securities without readily determinable fair values at cost less impairment (if any), plus orminus observable price changes from an identical or similar investment of the same issuer (i.e., measurement alternative),with such changes recognized in other income.
In its determination of the new carrying values upon observable price changes, the Bank may adjust the prices if deemednecessary to arrive at the Bank’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 Bank’s valuation techniques forprivate equity direct investments.
The following table presents the carrying value of equity securities without readily determinable fair values held as ofDecember 31, 2023 and 2022, 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 thenonrecurring fair value tables when applicable price changes are observable.
As of or for the year ended December 31,(in millions)

2023

2022

Other assets
Carrying value(a)

$

452 $

639

Upward carrying value changes

62

63

Downward carrying value changes/impairment(c)

—

(1)

(b)

(a) 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 December 31, 2023 were $180 million.
(c) The cumulative downward carrying value changes/impairment between January 1, 2018 and December 31, 2023 were $(21) million.

Included in other assets above is the Bank’s interest in approximately 37 million Visa Class B common shares (“Visa B shares”).
These shares are subject to certain transfer restrictions and are convertible into Visa Class A common shares (“Visa A shares”)
at a specified conversion rate upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa B
shares to Visa A shares was 1.5875 at December 31, 2023 and may be adjusted by Visa depending on developments related
to the litigation matters. The outcome of those litigation matters, and the effect that the resolution of those matters may haveon the conversion rate, is unknown. Accordingly, as of December 31, 2023, there is significant uncertainty regarding when thetransfer restrictions on Visa B shares may be terminated and what the final conversion rate for the Visa B shares will be. As aresult of these considerations, as well as differences in voting rights, Visa B shares are not considered to be similar to Visa A
shares, and they continue to be held at their nominal carrying value.
In connection with prior sales of Visa B shares, the Bank has entered into derivative instruments with the purchasers of theshares under which the Bank retains the risk associated with changes in the conversion rate. Under the terms of the derivative
instruments, the Bank will (a) make or receive payments based on subsequent changes in the conversion rate and (b) makeperiodic interest payments to the purchasers of the Visa B shares. The payments under the derivative instruments will continue
as long as the Visa B shares remain subject to transfer restrictions. The derivative instruments are accounted for at fair value
using a discounted cash flow methodology based upon the Bank’s estimate of the timing and magnitude of final resolution of
the litigation matters. The derivative instruments are recorded in trading liabilities, and changes in fair value are recognized inother income. As of December 31, 2023, the Bank held derivative instruments associated with 23 million Visa B shares thatthe Bank had previously sold, which are all subject to similar terms and conditions.
On January 24, 2024, Visa filed a Current Report on Form 8-K with the SEC announcing that Visa’s stockholders approved
amendments to its Certificate of Incorporation that redenominate the Visa B shares to Visa Class B-1 common shares (“VisaB-1 shares”) and authorize Visa to conduct one or more exchange offers (“the Program”) which, if conducted, would have theeffect of releasing transfer restrictions on a portion of Visa's B-1 shares through an exchange for Visa Class C common shares(“Visa C shares”). The Program would entitle the Bank to exchange its Visa B-1 shares, for Visa Class B-2 common shares(“Visa B-2 shares”) and Visa C shares, through an initial exchange offer if and when conducted by Visa. The Visa B-2 shareswould continue to be subject to the transfer restrictions associated with the Visa B shares. The Bank is then entitled to sell the
Visa C shares received after a brief lock-up period expires, and Visa is also authorized to extend offers for potential futureexchanges, each enabling the release of additional Visa B shares if certain conditions are met. The timing and likelihood of any
initial or future exchange offer is dependent upon actions taken by Visa and other factors that may be outside of the Bank’s
control.

30

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)amounts that approximate fair value, due to their shortterm nature and generally negligible credit risk. These
instruments include cash and due from banks, deposits withbanks, federal funds sold, securities purchased under resaleagreements and securities borrowed, short-term
receivables and accrued interest receivable, short-termborrowings, federal funds purchased, securities loaned andsold under repurchase agreements, accounts payable, andaccrued liabilities. In addition, U.S. GAAP requires that thefair value of deposit liabilities with no stated maturity (i.e.,demand, savings and certain money market deposits) beequal to their carrying value; recognition of the inherent
funding value of these instruments is not permitted.

Additional disclosures about the fair value of financial
instruments that are not carried on the Consolidatedbalance sheets at fair value
U.S. GAAP requires disclosure of the estimated fair value ofcertain financial instruments, which are included in thefollowing table. However, this table does not include otheritems, such as nonfinancial assets, intangible assets, certain
financial instruments, and customer relationships. In theopinion of management, these items, in the aggregate, add
significant value to the Bank.
Financial instruments for which carrying value approximatesfair value
Certain financial instruments that are not carried at fairvalue on the Consolidated balance sheets are carried at

The following table presents, by fair value hierarchy classification, the carrying values and estimated fair values at
December 31, 2023 and 2022, 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.
December 31, 2023
Estimated fair value hierarchy(in billions)
Financial assets
Cash and due from banks
Deposits with banks
Accrued interest and accounts
receivable
Federal funds sold and securities
purchased under resaleagreements
Securities borrowed
Investment securities, held-tomaturity
Loans, net of allowance for loan
losses(a)OtherFinancial liabilities
Deposits
Federal funds purchased andsecurities loaned or sold under
repurchase agreements
Short-term borrowings(b)Accounts payable and otherliabilities
Beneficial interests issued byconsolidated VIEs
Long-term debt(b)
(a)

(b)

Carrying
value$

Level 1

Level 2

Level 3

December 31, 2022
Estimated fair value hierarchy
Total
estimated
fair value

— $
28.8
—
593.7

Carrying
value$

Level 1

27.3 $ 27.3
538.7
538.5

Level 2$—0.2

Level 3$Total
estimated
fair value

28.8 $ 28.8 $
593.7
593.2

— $
0.5

66.9

—

66.8

0.1

66.9

89.0

—

88.9

0.1

89.0

63.7
40.7

—
—

63.7
40.7

—
—

63.7
40.7

65.5
31.2

—
—

65.5
31.2

—
—

65.5
31.2

369.8

160.6

182.2

—

342.8

425.3

189.1

199.5

—

388.6

1,259.2
71.2

—
—

282.1
70.0

961.8
1.4

1,243.9
71.4

1,071.5
63.5

—
—

191.0
62.4

851.7
1.1

1,042.7
63.5$ 2,419.7 $— $ 2,420.1 $— $ 2,420.1$ 2,412.0 $—$ 2,411.9

7.5
1.7

—
—

7.5
1.7

—
—

7.5
1.7

10.6
2.3

—
—

10.6
2.3

—
—

10.6
2.3

127.5

—

119.0

8.0

127.0

120.1

—

113.9

5.5

119.4

23.2
177.9

—
—

23.2
125.8

—
51.3

23.2
177.1

13.4
48.0

—
—

13.4
45.1

—
2.8

13.4
47.9

$

— $
27.3
—
538.7

— $ 2,411.9

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, andprimary 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.
Includes FHLB advances in level 2 of Long-term debt and Short-term borrowings and the Purchase Money Note in level 3 of Long-term debt associatedwith First Republic. Refer to Notes 20 and 29 for additional information.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

31

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The majority of the Bank’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidatedbalance sheets. The carrying value and the estimated fair value of these wholesale lending-related commitments were as
follows for the periods indicated.
December 31, 2023
Estimated fair value hierarchy(in billions)
Wholesale lendingrelated commitments

Carrying
value(a)(b)(c)
$

3.0 $

Level 1

Level 2
— $Level 3— $December 31, 2022
Estimated fair value hierarchy
Total
estimated
fair value

4.8 $

4.8

Carrying
value(a)(b)
$

2.3 $

Level 1

Level 2
— $Level 3— $Totalestimated
fair value

3.1 $

3.1

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of theguarantees.
(b) Includes the wholesale allowance for lending-related commitments.
(c) As of December 31, 2023, includes fair value adjustments associated with First Republic for other unfunded commitments to extend credit totaling $1.1
billion recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to Notes 26 and 29 for additional information.

The Bank does not estimate the fair value of consumer off-balance sheet lending-related commitments. In many cases, the Bank can

reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. Refer topage 16 of this Note for a further discussion of the valuation of lending-related commitments.

32

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 4 – Fair value option
The fair value option provides an option to elect fair value
for selected financial assets, financial liabilities,
unrecognized firm commitments, and written loan
commitments.
The Bank has elected to measure certain instruments at fairvalue for several reasons including to mitigate income
statement volatility caused by the differences between themeasurement basis of elected instruments (e.g., certain
instruments that otherwise would be accounted for on an
accrual basis) and the associated risk management
arrangements that are accounted for on a fair value basis,
as well as to better reflect those instruments that aremanaged on a fair value basis.

The Bank’s election of fair value includes the following
instruments:
•

•
•

•

•

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Loans purchased or originated as part of securitization
warehousing activity, subject to bifurcation accounting,or managed on a fair value basis, including lendingrelated commitments
Certain securities financing agreements
Owned beneficial interests in securitized financial assetsthat contain embedded credit derivatives, which would
otherwise be required to be separately accounted for asa derivative instrument
Structured notes and other hybrid instruments, which
are predominantly financial instruments that containembedded derivatives, that are issued or transacted aspart of client-driven activities
Certain long-term beneficial interests issued byconsolidated securitization trusts where the underlying
assets are carried at fair value

33

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

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 years ended
December 31, 2023, 2022 and 2021, 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.
2023

December 31, (in millions)

Principaltransactions

2022

All otherincomeTotalchanges infair value
recorded(e)Principaltransactions

$

$

2021

All otherincomeTotalchanges infair value
recorded(e)Principaltransactions

All otherincomeTotalchanges infair value
recorded(e)Federal funds sold andsecurities purchased underresale agreements
$

184 $

—

(209) $—

(209) $

(70)

Securities borrowed

135

—

135

(497)

—

(497)

(200)

—

(200)

3,251

—

3,251

(2,009)—(2,009)(2,189)(1) (c)(2,190)Changes in instrumentspecific credit risk

278

—

278

(137)

—

(137)

361

—

361

Other changes in fair
value

(3)

5

(c)

2

(59)

—

(59)

(1)

—

(1)

Changes in instrumentspecific credit risk

309(4) (c)

305

(243)

21

(c)

(222)

586

(7) (c)579

Other changes in fair value

428

216

(c)

644

(1,338)(794) (c)(2,132)

(162)

(c)

1,894

250

—

250

1

—

1

5

(1) (d)4(2,593)—(2,593)

908

—

908

(211)

—

(211)

Federal funds purchased andsecurities loaned or soldunder repurchaseagreements

(137)

—

(137)

570

—

570

184

—

184

Short-term borrowings(a)

(532)

—

(532)

1,226

—

1,226

(386)

—

(386)

Trading liabilities

—

—

—

(1)

—

(1)

1

—

1

Other liabilities

(16)

—

(16)

(11)

—

(11)

(17)

—

(17)

(3,142)

2,494

103

2,597

(1,167)

4

184

$

$

—

$

(70)

Trading assets:
Debt and equity
instruments, excluding
loans
Loans reported as trading
assets:Loans:

Other assets(a)

Deposits

Long-term debt(a)(b)(3,063)(79) (c)(d)(c)(d)

2,056(c)(d)(1,163)(a) Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are recorded in OCI,
while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded inprincipal transactions revenue were not material for the years ended December 31, 2023, 2022 and 2021.
(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 suchrisk.
(c) Reported in mortgage fees and related income.
(d) Reported in other income.
(e) Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than certain hybrid
financial instruments. Refer to Note 8 for further information regarding interest income and interest expense.

34

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Determination of instrument-specific credit risk for items
for which the fair value option was elected
The following describes how the gains and losses that are
attributable to changes in instrument-specific credit risk,
were determined.
• Loans and lending-related commitments: For floatingrate instruments, all changes in value are attributed to
instrument-specific credit risk. For fixed-rate
instruments, an allocation of the changes in value forthe period is made between those changes in value thatare interest rate-related and changes in value that are
credit-related. Allocations are generally based on an
analysis of borrower-specific credit spread and recovery

information, where available, or benchmarking tosimilar entities or industries.
Long-term debt: Changes in value attributable to
instrument-specific credit risk were derived principallyfrom observable changes in the Bank’s credit spread as
observed in the bond market.
Securities financing agreements: Generally, for thesetypes of agreements, there is a requirement thatcollateral be maintained with a market value equal to or
in excess of the principal amount loaned; as a result,
there would be no adjustment or an immaterial
adjustment for instrument-specific credit risk related tothese agreements.

••

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 principalbalance outstanding as of December 31, 2023 and 2022, for loans, long-term debt and long-term beneficial interests forwhich the fair value option has been elected.
2023

December 31, (in millions)2022

Contractual
principal
outstanding

Fair value$$

Fair value
over/(under)contractual
principal
outstanding

Contractual
principal
outstanding

Fair value

Fair value
over/(under)contractual
principal
outstanding

Loans
Nonaccrual loans
Loans reported as trading assets

518 $(1,777) $

1,890

Loans

2,295
832

730

(102)

881

$

826

297 $

(1,593)(55)

Subtotal

3,127

1,248

(1,879)

2,771

1,123

(1,648)

65

58

(7)

202

115

(87)

90 or more days past due and government guaranteed
Loans(a)All other performing loans(b)Loans reported as trading assets

9,058

7,919

(1,139)

7,365

6,110

(1,255)Loans

38,65637,803(853)

42,27240,854(1,418)Subtotal

47,71445,722(1,992)

49,637

46,964(2,673)$47,028 $(3,878) $52,61048,202 $(4,408)$6,751 $

(282) $

6,364

5,900 $

(464)

Total loans$

50,906

$

7,033

$

Long-term debt
Principal-protected debt(c)

Nonprincipal-protected debt

NA

Total long-term debt

NA

(d)

$

22,248NANA

28,999

NA

NA

(d)

$
$

21,245NA

27,145NA(a) These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.
(b) There were no performing loans that were ninety days or more past due as of December 31, 2023 and 2022.
(c) Remaining contractual principal is not applicable to nonprincipal-protected structured notes. Unlike principal-protected structured notes, for which the
Bank is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes do not obligate the Bank to return a statedamount of principal at maturity, but 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 Bank as issuer for both nonprincipal-protected and principal-protected notes.
(d) Where the Bank 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 Bank’s next call date.

At December 31, 2023 and 2022, the contractual amount of lending-related commitments for which the fair value option waselected was $9.5 billion and $7.4 billion, respectively, with a corresponding fair value of $95 million and $24 million,
respectively. Refer to Note 26 for further information regarding off-balance sheet lending-related financial instruments.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

35

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 5 – Credit risk concentrations
Concentrations of credit risk arise when a number of clients,
counterparties or customers are engaged in similarbusiness activities or activities in the same geographic
region, or when they have similar economic features thatwould cause their ability to meet contractual obligations tobe similarly affected by changes in economic conditions.
The Bank regularly monitors various segments of its credit
portfolios to assess potential credit risk concentrations andto obtain additional collateral when deemed necessary andpermitted under the Bank’s agreements. Senior
management is significantly involved in the credit approval
and review process, and risk levels are adjusted as needed
to reflect the Bank’s risk appetite.

In the Bank’s consumer portfolio, concentrations aremanaged primarily by product and by U.S. geographic
region, with a key focus on trends and concentrations at theportfolio level, where potential credit risk concentrations
can be remedied through changes in underwriting policies
and portfolio guidelines. Refer to Note 13 for additional
information on the geographic composition of the Bank’s
consumer loan portfolios. In the wholesale portfolio, credit
risk concentrations are evaluated primarily by industry andmonitored regularly on both an aggregate portfolio leveland on an individual client or counterparty basis.
The Bank’s wholesale exposure is managed through loan
syndications and participations, loan sales, securitizations,credit derivatives, master netting agreements, collateraland other risk-reduction techniques. Refer to Note 13 foradditional information on loans.
The Bank does not believe that its exposure to any
particular loan product or industry segment results in asignificant concentration of credit risk.
Terms of loan products and collateral coverage are includedin the Bank’s assessment when extending credit andestablishing its allowance for credit losses. Refer to Note 14
for additional information on the allowance for credit
losses.

36

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The table below presents both on–balance sheet and off–balance sheet consumer and wholesale credit exposure by the Bank’s
three credit portfolio segments as of December 31, 2023 and 2022. The wholesale industry of risk category is generally based on
the client or counterparty’s primary business activity.
2023
December 31, (in millions)
Consumer, excluding credit card
Credit card(a)Total consumer(a)Wholesale(b)Creditexposure(h)(i)$2022

On-balance sheet
Off-balance
Loans
Derivatives
sheet(k)455,475 $ 410,072
1,126,793
211,123$

Creditexposure(h)On-balance sheet
Loans
Derivatives— $ 45,403—
915,670$ 344,861 $ 311,343
1,006,459
185,175

(j)

$

—
—

Off-balance
sheet(k)$33,518821,284

1,582,268

621,195—

961,073

1,351,320

496,518—

854,802

Real Estate
Individuals and Individual Entities(c)208,146
144,315

166,257
124,853420
725

41,46918,737

170,857
129,987

131,681
119,597

249
433

38,927
9,957

Asset Managers
Consumer & Retail

128,374
127,049

52,173
46,260

9,905
2,014

66,29678,77591,952
120,551

39,97045,865

14,065
1,647

37,91773,039Technology, Media & Telecommunications
Industrials

77,04675,06722,45026,545

2,451
1,335

52,14547,187

71,996
72,47921,622
26,955

2,950
1,770

47,42443,754

Healthcare
Banks & Finance Companies

64,84657,45023,09233,872

1,574
3,339

40,18020,23962,44951,77022,91932,248

1,648
3,104

37,882
16,418

Utilities
State & Municipal Govt(d)35,86435,854

7,018
19,887

3,297
442

25,54915,52535,86733,6508,975
17,954

3,114
582

23,778
15,114

Oil & Gas
Automotive

34,47533,9778,480
17,459705
428

25,29016,09038,66733,287

9,633
14,735

5,118
529

23,91618,023Chemicals & Plastics
Insurance

20,69820,351

6,442
2,425

441
7,138

13,815
10,78819,946
20,823

5,766
2,387

398
7,859

13,782
10,577

Central Govt
Transportation

17,704
16,053

5,463
5,073

10,668555

1,573
10,425

19,07815,004

3,167
4,999

12,938
567

2,973
9,438

Metals & Mining
Securities Firms

15,507
7,020

4,655
721

274
3,282

10,5783,017

15,903
6,037

5,398
406

462
3,371

10,043
2,260

Financial Markets Infrastructure
All other(e)4,248
134,28886
96,542

2,152
4,030

2,010
33,716

4,942
122,85413
87,103

3,030
4,072

1,899
31,6791,258,332

669,753

55,175

533,404

1,138,099

601,393

67,906

468,800

29,172
10,93429,172—————35,074
10,96935,074—————

67,906
67,906

468,800$1,323,602

Subtotal
Loans held-for-sale and loans at fairvalue
Receivables from customers(f)Total wholesale
Total exposure(g)(h)1,298,438
698,925$ 2,880,706 $1,320,120

55,175
533,404$ 55,175 $1,494,477

1,184,142
636,467$ 2,535,462 $1,132,985$(a) Also includes commercial card lending-related commitments.
(b) The industry rankings presented in the table as of December 31, 2022, are based on the industry rankings of the corresponding exposures at December 31, 2023,
not actual rankings of such exposures at December 31, 2022.
(c) Individuals and Individual Entities predominantly consists of global private bank clients and includes exposure to personal investment companies and personal andtestamentary trusts.
(d) In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at December 31, 2023 and 2022, noted above, the Bank held:$3.6 billion and $4.8 billion, respectively, of trading assets; $21.4 billion and $6.8 billion, respectively, of AFS securities; and $9.9 billion and $19.7 billion,
respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 3 and Note 11 for further information.
(e) All other includes: SPEs and Private education and civic organizations, representing approximately 94% and 6%, respectively, at December 31, 2023 and
95% and 5%, respectively, at December 31, 2022. Refer to Note 15 for more information on exposures to SPEs.
(f) Receivables from customers reflect held-for-investment margin loans to brokerage clients that are collateralized by assets maintained in the clients’ brokerage
accounts (including cash on deposit, and primarily liquid and readily marketable debt or equity securities).
(g) Excludes cash placed with banks of $612.4 billion and $555.4 billion, at December 31, 2023 and 2022, respectively, which is predominantly placed with various
central banks, primarily Federal Reserve Banks.
(h) Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative
receivables or loans and liquid securities and other cash collateral held against derivative receivables.
(i) Included credit exposure associated with First Republic consisting of $102.2 billion in the consumer, excluding credit card portfolio, and $89.6 billion in thewholesale portfolio predominantly in Real Estate, Asset Managers, and Individuals and Individual Entities.
(j) At December 31, 2023 and 2022, included $94 million and $350 million of loans in Business Banking under the PPP, respectively. PPP loans are guaranteed by the
SBA. Other than in certain limited circumstances, the Bank typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses onthese loans.
(k) Represents lending-related financial instruments.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

37

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 6 – Derivative instruments
Derivative contracts derive their value from underlying
asset prices, indices, reference rates, other inputs or a
combination of these factors and may expose
counterparties to risks and rewards of an underlying asset
or liability without having to initially invest in, own or
exchange the asset or liability. The Bank makes markets inderivatives for clients and also uses derivatives to hedge ormanage its own risk exposures. Predominantly all of theBank’s derivatives are entered into for market-making or
risk management purposes.
Market-making derivatives
The majority of the Bank’s derivatives are entered into formarket-making purposes. Clients use derivatives to mitigate
or modify interest rate, credit, foreign exchange, equity andcommodity risks. The Bank actively manages the risks fromits exposure to these derivatives by entering into otherderivative contracts or by purchasing or selling otherfinancial instruments that partially or fully offset the
exposure from client derivatives.
Risk management derivatives
The Bank manages certain market and credit risk exposuresusing derivative instruments, including derivatives in hedge
accounting relationships and other derivatives that are used
to manage risks associated with specified assets andliabilities.
The Bank generally uses interest rate derivatives to manage
the risk associated with changes in interest rates. Fixed-rate
assets and liabilities appreciate or depreciate in market
value as interest rates change. Similarly, interest income
and expense increase or decrease as a result of variablerate assets and liabilities resetting to current market rates,
and as a result of the repayment and subsequentorigination or issuance of fixed-rate assets and liabilities atcurrent market rates. Gains and losses on the derivative
instruments related to these assets and liabilities are
expected to substantially offset this variability.
Foreign currency derivatives are used to manage theforeign exchange risk associated with certain foreign
currency–denominated (i.e., non-U.S. dollar) assets andliabilities and forecasted transactions, as well as the Bank’s
net investments in certain non-U.S. subsidiaries or branches
whose functional currencies are not the U.S. dollar. As aresult of fluctuations in foreign currencies, the U.S. dollar–
equivalent values of the foreign currency–denominatedassets and liabilities or the forecasted revenues or expenses
increase or decrease. Gains or losses on the derivative
instruments related to these foreign currency–denominatedassets or liabilities, or forecasted transactions, are expected
to substantially offset this variability.
Commodities derivatives are used to manage the price riskof certain commodities inventories. Gains or losses on thesederivative instruments are expected to substantially offset
the depreciation or appreciation of the related inventory.

38

Credit derivatives are used to manage the counterparty
credit risk associated with loans and lending-related
commitments. Credit derivatives compensate the purchaser
when the entity referenced in the contract experiences acredit event, such as bankruptcy or a failure to pay an
obligation when due. Credit derivatives primarily consist of
CDS. Refer to the Credit derivatives section on pages 49-51
of this Note for a further discussion of credit derivatives.
Refer to the risk management derivatives gains and losses
table on page 49 and the hedge accounting gains and losses
tables on pages 46-49 of this Note for more information
about risk management derivatives.
Derivative counterparties and settlement types
The Bank enters into over-the-counter (“OTC”) derivatives
with third parties and JPMorgan Chase affiliates, which arenegotiated and settled bilaterally with the derivative
counterparty. The Bank also enters into, as principal,
certain exchange-traded derivatives (“ETD”) such as futuresand options, and “cleared” over-the-counter (“OTCcleared”) derivative contracts with central counterparties(“CCPs”). ETD contracts are generally standardized
contracts traded on an exchange and cleared by the CCP,
which is the Bank’s counterparty from the inception of thetransactions. OTC-cleared derivatives are traded on abilateral basis and then novated to the CCP for clearing.
Derivative clearing services
The Bank provides clearing services for clients in which the
Bank acts as a clearing member at certain exchanges andclearing houses. The Bank does not reflect the clients’derivative contracts in its Consolidated Financial
Statements. Refer to Note 26 for further information on the
Bank’s clearing services.
Accounting for derivatives
All free-standing derivatives that the Bank executes for its
own account are required to be recorded on theConsolidated balance sheets at fair value.
As permitted under U.S. GAAP, the Bank nets derivative
assets and liabilities, and the related cash collateral
receivables and payables, when a legally enforceable
master netting agreement exists between the Bank and thederivative counterparty. Refer to Note 1 for further
discussion of the offsetting of assets and liabilities. The
accounting for changes in value of a derivative depends onwhether or not the transaction has been designated andqualifies for hedge accounting. Derivatives that are notdesignated as hedges are reported and measured at fairvalue through earnings. The tabular disclosures on pages
42-49 of this Note provide additional information on theamount of, and reporting for, derivative assets, liabilities,
gains and losses. Refer to Notes 3 and 4 for a further
discussion of derivatives embedded in structured notes.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Derivatives designated as hedges
The Bank applies hedge accounting to certain derivatives
executed for risk management purposes – generally interest
rate, foreign exchange and commodity derivatives.
However, the Bank does not seek to apply hedge accounting
to all of the derivatives associated with its risk management
activities. For example, the Bank does not apply hedge
accounting to purchased CDS used to manage the credit riskof loans and lending-related commitments, because of the
difficulties in qualifying such contracts as hedges. For thesame reason, the Bank does not apply hedge accounting tocertain interest rate and foreign exchange derivatives used
for risk management purposes.
To qualify for hedge accounting, a derivative must be highly
effective at reducing the risk associated with the exposure
being hedged. In addition, for a derivative to be designatedas a hedge, the risk management objective and strategy
must be documented. Hedge documentation must identify
the derivative hedging instrument, the asset or liability or
forecasted transaction and type of risk to be hedged, andhow the effectiveness of the derivative is assessed
prospectively and retrospectively. To assess effectiveness,
the Bank uses statistical methods such as regression
analysis, nonstatistical methods such as dollar-value
comparisons of the change in the fair value of the derivative
to the change in the fair value or cash flows of the hedged
item, and qualitative comparisons of critical terms and theevaluation of any changes in those terms. The extent towhich a derivative has been, and is expected to continue tobe, highly effective at offsetting changes in the fair value orcash flows of the hedged item must be assessed anddocumented at least quarterly. If it is determined that aderivative is not highly effective at hedging the designatedexposure, hedge accounting is discontinued.
There are three types of hedge accounting designations: fairvalue hedges, cash flow hedges and net investment hedges.
The Bank uses fair value hedges primarily to hedge fixedrate long-term debt, AFS securities and certain commodities
inventories. For qualifying fair value hedges, the changes in
the fair value of the derivative, and in the value of thehedged item for the risk being hedged, are recognized inearnings. Certain amounts excluded from the assessment ofeffectiveness are recorded in OCI and recognized inearnings over the life of the derivative. If the hedge
relationship is terminated, then the adjustment to thehedged item continues to be reported as part of the basis of
the hedged item and, for interest-bearing financial

instruments, is amortized to earnings as a yield adjustment.
Derivative amounts affecting earnings are recognizedconsistent with the classification of the hedged item –primarily net interest income and principal transactions
revenue.
Effective January 1, 2023, the Bank adopted the new
portfolio layer method hedge accounting guidance which
expanded the ability to hedge a portfolio of fixed-rate
assets to allow more types of assets to be included in theportfolio, and to allow more of the portfolio to be hedged.
The Bank employs the Portfolio Layer Method to manage
the interest rate risk of portfolios of fixed-rate assets.
Throughout the life of the open hedge, basis adjustments
are maintained at the portfolio level and are only allocatedto individual assets under certain circumstances. These
include instances where the portfolio amount falls below
the hedged layer amounts, or in cases of voluntary dedesignation.
The Bank uses cash flow hedges primarily to hedge theexposure to variability in forecasted cash flows fromfloating-rate assets and liabilities and foreign currency–
denominated revenue and expense. For qualifying cash flow
hedges, changes in the fair value of the derivative arerecorded in OCI and recognized in earnings as the hedged
item affects earnings. Derivative amounts affecting
earnings are recognized consistent with the classification of
the hedged item – primarily noninterest revenue, net
interest income and compensation expense. If the hedge
relationship is terminated, then the change in value of thederivative recorded in accumulated other comprehensive
income/(loss) (“AOCI”) is recognized in earnings when the
cash flows that were hedged affect earnings. For hedge
relationships that are discontinued because a forecasted
transaction is expected to not occur according to theoriginal hedge forecast, any related derivative values
recorded in AOCI are immediately recognized in earnings.
The Bank uses net investment hedges to protect the valueof the Bank’s net investments in certain non-U.S.
subsidiaries or branches whose functional currencies are
not the U.S. dollar. For qualifying net investment hedges,changes in the fair value of the derivatives due to changes
in spot foreign exchange rates are recorded in OCI astranslation adjustments. Amounts excluded from theassessment of effectiveness are recorded directly inearnings.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

39

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table outlines the Bank’s primary uses of derivatives and the related hedge accounting designation or disclosure
category.
Type of Derivative

Use of Derivative

Designation and disclosure

Page
referenceManage specifically identified risk exposures in qualifying hedge accounting relationships:• Interest rate

Hedge fixed-rate assets and liabilities

Fair value hedge

46-47• Interest rate

Hedge floating-rate assets and liabilities

Cash flow hedge

48• Foreign exchange

Hedge foreign currency-denominated assets and liabilities

Fair value hedge

46-47• Foreign exchange

Hedge foreign currency-denominated forecasted revenue and expense

Cash flow hedge

48• Foreign exchange

Hedge the value of the Bank’s investments in non-U.S. dollar functional
currency entities
Hedge commodity inventory

Net investment hedge

49• Commodity

Fair value hedge

Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:

46-47
49

• Interest rate

Manage the risk associated with mortgage commitments, warehouse loans and Specified risk management
MSRs

49

• Credit

Manage the credit risk associated with wholesale lending exposures

Specified risk management

49• Interest rate andforeign exchangeManage the risk associated with certain other specified assets and liabilities

Specified risk management

49

Market-making derivatives and other activities:

40• Various

Market-making and related risk management

Market-making and other49• Various

Other derivatives

Market-making and other49

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Notional amount of derivative contracts
The following table summarizes the notional amount of
free-standing derivative contracts outstanding as ofDecember 31, 2023 and 2022.
Notional amounts(b)December 31, (in billions)

2023

2022

While the notional amounts disclosed above give an
indication of the volume of the Bank’s derivatives activity,
the notional amounts significantly exceed, in the Bank’sview, the possible losses that could arise from suchtransactions. For most derivative contracts, the notionalamount is not exchanged; it is simply a reference amountused to calculate payments.

Interest rate contracts
Swaps

$

24,044$25,377

Futures and forwards

2,239

2,149

Written options

3,378

3,054

Purchased options
Total interest rate contracts

3,378
33,0393,006
33,586

Credit derivatives(a)Foreign exchange contracts
Cross-currency swaps
Spot, futures and forwards
Written options
Purchased options
Total foreign exchange contracts
Equity contracts
Swaps
Futures and forwards
Written options
Purchased options
Total equity contracts
Commodity contracts
Swaps

1,053

1,136

4,765
6,990
831
799
13,385

4,230
7,046
776
760
12,812

876
140
600
577
2,193

727
114
498
486
1,825

252

297

Spot, futures and forwards

156

138

Written options

146

131

Purchased options

126

107

Total commodity contracts
Total derivative notional amounts$

680
50,350$673
50,032(a) Refer to the Credit derivatives discussion on pages 49-51 for more
information on volumes and types of credit derivative contracts.
(b) Represents the sum of gross long and gross short notional derivative
contracts with third-parties and JPMorgan Chase affiliates. Refer toNote 21 for additional information on related party derivatives.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

41

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Impact of derivatives on the Consolidated balance sheets
The tables below include derivative receivables and payables with affiliates on a net basis. Refer to Note 21 for information
regarding our derivative activities with affiliates.
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) thatare reflected on the Bank’s Consolidated balance sheets as of December 31, 2023 and 2022, by accounting designation (e.g.,whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.
Free-standing derivative receivables and payables(a)Gross derivative receivables
December 31, 2023
(in millions)Not
designatedas hedges$ 306,489

Gross derivative payables

Designatedas hedges

Total
Net
derivative
derivative
receivables receivables(b)Notdesignatedas hedges

Designatedas hedges

Total
derivative
payablesNet
derivative
payables(b)$$$ 289,275 $ 10,858

Trading assets and liabilities
Interest rate—

$ 306,489 $

26,260$ 289,275

9,432

—

9,432

565

12,142—

12,142

1,074

Foreign exchange

209,731119

209,850

18,018

216,785

1,442

218,227

12,605Equity60,652—60,652

5,374

62,219—62,2195,550

Commodity

19,533

154

19,687

4,958

19,94653

19,9995,277

273$ 606,110 $55,175$ 600,367

Notdesignatedas hedges

Designatedas hedges

Total
derivative
payables$ 337,831$$ 337,831 $ 15,453

CreditTotal fair value of trading
assets and liabilities$ 605,837

December 31, 2022
(in millions)Not
designatedas hedges

Designatedas hedges

Total
Net
derivative
derivative
receivables receivables(b)$ 359,265$$ 359,265 $$Gross derivative receivables

$

—

1,495

$ 601,862 $ 35,364

Gross derivative payables
Net
derivative
payables(b)Trading assets and liabilities
Interest rate
Credit—27,744

—

9,969

—

9,969

1,084

10,027—

10,027733

Foreign exchange

242,220379

242,599

23,273

251,129

2,503

253,632

18,822Equity52,499—52,4997,040

52,468—52,4686,886

Commodity

33,192

1,694

34,886

8,765

29,141

2,320

31,461

6,097

2,073

$ 699,218 $

67,906

680,596

Total fair value of trading
assets and liabilities$ 697,145

$

$

4,823

$ 685,419 $ 47,991(a) Balances exclude structured notes for which the fair value option has been elected. Refer to Note 4 for further information.
(b) As permitted under U.S. GAAP, the Bank has elected to net derivative receivables and derivative payables and the related cash collateral receivables andpayables when a legally enforceable master netting agreement exists.

42

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Derivatives netting
The following tables present, as of December 31, 2023 and 2022, gross and net derivative receivables and payables bycontract 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 Bank 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 andpayables, the Bank receives and transfers additional collateral (financial instruments and cash). These amounts mitigate
counterparty credit risk associated with the Bank’s derivative instruments, but are not eligible for net presentation:• collateral that consists of liquid securities and other cash collateral held at third-party custodians, which are shown
separately as "Collateral not nettable on the Consolidated balance sheets" in the tables below, up to the fair value exposureamount;• the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as ofthe 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 notbeen either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.
2023

December 31, (in millions)
U.S. GAAP nettable derivative receivables
Interest rate contracts:
OTC
OTC–cleared
Exchange-traded(a)Total interest rate contracts
Credit contracts:
OTC
OTC–cleared
Total credit contracts
Foreign exchange contracts:
OTC
OTC–cleared
Exchange-traded(a)Total foreign exchange contracts

Grossderivative
receivables

$

2022

Amounts
netted on theNet
Consolidated derivativebalance sheets receivables

234,039 $ (209,657)
70,328(70,184)
399(388)
304,766(280,229)

Grossderivative
receivables

Amounts nettedon theConsolidatedbalance sheetsNet
derivative
receivables$ 24,382
144
11
24,537$ 263,938
92,984553
357,475$ (238,610)(92,607)(304)(331,521)$ 25,328
377
249
25,954

7,434
1,904
9,338

(6,990)(1,877)(8,867)

444
27
471

8,118
1,746
9,864

(7,181)(1,704)(8,885)

937
42
979

207,705469
6
208,180(191,371)(459)(2)(191,832)

16,33410
416,348239,0121,461
15240,488(217,908)(1,417)(1)(219,326)

21,10444
14
21,16247,021
11,51658,537(45,141)(10,137)(55,278)

1,880
1,379
3,259

38,886
10,491
49,377(36,334)(9,125)(45,459)

2,552
1,366
3,918

12,317
133
5,214
17,664(9,416)(123)(5,190)(14,729)

2,901
10
24
2,935

24,000121
9,103
33,224(17,264)(112)(8,745)(26,121)

6,736
9
358
7,103

Derivative receivables with appropriate legal opinion

598,485(550,935)

47,550690,428(631,312)

59,116

Derivative receivables where an appropriate legal
opinion has not been either sought or obtained

7,625

7,625

8,790

8,790

606,110$ 55,175$ 699,218$ 67,906

Equity contracts:
OTC
Exchange-traded(a)Total equity contracts
Commodity contracts:
OTC
OTC–cleared
Exchange-traded(a)Total commodity contracts

Total derivative receivables recognized on theConsolidated balance sheets$

Collateral not nettable on the Consolidated balance
sheets(b)(c)
Net amounts

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements(d)(22,444)(22,953)$ 32,731$ 44,953(d)

43

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Gross
derivative
payablesDecember 31, (in millions)

2023

2022

Amounts
netted on theConsolidatedbalance sheetsNet
derivative
payablesGrossderivative
payablesAmounts nettedon theConsolidatedbalance sheets

$

9,076

$ 239,068$ (225,920)$ 13,148
259

Net
derivative
payablesU.S. GAAP nettable derivative payables
Interest rate contracts:
OTC$

OTC–cleared
Exchange-traded(a)Total interest rate contracts

212,611 $ (203,535)
74,771(74,494)277

96,413(96,154)

434

(388)

46

322

(304)

18

287,816(278,417)

9,399

335,803(322,378)

13,425

10,439(9,432)

1,007

8,109

(7,649)460

Credit contracts:
OTC
OTC–cleared

1,639(1,636)

3

1,674(1,645)29

Total credit contracts

12,078(11,068)

1,010

9,783

(9,294)489

215,357(205,152)

10,205

248,604(233,393)

15,211

552

(470)

82

1,488

(1,417)

71

6

—

6

20

—

20

215,915(205,622)

10,293

250,112(234,810)

15,302

OTC

49,230(46,532)

2,698

38,846(36,469)

2,377

Exchange-traded(a)10,313(10,137)

176

9,287

(9,113)174

Total equity contracts

59,543(56,669)

2,874

48,133(45,582)

2,551

12,426(9,410)3,016

20,601(16,494)

4,107

120

(120)

—

112

(112)

—

Exchange-traded(a)5,376(5,192)

184

9,021

(8,758)263

Total commodity contracts

17,922(14,722)

3,200

29,734(25,364)

4,370

673,565(637,428)

36,137

Foreign exchange contracts:
OTC
OTC–cleared
Exchange-traded(a)Total foreign exchange contracts
Equity contracts:

Commodity contracts:
OTC
OTC–cleared

Derivative payables with appropriate legal opinion

593,274

Derivative payables where an appropriate legal
opinion has not been either sought or obtained

8,588

8,588

11,854

11,854

601,862$ 35,364$ 685,419$ 47,991

Total derivative payables recognized on theConsolidated balance sheets
Collateral not nettable on the Consolidated balance
sheets(b)(c)
Net amounts$(566,498)

26,776(d)(4,276)(2,610)$ 31,088$ 45,381(d)(a) Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b) Includes liquid securities and other cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has
been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables
balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with thatcounterparty.
(c) Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d) Net derivatives receivable included cash collateral netted of $55.3 billion and $67.5 billion at December 31, 2023 and 2022, respectively. Net derivatives
payable included cash collateral netted of $70.8 billion and $73.6 billion at December 31, 2023 and 2022, respectively. Derivative cash collateral relates
to OTC and OTC-cleared derivative instruments.

44

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Liquidity risk and credit-related contingent features
In addition to the specific market risks introduced by each derivative contract type, derivatives expose the Bank to credit risk —the risk that derivative counterparties may fail to meet their payment obligations under the derivative contracts and thecollateral, if any, held by the Bank proves to be of insufficient value to cover the payment obligation. It is the policy of the Bank
to actively pursue, where possible, the use of legally enforceable master netting arrangements and collateral agreements tomitigate derivative counterparty credit risk inherent in derivative receivables.
While derivative receivables expose the Bank to credit risk, derivative payables expose the Bank to liquidity risk, as thederivative contracts typically require the Bank to post cash or securities collateral with counterparties as the fair value of thecontracts moves in the counterparties’ favor or upon specified downgrades in JPMorgan Chase Bank, N.A.’s and its subsidiaries’
respective credit ratings. Certain derivative contracts also provide for termination of the contract, generally upon a downgradeof either the Bank or the counterparty, at the fair value of the derivative contracts. The following table shows the aggregate fairvalue 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 Bank has posted in the normal
course of business, at December 31, 2023 and 2022.

OTC and OTC-cleared derivative payables containing downgrade triggers(in millions)

December 31, 2023

Aggregate fair value of net derivative payables$

Collateral posted

14,628
14,645

December 31, 2022$

15,518
14,673

The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of the Bankand its subsidiaries at December 31, 2023 and 2022, 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 rating threshold is breached. A
downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided byanother 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 payment requirements. The liquidity impact inthe table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in thederivative contract.
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives(in millions)
Amount of additional collateral to be posted upon downgrade(a)Amount required to settle contracts with termination triggers upon downgrade(b)December 31, 2023
Single-notch
Two-notch
downgradedowngrade
$
75 $
1,153
93
583

December 31, 2022
Single-notch
Two-notch
downgradedowngrade
$
128 $
1,293
88
907

(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 Bank 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 initialtransfer. The Bank generally accounts for such transfers as collateralized financing transactions as described in Note 12, but inlimited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of suchtransfers accounted for as a sale where the associated derivative was outstanding was not material at both December 31,
2023 and 2022.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

45

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

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. Refer to Note 21 for information regarding our derivative activities with affiliates.
Fair value hedge gains and losses
The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as wellas pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2023,
2022 and 2021, respectively. The Bank includes gains/(losses) on the hedging derivative in the same line item in theConsolidated statements of income as the related hedged item.

Year ended December 31, 2023
(in millions)Contract typeInterest rate(a)(b)
Foreign exchange(c)Commodity(d)TotalYear ended December 31, 2022
(in millions)Contract typeInterest rate(a)(b)
Foreign exchange(c)Commodity(d)TotalIncome statement impact of
excluded components(e)Gains/(losses) recorded in income
Incomestatement
Derivatives
Hedged items
impact$$(656) $
(280)
1,028
92 $

1,041 $
519
(549)
1,011 $

385
239
479
1,103

Amortization
approach$$

Gains/(losses) recorded in income
Incomestatement
Derivatives
Hedged items
impact$$7,253 $
982
(35)
8,200 $

(7,463) $(877)
112(8,228) $(210) $
10577(28) $

Gains/(losses) recorded in income
Incomestatement
Derivatives
Hedged items
impact

— $
—
—
— $

Changes in fair
value
280
239
478
997

Income statement impact of
excluded components(e)Amortization
approach
— $
—
—
— $

Changes in fair
value

$

$

Changes in fair
value

—
—
—
—

OCI impact
Derivatives Gains/(losses)
recorded in OCI(f)(63) $
105
77
119 $

Income statement impact of
excluded components(e)Amortization
approach

OCI impact
Derivatives Gains/(losses)
recorded in OCI(f)

—
—
—
—

OCI impact
Derivatives Gains/(losses)
recorded in OCI(f)Year ended December 31, 2021
(in millions)Contract typeInterest rate(a)(b)
Foreign exchange(c)Commodity(d)$2,523 $
758
(8,013)(2,852) $
(726)
8,025

(329) $
32
12

— $
—
—

(311) $
32
11

—
—
—

Total

$

(4,732) $4,447 $

(285) $— $(268) $—(a) Primarily consists of hedges of the benchmark (e.g., Secured Overnight Financing Rate (“SOFR”)) interest rate risk of fixed-rate long-term debt and AFS
securities. Gains and losses were recorded in net interest income.
(b) Includes the amortization of income/expense associated with the inception hedge accounting adjustment applied to the hedged item. Excludes the accrualof interest on interest rate swaps and the related hedged items.
(c) Primarily consists of hedges of the foreign currency risk of AFS securities for changes in spot foreign currency rates. Gains and losses related to thederivatives 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 (netrealizable 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 throughamortization 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 crosscurrency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative.

46

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

As of December 31, 2023 and 2022, the following amounts were recorded on the Consolidated balance sheets related tocertain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future
periods as an adjustment to yield.

December 31, 2023
(in millions)

Cumulative amount of fair value hedging adjustments
included in the carrying amount of hedged items:
Discontinued
Active hedging
hedging(d)relationships
relationships(d)(e)Total

Carrying amountof the hedged
items(a)(b)AssetsInvestment securities - AFS$

151,752

$

3,786

(c)

$

549 $

(2,010) $(1,461)

$

22 $

61 $

83

Liabilities
Long-term debt

December 31, 2022
(in millions)

Cumulative amount of fair value hedging adjustments
included in the carrying amount of hedged items:
Discontinued
Active hedging
hedging(d)relationships
relationships(d)(e)Total

Carrying amountof the hedged
items(a)(b)AssetsInvestment securities - AFS$

84,073

$

992

(c)

$

(4,149) $(1,542) $(5,691)

$

— $

82 $

82

Liabilities
Long-term debt(a) Excludes physical commodities with a carrying value of $3.6 billion and $24.3 billion at December 31, 2023 and 2022, respectively, to which the Bank
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 Bank 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 notreverse through the income statement in future periods. At December 31, 2023 and 2022, the carrying amount excluded for AFS securities is $19.3
billion and $20.3 billion, respectively.
(c) Carrying amount represents the amortized cost, net of allowance if applicable. Effective January 1, 2023, the Bank adopted the portfolio layer method
hedge accounting guidance. At December 31, 2023, the amortized cost of the portfolio layer method closed portfolios was $83.9 billion, of which $68.0
billion was designated as hedged. The amount designated as hedged is the sum of the notional amounts of all outstanding layers in each portfolio, which
includes both spot starting and forward starting layers. The cumulative amount of basis adjustments was $(165) million, which is comprised of $73
million and $(238) million for active and discontinued hedging relationships, respectively. Refer to Note 1 and Note 11 for additional information.
(d) Positive (negative) amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce (increase) net interest income infuture periods. Positive (negative) amounts related to liabilities represent cumulative fair value hedge basis adjustments that will increase (reduce) net
interest income in future periods.
(e) Represents basis adjustments existing on the balance sheet date associated with hedged items that have been de-designated from qualifying fair value
hedging relationships.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

47

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, andthe pre-tax gains/(losses) recorded on such derivatives, for the years ended December 31, 2023, 2022 and 2021,
respectively. The Bank includes the gains/(losses) on the hedging derivative in the same line item in the Consolidated
statements of income as the change in cash flows on the related hedged item.
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)

Year ended December 31, 2023
(in millions)

Amounts reclassified
from AOCI to income

Amounts recordedin OCI$(1,838)$$(1,774)

Total change
in OCI for period

Contract typeInterest rate(a)(b)

Foreign exchange
Total

64

274

$

2,112

$

2,257

209
$

483

145

Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)

Year ended December 31, 2022
(in millions)

Amounts reclassified
from AOCI to income

Amounts recordedin OCI$$

Total change
in OCI for period

Contract typeInterest rate(a)Foreign exchange(b)
Total

(152)
(267)

$

(419)

(7,131)$(6,979)$(7,052)(340)$(7,471)(73)

Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)

Year ended December 31, 2021
(in millions)

Amounts reclassified
from AOCI to income

Amounts recordedin OCI

$

1,032

$

(2,370)

$

1,222

$

(2,303)

Total change
in OCI for period

Contract typeInterest rate(a)(b)

Foreign exchange
Total

190

$

(3,402)$(3,525)67(123)(a) Primarily consists of hedges of SOFR-indexed floating-rate assets. 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 ofgains and losses follows the hedged item – primarily noninterest revenue and compensation expense.

The Bank did not experience any forecasted transactions that failed to occur for the years ended 2023, 2022 and 2021.
Over the next 12 months, the Bank expects that approximately $(1.6) billion (after-tax) of net losses recorded in AOCI at
December 31, 2023, 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 isapproximately six 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 Bank’slonger-dated forecasted transactions relate to core lending and borrowing activities.

48

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)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 years ended December 31, 2023, 2022 and
2021.
2023
2022
Amounts
Amounts
Amounts
Amounts
recorded inrecorded inrecorded inrecorded in(a)(b)(a)(b)
incomeOCI
incomeOCI$
347 $(1,543) $(77) $
2,845

Year ended December 31,(in millions)
Foreign exchange derivatives

2021
Amounts
Amounts
recorded inrecorded in(a)(b)
incomeOCI$(168) $
2,303

(a) Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreignexchange forward contracts. The Bank 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 year ended December 31, 2023, there were nosales or liquidations of legal entities that resulted in reclassification. The amounts reclassified for the years ended December 31, 2022 and 2021 were
not material. Refer to Note 22 for further information.

Gains and losses on derivatives used for specified risk
management purposes
The following table presents pre-tax gains/(losses)
recorded on a limited number of derivatives, not designatedin hedge accounting relationships, that are used to manage
risks associated with certain specified assets and liabilities,
including certain risks arising from mortgage commitments,
warehouse loans, MSRs, wholesale lending exposures, andforeign currency denominated assets and liabilities.
Derivatives gains/(losses)
recorded in income
Year ended December 31,(in millions)Contract typeInterest rate(a)Credit(b)Foreign exchange(c)
Total

2023
$

$

(135)
(441)
(63)
(642)

$

$

2022

2021

(830)
51
51
(728)

$ 1,078(94)
73$ 1,057(a) Primarily represents interest rate derivatives used to hedge theinterest rate risk inherent in mortgage commitments, warehouse loans
and MSRs, as well as written commitments to originate warehouseloans. Gains and losses were recorded predominantly in mortgage feesand related income.
(b) Relates to credit derivatives used to mitigate credit risk associatedwith lending exposures in the Bank’s wholesale businesses. These
derivatives do not include credit derivatives used to mitigate
counterparty credit risk arising from derivative receivables, which isincluded in gains and losses on derivatives related to market-making
activities and other derivatives. Gains and losses were recorded inprincipal transactions revenue.
(c) Primarily relates to derivatives used to mitigate foreign exchange riskof specified foreign currency-denominated assets and liabilities. Gains
and losses were recorded in principal transactions revenue.

Credit derivatives
Credit derivatives are financial instruments whose value isderived from the credit risk associated with the debt of athird-party issuer (the reference entity) and which allow
one party (the protection purchaser) to transfer that risk toanother party (the protection seller). Credit derivatives
expose the protection purchaser to the creditworthiness ofthe protection seller, as the protection seller is required tomake payments under the contract when the reference
entity experiences a credit event, such as a bankruptcy, afailure to pay its obligation or a restructuring. The seller ofcredit protection receives a premium for providing
protection but has the risk that the underlying instrument
referenced in the contract will be subject to a credit event.
The Bank is both a purchaser and seller of protection in thecredit derivatives market and uses these derivatives for two
primary purposes. First, in its capacity as a market-maker,
the Bank actively manages a portfolio of credit derivatives
by purchasing and selling credit protection, predominantly
on corporate debt obligations, to meet the needs ofcustomers. Second, as an end-user, the Bank uses credit
derivatives to manage credit risk associated with lending
exposures (loans and unfunded commitments) in its
wholesale and consumer activities and derivatives
counterparty exposures in its wholesale activities, and to
manage the credit risk arising from certain financial
instruments in the Bank’s market-making activities.
Following is a summary of various types of credit
derivatives.

Gains and losses on derivatives related to market-making
activities and other derivatives
The Bank makes markets in derivatives in order to meet theneeds 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 notincluded in the hedge accounting or specified risk
management categories above are included in thiscategory. Gains and losses on these derivatives areprimarily recorded in principal transactions revenue. Refer
to Note 7 for information on principal transactions revenue.
JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

49

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Credit default swaps
Credit derivatives may reference the credit of either a single
reference entity (“single-name”), broad-based index or
portfolio. The Bank purchases and sells protection on both
single- name and index-reference obligations. Single-name
CDS and index CDS contracts are either OTC or OTC-cleared
derivative contracts. Single-name CDS are used to manage
the default risk of a single reference entity, while index CDS
contracts are used to manage the credit risk associated withthe broader credit markets or credit market segments. Like
the S&P 500 and other market indices, a CDS index consistsof a portfolio of CDS across many reference entities. New
series of CDS indices are periodically established with a newunderlying portfolio of reference entities to reflect changes
in the credit markets. If one of the reference entities in theindex experiences a credit event, then the reference entitythat defaulted is removed from the index. CDS can also bereferenced against specific portfolios of reference names oragainst customized exposure levels: for example, to provide
protection against the first $1 million of realized credit
losses in a $10 million portfolio of exposure. Suchstructures are commonly known as tranche CDS.
For both single-name CDS contracts and index CDS
contracts, upon the occurrence of a credit event, under theterms of a CDS contract neither party to the CDS contract
has recourse to the reference entity. The protection
purchaser has recourse to the protection seller for thedifference between the face value of the CDS contract andthe fair value of the reference obligation at settlement of
the credit derivative contract, also known as the recovery
value. The protection purchaser does not need to hold thedebt instrument of the underlying reference entity in orderto receive amounts due under the CDS contract when acredit event occurs.

50

Credit-related notes
A credit-related note is a funded derivative with a credit risk
component where the issuer of the credit-related notepurchases from the note investor credit protection on areference entity or an index. Under the contract, theinvestor pays the issuer the par value of the note at the
inception of the transaction, and in return, the issuer makes
periodic payments to the investor, based on the credit riskof the referenced entity. The issuer also repays the investor
the par value of the note at maturity unless the reference
entity (or one of the entities that makes up a reference
index) experiences a specified credit event. If a credit event
occurs, the issuer is not obligated to repay the par value ofthe note, but rather, the issuer pays the investor thedifference between the par value of the note and the fairvalue of the defaulted reference obligation at the time ofsettlement. Neither party to the credit-related note hasrecourse to the defaulting reference entity.
The following tables present a summary of the notionalamounts of credit derivatives and credit-related notes the
Bank sold and purchased as of December 31, 2023 and2022. Upon a credit event, the Bank as a seller ofprotection would typically pay out a percentage of the fullnotional amount of net protection sold, as the amountactually required to be paid on the contracts takes into
account the recovery value of the reference obligation at
the time of settlement. The Bank manages the credit risk oncontracts to sell protection by purchasing protection withidentical or similar underlying reference entities. Other
purchased protection referenced in the following tables
includes credit derivatives bought on related, but not
identical, reference positions (including indices, portfolio
coverage and other reference points) as well as protection
purchased by the Bank through credit-related notes. Other
purchased protection also includes credit protection against
certain loans in the retained lending portfolio through theissuance of credit derivatives and credit-related notes.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The Bank 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 valueof the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Bank’s view, therisks associated with such derivatives.
Total credit derivatives and credit-related notes
Maximum payout/Notional amount

December 31, 2023 (in millions)Protection soldProtection purchasedwith identicalunderlyings(b)$$Net protection(sold)/
purchased(c)Otherprotection
purchased(d)Credit derivatives
Credit default swaps(a)(448,674)

472,484$

23,810$

7,548

Other credit derivatives(44,252)

63,891

19,63915,816

Total credit derivatives(492,926)

536,375

43,44923,364———Credit-related notes
Total

$

(492,926)$

536,375$

43,4498,562$

31,926

Maximum payout/Notional amount

December 31, 2022 (in millions)Protection soldProtection purchasedwith identicalunderlyings(b)$$Net protection(sold)/
purchased(c)Otherprotection
purchased(d)Credit derivatives
Credit default swaps(a)(492,104)

505,795$

13,691$

3,014

Other credit derivatives(57,814)

67,1189,304

10,522

Total credit derivatives
Credit-related notes(549,918)—

572,913—

22,995—

13,536
7,198

Total

$

(549,918)$

572,913$

22,995$

20,734(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 ofprotection 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 Bank on referenced instruments (single-name, portfolio or index) where the Bank has not sold any protection on theidentical reference instrument.

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives
as of December 31, 2023 and 2022, where the Bank 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 where the Bank is thepurchaser of protection are comparable to the profile reflected below.
Protection sold – credit derivatives ratings(a)/maturity profile
December 31, 2023
(in millions)<1 year

1–5 years

Total notionalamountFair value of
receivables(b)Fair value of
payables(b)Net fair
value

$

$

$

(1,290)$ 2,468(1,124)

1,470(2,414)$ 3,938>5 years

Risk rating of reference entity
Investment-grade
Noninvestment-grade
Total
December 31, 2022
(in millions)$ (90,961)$(31,763)$ (122,724)$(270,544)$ (25,596)(71,494)(2,568)(342,038)$ (28,164)$

Total notionalamountFair value of
receivables(b)Fair value of
payables(b)Net fair
value

$

$

$

$

<1 year

1–5 years>5 years$ (97,396)$ (300,062)$ (27,282)(387,101)(105,825)

3,758
2,594

(492,926)

$

6,352

$

Risk rating of reference entity
Investment-grade
Noninvestment-grade
Total(33,518)(88,788)(2,872)$ (130,914)$ (388,850)$ (30,154)(424,740)(125,178)$(549,918)

2,397
1,326

$

3,723

(1,985)(2,539)$(4,524)412(1,213)$(801)(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.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

51

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 7 – Noninterest revenue and noninterest
expenseNoninterest revenue

The Bank records noninterest revenue from certain
contracts with customers in investment banking fees,
deposit-related fees, asset management fees, commissions
and other fees, and components of card income. The related
contracts are often terminable on demand and the Bank has
no remaining obligation to deliver future services. For
arrangements with a fixed term, the Bank may commit todeliver services in the future. Revenue associated withthese remaining performance obligations typically depends
on the occurrence of future events or underlying asset
values, and is not recognized until the outcome of those
events or values are known.
Investment banking fees
This revenue category includes debt and equity
underwriting and advisory fees. As an underwriter, the Bank
helps clients raise capital via public offering and private
placement of various types of debt and equity instruments.
Underwriting fees are primarily based on the issuance priceand quantity of the underlying instruments, and arerecognized as revenue typically upon execution of theclient’s transaction. The Bank also manages and syndicatesloan arrangements. Credit arrangement and syndication
fees, included within debt underwriting fees, are recorded
as revenue after satisfying certain retention, timing andyield criteria.
The Bank also provides advisory services, by assisting its
clients with mergers and acquisitions, divestitures,
restructuring and other complex transactions. Advisory fees
are recognized as revenue typically upon execution of theclient’s transaction.
The following table presents the components of investmentbanking fees.
Year ended December 31,(in millions)

2023

2022

2021

Underwriting
Equity

$

257

$

239

$

945

Debt

1,489

1,689

2,886

Total underwriting

1,746

1,928

3,831

779

1,027

$ 2,525$ 2,955

Advisory
Total investment banking fees

52

Principal transactions
Principal transactions revenue is driven by many factors,
including:• the bid-offer spread, which is the difference between theprice at which a market participant is willing and able tosell an instrument to the Bank and the price at whichanother market participant is willing and able to buy itfrom the Bank, and vice versa; and• realized and unrealized gains and losses on financial
instruments and commodities transactions, including
those accounted for under the fair value option, primarily
used in client-driven market-making activities.
– Realized gains and losses result from the sale of
instruments, closing out or termination of transactions,or interim cash payments.
– Unrealized gains and losses result from changes invaluation.
In connection with its client-driven market-making
activities, the Bank transacts in debt and equity
instruments, derivatives and commodities, including
physical commodities inventories and financial instrumentsthat reference commodities.
Principal transactions revenue also includes realized andunrealized gains and losses related to:• derivatives designated in qualifying hedge accounting
relationships, primarily fair value hedges of commodityand foreign exchange risk;• derivatives used for specific risk management purposes,
primarily to mitigate credit, foreign exchange andinterest rate risks.
Refer to Note 6 for further information on the income
statement classification of gains and losses from derivatives
activities.
In the financial commodity markets, the Bank transacts in
OTC derivatives (e.g., swaps, forwards, options) and ETD
that reference a wide range of underlying commodities. In
the physical commodity markets, the Bank primarily
purchases and sells precious metals.

1,401
$

5,232

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

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 ofthe overall performance of the Bank’s client-driven marketmaking activities and fund deployment activities. Refer toNote 8 for further information on interest income andinterest expense.
Trading revenue is presented primarily by instrument type.
The Bank’s client-driven market-making activities generally
utilize a variety of instrument types in connection with theirmarket-making and related risk-management activities;
accordingly, the trading revenue presented in the tablebelow is not representative of the total revenue of theBank’s client-driven market making activities.
Year ended December 31,(in millions)

2023

2022

2021

Trading revenue by instrument
type
Interest rate(a)$ 4,363 $ 3,211(b)

Credit$ 1,977
(c)

790

918

Foreign exchange

4,885

4,972

2,742

Equity

8,909

6,722

5,750

Commodity

1,956

2,071

1,248

Year ended December 31,(in millions)

Total trading revenue

20,903

17,894

13,676

Asset management fees

—

1

1

Private equity gains
Principal transactions$ 20,903 $ 17,895

1,959

Asset management fees
Investment management fees include fees associated withassets the Bank manages on behalf of its clients, including
investors in Bank-sponsored funds and owners of separately
managed investment accounts. Management fees are
typically based on the value of assets under management
and are collected and recognized at the end of each period
over which the management services are provided and thevalue of the managed assets is known. The Bank also
receives performance-based management fees, which areearned based on exceeding certain benchmarks or otherperformance targets and are accrued and recognized when
the probability of reversal is remote, typically at the end of
the related billing period.
All other asset management fees include commissions
earned on the sales or distribution of mutual funds toclients. These fees are recorded as revenue at the time theservice is rendered or, in the case of certain distribution
fees, based on the underlying fund’s asset value or investor
redemption activity.
The following table presents the components of asset
management fees.

$ 13,677(a) Includes the impact of changes in funding valuation adjustments onderivatives.
(b) Includes the impact of changes in credit valuation adjustments onderivatives, net of the associated hedging activities.
(c) Includes net markdowns on held-for-sale positions, primarily unfunded
commitments, in the bridge financing portfolio.

Lending- and deposit-related fees
Lending-related fees include fees earned from loan
commitments, standby letters of credit, financial
guarantees, and other loan-servicing activities. Depositrelated fees include fees earned from performing cash
management activities, and providing overdraft and otherdeposit account services. Lending- and deposit-related fees
are recognized over the period in which the related service
is provided. Refer to Note 26 for further information on
lending-related commitments.
The following table presents the components of lendingand deposit-related fees.
Year ended December 31,(in millions)Lending-related fees

2023$

Deposit-related fees
Total lending- and depositrelated fees

2,362

2022
(a)

$

5,048
$

7,410

1,465

7,095

$

All other asset management fees
Total asset management fees

$

2022

2,540

$ 2,427

51

52

2,591

$ 2,479

2021
$

2,345

$

2,389

44

Commissions and other fees
This revenue category includes commissions and fees frombrokerage and custody services, and other products.
Brokerage commissions represents commissions earned
when the Bank acts as a broker, by facilitating its clients’purchases and sales of securities and other financial
instruments. Brokerage commissions are collected andrecognized as revenue upon occurrence of the clienttransaction. The Bank reports certain costs paid to thirdparty clearing houses and exchanges net against
commission revenue.
Administration fees predominantly include fees for custody,
funds services, securities lending and securities clearance.
These fees are recorded as revenue over the period inwhich the related service is provided.

2021
$

5,630
$

Investment management fees

2023

1,471
5,560

$

7,031

(a) Includes the amortization of the purchase discount on certain acquired
lending-related commitments associated with First Republic. The
discount is deferred in other liabilities and recognized on a straightline basis over the commitment period and was largely recognized in
the current year as the commitments are generally short term. Refer
to Note 29 for additional information.
JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

53

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents the components ofcommissions and other fees.
Year ended December 31,(in millions)

2023

2022

redemption rates and cardholder reward selections.
The Bank maintains a liability for its obligations under its
rewards programs and reports the current-period cost as a
reduction of card income.

2021

Commissions and other fees
Brokerage commissions

$

1,240

$ 1,241$

1,409

Administration fees

2,285

2,337

All other commissions and fees(a)

8,893

7,878

7,680

Total commissions and other fees $ 12,418$ 11,456$ 11,632

2,543(a) Includes fees earned for operational support and services provided to
JPMorgan Chase affiliates. Refer to Note 21 for additional information.

Mortgage fees and related income
This revenue category reflects production and net mortgage
servicing revenue.
Production revenue includes fees and income recognized asearned on mortgage loans originated with the intent to sell,
and the impact of risk management activities associatedwith the mortgage pipeline and warehouse loans.
Production revenue also includes gains and losses on sales
and lower of cost or fair value adjustments on mortgage
loans held-for-sale (excluding certain repurchased loans
insured by U.S. government agencies), and changes in thefair value of financial instruments measured under the fairvalue option.
Net mortgage servicing revenue includes operating revenue
earned from servicing third-party mortgage loans, which isrecognized over the period in which the service is provided;changes in the fair value of MSRs; the impact of risk
management activities associated with MSRs; and gains andlosses 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 ofcertain repurchased loans insured by U.S. government
agencies.
Refer to Note 16 for further information on risk
management activities and MSRs.
Net interest income from mortgage loans is recorded ininterest income.
Card income
This revenue category includes interchange and otherincome from credit and debit card transactions; and fees
earned from processing card transactions for merchants,
both of which are recognized when purchases are made bya cardholder and presented net of certain transactionrelated costs. Card income also includes account origination
costs and annual fees, which are deferred and recognizedon a straight-line basis over a 12-month period.

Credit card revenue sharing agreements
The Bank has contractual agreements with numerous cobrand partners that grant the Bank exclusive rights to issue
co-branded credit card products and market them to thecustomers of such partners. These partners endorse the cobrand credit card programs and provide their customer ormember lists to the Bank. The partners may also conduct
marketing activities and provide rewards redeemable under
their own loyalty programs that the Bank will grant to cobrand credit cardholders based on account activity. The
terms of these agreements generally range from five to ten
years.
The Bank typically makes payments to the co-brand credit
card partners based on the cost of partners’ marketing
activities and loyalty program rewards provided to credit
cardholders, new account originations and sales volumes.
Payments to partners based on marketing efforts
undertaken by the partners are expensed by the Bank as
incurred and reported as marketing expense. Payments forpartner loyalty program rewards are reported as a
reduction of card income when incurred. Payments topartners based on new credit card account originations areaccounted for as direct loan origination costs and are
deferred and recognized as a reduction of card income on astraight-line basis over a 12-month period. Payments topartners based on sales volumes are reported as a
reduction of card income when the related interchange
income is earned.
The following table presents the components of card income:Year ended December 31,(in millions)

2023

2022

2021

Interchange and merchantprocessing income$ 31,021$ 28,085$ 23,592

Reward costs and partner
payments(24,601)(22,162)(17,868)

All other(a)Total card income(1,636)
4,784 $

(1,502)
4,421 $

$

(622)
5,102

(a) Predominantly represents the amortization of account origination
costs and annual fees, which are deferred and recognized on astraight-line basis over a 12-month period.

Certain credit card products offer the cardholder the ability
to earn points based on account activity, which the
cardholder can choose to redeem for cash and non-cash
rewards. The cost to the Bank related to these proprietary
rewards programs varies based on multiple factors
including the terms and conditions of the rewards
programs, cardholder activity, cardholder reward
54

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Other income
The following table presents certain components of otherincome:Year ended December 31,(in millions)Operating lease income

2023
$

2022

2,841

Estimated bargain purchasegain associated with theFirst Republic acquisition

2,775

Gain on sale of Visa B shares

—

$

(a)

3,651

Noninterest expense

2021
$

4,906

—

—

914

—

(a) Refer to Note 29 for additional information on the First Republic
acquisition.

Refer to Note 3 and 19 for additional information on Visa B
shares and operating leases, respectively.

Other expense
Other expense on the Bank’s Consolidated statements ofincome included:
Year ended December 31,(in millions)
Legal expense
FDIC-related expense

2023
$

2022

852
4,203

$
(a)

54
860

2021
$

90
730

(a) Included the $2.9 billion FDIC special assessment.

FDIC Special Assessment
In November 2023, the FDIC approved a final rule toimplement a special assessment intended to recover losses
to the Deposit Insurance Fund (“DIF”) arising from theprotection of uninsured depositors resulting from thesystemic risk determination made on March 12, 2023. The
final rule imposed a special assessment at a quarterly rateof 3.36 basis points on insured depository institutions
whose estimated uninsured deposits were over $5.0 billion
as of December 31, 2022. During the second half of 2023,
the Bank recognized the estimated special assessment
expense of $2.9 billion (pre-tax).

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

55

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 8 – Interest income and Interest expense
Interest income and interest expense are recorded in theConsolidated statements of income and classified based on
the nature of the underlying asset or liability.
Interest income and interest expense includes the currentperiod interest accruals for financial instruments measured
at fair value, except for derivatives and financial
instruments containing embedded derivatives that would be
separately accounted for in accordance with U.S. GAAP,
absent the fair value option election; for those instruments,
all changes in fair value including any interest elements, areprimarily reported in principal transactions revenue. For
financial instruments that are not measured at fair value,
the related interest is included within interest income orinterest expense, as applicable.
Interest income on loans and securities include theamortization and accretion of purchase premiums anddiscounts, as well as net deferred fees and costs on loans.
These amounts are deferred in loans and investment
securities, respectively, and recognized on a level-yieldbasis.

The following table presents the components of interest
income and interest expense:
Year ended December 31,(in millions)

2023

2022

2021

Interest income
Loans

(c)

$52,657$41,497

Taxable securities

17,384

10,361

6,452

Non-taxable securities(a)

1,335

973

1,040

Total investment securities

18,71911,334

7,492

Trading assets-debt instruments

8,014

4,735

3,697

Federal funds sold and securities
purchased under resaleagreements

12,1194,081

757

Securities borrowed(b)

2,071

478

(144)

Deposits with banks

21,7029,040

514

All other interest-earning assets

5,558

1,772

57

151,415

84,09753,870Interest-bearing deposits

43,566

11,210624

Federal funds purchased andsecurities loaned or sold under
repurchase agreements

5,029

1,411

132

Trading liabilities - debt, shortterm and all other interestbearing liabilities

3,835

1,693

764

Long-term debt

5,039

1,131

464

Total interest income$83,232(c)

Interest expense

Refer to Notes 11, 12, 13 and 20 for further information on
accounting for interest income and interest expense related
to investment securities, securities financing activities (i.e.,
securities purchased or sold under resale or repurchaseagreements; securities borrowed; and securities loaned),loans and long-term debt, respectively.

Beneficial interest issued byconsolidated VIEs

962

230

80

Total interest expense

58,431

15,6752,064

Net interest income

92,98468,42251,806

Provision for credit losses

8,996

6,347

(9,296)

Net interest income after
provision for credit losses$83,988$62,075$61,102(a) Represents securities that are tax-exempt for U.S. federal income tax
purposes.
(b) Negative interest and rates reflect the net impact of interest earned
offset by fees paid on client-driven securities borrowed transactions.
(c) Includes the accretion of the purchase discount on certain acquiredloans and investment securities associated with First Republic. Refer toNote 29 for additional information.

56

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 9 – Pension and other postretirement
employee benefit plans
The Bank has various defined benefit pension plans andother postretirement employee benefit (“OPEB”) plans thatprovide benefits to its employees in the U.S. and certain
non-U.S. locations. Substantially all the defined benefit
pension plans are closed to new participants. The principal
defined benefit pension plan in the U.S., which covered
substantially all U.S. employees, was closed to newparticipants and frozen for existing participants on January
1, 2020, (and January 1, 2019 for new hires on or after
December 2, 2017). Interest credits continue to accrue toparticipants’ accounts based on their accumulatedbalances.

The Bank also provides a qualified defined contribution planin the U.S. and maintains other similar arrangements incertain non-U.S. locations. The most significant of theseplans is the JPMorgan Chase 401(k) Savings Plan (“the401(k) Savings Plan”), which covers substantially all U.S.
employees. Employees can contribute to the 401(k) Savings
Plan on a pretax and/or Roth 401(k) after-tax basis. The
Bank makes annual matching and pay credit contributions
to the 401(k) Savings Plan on behalf of eligible
participants.

The Bank maintains unfunded postretirement benefit plansthat provide medical and life insurance for certain eligible
employees and retirees as well as their dependents covered
under these programs. None of these plans have a material
impact on the Bank’s Consolidated Financial Statements.
The following table presents the pretax benefit obligations, plan assets, the net funded status, and the amounts recorded in
AOCI on the Consolidated balance sheets for the Bank’s significant defined benefit pension and OPEB plans.
Defined benefit
pension and OPEB plans

As of or for the year ended December 31,(in millions)
Projected benefit obligations

2023$(13,471)2022$(13,080)

Fair value of plan assets

18,01617,004

Net funded status

4,545

3,924

Accumulated other comprehensive income/(loss)(2,115)(2,361)

The weighted-average discount rate used to value the benefit obligations as of December 31, 2023 and 2022, was 5.02% and5.13%, respectively.
Gains and losses
Gains or losses resulting from changes in the benefit obligation and the fair value of plan assets are recorded in OCI.
Amortization of net gains or losses are recognized as part of the net periodic benefit cost over subsequent periods, if, as of the
beginning of the year, the net gain or loss exceeds 10% of the greater of the projected benefit obligation or the fair value ofthe plan assets. Amortization is generally over the average expected remaining lifetime of plan participants, given the frozen
status of most plans. For the year ended December 31, 2023, the net gain was attributable to market-driven increases in thefair value of plan assets, partially offset by changes in the discount rate and interest crediting rate. During the year ended
December 31, 2022, a remeasurement of the Bank’s U.S. principal defined benefit plan during the second half of 2022, wasrequired as a result of a pension settlement. The remeasurement resulted in a reduction in the fair value of the Bank’s U.S.
principal defined benefit plan assets, reflecting market conditions at the time of remeasurement, and a reduction in the plan’s
projected benefit obligation totaling $4.0 billion and $2.6 billion, respectively, resulting in a net decrease of $1.4 billion in
pre-tax AOCI.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

57

The following table presents the net periodic benefit costs reported in the Consolidated statements of income for the Bank’s
defined benefit pension, defined contribution and OPEB plans, and in other comprehensive income for the defined benefit
pension and OPEB plans.
Pension and OPEB plans
Year ended December 31,(in millions)2023

Total net periodic defined benefit plan cost/(credit)(a)(b)$Total defined contribution plans

2022

2021

(220) $

(106) (c) $(136) (c)

1,410

1,257

1,204

Total pension and OPEB cost included in noninterest expense$

1,190 $

1,151

$

1,068

Total recognized in other comprehensive (income)/loss$(248) $

973

$

(895)

(a) The service cost component of net periodic defined benefit cost is reported in compensation expense; all other components of net periodic defined benefit
costs are reported in other expense in the Consolidated statements of income.
(b) Includes $(30) million, $(12) million and $(16) million, for the years ended December 31, 2023, 2022 and 2021, respectively, that was charged by the
Bank to JPMorgan Chase and its non-bank subsidiaries for their share of the U.S. qualified defined benefit pension plan expense.
(c) Includes pension settlement losses of $92 million and $33 million, respectively, for the years ended December 31, 2022 and 2021.

The following table presents the weighted-average actuarial assumptions used to determine the net periodic benefit costs forthe defined benefit pension and OPEB plans.
Defined benefit pension and OPEB plans
2023
2022
2021

Year ended December 31,
Discount rate
Expected long-term rate of return on plan assets

5.13 %
5.76

Plan assumptions
The Bank’s expected long-term rate of return is a blended
weighted average, by asset allocation of the projected longterm returns for the various asset classes, taking into
consideration local market conditions and the specificallocation of plan assets. Returns on asset classes aredeveloped using a forward-looking approach and are notstrictly based on historical returns, with consideration given
to current market conditions and the portfolio mix of eachplan.
The discount rates used in determining the benefit
obligations are generally provided by the Bank’s actuaries,
with the Bank’s principal defined benefit pension plan usinga rate that was selected by reference to the yields on
portfolios of bonds with maturity dates and coupons thatclosely match each of the plan’s projected cash flows.

58

2.53 %
3.78

2.17 %
2.94

Investment strategy and asset allocation
The assets of the Bank’s defined benefit pension plans areheld in various trusts and are invested in well-diversified
portfolios of equity and fixed income securities, cash andcash equivalents, and alternative investments. The Bank
regularly reviews the asset allocations and asset managers,
as well as other factors that could impact the portfolios,
which are rebalanced when deemed necessary. As of
December 31, 2023, the approved asset allocation ranges
by asset class for the Bank’s principal defined benefit planare 42-100% debt securities, 0-40% equity securities,
0-2% real estate, and 0-10% alternatives.
Assets held by the Bank’s defined benefit pension plans do
not include securities issued by JPMorgan Chase or its
affiliates, except through indirect exposures throughinvestments in exchange traded funds, mutual funds andcollective investment funds managed by third-parties. The
defined benefit pension plans hold investments that aresponsored or managed by affiliates of JPMorgan Chase in
the amount of $1.8 billion and $1.7 billion, as ofDecember 31, 2023 and 2022, respectively.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Fair value measurement of the plans’ assets and liabilities
Refer to Note 3 for information on fair value measurements, including descriptions of level 1, 2, and 3 of the fair value
hierarchy and the valuation methods employed by the Bank.
Pension plan assets and liabilities measured at fair value
Defined benefit pension plans
2023
December 31,(in millions)Level 1(a)Level 2(b)Assets measured at fair value classified in thefair value hierarchy

$

$

6,190

9,839

2022

Level 3(c)Total fairvalue

Level 1(a)Level 2(b)Level 3(c)Total fair
value

$

336

$ 16,365

$

$

$

140

$ 14,656

5,269

9,247

Assets measured at fair value using NAV as apractical expedient

—

—

—

2,097

—

—

—

2,593

Net defined benefit pension plan payables

—

—

—

(446)

—

—

—

(245)

Total fair value of plan assets

—

—

—

$ 18,016———$ 17,004(a) Consists predominantly of equity securities, U.S. federal, state, and local and non-U.S. government debt securities, and cash equivalents.
(b) Consists predominantly of corporate debt securities and mortgage-backed securities.
(c) Consists predominantly of fund investments and participating annuity contracts in 2023, and participating annuity contracts in 2022.

Estimated future benefit payments
The following table presents benefit payments expected tobe paid for the defined benefit pension and OPEB plans forthe years indicated.
Year ended December 31,(in millions)Defined benefit
pension and
OPEB plans

2024

$

1,081

2025

1,066

2026

1,055

2027

1,020

2028

1,006

Years 2029–2033

4,888

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

59

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 10 – Employee share-based incentives
Employee share-based awards
The Bank’s employees receive annual incentive
compensation based on their performance, theperformance of their business and JPMorgan Chase’s
consolidated operating results. The Bank’s employees
participate, to the extent they meet minimum eligibility
requirements, in various share-based incentive plans
sponsored by JPMorgan Chase.

Once the PSUs and dividend equivalent share units havevested, the shares of common stock that are delivered, after
applicable tax withholding, must be retained for an
additional holding period, for a total combined vesting andholding period of approximately five to eight years from the
grant date depending on regulations in certain countries.

In 2023, 2022 and 2021, JPMorgan Chase granted longterm share-based awards to certain employees under its
Long-Term Incentive Plan (“LTIP”), as amended andrestated effective May 15, 2018, and subsequently
amended effective May 18, 2021. Under the terms of theLTIP, as of December 31, 2023, 54 million shares of
JPMorgan Chase’s common stock were available forissuance through May 2025. The LTIP is the only active planunder which JPMorgan Chase is currently granting sharebased incentive awards. In the following discussion, theLTIP, plus prior JPMorgan Chase plans and plans assumed
as the result of acquisitions, are referred to collectively as
the “LTI Plans,” and such plans constitute JPMorgan Chase’s
share-based incentive plans.
Restricted stock units (“RSUs”) are awarded at no cost to
the recipient upon their grant. Generally, RSUs are granted
annually and vest at a rate of 50% after two years and
50% after three years and are converted into shares ofcommon stock as of the vesting date. In addition, RSUs
typically include full-career eligibility provisions, whichallow employees to continue to vest upon voluntarytermination based on age and/or service-related
requirements, subject to post-employment and otherrestrictions. All RSU awards are subject to forfeiture until
vested and contain clawback provisions that may result incancellation under certain specified circumstances.
Predominantly all RSUs entitle the recipient to receive cash
payments equivalent to any dividends paid on theunderlying common stock during the period the RSUs areoutstanding.

Under the LTI Plans, stock appreciation rights (“SARs”)
were generally granted with an exercise price equal to thefair value of JPMorgan Chase’s common stock on the grant
date. SARs generally expire ten years after the grant date.
In 2021, JPMorgan Chase awarded its Chairman and Chief
Executive Officer and its President and Chief Operating
Officer 1.5 million and 750,000 SARs, respectively. There
were no grants of SARs in 2023 or 2022.
The Bank separately recognizes compensation expense foreach tranche of each award, net of estimated forfeitures, as
if it were a separate award with its own vesting date.
Generally, for each tranche granted, compensation expense
is recognized on a straight-line basis from the grant dateuntil the vesting date of the respective tranche, provided
that the employees will not become full-career eligible
during the vesting period. For awards with full-career
eligibility provisions and awards granted with no future
substantive service requirement, the Bank accrues theestimated value of awards expected to be awarded to
employees as of the grant date without giving consideration
to the impact of post-employment restrictions. For eachtranche granted to employees who will become full-career
eligible during the vesting period, compensation expense isrecognized on a straight-line basis from the grant date until
the earlier of the employee’s full-career eligibility date or
the vesting date of the respective tranche.

Performance share units (“PSUs”) are granted annually,
and approved by JPMorgan Chase’s Board of Directors, tomembers of JPMorgan Chase’s Operating Committee underthe variable compensation program. PSUs are subject to
JPMorgan Chase’s achievement of specified performance
criteria over a three-year period. The number of awards
that vest can range from zero to 150% of the grantamount. In addition, dividends that accrue during thevesting period are reinvested in dividend equivalent share
units. PSUs and the related dividend equivalent share units
are converted into shares of common stock after vesting.

60

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

RSUs, PSUs and SARs activity
Generally, compensation expense for RSUs and PSUs is measured based on the number of units granted multiplied by the stock
price at the grant date, and for SARs, is measured at the grant date using the Black-Scholes valuation model. Compensation
expense for these awards is recognized in net income as described previously. The following table summarizes the Bank’s
RSUs, PSUs and SARs activity for 2023.
RSUs/PSUs
Year ended December 31, 2023

SARs

WeightedNumber of
average grant
units
date fair value
33,844 $138.12
17,610138.92(12,730)133.55(993)
140.82NANA(94)138.12
37,637 $139.93NANA(in thousands, except weighted-average data, andwhere otherwise stated)
Outstanding, January 1
GrantedExercised or vested
Forfeited
Canceled
Transferred
Outstanding, December 31
Exercisable, December 31

Weightedaverage
Number of
exerciseawardsprice
2,467 $ 142.90
—
—
(217)
46.58
—
—
—
—
—
—
2,250 $ 152.19——

Weighted-averageremaining
contractual life
(in years)

Aggregate
intrinsic
value

7.7 $
—

40,444—

The total fair value of RSUs and PSUs that vested during the years ended December 31, 2023, 2022 and 2021, was $1.8
billion, $2.3 billion and $2.1 billion, respectively. The total intrinsic value of options exercised during the years ended
December 31, 2023, 2022 and 2021, was $20 million, $71 million and $200 million, respectively.
Compensation expense
The Bank recognized the following compensation expense
related to its participation in various employee share-based
incentive plans in its Consolidated statements of income.
Year ended December 31, (in millions)
Cost of prior grants of RSUs, PSUs andSARs that are amortized over theirapplicable vesting periods
Accrual of estimated costs of sharebased awards to be granted in future
periods, predominantly those to fullcareer eligible employees
Total compensation expense related
to employee share-based incentive
plans

2023

$ 1,121

2022

$

893

2021

$

Tax benefits
Income tax benefits (including tax benefits from dividends
or dividend equivalents) related to share-based incentive
arrangements recognized in the Bank’s Consolidated
statements of income for the years ended December 31,
2023, 2022 and 2021, were $620 million, $642 million
and $691 million, respectively.

842

1,162

1,126

1,234

$ 2,283$ 2,019$ 2,076

There are no separate plans solely for the employees of the
Bank and, therefore, the share-based compensation
expense for the Bank is determined based upon employee
participation in the JPMorgan Chase plans and effected
through a charge from JPMorgan Chase, which is cash
settled.
At December 31, 2023, approximately $794 million(pretax) of compensation expense related to unvested
awards had not yet been charged to net income. That cost is
expected to be amortized into compensation expense over aweighted-average period of 1.7 years. The Bank does not
capitalize any compensation expense related to sharebased compensation awards to employees.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

61

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 11 – Investment securities
Investment securities consist of debt securities that areclassified as AFS or HTM. Debt securities classified as
trading assets are discussed in Note 3. Predominantly all of
the Bank’s AFS and HTM securities are held in connection
with its asset-liability management activities.

During 2022, the Bank transferred investment securities
with a fair value of $78.3 billion from AFS to HTM for capitalmanagement purposes. AOCI included pretax unrealized
losses of $4.8 billion on the securities at the date oftransfer.

AFS securities are carried at fair value on the Consolidatedbalance sheets. Unrealized gains and losses, after any
applicable hedge accounting adjustments or allowance for
credit losses, are reported in AOCI. The specificidentification method is used to determine realized gains
and losses on AFS securities, which are included ininvestment securities gains/(losses) on the Consolidated
statements of income. HTM securities, which the Bank has
the intent and ability to hold until maturity, are carried atamortized cost, net of allowance for credit losses, on theConsolidated balance sheets.

Unrealized gains or losses at the date of transfer of thesesecurities continue to be reported in AOCI and are amortized
into interest income on a level-yield basis over theremaining life of the securities. This amortization will offset
the effect on interest income of the amortization of thepremium or discount resulting from the transfer recorded atfair value.
Transfers of securities between AFS and HTM are non-cash
transactions.

For both AFS and HTM securities, purchase discounts or
premiums are generally amortized into interest income on alevel-yield basis over the contractual life of the security.
However, premiums on certain callable debt securities areamortized to the earliest call date.
Effective January 1, 2023, the Bank adopted the portfolio
layer method hedge accounting guidance which permitted atransfer of HTM securities to AFS upon adoption. The Banktransferred obligations of U.S. states and municipalities witha carrying value of $7.1 billion resulting in the recognitionof $38 million net pre-tax unrealized losses in AOCI. Refer
to Note 1 and Note 22 for additional information.

62

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.
2023
December 31, (in millions)

Amortized
cost(c)(d)

2022

Gross
Gross
unrealized unrealized
gains
lossesGrossunrealized
gains

Fair
value

Amortized
cost(c)(d)$ 85,170$ 77,194 $Grossunrealized
lossesFair
value

Available-for-sale securities
Mortgage-backed securities:
U.S. GSEs and government agencies$ 88,377 $870 $ 4,077

479 $ 6,170$ 71,503

Residential:
U.S.

2,086

10

68

2,028

1,576

1

111

1,466

Non-U.S.

1,608

4

1

1,611

3,176

5

27

3,154

2,930

12

139

2,803

2,113

—

155

1,958

Total mortgage-backed securities

Commercial

95,001

896

4,285

91,612

84,059485

6,463

78,081

U.S. Treasury and government agencies

58,051276

522

57,805

95,217302

3,459

92,060Obligations of U.S. states and municipalities

21,243390

266

21,367

7,075

86

403

6,758

Non-U.S. government debt securities

21,387254

359

21,282

20,36014

678

19,696

88

—

1

87

342

—

6

336

Collateralized loan obligations

6,769

11

28

6,752

5,916

1

125

5,792

Other

2,789

8

26

2,771

3,134

2

69

3,067

NA

NA

216,103890

11,203

205,790

Corporate debt securities
Asset-backed securities:

Unallocated portfolio layer fair value
basis adjustments(a)Total available-for-sale securities

73

(73)

—

205,401

1,762

5,487

201,676

NA

NA
(e)

NA

Held-to-maturity securities(b)Mortgage-backed securities:
U.S. GSEs and government agencies

105,61439

11,643

94,010113,49235

13,70999,818

U.S. Residential

9,709

4

970

8,743

10,503

3

1,244

9,262

Commercial

10,534

13

581

9,966

10,361

10

734

9,637

Total mortgage-backed securities

125,857

56

13,194

112,719

134,356

48

15,687

118,717

U.S. Treasury and government agencies

173,666—

13,074

160,592

207,463—

18,363

189,100

9,945

74

591

9,428

19,74753

1,080

18,72058,56547352

58,26061,414

4

1,522

59,896

Obligations of U.S. states and municipalities
Asset-backed securities:
Collateralized loan obligations

1,815

1

61

1,755

2,325

—

110

2,215

Total held-to-maturity securities

Other

369,848

178

27,272

342,754425,305

105

36,762

388,648

Total investment securities, net ofallowance for credit losses$ 575,249 $

1,940 $ 32,759$ 544,430$ 641,408 $995 $47,965$ 594,438(a) Represents the amount of portfolio layer method basis adjustments related to AFS securities hedged in a closed portfolio. Under U.S. GAAP portfolio layer
method basis adjustments are not allocated to individual securities, however the amounts impact the unrealized gains or losses in the table for the typesof securities being hedged. Refer to Note 1 and Note 6 for additional information.
(b) The Bank purchased $4.1 billion, $33.7 billion and $111.8 billion of HTM securities for the years ended December 31, 2023, 2022 and 2021,
respectively.
(c) The amortized cost of investment securities is reported net of allowance for credit losses of $94 million and $67 million at December 31, 2023 and 2022,
respectively.
(d) Excludes $2.8 billion and $2.5 billion of accrued interest receivable at December 31, 2023 and 2022, respectively, included in accrued interest andaccounts receivable on the Consolidated balance sheets. The Bank generally does not recognize an allowance for credit losses on accrued interest
receivable, consistent with its policy to write them off no later than 90 days past due by reversing interest income. The Bank did not reverse throughinterest income any accrued interest receivable for the years ended December 31, 2023 and 2022.
(e) As of December 31, 2023, included $24.2 billion of AFS securities associated with First Republic. Refer to Note 29 for additional information.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

63

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)At December 31, 2023, the investment securities portfolio
consisted of debt securities with an average credit rating ofAA+ (based upon external ratings where available, andwhere not available, based primarily upon internal risk
ratings). Risk ratings are used to identify the credit qualityof securities and differentiate risk within the portfolio. The
Bank’s internal risk ratings generally align with thequalitative characteristics (e.g., borrower capacity to meetfinancial commitments and vulnerability to changes in theeconomic environment) defined by S&P and Moody’s,

however the quantitative characteristics (e.g., probability ofdefault (“PD”) and loss given default (“LGD”)) may differ as
they reflect internal historical experiences andassumptions. Risk ratings are assigned at acquisition,
reviewed on a regular and ongoing basis by Credit Risk
Management and adjusted as necessary over the life of theinvestment for updated information affecting the issuer’s
ability to fulfill its obligations.

AFS securities impairment
The following tables present the fair value and gross unrealized losses by aging category for AFS securities at December 31,
2023 and 2022. The tables exclude U.S. Treasury and government agency securities and U.S. GSE and government agency
MBS with unrealized losses of $4.6 billion and $9.6 billion, at December 31, 2023 and 2022, respectively; changes in thevalue 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 months
12 months or moreYear ended December 31, 2023
(in millions)
Available-for-sale securities
Mortgage-backed securities:
Residential:
U.S.
Non-U.S.
Commercial
Total mortgage-backed securities
Obligations of U.S. states and municipalities
Non-U.S. government debt securities
Corporate debt securities

Gross
unrealized losses

Fair value

$

81
—
228
309
2,134
7,145
9

$

Fair valueGrossunrealized losses

Total fairvalue

Total grossunrealized losses

— $
—
3
3
20
24
—

1,160 $
722
1,775
3,657
2,278
4,987
66

68 $
1
136
205
246
335
1

1,241 $
722
2,003
3,966
4,412
12,132
75

68
1
139
208
266
359
1

Asset-backed securities:
Collateralized loan obligations

932

2

3,744

26

4,676

28

Other

208

1

1,288

25

1,496

26

50 $

16,020 $838 $26,757 $888

Total available-for-sale securities with grossunrealized losses$

10,737(a)$Available-for-sale securities with gross unrealized losses
Less than 12 months
12 months or moreYear ended December 31, 2022
(in millions)
Available-for-sale securities
Mortgage-backed securities:
Residential:
U.S.
Non-U.S.
Commercial
Total mortgage-backed securities
Obligations of U.S. states and municipalities
Non-U.S. government debt securities
Corporate debt securities
Asset-backed securities:
Collateralized loan obligations
Other

Fair value$

Total available-for-sale securities with grossunrealized losses$

Grossunrealized losses

1,187 $
2,848
1,131
5,166
3,023
6,941
150

71
26
74
171
240
321
2

3,010
2,586

61
51

20,876 $846

Fair value

$

$

Gross
unrealized losses

Total fairvalue

Total grossunrealized losses

260 $
70
813
1,143
364
3,848
186

40 $
1
81
122
163
357
4

1,447 $
2,918
1,944
6,309
3,387
10,789
336

111
27
155
293
403
678
6

2,701
256

64
18

5,711
2,842

125
69

8,498 $

728 $

29,374 $1,574(a) Includes the impact of First Republic, primarily obligations of U.S. states and municipalities. Refer to Note 29 for additional information.

64

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

AFS securities are considered impaired if the fair value isless than the amortized cost.
The Bank recognizes impairment losses in earnings if the
Bank has the intent to sell the debt security, or if it is more
likely than not that the Bank will be required to sell the debt
security before recovery of its amortized cost. In thesecircumstances the impairment loss is recognized ininvestment securities gains/(losses) in the Consolidated
Statements of Income and is equal to the full difference
between the amortized cost (net of allowance if applicable)
and the fair value of the security.
For impaired debt securities that the Bank has the intent
and ability to hold, the securities are evaluated todetermine if a credit loss exists. If it is determined that acredit loss exists, that loss is recognized as an allowance for
credit losses through the provision for credit losses in theConsolidated Statements of Income, limited by the amountof impairment. Any impairment on debt securities that the
Bank has the intent and ability to hold 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 orunderlying collateral of a security; and payment structure of
the security.
When assessing securities issued in a securitization for
credit losses, the Bank 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 otherforms 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 Bank
would not recover substantially all of its recorded
investment, the Bank evaluates impairment for credit losses
when there is an adverse change in expected cash flows.

HTM securities – credit risk
Allowance for credit losses
The allowance for credit losses on HTM securities
represents expected credit losses over the remaining
expected life of the securities.
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. The
credit loss factors are derived using a weighted average offive 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 14 forfurther 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
and the present value of the cash flows expected to becollected, 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 thesingle year straight-line interpolation, as well as considering
the structural features of the security.
The application of different inputs and assumptions into thecalculation of the allowance for credit losses is subject tosignificant management judgment, and emphasizing one
input or assumption over another, or considering other
inputs or assumptions, could affect the estimate of theallowance for credit losses on HTM securities.
Credit quality indicator
The primary credit quality indicator for HTM securities is therisk rating assigned to each security. At December 31,
2023 and 2022, all HTM securities were rated investment
grade and were current and accruing, with approximately
99% and 98% rated at least AA+, respectively.
Allowance for credit losses on investment securities
The allowance for credit losses on investment securities was$94 million, $67 million and $42 million as ofDecember 31, 2023, 2022 and 2021, respectively, which
included a cumulative-effect adjustment to retained
earnings related to the transfer of HTM securities to AFS for
the year ended December 31, 2023.
Selected impacts of investment securities on theConsolidated statements of income
Year ended December 31,(in millions)

2023

Realized losses(3,802)(2,578)(940)

Investment securities losses$(3,180)$(2,380)$ (345)

Provision for credit losses

$

$

$

33

$

198

2021

$

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

622

2022

Realized gains

25

$

595

(36)

65

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Contractual maturities and yields
The following table presents the amortized cost and estimated fair value at December 31, 2023, of the Bank’s investment securities
portfolio by contractual maturity.
By remaining maturity
December 31, 2023 (in millions)
Available-for-sale securities
Mortgage-backed securities
Amortized cost
Fair value
Average yield(a)U.S. Treasury and government agencies
Amortized cost
Fair value
Average yield(a)Obligations of U.S. states and municipalities
Amortized cost
Fair value
Average yield(a)Non-U.S. government debt securities
Amortized cost
Fair value
Average yield(a)Corporate debt securities
Amortized cost
Fair value
Average yield(a)Asset-backed securities
Amortized cost

Due in one
year or less

Held-to-maturity securities
Mortgage-backed securities
Amortized cost
Fair value
Average yield(a)U.S. Treasury and government agencies
Amortized cost
Fair value
Average yield(a)Obligations of U.S. states and municipalities
Amortized cost
Fair value
Average yield(a)Asset-backed securities
Amortized cost
Fair value
Average yield(a)Total held-to-maturity securities
Amortized cost(b)Fair value
Average yield(a)Due after five years
through 10 years

Due after
10 years(c)

Total

$

—
$
—
—%

5,166
$
5,072
5.27 %

5,660
$
5,662
6.15 %

84,175$80,8784.96 %

95,001(d)
91,6125.05 %$

1$
1
5.44 %

27,430$27,212
5.84 %

23,884$23,9336.15 %

6,736
$
6,659
6.60 %

58,05157,805
6.06 %$

10$
10
3.70 %

55$
54
3.03 %

531$
533
4.51 %

20,647$
20,7705.93 %

21,243(d)
21,3675.89 %

$

8,841
$
8,814
3.68 %

4,553
$
4,537
4.35 %

3,658
$
3,470
2.00 %

4,335
$
4,461
3.79 %

21,387
21,282
3.55 %$

7$
7
14.09 %

67$
66
6.25 %

14$
14
4.10 %

—
$
—
—%

88
87
6.56 %

$

23

869

3,490

Fair value
Average yield(a)Total available-for-sale securities
Amortized cost(b)Fair value
Average yield(a)Due after one year
through five years

$

$

$

5,176

$

9,558
(d)
9,523
6.41 %

23
6.13 %

861
3.72 %

3,487
6.47 %

5,152
6.82 %

$

8,882
$
8,855
3.69 %

38,140$37,802
5.53 %

37,237$37,0995.75 %

121,069$
117,920
5.25 %

205,328(d)
201,676
5.33 %

$

—
$
—
—%

5,868
$
5,480
2.56 %

8,382
$
7,448
2.58 %

111,649$
99,791
3.02 %

125,899
112,719
2.97 %$

63,974$63,0120.63 %

60,763$56,0640.97 %

48,929$41,516
1.26 %—$——%

173,666
160,592
0.93 %

$

—
$
—
—%

—
$
—
—%

283
$
254
3.21 %

9,714
$
9,174
3.94 %

9,997
9,428
3.92 %

$

—
$
—
—%

16
$
16
6.86 %

20,345$
20,262
6.36 %

40,019$39,737
6.58 %

60,38060,0156.50 %$

63,974$63,0120.63 %

66,647$61,5601.11 %

77,939$69,4802.74 %

161,382$
148,702
3.96 %

369,942
342,754
2.61 %(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, including closed portfolio
hedges. 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) For purposes of this table, the amortized cost of available-for-sale securities excludes the portfolio layer fair value hedge basis adjustments of $73 million at December 31,
2023. The amortized cost of held-to-maturity securities also excludes the allowance for credit losses of $94 million at December 31, 2023.
(c) Substantially all of the Bank’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimatedweighted-average life, which reflects anticipated future prepayments, is approximately seven years for agency residential MBS, seven years for agency residential
collateralized mortgage obligations, and six years for nonagency residential collateralized mortgage obligations.
(d) Includes AFS securities associated with First Republic, primarily due after 10 years. Refer to Note 29 for additional information.

66

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 12 – Securities financing activities
The Bank enters into resale, repurchase, securities
borrowed and securities loaned agreements (collectively,“securities financing agreements”) primarily to finance theBank’s inventory positions, acquire securities to cover shortsales, accommodate customers’ financing needs, settle
other securities obligations and to deploy the Bank’s excess
cash.
Securities financing agreements are treated ascollateralized financings on the Bank’s Consolidated balance
sheets. Where appropriate under applicable accounting
guidance, securities financing agreements with the same
counterparty are reported on a net basis. Refer to Note 1
for further discussion of the offsetting of assets andliabilities. Fees received and paid in connection withsecurities financing agreements are recorded over the lifeof the agreement in interest income and interest expenseon the Consolidated statements of income.
The Bank has elected the fair value option for certain
securities financing agreements. Refer to Note 4 for further
information regarding the fair value option. The securities
financing agreements for which the fair value option has
been elected are reported within securities purchased
under resale agreements, securities loaned or sold under
repurchase agreements, and securities borrowed on theConsolidated balance sheets. Generally, for agreements
carried at fair value, current-period interest accruals arerecorded within interest income and interest expense, withchanges 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.

Credit risk mitigation practices
Securities financing agreements expose the Bank primarily
to credit and liquidity risk. To manage these risks, the Bank
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 andexchanged collateral, and either requests additional
collateral or returns securities or collateral whenappropriate. 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 Bank 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 Bank typically enters into master netting
agreements and other similar arrangements with its
counterparties, which provide for the right to liquidate theunderlying securities and any collateral amounts exchangedin the event of a counterparty default. It is also the Bank’s
policy to take possession, where possible, of the securities
underlying resale and securities borrowed agreements.
Refer to Note 27 for further information regarding assets
pledged and collateral received in securities financing
agreements.

Securities financing agreements not elected under the fairvalue option are measured at amortized cost. As a result of
the Bank’s credit risk mitigation practices described below,
the Bank did not hold any allowance for credit losses withrespect to resale and securities borrowed arrangements asof December 31, 2023 and 2022.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

67

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The table below summarizes the gross and net amounts of
the Bank’s securities financing agreements, as ofDecember 31, 2023 and 2022. When the Bank has
obtained an appropriate legal opinion with respect to amaster netting agreement with a counterparty and whereother relevant netting criteria under U.S. GAAP are met, theBank nets, on the Consolidated balance sheets, the balances
outstanding under its securities financing agreements withthe same counterparty. In addition, the Bank exchanges
securities and/or cash collateral with its counterparty to
reduce the economic exposure with the counterparty, butsuch collateral is not eligible for net Consolidated balance
sheet presentation. Where the Bank has obtained an
appropriate legal opinion with respect to the counterparty
master netting agreement, such collateral, along with(in millions)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 theConsolidated balance sheets,” and reduces the “Netamounts” presented. Where a legal opinion has not been
either sought or obtained, the securities financing balances
are presented gross in the “Net amounts” below. In
transactions where the Bank is acting as the lender in asecurities-for-securities lending agreement and receives
securities that can be pledged or sold as collateral, the Bank
recognizes the securities received at fair value within otherassets and the obligation to return those securities within
accounts payable and other liabilities on the Consolidatedbalance sheets.

Amounts nettedon theConsolidatedbalance sheets

Gross amounts

December 31, 2023
Amounts
Amounts notpresented on the
nettable on theConsolidated
Consolidatedbalance sheetsbalance sheets(b)Net amounts(c)AssetsSecurities purchased under resale agreements$

358,661 $(132,002) $226,659 $(218,289)

62,345(1,146)

61,199(50,818)

200,976 $(132,002) $68,974 $(67,652)

14,200(1,146)

13,054(12,753)

Gross amounts

Amounts nettedon theConsolidatedbalance sheets

Securities borrowed

$

8,370
10,381

Liabilities
Securities sold under repurchase agreements$

Securities loaned and other(a)(in millions)

December 31, 2022
Amounts
Amounts notpresented on the
nettable on theConsolidated
Consolidatedbalance sheetsbalance sheets(b)

$

1,322
301

Net amounts(c)AssetsSecurities purchased under resale agreements$

Securities borrowed

441,264 $(181,895) $259,369 $(249,268)

54,693(1,051)53,642(43,817)

259,011 $(181,895) $77,116 $(75,048)

15,860(1,051)14,809(14,590)$

10,101
9,825

Liabilities
Securities sold under repurchase agreements
Securities loaned and other(a)

$

$

2,068
219

(a) Includes securities-for-securities lending agreements of $8.2 billion and $7.7 billion at December 31, 2023 and 2022, respectively, accounted for at fairvalue, where the Bank is acting as lender.
(b) In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts
reported in this column are limited to the related net asset or liability with that counterparty.
(c) Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting
agreement has not been either sought or obtained. At December 31, 2023 and 2022, included $7.0 billion and $5.9 billion, respectively, of securities
purchased under resale agreements; $8.9 billion and $8.4 billion, respectively, of securities borrowed; $806 million and $495 million, respectively, of
securities sold under repurchase agreements. There were no securities loaned and other agreements where the Bank has not received an appropriate
legal opinion at December 31, 2023 and 2022.

68

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The tables below present as of December 31, 2023 and 2022 the types of financial assets pledged in securities financing
agreements and the remaining contractual maturity of the securities financing agreements.
Gross liability balance
2023
Securities soldunder repurchaseagreements

December 31, (in millions)

2022

Securities loaned
and other

Securities soldunder repurchaseagreements

Securities loaned
and otherMortgage-backed securities:
U.S. GSEs and government agencies$

4,841 $

—

512 $

—

3

—

—

—

92,188610

93,398

7,704

—

—

5

72

Non-U.S. government debt

96,684

2,837

155,393

1,710

Corporate debt securities

614

Commercial - nonagency
U.S. Treasury, GSEs and government agencies
Obligations of U.S. states and municipalities

$

7,259

865

9,665

Asset-backed securities

1

—

38

—

Equity securities

—

9,888

—

5,760

Total

$

200,976 $14,200$259,011 $

15,860

Remaining contractual maturity of the agreements
December 31, 2023
(in millions)

Overnight andcontinuous

Up to 30 days

Total securities sold under repurchase agreements$$

Total securities loaned and other85,78912,507

91,98330 – 90 days
$

1,397

Greater than
90 days

Total

7,810 $

15,394 $200,976—296

14,200

Remaining contractual maturity of the agreements
December 31, 2022
(in millions)

Overnight andcontinuous

Up to 30 days

Total securities sold under repurchase agreements$$

Total securities loaned and other

77,67914,412133,093
1,147

30 – 90 days$

Greater than
90 daysTotal

31,212 $17,027 $259,0113

298

15,860Transfers not qualifying for sale accounting
At December 31, 2023 and 2022, the Bank held $505 million and $692 million, respectively, of financial assets for which therights 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 primarily in short-term borrowings and long-term debt on theConsolidated balance sheets.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

69

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 13 – Loans
Loan accounting framework
The accounting for a loan depends on management’s
strategy for the loan. The Bank accounts for loans based on
the following categories:•

Originated or purchased loans held-for-investment (i.e.,“retained”)
Loans held-for-saleLoans at fair value••

The following provides a detailed accounting discussion of
the Bank’s loans by category:
Loans held-for-investment
Originated or purchased loans held-for-investment,
including PCD, are recorded at amortized cost, reflecting
the principal amount outstanding, net of the following:
unamortized deferred loan fees, costs, premiums or
discounts; charge-offs; collection of cash; and foreignexchange. Credit card loans also include billed financecharges and fees.
Interest income
Interest income on performing loans held-for-investment is
accrued and recognized as interest income at thecontractual rate of interest. Purchase price discounts or
premiums, as well as net deferred loan fees or costs, arerecognized in interest income over the contractual life of
the loan as an adjustment of yield.
The Bank classifies accrued interest on loans, including
accrued but unbilled interest on credit card loans, in
accrued interest and accounts receivables on theConsolidated 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 theprovision for credit losses and charge-offs are recognized
by reversing interest income. For other loans, the Bank
generally does not recognize an allowance for credit losseson accrued interest receivables, consistent with its policy towrite 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 considerednonperforming when full payment of principal and interest
is not expected, regardless of delinquency status, or whenprincipal and interest has been in default for a period of 90days 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 theborrower by the contractually specified due date or forcertain loans (e.g., residential real estate loans), when a70monthly payment is due and unpaid for 30 days or more.
Finally, collateral-dependent loans are typically maintainedon nonaccrual status.
On the date a loan is placed on nonaccrual status, allinterest accrued but not collected is reversed againstinterest 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 isdeemed fully collectible; however, if there is doubt
regarding the ultimate collectibility of the recorded loanbalance, all interest cash receipts are applied to reduce thecarrying value of the loan (the cost recovery method). For
consumer loans, application of this policy typically results in
the Bank recognizing interest income on nonaccrual
consumer loans on a cash basis.
A loan may be returned to accrual status when repayment isreasonably 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 estimatedexpected credit losses in the held-for-investment loan
portfolio at the balance sheet date and is recognized on thebalance sheet as a contra asset, which brings the amortizedcost to the net carrying value. Changes in the allowance forloan losses are recorded in the provision for credit losses on
the Bank’s Consolidated statements of income. Refer toNote 14 for further information on the Bank’s accounting
policies for the allowance for loan losses.
Charge-offs
Consumer loans are generally charged off or charged down
to the lower of the amortized cost or the net realizablevalue of the underlying collateral (i.e., fair value lessestimated costs to sell), with an offset to the allowance forloan losses, upon reaching specified stages of delinquency
in accordance with standards established by the Federal
Financial Institutions Examination Council (“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 andclosed-end consumer loans, including modified credit card
accounts placed on a fixed payment plan, are charged off
no later than 120 days past due.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Certain consumer loans are charged off or charged down totheir net realizable value earlier than the FFIEC charge-off
standards in the following circumstances:•

Loans modified to borrowers experiencing financial
difficulty that are determined to be collateraldependent.

•

Loans to borrowers who have experienced an event thatsuggests 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 ofa bankruptcy filing).
Auto loans upon repossession of the automobile.

•

Other than in certain limited circumstances, the Bank
typically does not recognize charge-offs on the governmentguaranteed portion of loans.
Wholesale loans are charged off when it is highly certainthat a loss has been realized. The determination of whether
to recognize a charge-off includes many factors, including
the prioritization of the Bank’s claim in bankruptcy,
expectations of the workout/restructuring of the loan andvaluation of the borrower’s equity or the loan collateral.
When a loan is charged down to the lower of its amortizedcost or the estimated net realizable value of the underlying
collateral, the determination of the fair value of thecollateral depends on the type of collateral (e.g., securities,
real estate). In cases where the collateral is in the form ofliquid securities, the fair value is based on quoted market
prices or broker quotes. For illiquid securities or otherfinancial 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 likelythat a borrower is either unable or unwilling to pay, theBank 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 thenupdated at least every 12 months, or more frequently
depending on various market factors. As soon as practicable
after the Bank receives the property in satisfaction of a debt
(e.g., by taking legal title or physical possession), the Bank
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 Bank’s experience with actual liquidation
values as compared with the estimated values provided byexterior opinions and interior appraisals, considering statespecific factors.

accordance with the Bank’s policies. The Bank also
considers both borrower- and market-specific factors, which
may result in obtaining appraisal updates or broker priceopinions at more frequent intervals.
Loans held-for-saleLoans held-for-sale are measured at the lower of cost or fairvalue, with valuation changes recorded in noninterest
revenue. For consumer loans, the valuation is performed ona portfolio basis. For wholesale loans, the valuation is
performed on an individual loan basis.
Interest income on loans held-for-sale is accrued andrecognized 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 anddiscounts or premiums are an adjustment to the basis of theloan 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 Bank’s allowance for loan losses and chargeoff policies do not apply to these loans. However, loans
held-for-sale are subject to the Bank’s nonaccrual policies.
Loans at fair value
Loans for which the fair value option has been elected aremeasured at fair value, with changes in fair value recorded
in noninterest revenue.
Interest income on these loans is accrued and recognizedbased on the contractual rate of interest. Changes in fairvalue are recognized in noninterest revenue. Loan
origination fees are recognized upfront in noninterest
revenue. Loan origination costs are recognized in theassociated expense category as incurred.
Because these loans are recognized at fair value, the Bank’s
allowance for loan losses and charge-off policies do not
apply to these loans. However, loans at fair value aresubject to the Bank’s nonaccrual policies.
Refer to Note 4 for further information on the Bank’s
elections of fair value accounting under the fair value
option. Refer to Note 3 and Note 4 for further information
on loans carried at fair value and classified as trading
assets.

For commercial real estate loans, collateral values are
generally based on appraisals from internal and externalvaluation sources. Collateral values are typically updated
every six to twelve months, either by obtaining a new
appraisal or by performing an internal analysis, in
JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

71

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Loan classification changes
Loans in the held-for-investment portfolio thatmanagement decides to sell are transferred to the held-forsale portfolio at the lower of cost or fair value on the dateof transfer. Credit-related losses are charged against theallowance 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 theheld-for-investment portfolio at amortized cost on the dateof transfer. These loans are subsequently assessed for
impairment based on the Bank’s allowance methodology.
Refer to Note 14 for a further discussion of themethodologies used in establishing the Bank’s allowance forloan losses.
Loan modifications
The Bank seeks to modify certain loans in conjunction with
its loss mitigation activities. Through the modification, theBank grants one or more concessions to a borrower who isexperiencing financial difficulty in order to minimize theBank’s economic loss and avoid foreclosure or repossessionof the collateral, and to ultimately maximize payments
received by the Bank from the borrower. The concessions
granted vary by program and by borrower-specificcharacteristics, and may include interest rate reductions,term extensions, other-than-insignificant payment delays or
principal forgiveness. Effective January 1, 2023 the Bank
adopted the Financial Instruments - Credit Losses: Troubled
Debt Restructurings and Vintage Disclosure accounting
guidance, which changed the accounting for loan
modifications from TDRs to FDMs. Refer to Note 1 forfurther information
Loans, except for credit card loans, reported as FDMs are
generally placed on nonaccrual status, although in manycases such loans were already on nonaccrual status prior tomodification. 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 themodified terms for a minimum of six months and/or six
payments, and (ii) the Bank has an expectation that
repayment of the modified loan is reasonably assured basedon, for example, the borrower’s debt capacity and level offuture earnings, collateral values, LTV ratios, and othercurrent market considerations. In certain limited and welldefined circumstances in which the loan is current at themodification date, such loans are not placed on nonaccrual
status at the time of modification.

For periods ending prior to January 1, 2023, modificationsof loans where the Bank granted concessions to a borrower
experiencing financial difficulty were accounted for andreported as TDRs. The concessions granted varied byprogram and by borrower-specific characteristics, andincluded interest rate reductions, term extensions, payment
delays, principal forgiveness, or the acceptance of equity orother assets in lieu of payments. Loans with short-term andother insignificant modifications that were not considered
concessions were not TDRs.
Loans modified in TDRs were generally measured for
impairment using the Bank’s established asset-specificallowance methodology, which considers the expected
redefault rates for the modified loans. A loan modified in a
TDR generally remained subject to the asset-specificcomponent of the allowance throughout its remaining life,
regardless of whether the loan was performing and had
been returned to accrual status. Refer to Note 14 forfurther discussion.
Foreclosed property
The Bank acquires property from borrowers through loan
restructurings, workouts, and foreclosures. Property
acquired may include real property (e.g., residential realestate, land, and buildings) and other commercial andpersonal property (e.g., automobiles, aircraft, railcars, andships).
The Bank recognizes foreclosed property upon receiving
assets in satisfaction of a loan (e.g., by taking legal title orphysical possession). For loans collateralized by real
property, the Bank generally recognizes the asset received
at foreclosure sale or upon the execution of a deed in lieu offoreclosure transaction with the borrower. Foreclosed
assets are reported in other assets on the Consolidatedbalance sheets and initially recognized at fair value lessestimated costs to sell. Each quarter the fair value of theacquired property is reviewed and adjusted, if necessary, tothe lower of cost or fair value. Subsequent adjustments tofair value are charged/credited to noninterest revenue.
Operating expense, such as real estate taxes andmaintenance, are charged to other expense.

The allowance for credit losses associated with FDMs is
measured using the Bank’s established allowancemethodology, which considers the expected re-default rates
for the modified loans. Refer to Note 14 for further
discussion.

72

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Loan portfolio
The Bank’s loan portfolio is divided into three portfolio segments, which are the same segments used by the Bank to determine
the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment the
Bank monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class.
Consumer, excluding
credit card
• Residential real estate(a)• Auto and other(b)Wholesale(c)(d)Credit card
• Credit card loans• Secured by real estate• Commercial and industrial• Other(e)(a) Includes scored mortgage and home equity loans.
(b) Includes scored auto, business banking and consumer unsecured loans as well as overdrafts.
(c) Includes loans for which the wholesale methodology is applied when determining the allowance for loan losses.
(d) The wholesale portfolio segment’s classes align with loan classifications as defined by the bank regulatory agencies, based on the loan's collateral,purpose, and type of borrower.
(e) Includes loans to SPEs, financial institutions, personal investment companies and trusts, individuals and individual entities (predominantly global privatebank clients), states and political subdivisions, as well as loans to nonprofits. Refer to Note 15 for more information on SPEs.

The following tables summarize the Bank’s loan balances by portfolio segment.
December 31, 2023
(in millions)
Retained
Held-for-saleAt fair value
Total

Consumer, excluding
credit card$
397,268487
12,317$410,072

December 31, 2022
(in millions)
Retained
Held-for-saleAt fair value
Total

Consumer, excluding
credit card$
300,746617
9,980$
311,343

(a)

$

(a)

$

$

$

Credit card
211,123 $——
211,123 $Wholesale669,753 $
2,898
26,274
698,925 $Total(b)(c)1,278,144
3,385
38,591
1,320,120

Credit card
185,175 $——
185,175 $Wholesale
601,393 $
3,259
31,815
636,467 $Total(b)(c)
1,087,314
3,876
41,795
1,132,985(a) Includes loans associated with First Republic consisting of $90.7 billion of retained loans and $1.9 billion of loans at fair value in consumer, excluding
credit card and $52.8 billion of retained loans in wholesale.
(b) Excludes $6.8 billion and $5.2 billion of accrued interest receivable at December 31, 2023 and 2022, respectively. The Bank wrote off accrued interest
receivable of $49 million and $39 million for the years ended December 31, 2023 and 2022, 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 December 31, 2023 and 2022.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

73

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following tables provide information about the carrying value of retained loans purchased, sold and reclassified to heldfor-sale during the periods indicated. Loans that were reclassified to held-for-sale and sold in a subsequent period are
excluded from the sales line of this table.
2023
Year ended December 31,(in millions)Purchases
Sales
Retained loans reclassified to held-for-sale(a)Consumer, excluding
credit card$
92,205 (b)(c)(d)
2,202

$

Credit card
—
—

274

$

—

Wholesale60,30044,916

(d)

$

Total
152,505
47,118

1,486

1,760

2022
Year ended December 31,(in millions)Purchases
Sales
Retained loans reclassified to held-for-sale(a)Consumer, excluding
credit card(b)(c)
$
1,625
2,884

$

Credit card
—
—

229

$

—

Wholesale
1,088
41,934

Total
$

2,713
44,818

1,055

1,284

2021
Year ended December 31,(in millions)Purchases
Sales
Retained loans reclassified to held-for-sale(a)Consumer, excluding
credit card$
515 (b)(c)
799
1,225

Credit card

$

—
—
—

$

Wholesale
1,204
31,104
2,178

Total
$

1,719
31,903
3,403(a) Reclassifications of loans to held-for-sale are non-cash transactions.
(b) Includes purchases of residential real estate loans, including the Bank’s voluntary repurchases of certain delinquent loans from loan pools as permitted byGovernment National Mortgage Association (“Ginnie Mae”) guidelines for the years ended December 31, 2023, 2022 and 2021. The Bank typically elects
to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements ofGinnie Mae, the Federal Housing Administration (“FHA”), Rural Housing Services (“RHS”), and/or the U.S. Department of Veterans Affairs (“VA”).
(c) Excludes purchases of retained loans of $5.1 billion, $12.4 billion and $25.8 billion for the years ended December 31, 2023, 2022 and 2021,
respectively, which are predominantly sourced through the correspondent origination channel and underwritten in accordance with the Bank’s standards.
(d) Includes loans acquired in the First Republic acquisition consisting of $91.9 billion in consumer, excluding credit card and $59.2 billion in wholesale.
Refer to Note 29 for additional information.

Gains and losses on sales of loans
Net gains/(losses) on sales of loans and lending-related commitments (including adjustments to record loans and lendingrelated commitments held-for-sale at the lower of cost or fair value) recognized in noninterest revenue was $57 million for theyear ended December 31, 2023 of which $63 million was related to loans. Net gains/(losses) on sales of loans and lendingrelated commitments was $(232) million for the year ended December 31, 2022 of which $(100) million was related to loans.
Net gains/(losses) on sales of loans and lending-related commitments was $258 million for the year ended December 31,
2021 of which $250 million was related to loans. In addition, the sale of loans may also result in write downs, recoveries orchanges in the allowance recognized in the provision for credit losses.

74

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Consumer, excluding credit card loan portfolio
Consumer loans, excluding credit card loans, consist
primarily of scored residential mortgages, home equity
loans and lines of credit, auto and business banking loans,with a focus on serving the prime consumer credit market.
These loans include home equity loans secured by juniorliens, prime mortgage loans with an interest-only payment
period, and certain payment-option loans that may result innegative amortization.
The following table provides information about retained
consumer loans, excluding credit card, by class.
December 31, (in millions)
Residential real estate2023$ 326,402

2022
(a)

$ 237,554

Delinquency rates are the primary credit quality indicator
for consumer loans. Loans that are more than 30 days past
due provide an early warning of borrowers who may be
experiencing financial difficulties and/or who may beunable or unwilling to repay the loan. As the loan continues
to age, it becomes more clear whether the borrower is likely
to be 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 liquidationtransaction. In addition to delinquency rates, other credit
quality indicators for consumer loans vary based on theclass of loan, as follows:•

For residential real estate loans, the current estimated
LTV ratio, or the combined LTV ratio in the case of juniorlien loans, is an indicator of the potential loss severity inthe 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 theborrower 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 alow FICO score (less than 660) is considered to be ofhigher 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 ofthe portfolio. Similar to residential real estate loans,geographic distribution provides insights into theportfolio performance based on regional economic
activity and events.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

75

Auto and otherTotal retained loans

70,866

63,192$ 397,268$ 300,746(a) Included $90.7 billion of loans associated with First Republic.

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Residential real estate
Delinquency is the primary credit quality indicator for retained residential real estate loans. The following tables provide
information on delinquency and gross charge-offs for the year ended December 31, 2023.
December 31, 2023
Term loans by origination year(f)(in millions, except ratios)

Revolving loans

2023

2022

2021

2020

2019

Prior to2019

Within therevolving
periodConverted toterm loans

Total

Loan delinquency(a)(b)Current(c)$ 23,216$ 64,366$ 84,496$ 55,546$ 21,530$ 59,558

8,151$ 324,342

30–149 days past due

33

74

89

70

41

800

49

223

1,379

150 or more days past due

1

10

17

7

21

456

5

164

681

$ 23,250$ 64,450$ 84,602$ 55,623$ 21,592$ 60,814

8,538$ 326,402

Total retained loans% of 30+ days past due tototal retained loans(d)(e)Gross charge-offs

0.15 %$—

0.13 %$—

0.13 %$—

0.14 %$—

0.29 %$

4$$

2.04 %
$

167

7,479

$

7,533

$

0.72 %$

26

4.53 %$

7

0.63 %$

204

December 31, 2022
Term loans by origination year(f)(in millions, except ratios)

Revolving loans

2022

2021

2020

2019

2018

$ 39,934$ 66,072$ 43,315$ 15,397$ 6,339

29

11

14

20

20

Prior to 2018

Within therevolving
periodConverted
to term
loans

Total

$

49,626$ 5,589$ 9,685$ 235,957

597

15

208

914

Loan delinquency(a)(b)Current
30–149 days past due
150 or more days past due
Total retained loans% of 30+ days past due tototal retained loans(d)

1

1

6

10

7

$ 39,964$ 66,084$ 43,335$ 15,427$ 6,366

0.08 %

0.02 %

0.05 %

0.19 %

0.42 %

$

479

4

175

683

50,702$ 5,608$ 10,068$ 237,554

2.07 %

0.34 %

3.80 %

0.66 %(a) Individual delinquency classifications include mortgage loans insured by U.S. government agencies which were not material at December 31, 2023 and2022.
(b) At December 31, 2023 and 2022, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within theirdeferral period and performing according to their modified terms are generally not considered delinquent.
(c) Included $6.4 billion, $26.3 billion, $21.9 billion, $14.8 billion, $7.4 billion, and $10.9 billion of term loans originated in 2023, 2022, 2021, 2020,2019 and prior to 2019, respectively, and $2.5 billion of revolving loans within the revolving period associated with First Republic.
(d) Excludes mortgage loans that are 30 or more days past due insured by U.S. government agencies which were not material at December 31, 2023 and2022. These amounts have been excluded based upon the government guarantee.
(e) Included $343 million of 30 or more days past due loans associated with First Republic.
(f) Purchased loans are included in the year in which they were originated.

Approximately 37% of the total revolving loans are senior lien loans; the remaining balance are junior lien loans. The lien
position the Bank holds is considered in the Bank’s allowance for credit losses. Revolving loans that have been converted toterm loans have higher delinquency rates than those that are still within the revolving period. That is primarily because thefully-amortizing payment that is generally required for those products is higher than the minimum payment options available
for revolving loans within the revolving period.

76

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Nonaccrual loans and other credit quality indicators
The following table provides information on nonaccrual and other credit quality indicators for retained residential real estateloans.
(in millions, except weighted-average data)
Nonaccrual loans(a)(b)(c)(d)(e)Current estimated LTV ratios(f)(g)(h)Greater than 125% and refreshed FICO scores:
Equal to or greater than 660
Less than 660
101% to 125% and refreshed FICO scores:
Equal to or greater than 660
Less than 660
80% to 100% and refreshed FICO scores:
Equal to or greater than 660
Less than 660
Less than 80% and refreshed FICO scores:
Equal to or greater than 660
Less than 660
No FICO/LTV available(i)Total retained loans

$

$

$

72
—

$

223
4

$

Weighted average LTV ratio(f)(j)Weighted average FICO(g)(j)Geographic region(i)(k)California
New York
FloridaTexas
Massachusetts
Illinois
Colorado
Washington
New Jersey
Connecticut
All other
Total retained loans

December 31, 2023
3,463

$

2
—
174
6

6,491
102

(l)

12,034
184

309,2469,275(l)215,093
8,656

989
326,402

(l)

(m)

$

49 %
770
$

December 31, 2022
3,742

127,071
48,814
22,777
15,504
14,213
10,856
10,800
9,923
8,050
7,163
51,231
326,402

1,405
237,554
51 %
769

(n)

$

(n)
(n)

(n)

$

73,112
34,471
18,87014,9686,380
11,296
9,968
9,060
7,108
5,432
46,889237,554(a) Includes collateral-dependent residential real estate loans that are charged down to the fair value of the underlying collateral less costs to sell. The Bank
reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmedby the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual loans, regardless of their delinquency status. At December 31, 2023,
approximately 9% of Chapter 7 residential real estate loans were 30 days or more past due.
(b) Mortgage loans insured by U.S. government agencies excluded from nonaccrual loans were not material at December 31, 2023 and 2022.
(c) Generally, all consumer nonaccrual loans have an allowance. In accordance with regulatory guidance, certain nonaccrual loans that are consideredcollateral-dependent have been charged down to the lower of amortized cost or the fair value of their underlying collateral less costs to sell. If the value ofthe underlying collateral improves subsequent to charge down, the related allowance may be negative.
(d) Interest income on nonaccrual loans recognized on a cash basis was $180 million and $175 million for the years ended December 31, 2023 and 2022,
respectively.
(e) Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic.
(f) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at aminimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to theextent available and forecasted data where actual data is not available. Current estimated combined LTV for junior lien home equity loans considers all
available lien positions, as well as unused lines, related to the property.
(g) Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Bank on at least a quarterly basis.
(h) Includes residential real estate loans, primarily held in LLCs, that did not have a refreshed FICO score. These loans have been included in a FICO band
based on management’s estimation of the borrower’s credit quality.
(i) Included U.S. government-guaranteed loans as of December 31, 2023 and 2022.
(j) Excludes loans with no FICO and/or LTV data available.
(k) The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at December 31, 2023.
(l) Included $1.1 billion in equal to or greater than 660 FICO scores within 80% to 100% LTV ratio, and $87.9 billion and $1.1 billion in equal to or greaterthan 660 and less than 660 FICO scores, respectively, within less than 80% LTV ratio associated with First Republic.
(m) Included $90.7 billion of loans associated with First Republic.
(n) Included $54.9 billion, $14.9 billion, $3.5 billion and $7.8 billion in California, New York, Florida and Massachusetts, respectively, associated with First
Republic.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

77

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Loan modifications
The Bank grants certain modifications of residential realestate loans to borrowers experiencing financial difficulty,
which effective January 1, 2023, are reported as FDMs. The
Bank’s proprietary modification programs as well as
government programs, including U.S. GSE programs, thatgenerally provide various modifications to borrowers
experiencing financial difficulty including, but not limited
to, interest rate reductions, term extensions, other-thaninsignificant payment delay and principal forgiveness thatwould otherwise have been required under the terms of theoriginal agreement, are considered FDMs.
Financial effects of FDMs
For the year ended December 31, 2023, residential realestate FDMs were $136 million. The financial effects of theFDMs, which were predominantly in the form of term
extensions and interest rate reductions, included extending
the weighted-average life of the loans by 20 years, andreducing the weighted-average contractual interest ratefrom 7.21% to 4.44% for the year ended December 31,
2023. There were no additional commitments to lend toborrowers experiencing financial difficulty whose loans
have been modified as FDMs.
In addition to FDMs, the Bank also had $69 million of loans
subject to a trial modification, and $9 million of Chapter 7loans for the year ended December 31, 2023. The changes
to the TDR accounting guidance eliminated the TDR
reasonably expected and concession assessment criteria.
Accordingly, trial modifications and Chapter 7 loans wereconsidered TDRs, but not FDMs. Refer to Note 1 for further
information.
Payment status of FDMs and redefaults
For the year ended December 31, 2023, residential realestate FDMs of $29 million were 30 or more days past due,and FDMs that re-defaulted were $17 million.
Nature and extent of TDRs
For periods ending prior to January 1, 2023, modificationsof residential real estate loans where the Bank granted
concessions to borrowers who were experiencing financial
difficulty were generally accounted for and reported as
TDRs. Loans with short-term or other insignificant
modifications that were not considered concessions were
not TDRs. For the years ended December 31, 2022 and
2021, new TDRs were $362 million and $866 million, andthere were no additional commitments to lend to borrowers
whose residential real estate loans were modified in TDRs.
The Bank’s proprietary modification programs as well as
government programs, including U.S. GSE programs,
generally provide various concessions to financiallytroubled borrowers including, but not limited to, interest
rate reductions, term or payment extensions and delays ofprincipal and/or interest payments that would otherwise
have been required under the terms of the original
agreement.

78

The following table provides information about how
residential real estate loans were modified in TDRs during
the period presented. This table excludes loans with shortterm or other insignificant modifications that are notconsidered concessions.
Year ended December 31,

2022

2021

Number of loans approved for a trial
modification

3,898

6,243

Number of loans permanently modified

4,182

4,588

Concession granted:(a)Interest rate reduction

54 %

74 %

Term or payment extension

67

53

Principal and/or interest deferred

1023

Principal forgiveness1

2

Other(b)3736(a) Represents concessions granted in permanent modifications as apercentage of the number of loans permanently modified. The sum of
the percentages exceeds 100% because predominantly all of themodifications 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 andpayment delays that meet the definition of a TDR.

Financial effects of TDRs and redefaults
The following table provides information about the financial
effects of the various concessions granted in modificationsof residential real estate loans and about redefaults ofcertain loans modified in TDRs for the periods presented.
The following table presents only the financial effects ofpermanent modifications and does not include temporary
concessions offered through trial modifications. This tablealso excludes loans with short-term or other insignificant
modifications that were not considered concessions.
Year ended December 31,(in millions, except weighted-average data)

2022

2021

Weighted-average interest rate of loans
with interest rate reductions – before TDR

4.75 %

4.52 %

Weighted-average interest rate of loans
with interest rate reductions – after TDR

3.35

2.89

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

22

23

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

38

38

Charge-offs recognized upon permanentmodification

$

1

$

—

Principal deferred

16

28

Principal forgiven

2

1

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

$

147

$

160

(a) Represents loans permanently modified in TDRs that experienced apayment 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.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Active and suspended foreclosure
At December 31, 2023 and 2022, the Bank had residential real estate loans, excluding those insured by U.S. government
agencies, with a carrying value of $565 million and $564 million, respectively, that were not included in REO, but were in theprocess of active or suspended foreclosure.
Auto and other
Delinquency is the primary credit quality indicator for retained auto and other loans. The following tables provide information
on delinquency and gross charge-offs for the year ended December 31, 2023.
December 31, 2023
Term loans by origination year

(in millions, except ratios)

Revolving loans
Prior to2019

Within therevolving
periodConverted
to term
loans

511$ 2,984

$

2023

2022

2021

2020

2019

$ 30,328$ 14,797$ 12,825$ 6,538$ 1,777

276

279

231

78

43

17

1

1

7

8

—

—

$ 30,605$ 15,077$ 13,063$ 6,624$ 1,820528$ 3,006

Total

Loan delinquency
Current
30–119 days past due
120 or more days past due
Total retained loans% of 30+ days past due tototal retained loans(a)Gross charge-offs

0.91 %$

333

1.86 %$

1.75 %

297

$

161

1.15 %$

53$$

2.36 %$

35

3.22 %$

64

102$ 69,862

19

24

967

3

17

37

143

$ 70,866$

0.73 %$—

28.67 %$

4

1.39 %$

947

December 31, 2022
Term loans by origination year
(in millions, except ratios)

Revolving loans
Prior to2018

Within therevolving
periodConverted
to term
loans
$

2022

2021

2020

2019

2018

Total

$ 22,187$ 20,212$ 11,401$ 3,991$ 1,467578$ 2,342118$ 62,296

263

308

100

68

33

17

12

10

811

—

53

24

—

—

1

2

5

85

$ 22,450$ 20,573$ 11,525$ 4,059$ 1,500

596$ 2,356

133$ 63,192

Loan delinquency
Current
30–119 days past due
120 or more days past due
Total retained loans% of 30+ days past due tototal retained loans(a)1.17 %

1.15 %

0.83 %

1.68 %

2.20 %$$

3.02 %

0.59 %$

11.28 %

1.18 %(a) At December 31, 2023 and 2022, auto and other loans excluded $20 million and $153 million, respectively, of PPP loans guaranteed by the SBA that are
30 or more days past due. These amounts have been excluded based upon the SBA guarantee.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

79Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Nonaccrual and other credit quality indicators
The following table provides information on nonaccrual andother credit quality indicators for retained auto and otherconsumer loans.
Total Auto and other(in millions)Nonaccrual loans(a)(b)(c)
Geographic region(d)California
Texas
FloridaNew York
Illinois
New Jersey
Georgia
Pennsylvania
Arizona
North Carolina
All other
Total retained loans

December December 31,
31, 2023
2022
$
177 $
129
$

$

10,959 $
8,502
5,684
4,938
3,147
2,609
1,912
1,900
1,779

9,689
7,216
4,847
4,345
2,839
2,219
1,708
1,822
1,551

1,714
27,72270,866 $1,481
25,47563,192(a) At December 31, 2023 and 2022, nonaccrual loans excluded $15
million and $101 million, respectively, of PPP loans 90 or more days
past due and guaranteed by the SBA, of which $15 million and $76
million, respectively, were no longer accruing interest based on theguidelines set by the SBA. Typically the principal balance of the loans isinsured and interest is guaranteed at a specified reimbursement rate
subject to meeting the guidelines set by the SBA. There were no loansthat were not guaranteed by the SBA that are 90 or more days past
due and still accruing interest at December 31, 2023 and 2022.
(b) Generally, all consumer nonaccrual loans have an allowance. In
accordance with regulatory guidance, certain nonaccrual loans thatare considered collateral-dependent have been charged down to thelower of amortized cost or the fair value of their underlying collateralless costs to sell. If the value of the underlying collateral improves
subsequent to charge down, the related allowance may be negative.
(c) Interest income on nonaccrual loans recognized on a cash basis was
not material for the years ended December 31, 2023 and 2022.
(d) The geographic regions presented in this table are ordered based on
the magnitude of the corresponding loan balances at December 31,
2023.

Loan modifications
The Bank grants certain modifications of auto and otherloans to borrowers experiencing financial difficulty, which
effective January 1, 2023, are reported as FDMs. For theyear ended December 31, 2023, auto and other FDMs
were not material and there were no additional
commitments to lend to borrowers modified as FDMs.
For periods ending prior to January 1, 2023, modificationsof auto and other loans where the Bank granted
concessions to borrowers who were experiencing financial
difficulty were generally accounted for and reported as
TDRs. Loans with short-term or other insignificant
modifications that were not considered concessions were
not TDRs. For the years ended December 31, 2022 and
2021, auto and other TDRs were not material.

80

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Credit card loan portfolio
The credit card portfolio segment includes credit card loans
originated and purchased by the Bank. Delinquency rates
are the primary credit quality indicator for credit card loans
as they provide an early warning that borrowers may be
experiencing difficulties (30 days past due); information on
those borrowers that have been delinquent for a longer
period of time (90 days past due) is also considered. In
addition to delinquency rates, the geographic distribution of
the loans provides insight as to the credit quality of theportfolio based on the regional economy.

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 scoredoes not capture all factors that would be predictive of
future credit performance. Refreshed FICO score
information, which is obtained at least quarterly, for astatistically significant random sample of the credit card
portfolio is indicated in other credit quality indicators. FICO
is considered to be the industry benchmark for creditscores.

While the borrower’s credit score is another generalindicator of credit quality, the Bank does not view creditscores as a primary indicator of credit quality because the

The Bank generally originates new credit card accounts toprime consumer borrowers. However, certain cardholders’
FICO scores may decrease over time, depending on theperformance of the cardholder and changes in the creditscore calculation.

The following tables provide information on delinquency and gross charge-offs for the year ended December 31, 2023.
December 31, 2023
(in millions, except ratios)
Loan delinquency
Current and less than 30 days past due
and still accruing

Within the revolving period$

205,731

Converted to term loans$882

30–89 days past due and still accruing

2,217

84

90 or more days past due and still accruing

2,169

40

Total retained loans
Loan delinquency ratios$

210,117

$

1,006

Total

$

206,613
2,301
2,209

$

211,123% of 30+ days past due to total retained loans

2.09 %

12.33 %

2.14 %% of 90+ days past due to total retained loans

1.03

3.98

1.05

Gross charge-offs

$

5,325

$

166

$

5,491

December 31, 2022
(in millions, except ratios)
Loan delinquency
Current and less than 30 days past due
and still accruing

Within the revolving period$

30–89 days past due and still accruing

$

1,356

90 or more days past due and still accruing
Total retained loans
Loan delinquency ratios

181,793

Converted to term loans

184,379

$

64

1,230
$

696

Total

1,420

36
$

796

182,489
1,266$

185,175% of 30+ days past due to total retained loans

1.40 %

12.56 %

1.45 %% of 90+ days past due to total retained loans

0.67

4.52

0.68

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

81Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Other credit quality indicators
The following table provides information on other credit quality indicators for retained credit card loans.
(in millions, except ratios)

December 31, 2023

Geographic region(a)California
Texas
New York
FloridaIllinois
New Jersey
Ohio
Colorado
Pennsylvania
Arizona
All other
Total retained loans$$

Percentage of portfolio based on carrying value with estimated refreshed FICO scores
Equal to or greater than 660
Less than 660
No FICO available

32,65222,086
16,915
15,103
11,364
8,688
6,424
6,307
6,088
5,209
80,287211,123

December 31, 2022$$

28,154
19,171
15,046
12,905
10,089
7,643
5,792
5,493
5,517
4,487
70,878185,175

85.8 %
14.0
0.2

86.8 %
13.0
0.2(a) The geographic regions presented in the table are ordered based on the magnitude of the corresponding loan balances at December 31, 2023.

Loan modifications
The Bank grants certain modifications of credit card loans to borrowers experiencing financial difficulty, which effective
January 1, 2023, are reported as FDMs. These modifications may involve placing the customer’s credit card account on a fixed
payment plan, generally for 60 months, which typically includes reducing the interest rate on the credit card account. If theborrower does not make the contractual payments when due under the modified payment terms, the credit card loancontinues to age and will be charged-off in accordance with the Bank’s standard charge-off policy. In most cases, the Bank
does not reinstate the borrower's line of credit.
Financial effects of FDMs
The following table provides information on credit card loan modifications considered FDMs.
Year ended December 31, 2023
(in millions)

Amortized
cost basis% of loan modifications to total
retained credit card loans

Financial effect of loan modification

Loan modification(a)(b)

Term extension and interest rate reduction

$

648

Total

$

648

Term extension with a reduction in theweighted average contractual interest rate
0.31 % from 23.19% to 3.64%(a) Term extension includes credit card loans whose terms have been modified under long-term programs by placing the customer’s credit card account on a
fixed payment plan.
(b) The interest rates represent weighted average at enrollment.

For the year ended December 31, 2023, the Bank also had $27 million of credit card loans subject to trial modifications. Thechanges to the TDR accounting guidance eliminated the TDR reasonably expected and concession assessment criteria.
Accordingly, trial modifications are not considered FDMs.

82

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Payment status of FDMs and redefaults
The following table provides information on the payment
status of FDMs during the year ended December 31, 2023.
Year ended December 31, 2023
(in millions)
Current and less than 30 days past due and still accruing

Amortized
cost basis$558

30-89 days past due and still accruing

59

90 or more days past due and still accruing
Total

31
648

$

There were $50 million FDMs that re-defaulted during theyear ended December 31, 2023 which were a combinationof term extension and interest rate reduction.
For credit card loans modified as FDMs, payment default isdeemed to have occurred when the borrower misses twoconsecutive contractual payments. Defaulted modified
credit card loans remain in the modification program andcontinue to be charged off in accordance with the Bank’s
standard charge-off policy.
Financial effects of TDRs and redefaults
For periods ending prior to January 1, 2023, modificationsof credit card loans where the Bank granted concessions toborrowers who were experiencing financial difficulty weregenerally accounted for and reported as TDRs. The Bank
granted concessions for most of the credit card loans underlong-term programs. These concessions involved placing
the customer’s credit card account on a fixed payment plan,
generally for 60 months, and typically included reducing
the interest rate on the credit card account. Substantially all
modifications under the Bank’s long-term programs wereconsidered to be TDRs. Loans with short-term or otherinsignificant modifications that were not considered
concessions were not reported as TDRs.

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.
Year ended December 31,(in millions, except
weighted-average data)
Balance of new TDRs(a)Weighted-average interest rate of loans –before TDR
Weighted-average interest rate of loans – after
TDR
Balance of loans that redefaulted within one
year of modification(b)

2022

2021

$ 418

$ 393

$

19.86 %

17.75 %

4.13

5.14

34

$

57

(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 theydefaulted.

For credit card loans modified in TDRs, payment default wasdeemed to have occurred when the borrower missed twoconsecutive contractual payments. Defaulted modified
credit card loans remained in the modification program andcontinued to be charged of in accordance with the Bank’s
standard charge-off policy.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

83

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Wholesale loan portfolio
Wholesale loans include loans made to a variety of clients,
ranging from large corporate and institutional clients tohigh-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 anddifferentiate risk within the portfolio. Risk ratings on loans
consider the PD and the LGD. The PD is the likelihood that aloan will default. The LGD is the estimated loss on the loanthat would be realized upon the default of the borrower andtakes into consideration collateral and structural support
for each credit facility.
Management considers several factors to determine anappropriate 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 leveland nature of contingencies, management strength, and theindustry and geography in which the obligor operates. The
Bank’s internal risk ratings generally align with thequalitative characteristics (e.g., borrower capacity to meetfinancial commitments and vulnerability to changes in theeconomic 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 andassumptions. The Bank generally considers internal ratings
with qualitative characteristics 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.

84

Noninvestment-grade ratings are further classified as
noncriticized and criticized, and the criticized portion isfurther subdivided into performing and nonaccrual loans,representing management’s assessment of the collectibilityof principal and interest. Criticized loans have a higher PD
than noncriticized loans. The Bank’s definition of criticizedaligns with the U.S. banking regulatory definition ofcriticized exposures, which consist of special mention,
substandard and doubtful categories. Refer to Note 1 foradditional information.
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 theindustry in which the obligor conducts its operations. As
part of the overall credit risk management framework, theBank focuses on the management and diversification of its
industry and client exposures, with particular attention paid
to industries with an actual or potential credit concern.
Refer to Note 5 for further detail on industry
concentrations.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Internal risk rating is the primary credit quality indicator for retained wholesale loans. The following tables provide
information on internal risk rating and gross charge-offs for the year ended December 31, 2023.
December 31,(in millions, except
ratios)Other(b)Secured by real estate

Commercial and industrial

Total retained loans

2023

2022

2023

2022

2023

2022

2023

2022

$ 120,402$ 99,514$ 72,618$ 76,207$ 265,086$ 248,155$ 458,106$ 423,876

Loans by risk ratings
Investment- grade
Noninvestment- grade:
Noncriticized

34,18623,30780,516

81,35973,78457,547

188,486

162,213

Criticized performing

7,291

3,652

12,402

8,965

1,257

728

20,95013,345

Criticized nonaccrual

401

246

1,221

1,018

589

695

2,211

1,959

Total noninvestmentgrade
Total retained loans(a)% of investment-grade
to total retained loans% of total criticized tototal retained loans% of criticizednonaccrual to total
retained loans

41,87827,205

94,13991,34275,63058,970211,647

177,517$ 162,280$ 126,719$ 166,757$ 167,549$ 340,716$ 307,125$ 669,753$ 601,393

74.19 %

78.53 %

43.55 %

45.48 %

77.80 %

80.80 %

68.40 %

70.48 %

4.74

3.08

8.17

5.96

0.54

0.46

3.46

2.54

0.25

0.19

0.73

0.61

0.17

0.23

0.33

0.33

(a) As of December 31, 2023 included $33.8 billion of Secured by real estate loans, $3.0 billion of Commercial and industrial loans, and $16.0 billion of
Other loans associated with First Republic.
(b) Includes loans to SPEs, financial institutions, personal investment companies and trusts, individuals and individual entities (predominantly global privatebank clients), states and political subdivisions, as well as loans to nonprofits. As of December 31, 2023, predominantly consisted of $105.8 billion toindividuals and individual entities, $90.8 billion to SPEs and $87.3 billion to financial institutions. Refer to Note 15 for more information on SPEs.
Secured by real estate
December 31, 2023
Term loans by origination year
(in millions)

Prior to 2019

Revolving loans
Within theConverted
revolving
to term
period
loans

2023

2022

2021

2020

2019

$

10,684 $28,874 $25,784 $16,820 $15,677 $4,438

12,563

7,839

3,840

3,987

7,918

Total retained loans(a)$15,122 $41,437 $33,623 $20,660 $19,664 $29,026$Gross charge-offs

$

20 $

48 $

22 $

— $

23 $

78

$

Total

Loans by risk ratings
Investment-grade
Noninvestment-grade

21,108$1,455 $—$ 120,402

1,291

2

41,8782,746 $

2

$ 162,280

— $

—

$

191

Secured by real estate
December 31, 2022
Term loans by origination year
(in millions)

2022

2021

2020

2019

2018

Prior to 201824,096 $22,407 $

14,773 $14,666 $5,277 $

17,289

6,097

5,602

3,032

3,498

2,395

5,659

30,193 $28,009 $17,805 $18,164 $7,672 $

22,948

Revolving loans
Within theConverted
revolving
to term
period
loans

Total

Loans by risk ratings
Investment-grade$

Noninvestment-grade
Total retained loans$$$

1,006 $

—

920

2

$

99,514
27,205

1,926 $

2

$ 126,719(a) As of December 31, 2023 included $3.3 billion, $11.2 billion, $6.2 billion, $4.3 billion, $2.9 billion, and $5.1 billion of retained loans originated in 2023,
2022, 2021, 2020, 2019 and prior to 2019, respectively, and $838 million of revolving loans within the revolving period associated with First Republic.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

85

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)
Commercial and industrial
December 31, 2023
Term loans by origination year
(in millions)

2023

2022

2021

2020

2019

Prior to 2019

14,869 $10,642 $4,276 $

2,291 $

1,030 $

1,115

18,763

16,444

9,299

1,813

1,144

1,006

Revolving loans
Within theConverted
revolving
to term
period
loans

Total

Loans by risk ratings
Investment-grade$

Noninvestment-grade(a)$38,394 $1

45,59674$

72,618
94,139Total retained loans$

33,632 $27,086 $13,575 $4,104 $

2,174 $

2,121$

83,990 $75$ 166,757

Gross charge-offs

$

25 $

8 $

110 $

55 $

2 $

12

$

224 $

9

$

445

Commercial and industrial
December 31, 2022
Term loans by origination year
(in millions)

2022

2021

2020

2019

2018

Prior to 2018

Revolving loans
Within theConverted
revolving
to term
period
loans

Total

Loans by risk ratings
Investment-grade$

Noninvestment-grade
Total retained loans$

21,051 $8,338 $

3,045 $

1,995 $

766 $

989

24,08012,444

3,459

2,506

525

1,014

45,131 $

20,782 $6,504 $

4,501 $

1,291 $

2,003

$
$

40,022 $1

47,232

82$

76,207
91,34287,254 $83$ 167,549(a) As of December 31, 2023 included $364 million, $568 million, $471 million, $212 million, $53 million, and $121 million of retained loans originated in
2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $1.2 billion of revolving loans within the revolving period and $12 million converted
to term loans associated with First Republic.
Other(a)December 31, 2023
Term loans by origination year
(in millions)

2021

2020

2019

Prior to 2019

Revolving loans
Within theConverted
revolving
to term
period
loans

Total

2023

2022

38,301 $17,983 $9,679 $

10,099 $3,721 $

6,528

$ 176,581 $

2,194

13,664

7,874

6,041

2,051

745

1,915

43,281

59

75,6304,466 $

8,443

$ 219,862 $2,253$ 340,716— $8

Loans by risk ratings
Investment-grade$

Noninvestment-grade
Total retained loans(b)$51,965 $25,857 $

15,720 $12,150 $Gross charge-offs

$

5 $

296 $

8 $

8 $

$

13 $

—

$ 265,086

$

338

(a)

Other

December 31, 2022
Term loans by origination year
(in millions)

2019

2018

Prior to 2018

Revolving loans
Within theConverted
revolving
to term
period
loans

Total

2022

2021

2020

31,401 $

15,505 $13,015 $4,529 $

2,160 $

7,055

$ 170,893 $

3,597

16,971

7,096

1,821

699

451

454

31,39682

58,97048,372 $22,601 $

14,836 $5,228 $

2,611 $

7,509

$ 202,289 $3,679$ 307,125

Loans by risk ratings
Investment-grade$

Noninvestment-grade
Total retained loans$$ 248,155(a) Includes loans to SPEs, financial institutions, personal investment companies and trusts, individuals and individual entities (predominantly global privatebank clients), states and political subdivisions, as well as loans to nonprofits. Refer to Note 15 for more information on SPEs.
(b) As of December 31, 2023, included $180 million, $828 million, $692 million, $1.0 billion, $178 million, and $1.4 billion of retained loans originated in
2023, 2022, 2021, 2020, 2019 and prior to 2019, respectively, and $11.8 billion of revolving loans within the revolving period and $56 million
converted to term loans associated with First Republic.

86

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The following table presents additional information on retained loans secured by real estate within the Wholesale portfolio,
which consists of loans secured wholly or substantially by a lien or liens on real property at origination. Multifamily lending
includes financing for acquisition, leasing and construction of apartment buildings. Other commercial lending largely includes
financing for acquisition, leasing and construction, largely for office, retail and industrial real estate. Included in secured byreal estate loans is $10.2 billion and $6.4 billion as of December 31, 2023 and 2022, respectively, of construction anddevelopment loans made to finance land development and on-site construction of commercial, industrial, residential, or farmbuildings.
Multifamily
December 31,(in millions, except ratios)

2023

Retained loans secured by real estate2022$ 100,725$

Total retained loans secured by realestateOther Commercial

79,1392023$

61,555

$

2022

2023

47,580$ 162,280

2022
(a)

Criticized

3,596

1,916

4,096

1,982

7,692

% of criticized to total retained loans secured by real estate

3.57 %

2.42 %

6.65 %

4.17 %

4.74 %

Criticized nonaccrual$76% of criticized nonaccrual loans to total retained loans secured byreal estate$51

0.08 %$

325

0.06 %$

195

0.53 %$

3,898
3.08 %

401

0.41 %$ 126,719$

246

0.25 %

0.19 %(a) Included $20.7 billion and $13.1 billion of Multifamily and Other commercial loans, respectively, associated with First Republic.

Geographic distribution and delinquency
The following table provides information on the geographic distribution and delinquency for retained wholesale loans.
Commercial
and industrial

Secured by real estate
December 31,(in millions)Total
retained loans

Other

2023

2022

2023

2022

2023

2022

2023

2022

$ 159,459$ 123,753$ 127,245$125,273$ 260,769$ 229,293$ 547,473$ 478,319

2,821

2,966

39,512

42,276

79,947

77,832

122,280

123,074$ 162,280$ 126,719$ 166,757$167,549$ 340,716$ 307,125$ 669,753$ 601,393$ 161,256$ 126,072$ 164,490$165,303$ 339,013$ 305,363$ 664,759$ 596,738

473

400

884

1,128

1,090

1,014

2,447

2,542

Loans by geographic distribution(a)(b)Total U.S.
Total non-U.S.
Total retained loans
Loan delinquency
Current and less than 30 days past due and still
accruing
30–89 days past due and still accruing(c)90 or more days past due and still accruing

150

1

162

100

24

53

336

154

Criticized nonaccrual(c)

401

246

1,221

1,018

589

695

2,211

1,959

Total retained loans$ 162,280$ 126,719$ 166,757$167,549$ 340,716$ 307,125$ 669,753$ 601,393

Net charge-offs/(recoveries)

$

$

$

$

$

$

$

$

% of net charge-offs/(recoveries) to end-of-period
retained loans

178
0.11 %

6—%335
0.20 %

145
0.09 %

329
0.10 %

3—%842
0.13 %

154
0.03 %(a) The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.
(b) Borrowers associated with First Republic are predominantly domiciled in the U.S.
(c) Represents loans that are considered well-collateralized and therefore still accruing interest.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

87

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Nonaccrual loans
The following table provides information on retained wholesale nonaccrual loans.
Commercial
and industrial

Secured by real estate
December 31,(in millions)

2023

2022

2023

Total
retained loans

Other

2022

2023

2022

2023

2022

Nonaccrual loans
With an allowance$

Without an allowance(a)Total nonaccrual loans(b)

$

129 $

172

272

74

401 $

246

$
$

776 $

686

445

332

1,221 $

1,018

$
$

386 $

483

203

212

589 $

695

$
$

1,291 $

1,341

920

618

2,211 $

1,959(a) When the discounted cash flows or collateral value equals or exceeds the amortized cost of the loan, the loan does not require an allowance. This typically occurs when the loans
have been partially charged off and/or there have been interest payments received and applied to the loan balance.
(b) Interest income on nonaccrual loans recognized on a cash basis were not material for the years ended December 31, 2023 and 2022.

Loan modifications
The Bank grants certain modifications of wholesale loans to borrowers experiencing financial difficulty, which effective January
1, 2023, are reported as FDMs.
Financial effects of FDMs
The following tables provide information by loan class about modifications considered FDMs.
Secured by real estateYear ended December 31, 2023

(in millions)% of loan modifications to total
retained Real Estate loans

Amortized cost basis

Financial effect of loan modification

Loan modification
Single modifications
Term extension$

Other-than-insignificant payment deferral

149

0.09 %

Extended loans by a weighted average of 14
months3—%

Provided payment deferrals with delayedamounts primarily re-amortized over theremaining life of the loan

3—%

Reduced weighted-average contractual interestby 350 bps and extended loans by a weighted
average of 3 months—%

Provided payment deferrals with delayedamounts primarily recaptured at maturity andreduced weighted average contractual interestby 184 bps

Multiple modifications

Interest rate reduction and term extension
Other-than-insignificant payment deferral and interest rate
reduction
Total

88

5
$

160

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Commercial and industrial
Year ended December 31, 2023

(in millions)% of loan modifications to total
retained Commercial andindustrial loans

Amortized cost basis

Financial effect of loan modification

Loan modification
Single modifications
Term extension$

Other-than-insignificant payment deferral

890

402

0.53 %

Extended loans by a weighted average of 16months0.24 %

Provided payment deferrals with delayedamounts primarily recaptured at the end of thedeferral period

0.02 %

Provided payment deferrals with delayedamounts primarily re-amortized over theremaining life of the loan and extended loans bya weighted average of 7 months

Multiple modifications
Other-than-insignificant payment deferral and term
extension$

35

Other-than-insignificant payment deferral and interest rate
reduction and term extension

2—%

Term extension and principal forgiveness

7

—%

1

—%

Interest rate reduction and term extension
Total

$

Provided payment deferrals with delayedamounts primarily re-amortized over theremaining life of the loan, reduced weighted
average contractual interest by 75 bps andextended loans by a weighted average of 29
monthsExtended loans by a weighted average of 76
months and reduced amortized cost basis of theloans by $5 million
Reduced weighted average contractual interest
rate over the life of the loan as a result of
converting from variable to fixed rate andextended loans by a weighted average of 16months

1,337
OtherYear ended December 31, 2023

(in millions)% of loan modifications to total
retained Other loans

Amortized cost basis

Financial effect of loan modification

Loan modification
Single modifications
Interest rate reduction$

Term extension

9—%

Reduced weighted average contractual interestby 654 bps

355

0.10 %

Extended loans by a weighted average of 23
months0.07 %

Provided payment deferrals with delayedamounts primarily recaptured at the end of thedeferral period and extended loans by aweighted average of 137 months

Multiple modifications
Other-than-insignificant payment deferral and term
extension
Total(a)

245
$

609

(a) Includes loans to nonprofits, financial institutions, and personal investment companies and trusts.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

89

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Payment status of FDMs and redefaults
The following table provides information by loan class about the payment status of FDMs during the year ended December 31,
2023.
Amortized cost basis(in millions)
Current and less than 30 days past due and still
accruing$

Secured by real estate

Commercial and industrial

Other

Year ended December 31, 2023

Year ended December 31, 2023

Year ended December 31, 2023

118 $

921 $

30-89 days past due and still accruing

2

42

—

Criticized nonaccrual

40

374

209

160 $

1,337 $

609

Total

$

400

The following table provides information by loan class about FDMs that re-defaulted during the year ended December 31,
2023.
Amortized cost basis(in millions)

Secured by real estate

Commercial and industrial

Other

Year ended December 31, 2023

Year ended December 31, 2023

Year ended December 31, 2023

Loan modification
Term extension$

Other-than-insignificant payment deferral
Interest rate reduction and term extension
Total(a)

$

1 $

49 $

31

2

—

—

3

1

—

6 $

50 $

31

(a) Represents FDMs that were 30 days or more past due.

As of December 31, 2023, additional unfunded
commitments to lend to borrowers experiencing financial
difficulty for Commercial and industrial and Other loan
FDMs were $1.8 billion and $4 million, respectively. There
were no additional unfunded commitments to lend toborrowers experiencing financial difficulties for Secured byreal estate loan FDMs.
Nature and extent of TDRs
Prior to January 1, 2023, certain loan modifications wereconsidered TDRs. These loan modifications provided various
concessions to borrower who were experiencing financial
difficulty. Loans with short-term or other insignificant
modifications that were not considered concessions were
not TDRs nor were loans for which the Bank elected to90

suspend TDR accounting guidance under the option
provided by the CARES Act.
For the year ended December 31, 2022 and 2021, new
TDRs were $801 million and $881 million, respectively.
New TDRs for the year ended December 31, 2022 and2021 reflected extended maturity dates and covenant
waivers primarily in the Commercial and Industrial loanclass. For the year ended December 31, 2022 and 2021,
the impact of these modifications resulting in new TDRs was
not material to the Bank.
As a result of the elimination of the requirement to assess
whether a modification is reasonably expected or involves aconcession, the population of loans considered FDMs isgreater than the population previously considered TDRs.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 14 – Allowance for credit losses
The Bank’s allowance for credit losses represents
management's estimate of expected credit losses over theremaining expected life of the Bank’s financial assets
measured at amortized cost and certain off-balance sheet
lending-related commitments. The allowance for credit
losses generally comprises:• the allowance for loan losses, which covers the Bank’s
retained loan portfolios (scored and risk-rated),• the allowance for lending-related commitments, which ispresented on the Consolidated balance sheets in accounts
payable and other liabilities, and• the allowance for credit losses on investment securities,
which is reflected in investment securities on theConsolidated balance sheets.

The income statement effect of all changes in the allowancefor 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 bymanagement 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
JPMorgan Chase. Subsequent evaluations of credit
exposures, considering the macroeconomic conditions,forecasts and other factors then prevailing, may result insignificant changes in the allowance for credit losses infuture periods.
The Bank’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 11
for a description of the policies used to determine theallowance for credit losses on investment securities.
Methodology for allowances for loan losses and lendingrelated commitments
The allowance for loan losses and allowance for lendingrelated commitments represents expected credit losses
over the remaining expected life of retained loans andlending-related commitments that are not unconditionallycancellable. The Bank does not record an allowance for
future draws on unconditionally cancellable lending-related
commitments (e.g., credit cards). Expected losses related to
accrued interest on credit card loans are considered in the
Bank’s allowance for loan losses. However, the Bank does
not record an allowance on other accrued interest
receivables, due to its policy to write these receivables off
no later than 90 days past due by reversing interest income.

The expected life of each instrument is determined byconsidering its contractual term, expected prepayments,
cancellation features, and certain extension and call
options. The expected life of funded credit card loans isgenerally estimated by considering expected future
payments on the credit card account, and determining how
much of those amounts should be allocated to repaymentsof 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 theallowance for lending-related commitments, the Bank
assesses whether exposures share similar risk
characteristics. If similar risk characteristics exist, the Bank
estimates expected credit losses collectively, considering
the risk associated with a particular pool and the probability
that the exposures within the pool will deteriorate ordefault. The assessment of risk characteristics is subject tosignificant management judgment. 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 collateralizedloans, current LTV ratios.
• Relevant risk characteristics for the wholesale portfolio
include, risk rating, delinquency status, tenor, level andtype of collateral, geography, industry, credit
enhancement, product type, facility purpose, andpayment terms.
The majority of the Bank’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 otherexposures, the Bank generally estimates expected credit
losses on an individual basis, considering expected
repayment and conditions impacting that individual
exposure (“asset-specific component”). The asset-specificcomponent covers collateral-dependent loans and riskrated 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 borrowerchanging delinquency status or moving from one risk rating
to another. The quantitative calculation covers expectedcredit losses over an instrument’s expected life and isestimated by applying credit loss factors to the Bank’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

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

91

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

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 fivemacroeconomic scenarios consist of a central, relative
adverse, extreme adverse, relative upside and extreme
upside scenario, and are updated by the Bank’s central
forecasting team. The scenarios take into consideration the
Bank’s macroeconomic outlook, internal perspectives fromsubject matter experts across the Bank, and market
consensus and involve a governed process that incorporates
feedback from senior management.
The eight-quarter forecast incorporates hundreds ofmacroeconomic variables (“MEVs”) that are relevant for
exposures across the Bank, with modeled credit losses being
driven primarily by a subset of less than twenty variables,
including U.S. unemployment, U.S. real GDP, U.S. equity
prices, U.S. interest rates, U.S. corporate credit spreads, oilprices, U.S. commercial real estate prices and HPI. The
specific variables that have the greatest effect on themodeled losses of each portfolio vary by portfolio andgeography.
The quantitative calculation is 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 areaccomplished in part by analyzing the historical loss
experience, including during stressed periods, for eachmajor product or model. Management applies judgment inmaking this adjustment, including taking into accountuncertainties associated with the economic and politicalconditions, quality of underwriting standards, borrower
behavior, credit concentrations or deterioration within anindustry, product or portfolio, as well as other relevantinternal and external factors affecting the credit quality ofthe portfolio. In certain instances, the interrelationships
between these factors create further uncertainties.

For collateral-dependent loans, the fair value of collateralless estimated costs to sell, as applicable, is used todetermine the charge-off amount for declines in value (toreduce the amortized cost of the loan to the fair value ofcollateral) or the amount of negative allowance that should
be recognized (for recoveries of prior charge-offs
associated with improvements in the fair value of thecollateral).

The application of different inputs into the quantitative
calculation, and the assumptions used by management toadjust the quantitative calculation, are subject to significant
management judgment, and emphasizing one input orassumption over another, or considering other inputs orassumptions, could affect the estimate of the allowance forloan losses and the allowance for lending-related
commitments.
Asset-specific component
To determine the asset-specific component of theallowance, collateral-dependent loans (including thoseloans for which foreclosure is probable) and nonaccrual
risk-rated loans in the wholesale portfolio segment are
generally evaluated individually.
On January 1, 2023 the Bank adopted the Financial
Instruments - Credit Losses: Troubled Debt Restructurings
accounting guidance as described in Note 1.
92

The adoption of this guidance eliminated the requirement
to measure the allowance for TDRs using a discounted cash
flow (DCF) methodology and allowed the option of a nonDCF portfolio-based approach for modified loans toborrowers experiencing financial difficulty. If a DCF
methodology is still applied for these modified loans, thediscount rate must be the post-modification effective
interest rate, instead of the pre-modification effective
interest rate.
The Bank elected to change from an asset-specificallowance approach to its non-DCF, portfolio-based
allowance approach for modified loans to troubled
borrowers for all portfolios except collateral-dependent
loans and nonaccrual risk-rated loans, for which the assetspecific allowance approach will continue to apply. The
adoption did not impact the collateral-dependent allowanceapproach or scope.
This guidance was adopted under the modified
retrospective method which resulted in a net decrease to
the allowance for credit losses of $587 million and anincrease to retained earnings of $446 million, after-tax
predominantly driven by residential real estate and credit
card.

For non-collateral dependent loans, the Bank 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 effective interest rate. Subsequent changes in
impairment are generally recognized as an adjustment tothe allowance for loan losses. The asset-specific componentof the allowance for non-collateral dependent loans
incorporates the effect of the modification on the loan’s
expected cash flows including changes in interest rates,
principal forgiveness, and other concessions, as well as
management’s expectation of the borrower’s ability to
repay under the modified terms.

Estimating the timing and amounts of future cash flows ishighly judgmental as these cash flow projections rely uponestimates such as loss severities, asset valuations, theamounts and timing of interest or principal payments(including any expected prepayments) or other factors thatare 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, theexpected outcome of insolvency proceedings as well as, incertain circumstances, other economic factors. All of these

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

estimates and assumptions require significant management
judgment and certain assumptions are highly subjective.
Other financial assets
In addition to loans and investment securities, the Bankholds other financial assets that are measured at amortizedcost on the Consolidated balance sheets, including credit
exposures arising from lending activities subject tocollateral maintenance requirements. Management
estimates the allowance for other financial assets using
various techniques considering historical losses and current
economic conditions.
Credit risk arising from lending activities subject tocollateral maintenance requirements is generally mitigatedby factors such as the short-term nature of the activity, thefair value of collateral held and the Bank’s right to call for,and the borrower’s obligation to provide additional marginwhen the fair value of the collateral declines. Because of
these mitigating factors, these exposures generally do not
require an allowance for credit losses. However,management may also consider other factors such as theborrower’s ongoing ability to provide collateral to satisfy
margin requirements, or whether collateral is significantly
concentrated in an individual issuer or in securities withsimilar risk characteristics.If in management’s judgment, anallowance for credit losses for these exposures is required,the Bank estimates expected credit losses based on thevalue of the collateral and probability of borrower default.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

93

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Allowance for credit losses and related information
The table below summarizes information about the allowances for credit losses, and includes a breakdown of loans andlending-related commitments by impairment methodology. Refer to Note 11 for further information on the allowance for
credit losses on investment securities.
(Table continued on next page)2023
Consumer,
excludingcredit card

Year ended December 31,(in millions)
Allowance for loan losses
Beginning balance at January 1,

$

2,040

Credit card$

11,200Wholesale
$

Total

6,474

$

19,714

Cumulative effect of a change in accounting principle(a)

(489)

(100)

Gross charge-offs

1,151

5,491

974

7,616

Gross recoveries collected
Net charge-offs

(519)
632

(793)
4,698

(132)
842

(1,444)
6,172

Provision for loan losses

937

6,048

2,349

9,334

$

1
1,857

$

—
12,450

$

21
8,004

$

22
22,311

$

76

$

—

$

2,276

$

2,352

Other
Ending balance at December 31,

2

(587)

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

(1)

—

(392)

(393)

Other
Ending balance at December 31,
Total allowance for investment securities

$

—
75
NA

$

—
—
NA

$

1
1,885
NA

$
$

1
1,960
94

Total allowance for credit losses(b)(c)

$

1,932

$

12,450

$

9,889

$

24,365

$

(876)
2,733
1,857

$

—
12,45012,450

$

379
7,625
8,004

$
$

(497)
22,80822,311$

5,491

Allowance for loan losses by impairment methodology
Asset-specific(d)Portfolio-based
Total allowance for loan losses

$

$

$

Loans by impairment methodology
Asset-specific(d)

$

3,284

$

—

$

2,207

Portfolio-based
Total retained loans$

393,984
397,268$

211,123
211,123$

667,546
669,753

Collateral-dependent loans
Net charge-offs

$

6

$

—

$

Loans measured at fair value of collateral less cost to sell

3,213

Allowance for lending-related commitments by impairment methodology
Asset-specific
Portfolio-based
Total allowance for lending-related commitments(e)Lending-related commitments by impairment methodology
Asset-specific
Portfolio-based(f)Total lending-related commitments

$
$
$
$

—

—
75
75

$

—
28,24828,248

$

$

$

180

1,272,653$ 1,278,144
$

1,008

—
—
—

$

—
—
—

$

$

$

186
4,221

89
1,796
1,885

$

464
513,215
513,679

$

$

$

89
1,871
1,960
464
541,463
541,927(a) Represents the impact to the allowance for loan losses upon the adoption of the Financial Instruments - Credit Losses: Troubled Debt Restructurings accounting
guidance. Refer to Note 1 for further information.
(b) At December 31, 2023 and 2022, in addition to the allowance for credit losses in the table above, the Bank also had an allowance for credit losses of $42 million
and $21 million, respectively, associated with certain accounts receivable.
(c) As of December 31, 2023, included the allowance for credit losses associated with First Republic.
(d) Includes collateral-dependent loans, including those for which foreclosure is deemed probable, and nonaccrual risk-rated loans for all periods presented. Prior
periods also include non collateral-dependent TDRs or reasonably expected TDRs and modified PCD loans.
(e) The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets.
(f) At December 31, 2023, 2022 and 2021, lending-related commitments excluded $17.2 billion, $13.1 billion and $15.7 billion, respectively, for the consumer,
excluding credit card portfolio segment; $915.7 billion, $821.3 billion and $730.5 billion, respectively, for the credit card portfolio segment; and $19.7 billion, $9.8
billion and $31.3 billion, respectively, for the wholesale portfolio segment, which were not subject to the allowance for lending-related commitments.

94

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

(table continued from previous page)2022
Consumer,
excludingcredit card
$

1,765

Credit card$

2021
Wholesale

10,250NA

NA$

Consumer,
excludingcredit card

Total

4,363

$

NA

16,378

$

NA

3,634

Credit card$

17,800

NA

NA

$

Total

6,884

$

NA

28,318
NA

812

3,192

288

4,292

630

3,651

283

4,564

(543)

(789)

(134)

(1,466)

(619)

(939)

(141)

(1,699)

269

2,403

154

2,826

11

2,712

142

2,865

543

3,353

2,263

6,159

(1,858)(4,838)(2,373)(9,069)

1

—

2

3

—

—

$

2,040

$

11,200

$

6,474

$

19,714

$

1,765

$

$

113

$

—

$

2,102

$

2,215

$

187

$

(6)
$

4,363

$

16,378

—

$

2,218

$

2,405

—

174

137

(75)

—

(116)

—

—

—

—

1

—

—

76

$

—

$

2,116

$

(624)

$

NA

$

2,276

11,200

$

223

$

NA

2,664

$

2,352

8,750

$

466

$

NA

10,977$

113

22,133

$

65

$

67

6,008

$

—

1,878

$

(665)

$

NA

19,649$2,102

10,250

$

313

$

NA

2,430

(6)

10,250(37)$$

Wholesale

(191)
1
$

2,215

6,465

$

18,635

262

$

NA

9,937

42

4,101

(90)
16,468

$

2,040

$

11,200

$

6,474

$

19,714

$

1,765

$

10,250

$

4,363

$

16,378$

11,973

$

796

$

2,185

$

14,954$

13,913

$

987

$

2,251

$

17,151

599,208

1,072,360

601,393$ 1,087,314

$

$

$

288,773$$

184,379

300,746$

185,175

$

(33)

$

—

$

3,582

$

—

—

$

76
$

$

$

—
$

—

$

—

$

—

$

20,423

—
$

—

70

$

2,276

$

419

$

458,988

70

$

2,352

$

419

$

479,411

$

33

$

—

$

113

$

—

$

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

29,588

$

—

$

—

$

—

$

—

$

—

990,798

558,106$ 1,007,949

38

$

122

$

2,102

$

664

$

451,744122
2,093

451,080
$

71
5,082

1,980

—
$

555,855613—

29,588$154,296—113

478,992$

153,309295,547

4,469

2,282

458,569
$

(17)
4,042

2,206

76

20,423
$

—

16
460

281,6342,215

664
480,668$

481,33295

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Discussion of changes in the allowance
The allowance for credit losses as of December 31, 2023
was $24.4 billion, reflecting a net addition of $2.8 billion
from December 31, 2022.
The net addition to the allowance for credit losses included$1.6 billion, consisting of:• $1.3 billion in consumer, predominantly driven by a net
addition of $1.4 billion in credit card, partially offset by a
net reduction of $199 million in residential real estate.
The net addition in credit card was driven by loan growth,
including an increase in revolving balances, partially
offset by reduced borrower uncertainty. The net
reduction in residential real estate was driven by
improvements in the outlook for home prices, and• $373 million in wholesale, driven by net downgrade
activity, the net effect of changes in the Bank’s weighted
average macroeconomic outlook, including deteriorationin the outlook for commercial real estate, partially offset
by the impact of changes in the loan and lending-related
commitment portfolios.

The following table presents the Bank’s central caseassumptions for the periods presented:
Central case assumptionsat December 31, 2023
2Q24
U.S. unemployment rate(a)(b)

YoY growth in U.S. real GDP

4Q24

2Q25

4.1 %

4.4 %

4.1 %

1.8 %

0.7 %

1.0 %

Central case assumptionsat December 31, 2022
2Q23
(a)

U.S. unemployment rate(b)

YoY growth in U.S. real GDP

4Q23

2Q24

3.8 %

4.3 %

5.0 %

1.5 %

0.4 %

—%

(a) Reflects quarterly average of forecasted U.S. unemployment rate.
(b) The year over year growth in U.S. real GDP in the forecast horizon of
the central scenario is calculated as the percentage change in U.S. real
GDP levels from the prior year.

Subsequent changes to this forecast and related estimates
will be reflected in the provision for credit losses in future
periods.

The net addition also included $1.2 billion to establish theallowance for the First Republic loans and lending-related
commitments in the second quarter of 2023.
The changes in the Bank’s weighted average
macroeconomic outlook also included updates to thecentral scenario in the third quarter of 2023 to reflect alower forecasted unemployment rate consistent with ahigher growth rate in GDP, and the impact of the additional
weight placed on the adverse scenarios in the first quarterof 2023, reflecting elevated recession risks due to highinflation and tightening financial conditions.
The allowance for credit losses also reflected a reduction of$587 million as a result of the adoption of changes to the
TDR accounting guidance on January 1, 2023. Refer to Note
1 for further information.
The Bank’s allowance for credit losses is estimated using aweighted average of five internally developed
macroeconomic scenarios. The adverse scenarios
incorporate more punitive macroeconomic factors than thecentral case assumptions provided in the table below,
resulting in a weighted average U.S. unemployment rate
peaking at 5.5% in the fourth quarter of 2024, and aweighted average U.S. real GDP level that is 1.5% lower
than the central case at the end of the second quarter of
2025.

96

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 15 – Variable interest entities
Refer to Note 1 for a further description of the the Bank’s accounting policies regarding consolidation of and involvement with
VIEs.
The following table summarizes the most significant types of Bank-sponsored VIEs. The Bank considers a “Bank-sponsored” VIE
to include any entity where: (1) The Bank is the primary beneficiary of the structure; (2) the VIE is used by the Bank tosecuritize Bank assets; (3) the VIE issues financial instruments with the JPMorgan Chase Bank, N.A. name; or (4) the entity is a
JPMorgan Chase Bank, N.A.–administered asset-backed commercial paper conduit.
Consolidated Financial
Statements page reference

Transaction Type

Activity

Credit card securitization trusts

Securitization of originated credit card receivables

97-98

Mortgage securitization trusts

Servicing and securitization of both originated and purchased residential
mortgages

98-99

Mortgage and other securitization trusts

Securitization of both originated and purchased residential and commercial
mortgages, and other consumer loans

98-99

Multi-seller conduits

Assisting clients in accessing the financial markets in a cost-efficient manner andstructuring transactions to meet investor needs

99-100

Municipal bond vehicles

Financing of municipal bond investments

100

The Bank is also involved with VIEs (both third-party and Bank-sponsored), but to a lesser extent, as follows:• The Bank provides financing and lending-related services to a wide spectrum of clients, including certain third-partysponsored entities that may meet the definition of a VIE. The Bank does not control the activities of these entities and does
not consolidate these entities. The Bank’s maximum loss exposure, regardless of whether the entity is a VIE, is generally
limited to loans and lending-related commitments which are reported and disclosed in the same manner as any other thirdparty transaction.
•

The Bank is involved with entities that may meet the definition of VIEs; however these entities are generally subject tospecialized investment company accounting, which does not require the consolidation of investments, including VIEs.

•

The Bank invests in securities generally issued by third parties which may meet the definition of VIEs (e.g., issuers of assetbacked securities). In general, the Bank does not have the power to direct the significant activities of these entities andtherefore does not consolidate these entities. Refer to Note 11 for further information on the Bank’s investment securities
portfolio.

•

The Bank also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to page 102 of
this Note for more information on the VIEs sponsored by third parties.

Significant Bank-sponsored VIEs
Credit card securitizations
The Bank may securitize originated credit card loans,primarily through the Chase Issuance Trust (the “Trust”).
The Bank’s continuing involvement in credit card
securitizations includes servicing the receivables, retaining
an undivided seller’s interest in the receivables, retaining
certain senior and subordinated securities and maintaining
escrow accounts.
The Bank consolidates the assets and liabilities of its
sponsored credit card trusts as it is considered to be theprimary beneficiary of these securitization trusts based on
the Bank’s ability to direct the activities of these VIEs
through its servicing responsibilities and other duties,
including making decisions as to the receivables that aretransferred into those trusts and as to any related
modifications and workouts. Additionally, the nature andextent of the Bank’s other continuing involvement with thetrusts, as indicated above, obligates the Bank to absorb
losses and gives the Bank the right to receive certain
benefits from these VIEs that could potentially besignificant.
The underlying securitized credit card receivables and otherassets of the securitization trusts are available only for
payment of the beneficial interests issued by the
securitization trusts; they are not available to pay the
Bank’s other obligations or the claims of the Bank’s
creditors.
The agreements with the credit card securitization trusts
require the Bank to maintain a minimum undivided interestin the credit card trusts (generally 5%). As of
December 31, 2023 and 2022, the Bank held undivided
interests in Bank-sponsored credit card securitization trustsof $4.9 billion and $6.1 billion, respectively. The Bank
maintained an average undivided interest in principal
receivables owned by those trusts of approximately 65%

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

97

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)and 62% for the years ended December 31, 2023 and2022, respectively. The Bank did not retain any seniorsecurities and retained $1.5 billion of subordinatedsecurities in certain of its credit card securitization trusts at
both December 31, 2023 and 2022. The Bank’s undivided
interests in the credit card trusts and securities retained are
eliminated in consolidation.

Bank-sponsored mortgage and other securitization trusts
The Bank securitizes (or has securitized) originated andpurchased residential mortgages, commercial mortgages
and other consumer loans. Depending on the particulartransaction, as well as the respective business involved, theBank may act as the servicer of the loans and/or retain
certain beneficial interests in the securitization trusts.

The following tables present the total unpaid principal amount of assets held in Bank-sponsored private-label securitization
entities, including those in which the Bank has continuing involvement, and those that are consolidated by the Bank.
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 Bank’s only continuing involvement is servicing the loans. The Bank’s maximum loss exposure fromretained and purchased interests is the carrying value of these interests.
The Bank interest in securitized assets in nonconsolidated
VIEs(c)(d)Principal amount outstanding

December 31, 2023
(in millions)
Securitization-related(a)Residential mortgage:
Prime/Alt-A and option ARMs
Subprime
Commercial and other(b)Total

Total assets
held bysecuritization
VIEs

Assets held in
Assetsnonconsolidated
held insecuritization
consolidated
VIEs withsecuritization
continuing
VIEs
involvement

Trading assets

$

$

$

$

51,6596,203
167,852
225,714

$

675 $
—
—
675 $

30,152659
85,466116,277$

Subprime
Commercial and other(b)
Total

421 $
—
239
660 $

1,981 $—
5,638
7,619 $

Other
financialassetsTotal interests
held by the
Bank

61 $
—
1,353
1,414 $

2,463
—
7,230
9,693

The Bank interest in securitized assets in nonconsolidated
VIEs(c)(d)Principal amount outstanding

December 31, 2022
(in millions)
Securitization-related(a)Residential mortgage:
Prime/Alt-A and option ARMs

Investment
securities

Total assets
held bysecuritization
VIEs

Assets held in
Assetsnonconsolidated
held insecuritization
consolidated
VIEs withsecuritization
continuing
VIEs
involvement

Trading assets$

47,662$754 $

26,597$382 $

1,918 $

— $

2,300

$

6,753
164,661
219,076

$

—
—
754 $

726
78,746
106,069

$

—
268
650 $

—
5,373
7,291 $

—
670
670 $

—
6,311
8,611

Investment
securities

Other
financialassetsTotal interests
held by theBank(a) Excludes U.S. GSEs and government agency securitizations, which are not Bank-sponsored.
(b) Consists of securities backed by commercial real estate loans and non-mortgage-related consumer receivables.
(c) Excludes the following: retained servicing; securities retained from loan sales and securitization activity related to U.S. GSEs and government agencies;
interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities. There were nosenior and subordinated securities purchased in connection with the Bank’s secondary market-making activities at December 31, 2023 and 2022,
respectively.
(d) As of December 31, 2023 and 2022, 77% and 85%, respectively, of the Bank’s retained securitization interests, which are predominantly carried at fairvalue 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 $2.4 billion and $2.3 billion of investment-grade retained interests at December 31, 2023
and 2022, respectively, and $80 million and $15 million of noninvestment-grade retained interests at December 31, 2023 and 2022, respectively. The
retained interests in commercial and other securitization trusts consisted of $5.7 billion and $5.4 billion of investment-grade retained interests and $1.6
billion and $899 million of noninvestment-grade retained interests at December 31, 2023 and 2022, respectively.

98

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Residential mortgage
The Bank securitizes originated residential mortgage loans,
as well as residential mortgage loans purchased from third
parties. The Bank generally retains servicing for all
residential mortgage loans originated and may retain
servicing for certain mortgage loans purchased. For
securitizations of loans serviced by the Bank, it has thepower to direct the significant activities of the VIE because
it is responsible for decisions related to loan modifications
and workouts. The Bank may also retain an interest uponsecuritization.
In addition, the Bank may engage in trading activities
involving securities issued by Bank-sponsored securitization
trusts. As a result, the Bank at times retains senior and/or
subordinated interests (including residual interests andamounts required to be held pursuant to credit risk
retention rules) in residential mortgage securitizations at
the time of securitization, and/or reacquires positions in thesecondary market in the normal course of business. In
certain instances, as a result of the positions retained or
reacquired by the Bank, when considered together with theservicing arrangements entered into, the Bank, is deemed
to be the primary beneficiary of certain securitization
trusts.
The Bank does not consolidate residential mortgage
securitizations (Bank-sponsored or third-party-sponsored)
when it is not the servicer (and therefore does not have thepower to direct the most significant activities of the trust)or does not hold a beneficial interest in the trust that could
potentially be significant to the trust.

Commercial mortgages and other consumer securitizations
The Bank originates and securitizes commercial mortgage
loans, and engages in underwriting and trading activities
involving the securities issued by securitization trusts. The
Bank may retain unsold senior and/or subordinatedinterests (including amounts required to be held pursuant
to credit risk retention rules) in commercial mortgage
securitizations at the time of securitization but, generally,
the Bank does not service commercial loan securitizations.
Treasury and CIO may choose to invest in thesesecuritizations as well. For commercial mortgage
securitizations the power to direct the significant activitiesof the VIE generally is held by the servicer or investors in a
specified class of securities (“controlling class”). The Bank
generally does not retain an interest in the controlling classin its sponsored commercial mortgage securitizationtransactions.
Multi-seller conduits
Multi-seller conduit entities are separate bankruptcy
remote entities that provide secured financing,collateralized by pools of receivables and other financial
assets, to customers of the Bank. The conduits fund theirfinancing facilities through the issuance of highly rated
commercial paper. The primary source of repayment of thecommercial paper is the cash flows from the pools of assets.
In most instances, the assets are structured with dealspecific credit enhancements provided to the conduits by
the customers (i.e., sellers) or other third parties. Dealspecific credit enhancements are generally structured tocover a multiple of historical losses expected on the pool ofassets, and are typically in the form of overcollateralization
provided by the seller. The deal-specific credit
enhancements mitigate the Bank’s potential losses on its
agreements with the conduits.
To ensure timely repayment of the commercial paper, andto provide the conduits with funding to provide financing tocustomers in the event that the conduits do not obtainfunding in the commercial paper market, each asset poolfinanced by the conduits has a minimum 100% dealspecific liquidity facility associated with it provided by the
Bank. The Bank also provides the multi-seller conduitvehicles with uncommitted program-wide liquidity facilities
and program-wide credit enhancement in the form ofstandby letters of credit. The amount of program-wide
credit enhancement required is based upon commercial
paper issuance and approximates 10% of the outstandingbalance of commercial paper.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

99

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The Bank consolidates its Bank-administered multi-seller
conduits, as the Bank has both the power to direct thesignificant activities of the conduits and a potentiallysignificant economic interest in the conduits. As
administrative agent and in its role in structuringtransactions, the Bank makes decisions regarding asset
types and credit quality, and manages the commercial
paper funding needs of the conduits. The Bank’s intereststhat could potentially be significant to the VIEs include thefees received as administrative agent and liquidity andprogram-wide credit enhancement provider, as well as thepotential exposure created by the liquidity and credit
enhancement facilities provided to the conduits.
In the normal course of business, the Bank makes markets
in and invests in commercial paper issued by the Bankadministered multi-seller conduits. The Bank held $9.8
billion and $13.8 billion of the commercial paper issued by
the Bank-administered multi-seller conduits at
December 31, 2023 and 2022, respectively, which havebeen eliminated in consolidation. The Bank’s investments
reflect its funding needs and capacity and were not driven
by market illiquidity. Other than the amounts required to beheld pursuant to credit risk retention rules, the Bank is not
obligated under any agreement to purchase the commercial
paper issued by the Bank-administered multi-seller
conduits.
The Bank provides deal-specific liquidity as well as
program-wide liquidity and credit enhancement to its
administered multi-seller conduits, which have been
eliminated in consolidation. The administered multi-seller
conduits then provide certain of their clients with lendingrelated commitments. The unfunded commitments were
$10.8 billion and $10.6 billion at December 31, 2023 and2022, respectively, and are reported as off-balance sheet
lending-related commitments in other unfunded
commitments to extend credit. Refer to Note 26 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 bondinvestments at short-term rates. In a typical TOB
transaction, the trust purchases highly rated municipalbond(s) of a single issuer and funds the purchase by issuing
two types of securities: (1) puttable floating-rate
certificates (“floaters”) and (2) inverse floating-rate
residual interests (“residuals”). The floaters are typicallypurchased by money market funds or other short-term
investors and may be tendered, with requisite notice, to the
TOB trust. The residuals are retained by the investor
seeking to finance its municipal bond investment. TOB
transactions where the residual is held by a third-party
investor are typically known as customer TOB trusts, andnon-customer TOB trusts are transactions where the
Residual is retained by the Bank. Customer TOB trusts aresponsored by a third party. The Bank serves as sponsor for
all non-customer TOB transactions. The Bank may provide
various services to a TOB trust, including liquidity or tender
option provider, and/or sponsor.
The Bank often serves as the sole liquidity or tender option
provider for the TOB trusts. The liquidity provider’sobligation to perform is conditional and is limited by certain
events (“Termination Events”), which include bankruptcy or
failure to pay by the municipal bond issuer or credit
enhancement provider, an event of taxability on themunicipal bonds or the immediate downgrade of themunicipal bond to below investment grade. In addition, theliquidity provider’s exposure is typically further limited by
the high credit quality of the underlying municipal bonds,
the excess collateralization in the vehicle, or, in certaintransactions, the reimbursement agreements with the
Residual holders.
Holders of the floaters may “put,” or tender, their floaters
to the TOB trust. If the remarketing agent cannot
successfully remarket the floaters to another investor, theliquidity provider either provides a loan to the TOB trust for
the TOB trust’s purchase of the floaters, or it directly
purchases the tendered floaters.
TOB trusts are considered to be variable interest entities.
The Bank consolidates non-customer TOB trusts because as
the Residual holder, the Bank has the right to makedecisions that significantly impact the economic
performance of the municipal bond vehicle, and it has theright to receive benefits and bear losses that could
potentially be significant to the municipal bond vehicle.

100

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Bank as of December 31,
2023 and 2022.
Assets
December 31, 2023
(in millions)
VIE program typeBank-sponsored credit card trusts
Bank-administeredmulti-seller conduits
Municipal bond vehicles
Mortgage securitization entities(a)
Other
Total

Trading
assetsOther(b)

Loans

$

— $

9,460

$

1
2,056
—
—
2,057 $

27,372—685
85
37,602

Liabilities
Total
assets(c)

$

117 $

9,577

$

194
22
7
—
340 $

27,5672,078
692
85
39,999Beneficial
interests in
VIE assets(d)$2,998 $

6 $

3,004

$

17,781
2,259
124—
23,162 $

47
9
57
—
119 $

17,8282,268
181—
23,281

Assets
December 31, 2022
(in millions)
VIE program typeTrading assets

Bank-sponsored credit card trusts

$

— $

9,699

$

—
2,089
—
—
2,089 $

22,819—763
1,113
34,394Bank-administeredmulti-seller conduits
Municipal bond vehicles
Mortgage securitization entities(a)
Other
Total

Liabilities

Other(b)

Loans

Total
liabilities

Other(e)Totalassets(c)

$

100 $

9,799

$

169
7
10
4
290 $

22,988
2,096
773
1,117
36,773(f)

Beneficial
interests in
VIE assets(d)Totalliabilities

Other(e)$1,999 $

2 $

2,001

$

9,236
2,052
137
—
13,424 $

52
10
68
—
132 $

9,288
2,062
205
—
13,556(a) Includes residential 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 (including balances with related parties) and exclude intercompany balances that eliminate inconsolidation.
(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 VIEs”. The holders of these beneficial interests generally do not have recourse to the general credit of theBank. Included in beneficial interests in VIE assets are long-term beneficial interests of $3.1 billion and $2.1 billion at December 31, 2023 and 2022,
respectively.
(e) Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
(f) Primarily includes purchased supply chain finance receivables and purchased auto loan securitizations.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

101

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

VIEs sponsored by third parties
The Bank enters into transactions with VIEs structured byother 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’slength, and individual credit decisions are based on theanalysis of the specific VIE, taking into consideration thequality of the underlying assets. Where the Bank does nothave the power to direct the activities of the VIE that mostsignificantly impact the VIE’s economic performance, or avariable interest that could potentially be significant, theBank 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 Bank holds investments in unconsolidated tax credit
vehicles, which are limited partnerships and similar entities
that own and operate affordable housing, energy, and otherprojects. 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 thetax credit vehicles, and accordingly the Bank does notconsolidate tax credit vehicles. The Bank generally invests
in these partnerships as a limited partner and earns a
return primarily through the receipt of tax credits allocatedto the projects. The maximum loss exposure, represented
by equity investments and funding commitments, was$30.9 billion and $25.0 billion, of which $13.5 billion and$9.1 billion was unfunded at December 31, 2023 and2022, respectively. The Bank assesses each project and to
reduce the risk of loss, may withhold varying amounts of its
capital investment until the project qualifies for tax credits.
Refer to Note 23 for further information on affordable
housing tax credits and Note 26 for more information on
off-balance sheet lending-related commitments.
Customer municipal bond vehicles (TOB trusts)
The Bank may provide various services to customer TOB
trusts, including liquidity or tender option provider. In
certain customer TOB transactions, the Bank as liquidity
provider, has entered into a reimbursement agreement with102

the Residual holder. In those transactions, upon thetermination of the vehicle, the Bank has recourse to thethird-party Residual holders for any shortfall. The Bank
does not have any intent to protect Residual holders frompotential losses on any of the underlying municipal bonds.
The Bank does not consolidate customer TOB trusts, since
the Bank does not have the power to make decisions thatsignificantly impact the economic performance of themunicipal bond vehicle.
The Bank’s maximum exposure as a liquidity provider tocustomer TOB trusts at December 31, 2023 and 2022, was$5.1 billion and $5.8 billion, respectively. The fair value of
assets held by such VIEs at December 31, 2023 and 2022
was $7.3 billion and $8.2 billion, respectively.
Loan securitizations
The Bank has securitized and sold a variety of loans,including residential mortgages, credit card receivables,
commercial mortgages and other consumer loans. The
purposes of these securitization transactions were to satisfy
investor demand and to generate liquidity for the Bank.
For loan securitizations in which the Bank is not required toconsolidate the trust, the Bank records the transfer of theloan receivable to the trust as a sale when all of thefollowing accounting criteria for a sale are met: (1) thetransferred financial assets are legally isolated from theBank’s creditors; (2) the transferee or beneficial interest
holder can pledge or exchange the transferred financial
assets; and (3) The Bank does not maintain effective
control over the transferred financial assets (e.g., the Bank
cannot repurchase the transferred assets before theirmaturity and it does not have the ability to unilaterally
cause the holder to return the transferred assets).
For loan securitizations accounted for as a sale, the Bank
recognizes a gain or loss based on the difference between
the value of proceeds received (including cash, beneficial
interests, or servicing assets received) and the carrying
value of the assets sold. Gains and losses on securitizations
are reported in noninterest revenue.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Securitization activity
The following table provides information related to the Bank’s securitization activities for the years ended December 31,
2023, 2022 and 2021, related to assets held in Bank-sponsored securitization entities that were not consolidated by the Bank,and where sale accounting was achieved at the time of the securitization.
2023

2022

2021

Year ended December 31,(in millions)
Principal securitized

Residential
Commercial
mortgage(b)and other(c)$7,678 $
3,901

Residential
Commercial
mortgage(b)and other(c)$10,218 $9,036

Residential
Commercial
mortgage(b)and other(c)$23,876 $14,917All cash flows during the period:
Proceeds received from loan sales as cash or financial
instruments(a)

$

$

$

7,251 $

3,896

9,783 $

8,921

24,450 $15,044Servicing fees collected

24

5

62

2

152

1

Cash flows received on interests

296

367

432

225

486

207

(a) The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale. The proceeds received were primarily cash.
(b) Represents prime mortgages. Excludes loan securitization activity related to U.S. GSEs and government agencies.
(c) Includes commercial mortgage and other consumer loans.

Key assumptions used to value retained interests originatedduring the year are shown in the table below.
Year ended December 31,

2023

2022

2021

Weighted-average life (in years)

14.3

10.8

3.5

Weighted-average discount rate

5.3 %

3.7 %

1.9 %

Weighted-average life (in years)

3.0

5.7

6.0

Weighted-average discount rate

4.5 %

2.9 %

1.2 %

Residential mortgage retained interest:

Commercial mortgage retained interest:

Loans and excess MSRs sold to U.S. governmentsponsored enterprises and loans in securitizationtransactions pursuant to Ginnie Mae guidelines
In addition to the amounts reported in the securitization
activity tables above, the Bank, in the normal course ofbusiness, 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 Bank also sells loans
into securitization transactions pursuant to Ginnie Mae
guidelines; these loans are typically insured or guaranteedby another U.S. government agency. The Bank does notconsolidate the securitization vehicles underlying thesetransactions as it is not the primary beneficiary. For alimited number of loan sales, the Bank is obligated to sharea portion of the credit risk associated with the sold loans
with the purchaser. Refer to Note 26 for additional
information about the Bank’s loan sales- and securitizationrelated indemnifications and Note 16 for additional
information about the impact of the Bank’s sale of certain
excess MSRs.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

103

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table summarizes the activities related toloans sold to the U.S. GSEs, and loans in securitizationtransactions pursuant to Ginnie Mae guidelines.
Year ended December 31,(in millions)

2023

2022

48,891 $ 105,035

Carrying value of loans sold$

19,906 $Proceeds received from loan
sales as cash

$

300 $

Proceeds from loan sales as
securities(a)(b)Total proceeds received fromloan sales(c)(d)(e)

Gains/(losses) on loan sales

Options to repurchase delinquent loans
In addition to the Bank’s obligation to repurchase certain
loans due to material breaches of representations andwarranties as discussed in Note 26. The Bank also has theoption 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 Bank typicallyelects to repurchase delinquent loans from Ginnie Mae loanpools as it continues to service them and/or manage theforeclosure process in accordance with the applicablerequirements, and such loans continue to be insured or
guaranteed. When the Bank’s repurchase option becomes
exercisable, such loans must be reported on theConsolidated balance sheets as a loan with a corresponding
liability. Refer to Note 13 for additional information.

2021

22 $

161

19,38948,096103,286$

19,689 $48,118 $ 103,447$— $(25) $

9(a) Includes securities from U.S. GSEs and Ginnie Mae that are generally
sold shortly after receipt or retained as part of the Bank’s investment
securities portfolio.
(b) Included in level 2 assets.
(c) Excludes the value of MSRs retained upon the sale of loans.
(d) Gains/(losses) on loan sales include the value of MSRs.
(e) The carrying value of the loans accounted for at fair value
approximated the proceeds received upon loan sale.

The following table presents loans the Bank repurchased or
had an option to repurchase, real estate owned, andforeclosed government-guaranteed residential mortgage
loans recognized on the Bank’s Consolidated balance sheets
as of December 31, 2023 and 2022. Substantially all of theloans and real estate owned are insured or guaranteed by
U.S. government agencies.
December 31,(in millions)

2023
(a)

Loans repurchased or option to repurchase

$

2022

596 $

837

Real estate owned

810Foreclosed government-guaranteed residential
mortgage loans(b)2226(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 Bank-sponsored private-label securitization entities, in which the Bank has continuing involvement as ofDecember 31, 2023 and 2022.
Securitized assets
2023
2022

As of or for the year ended December 31,(in millions)
Securitized loans

Net liquidation losses/(recoveries)
2023
2022

90 days past due
2023
2022

Residential mortgage:
Prime/ Alt-A & option ARMs$

Subprime
Commercial and otherTotal loans securitized

104$

30,152 $26,597659

726

85,46678,746116,277 $

106,069

$

$

266 $

287

62

80

1,410

426

1,738 $

793

$

$

10 $

(21)

1

(3)

40

15

51 $

(9)

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 16 – Goodwill, mortgage servicing rights,
and other intangible assets
Goodwill
Goodwill is recorded upon completion of a businesscombination as the difference between the purchase priceand the fair value of the net assets acquired, and can be
adjusted up to one year from the acquisition date asadditional information pertaining to facts andcircumstances that existed as of the acquisition date is
obtained about the fair value of assets acquired andliabilities assumed. Subsequent to initial recognition,
goodwill is not amortized but is tested for impairment
during the fourth quarter of each fiscal year, or more often
if events or circumstances, such as adverse changes in thebusiness climate, indicate that there may be an impairment.
The following table presents changes in the carrying
amount of goodwill.
Year ended December 31,(in millions)
Balance at beginning of period(a)Changes during the period from:
Business combinations(b)Other(c)Balance at December 31,(a)2023$ 40,520

2022$ 40,2022021$ 40,075

98$ 40,537

337
134
(19)
(7)
$ 40,520 $ 40,202(a) Reflects gross goodwill balances as the Bank has not recognized any
impairment losses to date.
(b) For 2022, represents estimated goodwill associated with theacquisitions of Figg, Inc., Renovite Technologies, Inc. and Volkswagen
Payments S.A. For 2021, represents goodwill associated with theacquisition of Frank, a college financial planning platform for students.
(c) Predominantly foreign currency adjustments.

Goodwill impairment testing
The Bank’s goodwill was not impaired at December 31,
2023, 2022 and 2021.
The goodwill impairment test is generally performed bycomparing the current fair value of the Bank with its
carrying value. If the fair value is in excess of the carrying
value, then the Bank’s goodwill is considered not to be
impaired. If the fair value is less than the carrying value,then an impairment is recognized for the amount by which
the Bank’s carrying value exceeds its fair value, up to theamount of the Bank’s goodwill.

The primary method the Bank uses to estimate its fair value
is the income approach. This approach projects cash flows
for the forecast period and uses the perpetuity growthmethod to calculate terminal values. These cash flows andterminal values are then discounted using an appropriate
discount rate.
Unanticipated declines in business performance, increases
in credit losses, increases in capital requirements, as well as
deterioration in economic or market conditions, adverse
regulatory or legislative changes or increases in theestimated market cost of equity, could cause the estimatedfair value of the Bank to decline in the future, which could
result in a material impairment loss to earnings in a future
period related to some portion of the associated goodwill.
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, andgenerally declines over time as net servicing cash flows arereceived, effectively amortizing the MSR asset against
contractual servicing and ancillary fee income. MSRs areeither purchased from third parties or recognized upon saleor securitization of mortgage loans if servicing is retained.
As permitted by U.S. GAAP, the Bank has elected to accountfor its MSRs at fair value. The Bank treats its MSRs as asingle class of servicing assets based on the availability ofmarket inputs used to measure the fair value of its MSR
asset and its treatment of MSRs as one aggregate pool forrisk management purposes. The Bank estimates the fairvalue of MSRs using an option-adjusted spread (“OAS”)
model, which projects MSR cash flows over multiple interest
rate scenarios in conjunction with the Bank’s prepayment
model, and then discounts these cash flows at risk-adjusted
rates. The model considers portfolio characteristics,
contractually specified servicing fees, prepayment
assumptions, delinquency rates, costs to service, latecharges and other ancillary revenue, and other economic
factors. The Bank compares fair value estimates andassumptions to observable market data where available,
and also considers recent market activity and actual
portfolio experience.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

105

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The fair value of MSRs is sensitive to changes in interest
rates, including their effect on prepayment speeds. MSRs
typically decrease in value when interest rates decline
because declining interest rates tend to increase
prepayments and therefore reduce the expected life of the
net servicing cash flows that comprise the MSR asset.
Conversely, securities (e.g., mortgage-backed securities),and certain derivatives (e.g., those for which the Bank

receives fixed-rate interest payments) increase in value
when interest rates decline. The Bank uses combinations ofderivatives and securities to manage the risk of changes in
the fair value of MSRs. The intent is to offset any interestrate related changes in the fair value of MSRs with changes
in the fair value of the related risk management
instruments.

The following table summarizes MSR activity for the years ended December 31, 2023, 2022 and 2021.
As of or for the year ended December 31, (in millions, except where otherwise noted)
Fair value at beginning of period
MSR activity:
Originations of MSRs
Purchase of MSRs(a)Disposition of MSRs(b)

$

2023
7,973

$

2022
5,494

$

2021
3,276

253
1,028
(188)

798
1,400
(822)

1,659
1,363
(114)

1,093

1,376

2,908

(1,011)

(936)

(788)

424

2,022

404

Projected cash flows (e.g., cost to service)

(22)

14

109

Discount rates

14

—

—

Prepayment model changes and other(d)

51

3

(415)

Total changes in valuation due to other inputs and assumptions

43

17

(306)

Net additions/(dispositions)
Changes due to collection/realization of expected cash flows
Changes in valuation due to inputs and assumptions:
Changes due to market interest rates and other(c)Changes in valuation due to other inputs and assumptions:

Total changes in valuation due to inputs and assumptions

467

Fair value at December 31,$

Change in unrealized gains/(losses) included in income related to MSRs held at December 31,$

Contractual service fees, late fees and other ancillary fees included in income
Third-party mortgage loans serviced at December 31, (in billions)(e)Servicer advances, net of an allowance for uncollectible amounts, at December 31

2,039

98

8,522

$

7,973

$

467

$

2,039

$

5,494
98

1,590

1,535

1,298

632

584

520

659

758

1,611

(a) Includes purchase price adjustments associated with MSRs purchased, primarily as a result of loans that prepaid within 90 days of settlement, allowing the
Bank to recover the purchase price.
(b) Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portionof the SMBS was acquired by third parties at the transaction date; the Bank acquired the remaining balance of those SMBS as trading securities.
(c) Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual andexpected prepayments.
(d) Represents changes in prepayments other than those attributable to changes in market interest rates.
(e) Represents amounts the Bank pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed withina short period of time after the advance from future cash flows from the trust or the underlying loans. The Bank’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 Bank maintains the rightto stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable ifthey were not made in accordance with applicable rules and agreements.

106

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The following table presents the components of mortgage
fees and related income (including the impact of MSR risk
management activities) for the years ended December 31,
2023, 2022 and 2021.
Year ended December 31,(in millions)

2023

2022

2021

497

$ 2,215Mortgage fees and related income
Production revenue

$

421

$

Net mortgage servicing revenue:
Operating revenue:
Loan servicing revenue

1,634

1,582

1,257

Changes in MSR asset fair value
due to collection/realization of
expected cash flows(1,011)

(936)

(788)

623

646

469

Total operating revenue
Risk management:
Changes in MSR asset fair value
due to market interest rates
and other(a)Other changes in MSR asset fairvalue due to other inputs andassumptions in model(b)Changes in fair value based on variations in assumptions
generally cannot be easily extrapolated, because therelationship of the change in the assumptions to the change
in fair value are often highly interrelated and may not belinear. In the following table, the effect that a change in aparticular assumption may have on the fair value iscalculated without changing any other assumption. In
reality, changes in one factor may result in changes inanother, which would either magnify or counteract the
impact of the initial change.
The table below outlines the key economic assumptions
used to determine the fair value of the Bank’s MSRs at
December 31, 2023 and 2022, and outlines thesensitivities of those fair values to immediate adversechanges in those assumptions, as defined below.
December 31,(in millions, except rates)

424
43

2,022
17

404

Weighted-average prepayment speed
assumption (constant prepayment rate)

(306)

2023

2022

6.29 %

6.12 %

Impact on fair value of 10% adverse change$ (206)$ (183)

Impact on fair value of 20% adverse change

(401)

(356)

6.10 %

5.77 %

Change in derivative fair value
and other(336)(1,946)(623)

Total risk management

131

93

(525)

Impact on fair value of 100 basis points
adverse change$ (369)$ (341)

Impact on fair value of 200 basis points
adverse change

(709)

(655)

Total net mortgage servicing
revenue
All otherMortgage fees and related income

754

739

(56)

1

14

11

$ 1,176$ 1,250$ 2,170

Weighted-average option adjusted spread(a)(a) Includes the impact of operational risk and regulatory capital.

(a) Represents both the impact of changes in estimated futureprepayments due to changes in market interest rates, and thedifference between actual and expected prepayments.
(b) Represents the aggregate impact of changes in model inputs andassumptions 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).

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

107Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Other intangible assets
The Bank’s finite-lived and indefinite-lived other intangible
assets are initially recorded at their fair value primarily
upon completion of a business combination. Subsequently,
the Bank’s finite lived intangible assets, including core
deposit intangibles, customer relationship intangibles, andcertain other intangible assets, are amortized over theiruseful lives, estimated based on the expected future
economic benefits to the Bank of the intangible asset. The
Bank’s intangible assets with indefinite lives are not subject
to amortization and are assessed periodically for
impairment.

Impairment testing
The Bank’s finite-lived and indefinite-lived other intangible
assets are assessed for impairment annually or more often
if events or changes in circumstances indicate that the asset
might be impaired. Once the Bank determines that an
impairment exists for an intangible asset, the impairment isrecognized in other expense.

As of December 31, 2023 and 2022, the gross carrying
values of other intangible assets were $1.6 billion and$334 million, respectively, and the accumulated
amortization was $406 million and $228 million,
respectively. Other intangible assets primarily consists offinite-lived intangible assets.
As of December 31, 2023, other intangible assets reflected
core deposit and certain wealth management customer
relationship intangibles related to the First Republic
acquisition. Refer to Note 29 for additional information on
the First Republic acquisition.
As of December 31, 2023 and 2022, amortization expense
was $177 million and $52 million, respectively.
The following table presents estimated future amortization
expense.
Finite-lived
intangible assets

December 31, (millions)
2024

$

199

2025

187

2026

185

2027

185

2028

185

108

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 17 – Premises and equipment

Note 18 – Deposits

Premises and equipment includes land carried at cost, as
well as buildings, leasehold improvements, internal-use
software and furniture and equipment carried at cost lessaccumulated depreciation and amortization. The Bank’s
operating lease right-of-use assets are also included in
Premises and equipment. Refer to Note 19 for a further
discussion of the Bank’s right-of-use assets.
The following table presents certain components ofPremises and equipment.

As of December 31, 2023 and 2022, noninterest-bearing
and interest-bearing deposits were as follows.

December 31, (in millions)

2023

2022

$ 14,643$ 13,293

Right-of-use assets(a)

7,340

6,804

Other premises and equipment(b)

6,845

6,250

Total premises and equipment$ 28,828$ 26,347

Land, buildings and leasehold improvements(a) Excluded $366 million and $202 million of right-of-use assets thatwere recorded in Other assets at December 31, 2023 and 2022,
respectively.
(b) Other premises and equipment is comprised of internal-use softwareand furniture and equipment.

The Bank computes depreciation using the straight-line
method over the estimated useful life for buildings andfurniture and equipment. The Bank depreciates leasehold
improvements over the lesser of the remainder of the leaseterm or the estimated useful life. The Bank also capitalizes
certain costs associated with the acquisition ordevelopment of internal-use software. Once the software is
ready for its intended use, these costs are amortized on astraight-line basis over the software’s expected useful life.
The estimated useful lives range from 10 to 50 years forbuildings and leasehold improvements, and 3 to 10 years
for internal-use software and furniture and equipment.
Impairment is assessed when events or changes incircumstances indicate that the carrying value of an asset
may not be fully recoverable.

December 31, (in millions)

2023

2022

U.S. offices
Noninterest-bearing (included $75,533
and $26,483 at fair value)(a)$645,872$

648,852

Interest-bearing (included $573 and$586 at fair value)(a)1,392,043

1,365,661

Total deposits in U.S. offices

2,037,915

2,014,513

Noninterest-bearing (included $1,737
and $1,400 at fair value)(a)24,49228,394

Interest-bearing (included $681 and$273 at fair value)(a)435,824

397,815

Non-U.S. offices

Total deposits in non-U.S. offices
Total deposits

460,316426,209$ 2,498,231$ 2,440,722(a) Includes structured notes classified as deposits for which the fair value
option has been elected. Refer to Note 4 for further discussion.

As of December 31, 2023 and 2022, time deposits indenominations that met or exceeded the insured limit wereas follows.
December 31, (in millions)
U.S. offices
Non-U.S. offices(a)
Total

2023
$ 152,894
90,744$ 243,638

2022
76,69878,241$ 154,939$(a) Represents all time deposits in non-U.S. offices as these deposits
typically exceed the insured limit.

As of December 31, 2023, the remaining maturities ofinterest-bearing time deposits were as follows.
December 31,(in millions)U.S.

Non-U.S.

Total

2024

$195,074$ 87,490$ 282,564

2025

20,803

209

21,012

2026

243

30

273

2027

140

35

175

2028

136

992

1,128

After 5 years
Total

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

475

251

726

$216,871$ 89,007$ 305,878

109

Note 19 – Leases
The Bank as lessee
At December 31, 2023, the Bank and its subsidiaries were
obligated under a number of noncancellable leases,
predominantly operating leases for premises andequipment used primarily for business purposes. These
leases generally have terms of 20 years or less, determinedbased on the contractual maturity of the lease, and include
periods covered by options to extend or terminate the lease
when the Bank is reasonably certain that it will exercise
those options. All leases with lease terms greater thantwelve months are reported as a lease liability with acorresponding right-of-use (“ROU”) asset. None of theselease agreements impose restrictions on the Bank’s ability
to pay dividends, engage in debt or equity financing
transactions or enter into further lease agreements. Certainof these leases contain escalation clauses that will increase
rental payments based on maintenance, utility and tax
increases, which are non-lease components. The Bank
elected not to separate lease and non-lease components ofa contract for its real estate leases. As such, real estatelease payments represent payments on both lease and nonlease components.
Operating lease liabilities and ROU assets are recognized at
the lease commencement date based on the present valueof the future minimum lease payments over the lease term.
The future lease payments are discounted at a rate that
estimates the Bank’s collateralized borrowing rate forfinancing instruments of a similar term and are included inaccounts payable and other liabilities. The operating lease
ROU assets, predominantly included in premises andequipment, also include any lease prepayments made, plus
initial direct costs incurred, less any lease incentives
received. Rental expense associated with operating leases isrecognized on a straight-line basis over the lease term, andgenerally included in occupancy expense in theConsolidated statements of income.

The carrying values of the Bank’s operating leases were as
follows:
December 31,(in millions, except where otherwise
noted)
Right-of-use assets
Lease liabilities

2023

2022

$ 7,706(a)$ 7,006

8,191

(b)

7,495

Weighted average remaining lease term(in years)

8.5

8.5

Weighted average discount rate

3.88 %

3.35 %

Supplemental cash flow information
Cash paid for amounts included in themeasurement of lease liabilities operating cash flows$ 1,511$ 1,492$ 2,025$

Supplemental non-cash information
Right-of-use assets obtained in
exchange for operating leaseobligations

936(a) Included $647 million of right-of-use assets associated with First
Republic.
(b) Included $712 million of lease liabilities associated with First Republic.
Year ended December 31,(in millions)

2023

2022

Rental expense
Gross rental expense$

Sublease rental income
Net rental expense$

1,882 $

1,890

(49)

(91)

1,833 $

1,799

The following table presents future payments underoperating leases as of December 31, 2023:
Year ended December 31, (in millions)
2024

$

1,548

2025

1,447

2026

1,216

2027

1,072

2028
After 2028
Total future minimum lease payments
Less: Imputed interest
Total

923
3,548
9,754
(1,563)$ 8,191

In addition to the table above, as of December 31, 2023,
the Bank had additional future operating leasecommitments of $419 million that were signed but had not
yet commenced. These operating leases will commence
between 2024 and 2026 with lease terms up to 21 years.

110

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The Bank as lessor
The Bank provides auto and equipment lease financing to
its customers through lease arrangements with lease terms
that may contain renewal, termination and/or purchase
options. The Bank’s lease financings are predominantly auto
operating leases. These assets subject to operating leases
are recognized in other assets on the Bank’s Consolidatedbalance sheets and are depreciated on a straight-line basis
over the lease term to reduce the asset to its estimatedresidual value. Depreciation expense is included intechnology, communications and equipment expense in theConsolidated statements of income. The Bank’s lease
income is generally recognized on a straight-line basis overthe lease term and is included in other income in theConsolidated statements of income.
On a periodic basis, the Bank 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 dispositionof the leased asset, an impairment is recognized.

The following table presents the Bank’s operating lease
income and the related depreciation expense on theConsolidated statements of income:Year ended December 31,(in millions)Operating lease income
Depreciation expense

2023
$

2022

2021

2,841 $

3,651 $

4,906

1,777

2,472

3,379

The following table presents future receipts underoperating leases as of December 31, 2023:
Year ended December 31, (in millions)
2024

$

1,868

2025

1,158

2026

451

2027

32

2028

9

After 2028
Total future minimum lease receipts

8
$

3,526

The risk of loss on auto and equipment leased assets
relating to the residual value of the leased assets ismonitored 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:
December 31,(in millions)
Carrying value of assets subject tooperating leases, net of accumulated
depreciation
Accumulated depreciation

$

2023

2022

10,663 $12,298

3,288

4,281

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

111

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 20 – Long-term debt
The Bank issues long-term debt denominated in various currencies, predominantly U.S. dollars, with both fixed and variableinterest rates. Included in senior and subordinated debt below are various equity-linked or other indexed instruments, which
the Bank has elected to measure at fair value. Changes in fair value are recorded in principal transactions revenue in theConsolidated statements of income, except for unrealized gains/(losses) due to DVA which are recorded in OCI. The following
table is a summary of long-term debt carrying values (including unamortized premiums and discounts, issuance costs,
valuation adjustments and fair value adjustments, where applicable) by remaining contractual maturity as of December 31,
2023.
By remaining maturity at
December 31,(in millions, except rates)

2023
Under 1 year

1-5 years

After 5 years

2022
Total

Total

Long-term debt payable to
JPMorgan Chase & Co. andaffiliates
Senior debt:

Long-term debt issued tounrelated parties
Federal Home Loan Banks(“FHLB”) advances:

Purchase Money Note(a):Senior debt:

Subordinated debt:

Total long-term debt(b)(c)(d)Long-term beneficial interests:

Fixed rate$
Variable rate
Interest rates(f)Subtotal $

—
2,364
—%
2,364

$

Fixed rate$
Variable rate
Interest rates(f)Fixed rate$
Interest rates(f)Fixed rate$
Variable rate
Interest rates(f)Fixed rate$
Interest rates(f)Subtotal $$13,9414,000
4.59 %
—
—%
867
7,175
4.28 %
255
8.25 %
26,23828,602

$

$

—
—
—%

$

—

Fixed rate
Variable rate
Interest rates(f)Total long-term beneficial
interests(e)

44
90
—%
134

$

37
—
6.06 %
—
—%
5,031
3,653
1.49%
—
—%
8,721
8,855

$

$

—
124
3.44 %$

124

24
82,307
6.07 %
82,331$

9,269
14,0005.12 %
48,9883.40 %
8,491
6,409
5.41 %——%
87,157
169,488

$

$

2,998
—
4.74 %

$

2,998

$

$
$

$
$
$

$

$
$

$
$
$

$

68
84,7616.07 %
84,829$$52
35,0804.69 %
35,132(g)
23,24718,0004.89 %
48,9883.40 %
14,38917,2373.92 %
255
8.25 %
122,116(h)(i)
206,945

$

$

2,998
124
4.69 %

$

1,999
138
2.80 %

$

3,122

$

2,137

$
$

$
$
$

$

$
$
$

93
11,0004.32%
NANA10,882
17,7702.01%
261
8.25 %
40,00675,138(a) Reflects the Purchase Money Note associated with the First Republic acquisition. Refer to Note 29 for additional information.
(b) Included long-term debt of $93.0 billion and $13.8 billion secured by assets totaling $218.5 billion and $208.3 billion at December 31, 2023 and 2022,
respectively. The amount of long-term debt secured by assets does not include amounts related to hybrid instruments.
(c) Included $29.0 billion and $27.1 billion of long-term debt accounted for at fair value at December 31, 2023 and 2022, respectively.
(d) Included $2.9 billion and $2.4 billion of outstanding zero-coupon notes at December 31, 2023 and 2022, respectively. The aggregate principal amount ofthese notes at their respective maturities is $5.4 billion and $4.4 billion, respectively. The aggregate principal amount reflects the contractual principal
payment at maturity, which may exceed the contractual principal payment at the Bank’s next call date, if applicable.
(e) Included on the Consolidated balance sheets in beneficial interests issued by consolidated VIEs. Excluded short-term commercial paper and other shortterm beneficial interests of $20.0 billion and $11.3 billion at December 31, 2023 and 2022, respectively.
(f) The interest rates shown are the weighted average of contractual rates in effect at December 31, 2023 and 2022, respectively, including non-U.S. dollar
fixed- and variable-rate issuances, which excludes the effects of the associated derivative instruments used in hedge accounting relationships, if
applicable. The interest rates shown exclude structured notes accounted for at fair value.
(g) As of December 31, 2023, included $23.2 billion of FHLB advances associated with First Republic. Refer to Note 29 for additional information.
(h) As of December 31, 2023, long-term debt in the aggregate of $9.0 billion was redeemable at the option of the Bank in whole or in part, prior to maturity,
based on the terms specified in the respective instruments.
(i) The aggregate carrying values of debt that matures in each of the five years subsequent to 2023 is $28.6 billion in 2024, $97.0 billion in 2025, $15.1
billion in 2026, $2.9 billion in 2027 and $54.5 billion in 2028.

112

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The weighted-average contractual interest rates for total
long-term debt excluding structured notes accounted for atfair value were 4.98% and 4.47% as of December 31,
2023 and 2022, respectively. In order to modify exposure
to interest rate movements, the Bank utilizes derivative
instruments, primarily interest rate swaps, in conjunction
with some of its debt issuances. The use of these
instruments modifies the Bank’s interest expense on theassociated debt. The modified weighted-average interest
rates for total long-term debt, including the effects ofrelated derivative instruments, were 4.99% and 4.46% asof December 31, 2023 and 2022, respectively.

The Bank’s unsecured debt does not contain requirementsthat would call for an acceleration of payments, maturities
or changes in the structure of the existing debt, provide any
limitations on future borrowings or require additional
collateral, based on unfavorable changes in the Bank’s
credit ratings, financial ratios or earnings.

Note 21 – Related party transactions
JPMorgan Chase Bank, N.A. regularly enters intotransactions with JPMorgan Chase and its various
subsidiaries collectively, JPMorgan Chase affiliates. The
following discussion summarizes the more significant typesof transactions.
Securities financing activities
Securities financing activities include resale, repurchase,
securities borrowed and securities loaned agreements
entered into with JPMorgan Chase affiliates. Interest
accrued in connection with securities financing agreements
is recorded in interest income and interest expense. Refer
to Note 12 for further discussion of securities financing
activities.
Deposits
JPMorgan Chase affiliates may deposit excess funds into
noninterest-bearing, interest-bearing demand or time
deposit accounts with the Bank. Interest accrued on interest
bearing deposits is recorded in interest expense by the
Bank. Refer to Note 18 for further discussion of deposits.
Long-term debt
The Bank issues long-term debt to JPMorgan Chase affiliates
as part of JPMorgan Chase’s liquidity management strategy.
Interest accrued on long-term debt is recorded in interest
expense. Refer to Note 20 for further discussion of longterm debt.

Derivative transactions
The Bank executes derivative transactions with JPMorgan
Chase affiliates as part of its client driven market-making
activities and to facilitate hedging certain risks for its
affiliates. To accomplish this, the Bank predominantly
enters into offsetting derivative transactions with thirdparties and records both the third-party and related party
gains and losses in principal transactions revenue. Refer toNote 6 for further discussion of derivatives activities.
Servicing agreements and fee arrangements
Through servicing agreements, the Bank provides andreceives operational support and services to and from
JPMorgan Chase affiliates. These servicing agreements
cover certain occupancy, marketing, communication andtechnology services, other shared corporate service costs,
and employee related costs associated with risk
management expertise and trading services. The Bank isallocated or allocates a share of the cost of the services
over the relevant service period based on the agreed
methodology. Fees earned by the Bank for services
provided to affiliates are recorded in all other income, andfees incurred by the Bank for services from affiliates arerecorded in noninterest expense.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

113

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Revenue and expense-related transactions with related parties are listed below.
Year ended December 31, (in millions)

2023

2022

2021

Interest income and Interest expense
Interest income

$

6,367

$

1,952

$

(9)

Interest expense

8,013

2,606

390

Net interest income(1,646)

(654)

(399)

Principal transactions(3,444)

20,105

8,691

All other income(a)

8,684

7,637

7,391

Total noninterest revenue

5,240

27,742

16,082Noninterest expense(a)

6,818

6,046

6,619

2023

2022

Noninterest revenue

Balances with related parties are listed below.
December 31, (in millions)
AssetsFederal funds sold and securities purchased under resale agreements$ 99,714$ 107,038

Accrued interest and accounts receivable

9,309

28,989All other assets

24,021

6,487

Deposits(b)97,543

100,548

Federal funds purchased and securities loaned or sold under repurchase agreements

44,26840,821

Accounts payable and all other liabilities

13,16813,749Long-term debt

84,82935,132

Liabilities(a) All other income includes fees earned by the Bank for services provided to JPMorgan Chase affiliates. Noninterest expense includes fees incurred by the

Bank for services provided from JPMorgan Chase affiliates.
(b) At December 31, 2023 and 2022, includes $25.0 billion that was pledged to support extensions of credit and other transactions requiring collateral with
JPMorgan Chase as defined by Section 23A under the Federal Reserve Act, which defines the constraints that apply to U.S. banks in certain of theirinteractions with affiliates.

The following table summarizes information on derivative receivables and payables with JPMorgan Chase affiliates before andafter netting adjustments for legally enforceable master netting agreements as of December 31, 2023 and 2022.
2023
Gross derivative
receivable/payable

December 31, (in millions)
Derivative receivables from affiliates
Derivative payables to affiliates

114

$

2022
Net derivative
receivable/payable

88,355 $354

82,810102

Gross derivative
receivable/payable$

Net derivative
receivable/payable

89,480 $322

77,78456

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 22 – 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 gain/(loss) related to the Bank’s defined benefit pension and OPEB plans, and fair value option-electedliabilities arising from changes in the Bank’s own credit risk (DVA).
Year ended December 31,(in millions)

Unrealized
gains/(losses)
on investment
securities

Translation
adjustments,
net of hedges

Cash flow
hedgesBalance at December 31, 2020$$

Net change
Balance at December 31, 2021

8,162
(5,516)

$

2,646

(a)

Net change(11,751)

Balance at December 31, 2022

$ (9,105) (a)Net change
Balance at December 31, 2023

$

(243)

$ 2,383$ (1,725)(442)(2,679)

688

(685)

$ (296)$ (1,037)(555)(5,359)(742)$ (1,240)$(5,655)$ (1,779)

339

1,723

188

(901)

$(3,932)$ (1,591)

5,387$ (3,718) (a)Defined benefit DVA on fair value
pension andoption elected
OPEB plansliabilities

$

$

(159)

Accumulated
othercomprehensive
income/(loss)
$

(291)
$
$
$

(450)

8,418
(8,240)

$

178

265

(18,142)(185)$ (17,964)

133

7,770

(52)

$ (10,194)(a) As of December 31, 2023 includes after-tax net unamortized unrealized gains/(losses) of $(29) million related to HTM securities that have beentransferred to AFS as permitted by the new hedge accounting guidance adopted on January 1, 2023. Includes after-tax net unamortized unrealized gains/(losses) of $(895) million, $(1.3) billion and $2.4 billion related to AFS securities that have been transferred to HTM for the years ended 2023, 2022 and
2021, respectively. Refer to Note 11 for further information.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

115

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents the pre-tax and after-tax changes in the components of OCI.
2023

2022

Pre-taxTax
effectTaxeffect$ 3,900$ (925) $ 2,975

Year ended December 31, (in millions)

After-tax

Pre-tax

2021
After-tax

Pre-taxTax
effectAftertax

Unrealized gains/(losses) on investment securities
Net unrealized gains/(losses) arising during theperiodReclassification adjustment for realized (gains)/losses
included in net income(a)Net change$ (17,844) $ 4,285$(13,559) $ (7,604) $ 1,826$(5,778)

3,180

(768)

2,412

2,380

(572)

1,808

345

(83)

262

7,080

(1,693)

5,387(15,464)

3,713(11,751)(7,259)1,743(5,516)

Translation adjustments(b):Translation

1,539

(29)

1,510

(2,859)142(2,717)(2,297)107(2,190)Hedges(1,543)372(1,171)

2,842

(680)

2,162

2,302

(554)

1,748

(4)

343

339

(17)

(538)

(555)

5

(447)

(442)

483

(114)

369

(7,471)

1,794(5,677)(2,303)553(1,750)

1,774

(420)

1,354

419

(101)

318

(1,222)

293

(929)

2,257

(534)

1,723

(7,052)

1,693(5,359)(3,525)846(2,679)

248

(60)

188

(973)

231

(742)

895

(207)

688

(40) $

133355 $(90) $

265(389) $

98

$ (291)$(18,142) $(10,273) $ 2,033$(8,240)

Net change
Cash flow hedges:
Net unrealized gains/(losses) arising during theperiodReclassification adjustment for realized (gains)/losses
included in net income(c)Net change
Defined benefit pension and OPEB plans, netchange(d):DVA on fair value option elected liabilities, netchange:$Total other comprehensive income/(loss)$ 9,754173$$(1,984) $ 7,770$$ (23,151) $ 5,009$(a) The pre-tax amount is reported in Investment securities gains/(losses) in the Consolidated statements of income.
(b) Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in theConsolidated statements of income. There were no sales or liquidations of legal entities that resulted in reclassification for the year ended December 31,
2023. The amount reclassified for the year ended December 31, 2022 was not material. During the year ended December 31, 2021, the Bank reclassified
a net pre-tax loss of $7 million.
(c) The pre-tax amounts are primarily recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements ofincome.
(d) During the year ended December 31, 2022, a remeasurement of the Bank’s U.S. principal defined benefit plan during the second half of 2022 wasrequired as a result of a pension settlement. The remeasurement resulted in a net decrease of $1.4 billion in pre-tax AOCI. Refer to Note 9 for further
information.

116

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 23 – Income taxes
The results of operations of the Bank are included in the
consolidated federal, New York State, New York City andother state income tax returns filed by JPMorgan
Chase. Pursuant to a tax sharing agreement, JPMorgan
Chase allocates to the Bank its share of the consolidated
income tax expense or benefit based upon statutory rates
applied to the Bank’s earnings as if it were filing separate
income tax returns. Furthermore, JPMorgan Chase will
reimburse the Bank for losses irrespective of whether the
Bank would utilize losses on a separate return basis. The
Bank uses the separate return adjusted for benefits-for-loss
allocation methodology to provide income taxes on alltransactions recorded in the Consolidated Financial
Statements. The Bank’s expense for income taxes includes
the current and deferred portions of that expense.
Valuation allowances are established when necessary to
reduce deferred tax assets to an amount that in the opinionof management, is more likely than not to be realized. Stateand local income taxes are provided on the Bank’s taxable
income at the effective income tax rate applicable to theconsolidated JPMorgan Chase entity.
The tax sharing arrangement between JPMorgan Chase andthe Bank allows for intercompany payments to or from
JPMorgan Chase for outstanding current tax assets or
liabilities.
Due to the inherent complexities arising from the nature of
the Bank’s businesses, and from conducting business andbeing taxed in a substantial number of jurisdictions,significant judgments and estimates are required to be
made. Agreement of tax liabilities between the Bank andthe many tax jurisdictions in which the Bank files tax
returns may not be finalized for several years. Thus, theBank’s final tax-related assets and liabilities may ultimately
be different from those currently reported.

Effective tax rate and expense
The following table presents a reconciliation of theapplicable statutory U.S. federal income tax rate to theeffective tax rate.
Effective tax rate
Year ended December 31,
Statutory U.S. federal tax rate
Increase/(decrease) in tax rate
resulting from:
U.S. state and local income
taxes, net of U.S. federal
income tax benefit
Tax-exempt income

2023

2022

2021

21.0 %

21.0 %

21.0 %

2.2

2.9

3.0

(0.7)

(0.8)

(0.8)

Non-U.S. earnings

1.6

0.5

0.7

Business tax credits

(3.6)

(2.2)

(1.5)

Other, net

(0.2)

0.4

—

21.8 %

22.4 %

Effective tax rate

20.3 %(a)(a) Income tax expense associated with the First Republic acquisition wasreflected in the estimated bargain purchase gain, which resulted in a
reduction in the Bank’s effective tax rate.

The following table reflects the components of income tax
expense/(benefit) included in the Consolidated statements
of income.
Income tax expense/(benefit)
Year ended December 31,(in millions)

2023

2022

2021

$ 9,653 $ 8,222$ 4,910

Current income tax expense/(benefit)
U.S. federal
Non-U.S.

3,865

2,716

2,384

U.S. state and local

2,745

2,156

1,560

16,26313,094

8,854

U.S. federal(3,339)(2,849)1,938

Non-U.S.

95

(161)

(97)

(950)

(532)

306

(4,194)(3,542)

2,147$ 12,069 $ 9,552$ 11,001

Total current income tax expense/(benefit)
Deferred income tax expense/(benefit)

U.S. state and local
Total deferred income tax
expense/(benefit)
Total income tax expense

Total income tax expense includes $47 million of tax
benefits in 2023, $213 million of tax benefits in 2022, and$72 million of tax expenses in 2021, resulting from theresolution of tax audits.
Tax effect of items recorded in stockholder’s equity
The preceding table does not reflect the tax effect of certain
items that are recorded each period directly instockholder’s equity, which are predominantly reflected in
OCI. The tax effect of items recorded directly to OCI isreflected in Note 22. For the year ended December 31,
2023, stockholder’s equity also reflected the tax effectassociated with the Bank’s adoption of the TDR accounting
guidance recognized in retained earnings. Refer to Note 1
for further information.
JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

117

Results from U.S. and non-U.S. earnings
The following table presents the U.S. and non-U.S.
components of income before income tax expense.
Year ended December 31,(in millions)

2023

2022

2021

U.S.

$ 46,511 $ 33,376 $ 40,737

Non-U.S.(a)Income before income tax
expense13,054

10,5188,319$ 59,565 $ 43,894 $ 49,056(a) For purposes of this table, non-U.S. income is defined as income
generated from operations located outside the U.S.

The Bank will recognize any U.S. income tax expense it may
incur on global intangible low tax income as income tax
expense in the period in which the tax is incurred.
Affordable housing tax credits
The Bank recognized $2.0 billion of tax credits and othertax benefits associated with investments in affordable
housing projects within income tax expense for the year
ended 2023, and $1.8 billion and $1.7 billion for the years
ended 2022 and 2021, respectively. The amount ofamortization of such investments reported in income tax
expense was $1.6 billion, $1.3 billion and $1.3 billion,
respectively. The carrying value of these investments, which
are reported in other assets on the Bank’s Consolidatedbalance sheets, was $14.6 billion and $12.0 billion at
December 31, 2023 and 2022, respectively. The amount ofcommitments related to these investments, which arereported in accounts payable and other liabilities on the
Bank’s Consolidated balance sheets, was $6.8 billion and$5.4 billion at December 31, 2023 and 2022, respectively.

Deferred taxes
Deferred income tax expense/(benefit) reflects thedifferences between assets and liabilities measured forfinancial reporting purposes versus income tax return
purposes. Deferred tax assets are recognized if, inmanagement’s judgment, their realizability is determined tobe more likely than not. If a deferred tax asset isdetermined to be unrealizable, a valuation allowance isestablished. The significant components of deferred tax
assets and liabilities are reflected in the following table, thenet deferred tax assets are reflected in other assets on the
Bank’s Consolidated balance sheets.
December 31, (in millions)

2023

2022

Deferred tax assets
Allowance for loan losses$

Employee benefits

5,776

$

—

Accrued expenses and other

8,691

5,179
47

(a)

7,843

Non-U.S. operations

979

Tax attribute carryforwards

53

73

Gross deferred tax assets

15,49914,149(68)(71)

Valuation allowance
Deferred tax assets, net of valuation
allowance

1,007

$

15,431$

14,078

$

64

$

1,169

Deferred tax liabilities
Depreciation and amortization
Mortgage servicing rights, net ofhedges

1,794

1,864

Leasing transactions

2,266

2,852

Other, net

1,716

1,591

Gross deferred tax liabilities
Net deferred tax assets

5,840
$

9,591

7,476
$

6,602

(a) Includes the estimated net deferred tax asset associated with the First
Republic acquisition. The allocation of the tax basis to individual assets
may be refined during the measurement period, which could result in
an impact to the gross deferred tax assets and liabilities.

The Bank has recorded deferred tax assets of $53 million at
December 31, 2023 in connection with tax attributecarryforwards. U.S. federal NOL carryforwards were $3
million and non-U.S. NOL carryforwards were $177 million.
U.S. federal NOL carryforwards have an unlimited
carryforward period. Similarly, certain non-U.S. NOL
carryforwards will expire between 2026 and 2040 whereas
others have an unlimited carryforward period.
The valuation allowance at December 31, 2023, was due tocertain non-U.S. deferred tax assets, including NOL
carryforwards.

118

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Unrecognized tax benefits
At December 31, 2023, 2022 and 2021, the Bank’s
unrecognized tax benefits, excluding related interest
expense and penalties, were $3.5 billion, $3.4 billion and$3.2 billion, respectively, of which $2.5 billion, $2.6 billion
and $2.4 billion, respectively, if recognized, would reduce
the annual effective tax rate. Included in the amount of
unrecognized tax benefits are certain items that would notaffect the effective tax rate if they were recognized in theConsolidated statements of income. These unrecognizeditems include the tax effect of certain temporary
differences, the portion of gross state and local
unrecognized tax benefits that would be offset by thebenefit from associated U.S. federal income tax deductions,and the portion of gross non-U.S. unrecognized tax benefits
that would have offsets in other jurisdictions. JPMorgan
Chase evaluates the need for changes in unrecognized tax
benefits based on its anticipated tax return filing positions
as part of its U.S. federal and state and local tax returns. In
addition, JPMorgan Chase is presently under audit by anumber of taxing authorities, most notably by the Internal
Revenue Service, as summarized in the Tax examination
status table below. The evaluation of unrecognized tax
benefits as well as the potential for audit settlements makeit reasonably possible that over the next 12 months thegross balance of unrecognized tax benefits may increase or
decrease by as much as approximately $1.0 billion. Thechange in the unrecognized tax benefit would result in apayment or income statement recognition.

Tax examination status
JPMorgan Chase is continually under examination by theInternal Revenue Service, by taxing authorities throughout
the world, and by many state and local jurisdictions
throughout the U.S. The following table summarizes thestatus of tax years that remain subject to income tax
examination of JPMorgan Chase and its consolidated
subsidiaries by significant jurisdictions as of December 31,
2023.
Periods under
examination

Status

JPMorgan Chase – U.S.

2011 – 2013

JPMorgan Chase – U.S.

2014 - 2020

Field examination oforiginal and amended
returns; certain
matters at Appellate
level

JPMorgan Chase – NewYork State2012 - 2014

Field Examination

JPMorgan Chase – NewYork City

2015 - 2017

Field Examination

JPMorgan Chase – U.K.

2011 – 2020

Field examination ofcertain select entities

Field examination ofamended returns;
certain matters at
Appellate level

The following table presents a reconciliation of the
beginning and ending amount of unrecognized tax benefits.
Year ended December 31,(in millions)

2023

2022

2021

$ 3,427$ 3,235$ 3,005

Increases based on tax positions
related to the current period

938

822

481

Increases based on tax positions
related to prior periods

30

36

357

Decreases based on tax positions
related to prior periods

(899)

(543)

(467)

Balance at January 1,

Decreases related to cash settlementswith taxing authorities
Balance at December 31,

(4)

(123)

(142)

$ 3,492$ 3,427$ 3,235

After-tax interest expense/(benefit) and penalties related
to income tax liabilities recognized in income tax expense
were $115 million, $99 million and $128 million in 2023,
2022 and 2021, respectively.
At December 31, 2023 and 2022, in addition to the liability
for unrecognized tax benefits, the Bank had accrued $1.0
billion and $868 million, respectively, for income taxrelated interest and penalties.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

119Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 24 – Restricted cash, other restrictedassets and intercompany funds transfers
Restricted cash and other restricted assets
Certain of the Bank’s cash and other assets are restricted as
to withdrawal or usage. These restrictions are imposed byvarious regulatory authorities based on the particular
activities of the Bank.
The business of the Bank is subject to examination andregulation by the OCC. The Bank is a member of the U.S.
Federal Reserve System, and its deposits in the U.S. are
insured by the FDIC, subject to applicable limits.
The Bank is required to maintain cash reserves at certain
non-US central banks.
The Bank is also subject to rules and regulations
established by other U.S. and non U.S. regulators. As partof its compliance with the respective regulatory
requirements, the Bank’s broker-dealer activities are
subject to certain restrictions on cash and other assets.
The following table presents the components of the Bank’s
restricted cash:
December 31, (in billions)Segregated for the benefit of
securities and cleared derivative
customers
Cash reserves at non-U.S. central
banks and held for other general
purposes

2023

2022

$

8.7 $
9.1

8.1

Total restricted cash(a)$17.8 $

16.6

8.5

Intercompany funds transfers
Restrictions imposed by U.S. federal law prohibit the Bank
from lending to JPMorgan Chase & Co. and certain of its
affiliates unless the loans are secured in specified amounts.
Such secured loans provided by the Bank to any particularaffiliate, together with certain other transactions with such
affiliate (collectively referred to as “covered transactions”),
must be made on terms and conditions that are consistent
with safe and sound banking practices. In addition, unlesscollateralized with cash or US Government debt obligations,covered transactions are generally limited to 10% of theBank’s total capital, as determined by the risk-based capital
guidelines; the aggregate amount of covered transactions
between the Bank and all affiliates is limited to 20% of theBank’s total capital.
In addition to dividend restrictions set forth in statutes andregulations, the OCC, and under certain circumstances the
FDIC, have authority under the Financial Institutions
Supervisory Act to prohibit or to limit the payment ofdividends by the banking organizations they supervise,
including the Bank if, in the banking regulator’s opinion,
payment of a dividend would constitute an unsafe orunsound practice in light of the financial condition of thebanking organization.
At January 1, 2024, the Bank could pay, in the aggregate,approximately $20 billion in dividends to JPMorgan Chasewithout the prior approval of its relevant banking
regulators. The capacity to pay dividends in 2024 will be
supplemented by the Bank’s earnings during the year.

(a) Comprises $16.4 billion and $15.2 billion in deposits with banks and$1.4 billion and $1.4 billion in cash and due from banks on theConsolidated balance sheets as of December 31, 2023 and 2022,
respectively.

Also, as of December 31, 2023 and 2022, the Bank had
cash pledged with clearing organizations for the benefit ofcustomers of $6.2 billion and $7.0 billion, respectively.

120

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 25 – Regulatory capital
The Bank’s banking regulator, the OCC, establishes capitalrequirements, including well-capitalized standards, fornational banks.
Basel III overview
The capital rules under Basel III establish minimum capitalratios and overall capital adequacy standards for banks,
including JPMorgan Chase Bank, N.A. The minimum amountof regulatory capital that must be held by banks isdetermined by calculating RWA, which are on-balance sheet
assets and off-balance sheet exposures, weighted according
to risk. Two comprehensive approaches are prescribed for
calculating RWA: a standardized approach (“Basel III
Standardized”), and an advanced approach (“Basel III
Advanced”). For each of the risk-based capital ratios, thecapital adequacy of the Bank is evaluated against the lowerof the Standardized or Advanced approaches compared totheir respective regulatory capital ratio requirements.
The three components of regulatory capital under the BaselIII rules are as illustrated below:

between Basel III Standardized and Basel III Advanced. In
addition to the RWA calculated under these approaches, theBank may supplement such amounts to incorporate
management judgment and feedback from its regulators.
Supplementary leverage ratio (“SLR”)
Basel III also includes a requirement for Advanced
Approach banking organizations to calculate the SLR. The
SLR is defined as Tier 1 capital under Basel III divided by the
Bank’s total leverage exposure. Total leverage exposure is
calculated by taking the Bank’s total average on-balance
sheet assets, less amounts permitted to be deducted forTier 1 capital, and adding certain off-balance sheet
exposures, as defined in regulatory capital rules.
Risk-based capital regulatory requirements
All banking institutions are currently required to have aminimum CET1 capital ratio of 4.5% of risk-weighted
assets.
Certain banking organizations, including JPMorgan Chase
Bank, N.A. are required to hold additional levels of capitalto serve as a “capital conservation buffer”. The capitalconservation buffer is intended to be used to absorb losses
in times of financial or economic stress. The capitalconservation buffer incorporates a fixed capitalconservation buffer of 2.5% and a discretionary
countercyclical capital buffer.
The U.S. federal regulatory capital standards include aframework for setting a discretionary countercyclical capital
buffer taking into account the macro financial environment
in which large, internationally active banks function. As of
December 31, 2023, the U.S. countercyclical capital buffer
remained at 0%. The Federal Reserve will continue toreview the buffer at least annually. The buffer can beincreased if the Federal Reserve, FDIC and OCC determinethat systemic risks are meaningfully above normal and canbe calibrated up to an additional 2.5% of RWA subject to a
12-month implementation period.

Risk-weighted assets
Basel III rules establish capital requirements for calculating
credit risk RWA and market risk RWA, and in the case of
Basel III Advanced, operational risk RWA. 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 whichlargely rely on the use of internal credit models andparameters, 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 generally calculated consistently

Failure to maintain regulatory capital equal to or in excessof the risk-based regulatory capital minimum plus thecapital conservation buffer and any countercyclical buffer
will result in limitations to the amount of capital that the
Bank may distribute, as well as on discretionary bonus
payments for certain executive officers.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

121

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Under the risk-based capital and leverage-based guidelinesof the OCC, the Bank is required to maintain minimum ratios
for CET1 capital, Tier 1 capital, Total capital, Tier 1 leverageand the SLR. Failure to meet these minimum requirements
could cause the OCC to take action.
The following table presents the risk-based andleverage-based regulatory capital ratio requirements andwell-capitalized ratios to which the Bank was subject as ofDecember 31, 2023 and 2022.
Capital ratio
requirements(a)(b)

The following tables present risk-based capital metrics
under both the Basel III Standardized and Basel III
Advanced approaches and leverage-based capital metrics
for the Bank. As of December 31, 2023 and 2022, the Bank
was well-capitalized and met all capital requirements towhich it was subject.
Basel III Standardized(in millions,
except ratios)

Dec 31,2023

Dec 31,
2022

Basel III Advanced
Dec 31,2023

Dec 31,
2022

Risk-based capital
metrics(a):Well-capitalized ratios(c)Risk-based
capital ratios
CET1 capital

7.0 %

6.5 %

Tier 1 capital

8.5

8.0

CET1 capital$ 262,030$ 269,668$ 262,030

Tier 1 capital

262,032

269,672

262,032$269,668
269,672

Total capital

281,308

288,433

268,392(b)

1,621,789

1,597,072

1,526,952(b)(c)

275,255
1,475,602

Total capital

10.5

10.0

Risk-weighted
assetsTier 1 leverage

4.0

5.0

CET1 capital ratio

16.2 %

16.9 %

17.2 %

18.3 %

SLR

6.0

6.0

Tier 1 capital ratio

16.2

16.9

17.2

18.3

Note: The table above is as defined by the regulations issued by the OCC
and FDIC and to which the Bank is subject.

Total capital ratio

17.3

18.1

17.6

18.7

(a) Represents minimum SLR requirement of 3.0%, as well as,
supplementary leverage buffer requirement of 3.0% for the Bank.
(b) Represents the regulatory capital ratio requirements applicable to the
Bank under Basel III. The CET1, Tier 1 and Total capital ratio
requirements include a fixed capital conservation buffer requirementof 2.5%.
(c) Represents requirements for the Bank pursuant to regulations issued
under the FDIC Improvement Act.

(a) The capital metrics reflect the CECL capital transition provisions.
(b) Includes the impacts of certain assets associated with First Republic towhich the Standardized approach has been applied as permitted by thetransition provisions in the U.S. capital rules.
(c) RWA results include the benefit of the shared-loss agreements with the
FDIC for certain assets associated with the First Republic acquisition.

Current Expected Credit Losses (“CECL”) Regulatory Capital
Transition
Beginning January 1, 2022, the $2.9 billion CECL capital
benefit, provided by the Federal Reserve in response to the
COVID-19 pandemic, is being phased out at 25% per year
over a three-year period. As of December 31, 2023, theBank’s CET1 capital reflected the remaining $1.5 billion
benefit associated with the CECL capital transition
provisions.

Leverage-based capital metrics(a):Similarly, as of January 1, 2023, the Bank has phased out
50% of the other CECL capital transition provisions which
impacted Tier 2 capital, adjusted average assets, total
leverage exposure and RWA, as applicable.

122

Three months ended(in millions, except ratios)
Adjusted average assets(b)Dec 31, 2023$

3,337,842$

4,038,739

Tier 1 leverage ratio
Total leverage exposure
SLR

Dec 31, 2022$

3,249,912$

3,925,502

7.9 %
6.5 %

8.3 %
6.9 %

(a) The capital metrics reflect the CECL capital transition provisions.
(b) Adjusted average assets, for purposes of calculating the leverage ratios,
includes quarterly average assets adjusted for on-balance sheet assets thatare subject to deduction from Tier 1 capital, predominantly goodwill,
inclusive of estimated equity method goodwill, and other intangible assets.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 26 – Off–balance sheet lending-related
financial instruments, guarantees, and othercommitments
The Bank provides lending-related financial instruments(e.g., commitments and guarantees) to address thefinancing needs of its customers and clients. The
contractual amount of these financial instruments
represents the maximum possible credit risk to the Bank
should the customer or client draw upon the commitment
or the Bank be required to fulfill its obligation under theguarantee, and should the customer or client subsequently
fail to perform according to the terms of the contract. Mostof these commitments and guarantees have historically
been refinanced, extended, cancelled, or expired without
being drawn or a default occurring. As a result, the total
contractual amount of these instruments is not, in the
Bank’s view, representative of its expected future credit
exposure or funding requirements.

The following table summarizes the contractual amounts
and carrying values of off-balance sheet lending-related
financial instruments, guarantees and other commitments
at December 31, 2023 and 2022. The amounts in the tablebelow for credit card and home equity lending-related
commitments represent the total available credit for theseproducts. The Bank has not experienced, and does not
anticipate, that all available lines of credit for theseproducts will be utilized at the same time. The Bank can
reduce or cancel credit card lines of credit by providing theborrower notice or, in some cases as permitted by law,
without notice. In addition, the Bank typically closes credit
card lines when the borrower is 60 days or more past due.
The Bank 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.

To provide for expected credit losses in wholesale andcertain consumer lending-related commitments, anallowance for credit losses on lending-related commitments
is maintained. Refer to Note 14 for further information
regarding the allowance for credit losses on lending-related
commitments.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

123

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Off–balance sheet lending-related financial instruments, guarantees and other commitments

Expiresafter
1 yearthrough
3 years

Contractual amount
2023

2022

Expiresafter
3 years
through
5 years

Total

Expires in
Expires
By remaining maturity as of December 31, 1 year orafter 5(in millions)
less
years
Total
Lending-related
Consumer, excluding credit card:
Residential real estate(a)$ 6,917 $ 7,175 $ 6,493 $ 9,540 $ 30,125
Auto and other
12,247
159—
2,872
15,278
Total consumer, excluding credit card
19,164
7,334
6,493
12,41245,403Credit card(b)915,670———915,670
Total consumer(c)934,834
7,334
6,493
12,412
961,073
Wholesale:
Other unfunded commitments to extend
credit(d)122,712175,030
178,617
23,774500,133$

Carrying value(l)
2023
2022

678
148
826
—
826

(m)

437,2112,783(k)(m)

21,287
12,231
33,518821,284
854,802

$

$

(m)

75
—
75
—
75

2,298

Standby letters of credit and otherfinancial guarantees(d)(e)Other letters of credit(d)Total wholesale(c)Total lending-related
Other guarantees and commitments

13,794
10,4783,623
991
28,886
4,084
222
79
—
4,385
140,590
185,730
182,319
24,765
533,404$1,075,424 $ 193,064 $ 188,812 $ 37,177 $1,494,477

27,455
4,134
468,800$1,323,602

479
37
3,299
$ 4,125

408
6
2,712
$2,787

Securities lending indemnificationagreements and guarantees(f)Derivatives qualifying as guarantees$ 306,769 $1,788$ 312,261
59,262

$

$

— $
— $
— $ 306,769
364
11,657
40,84854,657

—
92

—
652

Unsettled resale and securities borrowed
agreements(g)61,561

186——

61,747

82,694—(3)

Unsettled repurchase and securities loaned
agreements(h)47,306554——

47,86053,321

—

(3)

NA
NA

NA
NA

NA
NA

NA
NA

NA
637

NA
631

76
8

76
11

19,897
8,286

—
1,281

—
229

3,468

19,897
13,264

43,641
6,272

—
38

—
53

Loan sale and securitization-related
indemnifications:
Mortgage repurchase liability
Loans sold with recourse
Exchange & clearing house guarantees andcommitments(i)Other guarantees and commitments(j)(k)(a) Includes certain commitments to purchase loans from correspondents.
(b) Also includes commercial card lending-related commitments.
(c) Predominantly all consumer and wholesale lending-related commitments are in the U.S.
(d) As of December 31, 2023 and 2022, reflected the contractual amount net of risk participations totaling $88 million and $71 million, respectively, for otherunfunded commitments to extend credit; $8.2 billion at both periods for standby letters of credit and other financial guarantees; and $589 million and $512
million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.
(e) As of both December 31, 2023 and 2022, includes commitments to JPMorgan Chase affiliates of $19 million.
(f) As of December 31, 2023 and 2022, collateral held by the Bank in support of securities lending indemnification agreements was $324.1 billion and $328.2
billion, respectively. Total securities lending indemnification agreements and guarantees included balances with JPMorgan Chase affiliates of $23.1 billion
and $28.9 billion at December 31, 2023 and 2022, respectively. Collateral held by the Bank in support of securities lending indemnification agreements with
JPMorgan Chase affiliates was $29.0 billion and $29.6 billion at December 31, 2023 and 2022, respectively. Securities lending collateral primarily consists ofcash, G7 government securities, and securities issued by U.S. GSEs and government agencies.
(g) As of December 31, 2023 and 2022, includes $4.2 billion and $35 million of unsettled resale and securities borrowed agreements with JPMorgan Chaseaffiliates.
(h) As of December 31, 2023 and 2022, includes $471 million and $128 million of unsettled repurchase and securities loaned agreements with JPMorgan Chaseaffiliates.
(i) As of December 31, 2023 and 2022, includes guarantees to the Fixed Income Clearing Corporation under the sponsored member repo program andcommitments and guarantees associated with the Bank’s membership in certain clearing houses.
(j) As of December 31, 2023 and 2022, primarily includes, unfunded commitments related to certain tax-oriented equity investments, other equity investmentcommitments and unfunded commitments to purchase secondary market loans.
(k) For lending-related products, the carrying value includes 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.
(l) For lending-related commitments, the carrying value also includes fees and any purchase discounts or premiums that are deferred and recognized in accounts
payable and other liabilities on the Consolidated balance sheets. Deferred amounts for revolving commitments and commitments not expected to fund, areamortized to lending- and deposit-related fees on a straight line basis over the commitment period. For all other commitments the deferred amounts remaindeferred until the commitment funds or is sold.

124

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

(m) As of December 31, 2023, includes fair value adjustments associated with First Republic for residential real estate lending-related commitments totaling$630 million, for auto and other lending-related commitments totaling $148 million and for other unfunded commitments to extend credit totaling$1.1 billion. Refer to Note 29 for additional information.
(n) As of December 31, 2022, included net markdowns on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

Other unfunded commitments to extend credit
Other unfunded commitments to extend credit generally
consist of commitments for working capital and general
corporate purposes, extensions of credit to support
commercial paper facilities and bond financings in the eventthat those obligations cannot be remarketed to newinvestors, as well as committed liquidity facilities to clearingorganizations. The Bank also issues commitments undermultipurpose facilities which could be drawn upon inseveral forms, including the issuance of a standby letter ofcredit.

the Bank records this fair value amount in other liabilities
with an offsetting entry recorded in cash (for premiums
received), or other assets (for premiums receivable). Any
premium receivable recorded in other assets is reduced as
cash is received under the contract, and the fair value of theliability recorded at inception is amortized into income as
lending and deposit-related fees over the life of theguarantee contract. The lending-related contingent
obligation is recognized based on expected credit losses in
addition to, and separate from, any non-contingent
obligation.

Guarantees
U.S. GAAP requires that a guarantor recognize, at the
inception of a guarantee, a liability in an amount equal to
the fair value of the obligation undertaken in issuing theguarantee. U.S. GAAP defines a guarantee as a contract that
contingently requires the guarantor to pay the guaranteed
party based upon: (a) changes in an underlying asset,
liability or equity security of the guaranteed party; or (b) athird party’s failure to perform under a specified
agreement. The Bank considers the following off–balance
sheet arrangements to be guarantees under U.S. GAAP:
standby letters of credit and other financial guarantees,
securities lending indemnifications, certain indemnificationagreements included within third-party contractual
arrangements, certain derivative contracts and theguarantees under the sponsored member repo program.

Non-lending-related contingent obligations are recognizedwhen the liability becomes probable and reasonably
estimable. These obligations are not recognized if theestimated amount is less than the carrying amount of any
non-contingent liability recognized at inception (adjusted
for any amortization). Examples of non-lending-related
contingent obligations include indemnifications provided insales agreements, where a portion of the sale proceeds isallocated to the guarantee, which adjusts the gain or loss
that would otherwise result from the transaction. For theseindemnifications, the initial liability is amortized to income
as the Bank’s risk is reduced (i.e., over time or when theindemnification expires).

As required by U.S. GAAP, the Bank initially records
guarantees at the inception date fair value of the noncontingent obligation assumed (e.g., the amount ofconsideration received or the net present value of thepremium receivable). For these obligations,

For additional information on the guarantees, see below.

The contractual amount and carrying value of guarantees
and indemnifications are included in the table on page 124.
Standby letters of credit and other financial guarantees
Standby letters of credit and other financial guarantees areconditional lending commitments issued by the Bank toguarantee the performance of a client or customer to athird party under certain arrangements, such as commercial
paper facilities, bond financings, acquisition financings,
trade financings and similar transactions.

The following table summarizes the contractual amount and carrying value of standby letters of credit and other financial
guarantees and other letters of credit arrangements as of December 31, 2023 and 2022.
Standby letters of credit, other financial guarantees and other letters of credit
2023
Standby letters ofcredit and otherfinancial guarantees

December 31,(in millions)
Investment-grade(a)$Noninvestment-grade(a)19,712

2022
Standby letters ofcredit and otherfinancial guarantees

Other lettersof credit
$

9,174

3,552

$

833

19,224

Other lettersof credit
$

8,231

3,040
1,094

Total contractual amount$

28,886

$

4,385

$

27,455$

4,134

Allowance for lending-related commitments

$

110

$

37

$

82

$

6

Guarantee liability

369

—

326

—

Total carrying value

$

479

$

37

$

408

$

6

Commitments with collateral$

16,857$539$

15,293$795(a) The ratings scale is based on the Bank’s internal risk ratings. Refer to Note 13 for further information on internal risk ratings.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

125Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Securities lending indemnifications
Through the Bank’s securities lending program,counterparties’ securities, via custodial and non-custodial
arrangements, may be lent to third parties. As part of thisprogram, the Bank provides an indemnification in thelending agreements which protects the lender against the
failure of the borrower to return the lent securities. To
minimize its liability under these indemnificationagreements, the Bank obtains cash or other highly liquid
collateral with a market value exceeding 100% of the valueof the securities on loan from the borrower. Collateral ismarked to market daily to help assure that collateralizationis adequate. Additional collateral is called from theborrower if a shortfall exists, or collateral may be released
to the borrower in the event of overcollateralization. If aborrower defaults, the Bank would use the collateral held topurchase replacement securities in the market or to credit
the lending client or counterparty with the cash equivalent
thereof.
The cash collateral held by the Bank may be invested onbehalf of the client in indemnified resale agreements,
whereby the Bank indemnifies the client against the loss ofprincipal invested. To minimize its liability under these
agreements, the Bank obtains collateral with a market value
exceeding 100% of the principal invested.
Derivatives qualifying as guarantees
The Bank transacts in certain derivative contracts that havethe characteristics of a guarantee under U.S. GAAP. These
contracts include written put options that require the Bank
to purchase assets upon exercise by the option holder at a
specified price by a specified date in the future. The Bank
may enter into written put option contracts in order to meetclient needs, or for other trading purposes. The terms of
written put options are typically five years or less.
Derivatives deemed to be guarantees also includes stablevalue contracts, commonly referred to as “stable value
products”, that require the Bank to make a payment of thedifference between the market value and the book value ofa counterparty’s reference portfolio of assets in the eventthat market value is less than book value and certain otherconditions have been met. Stable value products aretransacted in order to allow investors to realize investment
returns with less volatility than an unprotected portfolio.
These contracts are typically longer-term or may have nostated maturity, but allow the Bank to elect to terminate thecontract under certain conditions.

126

The notional value of derivative guarantees generally
represents the Bank’s maximum exposure. However,exposure to certain stable value products is contractuallylimited to a substantially lower percentage of the notionalamount.
The fair value of derivative guarantees reflects theprobability, in the Bank’s view, of whether the Bank will be
required to perform under the contract. The Bank reduces
exposures to these contracts by entering into offsetting
transactions, or by entering into contracts that hedge themarket risk related to the derivative guarantees.
The following table summarizes the derivatives qualifying
as guarantees as of December 31, 2023 and 2022.
(in millions)

December 31,
2023

December 31,
2022

Notional amounts
Derivative guarantees
Stable value contracts with
contractually limited exposure$$

Maximum exposure of stablevalue contracts with
contractually limited exposure
Fair value
Derivative payables

54,65759,262

32,48831,820

1,652

2,063

92

652

In addition to derivative contracts that meet thecharacteristics of a guarantee, the Bank is both a purchaserand seller of credit protection in the credit derivatives
market. Refer to Note 6 for a further discussion of credit
derivatives.
Unsettled securities financing agreements
In the normal course of business, the Bank enters into
resale and securities borrowed agreements. At settlement,these commitments result in the Bank advancing cash to
and receiving securities collateral from the counterparty.
The Bank also enters into repurchase and securities loaned
agreements. At settlement, these commitments result in the
Bank receiving cash from and providing securities collateral
to the counterparty. Such agreements settle at a futuredate. These agreements generally do not meet thedefinition of a derivative, and therefore, are not recordedon the Consolidated balance sheets until settlement date.
These agreements predominantly have regular-way
settlement terms. Refer to Note 12 for a further discussionof securities financing agreements.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Loan sales- and securitization-related indemnifications
Mortgage repurchase liability
In connection with the Bank’s mortgage loan sale andsecuritization activities with U.S. GSEs the Bank has maderepresentations and warranties that the loans sold meetcertain requirements, and that may require the Bank torepurchase mortgage loans and/or indemnify the loanpurchaser if such representations and warranties arebreached by the Bank.
Private label securitizations
The liability related to repurchase demands associated withprivate label securitizations is separately evaluated by the
Bank in establishing its litigation reserves.
Refer to Note 28 for additional information regarding
litigation.
Loans sold with recourse
The Bank provides servicing for mortgages and certain
commercial lending products on both a recourse andnonrecourse basis. In nonrecourse servicing, the principal
credit risk to the Bank is the cost of temporary servicing
advances of funds (i.e., normal servicing advances). In
recourse servicing, the servicer agrees to share credit risk
with the owner of the mortgage loans, such as Fannie Maeor Freddie Mac or a private investor, insurer or guarantor.
Losses on recourse servicing predominantly occur when
foreclosure sales proceeds of the property underlying adefaulted loan are less than the sum of the outstanding
principal balance, plus accrued interest on the loan and thecost of holding and disposing of the underlying property.
The Bank’s securitizations are predominantly nonrecourse,
thereby effectively transferring the risk of future credit
losses to the purchaser of the mortgage-backed securities
issued by the trust. The unpaid principal balance of loans
sold with recourse as well as the carrying value of therelated liability that the Bank has recorded in accounts
payable and other liabilities on the Consolidated balance
sheets, which is representative of the Bank’s view of thelikelihood it will have to perform under its recourse
obligations, are disclosed in the table on page 124.
Other off-balance sheet arrangements
Indemnification agreements – general
In connection with issuing securities to investors outside theU.S., the Bank may agree to pay additional amounts to theholders of the securities in the event that, due to a change
in tax law, certain types of withholding taxes are imposedon payments on the securities. The terms of the securities
may also give the Bank the right to redeem the securities ifsuch additional amounts are payable. The Bank may also
enter into indemnification clauses in connection with thelicensing of software to clients (“software licensees”) or
when it sells a business or assets to a third party (“thirdparty purchasers”), pursuant to which it indemnifies
software licensees for claims of liability or damages that
may occur subsequent to the licensing of the software, or
third-party purchasers for losses they may incur due toactions taken by the Bank prior to the sale of the businessor assets. It is difficult to estimate the Bank’s maximum
exposure under these indemnification arrangements, since
this would require an assessment of future changes in tax
law and future claims that may be made against the Bank
that have not yet occurred. However, based on historicalexperience, management expects the risk of loss to be
remote.
Merchant charge-backs
Under the rules of payment networks, in its role as amerchant acquirer, the Bank’s Merchant Services business
in Payments retains a contingent liability for disputed
processed credit and debit card transactions that result in acharge-back to the merchant. If a dispute is resolved in the
cardholder’s favor, the Bank will (through the cardholder’sissuing bank) credit or refund the amount to the cardholder
and will charge back the transaction to the merchant. If the
Bank is unable to collect the amount from the merchant,
the Bank will bear the loss for the amount credited or
refunded to the cardholder. The Bank mitigates this risk by
withholding future settlements, retaining cash reserve
accounts or obtaining other collateral. In addition, the Bank
recognizes a valuation allowance that covers the payment
or performance risk the Bank related to charge-backs.
For the years ended December 31, 2023, 2022 and 2021,
the Bank processed an aggregate volume of $2,411.0
billion, $2,158.4 billion, and $1,886.7 billion, respectively.
Clearing Services – Client Credit Risk
The Bank provides clearing services for clients by entering
into securities purchases and sales and derivative contracts
with CCPs, including ETDs such as futures and options, aswell as OTC-cleared derivative contracts. As a clearing
member, the Bank stands behind the performance of its
clients, collects cash and securities collateral (margin) as
well as any settlement amounts due from or to clients, andremits them to the relevant CCP or client in whole or part.
There are two types of margin: variation margin is posted
on a daily basis based on the value of clients’ derivative
contracts and initial margin is posted at inception of a
derivative contract, generally on the basis of the potentialchanges in the variation margin requirement for thecontract.
As a clearing member, the Bank is exposed to the risk ofnonperformance by its clients, but is not liable to clients forthe performance of the CCPs. Where possible, the Bank
seeks to mitigate its risk to the client through the collectionof appropriate amounts of margin at inception andthroughout the life of the transactions. The Bank can alsocease providing clearing services if clients do not adhere to
their obligations under the clearing agreement. In the eventof nonperformance by a client, the Bank would close out theclient’s positions and access available margin. The CCP
would utilize any margin it holds to make itself whole, withany remaining shortfalls required to be paid by the Bank as
a clearing member.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

127

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

The Bank reflects its exposure to nonperformance risk of
the client through the recognition of margin receivablesfrom clients and margin payables to CCPs; the clients’
underlying securities or derivative contracts are notreflected in the Bank’s Consolidated Financial Statements.
It is difficult to estimate the Bank’s maximum possible
exposure through its role as a clearing member, as thiswould require an assessment of transactions that clients
may execute in the future. However, based upon historicalexperience, and the credit risk mitigants available to theBank, management believes it is unlikely that the Bank will
have to make any material payments under thesearrangements and the risk of loss is expected to be remote.
Refer to Note 6 for information on the derivatives that the
Bank executes for its own account and records in its
Consolidated Financial Statements.
Exchange & Clearing House Memberships
The Bank is a member of several securities and derivative
exchanges and clearing houses, both in the U.S. and othercountries, and it provides clearing services to its clients.
Membership in some of these organizations requires the
Bank to pay a pro rata share of the losses incurred by theorganization as a result of the default of another member.
Such obligations vary with different organizations. Theseobligations may be limited to the amount (or a multiple of
the amount) of the Bank’s contribution to the guarantee
fund maintained by a clearing house or exchange as part of
the resources available to cover any losses in the event of amember default. Alternatively, these obligations may also
include a pro rata share of the residual losses after applying
the guarantee fund. Additionally, certain clearing houses
require the Bank as a member to pay a pro rata share oflosses that may result from the clearing house’s investmentof guarantee fund contributions and initial margin,unrelated to and independent of the default of anothermember. Generally a payment would only be required
should such losses exceed the resources of the clearing
house or exchange that are contractually required toabsorb the losses in the first instance. In certain cases, it isdifficult to estimate the Bank’s maximum possible exposure
under these membership agreements, since this would
require an assessment of future claims that may be madeagainst the Bank that have not yet occurred. However,based on historical experience, management expects therisk of loss to the Bank to be remote. Where the Bank’s
maximum possible exposure can be estimated, the amountis disclosed in the table on page 124, in the Exchange &clearing house guarantees and commitments line.

128

Sponsored member repo program
The Bank acts as a sponsoring member to clear eligible
overnight and term resale and repurchase agreements
through the Government Securities Division of the Fixed
Income Clearing Corporation (“FICC”) on behalf of clientsthat become sponsored members under the FICC’s rules.
The Bank 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 Bank
minimizes its liability under these guarantees by obtaining asecurity interest in the cash or high-quality securities
collateral that the clients place with the clearing house;
therefore, the Bank expects the risk of loss to be remote.
The Bank’s maximum possible exposure, without taking into
consideration the associated collateral, is included in the
Exchange & clearing house guarantees and commitments
line on page 124. Refer to Note 12 for additional
information on credit risk mitigation practices on resaleagreements and the types of collateral pledged under
repurchase agreements.
Guarantees of subsidiaries and affiliates
In the normal course of business, the Bank may provide
counterparties with guarantees of certain of the trading andother obligations of its subsidiaries and affiliates on acontract-by-contract basis, as negotiated with the Bank’s
counterparties. The obligations of the subsidiaries areincluded on the Bank’s Consolidated balance sheets or arereflected as off-balance sheet commitments; therefore, theBank has not recognized a separate liability for theseguarantees. As at December 31, 2023 and 2022,
guarantees of obligations of affiliates provided by the Bank
were not material. The Bank believes that the occurrence ofany event that would trigger payments under theseguarantees is remote.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 27 – Pledged assets and collateral
Pledged assets
The Bank pledges financial assets that it owns to maintainpotential borrowing capacity at discount windows with
Federal Reserve banks, various other central banks and
FHLBs. Additionally, the Bank pledges assets for otherpurposes, including to collateralize repurchase and othersecurities financing agreements, to cover short sales and tocollateralize derivative contracts and deposits andborrowings from affiliates. Certain of these pledged assets
may be sold or repledged or otherwise used by the secured
parties and are parenthetically identified on theConsolidated balance sheets as assets pledged.

Collateral
The Bank accepts financial assets as collateral that it ispermitted to sell or repledge, deliver or otherwise use. This
collateral is generally obtained under resale and othersecurities financing agreements, prime brokerage-related
held-for-investment customer receivables and derivative
contracts. Collateral is generally used under repurchase andother securities financing agreements, to cover short sales,
and to collateralize derivative contracts and deposits.

The following table presents the Bank’s pledged assets.

December 31, (in billions)2023

December 31, (in billions)

Collateral permitted to be sold or
repledged, delivered, or otherwise used $617.3

Collateral sold, repledged, delivered orotherwise used

447.6

2023

Assets that may be sold or repledged orotherwise used by secured parties$

Assets that may not be sold or repledged orotherwise used by secured parties(a)145.0Assets pledged at Federal Reserve banks and
FHLBs
Total pledged assets

90.5

2022
$

57.2

The following table presents the fair value of collateral
accepted.
2022
$

710.6
522.7

43.3

675.6

567.6

$ 911.1$ 668.1(a) As of December 31, 2023, included $88.4 billion of assets pledged to
the FDIC associated with the First Republic acquisition. Refer to Note
29 for additional information.

Total pledged assets do not include assets of consolidated
VIEs; these assets are used to settle the liabilities of thoseentities. Refer to Note 15 for additional information on
assets and liabilities of consolidated VIEs. Refer to Note 12
for additional information on the Bank’s securities financing
activities. Refer to Note 20 for additional information on the
Bank’s long-term debt. The significant components of theBank’s pledged assets were as follows.
December 31, (in billions)
Investment securities

2023
$

111.2

Loans

681.8

Trading assets and other

118.1

Total pledged assets

$

911.1

2022
$

110.5
485.9
71.7

$

668.1

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

129

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 28 - Litigation
Contingencies
As of December 31, 2023, JPMorgan Chase and its
subsidiaries, including but not limited to JPMorgan Chase
Bank, N.A., are defendants or respondents in numerous
evolving legal proceedings, including private proceedings,
public proceedings, government investigations, regulatory
enforcement matters, and the matters described below. The
litigations range from individual actions involving a single
plaintiff to class action lawsuits with potentially millions ofclass members. Investigations and regulatory enforcement
matters involve both formal and informal proceedings, byboth governmental agencies and self-regulatoryorganizations. These legal proceedings are at varying stagesof adjudication, arbitration or investigation, and involve
each of JPMorgan Chase’s lines of business and several
geographies and a wide variety of claims (includingcommon law tort and contract claims and statutory
antitrust, securities and consumer protection claims), someof which present novel legal theories.
JPMorgan Chase believes the estimate of the aggregate
range of reasonably possible losses, in excess of reserves
established, for its legal proceedings is from $0 toapproximately $1.3 billion at December 31, 2023. Thisestimated aggregate range of reasonably possible losses
was based upon information available as of that date forthose proceedings in which JPMorgan Chase believes thatan estimate of reasonably possible loss can be made. For
certain matters, JPMorgan Chase does not believe that suchan estimate can be made, as of that date. JPMorgan Chase’s
estimate of the aggregate range of reasonably possible
losses involves significant judgment, given:•

the number, variety and varying stages of theproceedings, including the fact that many are in
preliminary stages,•

the existence in many such proceedings of multiple
defendants, including JPMorgan Chase and JPMorgan
Chase Bank, N.A., whose share of liability (if any) has yet
to be determined,•

the numerous yet-unresolved issues in many of theproceedings, including issues regarding classcertification and the scope of many of the claims, and•the uncertainty of the various potential outcomes ofsuch proceedings, including where JPMorgan Chase 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 JPMorgan Chase did not take into account in
its estimate because JPMorgan Chase had deemed thelikelihood of that outcome to be remote. Accordingly,
JPMorgan Chase’s estimate of the aggregate range of130

reasonably possible losses will change from time to time,and actual losses may vary significantly.
Set forth below are descriptions of JPMorgan Chase’s
material legal proceedings in which JPMorgan Chase and its
subsidiaries (which in certain instances include JPMorgan
Chase Bank, N.A.) are involved or have been named as
parties.
1MDB Litigation. J.P. Morgan (Suisse) SA was named as adefendant in a civil litigation filed in May 2021 in Malaysia
by 1Malaysia Development Berhad (“1MDB”), a Malaysianstate-owned and controlled investment fund. The claim
alleges “dishonest assistance” against J.P. Morgan (Suisse)
SA in relation to payments of $300 million and$500 million, from 2009 and 2010, respectively, received
from 1MDB and paid into an account at J.P. Morgan (Suisse)
SA held by 1MDB PetroSaudi Limited, a joint venturecompany between 1MDB and PetroSaudi Holdings(Cayman) Limited. JPMorgan Chase is challenging thevalidity of service and the Malaysian Court’s jurisdiction tohear the claim. In August 2023 the Court denied an
application by 1MDB to discontinue its claim withpermission to re-file a new claim in the future. An appeals
court is scheduled in August 2024 to hear separate appeals
filed by 1MDB and JPMorgan Chase against that August2023 decision. In its appeal, JPMorgan Chase seeks toprevent any claim from continuing.
In addition, in November 2023, the Federal Office of the
Attorney General (OAG) in Switzerland notified J.P. Morgan(Suisse) SA that it is conducting an investigation into
possible criminal liability in connection with transactions
arising from J.P. Morgan (Suisse) SA’s relationship with the
1MDB PetroSaudi joint venture and its related persons forthe period September 2009 through August 2015. The OAG
investigation is ongoing.
Amrapali. India’s Enforcement Directorate (“ED”) isinvestigating J.P. Morgan India Private Limited inconnection with investments made in 2010 and 2012 by
two offshore funds formerly managed by JPMorgan Chase
entities into residential housing projects developed by the
Amrapali Group (“Amrapali”) relating to delays in deliveringor failure to deliver residential units. In August 2021, theED issued an order fining J.P. Morgan India Private Limited
approximately $31.5 million, and JPMorgan Chase isappealing that order. Relatedly, in July 2019, the Supreme
Court of India issued an order making preliminary findingsthat Amrapali and other parties, including unspecified
JPMorgan Chase entities and the offshore funds that had
invested in the projects, violated certain criminal currency
control and money laundering provisions, and ordered the
ED to conduct a further inquiry. JPMorgan Chase isresponding to and cooperating with the inquiry.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Foreign Exchange Investigations and Litigation. JPMorgan
Chase previously reported settlements with certain
government authorities relating to its foreign exchange(“FX”) sales and trading activities and controls related tothose activities. Among those resolutions, in May 2015,
JPMorgan Chase pleaded guilty to a single violation offederal antitrust law. The Department of Labor ("DOL")
granted JPMorgan Chase exemptions that permit JPMorgan
Chase and its affiliates to continue to rely on the Qualified
Professional Asset Manager exemption under the Employee
Retirement Income Security Act (“ERISA”) through the tenyear disqualification period following the antitrust plea. The
only remaining FX-related governmental inquiry is a South
Africa Competition Commission matter which is currently
pending before the South Africa Competition Tribunal.
With respect to civil litigation matters, in a putative classaction filed against JPMorgan Chase and other foreignexchange dealers on behalf of certain parties whopurchased foreign currencies at allegedly inflated rates, theDistrict Court denied certification of a class and granted
summary judgment against the named plaintiffs in March
2023. An appeal by those plaintiffs of the District Court's
decision is pending. In addition, some FX-related individual
and putative class actions based on similar alleged
underlying conduct have been filed outside the U.S.,
including in the U.K., Israel, the Netherlands, Brazil andAustralia. An agreement to resolve one of the U.K. actions
was reached in December 2022. In July 2023, the U.K.
Court of Appeal overturned the Competition Appeal
Tribunal's earlier denial of a request for class certification
on an opt-out basis. In Israel, a settlement in principle has
been reached on the putative class action, which remains
subject to court approval.
Government Inquiries Related to the Zelle Network. JPMorgan
Chase is responding to inquiries from civil government
authorities regarding the handling of disputes related totransfers of funds through the Zelle Network. JPMorgan
Chase is cooperating with these inquiries and responding torequests for information.
Interchange Litigation. Groups of merchants and retailassociations filed a series of class action complaints alleging
that Visa and Mastercard, as well as certain banks,
conspired to set the price of credit and debit card
interchange fees and enacted related rules in violation of
antitrust laws.
In September 2018, the parties settled the class action
seeking monetary relief, with the defendants collectively
contributing approximately $6.2 billion. The settlement has
been approved by the District Court and affirmed on appeal.
Based on the percentage of merchants that opted out of thesettlement, $700 million has been returned to thedefendants from the settlement escrow. A separate classaction seeking injunctive relief continues, and in September
2021, the District Court granted plaintiffs’ motion for classcertification in part, and denied the motion in part.

Of the merchants who opted out of the damages classsettlement, certain merchants filed individual actions
raising similar allegations against Visa and Mastercard, as
well as against JPMorgan Chase and other banks. Whilesome of those actions remain pending, the defendants havereached settlements with the merchants who opted out
representing approximately 70% of the combined
Mastercard-branded and Visa-branded payment card sales
volume.
Jeffrey Epstein Litigation. JPMorgan Chase Bank, N.A. wasnamed as a defendant in lawsuits filed in the United States
District Court for the Southern District of New York alleging
that JPMorgan Chase Bank, N.A. knowingly facilitatedJeffrey Epstein’s sex trafficking and other unlawful conduct
by providing banking services to Epstein until 2013. In June
2023, the Court granted preliminary approval of asettlement between the victim class and JPMorgan Chase
Bank, N.A., pursuant to which JPMorgan Chase Bank, N.A.
paid $290 million to a fund for Epstein survivors. In
November 2023, the Court granted final approval of thesettlement, rejecting objections, including those of certain
state Attorneys General, regarding the victims’ releases.
LIBOR and Other Benchmark Rate Investigations andLitigation. JPMorgan Chase has responded to inquiries fromvarious governmental agencies and entities around theworld relating primarily to the British Bankers Association’s(“BBA”) London Interbank Offered Rate (“LIBOR”) for
various currencies and the European Banking Federation’s
Euro Interbank Offered Rate (“EURIBOR”). The Swiss
Competition Commission’s investigation relating to
EURIBOR, to which JPMorgan Chase and one other bankremain subject, continues. JPMorgan Chase appealed a
December 2016 decision by the European Commission
against JPMorgan Chase and other banks finding an
infringement of European antitrust rules relating to
EURIBOR. In December 2023, the European General Court
annulled the fine imposed by the European Commission, but
exercised its discretion to re-impose a fine in an identicalamount. JPMorgan Chase is considering its options.
In addition, JPMorgan Chase has been named as adefendant along with other banks in various individual andputative class actions related to benchmark rates, including
U.S. dollar LIBOR. In actions related to U.S. dollar LIBOR
during the period that it was administered by the BBA,
JPMorgan Chase has obtained dismissal of certain actions
and resolved certain other actions, and others are invarious stages of litigation. The United States District Court
for the Southern District of New York has granted classcertification of antitrust claims related to bonds andinterest rate swaps sold directly by the defendants,
including JPMorgan Chase. In addition, a lawsuit filed by agroup of individual plaintiffs asserting antitrust claims,
alleging that JPMorgan Chase and other defendants were
engaged in an unlawful agreement to set U.S. dollar LIBOR
and conspired to monopolize the market for LIBOR-based

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

131

Notes to consolidated financial statements
JPMorgan Chase Bank, National Association(a wholly-owned subsidiary of JPMorgan Chase & Co.)

consumer loans and credit cards was dismissed in October
2023. Plaintiff filed an appeal of the dismissal to the UnitedStates Court of Appeals for the Ninth Circuit in November
2023. JPMorgan Chase has resolved all non-U.S. dollar
LIBOR actions.
Russian Litigation. JPMorgan Chase is obligated to comply
with international sanctions laws, which mandate thefreezing or restriction of certain assets. These laws apply
when assets associated with individuals, companies,
products or services are within the scope of the sanctions.
JPMorgan Chase has faced actual and threatened litigationin Russia seeking payments on transactions that JPMorgan
Chase cannot make, and is contractually excused frompaying, under relevant sanctions laws, with judgment
entered against JPMorgan Chase in one claim in February
2024. The Russian court may disregard the parties’contractual agreement on forum selection, and may notrecognize foreign sanctions laws as a basis for not making
payment. JPMorgan Chase holds assets in Russia, which
could be seized if the claims are granted and enforced.
SEC Inquiries. JPMorgan Chase is responding to requests
from the SEC regarding aspects of certain advisory
programs within J.P. Morgan Securities LLC, including
aggregation of accounts for billing, discounting advisory
fees, and selecting portfolio managers. Separately,
JPMorgan Chase is responding to requests from the SEC in
connection with the timing of JPMorgan Chase’s liquidationof shares distributed in-kind to certain investment vehicles
that invest in third-party managed private funds. JPMorgan
Chase is cooperating with the SEC in regard to both
inquires.
Securities Lending Antitrust Litigation. JPMorgan Chase
Bank, N.A., J.P. Morgan Securities LLC, J.P. Morgan Prime,
Inc., and J.P. Morgan Strategic Securities Lending Corp. arenamed as defendants in a putative class action filed in the
United States District Court for the Southern District of New
York. The complaint asserts violations of federal antitrust
law and New York State common law in connection with analleged conspiracy to prevent the emergence of anonymousexchange trading for securities lending transactions. The
settlement of this action by the parties has been
preliminarily approved, and is subject to final court
approval.
Shareholder Litigation. Several shareholder putative classactions, as well as shareholder derivative actions purportingto act on behalf of JPMorgan Chase, have been filed against
JPMorgan Chase, its Board of Directors and certain of its
current and former officers.
Certain of these shareholder suits relate to historical
trading practices by former employees in the precious
metals and U.S. treasuries markets and related conduct
which were the subject of JPMorgan Chase’s resolutions
with the DOJ, CFTC and SEC in September 2020, andfiduciary activities that were separately the subject of a132

resolution between JPMorgan Chase Bank, N.A. and the OCC
in November 2020. One of these shareholder derivative
suits was filed in the Supreme Court of the State of New
York in May 2022, asserting breach of fiduciary duty andunjust enrichment claims relating to the historical trading
practices and related conduct and fiduciary activities whichwere the subject of the resolutions described above. In
December 2022, the court granted defendants’ motion todismiss this action in full, and in July 2023, the plaintiff
filed an appeal, which remains pending. A second
shareholder derivative action was filed in the United States
District Court for the Eastern District of New York in
December 2022 relating to the historical trading practices
and related conduct, which asserts breach of fiduciary duty
and contribution claims and alleges that the shareholder is
excused from making a demand to commence litigation
because such a demand would have been futile. Defendants
have moved to dismiss the complaint. In addition, a
consolidated putative class action is pending in the UnitedStates District Court for the Eastern District of New York onbehalf of shareholders who acquired shares of JPMorgan
Chase common stock during the putative class period,
alleging that certain SEC filings of JPMorgan Chase werematerially false or misleading because they did not disclose
certain information relating to the historical trading
practices and conduct. In December 2023, the court
granted Defendants’ motion to dismiss the amended
complaint.
A shareholder derivative suit was filed in May 2023 in the
United States District Court for the Southern District of New
York against various officers and directors of JPMorgan
Chase asserting breaches of fiduciary duty and unjust
enrichment based upon allegations that the defendants
caused JPMorgan Chase to retain Jeffrey Epstein as a clientof the bank after defendants knew, or should have known,that Epstein was using JPMorgan Chase’s financial services
to facilitate his alleged sex trafficking activities. In
December 2023, the Court dismissed the derivative action.
A separate shareholder derivative suit was filed in March2022 in the United States District Court for the Eastern
District of New York asserting breaches of fiduciary duty
and violations of federal securities laws based on the
alleged failure of the Board of Directors to exercise
adequate oversight over JPMorgan Chase’s compliance withrecords preservation requirements which were the subjectof resolutions between certain of JPMorgan Chase’s
subsidiaries and the SEC and the CFTC. Defendants’ motion
to dismiss the amended complaint is pending.
Trading Venues Investigations. JPMorgan Chase has been
responding to government inquiries regarding its processes
to inventory trading venues and confirm the completenessof certain data fed to trade surveillance platforms.
JPMorgan Chase self-identified that certain trading andorder data through the CIB was not feeding into its trade
surveillance platforms. JPMorgan Chase has completed

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

enhancements to the CIB’s venue inventory and data
completeness controls, and other remediation is underway.
JPMorgan Chase has also performed a review of the data
not originally surveilled, which is nearly complete, and has
not identified any employee misconduct, harm to clients or
the market. While the identified gaps represent a fraction of
the overall activity across the CIB, the data gap on one
venue, which largely consisted of sponsored client accessactivity, was significant. JPMorgan Chase is dedicated tomaintaining rigorous controls and continuously enhancing
the reliability of its trade infrastructure. JPMorgan Chase
expects to enter into resolutions with two U.S. regulatorsthat will require JPMorgan Chase to, among other things,
complete its remediation, engage an independent
consultant, and pay aggregate civil penalties ofapproximately $350 million. JPMorgan Chase is also inadvanced negotiations with a third U.S. regulator, but there
is no assurance that such discussions will result in a
resolution. JPMorgan Chase does not expect any disruptionof service to clients as a result of these resolutions.
***

In addition to the various legal proceedings discussed
above, JPMorgan Chase and its subsidiaries, including incertain cases, JPMorgan Chase Bank, N.A., are named as
defendants or are otherwise involved in a substantial
number of other legal proceedings. JPMorgan Chase andJPMorgan Chase Bank, N.A., each believe 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 initiatedfrom time to time in the future.

In view of the inherent difficulty of predicting the outcomeof legal proceedings, particularly where the claimants seek
very large or indeterminate damages, or where the matterspresent novel legal theories, involve a large number ofparties or are in early stages of discovery, JPMorgan Chase
Bank, N.A. cannot state with confidence what will be theeventual outcomes of the currently pending matters, thetiming of their ultimate resolution or the eventual losses,
fines, penalties or consequences related to those matters.
JPMorgan Chase Bank, N.A. believes, based upon its current
knowledge and after consultation with counsel,
consideration of the material legal proceedings describedabove 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
JPMorgan Chase Bank, N.A.’s consolidated financial
condition. JPMorgan Chase Bank, N.A. notes, however, thatin light of the uncertainties involved in such proceedings,
there is no assurance that the ultimate resolution of thesematters 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 aparticular matter may be material to JPMorgan Chase Bank,
N.A.’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 Bank, N.A.’s
income for that period.

JPMorgan Chase Bank, N.A., has established reserves forseveral hundred of its currently outstanding legal
proceedings. In accordance with the provisions of U.S. GAAPfor contingencies, JPMorgan Chase Bank, N.A., accrues for alitigation-related liability when it is probable that such aliability has been incurred and the amount of the loss canbe reasonably estimated. JPMorgan Chase Bank, N.A.,
evaluates its outstanding legal proceedings each quarter toassess its litigation reserves, and makes adjustments insuch reserves, upward or downward, as appropriate, basedon management’s best judgment after consultation withcounsel. JPMorgan Chase Bank, N.A.,’s legal expense was$852 million, $54 million and $90 million for the years
ended December 31, 2023, 2022 and 2021, respectively.
Where a particular litigation matter involves one or more
subsidiaries or affiliates of JPMorgan Chase, JPMorgan
Chase determines the appropriate allocation of legal
expense among those subsidiaries or affiliates (including,where applicable, JPMorgan Chase Bank, N.A.). There is no
assurance that JPMorgan Chase Bank N.A.’s litigation
reserves will not need to be adjusted in the future.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

133

Note 29 – Business combinations
On May 1, 2023, JPMorgan Chase Bank, National
Association acquired certain assets and assumed certain
liabilities of First Republic Bank (the "First Republic
acquisition") from the Federal Deposit Insurance
Corporation (“FDIC”), as receiver. The Bank believes that
the First Republic acquisition is complementary to the
Bank’s existing franchises. The acquisition resulted in an
estimated bargain purchase gain, which represents theexcess of the estimated fair value of the net assets acquired
above the purchase price.
The Bank has determined that this acquisition constitutes abusiness combination under U.S. GAAP. Accordingly, theinitial recognition of the assets acquired and liabilities
assumed were generally measured at their estimated fairvalues as of May 1, 2023. The determination of those fairvalues required management to make certain market-based
assumptions about expected future cash flows, discountrates and other valuation inputs at the time of theacquisition. The Bank believes that the fair value estimatesof the assets acquired and liabilities assumed provide a
reasonable basis for determining the estimated bargain
purchase gain.
The Bank and the FDIC have not yet completed thesettlement process under which the purchase price, and theidentification of the assets acquired and liabilities assumed,
will be finalized. The finalization of this settlement process
may impact the amount of the estimated bargain purchasegain. The purchase and assumption agreement entered intowith the FDIC allows for final settlement to occur up to ayear after the acquisition date.
In addition, the purchase price and the estimated bargain
purchase gain could change pending management's
finalization of its acquisition date fair value estimates forcertain of the assets acquired and liabilities assumed, which
may take place up to one year from the acquisition date, as
permitted by U.S. GAAP.
The First Republic acquisition resulted in a preliminary
estimated bargain purchase gain of $2.7 billion. The Bank
has continued to progress in the settlement process with
the FDIC and refine its acquisition-date fair value estimates.
As a result, during the year ended December 31, 2023,
adjustments totaling $63 million were made increasing theestimated bargain purchase gain to $2.8 billion.
In connection with the First Republic acquisition, the Bankand the FDIC entered into two shared-loss agreements withrespect to certain loans and lending-related commitments(the "shared-loss assets"): the Commercial Shared-Loss
Agreement ("CSLA") and the Single-Family Shared-Loss
Agreement (“SFSLA”). The CSLA covers 80% of credit
losses, on a pari passu basis, over 5 years with asubsequent 3-year recovery period for certain acquiredcommercial loans and other real estate exposure. The
SFSLA covers 80% of credit losses, on a pari passu basis,for 7 years for certain acquired loans secured by mortgages
on real property or shares in cooperative property
constituting a primary residence. The indemnification
134

assets, which represent the fair value of the CSLA andSFSLA on the acquisition date, are reflected in the total
assets acquired.
As part of the consideration paid, JPMorgan Chase Bank,
N.A. issued a five-year, $50.0 billion secured note to the
FDIC (the "Purchase Money Note"). The Purchase Money
Note bears interest at a fixed rate of 3.4% and is secured
by certain of the acquired loans. The Purchase Money Noteis prepayable upon notice to the holder.
The Bank had placed a $5.0 billion deposit with First
Republic Bank on March 16, 2023, as part of $30.0 billion
of deposits provided by a consortium of large U.S. banks.
The Bank’s $5.0 billion deposit was effectively settled aspart of the acquisition and the associated allowance for
credit losses was released upon closing. The Bank
subsequently repaid the remaining $25.0 billion of deposits
to the consortium of banks, including accrued interest
through the payment date on May 9, 2023.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

The computation of the purchase price, the estimated fair values of the assets acquired and liabilities assumed as part of theFirst Republic acquisition and the related estimated bargain purchase gain are presented below, and reflect the adjustments
made through December 31, 2023 to the acquisition-date fair value of the net assets acquired.
Fair value purchaseprice allocation as of
May 1, 2023

(in millions)Purchase price consideration
Amounts paid/due to the FDIC, net of cash acquired(a)Purchase Money Note (at fair value)
Settlement of First Republic deposit and other related party transactions(b)Contingent consideration - Shared-loss agreements
Purchase price consideration$$

AssetsSecurities
Loans(c)Core deposit and customer relationship intangibles
Indemnification assets - Shared-loss agreements
Accounts receivable and other assets(c)(d)Total assets acquired$$

Liabilities
Deposits
FHLB advances
Lending-related commitments
Accounts payable and other liabilities(c)(d)Deferred tax liabilities
Total liabilities assumed$

Fair value of net assets acquired
Estimated gain on acquisition, after-tax

13,524
48,8485,447
1567,83430,285
153,242
1,455
675
6,574
192,231$

87,572
27,919
2,614
2,793
724
121,622$$70,6092,775(a) Includes $10.6 billion of cash paid to the FDIC at acquisition and $3.6 billion payable to the FDIC, less cash acquired of $680 million.
(b) Includes $447 million of securities financing transactions with First Republic Bank that were effectively settled on the acquisition date.
(c) In the six months ended December 31, 2023, certain assets and liabilities were reclassified resulting in a $762 million increase to loans, an $870 million
decrease to accounts receivable and other assets and a $30 million increase to accounts payable and other liabilities.
(d) Other assets include $1.2 billion in tax-oriented investments and $683 million of lease right-of-use assets. Other liabilities include the related tax-oriented
investment liabilities of $669 million and lease liabilities of $748 million. Refer to Note 15 and Note 19 for additional information.

The issuance of the $50 billion Purchase Money Note, the effective settlement of the Bank’s $5 billion deposit and$447 million of securities financing with First Republic Bank, and the $3.6 billion payable to the FDIC as part of the purchaseprice consideration are considered non-cash transactions.
The following describes the accounting policies and fair value methodologies generally used by the Bank for the following
assets acquired and liabilities assumed: core deposit and customer relationship intangibles, shared-loss agreements and therelated indemnification assets, Purchase Money Note, and FHLB advances.
For further discussion of the Bank’s accounting policies and valuation methodologies, refer to Note 3 and Note 4 for fair value
measurement, Note 11 for investment securities, Note 13 for loans, Note 18 for deposits, and Note 26 for lending-related
commitments.
Core deposit and customer relationship intangibles
Core deposit and certain wealth management customer
relationship intangibles were acquired as part of the First
Republic acquisition. The core deposit intangible of $1.3
billion was valued by discounting estimated after-tax costsavings over the remaining useful life of the deposits using
the favorable source of funds method. The after-tax costsavings were estimated based on the difference between
the cost of maintaining the core deposit base relative to thecost of next best alternative funding sources available tomarket participants. The customer relationship intangibles
of $180 million were valued by discounting estimated aftertax earnings over their remaining useful lives using themulti-period excess earnings method. Both intangible asset
valuations utilized assumptions that the Bank believes amarket participant would use to estimate fair values, suchas growth and attrition rates, projected fee income as well
as related costs to service the relationships, and discountrates. The core deposit and customer relationshipintangibles will be amortized over a projected period of
future cash flows of approximately 7 years. Refer to Note 16
for further discussion on other intangible assets.
Indemnification assets - Shared-loss agreements
The indemnification assets represent forecasted recoveries
from the FDIC associated with the shared-loss assets over
the respective shared-loss recovery periods. The

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

135indemnification assets were recorded at fair value in otherassets on the Consolidated balance sheets on theacquisition date. The fair values of the indemnification
assets were estimated based on the timing of the forecasted
losses underlying the related allowance for credit losses.
The subsequent quarterly remeasurement of theindemnification assets is based on changes in the amountand timing of forecasted losses in the allowance for credit
losses associated with the shared-loss assets and isrecorded in other income. Under certain circumstances, theBank may be required to make a payment to the FDIC upon
termination of the shared-loss agreements based on thelevel of actual losses and recoveries on the shared-loss
assets. The estimated potential future payment is reflected
as contingent consideration as part of the purchase priceconsideration.

Purchase Money Note and FHLB advances
The Purchase Money Note is recorded in long-term debt on
the Consolidated balance sheets. The fair value of thePurchase Money Note was estimated based on a discounted
cash flow methodology and incorporated estimated market
discount rates.
The FHLB advances assumed in the acquisition are recordedin short-term borrowings and in long-term debt. The fairvalues of the FHLB advances were based on a discounted
cash flow methodology and considered the observed FHLB
advance issuance rates.

Loans
The following table presents the unpaid principal balance (“UPB”) and estimated fair values of the loans acquired as of May 1,
2023, and reflects adjustments to the acquisition-date fair value of the loans acquired through December 31, 2023.
May 1, 2023
(in millions)
Residential real estate

UPB$

Fair value

106,240$

92,053

Auto and other

3,093

2,030

Total consumer

109,333

94,083

Secured by real estate

37,11733,602

Commercial & industrial

4,332

3,932

Other(a)23,49921,625

Total wholesale
Total loans

64,948$174,281

59,159$153,242(a) In the six months ended December 31, 2023, certain assets and liabilities were reclassified resulting in a $900 million increase to the UPB and $762
million increase to the fair value of Other wholesale loans.

Unaudited pro forma condensed combined financial information
Included in the Bank's Consolidated statements of income are noninterest revenue, net interest income and net income
contributed by First Republic of $4.4 billion, $3.7 billion and $4.1 billion, respectively, for the year ended December 31,
2023.
The following table presents certain unaudited pro forma financial information for the year ended December 31, 2023 and2022 as if the First Republic acquisition had occurred on January 1, 2022, including recognition of the estimated bargain
purchase gain of $2.8 billion and the provision for credit losses of $1.2 billion. Additional adjustments include the interest on
the Purchase Money Note and the impact of amortizing and accreting certain estimated fair value adjustments related tointangible assets, loans and lending-related commitments.
The Bank expects to achieve operating cost savings and other business synergies resulting from the acquisition that are notreflected in the pro forma amounts. The pro forma information is not necessarily indicative of the historical results ofoperations had the acquisition occurred on January 1, 2022, nor is it indicative of the results of operations in future periods,
particularly in light of recent changes in market and economic conditions.
Year ended December 31,(in millions)Noninterest revenue

2023$

51,0162022$

55,080Net interest income

94,57372,717

Net income

46,60937,755

136

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Note 30 – Business changes and developments
Internal transfers of legal entities under common control
From time to time there may be transfers of legal entities
under common control between the Bank and JPMorgan
Chase. Such transfers are accounted for at historical cost inaccordance with U.S. GAAP and are reflected in theConsolidated Financial Statements prospectively when theimpact of the transfers are not material to the Bank’s
Consolidated Financial Statements. There were internaltransfers of legal entities between the Bank and JPMorgan
Chase for the years ended December 31, 2023, 2022 and
2021, and the impact of these transfers were not material
to the Bank’s Consolidated Financial Statements.

Subsequent events
The Bank has performed an evaluation of events that haveoccurred subsequent to December 31, 2023, and throughFebruary 16, 2024 (the date the financial statements wereavailable to be issued). Other than the event indicatedbelow, [there have been no material subsequent events]that occurred during such period that would require
disclosure or recognition in the Bank’s Consolidated
Financial Statements as of December 31, 2023.
Dividend payment
On January 10, 2024, the Bank paid a $5.0 billion dividend
to its parent JPMorgan Chase & Co.

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements137

Supplementary information
Glossary of Terms and Acronyms

ABS: Asset-backed securities
AFS: Available-for-saleAmortized cost: Amount at which a financing receivable orinvestment is originated or acquired, adjusted for accretionor amortization of premium, discount, and net deferred feesor 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: Adjustable rate mortgage(s)Bank: JPMorgan Chase Bank N.A.

Credit derivatives: Financial instruments whose value isderived from the credit risk associated with the debt of athird-party issuer (the reference entity) which allow one
party (the protection purchaser) to transfer that risk toanother party (the protection seller). Upon the occurrenceof 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 thereference entity, neither party has recourse to thereference entity. The protection purchaser has recourse to
the protection seller for the difference between the facevalue of the CDS contract and the fair value at the time ofsettling 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 forregulatory purposes and are generally consistent with arating of CCC+/Caa1 and below, as defined by S&P and
Moody’s.

BBL: Barrel
Beneficial interests issued by consolidated VIEs:
Represents the interest of third-party holders of debt,
equity securities, or other obligations, issued by VIEs thatthe Bank consolidates.
Benefit obligation: Refers to the projected benefit
obligation for pension plans and the accumulated
postretirement benefit obligation for OPEB plans.

CRO: Chief Risk Officer

Bridge Financing Portfolio: A portfolio of held-for-saleunfunded 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.

DVA: Debit valuation adjustment

CVA: Credit valuation adjustment

CCP: “Central counterparty” is a clearing house thatinterposes itself between counterparties to contracts tradedin one or more financial markets, becoming the buyer toevery seller and the seller to every buyer and thereby
ensuring the future performance of open contracts. A CCP
becomes a counterparty to trades with market participants
through novation, an open offer system, or another legallybinding arrangement.
CDS: Credit default swaps
CECL: Current Expected Credit Losses

Embedded derivatives: are implicit or explicit terms orfeatures of a financial instrument that affect some or all of
the cash flows or the value of the instrument in a manner
similar to a derivative. An instrument containing such terms
or features is referred to as a “hybrid.” The component of
the hybrid that is the non-derivative instrument is referred
to as the “host.” For example, callable debt is a hybrid
instrument that contains a plain vanilla debt instrument(i.e., the host) and an embedded option that allows theissuer 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.
ETD: “Exchange-traded derivatives”: Derivative contracts
that are executed on an exchange and settled via a central
clearing house.
EU: European Union

CET1 Capital: Common equity Tier 1 capital

Fannie Mae: Federal National Mortgage Association

CFO: Chief Financial Officer

FASB: Financial Accounting Standards Board

CLO: Collateralized loan obligations

FCA: Financial Conduct Authority

Collateral-dependent: A loan is considered to be collateraldependent when repayment of the loan is expected to beprovided substantially through the operation or sale of thecollateral when the borrower is experiencing financial
difficulty, including when foreclosure is deemed probablebased on borrower delinquency.

FDIC: Federal Deposit Insurance Corporation

138

FDM: "Financial difficulty modification" applies to loan
modifications effective January 1, 2023, and is deemed tooccur when the Bank modifies specific terms of the originalloan agreement. The following types of modifications are

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Glossary of Terms and Acronyms

considered FDMs: principal forgiveness, interest rate
reduction, other-than-insignificant payment delay, term
extension or a combination of these modifications.
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
FICC: The Fixed Income Clearing Corporation
FICO score: A measure of consumer credit risk provided bycredit bureaus, typically produced from statistical models
by Fair Isaac Corporation utilizing data collected by thecredit bureaus.
Freddie Mac: Federal Home Loan Mortgage Corporation
Free standing derivatives: A derivative contract enteredinto either separate and apart from any of the Bank’s otherfinancial instruments or equity transactions. Or, inconjunction with some other transaction and is legallydetachable and separately exercisable.
FTC: Foreign tax credit
FVA: Funding valuation adjustment

principal amount of a loan and the appraised value of thecollateral (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 theorigination date.
Current estimated LTV ratio
An estimate of the LTV as of a certain date. The current
estimated LTV ratios are calculated using estimatedcollateral values derived from a nationally recognized homeprice index measured at the metropolitan statistical area(“MSA”) level. These MSA-level home price indices consistof actual data to the extent available and forecasted data
where actual data is not available. As a result, theestimated 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 wellas unused lines, related to the property. Combined Loan-ToValue ratios are used for junior lien home equity products.

G7 government securities: Securities issued by thegovernment of one of the G7 nations.

Master netting agreement: A single agreement with acounterparty that permits multiple transactions governedby that agreement to be terminated or accelerated andsettled through a single payment in a single currency in theevent of a default (e.g., bankruptcy, failure to make arequired payment or securities transfer or deliver collateralor margin when due).

Ginnie Mae: Government National Mortgage Association

MBS: Mortgage-backed securities

HELOC: Home equity line of credit

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.

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.

Home equity – senior lien: Represents loans andcommitments where the Bank holds the first security
interest on the property.
Home equity – junior lien: Represents loans andcommitments where the Bank holds a security interest thatis subordinate in rank to other liens.
HTM: Held-to-maturity

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 anddebit cards and payments in multiple currencies.

Investment-grade: An indication of credit quality based on
the Bank’s internal risk assessment. The Bank considers
ratings of BBB-/Baa3 or higher as investment-grade.

MEV: Macroeconomic variable

JPMorgan Chase: JPMorgan Chase & Co.

Moody’s: Moody’s Investor Services

LGD: Loss given default

Mortgage product types:
Alt-A
Alt-A loans are generally higher in credit quality thansubprime loans but have characteristics that would
disqualify the borrower from a traditional prime loan. Alt-A
lending characteristics may include one or more of thefollowing: (i) limited documentation; (ii) a high CLTV ratio;(iii) loans secured by non-owner occupied properties; or (iv)

LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTIP: Long-term incentive plan
LTV: “Loan-to-value”: For residential real estate loans, therelationship, expressed as a percentage, between the

MMBTU: One million British thermal units

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

139

Glossary of Terms and Acronyms

a debt-to-income ratio above normal limits. A substantial
proportion of the Bank’s Alt-A loans are those where aborrower does not provide complete documentation of hisor her assets or the amount or source of his or her income.
Option ARMs
The option ARM real estate loan product is an adjustablerate mortgage loan that provides the borrower with theoption each month to make a fully amortizing, interest-onlyor 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 usuallysignificantly below the fully indexed rate. The fully indexed
rate is calculated using an index rate plus a margin. Oncethe introductory period ends, the contractual interest rate
charged on the loan increases to the fully indexed rate andadjusts 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 isdeferred and added to the principal balance of the loan.
Option ARM loans are subject to payment recast, whichconverts the loan to a variable-rate fully amortizing loan
upon meeting specified loan balance and anniversary datetriggers.
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 havereliable payment histories.

• Rewards costs: The cost to the Bank for points earned bycardholders enrolled in credit card rewards programs
generally tied to sales transactions.
• Partner payments: Payments to co-brand credit card
partners based on the cost of loyalty program rewards
earned by cardholders on credit card transactions.
Net mortgage servicing revenue: Includes operating
revenue earned from servicing third-party mortgage loans,which is recognized over the period in which the service isprovided; changes in the fair value of MSRs; the impact ofrisk management activities associated with MSRs; and gains
and losses on securitization of excess mortgage servicing.
Net mortgage servicing revenue also includes gains andlosses on sales and lower of cost or fair value adjustmentsof certain repurchased loans insured by U.S. government
agencies.
NOL: Net operating loss
Nonaccrual loans: Loans for which interest income is notrecognized on an accrual basis. Loans (other than credit
card loans and certain consumer loans insured by U.S.
government agencies) are placed on nonaccrual statuswhen full payment of principal and interest is not expected,
regardless of delinquency status, or when principal andinterest have been in default for a period of 90 days ormore unless the loan is both well-secured and in theprocess of collection. Collateral-dependent loans are
typically maintained on nonaccrual status.
OAS: Option-adjusted spread

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 orpoor payment histories; (ii) a high LTV ratio of greater than
80% (without borrower-paid mortgage insurance); (iii) ahigh debt-to-income ratio; (iv) an occupancy type for theloan 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 ValueNet charge-off/(recovery) rate: Represents net chargeoffs/(recoveries) (annualized) divided by average retainedloans for the reporting period.

OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income/(loss)
OPEB: Other postretirement employee benefit
Over-the-counter (“OTC”) derivatives: Derivative contracts
that are negotiated, executed and settled bilaterally
between two derivative counterparties, where one or bothcounterparties is a derivatives dealer.
Over-the-counter cleared (“OTC-cleared”) derivatives:
Derivative contracts that are negotiated and executedbilaterally, but subsequently settled via a central clearing
house, such that each derivative counterparty is only
exposed to the default of that clearing house.
PCD: “Purchased credit deteriorated” assets represent
acquired financial assets that as of the date of acquisition
have experienced a more-than-insignificant deterioration incredit quality since origination, as determined by the Bank.
PD: Probability of default

Net interchange income includes the following
components:

PPP: Paycheck Protection Program under the Small
Business Association (“SBA”)• Interchange income: Fees earned by credit and debitcard issuers on sales transactions.

PRA: Prudential Regulation Authority

140

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

Glossary of Terms and Acronyms

Principal transactions revenue: Principal transactions
revenue is driven by many factors, including:• the bid-offer spread, which is the difference between theprice at which a market participant is willing and able tosell an instrument to the Bank and the price at whichanother market participant is willing and able to buy itfrom the Bank, and vice versa; and• realized and unrealized gains and losses on financial
instruments and commodities transactions, including
those accounted for under the fair value option, primarily
used in client-driven market-making activities.
– Realized gains and losses result from the sale of
instruments, closing out or termination of transactions,or interim cash payments.
– Unrealized gains and losses result from changes invaluation.
In connection with its client-driven market-making
activities, the Bank transacts in debt and equity
instruments, derivatives and commodities, including
physical commodities inventories and financial instrumentsthat reference commodities.
Principal transactions revenue also includes realized andunrealized gains and losses related to:• derivatives designated in qualifying hedge accounting
relationships, primarily fair value hedges of commodityand foreign exchange risk;• derivatives used for specific risk management purposes,
primarily to mitigate credit, foreign exchange andinterest rate risks.
Production revenue: Includes fees and income recognized
as earned on mortgage loans originated with the intent tosell, and the impact of risk management activities
associated with the mortgage pipeline and warehouseloans. Production revenue also includes gains and losses onsales and lower of cost or fair value adjustments on
mortgage loans held-for-sale (excluding certain
repurchased loans insured by U.S. government agencies),and changes in the fair value of financial instruments
measured under the fair value option.
PSUs: Performance share units

differences in the calculation of credit risk RWA between
the Standardized and Advanced approaches are that forBasel 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 riskweightings which vary primarily by counterparty type andasset class. Market risk RWA is calculated on a generally
consistent basis between Basel III Standardized and Basel III
Advanced.
Scored portfolios: Consumer loan portfolios that
predominantly include residential real estate loans, credit
card loans, auto loans to individuals and certain small
business loans.
S&P: Standard and Poor’s
SAR(s) as it pertains to employee stock awards: Stockappreciation rights
SEC: U.S. Securities and Exchange Commission
Securities financing agreements: Include resale,
repurchase, securities borrowed and securities loaned
agreements
SLR: Supplementary leverage ratio
SMBS: Stripped mortgage-backed securities
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Structured notes: Structured notes are financial
instruments whose cash flows are linked to the movement
in one or more indexes, interest rates, foreign exchange
rates, commodities prices, prepayment rates, underlying
reference pool of loans or other market variables. The notes
typically contain embedded (but not separable ordetachable) derivatives. Contractual cash flows forprincipal, 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.

RHS: Rural Housing Service of the U.S. Department ofAgriculture

TDR: “Troubled debt restructuring” applies to loan
modifications granted prior to January 1, 2023 and isdeemed to occur when the Bank modifies the original termsof a loan agreement by granting a concession to a borrowerthat is experiencing financial difficulty. Loans with shortterm and other insignificant modifications that are notconsidered concessions are not TDRs.

ROU assets: Right-of-use assets

U.K.: United Kingdom

RSU(s): Restricted stock units

Unaudited: Financial statements and/or information thathave not been subject to auditing procedures by anindependent registered public accounting firm.

REO: Real estate owned
Retained loans: Loans that are held-for-investment (i.e.,
excludes loans held-for-sale and loans at fair value).

RWA: “Risk-weighted assets”: Basel III establishes twocomprehensive approaches for calculating RWA (aStandardized approach and an Advanced approach) which
include capital requirements for credit risk, market risk, andin the case of Basel III Advanced, also operational risk. Key

U.S.: United States of America

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

141

Glossary of Terms and Acronyms

U.S. GAAP: Accounting principles generally accepted in theU.S.
U.S. government agencies: U.S. government agencies
include, but are not limited to, agencies such as Ginnie Maeand 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 paymentof principal and interest by the full faith and credit of the
U.S. government in the event of a default.
U.S. GSE(s): “U.S. government-sponsored enterprises” arequasi-governmental, privately-held entities established orchartered by the U.S. government to serve public purposesas specified by the U.S. Congress to improve the flow ofcredit 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
VCG: Valuation Control GroupVGF: Valuation Governance Forum
VIEs: Variable interest entities
Warehouse loans: Consist of prime mortgages originatedwith the intent to sell that are accounted for at fair value
and classified as loans.

142

JPMorgan Chase Bank, National Association/2023 Consolidated Financial Statements

2)

業務及び財産の状況に関する事項（日本語訳抜粋）

ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニー全額出資子会社）

業務概要
2023年12月31日終了事業年度
以下は、ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーションの2023年12月31日に終了
した事業年度の業績の要約である。

純利益は、2022年度の343億ドルに対し、2023年度は38.3%増の475億ドルであった。純収益合計は2022年度の1,190億ドルに対し、2023年度は23.6%増の1,470億ドルとなった。

与信損失引当金額は、2022年度の63億ドルの繰入に対し、2023年度は41.7%増加し90億ドルの繰入となった。

利息以外の費用は、2022年度の687億ドルに対し、2023年度は14.1%増の785億ドルであった。法人所得税は2022
年度の96億ドルに対し、2023年度は26.4%増の121億ドルとなった。

2023年12月31日現在、総資産は2022年から6.0%増の3.4兆ドルであった。2023年12月31日現在、総負債は2022年
から6.8%増の3.1兆ドルであった。株主持分合計は、2022年度の3,036億ドルに対し、1.4%減の2,993億ドルとなった。

3) 連結損益計算書及び連結貸借対照表
3.1 連結損益計算書
ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニーの全額出資子会社）

12 月 31 日終了事業年度 (百万ドル)

2023 年2022 年

2021 年

収益
投資銀行業務関連の収益
自己勘定取引貸出金および預金関連収益
資産運用収益その他の手数料収益
有価証券利益（損失）モーゲージ報酬および関連利益
クレジットカード収益
その他の収益利息以外の収益
受入利息
支払利息
正味受入利息収益合計(純額)
与信損失引当金繰入額(戻入額)

2,525

2,955

5,232

20,903

17,895

13,677

7,410

7,095

7,031

2,591

2,479

2,389

12,41811,456

11,632(3,180)(2,380)

(345)

1,176

1,250

2,170

4,784

4,421

5,102

5,410

5,384

5,511

54,03750,55552,399151,415

84,09753,87058,431

15,675

2,064

92,98468,42251,806

147,021118,977

104,205

8,996

6,347

(9,296)

3.1 連結損益計算書(続き)ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニーの全額出資子会社）

12 月 31 日終了事業年度 (百万ドル)

2023 年2022 年

2021 年利息以外の費用
報酬費用
不動産関連費用
テクノロジー、通信および機器関連費用
専門家報酬および外部業務委託費用
マーケティング費用
その他の費用利息以外の費用合計
法人所得税控除前利益
法人所得税
当期純利益

37,60534,00031,212

4,315

4,469

4,313

8,414

8,646

9,304

6,798

6,983

6,510

4,551

3,877

2,936

16,777

10,761

10,17078,46068,73664,44559,56543,89449,056

12,0699,552

11,00147,49634,342

38,055

3.2 連結貸借対照表
ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニーの全額出資子会社）

12 月 31 日終了事業年度 (百万ドル)

2023 年2022 年

資産
現金および無利息銀行預け金
有利息銀行預け金
フェデラル・ファンド貸出金および売戻条件付買入有価証券
借入有価証券
トレーディング資産
売却可能有価証券
満期保有目的有価証券
信用損失引当金控除後有価証券
貸出金
貸倒引当金
貸倒引当金控除後貸出金
未収利息および未収入金
土地・建物および設備
のれん・モーゲージ・サービシング権およびその他の無形固定資産
その他の資産資産合計

28,78427,258593,706

538,715226,683

259,460

61,19953,642329,809288,420

201,676

205,790369,848425,305

571,524

631,095

1,320,120

1,132,985(22,311)(19,714)

1,297,809

1,113,271

67,14789,373

28,82826,34750,29548,600139,342

125,761

3,395,126

3,201,942

3.2 連結貸借対照表(続き)ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニーの全額出資子会社）

12 月 31 日終了事業年度 (百万ドル)

2023 年2022 年

負債
預金
フェデラル・ファンド借入金および買戻条件付貸付または売却
有価証券
短期借入金
トレーディング負債
未払金およびその他の負債
連結変動持分事業体により発行された受益権
長期社債
負債合計

2,498,231

2,440,722

74,60985,902

11,91910,074

110,862

116,629

170,119

156,433

23,162

13,424

206,945

75,1383,095,847

2,898,322

3.2 連結貸借対照表(続き)ジェー・ピー・モルガン・チェース・バンク・ナショナル・アソシエーション（ジェー・ピー・モルガン・チェース・アンド・カンパニーの全額出資子会社）

12 月 31 日終了事業年度 (百万ドル)

2023 年2022 年

株主持分
優先株式
普通株式
資本剰余金
利益剰余金
その他の包括利益累計額
株主持分合計負債および株主持分合計

-

-

2,028

2,028

119,356

118,293

188,089

201,263(10,194)(17,964)

299,279

303,620

3,395,126

3,201,942